Altron Group Pension Fund
© 2018 Willis Towers Watson. All rights reserved.
Quarterly Performance Report
SEPTEMBER 2018
TABLE OF CONTENTS
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1. Executive Summary 3
2. Introduction 10
3. Market Overview 14
4. Investment Portfolio Performance 19
5. Performance Analysis – Individual Investment Managers 30
6. Risk and return profile 53
7. Performance relative to objective and inflation 54
8. Comparative Peer Review 58
9. Mandate Compliance 62
Annexure I: Portfolio Returns 66
Annexure II: Portfolio Fees & Mandate Summary 67
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1. Executive Summary
1.1 Performance relative to objectives and benchmarksThe table below summarises the key results for the various portfolios operated by the Fund.
In terms of the investment objectives set for the Fund:
• The Wealth Builder Portfolio performance should ideally be measured over a period of 7 years. The performance history now exceeds 7 years,
and the primary investment objective has been met when measured over the period since inception. Performance has been slightly behind the
benchmark over this period.
• The Pension Protector Portfolio performance should ideally be measured over a period of 5 years. The performance history exceeds 5 years
and the primary objective has been met over the full period since inception. Performance has been marginally behind the benchmark over this
period.
• The Conservative Portfolio performance should ideally be measured over a period of 3 years. The performance history exceeds 3 years and
the primary objective has been met over the full period since inception. Performance has lagged the benchmark over this period.
• The Shari’ah Portfolio has lagged the inflation-related objective significantly since inception, but is ahead of its benchmark over this period.
• The benchmarks are set out in Section 2.4 of the report.
PortfolioInvestment
Objective
Inception date
and period to
report date
Meeting
Objective?Benchmark
Out-performing
Benchmark?
Wealth Builder CPI + 6% p.a.1 Oct 2008;
10 years
Yes, by 0.5% p.a.
since inceptionWB Benchmark
No, by -0.5% p.a.
since inception
Pension
ProtectorCPI + 5% p.a.
1 Oct 2008;
10 years
Yes, by 0.8% p.a.
since inceptionPP Benchmark
No, by -0.2% p.a.
since inception
Conservative CPI + 3.5% p.a.1 Dec 2010;
7 years, 10 months
Yes, by 0.4% p.a.
since inceptionCP Benchmark
No, by -1.0% p.a.
since inception
Shari’ah CPI + 4% p.a.1 May 2013;
5 years, 5 months
No, by -4.8% p.a.
since inception
Shari'ah
Benchmark
Yes, by 2.4% p.a.
since inception
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Altron Group Pension Fund
Fund performance per investment portfolio
The table below summarises the investment returns achieved by the Fund’s investment portfolios over various measurement periods to 30 September 2018. It is noted that
returns for periods longer than a year have been annualised.
Fund performance per asset class and investment manager
The tables below summarises the investment returns achieved by the Fund’s investment managers over various measurement periods to 30 September 2018 – see note 4
below.
Portfolio
Market value -
September 2018
R'm
Performance % Portfolio Benchmark ObjectiveInception
Date1 Month 3 Months Year to Date 1 Year 3 Year 5 Year Since inception
SA EQUITIES
Coronation Houseview R 223.0 -4.2% -3.5% -6.9% -1.8% 4.0% 4.8% 10.0% 10.6% 14.1% Jan-11
Visio R 302.7 -3.5% -1.8% -3.1% -0.3% 2.3% n/a 0.9% 2.6% 6.1% Apr-15
Kagiso R 301.4 -3.2% -0.4% -4.9% -1.3% 3.7% 4.2% 8.8% 11.2% 12.2% Jun-12
Prudential R 454.0 -4.6% -2.7% -4.1% 5.8% 7.2% 9.1% 13.3% 11.2% 13.7% Jun-12
Steyn Capital R 214.2 -1.6% -0.6% -10.1% -9.0% n/a n/a -9.5% -1.4% -0.4% Sep-17
Capped SWIX -4.2% -1.7% -7.4% 0.4% 4.5% 7.4%
TOTAL SA EQUITIES R 1,495.4 -3.6% -1.9% -5.4% -0.2% 3.8% 5.1%
SA LISTED PROPERTY
Sesfikile R 94.3 -1.7% -0.4% -16.5% -10.0% 2.4% n/a 2.7% -1.0% 1.0% Aug-15
