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Annual Report
DFA Canadian Core Equity FundDFA Canadian Vector Equity Fund
DFA U.S. Core Equity FundDFA U.S. Vector Equity Fund
DFA International Core Equity FundDFA International Vector Equity Fund
DFA Global Real Estate Securities FundDFA Five-Year Global Fixed Income Fund
DFA Global Investment Grade Fixed Income FundDFA Global Targeted Credit FundDFA Global 40EQ-60FI PortfolioDFA Global 50EQ-50FI PortfolioDFA Global 60EQ-40FI PortfolioDFA Global 70EQ-30FI PortfolioDFA Global 80EQ-20FI Portfolio
DFA Global Equity PortfolioDFA Global Fixed Income Portfolio
DFA World Equity Portfolio
Year Ended December 31, 2019
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Annual Report
DFA Canadian Core Equity FundDFA Canadian Vector Equity Fund
DFA U.S. Core Equity FundDFA U.S. Vector Equity Fund
DFA International Core Equity FundDFA International Vector Equity Fund
DFA Global Real Estate Securities FundDFA Five-Year Global Fixed Income Fund
DFA Global Investment Grade Fixed Income FundDFA Global Targeted Credit FundDFA Global 40EQ-60FI PortfolioDFA Global 50EQ-50FI PortfolioDFA Global 60EQ-40FI PortfolioDFA Global 70EQ-30FI PortfolioDFA Global 80EQ-20FI Portfolio
DFA Global Equity PortfolioDFA Global Fixed Income Portfolio
DFA World Equity Portfolio
Year Ended December 31, 2019
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FINANCIAL STATEMENTS OFDIMENSIONAL FUNDS
December 31, 2019
Table of Contents
Page
Letter to Unitholders . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . I
Management Responsibility Report . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . II
Independent Auditor’s Report . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . III
Financial Statements
DFA Canadian Core Equity Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1
Statements of Financial Position . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1
Statements of Comprehensive Income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2
Statements of Changes in Net Assets Attributable to Holders of Redeemable Units . . . . . . . . . . 3
Statements of Cash Flows . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4
Schedule of Investment Portfolio . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5
Discussion of Financial Risk Management . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10
DFA Canadian Vector Equity Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12
Statements of Financial Position . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12
Statements of Comprehensive Income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13
Statements of Changes in Net Assets Attributable to Holders of Redeemable Units . . . . . . . . . . 14
Statements of Cash Flows . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15
Schedule of Investment Portfolio . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16
Discussion of Financial Risk Management . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 20
DFA U.S. Core Equity Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22
Statements of Financial Position . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22
Statements of Comprehensive Income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23
Statements of Changes in Net Assets Attributable to Holders of Redeemable Units . . . . . . . . . . 24
Statements of Cash Flows . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 26
Schedule of Investment Portfolio . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27
Discussion of Financial Risk Management . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 49
DFA U.S. Vector Equity Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 52
Statements of Financial Position . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 52
Statements of Comprehensive Income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 53
Statements of Changes in Net Assets Attributable to Holders of Redeemable Units . . . . . . . . . . 54
Statements of Cash Flows . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 56
Schedule of Investment Portfolio . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 57
Discussion of Financial Risk Management . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 77
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FINANCIAL STATEMENTS OFDIMENSIONAL FUNDS
December 31, 2019
Table of Contents
Page
Financial Statements
DFA International Core Equity Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 80
Statements of Financial Position . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 80
Statements of Comprehensive Income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 81
Statements of Changes in Net Assets Attributable to Holders of Redeemable Units . . . . . . . . . . 82
Statements of Cash Flows . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 84
Schedule of Investment Portfolio . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 85
Discussion of Financial Risk Management . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 153
DFA International Vector Equity Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 159
Statements of Financial Position . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 159
Statements of Comprehensive Income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 160
Statements of Changes in Net Assets Attributable to Holders of Redeemable Units . . . . . . . . . . 161
Statements of Cash Flows . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 163
Schedule of Investment Portfolio . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 164
Discussion of Financial Risk Management . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 214
DFA Global Real Estate Securities Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 220
Statements of Financial Position . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 220
Statements of Comprehensive Income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 221
Statements of Changes in Net Assets Attributable to Holders of Redeemable Units . . . . . . . . . . 222
Statements of Cash Flows . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 223
Schedule of Investment Portfolio . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 224
Discussion of Financial Risk Management . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 229
DFA Five-Year Global Fixed Income Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 232
Statements of Financial Position . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 232
Statements of Comprehensive Income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 233
Statements of Changes in Net Assets Attributable to Holders of Redeemable Units . . . . . . . . . . 234
Statements of Cash Flows . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 235
Schedule of Investment Portfolio . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 236
Discussion of Financial Risk Management . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 243
DFA Global Investment Grade Fixed Income Fund . . . . . . . . . . . . . . . . . . . . . . . 247
Statements of Financial Position . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 247
Statements of Comprehensive Income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 248
Statements of Changes in Net Assets Attributable to Holders of Redeemable Units . . . . . . . . . . 249
Statements of Cash Flows . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 250
Schedule of Investment Portfolio . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 251
Discussion of Financial Risk Management . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 259
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FINANCIAL STATEMENTS OFDIMENSIONAL FUNDS
December 31, 2019
Table of Contents
Page
Financial Statements
DFA Global Targeted Credit Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 263
Statements of Financial Position . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 263
Statements of Comprehensive Income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 264
Statements of Changes in Net Assets Attributable to Holders of Redeemable Units . . . . . . . . . 265
Statements of Cash Flows . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 266
Schedule of Investment Portfolio . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 267
Discussion of Financial Risk Management . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 277
DFA Global 40EQ-60FI Portfolio . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 281
Statements of Financial Position . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 281
Statements of Comprehensive Income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 282
Statements of Changes in Net Assets Attributable to Holders of Redeemable Units . . . . . . . . . 283
Statements of Cash Flows . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 284
Schedule of Investment Portfolio . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 285
Discussion of Financial Risk Management . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 286
DFA Global 50EQ-50FI Portfolio . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 290
Statements of Financial Position . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 290
Statements of Comprehensive Income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 291
Statements of Changes in Net Assets Attributable to Holders of Redeemable Units . . . . . . . . . 292
Statements of Cash Flows . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 293
Schedule of Investment Portfolio . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 294
Discussion of Financial Risk Management . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 295
DFA Global 60EQ-40FI Portfolio . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 299
Statements of Financial Position . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 299
Statements of Comprehensive Income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 300
Statements of Changes in Net Assets Attributable to Holders of Redeemable Units . . . . . . . . . 301
Statements of Cash Flows . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 302
Schedule of Investment Portfolio . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 303
Discussion of Financial Risk Management . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 304
DFA Global 70EQ-30FI Portfolio . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 308
Statements of Financial Position . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 308
Statements of Comprehensive Income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 309
Statements of Changes in Net Assets Attributable to Holders of Redeemable Units . . . . . . . . . 310
Statements of Cash Flows . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 311
Schedule of Investment Portfolio . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 312
Discussion of Financial Risk Management . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 313
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FINANCIAL STATEMENTS OFDIMENSIONAL FUNDS
December 31, 2019
Table of Contents
Page
Financial Statements
DFA Global 80EQ-20FI Portfolio . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 317
Statements of Financial Position . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 317
Statements of Comprehensive Income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 318
Statements of Changes in Net Assets Attributable to Holders of Redeemable Units . . . . . . . . . . 319
Statements of Cash Flows . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 320
Schedule of Investment Portfolio . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 321
Discussion of Financial Risk Management . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 322
DFA Global Equity Portfolio . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 326
Statements of Financial Position . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 326
Statements of Comprehensive Income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 327
Statements of Changes in Net Assets Attributable to Holders of Redeemable Units . . . . . . . . . . 328
Statements of Cash Flows . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 329
Schedule of Investment Portfolio . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 330
Discussion of Financial Risk Management . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 331
DFA Global Fixed Income Portfolio . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 334
Statements of Financial Position . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 334
Statements of Comprehensive Income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 335
Statements of Changes in Net Assets Attributable to Holders of Redeemable Units . . . . . . . . . . 336
Statements of Cash Flows . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 337
Schedule of Investment Portfolio . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 338
Discussion of Financial Risk Management . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 339
DFA World Equity Portfolio . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 342
Statement of Financial Position . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 342
Statement of Comprehensive Income . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 343
Statement of Changes in Net Assets Attributable to Holders of Redeemable Units . . . . . . . . . . 344
Statement of Cash Flows . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 345
Schedule of Investment Portfolio . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 346
Discussion of Financial Risk Management . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 347
Notes to Financial Statements . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 350
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March 20, 2020
Dear Unitholder,
Since our founding in 1981, sound investment solutions based on financial science havebeen at the heart of Dimensional. We recognize that the assets you entrust to our firm playan important role in your future.
With a 38-year track record, our investment strategies are guided by rigorous academicresearch, deep convictions about the power of capital markets, and the importance ofinformation in security prices.
We aim to add value through implementation by using a systematic approach to invest insecurities with higher expected returns and implementing a robust portfolio managementprocess that seeks to increase returns and manage risk. We apply flexible tradingalgorithms to minimize potential price impact.
We take pride in the many longstanding clients we have had the honor of working with overthe last four decades, and we continue to seek opportunities to raise the bar both within ourcompany and the industry.
On behalf of more than 1,400 employees at Dimensional aiming to serve you, we thank you.
Sincerely,
David P. ButlerChief Executive Officer
I
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Management’s Responsibility for Financial Reporting
The accompanying financial statements have been prepared by Dimensional Fund Advisors CanadaULC (the “Manager”). The Manager is responsible for the information and representations made inthese financial statements.
The Manager maintains appropriate processes to ensure that relevant and reliable financial informationis produced. These financial statements have been prepared in accordance with International FinancialReporting Standards and include certain amounts that are based on estimates and judgments. Thesignificant accounting policies which management believes are appropriate for the Dimensional Fundsare described in Note 2 to the financial statements.
The Board of Directors of the Manager is responsible for reviewing and approving the financialstatements and overseeing the Manager’s performance of its financial reporting responsibilities.
PricewaterhouseCoopers LLP are the external auditors of the Dimensional Funds. The auditors havebeen appointed by the Board of Directors and cannot be changed without 60 days notice to theunitholders. They have audited these financial statements in accordance with Canadian generallyaccepted auditing standards to enable them to express their opinion on the financial statements. Theirreport is included as an integral part of the financial statements.
David Butler Stephen A. ClarkChief Executive Officer Director and President
March 20, 2020
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PricewaterhouseCoopers LLP PwC Tower, 18 York Street, Suite 2600, Toronto, Ontario, Canada M5J 0B2 T: +1 416 863 1133, F: +1 416 365 8215
“PwC” refers to PricewaterhouseCoopers LLP, an Ontario limited liability partnership.
