alternative risk premia - institutional money...source: columbia management investment advisers....

Alternative Risk Premia

Unkorrelierte Ertragsquellen erschliessen

For investment professionals use only. Not for public distribution

Q2-2016

Table of contents

1

Section 1 Threadneedle (Lux) Diversified Alternative Risk Premia Fund overview

Section 2

Introduction to Columbia Threadneedle Investments

Section 3

Alternative Beta overview

Section 4

Philosophy and process

Appendix

Section 1

Threadneedle (Lux) Diversified

Alternative Risk Premia Fund overview

Threadneedle (Lux) Diversified Alternative Risk Premia Fund

Portfolio characteristics

3

Source: Columbia Threadneedle Investments, as at August 2016. Past performance is not a guide to future returns. Where references are made to portfolio guidelines and features, these may be subject

to change over time and prevailing market conditions. Actual investment parameters will be agreed and set out in the prospectus or formal investment management agreement.

1 Please note that the performance target may not be attained. Performance target is gross of fees.

Lead portfolio manager Bill Landes

Deputy portfolio managers Marc Khalamayzer, Joshua Kutin

Sub-adviser Columbia Management Investment Advisers, LLC

Launch date 19 July 2016

Benchmark Citigroup 3-Month US Treasury Bill Index

Fund aim

The Fund is a multi-strategy portfolio that captures the excess returns from being exposed to certain market risks

(‘risk premia’). These risk premia are captured across all major asset classes (equity, fixed income, credit,

currency, commodities) and all major factors (value, style, curve, carry, short volatility and liquidity). Risk premia

can be accessed via indices, swaps or rules-based trades

Typical number of positions 25-40

Performance target Aims to outperform the benchmark by 7-10% p.a. (rolling 3-year periods)1

Volatility target 7.5%

Leverage The fund’s use of derivatives may result in significant leverage within the portfolio. Please refer to the prospectus

for full details on the leverage employed by the fund

Legal structure SICAV (Luxembourg-domiciled)

Liquidity Daily

Fund currency US dollars

Registrations Austria, Germany, Italy, Luxembourg, Singapore, Spain, UK

Section 2

Introduction to

Columbia Threadneedle Investments

Ameriprise Financial Inc. Overview of business lines

Source: Ameriprise Financial Inc. as of March 31, 2016, unless otherwise stated.

Asset management

businesses Financial advisory

business

Insurance & annuities

businesses

Ameriprise Trust Company

5

Assets under management

Columbia Management Investments (GIPS Firm)

Threadneedle Asset Management (GIPS Firm)

Total assets (US$b)

$326.0

AUM by asset class (US$ billion) AUM by product type (US$ billion)

US$465.6 billion in assets under management as of March 31, 2016

Columbia Threadneedle Investments total assets

$139.1

GIPS Firm assets under management

Fixed Income

$193.8

42%

Equity

$239.4

51%

Alternatives

$32.5

7%

Retail

products

$270.9

58%

Institutional

products

$194.7

42%

6

AUM includes all assets managed on a discretionary or non-discretionary basis by the entities in the Columbia and Threadneedle group of companies, which includes multiple separate and distinct

GIPS-compliant firms that use the global brand name Columbia Threadneedle Investments.

Due to intercompany sub-advisory relationships, certain assets under management are included under more than one firm.

William Landes, Ph.D.

Deputy Head of Investment Solutions

Head of Alternative Investments

Joined firm in 2014

Started in industry 1985

Jeffrey Knight, CFA

Global Head of Investment Solutions

Co-Head of Global Asset Allocation

Joined firm in 2013


Toby Nangle (UK)

Portfolio Manager

Co-Head of Global Asset Allocation

Joined firm in 2012


Robert Webb (UK)

Portfolio Construction Specialist

Joined firm in 2008


Alex Lyle (UK)

Head of Managed Funds

Joined firm in 1994


Marie Schofield, CFA

Senior Portfolio Manager

Chief Economist

Joined firm in 1990


Anwiti Bahuguna, Ph.D


Joined firm in 2002


Fred Copper, CFA


Joined firm in 2005


Beth Vanney, CFA

Portfolio Manager

Joined firm in 1999


Orhan Imer, Ph.D., CFA


Joined firm in 2007


Marc Khalamayzer, CFA

Portfolio Manager

Joined firm in 2014


Andrew Gruet

Research Analyst

Joined firm in 2013


Dan Boncarosky, CFA

Portfolio Manager

Joined firm in 2008


Maya Bhandari (UK)

Portfolio Manager

Joined firm in 2014


Kent Peterson, Ph.D.


Joined firm in 2006


Brian Virginia


Joined firm in 2010


Drew Gleckler

Quantitative Analyst

Joined firm in 2011


Corey Lorenzen


Joined firm in 2012


Alex Wilkinson, CFA, CAIA

Research Analyst

Joined firm in 2006


Adam Scully-Power

Client Portfolio Manager

Joined firm in 1996


Vincent Poon, CFA


Joined firm in 2011


Joshua Kutin, CFA


Joined firm in 2015

Joined industry 1998

Maria Garrahan

Research Analyst

Joined firm in 2015


Benjamin Simonds, CAIA

Client Portfolio Manager

Joined firm in 2015


Rajeev Kapur (UK)

Portfolio Construction Specialist

Joined firm in 2009

Joined industry 2004

Martin Truszkowski

Manager Research

Joined firm in 2015


Luis Roman, Ph.D.*

Investment Risk Management

Joined firm in 2014


7

Global asset allocation and Alt Beta Strategy resources

*Member of Investment Risk Management, which is an independent team reporting directly to the CEO of Columbia Threadneedle.

For staff that joined the firm as part of an acquisition, tenure includes time with legacy firms. Certain team members may be employees of affiliates.

Blue box indicates team resources supporting the Alternative Beta Strategy.

Section 3

Alternative Beta overview

What are alternative betas?

Alternative betas represent payoffs associated with the systematic risks imbedded in capital markets and are

driven by:

Academically-supported forms of risk premia ( e.g., value, momentum, etc.)

Investor-based behavioural biases, industry needs, structures and constraints (e.g., short volatility, commodity curve)

Alternative betas are systematically constructed to capture returns from structure (style, liquidity, momentum,

carry, curve, volatility, etc.) and asset classes (equity, fixed income, commodities, currency, credit)

Accessed via total return swaps or direct trading

Alternative betas have minimal market directionality, and are less correlated with traditional markets, making

them good portfolio diversification tools

The recognition of alternative betas has existed for some time in academic literature and has recently entered

the mainstream of general portfolio applications

9

The framework of understanding portfolio return has

evolved

10

Source: Columbia Management Investment Advisers, LLC.

ALPHA

TRADITIONAL

BETA

ALTERNATIVE

BETA

Manager skill

Style

Momentum

Value

Carry

Curve

Volatility

Equity

Credit

Commodities

Rates

Currency

Higher cost and

elusive

Lower cost and

harder to

replicate

Low cost and

prevalent

Alternative betas are available across multiple asset

classes and styles

Market-neutral in structure

Available as indices and accessible via swaps or rules-based trades

Additional betas available within and outside asset classes shown below

Source: Columbia Management Investment Advisers, LLC.