Investec Listed Property R 91.2 -2.4% -1.4% -19.4% -12.9% -0.2% 8.6% 11.9% 10.7% 12.7% Jan-11
J253T SAPY -2.6% -1.0% -22.2% -15.7% -1.4% 6.8%
TOTAL SA LISTED PROPERTY R 185.5 -2.1% -0.9% -17.9% -11.5% 1.1% 8.2%
Portfolio
Market value -
September 2018
R'm
Performance % Portfolio Benchmark ObjectiveInception
Date1 Month 3 Months Year to Date 1 Year 3 Year 5 Year Since inception
Wealth Builder R 1,718.3 -2.9% 0.9% 3.5% 4.9% 7.7% 9.1% 11.6% 12.2% 11.2% Oct-08
WB Benchmark -3.0% 1.2% 0.2% 4.3% 7.0% 9.6%
Pension Protector R 3,035.1 -2.0% 1.0% 2.0% 3.5% 6.9% 8.5% 10.9% 11.2% 10.2% Oct-08
PP Benchmark -2.0% 1.0% 0.4% 3.5% 6.4% 9.0%
Conservative R 495.3 -1.5% 1.3% 6.0% 7.7% 8.3% 8.4% 9.4% 10.4% 9.0% Dec-10
CP Benchmark -1.4% 1.9% 2.8% 6.1% 7.9% 9.1%
Money Market Portfolio R 4.5 0.7% 2.1% 6.5% 8.7% 8.6% 7.8% 6.9% 6.8% 6.7% Oct-08
STEFI 0.6% 1.8% 5.4% 7.3% 7.3% 6.8%
Shari'ah R 6.6 -2.1% 1.6% 4.1% 4.2% 6.7% 4.5% 5.1% 2.6% 9.8% May-13
Shari'ah Benchmark -2.1% 2.3% 6.3% 1.6% 2.6% 0.6%
Employer Surplus R 4.2 0.7% n/a n/a n/a n/a n/a 0.7% 0.6% n/a Aug-17
Employer Surplus Benchmark 0.6% n/a n/a n/a n/a n/a
TOTAL R 5,264.0
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Portfolio
Market value -
September
2018 R'm
Performance % Portfolio Benchmark ObjectiveInception
Date1 Month 3 Months Year to Date 1 Year 3 Year 5 Year Since inception
SA NOMINAL BONDS
FG Dev Bond R 67.5 0.4% 1.1% 6.5% 9.4% 9.2% 8.9% 11.3% 9.3% 10.6% Jun-08
FG Yield R 44.2 0.3% 1.0% 6.7% 9.7% 9.5% 9.0% 11.5% 9.3% 10.6% Jun-08
BEASSA All-Bond Index 0.3% 0.8% 4.8% 7.1% 7.7% 7.2%
SA IL BONDS (ACTIVES)
Aluwani Passive ILB R 56.7 0.3% -0.2% -1.2% -0.5% 2.3% 5.4% 6.9% 7.1% 7.1% Aug-08
R202 0.3% -0.2% -1.0% -0.3% 2.4% 5.5%
FG IDILBF Actives R 53.3 0.3% 0.1% n/a n/a n/a n/a -2.9% -2.4% -2.0% May-18
BILBI 15+ year 0.4% 1.2% n/a n/a n/a n/a
PENSIONER MATCHING
PORTFOLIO
Old Mutual Pensioner LHP* R 1,028.3 0.4% 0.4% n/a n/a n/a n/a -2.4% -1.6% 3.0% May-18
FG IDILBF Pensioners R 55.4 0.3% 0.2% n/a n/a n/a n/a -2.6% -2.4% -2.0%May-18
LHP Ref Portfolio+0.5% p.a 0.4% 0.4% n/a n/a n/a n/a
TOTAL SA BONDS R 1,305.3 0.4% 0.4% 1.2% 2.7% 4.7% 6.4%
SA CREDIT BONDS
Investec Credit Opps R 219.1 1.0% 3.1% 7.5% 10.2% 11.1% 9.5% 9.5% 6.1% 9.8% Feb-11
STEFI 3-month 0.5% 1.5% 5.1% 6.9% 7.0% 6.5%
TOTAL SA CREDIT BONDS R 219.1 1.0% 3.1% 7.5% 10.2% 11.1% 9.5%
PRIVATE EQUITY
OM Renewable Energy SF R 80.5 0.1% -1.6% 2.7% 15.2% 14.4% 18.4% 19.6% 12.5% 12.5% Jan-13
CPI + 7% p.a. 1.0% 2.9% 9.3% 11.9% 12.3% 12.3%
Vantage Mezzanine Fund II R 55.4 -2.5% 3.2% 15.1% -0.9% 5.5% 13.7% 10.2% 16.4% n/a Apr-12
TOTAL PRIVATE EQUITY R 135.9
SA CASH
Investec Money Fund R 9.4 0.7% 2.1% 6.6% 8.8% 8.6% 7.9% 7.6% 6.6% 6.8% Dec-12
STEFI 0.6% 1.8% 5.4% 7.3% 7.3% 6.8%
SHARI'AH
27four Shari'ah Wealth Builder R 6.6 -2.1% 1.6% 4.1% 4.2% n/a n/a 2.6% 1.2% 10.1% Sep-16
Shari'ah Benchmark -2.1% 2.3% 6.3% 1.6% n/a n/a
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Portfolio
Market value -
September 2018
R'm
Performance % Portfolio Benchmark ObjectiveInception
Date1 Month 3 Months Year to Date 1 Year 3 Year 5 Year Since inception
DEVELOPED MARKET EQUITIES (ZAR)
Hosking R 231.6 -3.3% 5.3% 13.2% 10.1% 12.3% n/a 13.8% 15.3% 19.3% Sep-14
Contrarius R 178.7 -1.6% -1.9% 24.7% 26.7% 26.3% 19.5% 24.1% 20.2% 24.2% Jan-11
Veritas (via Sygnia) R 243.1 -2.8% 9.0% 21.2% 12.6% 13.5% 16.8% 20.0% 20.1% 24.9% Dec-12
Ardevora R 184.3 -4.4% 5.6% 21.1% 17.6% n/a n/a 16.2% 15.2% 19.7% Aug-16
Polaris R 181.0 -3.1% 4.3% 14.2% 10.6% n/a n/a 14.5% 15.2% 19.7% Aug-16
MSCI AC World (ZAR) -3.0% 7.8% 19.2% 15.6% 14.9% 17.0%
TOTAL DEVELOPED
MARKET EQUITIES (ZAR)R 1,018.7 -3.1% 3.6% 17.2% 13.3% 15.9% 16.2%
EMERGING MARKET
EQUITIES (ZAR)
EM Equity (via Sygnia) R 162.3 -6.7% n/a n/a n/a n/a n/a 1.5% 4.6% 5.0% Aug-18
MSCI EM (ZAR) -3.9%
INT'L PROPERTY (ZAR)
Resolution (via Sygnia) R 154.1 -8.6% n/a n/a n/a n/a n/a 7.2% 6.9% 7.3% Aug-18
FTSE EPRA/NAREIT (ZAR) -5.4%
DEVELOPED MARKETS
EQUITIES (USD)