Independent auditor’s report To the Unitholders and Trustee of
DFA Canadian Core Equity Fund DFA Canadian Vector Equity Fund DFA U.S. Core Equity Fund DFA U.S. Vector Equity Fund DFA International Core Equity Fund DFA International Vector Equity Fund DFA Global Real Estate Securities Fund DFA Five-Year Global Fixed Income Fund DFA Global Investment Grade Fixed Income Fund DFA Global Targeted Credit Fund DFA Global 40EQ-60FI Portfolio DFA Global 50EQ-50FI Portfolio DFA Global 60EQ-40FI Portfolio DFA Global 70EQ-30FI Portfolio DFA Global 80EQ-20FI Portfolio DFA Global Equity Portfolio DFA Global Fixed Income Portfolio DFA World Equity Portfolio (individually a Fund)
Our opinion
In our opinion, the accompanying 2019 financial statements of each Fund present fairly, in all material respects, the financial position of each Fund and its financial performance and its cash flows as at and for the periods indicated in Note 1 in accordance with International Financial Reporting Standards as issued by the International Accounting Standards Board (IFRS).
What we have audited The financial statements of each Fund comprise:
● the statements of financial position as at the period-end dates indicated in note 1;
● the statements of comprehensive income for the periods indicated in note 1;
● the statements of changes in net assets attributable to holders of redeemable units for the periods indicated in note 1;
III
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● the statements of cash flows for the periods indicated in note 1; and
● the notes to the financial statements, which include a summary of significant accounting policies.
Basis for opinion
We conducted our audit in accordance with Canadian generally accepted auditing standards. Our responsibilities under those standards are further described in the Auditor’s responsibilities for the audit of the financial statements section of our report.
We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our opinion.
Independence We are independent of each Fund in accordance with the ethical requirements that are relevant to our audit of the financial statements in Canada. We have fulfilled our other ethical responsibilities in accordance with these requirements.
Other information
Management is responsible for the other information. The other information comprises the Management Report of Fund Performance.
Our opinion on the financial statements of each Fund does not cover the other information and we do not express any form of assurance conclusion thereon.
In connection with our audit of the financial statements of each Fund, our responsibility is to read the other information identified above and, in doing so, consider whether the other information is materially inconsistent with the financial statements of each Fund or our knowledge obtained in the audit, or otherwise appears to be materially misstated.
If, based on the work we have performed, we conclude that there is a material misstatement of this other information, we are required to report that fact. We have nothing to report in this regard.
Responsibilities of management and those charged with governance for the financial statements
Management is responsible for the preparation and fair presentation of the financial statements of each Fund in accordance with IFRS, and for such internal control as management determines is necessary to enable the preparation of financial statements that are free from material misstatement, whether due to fraud or error.
IV
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In preparing the financial statements, management is responsible for assessing the ability of each Fund to continue as a going concern, disclosing, as applicable, matters related to going concern and using the going concern basis of accounting unless management either intends to liquidate any Fund or to cease operations, or has no realistic alternative but to do so.
Those charged with governance are responsible for overseeing the financial reporting process of each Fund.
Auditor’s responsibilities for the audit of the financial statements
Our objectives are to obtain reasonable assurance about whether the financial statements as a whole are free from material misstatement, whether due to fraud or error, and to issue an auditor’s report that includes our opinion. Reasonable assurance is a high level of assurance, but is not a guarantee that an audit conducted in accordance with Canadian generally accepted auditing standards will always detect a material misstatement when it exists. Misstatements can arise from fraud or error and are considered material if, individually or in the aggregate, they could reasonably be expected to influence the economic decisions of users taken on the basis of the financial statements of each Fund.
As part of an audit in accordance with Canadian generally accepted auditing standards, we exercise professional judgment and maintain professional skepticism throughout the audit. We also:
Identify and assess the risks of material misstatement of the financial statements of each Fund, whether due to fraud or error, design and perform audit procedures responsive to those risks, and obtain audit evidence that is sufficient and appropriate to provide a basis for our opinion. The risk of not detecting a material misstatement resulting from fraud is higher than for one resulting from error, as fraud may involve collusion, forgery, intentional omissions, misrepresentations, or the override of internal control.
Obtain an understanding of internal control relevant to the audit in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of internal control of each Fund.
Evaluate the appropriateness of accounting policies used and the reasonableness of accounting estimates and related disclosures made by management.
Conclude on the appropriateness of management’s use of the going concern basis of accounting and, based on the audit evidence obtained, whether a material uncertainty exists related to events or conditions that may cast significant doubt on the ability of each Fund to continue as a going concern. If we conclude that a material uncertainty exists, we are required to draw attention in our auditor’s report to the related disclosures in the financial statements or, if such disclosures are inadequate, to modify our opinion. Our conclusions are based on the audit evidence obtained up to the date of our auditor’s report. However, future events or conditions may cause any Fund to cease to continue as a going concern.
Evaluate the overall presentation, structure and content of the financial statements of each Fund, including the disclosures, and whether the financial statements represent the underlying transactions and events in a manner that achieves fair presentation.
V
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We communicate with those charged with governance regarding, among other matters, the planned scope and timing of the audit and significant audit findings, including any significant deficiencies in internal control that we identify during our audit.
Chartered Professional Accountants, Licensed Public Accountants
Toronto, Ontario March 20, 2020
VI
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Dimensional FundsStatements of Financial PositionAs at December 31, 2019 and 2018
NoteDFA Canadian Core
Equity Fund
2019 2018
AssetsCurrent assets
Financial assets at fair value through profit or loss 10 $ 1,967,396,517 $ 1,594,962,525Cash 8,377,254 –Receivable for investments sold 16,720 33Accrued interest and dividends 5,014,489 5,109,635Subscriptions receivable 247,404 8,925,565
Total assets 1,981,052,384 1,608,997,758
LiabilitiesCurrent liabilities
Bank overdraft – 2,152,149Payable for investments purchased 836,959 21,570Redemptions payable 140,671 270,769Management fees payable 307,554 269,502Accrued expenses 319,742 279,799
Total liabilities 1,604,926 2,993,789
Net Assets attributable to holders of redeemable units $ 1,979,447,458 $ 1,606,003,969
Net Assets attributable to holders of redeemable units per class
Class A $ 106,995,008 $ 97,459,500Class F $ 745,762,776 $ 653,050,377Class I $ 1,126,689,674 $ 855,494,092
Net Assets attributable to holders of redeemable units per class per unit 4
Class A $ 19.66 $ 16.92Class F $ 19.96 $ 17.18Class I $ 20.20 $ 17.39
The accompanying notes are an integral part of these financial statements.
1
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Dimensional FundsStatements of Comprehensive IncomeFor the years ended December 31, 2019 and 2018
NoteDFA Canadian Core
Equity Fund
2019 2018
IncomeNet gain (loss) on investments
Dividend income $ 54,922,887 $ 46,909,910Interest income for distribution purposes 800,248 801,186Net realized gain (loss) on sale of investments 10,168,244 (1,480,750)Change in unrealized appreciation (depreciation) in value of investments 255,422,770 (255,923,471)
Net gain (loss) on investments 321,314,149 (209,693,125)
Other incomeSecurities lending income 11 1,466,883 1,243,764Other income 124,154 –Foreign exchange gain (loss) on cash 6,028 (1,065)Change in unrealized appreciation (depreciation) in foreign exchange on cash (17,580) 69,937
Total income (loss) 322,893,634 (208,380,489)
ExpensesManagement fees 5 3,427,547 3,517,941Custodian fees 42,111 41,313Audit fees 73,657 78,421Legal fees 29,513 19,732Broker commission expense 7 81,098 93,364Valuation fees 35,095 34,175Transaction fees 26,009 35,946Filing fees 41,441 46,465Securityholder reporting costs 322,661 317,262Independent Review Committee fees 5 25,374 20,791Withholding taxes 108,991 105,673Other expenses 34,723 33,355
Total expenses 4,248,220 4,344,438
Increase (Decrease) in Net Assets attributable to holders of redeemable units $ 318,645,414 $ (212,724,927)
Increase (Decrease) in Net Assets attributable to holders of redeemable units per class
Class A $ 17,245,017 $ (14,681,076)Class F $ 125,295,452 $ (90,263,677)Class I $ 176,104,945 $ (107,780,174)
Increase (Decrease) in Net Assets attributable to holders of redeemable units per unit* 2
Class A $ 3.08 $ (2.55)Class F $ 3.31 $ (2.42)Class I $ 3.35 $ (2.50)
* Computed based on the weighted average units outstanding during the year.
The accompanying notes are an integral part of these financial statements.
2
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Dimensional FundsStatements of Changes in Net Assets Attributable to Holders of Redeemable UnitsFor the years ended December 31, 2019 and 2018
DFA Canadian Core Equity Fund
2019 2018 2019 2018
Class A Class F
Net Assets attributable to holders of redeemable units atbeginning of year $ 97,459,500 $ 116,254,083 $ 653,050,377 $ 732,484,090
Increase (Decrease) in Net Assets attributable to holders ofredeemable units 17,245,017 (14,681,076) 125,295,452 (90,263,677)
Redeemable unit transactionsProceeds from redeemable units issued 9,810,217 12,006,089 94,867,881 141,472,218Redemption of redeemable units (17,456,911) (16,074,429) (122,031,764) (125,694,755)Reinvestments of distributions to holders of redeemable
units 1,629,210 1,363,415 14,228,905 12,589,822
(6,017,484) (2,704,925) (12,934,978) 28,367,285
Distributions to holders of redeemable unitsFrom net investment income (1,692,025) (1,408,582) (19,648,075) (17,537,321)
(1,692,025) (1,408,582) (19,648,075) (17,537,321)
Net Increase (Decrease) in Net Assets attributable toholders of redeemable units 9,535,508 (18,794,583) 92,712,399 (79,433,713)
Net Assets attributable to holders of redeemable units atend of year $ 106,995,008 $ 97,459,500 $ 745,762,776 $ 653,050,377
2019 2018 2019 2018
Class I Total
Net Assets attributable to holders of redeemable units atbeginning of year $ 855,494,092 $ 763,352,094 $ 1,606,003,969 $ 1,612,090,267
Increase (Decrease) in Net Assets attributable to holders ofredeemable units 176,104,945 (107,780,174) 318,645,414 (212,724,927)
Redeemable unit transactionsProceeds from redeemable units issued 118,742,708 220,647,531 223,420,806 374,125,838Redemption of redeemable units (22,650,370) (19,736,673) (162,139,045) (161,505,857)Reinvestments of distributions to holders of redeemable
units 30,259,427 22,832,279 46,117,542 36,785,516
126,351,765 223,743,137 107,399,303 249,405,497
Distributions to holders of redeemable unitsFrom net investment income (31,261,128) (23,820,965) (52,601,228) (42,766,868)
(31,261,128) (23,820,965) (52,601,228) (42,766,868)
Net Increase (Decrease) in Net Assets attributable toholders of redeemable units 271,195,582 92,141,998 373,443,489 (6,086,298)
Net Assets attributable to holders of redeemable units atend of year $ 1,126,689,674 $ 855,494,092 $ 1,979,447,458 $ 1,606,003,969
The accompanying notes are an integral part of these financial statements.
