2. Tracking error chart

3. Review of the investment mandate

The Dimensional product disclosure statement (PDS) applicable to Q4 2021 was dated 26 May 2020. The stated objective of the trust is:

The investment objective of the Trust is to provide long-term capital growth by gaining exposure to a diversified portfolio of securities associated with approved developed markets (excluding Australia), with increased emphasis on higher expected return securities, and adjusted to take into account certain environmental and sustainability impact and social considerations.

The Trust is not managed with the objective of achieving a particular return relative to a benchmark index. However, to compare the performance of the Trust with a broad measure of market performance, reference may be made to the MSCI World ex Australia Index (net div.) hedged to NZD

The CIC has frequent dialogue with the fund manager, and we are satisfied there has been no change to the strategy/mandate without our knowledge.

4. Investigation with the fund management team

The trusts performance commentary (in AUD) for the quarter states: The trust returned 23.3% (per annum) over three years, leading the MSCI World ex Australia Index by 2.7%. Our analysis found that the outperformance was led by the trust’s compositional differences against the benchmark, as opposed to its allocation differences.

The

trust’s

Sustainability Considerations Also Led To Outperformance Against The Benchmark

Looking specifically at the trust’s top contributors and detractors across the three year period, we can see that due to the trust’s sustainability considerations, an overweight to Apple resulted in 1.63% relative outperformance against the benchmark.

While Apple is considered as a mega-cap, growth, highly profitable company, there’s an overweight in the portfolio given the higher sustainability rating compared to other stocks in the Information Technology sector

Other exclusions also led to significant outperformance, with the exclusion of Energy companies

Exxon Mobil, BP and Royal Dutch Shell each contributing 0.41%, 0.23% and 0.22% respectively to the trust’s outperformance

5. Analysis of risk exposure

We note that the change in relative price to book since the first half of 2020, this is consistent with the trust’s strategy migrating away from its initial large cap positioning, moving towards a core (size and value tilted) strategy.

4 – Weighted average total market capitalisation (NZD million) of trust and benchmark

DFA Global Sustainability Trust NZD Hedged Class MSCI World ex Australia Index (net div., hedged to NZD)

Source: Consilium

Weighted average total market capitalisation of trust relative to benchmark

Source: Consilium

Disclaimer: The material contained in or attached to this report has been prepared based upon information that Consilium NZ Limited believes to be reliable, but may be subject to typographical or other errors. Consilium has taken every care in preparing this information, which is for client education purposes only. Although the data has been sourced from publicly available information and/or provided by the investment managers, we are not able to guarantee its accuracy. Past performance, whether actual or simulated, is no guarantee of future performance. This document does not disclose all the risks of any transaction type described herein, and the recipient should understand any terms including relevant risk factors and any legal, tax and accounting considerations applicable to them.

One or more of the author(s) of this report invest in the analysed security. The author(s) do not know of the existence of any conflicts of interest that might bias the content or publication of this report. Compensation of the author(s) of this report is not based on any outcome of this report.