Dimensional Global Value 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 Value Trust (“the trust”)

Benchmark: Consilium GVAL Expectation (“the benchmark”)

The trigger for this analysis was long term tracking error (Appendix 2)

Fund return: 12.36% (p.a.), Benchmark return:15.49% (p.a.), Deviation: -3.13% (p.a.), Tolerance: ±2.71% (p.a.)

Enhanced due diligence checklist

Has the investment mandate changed? (Appendix 3)

Was relative performance attributable to known risk tilts and/or exclusions? (Appendix 4, 5)

Were the risk levels acceptable? (Appendix 6)

Were there any special considerations?

Our analysis highlighted that the three year relative underperformance of the trust to end December 2021, was largely attributable to the incumbent factor loadings of the custom benchmark setting the relative return expectations for this trust at an artificially high level, particularly in a period where the underlying performance of the market factor was so strong at almost 20.0% p.a.

Following the CIC’s updated expected returns analysis in late 2021, the factor loadings of the custom benchmark were reviewed to bring these into line with the current CIC estimates Once the relevant adjustments were made to the custom benchmark, the initial three year underperformance flag disappeared

As the CIC had already reviewed and accepted a change to the custom benchmark (although had not fully implemented it at the time of the Q4 monitoring review), the committee were satisfied that the three yearly flag was largely a result of the outdated factor loadings in the custom benchmark. Once these factor loadings were brought into line with the CICs own updated expected returns research, the revised custom benchmark exhibited greater alignment with the observed performance of the fund including a significant reduction in the unexplained return for the fund over the prior three years

The CIC were satisfied with this outcome and accordingly the Dimensional Global Value Trust passed this three yearly EDD review

For further information please see the appendix on the following pages

August 2022