Hosking $16.4 -0.3% 1.6% -1.4% 4.7% 11.1% n/a 6.0% 7.6% 11.6% Sep-14
Contrarius $12.6 1.8% -5.0% 9.1% 20.8% 25.3% 11.7% 12.5% 9.0% 13.0% Jan-11
Veritas (via Sygnia) $17.2 0.6% 6.8% 7.3% 8.8% 13.6% 9.7% 11.4% 10.9% 14.9% Dec-12
Ardevora $13.0 -1.0% 3.2% 6.7% 13.1% n/a n/a 15.6% 14.1% 18.6% Aug-16
Polaris $12.8 0.4% 1.7% 0.6% 6.3% n/a n/a 13.8% 14.1% 18.6% Aug-16
MSCI AC World (USD) 0.5% 4.4% 4.3% 10.3% 14.0% 9.2%
TOTAL DEVELOPED
MARKETS EQUITIES (USD)$72.0 0.2% 2.4% 4.5% 10.3% 15.7% 9.0%
EMERGING MARKET
EQUITIES (USD)
EM Equity (via Sygnia) $11.5 -4.2% n/a n/a n/a n/a n/a -6.8% -3.2% -2.8% Aug-18
MSCI EM (USD) -0.5%
INT'L PROPERTY (USD)
Resolution (via Sygnia) $10.9 -5.4% n/a n/a n/a n/a n/a -0.8% -1.0% -0.7% Aug-18
FTSE EPRA/NAREIT (USD) -2.0%
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NOTES:
* The initial transfer of assets to the Old Mutual Pensioner Liability Hedging Portfolio (LHP) took place towards the end of March 2018 with the bulk of the
transfers taking place in April. For performance measurement purposes, the inception date of this portfolio is therefore assumed to be 01 May 2018.
** Allan Gray Global Absolute from 01 May 2018.
*** The residual balance consists of some Eskom inflation-linked bonds and a few similarly illiquid holdings which are being managed by ABSA until they can
be sold at a reasonable price.
INT'L BONDS (ZAR)
Colchester R 76.2 -4.0% 0.3% 9.0% -0.4% 2.4% 6.9% 12.1% 11.3% 12.8% Jan-11
JP Morgan Gov Bond
(ZAR)-4.5% 1.5% 11.3% 3.1% 2.2% 7.5%
INT'L BONDS (USD)
Colchester $5.4 -0.6% -1.1% -2.3% -2.6% 2.7% 0.5% 2.0% 0.9% 2.4% Jan-11
JP Morgan Gov Bond
(USD)-1.1% -1.7% -2.6% -1.6% 1.5% 0.5%
CONSERVATIVE
MANAGERS
Coronation Inflation Plus R 167.6 -1.6% 1.0% 3.9% 4.1% 6.6% 7.1% 9.6% 10.3% 9.1% Jan-11
Allan Gray Global
Stable/Absolute**R 168.3 -2.1% 1.3% 7.2% 9.4% 10.2% 9.5% 10.2% 10.6% 10.4% Apr-18
ABSA Absolute
(Domestic)***R 19.9 0.9% 0.6% 1.9% 4.8% 5.6% 6.8% 7.1% 10.1% 8.9% Nov-12
ABAX Global Absolute R 139.5 -0.9% 2.1% 3.0% n/a n/a n/a 3.0% 2.8% 6.6% Jan-18
CP Benchmark -1.4% 1.9% 2.8% 6.1% 7.9% 9.1%
TOTAL CONSERVATIVE R 495.3 -1.5% 1.3% 6.0% 7.7% 8.3% 8.4%
Period since inception legend (for
managers/portfolios who exceeded objective
measurement period)
Not meeting benchmark or objective %%
Meeting benchmark but not objective(For WB, Conservative and CP, this means the CPI-related objective is met, but not the benchmark)
%%
Meeting benchmark and objective %%
Portfolio
Market value -
September
2018 R'm
Performance % Portfolio Benchmark ObjectiveInception
Date1 Month 3 Months Year to Date 1 Year 3 Years 5 Years Since inception
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Market value –
June 2018 R'm
Investments
R'm
Disinvestments
R'm
Net Investment
income R'm
Market value –
September 2018 R'm
% of Invested Fund
Value
SA EQUITY
Coronation Houseview 229.7 1.4 (8.1) 223.0 4.2%
Visio 307.7 0.8 (5.7) 302.7 5.8%
Kagiso 301.4 1.3 (1.3) 301.4 5.7%
Prudential 469.9 (3.1) (12.7) 454.0 8.6%
Steyn Capital 213.3 2.2 (1.3) 214.2 4.1%
SA LISTED PROPERTY
Sesfikile Listed Property 93.5 1.2 (0.4) 94.3 1.8%
Investec Listed Property 91.3 1.2 (1.3) 91.2 1.7%
SA NOMINAL BONDS
Futuregrowth Development Bond 64.4 2.4 0.7 67.5 1.3%
Futuregrowth Yield 42.0 1.6 0.5 44.2 0.8%
SA IL BONDS (ACTIVES)
Aluwani Passive Inflation Linked 56.8 - - (0.1) 56.7 1.1%
Futuregrowth IDILBF Actives 49.3 4.0 0.0 53.3 1.0%
PENSIONER MATCHING
PORTFOLIO
Old Mutual Pensioner LHP 1 064.2 (39.9) 4.0 1028.3 19.5%
Futuregrowth IDILBF Pensioners 55.2 - - 0.2 55.4 1.1%
SA CREDIT
Investec Credit Opps 229.5 (17.1) 6.7 219.1 4.2%
PRIVATE EQUITY
Vantage Mezzanine Fund II 56.1 (2.5) 1.9 55.4 1.1%
OM Renewable Energy SF 81.8 - - (1.3) 80.5 1.5%
SA CASH
Investec Money Market Fund 5.5 3.3 0.6 9.4 0.2%
SHARI'AH
27 Four Shari'ah 6.4 0.1 0.1 6.6 0.1%
1.4. Market value of assetsThe table below summarises market values, cash flows and investment income over the quarter ended 30 September 2018.