3
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Dimensional FundsStatements of Cash FlowsFor the years ended December 31, 2019 and 2018
DFA Canadian CoreEquity Fund
2019 2018
Cash flows from operating activitiesIncrease (Decrease) in net assets attributable to holders of redeemable units from operations $ 318,645,414 $ (212,724,927)Adjustments for:
Change in unrealized (appreciation) depreciation in foreign exchange on cash 17,580 (69,937)Net realized (gain) loss on sale of investments (10,168,244) 1,480,750Change in unrealized (appreciation) depreciation in value of investments (255,422,770) 255,923,471
Purchases of investments (274,334,159) (306,480,699)Proceeds from sales of investments 168,289,883 53,426,240Decrease (increase) in accrued interest and dividends 95,146 (1,175,789)Increase (decrease) in management fees payable 38,052 (14,509)Increase (decrease) in accrued expenses 39,943 51,804
Net cash used in operating activities (52,799,155) (209,583,596)
Cash flows from financing activitiesDistributions paid to holders of redeemable units, net of reinvested distributions (6,483,686) (5,981,352)Proceeds from redeemable units issued 221,602,586 351,333,723Redemption of redeemable units (151,772,762) (147,230,750)
Net cash from financing activities 63,346,138 198,121,621
Change in unrealized appreciation (depreciation) in foreign exchange on cash (17,580) 69,937Net increase (decrease) in cash 10,546,983 (11,461,975)Cash (Bank overdraft) at beginning of year (2,152,149) 9,239,889
Cash (Bank overdraft) at end of year 8,377,254 (2,152,149)
Items classified as operating activities
Dividends received, net of withholding taxes $ 55,051,814 $ 45,752,548Interest received 800,248 801,186
The accompanying notes are an integral part of these financial statements.
4
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DFA Canadian Core Equity FundSchedule of Investment Portfolio as at December 31, 2019
CurrencyNo. ofUnits Description
AverageCost
($CAD)
FairValue
($CAD)
% ofNet
Assets
Canada
Energy
CAD 423,220 Advantage Oil & Gas Ltd. 2,336,444 1,163,855
CAD 249,693 Africa Oil Corp. 436,057 292,141
CAD 18,756 Akita Drilling Ltd. 251,706 22,320
CAD 686,812 ARC Resources Ltd. 12,038,542 5,618,122
CAD 685,027 Athabasca Oil Corp. 3,005,295 404,166
CAD 1,254,448 Baytex Energy Corp. 7,214,328 2,345,818
CAD 540,514 Birchcliff Energy Ltd. 3,265,682 1,399,931
CAD 364,212 Bonavista Energy Corp. 4,193,886 222,169
CAD 53,136 Bonterra Energy Corp. 1,931,894 209,356
CAD 235,641 Calfrac Well Services Ltd. 1,629,510 294,551
CAD 591,498 Cameco Corp. 10,669,332 6,825,887
CAD 272,331 Canacol Energy Ltd. 875,677 1,271,786
CAD 1,909,824 Canadian Natural Resources Ltd. 68,566,910 80,212,608
CAD 199,854 Cardinal Energy Ltd. 977,465 519,620
CAD 718,099 Cenovus Energy Inc. 16,191,523 9,478,907
CAD 330,172 CES Energy Solutions Corp. 1,633,196 769,301
CAD 91,716 Computer Modelling Group Ltd. 968,646 753,906
CAD 68,830 Corridor Resources Inc. 57,619 49,558
CAD 987,278 Crescent Point Energy Corp. 19,848,724 5,716,340
CAD 188,699 Crew Energy Inc. 1,217,961 107,558
CAD 906,074 Denison Mines Corp. 1,642,968 489,280
CAD 756,322 Enbridge Inc. 32,053,795 39,048,905
CAD 2,117,023 Encana Corp. 26,205,572 12,871,500
CAD 205,314 Enerflex Ltd. 3,011,473 2,510,990
CAD 124,435 Energy Fuels Inc. 306,620 308,599
CAD 580,569 Enerplus Corp. 7,106,666 5,370,263
CAD 294,495 Ensign Energy Services Inc. 3,453,856 839,311
USD 32,690 Epsilon Energy Ltd. 150,520 140,062
CAD 244,712 Essential Energy Services Ltd. 325,580 92,991
CAD 694,045 Fission Uranium Corp. 507,368 197,803
CAD 188,955 Freehold Royalties Ltd. 2,397,456 1,377,482
CAD 25,186 Frontera Energy Corp. 380,783 246,823
CAD 286,934 Gear Energy Ltd. 254,284 134,859
CAD 201,457 Gibson Energy Inc. 4,946,640 5,356,742
CAD 800,520 Gran Tierra Energy Inc. 3,896,743 1,352,879
CAD 47,100 High Arctic Energy Services Inc. 184,079 108,801
CAD 578,134 Husky Energy Inc. 13,585,108 6,024,156
CAD 205,923 Imperial Oil Ltd. 8,611,652 7,073,455
CAD 301,927 Inter Pipeline Ltd. 7,864,165 6,805,435
CAD 37,142International Petroleum
Corp/Sweden 312,643 212,452
CAD 378,440 Kelt Exploration Ltd. 2,309,544 1,843,003
CAD 278,157 Keyera Corp. 8,390,274 9,462,901
CAD 140,330 Lightstream Resources Ltd. 2,333,577 –
CAD 355 Manitok Energy Inc. – –
CAD 530,427 MEG Energy Corp. 6,763,762 3,919,856
CAD 59,166North American Contruction
Group Ltd. 609,111 931,273
CAD 357,386 NuVista Energy Ltd. 2,603,355 1,140,061
CAD 133,069 Obsidian Energy Ltd. 11,077,175 123,754
CAD 201,042 Painted Pony Energy Ltd. 1,375,031 152,792
CAD 152,796 Paramount Resources Ltd. 2,681,069 1,152,080
CAD 395,933 Parex Resources Inc. 6,171,999 9,561,782
CAD 198,395 Parkland Fuel Corp. 6,246,347 9,465,425
CAD 77,047 Pason Systems Inc. 1,442,534 1,010,086
CAD 207,026 Pembina Pipeline Corp. 7,685,936 9,964,161
CurrencyNo. ofUnits Description
AverageCost
($CAD)
FairValue
($CAD)
% ofNet
Assets
CAD 284,833Peyto Exploration &
Development Corp. 5,915,336 1,082,365
CAD 32,528 PHX Energy Services Corp. 264,463 92,054
CAD 4,000 Pinnacle Renewable Energy Inc. 44,069 39,560
CAD 291,270 PrairieSky Royalty Ltd. 6,002,412 4,436,042
CAD 639,134 Precision Drilling Corp. 4,847,051 1,156,833
CAD 45,395 Pulse Seismic Inc. 116,038 88,066
CAD 113,391 Questerre Energy Corp. 121,042 25,513
CAD 374,784 Secure Energy Services Inc. 3,643,180 1,896,407
CAD 593,674 Seven Generations Energy Ltd. 11,380,265 5,028,419
CAD 114,961 ShawCor Ltd. 2,946,778 1,440,461
CAD 41,500 Storm Resources Ltd. 88,052 68,060
CAD 300 Strad Inc. 1,485 540
CAD 1,713,795 Suncor Energy Inc. 65,647,263 72,939,115
CAD 539,500 Surge Energy Inc. 2,108,247 615,030
CAD 436,923 Tamarack Valley Energy Ltd. 1,548,646 873,846
CAD 255,447 TC Energy Corp. 10,970,656 17,666,715
CAD 200 TerraVest Industries Inc. 2,033 2,600
CAD 17,658 Tervita Corp. 755,757 130,843
CAD 4,150 Tervita Corp., Warrants – 21
CAD 176,414Tidewater Midstream and
Infrastructure Ltd. 241,196 206,404
CAD 374,448 TORC Oil & Gas Ltd. 3,070,273 1,681,272
CAD 86,953 Total Energy Services Inc. 1,057,260 558,237
CAD 466,320 Tourmaline Oil Corp. 12,531,056 7,097,390
CAD 113,967 TransGlobe Energy Corp. 674,836 206,280
CAD 562,722 Trican Well Service Ltd. 3,808,703 641,504
CAD 342,049 Vermilion Energy Inc. 13,621,572 7,261,700
CAD 889,155 Whitecap Resources Inc. 8,052,422 4,934,810
CAD 159,082 Yangarra Resources Ltd. 655,088 219,533
494,313,261 387,357,482 19.57
Materials
CAD 84,449 5N Plus Inc. 304,317 207,745
CAD 19,462 Acadian Timber Corp. 358,591 323,848
CAD 68,165 Agnico Eagle Mines Ltd. 2,565,426 5,451,837
CAD 27,429 Airboss of America Corp. 327,477 240,552
CAD 635,694 Alacer Gold Corp. 2,166,198 4,386,289
CAD 785,117 Alamos Gold Inc. 5,375,882 6,147,466
CAD 18,760 Alio Gold Inc. 160,528 18,947
CAD 41,390 Almaden Minerals Ltd. 36,944 31,456
CAD 70,447 Altius Minerals Corp. 756,758 842,546
CAD 23,321 Americas Gold and Silver Corp. 102,580 94,916
CAD 185,243 Amerigo Resources Ltd. 181,249 109,293
CAD 387,319 Argonaut Gold Inc. 900,383 755,272
CAD 303,112 Asanko Gold Inc. 897,999 372,828
CAD 2,387,015 B2Gold Corp. 6,810,909 12,436,348
CAD 873,109 Barrick Gold Corp. 16,323,922 21,059,389
CAD 4,730 Caledonia Mining Corp PLC 39,429 52,030
CAD 160,567 Canfor Corp. 2,200,364 1,949,283
CAD 68,262 Canfor Pulp Products Inc. 887,622 570,670
CAD 696,584 Capstone Mining Corp. 1,239,216 529,404
CAD 136,907 Cascades Inc. 1,111,982 1,534,727
CAD 74,755 CCL Industries Inc. 437,317 4,135,447
CAD 456,467 Centerra Gold Inc. 4,375,388 4,715,301
CAD 499,689China Gold International Resources
Corp Ltd. 1,357,322 589,633
CAD 275,691 Continental Gold Inc. 770,067 1,474,947
CAD 266,265 Copper Mountain Mining Corp. 501,450 189,048
The accompanying notes are an integral part of these financial statements.