11

Equity Fixed Income Credit Currency Commodity

Momentum Momentum Momentum Momentum Momentum

Implied vs. Realized

Volatility


Volatility


Volatility


Volatility

Carry Carry Carry Carry

Curve Curve Curve

Value Value Value

Beta

Size

Quality

Liquidity Liquidity Liquidity

Alpha Strategies

Alternative beta strategies use systematic trading rules

to capture risk premia

12

Sample provided for illustrative purposes only.

Equity Fixed Income Currency

Value Buy cheapest 20% of stocks

ranked on price-to-book

Sell most expensive 20% of

stocks ranked price-to-book

Buy government bonds whose

real rates are above historical

average

Sell government bonds whose

real rates are below historical

average

Buy currencies that are

undervalued according to

purchasing power parity

Sell currencies that are

overvalued according to

purchasing power parity

Momentum Buy top 20% of stocks ranked on

12-month returns

Sell bottom 20% of stocks ranked

on 12-month returns

Buy government bonds ranked

highest based on 12-month

returns

Sell government bonds ranked

lowest based on 12-month returns

Buy currencies ranked highest

based on 12-month returns

Sell currencies ranked lowest

based on 12-month returns

Carry Buy government bonds with

steepest yield curves

Sell government bonds with

flattest yield curves

Buy currencies ranked highest

based on local short-term interest

rates

Sell currencies ranked lowest

based on local short-term interest

rates

Low correlations make alternative betas powerful

diversifiers

13

Source: Columbia Management Investment Advisers. March 31, 2003 - December 31, 2015. Percentages shown indicate correlations among risk premia and correlations of risk premia to the MSCI

World Index and Citi WGBI Index. The average pair-wise correlation is the annualized correlations among the risk premia over March 31, 2003 - December 31, 2015. Please see appendix for

alternative beta correlation sources.

EQ M

omen

tum

EQ V

alue

EQ Q

ualit

y

EQ L

ow B

eta

EQ T

urn

of th

e M

onth

SPX

Impl

ied

v. R

ealiz

ed

FX V

alue

FX C

arry

FX M

onth

End

Reb

alan

cing

FX M

omen

tum

FX Im

plie

d v.

Rea

lized

FI C

arry

FI D

urat

ion

Exte

nsio

n

IR V

alue

IR M

omen

tum

IR Im

plie

d v.

Rea

lized

Cred

it Ca

rry

COM

MO

D M

omen

tum

COM

MO

D C

arry

COM

MO

D C

urve

MS

Smar

tInv

est A

lpha

MSC

I Wor

ld In

dex

USD

Citi

WG

BI U

SD

EQ Momentum 100%

EQ Value -51% 100%

EQ Quality -17% -19% 100%

EQ Low Beta 30% -9% -7% 100%

EQ Turn of the Month 10% -1% -9% 6% 100%

SPX Implied v. Realized 17% 7% -17% 29% 36% 100%

FX Value -20% 4% -2% -18% -4% -14% 100%

FX Carry 8% 25% -18% 29% 24% 32% 1% 100%

FX Month End Rebalancing -15% 23% -1% 2% -6% -2% 8% 8% 100%

FX Momentum 23% -6% 8% 18% 13% -4% -11% 18% 13% 100%

FX Implied v. Realized -3% 8% 0% 12% 39% 26% -9% 20% 6% 9% 100%

FI Carry -13% 11% 4% -19% 3% 4% 3% 5% 9% 13% -9% 100%

FI Duration Extension 13% 2% -6% 6% -13% 3% -4% 6% -11% -1% 9% 0% 100%

IR Value -3% -3% 3% -6% -8% -21% 5% -18% -10% -10% 1% -18% 9% 100%

IR Momentum -2% -5% 10% 2% -7% -10% 7% -14% -7% 11% 17% -6% 26% 33% 100%

IR Implied v. Realized 8% 11% -4% 26% 32% 23% -7% 21% -2% 12% 27% -4% 6% -6% 9% 100%

Credit Carry 7% 22% -19% 24% -4% 37% -22% 22% 8% -1% 7% 3% 16% -14% -15% 5% 100%

COMMOD Momentum 30% -11% 0% 13% 10% 10% -5% -11% -5% 10% -2% -2% 2% 8% 8% 7% 7% 100%

COMMOD Carry 1% 11% -9% 5% 2% 15% -10% -4% -2% -7% 1% -2% 0% -1% -9% -1% 0% 33% 100%

COMMOD Curve 17% 10% -13% 6% 8% 11% -14% 20% 0% 18% -3% 6% 16% 5% 5% 14% 2% 17% 16% 100%

MS SmartInvest Alpha 22% 5% -28% -4% 11% 30% -2% 18% -10% 0% -1% 5% 7% 1% 6% 15% 9% 5% 16% 19% 100%

MSCI World Index USD 21% 30% -44% 42% 21% 53% -36% 52% -3% 3% 13% -3% 15% -19% -19% 22% 53% 8% 15% 22% 24% 100%

Citi WGBI USD -3% 16% -3% 15% -10% 2% -31% 3% 1% 27% 10% 3% 24% 5% 37% 2% 8% 5% 3% 21% -4% 27% 100%

Average pair-wise correlation: 4%

Historical average pair-wise correlations have

demonstrated stability through time

Source: Columbia Management Investment Advisers. Percentages shown indicate rolling 24 month correlations among risk premia over March 31, 2003 - December 31, 2015. Please see appendix for

alternative beta correlation sources.

14

Global Financial

Crisis

Alternative beta can be used for different client solutions

15

Application Potential Benefit

Multi Strategy Hedge Fund

Replacement

Exposure to risk premia that drive much of traditional hedge fund performance

Lower costs, greater liquidity and transparency than traditional hedge fund structures

Alpha – Beta separation Efficient and liquid exposure to alternative market betas at low cost

Allows manager selection process to be focused on true alpha / skill managers

Completion portfolio to an

existing hedge fund

allocation

Addresses gaps and concentrations in existing factor exposures

Provides a more balanced / diversified overall portfolio that can adapt as market regimes change

Complementary portfolio to

a traditional multi asset

portfolio

Introduces alternative risk premia to a portfolio of traditional market betas

May provide greater diversification and reduce market draw down during periods of high asset market

correlations

Section 4

Philosophy and process

Overview

17

Objective and approach

A multi-strategy alternative beta portfolio that manages exposures to the systematic risk premia that are embedded in capital markets

A portfolio of systematically-constructed indices designed to capture returns from structure (style, liquidity, momentum, carry, curve, volatility, etc.) and asset classes (equity, fixed income, commodities, currency, credit)

Lower cost than many traditional hedge funds

Daily liquidity

Ability to manage to customized volatility target

Can be structured as a multi-asset class, single asset class (i.e. equity only) or a completion portfolio

Why Columbia Threadneedle Investments for Alternative Betas

Portfolio management team resides within the 20-person global asset allocation team, providing the foundation for an active “macro” approach to alternative beta management

Research team dedicated to analyzing alternative beta algorithms and factor exposures, providing the foundation for a “micro” approach to alternative beta management

Proprietary risk parity approach to portfolio construction

Position level detail and risk management tools via Blackrock Aladdin and internal proprietary reporting tools

