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Dimensional Emerging Markets Value Trust

Enhanced due diligence for the quarter ended 31 March 2022

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 Emerging Markets Value Trust (“the trust”)

Benchmark: MSCI Emerging Markets Value Index (net div AUD) (“the benchmark”)

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

Fund return (Net of fee): 5.84% (p.a.), Benchmark return: 2.51% (p.a.), Deviation (Gross): +4.03% (p.a.), Tolerance: ±3.08% (p.a.)

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?

Conclusion

Our findings conclude that the outperformance is largely attributable to the same compositional factors that explain the recent positive quarterly deviations of performance The trusts structural elements tilting towards value companies with small capitalisations, along with selective regional exposure, were the primary drivers of the 3-year outperformance and they more than offset the impact of the highly disparate sectoral returns which, in aggregate, contributed negatively over the three-year period These elements are consistent with our previous quarterly flags, which has now resulted in an additive effect providing our 3-year outperformance.

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 Emerging Markets Value Trust passed this EDD review. For further information please see the appendix on the following pages.

June 2022

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