5
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DFA Canadian Core Equity FundSchedule of Investment Portfolio as at December 31, 2019
CurrencyNo. ofUnits Description
AverageCost
($CAD)
FairValue
($CAD)
% ofNet
Assets
CAD 355,083 Detour Gold Corp. 4,974,727 8,926,787
CAD 319,144 Dundee Precious Metals Inc. 1,309,634 1,780,824
CAD 8,400 Dynacor Gold Mines Inc. 14,503 13,944
CAD 26,952 EcoSynthetix Inc. 51,675 71,423
CAD 324,872 Eldorado Gold Corp. 9,120,788 3,388,415
CAD 147,420 Endeavour Mining Corp. 2,289,451 3,616,213
CAD 189,149 Endeavour Silver Corp. 553,613 592,036
CAD 4,998 ERO Copper Corp. 98,043 118,003
CAD 216,369 First Majestic Silver Corp. 1,652,796 3,446,758
CAD 110,500 First Mining Gold Corp. 58,766 28,178
CAD 536,681 First Quantum Minerals Ltd. 6,073,644 7,068,089
CAD 319,326 Fortuna Silver Mines Inc. 1,855,781 1,689,235
CAD 42,149 Franco-Nevada Corp. 3,254,665 5,651,759
CAD 73,211 Golden Star Resources Ltd. 456,608 360,200
CAD 70,400 GoldMining Inc. 58,384 93,632
CAD 281,664 Guyana Goldfields Inc. 1,150,755 197,165
CAD 33,500 Hanfeng Evergreen Inc. 222,852 –
CAD 532,850 HudBay Minerals Inc. 5,854,774 2,866,733
CAD 977,935 IAMGOLD Corp. 5,699,800 4,742,985
CAD 82,680 Imperial Metals Corp. 333,856 170,321
CAD 161,843 Interfor Corp. 1,893,671 2,374,237
CAD 26,479International Tower Hill
Mines Ltd. 16,107 18,535
CAD 75,109 Intertape Polymer Group Inc. 701,627 1,248,312
CAD 1,700 IPL Plastics Inc. 17,863 13,396
CAD 839,188 Ivanhoe Mines Ltd. 1,885,671 3,566,549
CAD 2,508,143 Kinross Gold Corp. 18,760,252 15,450,161
CAD 238,573 Kirkland Lake Gold Ltd. 2,349,903 13,655,919
CAD 89,060 Labrador Iron Ore Royalty Corp. 1,340,509 2,192,657
CAD 46,056 Largo Resources Ltd. 91,453 45,595
CAD 118,086 Leagold Mining Corp. 328,569 381,418
CAD 647,119 Lucara Diamond Corp. 1,286,267 550,051
CAD 54,300 Lundin Gold Inc. 268,348 452,319
CAD 1,349,412 Lundin Mining Corp. 8,727,403 10,471,437
CAD 154,349Major Drilling Group
International Inc. 1,029,003 875,159
CAD 24,724 Mandalay Resources Corp. 227,967 26,702
CAD 122,606 Marathon Gold Corp. 124,423 208,430
CAD 92,586 Methanex Corp. 4,188,840 4,643,188
CAD 1,340 Minco Base Metals Corp. 1,488 –
CAD 75,036 Mountain Province Diamonds Inc. 245,242 86,291
CAD 28,000 Nevada Copper Corp. 13,885 10,220
CAD 1,145,266 New Gold Inc. 5,590,756 1,317,056
CAD 53,528 Norbord Inc. 1,647,256 1,859,027
CAD 58,143 Northern Dynasty Minerals Ltd. 40,338 32,560
CAD 351,124 Nutrien Ltd. 16,712,075 21,829,379
CAD 1,297,941 OceanaGold Corp. 3,694,705 3,309,751
CAD 98,500 Orbite Technologies Inc. 44,591 –
CAD 242,755 Osisko Gold Royalties Ltd. 3,539,138 3,063,568
CAD 170,081 Osisko Mining Inc. 571,508 688,828
CAD 387,364 Pan American Silver Corp. 7,635,632 11,915,317
USD 504,275 Pan American Silver Corp., Rights – 231,276
CAD 41,850 Polymet Mining Corp. 87,080 14,229
CAD 436,478 Premier Gold Mines Ltd. 1,183,274 859,862
CAD 252,734 Pretium Resources Inc. 2,367,348 3,652,006
CAD 450,525 Roxgold Inc. 476,022 468,546
CAD 437,098 Sabina Gold & Silver Corp. 748,468 839,228
CAD 354,300 Sandstorm Gold Ltd. 1,871,070 3,433,167
CAD 24,600 Seabridge Gold Inc. 248,402 441,816
CurrencyNo. ofUnits Description
AverageCost
($CAD)
FairValue
($CAD)
% ofNet
Assets
CAD 701,758 SEMAFO Inc. 1,975,334 1,894,747
CAD 8,800 Sierra Metals Inc. 27,796 19,184
CAD 221,341 SSR Mining Inc. 3,200,319 5,531,312
CAD 30,000 Stelco Holdings Inc. 356,985 327,300
CAD 64,722 Stella-Jones Inc. 2,203,482 2,428,369
CAD 8,000 Supremex Inc. 31,020 19,360
CAD 425,188 Taseko Mines Ltd. 944,810 267,868
CAD 2,400 Teck Resources Ltd., Class A 78,964 54,408
CAD 981,490 Teck Resources Ltd., Class B 26,281,218 22,103,155
CAD 178,561 Teranga Gold Corp. 649,916 1,253,500
CAD 16,700 TMAC Resources Inc. 141,794 63,126
CAD 166,211 Torex Gold Resources Inc. 2,746,921 3,410,644
CAD 1,237,111 Trevali Mining Corp. 1,516,090 284,536
CAD 1,237,957 Turquoise Hill Resources Ltd. 5,203,985 1,176,059
CAD 229,020 Wesdome Gold Mines Ltd. 895,013 2,329,133
CAD 81,766 West Fraser Timber Co Ltd. 2,892,229 4,683,556
CAD 939,133 Western Forest Products Inc. 2,039,455 1,145,742
CAD 197,229 Wheaton Precious Metals Corp. 3,869,952 7,620,929
CAD 30,864 Winpak Ltd. 572,496 1,449,991
CAD 1,923,951 Yamana Gold Inc. 10,324,027 9,889,108
251,182,395 289,220,141 14.61
Industrials
Capital Goods
CAD 132,608 Aecon Group Inc. 1,774,405 2,323,292
CAD 23,528 AG Growth International Inc. 1,161,333 1,092,640
CAD 101,745ATS Automation Tooling
Systems Inc. 1,086,085 2,180,395
CAD 33,386 Badger Daylighting Ltd. 950,693 1,173,184
CAD 53,032 Bird Construction Inc. 594,928 379,179
CAD 91,017 Bombardier Inc. 223,986 176,573
CAD 1,769,643 Bombardier Inc. 3,872,354 3,415,411
CAD 224,584 CAE Inc. 2,557,563 7,721,198
CAD 99,801CanWel Building Materials
Group Ltd. 612,514 534,933
CAD 14,351 Cervus Equipment Corp. 220,715 118,396
CAD 39,900 DIRTT Environmental Solutions 205,009 169,575
CAD 55,573 Exco Technologies Ltd. 365,798 440,694
CAD 263,751 Finning International Inc. 5,882,641 6,672,900
CAD 56,372 Heroux-Devtek Inc. 490,287 1,076,705
CAD 29,700 Magellan Aerospace Corp. 486,120 417,582
CAD 215,608 Mullen Group Ltd. 4,044,381 1,998,686
CAD 104,173 NFI Group Inc. 3,318,328 2,776,210
CAD 54,329 Richelieu Hardware Ltd. 682,238 1,473,946
CAD 32,538 Rocky Mountain Dealerships Inc. 327,833 209,545
CAD 153,579 Russel Metals Inc. 3,611,043 3,404,846
CAD 20,300 Savaria Corp. 313,704 283,185
CAD 136,175 SNC-Lavalin Group Inc. 5,520,859 4,078,441
CAD 60,491 Stuart Olson Inc. 429,142 115,538
CAD 85,362 Toromont Industries Ltd. 2,790,981 6,025,704
CAD 43,789 Wajax Corp. 1,248,999 648,077
CAD 60,224 WSP Global Inc. 2,611,868 5,340,062
45,383,807 54,246,897 2.74
Commercial Services & Supplies
CAD 28,099 Alexco Resource Corp. 50,711 84,297
CAD 73,024 Black Diamond Group Ltd. 877,029 157,002
CAD 9,607 Calian Group Ltd. 231,995 369,870
CAD 1,300GDI Integrated Facility
Services Inc. 23,297 43,979
The accompanying notes are an integral part of these financial statements.