Building a portfolio of alternative betas

18

Step 4

Step 2

Step 1

Research

alternative beta

universe

Build strategic

portfolio using

risk parity and

risk targeting

techniques

Portfolio

implementation

and risk

management

Step 3

Tactically adjust

Alt Beta

exposures

Research and define the alternative beta universe

19

The team employs a robust research process to establish a set of ranked portfolio candidates

Seek capital efficient/cost effective alternative betas that have historically demonstrated persistent return and

portfolio diversification ability

Research Criterion and Process

Principle of Best Ingredients Dedicated analyst coverage by asset class

Analyst responsible for maintaining,

understanding and ranking available

investable alt beta universe for the

assigned asset class

Research analyzes:

oBack test

oRule books

oConstruction algorithm

oCosts/fees

oTransparency/complexity

Alt Beta Universe

Risk Premia Universe

Academically-verified or reflective of

investor-based behavioural bias

Persistent, long-term performance

Transparent and verifiable data

Long/Short Structures

Accessed via externally

constructed or internally

manufactured indices

Stages of portfolio construction – an active process

20

There is no guarantee that return and volatility expectations will be met.

Liquid risk

premia from

recommended

universe

(25-40)

Risk parity

portfolio Strategic

portfolio

constructed

using equal

risk weights

Risk targeting Asset class

weights

adjusted to

account for

idiosyncratic

risks

Equity style

rotation Proprietary

equity risk

premia rotation

model

adjustments

Macro-driven tactical

positioning

Discretionary macro

shifts applied in high

conviction scenarios

Opportunistic trades

Rebalance target

portfolio weights

Unlevered

portfolio

levered to

target

volatility

based on

client return

and volatility

expectations

Final

portfolio

Tactical adjustment

example:

Investment team

determines implied

vs. realized volatility

rates have widened

presenting an

investment

opportunity

Equity style rotation

example:

Investment team

elects to underweight

equity momentum

and redeploy capital

to equity value

Risk targeting

example:

Tilt weights towards

equity and away from

FX Carry

Risk management and portfolio implementation

Full position/security level transparency to underlying holdings of alternative beta indices

Comprehensive risk analytics platform using BlackRock Aladdin allowing the team to manage:

Factor risk exposures

Scenario and stress testing

Attribution

Risk analytics platform allows for detailed modelling of drivers of alt beta exposures and incorporates VAR and

scenario analysis

Portfolio monitoring by independent risk management team

Strategy trades executed on a regular basis

Pre- and post-trade compliance provided via BlackRock Aladdin in concert with our risk and compliance teams

Rigorous counterparty credit approval process for the swaps portfolio

21 21

Risk management and portfolio implementation

Left tail risks are inherent in hedge fund beta

VAR analysis is a critical component of analyzing and managing left tail risks

Hard limit built into portfolio management construction process and risk management process

Additional limit on short volatility strategies

Tail risk hedging seeks to manage the frequency and magnitude of downside events

Options, long volatlity strategies and tactical asset allocation employed by investment team

Emphasis on liquid and cost-efficient hedges

22 22

Sample risk reports – risk factor decomposition

23

Source: Blackrock Solutions. For illustrative purposes only.

Prism

Factor Factor Level Factor Volatility Risk Factor StandAlone Risk

ALTBETA 845.48 845.48

Equity 721.55 641.10

WRLD Style -1.20 432.65 339.23

Equity Indices -7.84 242.33 149.32

WRLD Sector 29.97 119.17 53.28

Equity Specific 0.02 190.95 43.13

Stock Return Based 3.33 51.38 31.74

WRLD Country 29.97 72.65 24.40

Alternative 5.64 213.07 73.03

Foreign Exchange 183.53 68.33

FX Spot 0.00 159.87 40.93

CHF/USD 0.98 1,519.64 -9.37 142.36 57.03

CZK/USD 24.35 973.16 -2.61 25.43 11.32

ZAR/USD 13.87 1,253.65 4.40 55.15 8.92

SEK/USD 8.43 875.87 -3.08 27.02 7.98

NOK/USD 8.55 1,242.49 -1.39 17.27 2.59

MYR/USD 4.39 1,027.99 2.57 26.38 1.96

PLN/USD 3.78 1,147.62 -0.89 10.26 1.86

BRL/USD 3.95 1,923.03 1.95 37.51 1.84

RUB/USD 65.61 3,823.00 0.46 17.52 1.67

TRY/USD 3.04 1,352.28 0.54 7.33 1.61

HUF/USD 281.81 1,098.11 -0.67 7.40 0.96

ILS/USD 3.94 709.96 -0.72 5.13 0.45

NZD/USD 1.57 1,062.50 0.97 10.35 0.32

CLP/USD 697.57 933.44 -1.11 10.36 0.24

SGD/USD 1.42 558.00 -0.32 1.79 0.13

CNY/USD 6.37 297.04 -1.60 4.77 0.12

GBP/USD 0.66 770.01 0.84 6.46 0.04

HKD/USD 7.75 28.99 2.72 0.79 -0.03

TWD/USD 33.01 466.08 -1.85 8.64 -0.14

AUD/USD 1.43 1,048.90 -0.12 1.23 -0.21

KRW/USD 1,194.70 818.11 -1.32 10.77 -0.56

IDR/USD 14,685.00 689.08 -1.00 6.89 -1.09

CAD/USD 1.33 739.92 2.49 18.41 -2.25

MXN/USD 16.93 959.95 -1.01 9.70 -2.66

PHP/USD 46.86 344.24 -7.10 24.45 -4.11

INR/USD 66.25 538.64 -5.68 30.58 -6.99

DKK/USD 6.68 956.02 1.77 16.97 -7.33

EUR/USD 0.89 961.05 2.13 20.43 -8.69

JPY/USD 120.82 792.71 9.07 71.94 -24.06

FX Volatility -0.01 54.58 27.40

Rates 196.02 33.40

Spreads 73.10 18.67

Other 0.01 81.04 7.77

Volatility 0.29 7.57 3.18

Sample risk reports – risk factor decomposition

24

Source: Blackrock Solutions. For illustrative purposes only.

Prism

Factor Factor Factor Volatility Risk StandAlone Risk Risk Contribution

ALTBETA 845.48 845.48

Equity 721.55 641.10

WRLD Style -1.20 432.65 339.23

Market 251.49 1,515.25 0.30 454.15 289.44

Momentum 331.06 306.09 0.66 202.45 66.10

Oil 95.71 182.45 -0.42 77.35 15.83

Emerging 99.70 105.89 -0.35 37.45 8.99

Dividend Yield 107.98 89.13 -0.23 20.67 6.14

Value 237.92 127.93 -0.09 11.86 2.14

Earnings Yield 119.15 83.79 0.08 6.62 2.08

Growth 74.04 80.65 -0.15 12.25 0.85

Sentiment 95.04 84.97 -0.01 0.59 0.13

Leverage 78.64 80.46 0.03 2.60 -0.07

Reversal 41.40 177.50 0.07 11.81 -0.41

Profitability 155.64 103.77 0.05 5.59 -0.93

Liquidity 95.70 195.47 -0.02 3.05 -1.52

Smallcap 56.96 242.15 -0.04 9.36 -3.11

Volatility 64.87 474.70 -0.10 47.32 -13.55

Size 103.23 180.91 -0.98 176.95 -32.89

Equity Indices -7.84 242.33 149.32

WRLD Sector 29.97 119.17 53.28

Equity Specific 0.02 190.95 43.13

Stock Return Based 3.33 51.38 31.74

WRLD Country 29.97 72.65 24.40

Alternative 5.64 213.07 73.03

Foreign Exchange 183.53 68.33

Rates 196.02 33.40

Spreads 73.10 18.67

Other 0.01 81.04 7.77

Volatility 0.29 7.57 3.18

Columbia Alt Beta strategy* Excerpted composite performance (%)