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Market value –
June 2018 R'm
Investments
R'm
Disinvestments
R'm
Net Investment
income R'm
Market value –
September 2018 R'm
% of Invested Fund
Value
DEVELOPED MARKET EQUITY
Hosking 280.1 (64.5) 16.0 231.6 4.4%
Contrarius 182.2 - - (3.5) 178.7 3.4%
Walter Scott 197.3 (195.5) (1.8) 0.0 0.0%
Ardevora 202.9 (29.3) 10.7 184.3 3.5%
Polaris 196.0 (22.9) 7.9 181.0 3.4%
Veritas (via Sygnia) 277.5 (57.3) 22.9 243.1 4.6%
EMERGING MARKET EQUITY
EM Equity (via Sygnia) 0.0 163.1 (0.7) 162.3 3.1%
INTERNATIONAL PROPERTY
Resolution (via Sygnia) 0.0 143.8 10.4 154.1 2.9%
INTERNATIONAL BONDS
Colchester 103.2 (27.2) 0.3 76.2 1.4%
CONSERVATIVE PORTFOLIO
Coronation Inflation Plus 175.2 (9.3) 1.6 167.6 3.2%
Allan Gray Global Stable 178.0 (11.9) 2.2 168.3 3.2%
ABSA Absolute 19.8 - - 0.1 19.9 0.4%
ABAX Global Absolute 99.2 37.9 2.4 139.5 2.6%
TOTAL 5329.5 364.3 (480.7) 51.0 5264.0 100.0%
Market value of assetsThe table below summarises market values, cash flows and investment income over the quarter ended 30 September 2018.
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2.1 Purpose of report
2.1.1 This report deals with the investment performance of the Altron Group Pension Fund (the “Fund”) for the quarter ended 30 September 2018.
2.1.2 Throughout the report, investment returns are quoted net of investment manager fees and are determined on a money weighted rate of return basis
(i.e. impacted by cash flows over the periods considered). These returns may therefore differ from the returns reported by the individual managers
which are typically on a gross of fees, time weighted rate of return basis (not impacted by cash flows). Benchmark/ index returns are quoted before
any equivalent fees.
2.2 Significant events since the previous quarter
2.2.1 The Veritas portfolio has switched into the AMX offering via Sygnia to take advantage of the decreased fee.
2.2.2 Global Emerging market equity exposure using a WTW manager blend via Sygnia was added during the quarter.
2.2.3 International property exposure via Sygnia, managed by Resolution Capital, was added during the quarter.
2.2.4 The exposure to Walter Scott was terminated during the quarter.
2. Introduction
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100% 100%
80%
60%
40%
20%20%
40%
60%
80%
100% 100%
0%
20%
40%
60%
80%
100%
8 7 6 5 4 3 2 1
Life Stage Model
Wealth Builder Conservative
2.3 Investment portfolios offered by the Fund
2.3.1 The Fund operates by way of a Life Stage model and can be summarised as follows:
- The Inflation Protector Portfolio was discontinued and the Conservative Portfolio was introduced with effect 1 December 2010.
- The default Life Stage model was restructured to operate in a way such that active members’ assets are gradually transferred from the Wealth Builder to the
Conservative Portfolio, based on term to retirement as indicated in the graph below. On retirement, the pensioner’s assets are transferred into the Pension
Protector Portfolio.
2.3.2 The portfolios operated by the Fund can be described as follows:
• Wealth Builder Portfolio – the primary purpose of this portfolio is to target a return 6% in excess of inflation and is thus designed to deal with inflation risk.
This portfolio will have a high exposure to growth assets (i.e. equity) and is most suitable for members that have a long term investment horizon.
• Conservative Portfolio – this portfolio offers some degree of protection against investment risk as members near their retirement age. The portfolio aims to
achieve a return of inflation plus 3.5%.
• Pension Protector Portfolio – following the review of the investment strategy, this portfolio is made up of the pensioner assets only and aims to achieve a
return of inflation plus 5% in order to be able to award pension increases in line with inflation.
• Cash Portfolio – this is an elective portfolio and is a cash investment only.
• Shari’ah Compliant Portfolio – this is an elective portfolio managed in accordance with Shari’ah law by 27Four through its Fund of Funds offering.
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Asset Class Wealth Builder Benchmark Inflation Protector Benchmark Pension Protector Benchmark
SA Equities 65.0% 55.0% 45.0%
SA Bonds 5.0% 5.0% 10.0%
SA Index Linked Bonds 8.0% 15.0% 20.0%
SA Cash 2.0% 5.0% 5.0%
International 20.0% 20.0% 20.0%
Wealth BuilderWith effect
1 December 2010
With effect
1 March 2011
With effect
31 December
2012
With effect
01 July 2018*Index
SA Equities 52.0% 47.5% 46.5% 42.5% FTSE/JSE Capped SWIX
SA Property 5.0% 5.0% 5.0% 5.0% SA Listed Property SAPY (J253)
SA Credit 5.0% 5.0% 5.0% 5.0% STEFI + 2.5% p.a.