6
-
DFA Canadian Core Equity FundSchedule of Investment Portfolio as at December 31, 2019
CurrencyNo. ofUnits Description
AverageCost
($CAD)
FairValue
($CAD)
% ofNet
Assets
CAD 317,607 Horizon North Logistics Inc. 935,997 390,657
CAD 2,200 IBI Group Inc. 15,671 12,760
CAD 10,710 K-Bro Linen Inc. 418,809 450,356
CAD 62,288 Morneau Shepell Inc. 1,060,523 2,104,712
CAD 85,240 Ritchie Bros Auctioneers Inc. 4,009,954 4,749,573
CAD 178,611 Stantec Inc. 4,742,635 6,555,024
CAD 41,545 Thomson Reuters Corp. 1,521,792 3,859,115
CAD 160,359 Transcontinental Inc. 3,390,046 2,544,897
CAD 68,015 Waste Connections Inc. 3,325,077 8,022,310
20,603,536 29,344,552 1.48
Transportation
CAD 493,935 Air Canada 7,655,859 23,960,787
CAD 16,409 Algoma Central Corp. 166,038 213,973
CAD 441,956 Canadian National Railway Co. 36,286,093 51,916,571
CAD 103,777 Canadian Pacific Railway Ltd. 24,477,001 34,353,300
CAD 12,067 Cargojet Inc. 729,913 1,246,883
CAD 357,251 Chorus Aviation Inc. 2,268,846 2,890,161
CAD 83,977 Exchange Income Corp. 2,469,973 3,752,932
CAD 203,722 TFI International Inc. 4,426,677 8,916,912
CAD 109,107Westshore Terminals
Investment Corp. 2,721,459 2,067,578
81,201,859 129,319,097 6.53
147,189,202 212,910,546 10.75
Consumer Discretionary
Automobiles & Components
CAD 112,275 Linamar Corp. 4,418,353 5,516,071
CAD 563,008 Magna International Inc. 24,467,551 40,086,170
CAD 197,705 Martinrea International Inc. 2,156,879 2,829,159
31,042,783 48,431,400 2.45
Consumer Durables & Apparel
CAD 80,614 Aritzia Inc. 1,411,533 1,535,697
CAD 31,442 BRP Inc. 953,591 1,860,109
CAD 81,600 Canada Goose Holdings Inc. 4,757,924 3,836,016
CAD 56,595 Dorel Industries Inc. 1,918,322 338,438
CAD 172,721 Gildan Activewear Inc. 4,864,309 6,630,759
CAD 32,799 Spin Master Corp. 1,432,374 1,296,872
15,338,053 15,497,891 0.78
Consumer Services
CAD 25,750 Gamehost Inc. 273,688 218,360
CAD 73,960 Great Canadian Gaming Corp. 1,079,581 3,183,238
CAD 25,248 Intertain Group Ltd. 356,304 302,471
CAD 25,910 MTY Food Group Inc. 1,317,170 1,437,746
CAD 14,344 Park Lawn Corp. 353,191 420,136
CAD 41,301 Pizza Pizza Royalty Corp. 641,451 403,511
CAD 5,700 Pollard Banknote Ltd. 107,820 114,000
CAD 34,579 Recipe Unlimited Corp. 847,404 673,599
CAD 133,913Restaurant Brands
International Inc. 10,216,410 11,085,318
CAD 220,373 Stars Group Inc. 5,059,846 7,468,441
CAD 66,074 Transat AT Inc. 760,860 1,053,220
21,013,725 26,360,040 1.33
Retailing
CAD 49,831 AutoCanada Inc. 1,554,382 617,406
CAD 7,424 BMTC Group Inc. 130,195 77,210
CAD 62,794 Canadian Tire Corp Ltd. 4,747,701 8,775,462
CurrencyNo. ofUnits Description
AverageCost
($CAD)
FairValue
($CAD)
% ofNet
Assets
CAD 140,496 Dollarama Inc. 2,199,849 6,270,336
CAD 16,607 Indigo Books & Music Inc. 263,669 72,240
CAD 49,330 Leon’s Furniture Ltd. 577,569 822,331
CAD 6,340 Points International Ltd. 121,833 125,659
CAD 18,300 Real Matters Inc. 75,212 225,456
CAD 80,279Sleep Country Canada
Holdings Inc. 2,295,480 1,622,439
CAD 72,426 Uni-Select Inc. 1,946,277 824,932
13,912,167 19,433,471 0.98
81,306,728.00 109,722,802 5.54
Consumer Staples
Food & Staples Retailing
CAD 64,423 Alcanna Inc. 844,542 286,682
CAD 548,114 Alimentation Couche-Tard Inc. 17,920,110 22,587,778
CAD 224,432 Empire Co Ltd. 4,204,254 6,836,199
CAD 96,710 George Weston Ltd. 8,671,707 9,963,064
CAD 173,636 Loblaw Cos Ltd. 8,190,226 11,633,612
CAD 144,223 Metro Inc. 3,652,203 7,728,911
CAD 59,685 North West Co Inc. 1,564,781 1,631,191
45,047,823 60,667,437 3.06
Food, Beverage & Tobacco
CAD 32,300 Andrew Peller Ltd. 172,963 381,463
CAD 289,537 Clearwater Seafoods Inc. 3,830,039 5,136,386
CAD 136,021 Corby Spirit and Wine Ltd. 2,430,787 3,520,223
CAD 107,716 Cott Corp. 2,433,080 4,330,183
CAD 30,958 High Liner Foods Inc. 239,593 177,699
CAD 39,561 Lassonde Industries Inc. 584,823 325,587
CAD 34,053 Maple Leaf Foods Inc. 1,554,517 3,097,461
CAD 87,636 Premium Brands Holdings Corp. 776,608 283,064
CAD 17,195 Rogers Sugar Inc. 344,595 264,459
CAD 2,900 Saputo Inc. 643,066 450,863
CAD 196,350 SunOpta Inc. 1,079,616 966,042
CAD 2,100Swiss Water Decaffeinated
Coffee Inc. 14,419 14,532
14,104,106 18,947,962 0.96
Household & Personal Products
CAD 39,378 Jamieson Wellness Inc. 823,595 1,013,984
CAD 12,069 KP Tissue Inc. 150,472 116,466
CAD 200 Mav Beauty Brands Inc. 1,846 810
975,913 1,131,260 0.06
60,127,842 80,746,659 4.08
Health Care
Health Care Equipment & Services
CAD 208,631 Chartwell Retirement Residences 2,362,490 2,899,971
CAD 90,378 CRH Medical Corp. 755,243 406,701
CAD 121,809 Extendicare Inc. 913,777 1,028,068
CAD 72,991 Medical Facilities Corp. 1,137,183 350,357
CAD 81,638 Sienna Senior Living Inc. 1,244,378 1,490,710
6,413,071 6,175,807 0.31
Pharmaceuticals, Biotechnology & Life Sciences
CAD 464,157 Aurora Cannabis Inc. 3,587,914 1,294,998
CAD 511,349 Bausch Health Cos Inc. 19,467,592 19,876,136
CAD 46,765 Canopy Growth Corp. 1,187,892 1,277,152
CAD 237,522 Knight Therapeutics Inc. 2,131,978 1,800,417
The accompanying notes are an integral part of these financial statements.
7
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DFA Canadian Core Equity FundSchedule of Investment Portfolio as at December 31, 2019
CurrencyNo. ofUnits Description
AverageCost
($CAD)
FairValue
($CAD)
% ofNet
Assets
CAD 8,400 Zenith Capital Corp. 4,342 680
26,379,718 24,249,383 1.23
32,792,789 30,425,190 1.54
Financials
Banks
CAD 808,756 Bank of Montreal 59,251,999 81,393,204
CAD 979,302 Bank of Nova Scotia 60,070,907 71,831,802
CAD 408,881Canadian Imperial Bank
of Commerce 38,109,545 44,183,681
CAD 222,401 Canadian Western Bank 5,922,243 7,092,368
CAD 27,138 Equitable Group Inc. 1,149,459 2,967,540
CAD 73,335Firm Capital Mortgage
Investment Corp. 954,574 1,079,491
CAD 16,274 First National Financial Corp. 372,516 619,714
CAD 78,504 Genworth MI Canada Inc. 2,389,036 4,460,597
CAD 137,720 Home Capital Group Inc. 3,027,968 4,539,251
USD 12,003 Kingsway Financial Services Inc. 641,281 28,986
CAD 113,678 Laurentian Bank of Canada 5,205,606 5,050,714
CAD 462,789 National Bank of Canada 23,859,483 33,357,831
CAD 719,236 Royal Bank of Canada 45,408,979 73,901,499
CAD 93,817 Timbercreek Financial Corp. 869,678 931,603
CAD 892,149 Toronto-Dominion Bank 38,306,499 64,975,188
CAD 14,300 VersaBank 111,020 107,965
285,650,793 396,521,434 20.03
Diversified Financials
CAD 167,554 AGF Management Ltd. 2,442,544 1,079,048
CAD 90,560 Alaris Royalty Corp. 2,170,559 1,985,981
CAD 150,764 Brookfield Asset Management Inc. 5,963,779 11,311,823
CAD 111,870 Canaccord Genuity Group Inc. 914,153 541,451
CAD 22,276 Chesswood Group Ltd. 275,186 226,992
CAD 308,098 CI Financial Corp. 7,508,811 6,688,808
CAD 6,100 Clairvest Group Inc. 61,186 319,030
CAD 625,617 ECN Capital Corp. 2,158,637 2,996,705
CAD 687,745 Element Fleet Management Corp. 7,330,557 7,627,092
CAD 69,547 Fiera Capital Corp. 870,187 814,395
CAD 132,760 GMP Capital Inc. 870,765 256,227
CAD 26,602 Goeasy Ltd. 903,541 1,850,169
CAD 42,600 GoldMoney Inc. 136,842 79,662
CAD 14,577 Guardian Capital Group Ltd. 345,398 391,392
CAD 70,696 IGM Financial Inc. 2,708,769 2,635,547
CAD 57,616 Onex Corp. 3,664,195 4,734,307
CAD 326,062 Sprott Inc. 898,563 971,665
CAD 52,827 TMX Group Ltd. 3,302,499 5,940,396
42,526,171 50,450,690 2.55
Insurance
CAD 3,900 Echelon Financial Holdings Inc. 29,198 23,732
CAD 1,171 E-L Financial Corp Ltd. 725,409 970,700
CAD 35,403 Fairfax Financial Holdings Ltd. 21,462,917 21,586,625
CAD 152,527 Great-West Lifeco Inc. 4,610,437 5,073,048
CAD 184,841 iA Financial Corp Inc. 7,265,624 13,184,709
CAD 40,298 Intact Financial Corp. 2,669,621 5,658,645
CAD 1,284,113 Manulife Financial Corp. 28,735,595 33,849,219
CAD 318,621 Sun Life Financial Inc. 12,619,791 18,865,549
CAD 8,043 Trisura Group Ltd. 182,745 323,892
78,301,337 99,536,119 5.02
406,478,301 546,508,243 27.60
CurrencyNo. ofUnits Description
AverageCost
($CAD)
FairValue
($CAD)
% ofNet
Assets
Information Technology
Software & Services
CAD 42,584 Absolute Software Corp. 377,397 370,481
CAD 618,524 Blackberry Ltd. 7,397,831 5,164,675
CAD 199,585 CGI Inc. 15,059,819 21,688,902
CAD 9,847 Constellation Software Inc. 4,543,791 12,418,643
CAD 19,900 Descartes Systems Group Inc. 85,181 1,104,450
CAD 48,870 Enghouse Systems Ltd. 1,007,175 2,354,557
CAD 20,361 Kinaxis Inc. 1,685,194 2,036,507
CAD 197,032 Open Text Corp. 6,302,633 11,274,171
CAD 29,000 Pivot Technology Solutions Inc. 59,469 48,720
CAD 6,800 Shopify Inc. 638,382 3,510,840
37,156,872 59,971,946 3.03
Technology Hardware & Equipment
CAD 223,084 Celestica Inc. 3,400,213 2,402,614
CAD 30,926 Evertz Technologies Ltd. 699,119 552,338
CAD 4,760 EXFO Inc. 35,857 28,560
CAD 96,700 Photon Control Inc. 139,354 133,446
CAD 276,925 Quarterhill Inc. 822,847 462,465
CAD 72,771 Sierra Wireless Inc. 1,441,117 901,633
CAD 4,420 Vecima Networks Inc. 21,847 45,747
6,560,354 4,526,803 0.23
43,717,226 64,498,749 3.26
Real Estate
CAD 91,631Allied Properties Real Estate
Investment Trust 2,783,753 4,771,226
CAD 19,685 Altus Group Ltd. 424,754 747,243
CAD 136,069 Artis Real Estate Investment Trust 1,563,865 1,619,221
CAD 9,100Automotive Properties Real Estate
Investment Trust 88,669 110,565
CAD 35,800Boardwalk Real Estate
Investment Trust 1,671,999 1,644,294
CAD 9,700Bridgemarq Real Estate
Services Inc. 157,003 142,784
CAD 53,726 BTB Real Estate Investment Trust 174,528 277,763
CAD 135,948Canadian Apartment Properties Real
Estate Investment Trust 3,163,808 7,206,603
CAD 166,829Choice Properties Real Estate
Investment Trust 1,686,145 2,320,591
CAD 43,232 Colliers International Group Inc. 2,018,281 4,370,755
CAD 181,316Cominar Real Estate
Investment Trust 2,366,422 2,567,435
CAD 84,091Crombie Real Estate
Investment Trust 977,256 1,340,411
CAD 33,819 CT Real Estate Investment Trust 480,322 545,839
CAD 114,767Dream Industrial Real Estate
Investment Trust 1,001,422 1,508,038
CAD 48,873Dream Office Real Estate
Investment Trust 988,798 1,521,416
CAD 94,699 Dream Unlimited Corp. 756,050 1,107,978
CAD 163,646First Capital Real Estate
Investment Trust 3,348,197 3,382,563
CAD 41,876 FirstService Corp. 2,199,593 5,062,390
CAD 29,920 Genesis Land Development Corp. 118,255 67,918
CAD 50,306Granite Real Estate
Investment Trust 2,247,899 3,319,190
CAD 284,386 H&R Real Estate Investment Trust 5,435,119 6,000,545
CAD 3,357 Information Services Corp. 56,782 51,564
CAD 18,163Inovalis Real Estate
Investment Trust 156,368 193,618
The accompanying notes are an integral part of these financial statements.
