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Dimensional Global Sustainability Trust
from CIC Yearbook 2022
by Consilium
Enhanced due diligence for the quarter ended 31 March 2021
Enhanced due diligence trigger
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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 short term tracking error (Appendix 2)
Fund return (Net of fee): -6.28%, Custom Benchmark return: -3.46%, Deviation (Gross): -2.73%, Tolerance: ±2.33%
Enhanced due diligence checklist
Has the investment mandate changed? (Appendix 2)
Was relative performance attributable to known structural elements? (Appendix 3, 4)
Were the risk levels acceptable? (Appendix 5)
Were there any special considerations?
Conclusion
Our analysis highlighted that the underperformance in the quarter ended 31 March was mainly attributable to the trust’s compositional differences compared to the benchmark that are driven by the trust’s sustainability exclusions. The sustainability exclusions in aggregate contributed to significant underperformance in the quarter with the exclusion of high emitters in particular being the main drivers. The attribution analysis shows that the size premia was mildly negative and the value premia strongly positive, but the overwhelming impact of specific company exclusions resulted in the relative underperformance overall.
While we do not expect a negative (or positive) premium from SRI investing, we do anticipate additional tracking error to result from the company exclusions, and this was certainly the case in this quarter. 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.
June 2022
