Dimensional Global Sustainability 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 Sustainability Trust (NZD) (“the trust”)

Custom Benchmark: Consilium GSUT Expectation (NZD) (“the benchmark”)

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

Fund return: 23.31%, Custom Benchmark return: 20.68%, Deviation: +2.64%, Tolerance: ±2.04%

Enhanced due diligence checklist

Has the investment mandate changed? (Appendix 3)

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

Were the risk levels acceptable? (Appendix 5) Yes ✓

Were there any special considerations? No ✓

Conclusion

Our analysis highlighted that the outperformance in the three years to December 2021 was attributable to the trust’s compositional differences compared to the benchmark The trust’s sustainability considerations led to significant outperformance, with a deliberate overweight to Tech giant Apple, combined with the exclusion of Energy companies, such as Exxon Mobil and BP, leading to outperformance across the threeyear period.

There is currently insufficient evidence for us to be able to expect a positive premium from SRI investing, so this feature does not impact the expected returns of our custom benchmark.

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

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

For further information please see the appendix on the following pages

April

Appendix: Supporting analysis

1. Custom benchmark

The style benchmark used to measure this trust’s expected quarterly returns is a custom index created by the CIC. This custom index includes consideration of the expected risk tilts from this trust rather than just a broad market return which was assumed when previously using the MSCI World ex Australia Index (NZD)

The factor exposures to construct the custom index have been evaluated from a multiple regression performed in May 2020. For this trust, the custom index is specified in table 1 below

Table 1

Specification of Consilium Global Sustainability Expectation

Factor Factor loading Factor definition Notes

Risk Free 1.00x Ken French Risk Free Rate

Market 1.00x Ken French Market factor minus Ken French Risk Free Rate

Size 0.15x

Value 0.15x

Profitability nil

Ken French Developed Market Size Factor

Ken French Developed Market Value Factor

Source: Consilium calculations, Ken French Five Factor Model

This is the average return on the three Ken French small portfolios minus the average return on the three Ken French big portfolios.

This is the average return on the two Ken French value portfolios minus the average return on the two Ken French growth portfolios.

Using a custom index for attribution analysis or analysis of relative fundamentals such as aggregate price to book or weighted average market capitalisation poses a difficulty. As the custom index is not maintained by an index provider there is no average underlying company exposures for the custom index and so attribution analysis or analysis of relative fundamentals is impossible.

When performing these analyses, we instead employ the closest benchmark available for which these analyses can be completed. For this trust that is the MSCI World ex Australia Index (NZD).