SA Nominal Bonds 9.0% 7.0% 7.0% 7.0% BEASSA All Bond Index (ALBI)
SA Index Linked Bonds 9.0% 9.0% 9.0% 7.0% RSA R202 IL Bonds
PE (Mezz Debt) 0.0% 2.5% 2.5% 2.5%STEFI + 10% p.a. (2.5% included in SA equities
from 1 July 2018)
Private Equity: SRI 0.0% 0.0% 1.0% 1.0%CPI + 7% (1% included in SA equities for
calculation purposes)
DM Equities 17.0% 20.0% 20.0% 20.0% MSCI All Country World Index (MSCI)
EM Equities n/a n/a n/a 3.0% MSCI Emerging Market Index
Global Property n/a n/a n/a 3.0% FTSE EPRA/NAREIT
Global Bonds 3.0% 4.0% 4.0% 4.0% JP Morgan World Government Bond
2.4.2 The benchmarks for the Wealth Builder and Pension Protector portfolios are as follows:
2.4 General information
2.4.1 The following were the benchmarks against which performance of the Fund’s Life Stage Portfolios were assessed prior to the investment strategy review, i.e. up to
30 November 2010:
* The changes to the strategic asset allocation to target the new 30% offshore allowance have been implemented effective 1 July 2018, with the realignment
exercise being completed during July/August 2018. These changes include the introduction of two new asset classes in the form of global emerging market
equities and global listed property.
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Pension ProtectorWith effect
1 March 2011
With effect
31 December
2012
With effect
1 May 2018
With effect
1 July 2018*Index
SA Equities 34.0% 33.0% 33.0% 27.5% FTSE/JSE Capped SWIX
SA Property 5.0% 5.0% 5.0% 5.0% SA Listed Property SAPY (J253)
SA Credit 5.0% 5.0% 5.0% 5.0% STEFI + 2.5% p.a.
SA Bonds 12.0% 12.0% 0.0% 0.0% BEASSA All Bond Index (ALBI)
SA Index Linked Bonds 22.0% 22.0% 38.5% 38.5% RSA R202 IL Bonds
Private Equity: SRI 0.0% 1.0% 1.0% 1.0%CPI + 7% (1% included in SA equities for
calculation purposes)
DM Equity 17.5% 17.5% 17.5% 17.5% MSCI All Country World Index (MSCI)
EM Equity n/a n/a n/a 2.5% MSCI Emerging Market Index
Global Property 3.0% FTSE EPRA/NAREIT
International Bonds 4.5% 4.5% 0.0% 0.0% JP Morgan World Government Bond
Conservative Allocation** Index
SA Equities 15.0% FTSE/JSE Capped SWIX
SA Property 10.0% SA Listed Property SAPY (J253)
SA Inflation-linked bonds 10.0% RSA R202 IL Bonds
SA Cash 42.0% STEFI Composite Index
Global Equity 16.0% MSCI All Country World Index (MSCI)
Global Bonds 4.0% JP Morgan World Government Bond
Global Property 3.0% FTSE EPRA/NAREIT
* The changes to the strategic asset allocation to target the new (higher) offshore allowance (up from 17.5% to 23%) have been implemented effective 1 July 2018, with
the realignment exercise completed during July/August 2018.
2.4.3 The benchmark for the Conservative Portfolio is as follows:
2.4.4 The benchmark for the Shari’ah portfolio has been amended from 1 August 2016 to be in line with the internal benchmark used by 27Four for their Wealth Builder
fund. This benchmark is as follows: 50% FTSE Shari’ah Capped Top 40 Index, 22.5% Dow Jones Islamic Market Titans 100 Total Return index, 2.5% Lotus
Islamic Market Index, 14% STeFI Composit Index, 5% Newgold Platinum reference price, and 5% Dow Jones Sukuk Index. 1% is held in the call account for
liquidity purposes. Prior to 1 August 2016, the Shari’ah benchmark was: 60% FTSE Shari’ah All Share Index, and 40% STEFI Composite Index, less 1%.
2.4.5 Benchmarks and performance objectives for individual managers are set out in Section 5 of this report.
2.4.6 Headline inflation (CPI) was rebased and restated retrospectively in January 2009, reflecting the new CPI “basket” (as per Stats SA). The old CPI index was
“blended” with the restated CPI index and the CPI shown throughout the report reflects the “blended” version.
** The benchmark strategic asset allocation for the Conservative Portfolio was also recently reviewed and updated in the SIP – this will take effect from 1 July 2018
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This section deals with an analysis of market performance over various measurement periods ended 30 September 2018. This analysis provides some insight into the
drivers of the recent performance of the Fund.
3.1 Index returns
3.1.1 The chart below shows the performance of the traditional asset classes and other indices for various measurement periods ended 30 September 2018.