25

2015 2016 Sept-

Jun Sep Oct Nov Dec Jan Feb Mar Apr May Jun YTD**

Columbia Alt Beta Strategy (Gross) -0.03 -0.03 2.97 0.10 1.93 1.31 1.48 -2.77 -0.43 -0.10 1.34 4.39

HFRX Global Hedge Fund Index -2.07 1.46 -0.72 -1.33 -2.76 -0.32 1.24 0.41 0.46 0.20 -0.83 -3.47

HFRX Global Hedge Fund Index

7.5% volatility-adjusted return -4.41 3.06 -1.50 -2.71 -5.39 -0.63 2.39 0.79 0.89 0.39 -1.72 -7.22

* For illustrative purposes only. Please note that this shows the performance of the Columbia Alternative Beta strategy and not the performance of

the Threadneedle (Lux) Diversified Alternative Risk Premia Fund.

** YTD through 30 June, 2016. Please see GIPS Track Record section for full track record beginning 31 January 2015, and composite disclosures.

Source: Columbia Management Investments. Past performance does not guarantee future results The performance includes the reinvestment of dividends and other earnings and is calculated in U.S.

dollars. Please see the composite presentation and disclosure in the Appendix for more information, including the impact of fees. The volatility-adjusted benchmark return is intended to show the

benchmark and the strategy on an equal-volatility basis. The strategy is managed at a 7.5% volatility and to show returns of the benchmark at an equivalent volatility level, we calculated the rolling 36-

month standard deviation of the benchmark, and determined the multiplier required to establish a 7.5% standard deviation. This multiplier was subsequently applied to the monthly returns of the

benchmark.

September 1, 2015 forward is representative of the manner in which the strategy is currently managed

including enhancements to portfolio construction introduced in the fourth quarter of 2015. The alternative beta

track record was developed as a sleeve within a US mutual fund product.

Portfolio construction alpha of Columbia Alt Beta strategy* Supplemental information

26

* For illustrative purposes only. Please note that this shows the portfolio of the Columbia Alternative Beta strategy and not the portfolio of the Threadneedle (Lux) Diversified Alternative Risk Premia Fund.

Source: Columbia Management Investments as of 30 June 2016. Past performance does not guarantee future results. Alpha based on a representative account in the composite relative to the HFRX

benchmark and is gross of all fees. Please see the composite presentation and disclosure in the Appendix for more information, including the impact of fees. The steps of the portfolio construction process

are described on page 20.

YTD Total Portfolio Alpha by Steps of Portfolio Construction (in bps)

Supplemental Performance Information:

Modelled Portfolio Performance

Important information about modelled results

28

Columbia Management Investment Advisers does not currently manage any standalone accounts in this strategy. The research

presented here has been prepared by Columbia Management Investment Advisers. Modeled results supplement the Columbia

Alternative Beta composite presentation and disclosures provided, which contain actual performance of a sleeve of a multi-strategy

portfolio managed using the Columbia Alt Beta strategy

Please note that this is an illustration only of the portfolio managers’ experience and that these modelled results do not fully reflect the

Threadneedle (Lux) Diversified Risk Premia Fund

The following pages contain modelled results which are hypothetical in nature and do not include investment management

fees that would be incurred by an actual managed portfolio. Such results are based on the assumptions stated and have

certain inherent limitations. Use of different assumptions would have resulted in different results. Unlike the results shown

in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually

been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as

lack of liquidity. Simulated or hypothetical trading programmes in general are also subject to the fact that they are designed

with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses

similar to these being shown

Important information about modelled results (cont.)

29

Assumptions:

The modelled portfolio assumes a monthly investment in underlying alternative beta indices weighted by the inverse of trailing

exponentially weighted volatility and weighted trailing exponential correlation to the rest of the holdings (e.g. risk parity allocation

process). The correlation is reduced by half to account for instability in estimated sample correlations. Exponential volatility and

correlations are calculated using two years of trailing weekly data with a half life of 6 months. Modeled results assume that any

reallocation is done on the 1st of each month

The modelled results reflect a risk parity allocation without attempting to take into account the impact of active portfolio

management decisions employed within the Alt Beta Strategy that may be driven by, among other things, quantitative models and

fundamental judgements. Therefore, actual results of accounts managed using the Alt Beta Strategy will vary significantly from the

modelled results shown

The modelled results are based on the time period of March 31, 2003 – March 31, 2016. This time period was chosen based on

underlying risk premia index data availability. See Alt Beta Descriptions slides in Appendix for indices used. In certain cases, the

historical returns of these risk premia indices has been modeled by the index provider. Please note that the Alt Beta Strategy

currently employs indices not included in the modelled results

Modelled results with a 7.5% volatility assume the use of leverage. The average and maximum amounts of leverage for these

modeled portfolios are detailed on the slide titled Modelled alternative beta portfolio: risk and return characteristics

Performance is annualized where applicable, assumes the reinvestment of dividends and other earnings, and is calculated in US

dollars

Since alternative betas are typically accessed through swaps, an estimated swap cost ranging from 5-120 bps was deducted from

the returns of each alternative beta index

Performance is annualized where applicable, assumes the reinvestment of dividends and other earnings, and is calculated in US

dollars

Modelled results do not include the impact of cash on performance. Expenses including management fees will reduce individual

returns. See the composite presentation for an example of the compounding impact of fees on performance

Please note that this is an illustration only of the portfolio managers’ experience and that these modelled results do not fully reflect the Threadneedle (Lux) Diversified Risk Premia Fund.

Modeled alternative beta portfolio* Risk and return characteristics

30

* Please note that this is an illustration of the portfolio managers’ experience and that these modelled results do not fully reflect the Threadneedle (Lux) Diversified Alternative Risk Premia Fund.

This page contains modelled results which are hypothetical in nature and do not include investment management fees or transaction costs that would be incurred by an actual managed portfolio. Such

results are based on the assumptions stated and have certain inherent limitations. Use of different assumptions would have resulted in different results. Unlike the results shown in an actual

performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if

any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programmes in general are also subject to the fact that they are designed with the benefit of hindsight. No

representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

Source: Columbia Management Investment Advisers, 31 March 2003 – 30 June 2016.

24-month rolling returns* Correlation to MSCI ACWI Index

31

Back-tested data exhibits lower correlation to the MSCI ACWI Index than the HFRX Global Hedge Fund Index’s

correlation to the MSCI ACWI Index

* Please note that this is an illustration of the portfolio managers’ experience and that these modelled results do not fully reflect the Threadneedle (Lux) Diversified Alternative Risk Premia Fund.