8
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DFA Canadian Core Equity FundSchedule of Investment Portfolio as at December 31, 2019
CurrencyNo. ofUnits Description
AverageCost
($CAD)
FairValue
($CAD)
% ofNet
Assets
CAD 99,764InterRent Real Estate
Investment Trust 810,147 1,560,309
USD 31,002 Invesque Inc. 348,075 270,892
CAD 93,184Killam Apartment Real Estate
Investment Trust 1,077,172 1,764,905
CAD 4,006 Mainstreet Equity Corp. 112,440 316,474
CAD 15,337 Melcor Developments Ltd. 253,655 204,289
CAD 2,127 Morguard Corp. 335,536 427,527
CAD 24,303
Morguard North AmericanResidential RealEstate Investment 220,106 449,362
CAD 27,620Morguard Real Estate
Investment Trust 318,642 325,640
CAD 48,525Northview Apartment Real Estate
Investment Trust 913,318 1,438,281
CAD 114,122NorthWest Healthcare Properties
Real Estate Investment Trust 1,004,079 1,361,475
CAD 69,276Plaza Retail Real Estate
Investment Trust 306,300 316,591
CAD 223,633RioCan Real Estate
Investment Trust 4,767,785 5,984,418
CAD 62,900Slate Office Real Estate
Investment Trust 406,508 367,965
CAD 32,580Slate Retail Real Estate
Investment Trust 388,850 427,775
CAD 126,273 SmartCentres Real Estate Inves 3,208,315 3,940,980
CAD 101,687Summit Industrial Income Real
Estate Investment Trust 835,267 1,226,345
CAD 153,183 Tricon Capital Group Inc. 1,717,490 1,628,335
CAD 43,524True North Commercial Real
Estate Investment Trust 224,201 317,290
USD 37,250WPT Industrial Real Estate
Investment Trust 560,030 666,932
51,673,204 72,875,735 3.69
Communication Services
Telecommunication Services
CAD 487,230 BCE Inc. 25,354,861 29,311,757
CAD 203,359 Rogers Communications Inc. 9,881,574 13,112,588
CAD 413,062 TELUS Corp. 15,821,467 20,768,757
CAD 5,000 TeraGo Inc. 27,952 44,400
51,085,854 63,237,502 3.19
Media & Entertainment
CAD 123,459 Aimia Inc. 799,606 444,452
CAD 146,960 Cineplex Inc. 4,631,420 4,974,596
CAD 54,303 Cogeco Communications Inc. 2,882,458 6,147,100
CAD 19,337 Cogeco Inc. 1,157,668 2,012,788
CAD 262,683 Corus Entertainment Inc. 3,468,697 1,397,474
CAD 78,618 Glacier Media Inc. 246,200 44,026
CAD 7,300Mediagrif Interactive
Technologies Inc. 76,828 50,443
CAD 189,082 Quebecor Inc. 3,281,287 6,266,177
CAD 390,799 Shaw Communications Inc. 9,650,684 10,297,553
CAD 160,702 WildBrain Ltd. 806,057 252,302
CAD 41,596 Yellow Pages Ltd. 682,434 376,860
27,683,339 32,263,771 1.63
78,769,193 95,501,273 4.82
Utilities
CAD 432,982 Algonquin Power & Utilities Corp. 4,235,236 7,953,879
CAD 379,849 AltaGas Ltd. 8,683,894 7,513,413
CAD 68,233 Atco Ltd. 2,261,168 3,395,956
CurrencyNo. ofUnits Description
AverageCost
($CAD)
FairValue
($CAD)
% ofNet
Assets
CAD 134,061 Boralex Inc. 2,386,801 3,279,132
CAD 79,089 Canadian Utilities Ltd. 1,941,615 3,097,916
CAD 2,800 Canadian Utilities Ltd., Class B 89,129 109,200
CAD 96,226 Capital Power Corp. 2,261,427 3,309,212
CAD 179,205 Emera Inc. 7,443,590 9,997,847
CAD 286,134 Fortis Inc. 10,326,970 15,416,899
CAD 145,348 Hydro One Ltd. 3,355,860 3,645,329
CAD 148,910 Innergex Renewable Energy Inc. 1,656,155 2,510,620
CAD 107,378 Just Energy Group Inc. 1,113,674 234,084
CAD 23,900 Maxim Power Corp. 171,884 43,498
CAD 185,025 Northland Power Inc. 4,094,197 5,032,680
CAD 28,824 Polaris Infrastructure Inc. 505,849 353,094
CAD 352,238 Superior Plus Corp. 4,240,119 4,424,109
CAD 576,082 TransAlta Corp. 8,322,665 5,346,041
CAD 126,726 TransAlta Renewables Inc. 1,688,920 1,966,788
64,779,153 77,629,697 3.93
1,712,329,294 1,967,396,517 99.39
Embedded Broker Commissions (741,298)
Total Investments $1,711,587,996 1,967,396,517 99.39
Other Assets Less Liabilities 12,050,941 0.61
Net Assets Attributable toHolders of Redeemable units 1,979,447,458 100.00
Currency codes used above are as follows:CAD - Canadian Dollar
The accompanying notes are an integral part of these financial statements.
9
-
DFA Canadian Core Equity FundDiscussion of Financial Risk Management (note 9)
Financial Risk Management
In addition to the following risk disclosures, please see the risk disclosure in the Financial RiskManagement section of the Notes to the Financial Statements.
The fundamental investment objective of the DFA Canadian Core Equity Fund is to achieve long-termcapital appreciation by investing primarily in common stocks of Canadian companies. As part of itsinvestment strategy, the Fund may also purchase real estate investment trusts (“REITs”) and otherequities.
The Fund’s overall risk management program seeks to minimize the potentially adverse effect of riskon the Fund’s financial performance in a manner consistent with the Fund’s investment objective.
(a) Other market risk
The Schedule of Investment Portfolio classifies securities by market segment and geography. Thesignificant sectors as a percentage of net assets attributable to holders of redeemable units are asfollows:
Sector
% of Fund’sNet Assets
December 31, 2019
% of Fund’sNet Assets
December 31, 2018
Financials 27.60 29.97
The Fund’s market risk is affected primarily by changes in actual market prices. The Fund will generallyinvest in a broad and diverse group of readily marketable equity securities of Canadian companiestraded on an exchange or on the over-the-counter market. As at December 31, 2019, the Fund’sinvestments, as a percentage of net assets attributable to holders of redeemable units, traded on theCanadian exchange was 99.39% (December 31, 2018: 99.31%). If equity prices on the Canadianexchange had increased or decreased by 10%, with all other factors remaining constant, net assetsattributable to holders of redeemable units would have increased (decreased) by approximately$196,739,652 (December 31, 2018: $159,496,253). In practice, actual results may differ from thissensitivity analysis and the difference could be material.
(b) Currency risk
As at December 31, 2019 and December 31, 2018, the Fund invested primarily in Canadian securities.As a result, the Fund did not have any significant exposure to currency risk.
(c) Interest rate risk
As at December 31, 2019 and December 31, 2018, the majority of the Fund’s financial assets andliabilities were non-interest bearing. As a result, the Fund was not subject to a significant amount ofinterest rate risk.
(d) Credit risk
As at December 31, 2019 and December 31, 2018, the Fund had no significant investments in debtinstruments and/or derivatives and therefore did not have significant exposure to credit risk.
All transactions in listed securities are generally settled following the applicable general marketconventions, using approved brokers/dealers. The risk of default is considered minimal, as delivery ofsecurities sold is only made once the broker/dealer has received payment. Payment is made on a
The accompanying notes are an integral part of these financial statements.
10
-
DFA Canadian Core Equity FundDiscussion of Financial Risk Management (note 9)
purchase once the securities have been received by the dealer. The transaction will fail if either partyfails to meet its obligation.
(e) Liquidity risk
As at December 31, 2019 and December 31, 2018, the majority of the Fund’s investments areconsidered readily realizable and highly liquid; therefore, the Fund’s liquidity risk is considered minimal.
All liabilities mature within 3 months except for Unitholders Capital which is due on demand.
(f) Concentration risk
Concentration risk arises as a result of the concentration of exposures within the same category, be itgeographical location, product type, industry sector or counterparty type. The following is a summary ofthe Fund’s concentration risk calculated as a percentage of net assets.
Investment SectorDecember 31,
2019December 31,
2018
Consumer Discretionary 5.54% 5.17%Consumer Staples 4.08% 3.96%Energy 19.57% 19.56%Financials 27.60% 29.97%Health Care 1.54% 1.46%Industrials 10.75% 8.39%Information Technology 3.26% 2.37%Materials 14.61% 17.91%Real Estate 3.69% 3.56%Communication Services 4.82% 3.78%Utilities 3.93% 3.18%Cash 0.42% -0.13%Net Other Assets/Liabilities 0.19% 0.82%
Total 100.00% 100.00%
The accompanying notes are an integral part of these financial statements.