SA Equity(Capped
SWIX)
SA Equity(ALSI)
SA Bonds(ALBI)
ListedProperty
(J253 SAPY)
SA Cash(STEFI
Composite)
Int'l Equity(ZAR) (MSCI
AC)
Int'l Bonds(ZAR) (JPMorgan)
ZAR / US $Exchange
HeadlineInflation
(CPI)
3 Months -1.7% -2.2% 0.8% -1.0% 1.8% 7.8% 1.5% 3.2% 1.1%
1 Year 0.4% 3.3% 7.1% -15.7% 7.3% 15.6% 3.1% 4.8% 4.9%
3 Years 4.5% 6.7% 7.7% -1.4% 7.3% 14.9% 2.2% 0.8% 5.3%
5 Years 7.4% 8.0% 7.2% 6.8% 6.8% 17.0% 7.5% 7.1% 5.3%
10 Years 12.1% 8.6% 13.5% 6.8% 14.8% 8.1% 5.5% 5.2%
-20.0%
-15.0%
-10.0%
-5.0%
0.0%
5.0%
10.0%
15.0%
20.0%
3. Market overview
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SA Equity (ALSI) Resources (RESI) Industrials FinancialsIndustrials & Financials
(FINDI)
3 Months -2.2% 5.2% -7.8% 2.8% -4.5%
1 Year 3.3% 26.9% -7.7% 8.1% -2.9%
3 Years 6.7% 15.7% 2.5% 4.6% 3.3%
5 Years 8.0% 1.0% 7.7% 10.9% 8.7%
10 Years 12.1% 2.9% 16.2% 13.8% 15.5%
-10.0%
-5.0%
0.0%
5.0%
10.0%
15.0%
20.0%
25.0%
30.0%
3.1.2 The following chart shows the performance of the main sectors of the SA Equity market for various measurement periods ended 30 September 2018.
3.1.3 The performance of local equities was negatively impacted by EM headwinds and poor local economic data. The ALSI and the Capped SWIX declined 2.2% and
1.7% respectively over the quarter. Over the year-to-date, the Capped SWIX was down 7.4% (mid caps fell by 12.1%, small caps fell by 7.8% and large caps fell
by 3.2%).
3.1.4 Resources outperformed the financial and industrial sectors over the third quarter and particularly over the past year. Mondi and Sasol (boosted by higher oil
prices) were standout performers within this sector. Platinum shares were also strong contributors. However, the recent rally from resource shares should be
seen in the context of the poor prior performance.
Financials staged a rebound from the poor showings of the previous quarter, delivering 2.8% for the current quarter.
Industrials fell significantly, shedding 7.8% over the quarter. Most notably, within this sector, MTN slumped as much as 18% during the quarter and Naspers was
down 12%. Aspen took the biggest knock, plunging 34% following disappointing earnings releases.
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3.1.7 The following chart shows the performance of the different sectors of the SA All Bond index and Inflation Linked Bonds for various measurement periods
ended 30 September 2018. Cash returns over these periods are also included.
SA Bonds (ALBI) 0 - 3 Years 3 - 7 Years 7 - 12 Years 12+ YearsBarclays Inflation
Linked BondSA Cash (STEFI)
3 Months 0.8% 1.9% 1.5% 1.3% 0.4% 0.6% 1.8%
1 Year 7.1% 6.9% 6.1% 6.5% 7.5% 0.9% 7.3%
3 Years 7.7% 8.0% 8.5% 8.0% 7.3% 3.1% 7.3%
5 Years 7.2% 7.3% 7.6% 7.0% 7.1% 5.2% 6.8%
10 Years 8.6% 7.8% 8.8% 8.8% 8.2% 7.7% 6.8%
0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
6.0%
7.0%
8.0%
9.0%
10.0%
3.1.8 The local bond market did not fare particularly well in an environment of reduced global risk appetite. Yields rose as the combination of capital outflows from EMs, a
firm dollar and rising US interest rates contributed to market weakness. However, the weakening pressure on the SA bond market was relatively contained in
comparison to some of the other EMs over the quarter. Nominal and inflation-linked bonds managed to eke out positive returns of 0.8% and 0.6% respectively.
The rand weakened broadly against a basket of major currencies over the quarter, falling most steeply against the strong US dollar. The local currency lost 3.2%
against the US dollar, 2.0% against the British pound and 2.7% against the euro over the quarter.
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3.2 Comment on economies and markets over the quarter
Domestic
• Local markets experienced a volatile quarter underpinned by a challenging global backdrop and poor local economic data releases. A second consecutive quarterly
contraction in economic growth (as measured by GDP) has placed the South African economy in a recession. Persistent uncertainty and risk pertaining to key issues
of land reform, the economy’s large twin deficits and the financial position of state-owned enterprises dominated the local narrative over the quarter.
• As a small economy and a country more vulnerable to external pressures, the combination of US dollar strength, the negative spill-over emanating from EM volatility
and the higher oil price saw the rand weaken sharply against a strong US dollar. President Cyril Ramaphosa’s policy assurances and the release of the revised, and
improved, Mining Charter moderated some of the unease and provided some respite towards quarter end.
• The economy contracted by 0.7% during the second quarter of 2018. The decline in GDP was led by the agricultural sector, which was down 29% for the quarter.
Other significant contributors to the contraction were the trade (-1.9%) and transport industries (-4.9%). On a more positive note, the current account deficit narrowed
to 3.3% from the revised figure of 4.6% reported in the previous quarter.
• The South African Reserve Bank (SARB) kept rates unchanged at the September meeting, while also striking a more hawkish tone with three out of the seven
members voting in favour of a hike. The SARB highlighted the deteriorating outlook on inflation, which currently remains within the target range but is projected to
drift higher.
• Besides EM contagion, several economic risks dragged on global sentiment towards SA bonds, including policy ambiguity and uncertainty regarding land
expropriation.
• Sectoral performance within the SA equity market registered the greatest gains in the resources sector boosted by the strong performance of platinum, precious
metals and industrial metals over the quarter, which, together with dual-listed shares, benefited from a weaker rand.
Global
• Global financial markets were largely driven by US-China trade tensions, higher oil prices, rising US policy rates accompanied by a firm US dollar and a reduction in
global liquidity. These factors presented headwinds for emerging markets (EMs) and led to a broad derating of EMs over the quarter. EMs are especially vulnerable
in an environment of rising US interest rates and a strong US dollar, as they rely on global capital flows and positive investor sentiment towards risk.