This page contains modelled results which are hypothetical in nature and do not include investment management fees or transaction costs that would be incurred by an actual managed portfolio. Such

results are based on the assumptions stated and have certain inherent limitations. Use of different assumptions would have resulted in different results. Unlike the results shown in an actual

performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if

any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programmes in general are also subject to the fact that they are designed with the benefit of hindsight. No

representation is being made that any account will or is likely to achieve profits or losses similar to these being shown. See appendix for Index definitions.

Source: Columbia Management Investment Advisers, data 31 March 2003 – 30 June 2016.

Co

rrela

tio

n t

o M

SC

I A

CW

I In

dex

HFRX Average

Correlation to

MSCI ACWI: 0.84

Modeled Alt Beta

Portfolio Average

Correlation to

MSCI ACWI: 0.30

GIPS Track Record

Columbia Alt Beta strategy* Composite performance (%)

September 1, 2015 forward is representative of the manner in which the strategy is currently managed including enhancements

to portfolio construction introduced in the fourth quarter of 2015.

The alternative beta track record was developed as a sleeve within a US mutual fund product. The mutual fund, launched in early

2015, included a wide array of alternative investments, including the alternative beta sleeve.

The first four months of the alternative beta composite record reflects the sleeve’s use of a limited number of alternative betas

which were used to complement other risk exposures within the overall mutual fund. From June 1 to September 1, 2015 the team

continued to evolve our capabilities including the permanent dampening of directional beta exposure.

Source: Columbia Management Investments. Past performance does not guarantee future results. The performance includes the reinvestment of dividends and other earnings and is calculated in US

dollars. Please see the composite presentation and disclosure in the Appendix for more information, including the impact of fees. The volatility-adjusted benchmark return is intended to show the

benchmark and the strategy on an equal-volatility basis. The strategy is managed at a 7.5% volatility and to show returns of the benchmark at an equivalent volatility level, we calculated the rolling 36-

month standard deviation of the benchmark, and determined the multiplier required to establish a 7.5% standard deviation. This multiplier was subsequently applied to the monthly returns of the

benchmark.

33

2015 2016 Since

Inception** Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun

Columbia Alt Beta

Composite Track

Record (Gross) -1.43 -1.25 -3.77 -1.00 -2.16 2.95 -7.56 -0.03 -0.03 2.97 0.10 1.93 1.31 1.48 -2.77 -0.43 -0.10 -7.50

HFRX Global Hedge

Fund Index 2.02 0.33 0.21 0.26 -1.24 -0.03 -2.21 -2.07 1.46 -0.72 -1.33 -2.76 -0.32 1.24 0.41 0.46 0.20 -3.14

HFRX Global Hedge

Fund Index

7.5% volatility-

adjusted return

4.91 0.81 0.52 0.68 -3.13 -0.07 -5.06 -4.41 3.06 -1.50 -2.71 -5.39 -0.63 2.39 0.79 0.89 0.39 -6.62

Composite inception date: January 31, 2015. Gross of fees.

* For illustrative purposes only. Please note that this shows the performance of the Columbia Alternative Beta strategy and not the performance of the Threadneedle (Lux)

Diversified Alternative Risk Premia Fund. ** Since inception data as at 30 June 2016.

Columbia Alt Beta Composite* Presentation and Disclosures

* For illustrative purposes only. Please note that this shows the performance of the Columbia Alternative Beta strategy and not the performance of the Threadneedle (Lux) Diversified Alternative Risk Premia Fund.

Calendar

Year

Gross-of-

fees Return

(%)

Net-of-fees

Return

(%)

Index

Return

(%)

Composite

3-Yr

St Dev

(%)

Index 3-Yr

St Dev

(%)

Internal

Dispersion

(%)

Number of

Portfolios

Total

Composite

Assets

($ mil.)

Total Firm

Assets

($ bil.)

Inception -11.06 -11.68 -3.36 N.A. N.A. N.A. ≤ 5 54 323

Inception Date 1/31/2015

4. The gross- of- fees returns are time- weighted rates of return net of commissions and other transaction costs. Net- of- fees returns are calculated by deducting from the monthly gross- of- fees

composite return one- twelfth of the highest c lient fee (model fee) in effect for the respective period. Composite returns reflect the reinvestment of dividends and other earnings.

5. Internal dispersion is calculated using the equal- weighted standard deviation of the annual gross returns of those portfolios that were included in the Composite for the entire year. If the composite

contains five or fewer accounts for the full year, a measure of dispersion is not statistically representative and is therefore not shown.

6. The three- year annualized standard deviation measures the variability of the gross- of- fees composite and benchmark returns over the preceding 36- month period. It is not required to be

presented when a full three years of performance is not yet available.

7. Portfolios are valued and composite returns are calculated and stated in U.S. dollars. Returns are calculated net of non- reclaimable withholding taxes on dividends, interest, and capital gains.

Polic ies for valuing portfolios, calculating performance, and preparing compliant presentations, and the list of composite descriptions, are available upon request.

3. The strategy is designed to capture systematic risk premia embedded in markets. The strategy allocates among alternative betas in multiple asset c lasses: equity, fixed income, credit, currency

and commodities. The manager employs derivatives and will employ leverage as needed in order to meet client volatility targets. The benchmark is the HFRX Global Hedge Fund Index. The

composite was created September 1, 2015.

Columbia Alt Beta Composite

Statement of Performance Results

1. Columbia Management Investments claims compliance with the Global Investment Performance Standards (GIPS®) and has prepared and presented this report in compliance with the GIPS

standards. Columbia Management Investments has been independently verified for the periods of January 1, 1993 to December 31, 2014. The verification report is available upon request.

Verification assesses whether (1) the firm has complied with all the composite construction requirements of the GIPS standards on a firm- wide basis and (2) the firm's polic ies and procedures are

designed to calculate and present performance in compliance with the GIPS standards. Verification does not ensure the accuracy of any specific composite presentation.

2. Columbia Management Investment Advisers, LLC, an SEC- registered investment adviser (formerly known as RiverSource Investments, LLC prior to May 1, 2010), offers investment products and

services to institutional and retail markets. For purposes of compliance with the GIPS standards, Columbia Management Investment Advisers, LLC has defined the Firm as Columbia Management

Investments (prior to May 1, 2010 the Firm was known as RiverSource Institutional Advisors; prior to August 1, 2005 the Firm was known as American Express Asset Management), an operating division

of Columbia Management Investment Advisers, LLC that offers investment management and related services to institutional c lients. As of May 1, 2010, certain long- term assets of Columbia

Management Advisors, LLC (“ CMA” ) were merged into Columbia Management Investments and included in firm assets as of that date. The Firm was redefined in January 2011 to include stable value

assets that were previously excluded from the firm. Beginning March 30, 2015, the Columbia and Threadneedle group of companies, which includes multiple separate and distinct GIPS- compliant

firms, began using the global offering brand Columbia Threadneedle Investments.

Columbia Management Investments

34

Columbia Alt Beta Composite* Presentation and Disclosures


10. Past performance is no guarantee of future results and there is the possibility of loss of value. There can be no assurance that an investment objective will be met or that return expectations will

be achieved. Care should be used when comparing these results to those published by other investment advisers, other investment vehicles and unmanaged indices due to possible differences in

calculation methods. Registration with the SEC as an investment advisor does not imply a certain level of skill or training.