11
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Dimensional FundsStatements of Financial PositionAs at December 31, 2019 and 2018
NoteDFA Canadian Vector
Equity Fund
2019 2018
AssetsCurrent assets
Financial assets at fair value through profit or loss 10 $ 601,672,224 $ 478,389,164Cash 2,738,633 –Receivable for investments sold 849 5,570Accrued interest and dividends 1,452,248 1,509,570Subscriptions receivable 42,906 3,176,846
Total assets 605,906,860 483,081,150
LiabilitiesCurrent liabilities
Bank overdraft – 556,221Due to manager 8 1,222 5Payable for investments purchased 167,420 711,551Redemptions payable 412,350 78,930Management fees payable 41,448 39,677Accrued expenses 98,562 85,453
Total liabilities 721,002 1,471,837
Net Assets attributable to holders of redeemable units $ 605,185,858 $ 481,609,313
Net Assets attributable to holders of redeemable units per class
Class A $ 3,739,772 $ 3,607,472Class F $ 127,403,978 $ 122,203,911Class I $ 474,042,108 $ 355,797,930
Net Assets attributable to holders of redeemable units per class per unit 4
Class A $ 10.38 $ 9.01Class F $ 10.40 $ 9.02Class I $ 11.02 $ 9.57
The accompanying notes are an integral part of these financial statements.
12
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Dimensional FundsStatements of Comprehensive IncomeFor the years ended December 31, 2019 and 2018
NoteDFA Canadian Vector
Equity Fund
2019 2018
IncomeNet gain (loss) on investments
Dividend income $ 15,500,595 $ 12,770,753Interest income for distribution purposes 31,039 16,162Net realized gain (loss) on sale of investments (1,599,214) 9,347,042Change in unrealized appreciation (depreciation) in value of investments 77,867,543 (101,702,306)
Net gain (loss) on investments 91,799,963 (79,568,349)
Other incomeSecurities lending income 11 623,255 564,577Other income – 17,484Foreign exchange gain (loss) on cash (2,318) 11,916Change in unrealized appreciation (depreciation) in foreign exchange on cash (11,451) 1,719
Total income (loss) 92,409,449 (78,972,653)
ExpensesManagement fees 5 461,558 576,280Custodian fees 14,144 14,712Audit fees 21,742 23,799Legal fees 12,599 5,901Broker commission expense 7 41,416 52,184Valuation fees 34,743 34,143Transaction fees 19,937 22,264Filing fees 24,738 21,765Securityholder reporting costs 54,467 60,721Independent Review Committee fees 5 7,567 6,181Withholding taxes 47,292 64,891Other expenses 13,500 13,197
753,703 896,038
Fees recovered or (waived) and expenses absorbed by manager 5 (1,060) (818)
Total expenses 752,643 895,220
Increase (Decrease) in Net Assets attributable to holders of redeemable units $ 91,656,806 $ (79,867,873)
Increase (Decrease) in Net Assets attributable to holders of redeemable units per class
Class A $ 578,422 $ (723,405)Class F $ 20,851,666 $ (22,722,763)Class I $ 70,226,718 $ (56,421,705)
Increase (Decrease) in Net Assets attributable to holders of redeemable units per unit* 2
Class A $ 1.54 $ (1.48)Class F $ 1.65 $ (1.56)Class I $ 1.74 $ (1.77)
* Computed based on the weighted average units outstanding during the year.
The accompanying notes are an integral part of these financial statements.
13
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Dimensional FundsStatements of Changes in Net Assets Attributable to Holders of Redeemable UnitsFor the years ended December 31, 2019 and 2018
DFA Canadian Vector Equity Fund
2019 2018 2019 2018
Class A Class F
Net Assets attributable to holders of redeemable units atbeginning of year $ 3,607,472 $ 6,334,115 $ 122,203,911 $ 161,503,132
Increase (Decrease) in Net Assets attributable to holders ofredeemable units 578,422 (723,405) 20,851,666 (22,722,763)
Redeemable unit transactionsProceeds from redeemable units issued 346,116 556,081 14,155,992 33,467,805Redemption of redeemable units (791,272) (2,558,909) (29,083,038) (49,336,099)Reinvestments of distributions to holders of redeemable units 46,563 35,747 2,327,221 2,310,247
(398,593) (1,967,081) (12,599,825) (13,558,047)
Distributions to holders of redeemable unitsFrom net investment income (47,529) (36,157) (3,051,774) (3,018,411)
(47,529) (36,157) (3,051,774) (3,018,411)
Net Increase (Decrease) in Net Assets attributable to holders ofredeemable units 132,300 (2,726,643) 5,200,067 (39,299,221)
Net Assets attributable to holders of redeemable units at end ofyear $ 3,739,772 $ 3,607,472 $ 127,403,978 $ 122,203,911
2019 2018 2019 2018
Class I Total
Net Assets attributable to holders of redeemable units atbeginning of year $ 355,797,930 $ 315,333,564 $ 481,609,313 $ 483,170,811
Increase (Decrease) in Net Assets attributable to holders ofredeemable units 70,226,718 (56,421,705) 91,656,806 (79,867,873)
Redeemable unit transactionsProceeds from redeemable units issued 55,300,018 100,533,870 69,802,126 134,557,756Redemption of redeemable units (7,182,608) (3,567,654) (37,056,918) (55,462,662)Reinvestments of distributions to holders of redeemable units 12,037,235 8,582,605 14,411,019 10,928,599
60,154,645 105,548,821 47,156,227 90,023,693
Distributions to holders of redeemable unitsFrom net investment income (12,137,185) (8,662,750) (15,236,488) (11,717,318)
(12,137,185) (8,662,750) (15,236,488) (11,717,318)
Net Increase (Decrease) in Net Assets attributable to holders ofredeemable units 118,244,178 40,464,366 123,576,545 (1,561,498)
Net Assets attributable to holders of redeemable units at end ofyear $ 474,042,108 $ 355,797,930 $ 605,185,858 $ 481,609,313
The accompanying notes are an integral part of these financial statements.
14
-
Dimensional FundsStatements of Cash FlowsFor the years ended December 31, 2019 and 2018
DFA Canadian VectorEquity Fund
2019 2018
Cash flows from operating activitiesIncrease (Decrease) in Net Assets attributable to holders of redeemable units from operations $ 91,656,806 $ (79,867,873)Adjustments for:
Change in unrealized (appreciation) depreciation in foreign exchange on cash 11,451 (1,719)Net realized (gain) loss on sale of investments 1,599,214 (9,347,042)Change in unrealized (appreciation) depreciation in value of investments (77,867,543) 101,702,306
Purchases of investments (101,688,991) (144,127,397)Proceeds from sales of investments 54,134,850 53,389,297Decrease (increase) in accrued interest and dividends 57,322 (465,089)Increase (decrease) in due to manager 1,217 (63)Increase (decrease) in management fees payable 1,771 (9,126)Increase (decrease) in accrued expenses 13,109 14,546
Net cash from operating activities (32,080,794) (78,712,160)
Cash flows from financing activitiesDistributions paid to holders of redeemable units, net of reinvested distributions (825,469) (788,719)Proceeds from redeemable units issued 72,751,016 126,252,586Redemption of redeemable units (36,538,448) (50,274,977)
Net cash from financing activities 35,387,099 75,188,890
Change in unrealized appreciation (depreciation) in foreign exchange on cash (11,451) 1,719Net increase (decrease) in cash 3,306,305 (3,523,270)Cash (bank overdraft) at beginning of year (556,221) 2,965,330
Cash (bank overdraft) at end of year 2,738,633 (556,221)
Items classified as operating activities
Dividends received, net of withholding taxes $ 15,565,688 $ 12,309,152Interest received 31,039 16,162
The accompanying notes are an integral part of these financial statements.