• Several EM currencies reeled as contagion from the crash of the Turkish lira led to a sharp sell-off. However, there was a strong rebound towards the end of the
quarter as moves to expedite policy responses and countermeasures among various EM economies eased concerns.
• Against this backdrop, EM assets remained on the back foot, underperforming developed markets (DM). DM equities gained ground, with the MSCI World Index
(representing DM equities) rising 5.1% (in US dollars) over the quarter. US equities led the charge, spurred on by robust economic growth, a strong corporate
earnings season and solid employment numbers which all lifted the S&P 500 to record highs. The index rendered a strong return of 7.7% (in US dollars) for the
quarter.
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Current Market Risks and Outlook
• If rising trade tensions were to escalate into a global trade war, the impact on global economic prospects would be meaningful. EM countries, with economies which
are particularly dependent on global trade, are likely to be impacted to a greater extent.
• A further risk for EM countries that rely heavily on external funding is the US Fed’s cycle of monetary tightening and reduction in global liquidity. Economies with
significant dollar-denominated sovereign debt positions and large, or widening, current account deficits will likely come under substantial pressure in this
environment.
• Several EM economies have been forced to respond by also tightening monetary policy, in an effort to avert further deterioration in their economies, curb
hyperinflationary conditions and defend their currencies. This will not bode well for growth expectations within these economies.
• Higher international oil prices are an additional headwind for EM economies that are large oil importers, particularly those whose currencies have recently
experienced volatility such as South Africa.
• The SA economy remains plagued by political and policy uncertainty. The World Bank reduced its 2018 growth forecast for South African GDP expansion to 1.0%
from its earlier estimate of 1.4%, noting constrained domestic conditions emanating from a range of factors including the structurally high unemployment levels. The
IMF echoed similar sentiments in its latest downward revision of SA growth forecasts to 0.8% for 2018 from a previous projection of 1.1%, citing the lingering
uncertainty in SA’s business environment as a further threat to the growth prospects. This is likely to also reflect in a dimmer 2018/2019 growth outlook by National
Treasury in the upcoming Medium Term Budget Policy Statement, which will be watched closely following the recent change in the Finance Minister.
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4. Investment Portfolio Performance
4.1 Wealth Builder Portfolio
4.1.1 Asset Allocation
The table and chart below compares the effective asset allocation of the Wealth Builder Portfolio to its strategic asset allocation as at 30 September 2018.
0.0% 10.0% 20.0% 30.0% 40.0% 50.0%
Global Bonds
Global Developed World Equities
Global Emerging Market Equities
Global Listed Property
SA Cash
Private Equity: SRI
Private Equity Mez Debt
SA Credit
SA Index Linked Bonds
SA Nominal Bonds
SA Listed Property
SA Equity
Strategic Allocation Actual Allocation
Rebalancing band Position at month-end
Wealth Builder
R’m
Actual Asset
Allocation
Strategic Asset
AllocationLower Upper
Over /
Underweight
Within rebalancing
band?
SA Equity R 683.8 39.8% 42.5% 38.5% 46.5% -2.7% fine - within bands
SA Listed Property R 65.5 3.8% 5.0% 3.0% 7.0% -1.2% fine - within bands
SA Nominal Bonds R 111.7 6.5% 7.0% 5.0% 9.0% -0.5% fine - within bands
SA Index Linked Bonds R 110.0 6.4% 7.0% 5.0% 9.0% -0.6% fine - within bands
SA Credit R 77.3 4.5% 5.0% -0.5% no rebalancing
Private Equity: Mezz Debt R 55.4 3.2% 2.5% 0.7% no rebalancing
Private Equity: SRI R 28.4 1.7% 1.0% 0.7% no rebalancing
SA Cash R 0.3 0.0% 0.0% 0.0% no rebalancing
Global Developed World Equities R 391.1 22.8% 20.0% 17.0% 23.0% 2.8% fine - within bands
Global Emerging Market Equities R 64.2 3.7% 3.0% 1.5% 4.5% 0.7% fine - within bands
Global Listed Property R 54.4 3.2% 3.0% 1.5% 4.5% 0.2% fine - within bands
Global Bonds R 76.2 4.4% 4.0% 2.0% 6.0% 0.4% fine - within bands
Total R 1,718.3 100.0% 100.0%
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4.1.2.3 The following table sets out key risk statistics for the Portfolio for the period since inception (1 October 2008):
1 The “tracking error” is the standard deviation of active returns (active return is the portfolio return minus benchmark return). Over long periods a low number indicates that a portfolio behaves similar to the
benchmark.
2 The “information ratio” measures the extent to which the actual Portfolio has outperformed the BMK divided by the “tracking error” – it is therefore a measure of the extra return generated per unit of risk. An
information ratio of 0.4 and higher is regarded as very good.
3 The “variation of return” is a measure of how widely the annual return is dispersed – the lower this measure, the less the risk.
4 The “downside capture” measures the extent to which the manager protects the downside when the BMK delivers a negative return. Over the long term, we would expect the downside to be some 80% to 85% of
negative BMK returns.
5 The “upside capture” measures the extent to which the manager delivers a positive return when the BMK is positive. Over the long term, we would expect the “upside capture” to be some 100% of positive BMK
returns.
Key statistic Wealth Builder Benchmark
Return p.a. since inception 11.6% 12.2%
Excess return p.a. -0.6%
Tracking error to BMK1 2.4%
Information ratio2 -0.3
Variation of return p.a.3 8.9% 8.9%
Downside capture4 95.5%
Upside capture5 95.8%
4.1.2 Portfolio Performance
4.1.2.1 The chart below compares the performance of the Wealth Builder Portfolio to that of its strategic asset allocation benchmark (see Section 2.4) and inflation plus
6% (CPI + 6%) for various measurement periods ended 30 September 2018.