8. The following fee schedule represents the current representative fee schedule used as the starting point for fee negotiations for institutional clients seeking investment management services in

the designated strategy: 0.75% on the first $100 million; 0.68% on the next $100 million; 0.60% on the next $100 million; negotiable on all assets over $300 million. Gross of fee performance

information does not reflect the deduction of management fees. The following statement demonstrates, with a hypothetical example, the compound effect fees have on investment return: If a

portfolio's annual rate of return is 10% for 5 years and the annual management fee is 75 basis points, the gross total 5- year return would be 61.1% and the 5- year return net of fees would be 55.1%.

9. The benchmark, the HFRX Global Hedge Fund Index, is designed to be representative of the overall composition of the hedge fund universe. It is comprised of all eligible hedge fund strategies;

including but not limited to convertible arbitrage, distressed securities, equity hedge, equity market neutral, event driven, macro, merger arbitrage, and relative value arbitrage. The strategies are

asset weighted based on the distribution of assets in the hedge fund industry. Index returns are not covered by the report of the independent verifiers.

Columbia Alt Beta Composite

Columbia Management Investments

35

Appendix

Alt beta descriptions

37

Risk Premia Description Instrument Type

Equity

Equity Momentum Based on 11m momentum of MSCI World Developed Universe adjusted for volatility Swap

Equity Value Based on a combination of EV/EBITDA and Dividend Yield of the MSCI World Developed Universe, sector neutral. Swap

Equity Quality Based on a combination of accruals and ROIC of the MSCI World Developed Universe, sector neutral. Swap

Equity Low Beta Based on a combination of 60-month beta of MSCI World Developed Universe relative to MSCI Equal Weighted World Index Swap

Equity Factor This is a factor portfolio that combines low beta, size, value, momentum, and quality into one portfolio. Swap

Turn of the Month Seeks to exploit investment into the equity market at month end. Swap

Equity Volatility Monetizes the spread between implied variance and realized variance over the following month in the SPX index. Swap

Equity Volatility Monetizes the spread between implied variance and realized variance over the following month in the Emerging Markets ETF,

SPX Index, FTSE100 Index, and Eurostoxx Index using delta hedged straddles. Swap

FX

FX Value Long G10 currencies ranked highest by purchasing power parity and short currencies ranked lowest. Swap

FX Value Strategy goes long currencies ranked highly (most undervalued) by the Goldman Sachs Dynamic Equilibrium Exchange rate

model and short currencies with the lowest ranking (most overvalued) based on the same model. Swap

FX Carry Goes long currencies ranked highest by the implied carry rate (FX Forward vs. FX Spot) and short currencies ranked lowest. Swap

FX Carry w/ Vol Filter Goes long currencies ranked highest by the spread between local short rates and short currencies ranked lowest. EURUSD

implied volatility is used as a risk trigger to de-risk the strategy. Swap

FX Implied vs. Realized Monetizes real vs. implied volatility of currency exchange rates. Swap


38


FX

FX Momentum Goes long and short a basket of currency forwards based on past 12 month momentum. Swap

FX Month end Rebalancing Buys and sells currency at month end seeking to capitalize on managers rebalancing based on local market

performance. Swap

FX Volatility Monetizes the spread between implied variance and realized variance over the following month in the

EURUSD, USDJPY, and GBPUSD cross pairs. Swap

Fixed Income

Trendstar + Alt Roll Designed to extract alpha from steepening/flattening trends in the USD swap curve. Swap

Duration Extension Buys and sells duration to capture benchmark managers rebalancing to their index. Swap

Interest Rate Implied vs.

Realized Monetizes real vs. implied volatility of currency exchange rates Swap

Interest Rate Momentum Goes long and short a basket of short dated and long dated interest rate futures in the U.S., U.K., Germany

and Japan based on past 12 month momentum. Swap

Interest Rate Vol Carry Monetizes the spread between implied and realized volatility in the U.S. 10 year futures market. Sells a

basket of put and call options on the 10 year treasury future. Swap

Interest Rate Curve Strategy is designed to profit from carry in the interest rate market of U.S. and Europe by going long shorter

dated maturities and short longer dated maturities in a duration neutral manner. Swap

Interest Rate Spread This strategy monetizes the term premium in short dated U.S., U.K, and European markets by going long the

4th contract and short the 2nd contract. Swap

Interest Rate Value Goes long and short global interest rate markets based on valuation. Swap

Credit

HYIGS Beta Monetizes the beta-adjusted outperformance of high yield vs. investment grade using CDX and iTraxx. Swap

Credit Carry Based on the spread between HY issues and investment grade issues. Swap

Euro Credit Curve Strategy is designed to profit from carry in the European credit curve Europe by going long shorter dated

maturities and short longer dated maturities in a duration neutral manner. Swap


39


Commodity

Commodity Carry Captures tendency for commodities with a backwardated term structure to outperform commodities with a term

structure in contango. Swap

Commodity Curve Captures tendency of deferred futures contracts outperfoming nearer dated contracts on a beta adjusted basis. Swap

Commodity Momentum Goes long commodities ranked highest by trailing 1 year performance and short commodities ranked lowest. Swap

Commodity Volatility Monetizes the spread between implied and realized volatility in the commodity markets. Sells a basket of put and

call options on WTI, Soybeans and Gold. Swap

Other

Alpha Index Based on 13F filings to reflect the performance of "high conviction" ideas in which a select number of hedge funds

have built up positions. Universe is S&P500 Swap

SPX Implied vs. Realized Monetizes real vs. implied volatility of the S&P 500. Swap

Columbia Alternative Beta Strategy* Adding an alternative beta allocation to a balanced portfolio

can improve the risk/return profile

40

* For illustrative purposes only. Please note that this shows the performance of the Columbia Alternative Beta strategy and not the performance of the Threadneedle (Lux) Diversified Alternative Risk

Premia Fund.

Source: Columbia Management Investment Advisers. Data is based on the time period from 31 March 2003 – 30 June 2016. These results are based on simulated or hypothetical performance results

that have certain inherent limitations. These results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for

the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of

hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

100% Alternative Beta

Modeled Portfolio

100% Barclays Global Agg

MSCI/Barclays Global

Agg 60/40

100% MSCI ACWI

Modeled Alternative Beta Portfolio* Annual Contribution to Return

41

This page contains modelled results which are hypothetical in nature and do not include investment management fees or transaction costs that would be incurred by an actual managed portfolio. Such results are based on the

assumptions stated and have certain inherent limitations. Use of different assumptions would have resulted in different results. Unlike the results shown in an actual performance record, these results do not represent actual trading.

Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading

programmes in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.



Modeled Alternative Beta Portfolio* Annual Contribution to Return

42

This page contains modelled results which are hypothetical in nature and do not include investment management fees or transaction costs that would be incurred by an actual managed portfolio. Such results are based on the

assumptions stated and have certain inherent limitations. Use of different assumptions would have resulted in different results. Unlike the results shown in an actual performance record, these results do not represent actual trading.

Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading

programmes in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.



