Dimensional Five-Year Diversified Fixed Interest Trust – NZD Class

Enhanced due diligence for the quarter ended 31 March 2022

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 Five-Year Diversified Fixed Interest Trust – NZD Class (“the trust”)

Benchmark: FTSE World Government Bond Index 1-5 Years (Hedged) (“the benchmark”)

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

Fund return (Net of fee): -4.48%, Benchmark return: -2.24%, Deviation (Gross): -2.17%, Tolerance: ±1.59%

Enhanced due diligence checklist

Conclusion

Following our analysis of the trust – specifically, the performance attribution – the CIC is satisfied the trust’s underperformance through the quarter ended 31 March was due to structural elements of the trust relative to its benchmark The trusts corporate bond exposure, duration profile and compositional differences within each currency allocation were the primary sources of underperformance.

The compositional analysis of this report was insightful, and 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 Five-Year Diversified Fixed Interest Trust passed this EDD review.

For further information please see the appendix on the following pages.

August 2022