15
-
DFA Canadian Vector Equity FundSchedule of Investment Portfolio as at December 31, 2019
CurrencyNo. ofUnits Description
AverageCost
($CAD)
FairValue
($CAD)
% ofNet
Assets
Canada
Energy
CAD 138,599 Advantage Oil & Gas Ltd. 708,203 381,147
CAD 199,129 Africa Oil Corp. 360,511 232,981
CAD 2,397 Akita Drilling Ltd. 19,693 2,852
CAD 357,277 ARC Resources Ltd. 5,802,414 2,922,526
CAD 449,501 Athabasca Oil Corp. 606,492 265,206
CAD 640,654 Baytex Energy Corp. 3,150,242 1,198,023
CAD 310,897 Birchcliff Energy Ltd. 1,828,245 805,223
CAD 224,285 Bonavista Energy Corp. 659,714 136,814
CAD 25,339 Bonterra Energy Corp. 886,505 99,836
CAD 99,659 Calfrac Well Services Ltd. 516,197 124,574
CAD 259,439 Cameco Corp. 4,168,532 2,993,926
CAD 104,527 Canacol Energy Ltd. 356,300 488,141
CAD 553,686 Canadian Natural Resources Ltd. 20,362,144 23,254,812
CAD 103,036 Cardinal Energy Ltd. 525,358 267,894
CAD 322,865 Cenovus Energy Inc. 6,718,170 4,261,818
CAD 186,392 CES Energy Solutions Corp. 910,675 434,293
CAD 40,143 Computer Modelling Group Ltd. 464,235 329,975
CAD 500 Corridor Resources Inc. 371 360
CAD 542,481 Crescent Point Energy Corp. 7,701,818 3,140,965
CAD 53,825 Crew Energy Inc. 365,925 30,680
CAD 484,919 Denison Mines Corp. 391,146 261,856
CAD 704,466 Encana Corp. 8,648,088 4,283,153
CAD 101,949 Enerflex Ltd. 1,767,914 1,246,836
CAD 53,676 Energy Fuels Inc. 163,971 133,116
CAD 264,815 Enerplus Corp. 2,903,863 2,449,539
CAD 143,170 Ensign Energy Services Inc. 1,676,910 408,035
CAD 77,746 Essential Energy Services Ltd. 150,820 29,543
CAD 327,271 Fission Uranium Corp. 234,291 93,272
CAD 123,536 Freehold Royalties Ltd. 1,485,196 900,577
CAD 25,220 Frontera Energy Corp. 490,360 247,156
CAD 153,817 Gear Energy Ltd. 137,427 72,294
CAD 56,982 Gibson Energy Inc. 1,250,512 1,515,151
CAD 405,351 Gran Tierra Energy Inc. 1,776,011 685,043
CAD 26,770 High Arctic Energy Services Inc. 104,812 61,839
CAD 276,415 Husky Energy Inc. 6,114,259 2,880,244
CAD 98,914 Imperial Oil Ltd. 4,213,077 3,397,696
CAD 106,330 Inter Pipeline Ltd. 2,530,149 2,396,678
CAD 11,255 International Petroleum Corp/Sweden 80,952 64,379
CAD 170,191 Kelt Exploration Ltd. 1,069,766 828,830
CAD 78,474 Keyera Corp. 2,540,726 2,669,685
CAD 35,000 Lightstream Resources Ltd. 13,930 –
CAD 301 Manitok Energy Inc. – –
CAD 236,124 MEG Energy Corp. 2,436,264 1,744,956
CAD 26,400North American Contruction
Group Ltd. 214,308 415,536
CAD 182,507 NuVista Energy Ltd. 1,016,671 582,197
CAD 57,411 Obsidian Energy Ltd. 1,843,261 53,392
CAD 91,945 Painted Pony Energy Ltd. 803,843 69,878
CAD 66,954 Paramount Resources Ltd. 1,198,253 504,831
CAD 182,038 Parex Resources Inc. 2,825,592 4,396,218
CAD 62,887 Parkland Fuel Corp. 1,914,761 3,000,339
CAD 32,952 Pason Systems Inc. 695,500 432,001
CAD 79,790 Pembina Pipeline Corp. 3,387,541 3,840,293
CAD 153,180Peyto Exploration &
Development Corp. 2,584,337 582,084
CAD 28,607 PHX Energy Services Corp. 144,694 80,958
CAD 1,300 Pinnacle Renewable Energy Inc. 15,086 12,857
CurrencyNo. ofUnits Description
AverageCost
($CAD)
FairValue
($CAD)
% ofNet
Assets
CAD 106,695 PrairieSky Royalty Ltd. 2,358,373 1,624,962
CAD 370,338 Precision Drilling Corp. 2,587,423 670,312
CAD 13,236 Pulse Seismic Inc. 37,143 25,678
CAD 7,700 Questerre Energy Corp. 6,150 1,733
CAD 190,085 Secure Energy Services Inc. 1,692,570 961,830
CAD 278,515 Seven Generations Energy Ltd. 4,750,945 2,359,022
CAD 58,876 ShawCor Ltd. 1,568,465 737,716
CAD 50,261 Storm Resources Ltd. 111,939 82,428
CAD 2,242 Strad Inc. 3,356 4,036
CAD 588,643 Suncor Energy Inc. 23,312,223 25,052,646
CAD 268,115 Surge Energy Inc. 876,766 305,651
CAD 194,834 Tamarack Valley Energy Ltd. 528,685 389,668
CAD 28,324 TC Energy Corp. 1,429,901 1,958,888
CAD 1,300 TerraVest Industries Inc. 14,268 16,900
CAD 8,308 Tervita Corp. 424,681 61,562
CAD 1,736 Tervita Corp., Warrant – 9
CAD 127,300Tidewater Midstream and
Infrastructure Ltd. 174,990 148,941
CAD 218,096 TORC Oil & Gas Ltd. 1,562,843 979,251
CAD 40,943 Total Energy Services Inc. 616,345 262,854
CAD 197,350 Tourmaline Oil Corp. 5,236,568 3,003,667
CAD 74,009 TransGlobe Energy Corp. 432,829 133,956
CAD 329,290 Trican Well Service Ltd. 971,532 375,390
CAD 112,291 Vermilion Energy Inc. 4,686,949 2,383,938
CAD 476,113 Whitecap Resources Inc. 4,290,136 2,642,427
CAD 63,126 Yangarra Resources Ltd. 207,753 87,114
170,818,868 125,983,087 20.81
Materials
CAD 37,700 5N Plus Inc. 116,843 92,742
CAD 7,835 Acadian Timber Corp. 133,953 130,374
CAD 42,465 Agnico Eagle Mines Ltd. 1,817,223 3,396,351
CAD 13,100 Airboss of America Corp. 173,605 114,887
CAD 382,149 Alacer Gold Corp. 1,266,675 2,636,828
CAD 433,138 Alamos Gold Inc. 2,944,711 3,391,471
CAD 17,914 Alio Gold Inc. 62,941 18,093
CAD 45,900 Almaden Minerals Ltd. 32,442 34,884
CAD 37,149 Altius Minerals Corp. 438,693 444,302
CAD 20,706 Americas Gold and Silver Corp. 85,161 84,273
CAD 111,257 Amerigo Resources Ltd. 111,045 65,642
CAD 172,342 Argonaut Gold Inc. 347,074 336,067
CAD 148,206 Asanko Gold Inc. 405,479 182,293
CAD 1,202,767 B2Gold Corp. 3,722,139 6,266,416
CAD 430,788 Barrick Gold Corp. 7,345,631 10,390,607
CAD 3,700 Caledonia Mining Corp PLC 31,153 40,700
CAD 64,321 Canfor Corp. 1,094,727 780,857
CAD 37,282 Canfor Pulp Products Inc. 454,730 311,678
CAD 296,445 Capstone Mining Corp. 377,046 225,298
CAD 75,925 Cascades Inc. 575,417 851,119
CAD 8,445 CCL Industries Inc. 61,679 467,177
CAD 261,960 Centerra Gold Inc. 1,857,240 2,706,047
CAD 224,562China Gold International Resources
Corp Ltd. 584,318 264,983
CAD 165,758 Continental Gold Inc. 456,201 886,805
CAD 123,301 Copper Mountain Mining Corp. 151,312 87,544
CAD 207,419 Detour Gold Corp. 2,857,638 5,214,514
CAD 160,018 Dundee Precious Metals Inc. 554,677 892,900
CAD 10,900 EcoSynthetix Inc. 20,989 28,885
CAD 188,559 Eldorado Gold Corp. 2,985,079 1,966,670
The accompanying notes are an integral part of these financial statements.
16
-
DFA Canadian Vector Equity FundSchedule of Investment Portfolio as at December 31, 2019
CurrencyNo. ofUnits Description
AverageCost
($CAD)
FairValue
($CAD)
% ofNet
Assets
CAD 86,058 Endeavour Mining Corp. 1,033,460 2,111,013
CAD 70,490 Endeavour Silver Corp. 294,921 220,634
CAD 10,415 ERO Copper Corp. 215,211 245,898
CAD 12,500 Excellon Resources Inc. 9,194 12,875
CAD 137,178 First Majestic Silver Corp. 1,044,387 2,185,246
CAD 221,000 First Mining Gold Corp. 126,547 56,355
CAD 263,467 First Quantum Minerals Ltd. 3,925,514 3,469,860
CAD 193,329 Fortuna Silver Mines Inc. 952,578 1,022,710
CAD 7,288 Franco-Nevada Corp. 516,973 977,248
CAD 28,893 Golden Star Resources Ltd. 156,420 142,156
CAD 32,000 GoldMining Inc. 27,535 42,560
CAD 134,517 Guyana Goldfields Inc. 502,449 94,162
CAD 3,700 Hanfeng Evergreen Inc. 14,780 –
CAD 337,525 Hudbay Minerals Inc. 3,086,345 1,815,885
CAD 492,450 IAMGOLD Corp. 2,038,012 2,388,383
CAD 2,200 Imperial Metals Corp. 15,336 4,532
CAD 79,387 Interfor Corp. 969,507 1,164,607
CAD 73,500 International Tower Hill Mines Ltd. 45,893 51,450
CAD 30,737 Intertape Polymer Group Inc. 354,623 510,849
CAD 581,482 Ivanhoe Mines Ltd. 934,102 2,471,299
CAD 1,057,225 Kinross Gold Corp. 5,761,038 6,512,506
CAD 34,825 Kirkland Lake Gold Ltd. 231,176 1,993,383
CAD 37,085 Labrador Iron Ore Royalty Corp. 539,875 913,033
CAD 97,346 Largo Resources Ltd. 252,649 96,373
CAD 34,398 Leagold Mining Corp. 101,629 111,106
CAD 211,992 Lucara Diamond Corp. 364,672 180,193
CAD 15,000 Lundin Gold Inc. 73,991 124,950
CAD 573,241 Lundin Mining Corp. 3,169,355 4,448,350
CAD 81,473Major Drilling Group
International Inc. 618,141 461,952
CAD 21,722 Mandalay Resources Corp. 192,944 23,460
CAD 43,094 Marathon Gold Corp. 43,548 73,260
CAD 24,030 Methanex Corp. 1,381,470 1,205,105
CAD 42,473 Mountain Province Diamonds Inc. 145,624 48,844
CAD 583,725 New Gold Inc. 2,405,408 671,284
CAD 45,727 Norbord Inc. 1,757,927 1,588,082
CAD 36,396 Northern Dynasty Minerals Ltd. 27,014 20,382
CAD 141,976 Nutrien Ltd. 8,233,627 8,826,648
CAD 716,816 OceanaGold Corp. 2,319,626 1,827,880
CAD 250,500 Orbite Technologies Inc. 94,703 –
CAD 12,700 Orla Mining Ltd. 14,135 25,400
CAD 138,853 Osisko Gold Royalties Ltd. 2,041,327 1,752,325
CAD 59,016 Osisko Mining Inc. 182,407 239,015
CAD 206,454 Pan American Silver Corp. 3,681,998 6,350,525
USD 239,397 Pan American Silver Corp., Right – 109,795
CAD 31,574 Polymet Mining Corp. 27,764 10,735
CAD 202,298 Premier Gold Mines Ltd. 569,139 398,527
CAD 141,461 Pretium Resources Inc. 1,265,725 2,044,111
CAD 244,307 Roxgold Inc. 252,129 254,079
CAD 182,350 Sabina Gold & Silver Corp. 238,139 350,112
CAD 173,487 Sandstorm Gold Ltd. 947,033 1,681,089
CAD 11,375 Seabridge Gold Inc. 106,333 204,295
CAD 404,827 SEMAFO Inc. 1,377,117 1,093,033
CAD 9,600 Sierra Metals Inc. 27,826 20,928
CAD 128,826 SSR Mining Inc. 1,592,137 3,219,362
CAD 5,800 Stelco Holdings Inc. 89,992 63,278
CAD 26,664 Stella-Jones Inc. 1,051,299 1,000,433
CAD 159,324 Stornoway Diamond Corp. 130,872 3,186
CAD 18,500 Supremex Inc. 83,108 44,770
CurrencyNo. ofUnits Description
AverageCost
($CAD)
FairValue
($CAD)
% ofNet
Assets
CAD 194,970 Taseko Mines Ltd. 499,461 122,831
CAD 491 Teck Resources Ltd. 16,457 11,131
CAD 472,573 Teck Resources Ltd. 12,230,466 10,642,344
CAD 94,001 Teranga Gold Corp. 329,658 659,890
CAD 15,400 TMAC Resources Inc. 190,830 58,212
CAD 87,805 Torex Gold Resources Inc. 1,354,431 1,801,755
CAD 565,322 Trevali Mining Corp. 7
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