Team biographies

43

Joshua Kutin, CFA

Senior Portfolio Manager, Global Investment Solutions

Joshua Kutin is a senior portfolio manager for the Global Investment Solutions Group at Columbia Threadneedle Investments. He is responsible for research across solutions, with

a particular focus on global asset allocation and alternatives. Prior to joining Columbia Threadneedle Investments in 2015, Mr. Kutin worked at Putnam Investments as a portfolio

manager on the global asset allocation team. He has been a member of the investment community since 1998. Mr. Kutin received a B.S. in economics and a B.S. in mathematics

with computer science from MIT, as well as a masters in finance from Princeton University.

William Landes, Ph.D.

Head of Alternatives

William Landes is head of alternatives for Columbia Threadneedle Investments. Dr. Landes joined one of the Columbia Threadneedle Investments firms in 2014. Previously, Dr.

Landes was chief investment officer of the multi-asset business for Gottex Fund Management from 2008 to 2014. Prior to that, Dr. Landes was chief executive officer at 2100

Capital Group from 2004 to 2008. Dr. Landes started his investment career at Putnam Investments as chief investment officer of global asset allocation, global currency and

quantitative equity. He was also the firm’s global head of investment research. He has been in the investment community since 1985. Dr. Landes received a B.S. in economics

from the University of Findlay and a Ph.D. in finance from University of Cincinnati.

Marc Khalamayzer, CFA Analyst, Global Investment Solutions Marc Khalamayzer is an analyst for the Global Investment Solutions Team at Columbia Threadneedle Investments. Mr. Khalamayzer joined one of the Columbia Threadneedle Investments firms in 2014 and has been a member of the investment community since 2006. Previously, Mr. Khalamayzer was a director at Gottex Fund Management Sarl. Prior to that, he was a quantitative analyst at 2100 Capital Group LLC. Mr. Khalamayzer received an M.S. in finance and a B.S. in economics-finance from Bentley University. He holds the Chartered Financial Analyst® designation.


The regulatory environment

Liebien Botha – Regulatory Reporting Manager

Two components of regulatory consideration:

45

1. How does the fund affect my capital management/regulatory requirements?

2. Reporting available that will satisfy Institutional regulatory reporting needs?

1. Capital management/regulatory

requirements(Solvency II)

46

From a Pillar I perspective

Constructing a portfolio/asset allocation strategy based on the optimal portfolio theory can not be measured in isolation as the

risk return characteristics does not include capital management

Have to find the “optimal solution” considering your marginal risk requirement (non hedgeable risk provision) and solvency

capital requirement

From a Total asset management perspective Investing in a fund that employs strategies to achieve market neutral risk/return

results is an effective way to reduce risk by diversification. This will result in lower capital requirements.

From a Pillar III perspective

The instruments used to achieve the fund objectives also represents good alternatives that fits in effective capital management

Derivatives as part of a hedge strategy can be used as a risk mitigating technique(caveat this will be determined by the model

used to calculate SCR) and Columbia Threadneedle’s analytics team have the ability to look into the underlying baskets if we

create positions that gain direct exposure to a basket of securities(equities/fixed income/commodities etc.) or Index.

Benefits of using swaps as we currently do within the DARP fund have the following benefits:

Credit derivatives (CDS/TRS) can reduce the exposure of certain types of risk i.e. credit risk, concentration risk and spread

risk.

CDS reduce credit risk as its inherently swapping credit risk.

TRS can reduce credit risk/market risk in general by gaining exposure to an assets without directly holding it as well as

counterparty or spread risk should reduce which will reduce capital charges.

2. Reporting available that will enable successful

regulatory reporting needs

47

Regulatory reports

For Solvency II we use the TPT: Three step process Raise request, Sign NDA and Sign up to Silverfinch

What is Silverfinch and Why? It is a utility that enables Insurers to collect and schedule receipts of regulatory reports securely

without the need of conventional (e-mail) methods. Receipt of these files can be delegated to a third party if the client which to

use a vendor to collect and aggregate data on their behalf (given the third party has gone through the same legal process).


The regulatory environment

Any Questions?

Liebien Botha – Regulatory Reporting Manager

Index definitions and disclosures

49

Indices are shown to provide an overview of the performance of various market segments and are not benchmarks against which the strategy is managed.

It is not possible to invest directly in an index.

Barclays U.S. Aggregate Treasury Index is a sub-index of the Barclays US Aggregate Bond index and tracks the daily price, coupon, pay-downs and total return

performance of fixed-rate, publicly placed, dollar-denominated US Treasury issues with at least $250 million par amount outstanding and with at least one year to

final maturity.

Standard and Poor’s (S&P) 500 Index is an unmanaged index that tracks the performance of 500 widely held, large-capitalization U.S. Stocks.

The Standard and Poor’s (S&P) 500 Total Return Index is a total return index that reflects both changes in the prices of stocks in the S&P 500 Index as well as the

reinvestment of the dividend income from its underlying stocks.

The HFRX Global Hedge Fund Index is designed to be representative of the overall composition of the hedge fund universe. It is comprised of all eligible hedge

fund strategies; including but not limited to convertible arbitrage, distressed securities, equity hedge, equity market neutral, event driven, macro, merger arbitrage,

and relative value arbitrage. The strategies are asset weighted based on the distribution of assets in the hedge fund industry. Hedge Fund Research, Inc. (HFR)

utilizes a UCITSIII compliant methodology to construct the HFRX Hedge Fund Indices. The methodology is based on defined and predetermined rules and

objective criteria to select and rebalance components to maximize representation of the Hedge Fund Universe. HFRX Indices utilize state-of-the-art quantitative

techniques and analysis; multi-level screening, cluster analysis, Monte-Carlo simulations and optimization techniques ensure that each Index is a pure

representation of its corresponding investment focus.

The MSCI AC World Index is a free float-adjusted market capitalization index that is designed to measure equity market performance in the global developed and

emerging markets. It is not possible to invest directly in an index.

Information provided by third parties is deemed to be reliable but may be derived using methodologies or techniques that are proprietary or specific to the third-

party source.

Asset allocation does not assure a profit or protect against loss.

These materials may only be used in one-on-one presentations with institutional investors. Notice to consultants: Performance data contained in these materials

may only be used with this limited audience and should be accompanied by the composite presentation and standard performance disclosures provided.

Threadneedle (Lux) Diversified Alternative Risk Premia Fund Objectives and key risks

50

Objective – The aim of the fund is to make a positive return for you over the longer term, notwithstanding changing market conditions. The fund will seek to achieve its investment objective through exposure to a range of ‘risk premia’ across a range of asset classes. Risk premia are the factors which can drive financial markets, such as ‘value’ or ‘momentum.’ Risk premia exist due to systematic risks and behavioural patterns in financial markets. The fund will aim to exploit risk premia to provide returns that have a low level of correlation to traditional markets. The fund invests principally in derivatives which have exposure to underlying indices representing the payoffs which may be associated with risk premia. Derivatives will be used to obtain, increase or reduce exposure to underlying assets and may create gearing. Where gearing is created, the net asset value of the fund may experience more fluctuation than if there was no gearing.

Investment Risk – The value of investments can fall as well as rise and investors might not get back the sum originally invested.

Currency Risk – Where investments in the fund are in currencies other than your own, changes in exchange rates may affect the value of your investments.

