Dimensional Global Small Company Trust

Enhanced due diligence for the quarter ended 31 December 2021

Enhanced due diligence trigger

An enhanced due diligence (EDD) on a fund may be required for any number of reasons. Please refer to the CIC Policy and Procedures Manual for more detail.

Fund: Dimensional Global Small Company Trust (“the trust”)

Benchmark: MSCI World ex Australia Small Cap Index (net div.) (“the benchmark”)

The trigger for this analysis was short term tracking error (Appendix 1)

Fund return: 4.76%, Benchmark return: 2.90%, Deviation: 1.85%, Tolerance: ±1.69%

Enhanced due diligence checklist

Has the investment mandate changed? (Appendix 2)

Was relative performance attributable to known risk tilts and/or exclusions? (Appendix 3, 4)

Were the risk levels acceptable? (Appendix 5)

Were there any special considerations?

Our analysis highlighted that the outperformance in the December quarter was attributable to structural elements of the trust The attribution analysis shows that against the MSCI World ex Australia Small cap Index, we can see that the fund outperformed the market, with this outperformance resulting from the value tilts taken by the trust. We also note that the outperformance was primarily delivered by compositional differences compared to the benchmark, with allocations taken to companies not within the benchmark leading to the bulk of the outperformance. An example is Devon Energy Corp; the trust holds a small 0.28% holding in this company, compared to 0.0% in the benchmark. This holding alone generated 6bps of relative outperformance throughout the quarter.

We remain satisfied that the aggregate risk exposures are consistent with the trust mandate, and we identified no unexpected or unexplained risks.

As part of our SAA review we will consider widening the tolerance bands of this trust, to reflect the profitability tilts taken within the trust which were introduced throughout 2020.

Based on all the above, the committee was satisfied that the Dimensional Global Small Company Trust passed this EDD review

For further information please see the supporting analysis appendix on the following pages

April 2022