No Capital Guarantee – Positive returns are not guaranteed and no form of capital protection applies.

Counterparty Risk – The fund may enter into financial transactions with selected counterparties. Any financial difficulties arising at these counterparties could significantly affect the availability and the value of fund assets.

Inflation Risk – Most bond and cash funds offer limited capital growth potential and an income that is not linked to inflation. Inflation is likely to affect the value of capital and income over time.

Interest Rate Risk – Changes in interest rates are likely to affect the fund’s value. In general, as interest rates rise, the price of a fixed rate bond will fall, and vice versa.

Valuation Risk – The fund’s assets may sometimes be difficult to value objectively and the actual value may not be recognised until assets are sold.

Short Selling Risk – Short selling intends to make a profit from falling prices. However, if the value of the underlying investment increases, the value of the short position will decrease. The potential losses are unlimited as the prices of the underlying investments can increase very significantly in a short space of time.

Investment in Derivatives – The fund may invest in derivatives with the aim of reducing risk or minimising the cost of transactions. Such derivative transactions may benefit or negatively affect the performance of the fund. The Manager does not intend that such use of derivatives will affect the overall risk profile of the fund.

Leverage Risk – Leverage amplifies the effect that a change in the price of an investment has on the fund’s value. As such, leverage can enhance returns to investors but can also increase losses, including losses in excess of the amount invested.

Volatility Risk – The fund may exhibit significant price volatility.

Important information

51

For internal use and for Professional and/or Qualified Investors only (not to be used with or passed on to retail clients)

Past performance is not a guide to future performance. The value of investments and any income is not guaranteed and can go down as well as up and may be affected by

exchange rate fluctuations. This means that an investor may not get back the amount invested.

Threadneedle (Lux) is an investment company with variable capital (Société d’investissement à capital variable, or "SICAV") formed under the laws of the Grand Duchy of

Luxembourg. The SICAV issues, redeems and exchanges shares of different classes, some of which are listed on the Luxembourg Stock Exchange. The management company of

the SICAV is Threadneedle Management Luxembourg S.A, who is advised by Threadneedle Asset Management Ltd. and/or selected sub-advisors.

The SICAV is registered in Austria, Belgium, France, Finland, Germany, Hong Kong, Italy, Luxembourg, The Netherlands, Portugal, Spain, Sweden, Switzerland, Taiwan and the

UK; however, this is subject to applicable jurisdictions and some sub-funds and/or share classes may not be available in all jurisdictions. Shares in the Funds may not be offered to

the public in any other country and this document must not be issued, circulated or distributed other than in circumstances which do not constitute an offer to the public and are in

accordance with applicable local legislation.

Threadneedle (Lux) is authorised in Spain by the Comisión Nacional del Mercado de Valores (CNMV) and registered with the relevant CNMV's Registered with number 177.

Shares in the Funds may not be offered, sold or delivered directly or indirectly in the United States or to or for the account or benefit of any “U.S. Person”, as defined in Regulation

S under the 1933 Act.

This material is for information only and does not constitute an offer or solicitation of an order to buy or sell any securities or other financial instruments, or to provide investment

advice or services.

Subscriptions to a Fund may only be made on the basis of the current Prospectus and the Key Investor Information Document, as well as the latest annual or interim reports and

the applicable terms & conditions. Please refer to the ‘Risk Factors’ section of the Prospectus for all risks applicable to investing in any fund and specifically this Fund. The above

documents are available in English, French, German, Portuguese, Italian, Spanish and Dutch (no Dutch Prospectus) and can be obtained free of charge on request by writing to

the SICAV’s registered office at 31, Z.A. Bourmicht, L-8070 Bertrange, Grand Duchy of Luxembourg and/or from in Austria: Erste Bank, Graben 21 A-1010 Wien; in Belgium: J.P.

Morgan Chase Bank Brussels, 1, Boulevard du Roi Albert II, 1210 Brussels; in France from CACEIS Bank, 1/3 Place Valhubert, 75013 Paris;

in Finland from Eufex Bank Plc, Keilaranta 19, 02150 Espoo; in Germany from JP Morgan AG, Junghofstr. 14, 60311 Frankfurt, in the UK from JPMorgan Worldwide Securities

Services, 60 Victoria Embankment, London EC4Y 0JP; in Sweden from Skandinaviska Enskilda Banken AB (publ), Sergels Torg 2, 106 40 Stockholm.

Het compartiment is op grond van artikel 1:107 van de Wet op het financieel toezicht opgenomen in het register dat wordt gehouden door de Autoriteit Financiële Markten. /

Pursuant to article 1:107 of the Act of Financial Supervision, the subfund is included in the register that is kept by the AFM.

Important information (cont.)

52

Please read the Prospectus before investing.

For Swiss investors: Subscriptions to a Fund may only be made on the basis of the current Prospectus and the Key Investor Information Document, as well as the latest annual or

interim reports, which can be obtained free of charge on request, and the applicable Terms & Conditions. Please refer to the ‘Risk Factors’ section of the Prospectus for all risks

applicable to investing in any fund and specifically this Fund. The above documents and the instrument of incorporation can be obtained from our representative and Paying Agent

in Switzerland, RBC Investor Services Bank S.A., Esch-sur-Alzette, succursale de Zurich, Badenerstrasse 567, Case Postale 101, CH-8066 Zurich.

The mention of any specific shares or bonds should not be taken as a recommendation to deal.

This document is a marketing communication. The research and analysis included in this document have not been prepared in accordance with the legal requirements designed to

promote its independence and have been produced by Columbia Threadneedle Investments for its own investment management activi ties, may have been acted upon prior to

publication and is made available here incidentally. Any opinions expressed are made as at the date of publication but are subject to change without notice and should not be seen

as investment advice. Information obtained from external sources is believed to be reliable but its accuracy or completeness cannot be guaranteed.

This presentation and its contents are confidential and proprietary. The information provided in this presentation is for the sole use of those attending the presentation. It may not

be reproduced in any form or passed on to any third party without the express written permission of Columbia Threadneedle Investments. This presentation is the property of

Columbia Threadneedle Investments and must be returned upon request.

Threadneedle Management Luxembourg S.A. Registered with the Registre de Commerce et des Societes (Luxembourg), Registered No. B 110242, 74, rue Mühlenweg, L-2155

Luxembourg, Grand Duchy of Luxembourg.

In the UK issued by Threadneedle Asset Management Limited. Registered in England and Wales, Registered No. 573204, Cannon Place, 78 Cannon Street, London EC4N 6AG,

United Kingdom. Authorised and regulated in the UK by the Financial Conduct Authority.

This document is distributed by Columbia Threadneedle Investments (ME) Limited, which is regulated by the Dubai Financial Services Authority (DFSA).

For Distributors: This document is intended to provide distributors’ with information about Group products and services and is not for further distribution.

For Institutional Clients: The information in this document is not intended as financial advice and is only intended for persons with appropriate investment knowledge and who meet

the regulatory criteria to be classified as a Professional Client under the DFSA Rules.

Columbia Threadneedle Investments is the global brand name of the Columbia and Threadneedle group of companies.

alternative risk premia - institutional money...source: columbia management investment advisers....

Documents