4.1.2.2 The Portfolio’s primary investment objective is to earn a net return that is 6.0% higher than headline inflation over a period of 7 years. The portfolio now has a
10 year history and the primary objective has been met over this period.
3 month YTD 12 month 3 year 5 yearSince
inception
Wealth Builder 0.9% 3.5% 4.9% 7.7% 9.1% 11.6%
WB Benchmark 1.2% 0.2% 4.3% 7.0% 9.6% 12.2%
CPI + 6% 2.6% 8.6% 10.9% 11.3% 11.3% 11.2%
0.0%
4.0%
8.0%
12.0%
16.0%
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4.1.2.4 Comments:
• The Wealth Builder Portfolio’s asset allocations were underweight in most domestic assets and correspondingly overweight in international assets
(compared to the strategic asset allocations).
• As at 30 September 2018 the total offshore exposure of the Wealth Builder Portfolio (excluding the small offshore component of the Credit Opportunities
portfolio) was 34.1%. The offshore exposure at the previous quarter end was 34.6%.
• The Wealth Builder Portfolio has outperformed its performance objective, CPI + 6% per annum (11.2%), by a margin of 0.5% per annum over the period
since inception.
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4.2 Pension Protector Portfolio
4.2.1 Asset Allocation
The table and chart below compares the effective asset allocation of the Pension Protector Portfolio to its strategic asset allocation as at 30 September 2018.
0.0% 10.0% 20.0% 30.0% 40.0% 50.0%
Global Developed World Equities
Global Emerging Market Equities
Global Listed Property
SA Cash
Private Equity: SRI
SA Credit
SA Index Linked Bonds
SA Listed Property
SA Equity
Strategic Allocation Actual Allocation
Rebalancing band Position at month-end
Pension Protector
R’m
Actual Asset
Allocation
Strategic Asset
AllocationLower Upper
Over /
Underweight
Within rebalancing
band?
SA Equity R 811.5 26.7% 27.5% 24.0% 31.0% -0.8% fine - within bands
SA Listed Property R 120.1 4.0% 5.0% 3.0% 7.0% -1.0% fine - within bands
SA Index Linked Bonds R 1,083.7 35.7% 38.5% 35.5% 41.5% -2.8% fine - within bands
SA Credit R 141.8 4.7% 5.0% -0.3% no rebalancing
Private Equity: SRI R 52.1 1.6% 1.0% 0.6% no rebalancing
SA Cash R 0.4 0.1% 0.0% 0.1% no rebalancing
Global Developed World Equities R 627.7 20.7% 17.5% 14.5% 20.5% 3.2% overweight
Global Emerging Market Equities R 98.1 3.2% 2.5% 1.0% 4.0% 0.7% fine - within bands
Global Listed Property R 99.7 3.3% 3.0% 1.5% 4.5% 0.3% fine - within bands
Total R 3,035.1 100.0% 100.0%
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4.2.2.3 The following table sets out key risk statistics for the Portfolio for the period since inception (1 October 2008):
1 The “tracking error” is the standard deviation of active returns (active return is the portfolio return minus benchmark return). Over long periods a low number indicates that a portfolio behaves similar to the
benchmark.
2 The “information ratio” measures the extent to which the actual Portfolio has outperformed the BMK divided by the “tracking error” – it is therefore a measure of the extra return generated per unit of risk. An
information ratio of 0.4 and higher is regarded as very good.
3 The “variation of return” is a measure of how widely the annual return is dispersed – the lower this measure, the less the risk.
4 The “downside capture” measures the extent to which the manager protects the downside when the BMK delivers a negative return. Over the long term, we would expect the downside to be some 80% to 85% of
negative BMK returns.
5 The “upside capture” measures the extent to which the manager delivers a positive return when the BMK is positive. Over the long term, we would expect the “upside capture” to be some 100% of positive BMK
returns.
Key statistic Pension Protector Benchmark
Return p.a. since inception 10.9% 11.2%
Excess return p.a. -0.3%
Tracking error to BMK1 2.1%
Information ratio2 -0.1
Variation of return p.a.3 6.9% 6.9%
Downside capture4 92.1%
Upside capture5 96.2%
4.2.2 Portfolio performance
4.2.2.1 The chart below compares the performance of the Pension Protector Portfolio to that of its strategic asset allocation benchmark (see section 2.4) and inflation
plus 5% (CPI + 5%) for various measurement periods ended 30 September 2018.
4.2.2.2 The Portfolio’s primary investment objective is to earn a net return that is 5% higher than headline inflation over a period of 5 years. The portfolio has
comfortably met the primary objective over the 10 year period since inception.
3 month YTD 12 month 3 year 5 yearSince
inception
Pension Protector 1.0% 2.0% 3.5% 6.9% 8.5% 10.9%
PP Benchmark 1.0% 0.4% 3.5% 6.4% 9.0% 11.2%
CPI + 5% 2.4% 7.8% 9.9% 10.3% 10.3% 10.2%
0.0%
4.0%
8.0%
12.0%
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4.2.2.4 Comments:
• Similar to the Wealth Builder Portfolio, the Pension Protector Portfolio’s asset allocations were underweight in domestic assets and correspondingly
overweight in international assets (compared to the strategic asset allocation).
• As at 30 September 2018 the total offshore exposure of the Pension Protector Portfolio as reflected in the table on page 21 (excluding the small offshore
component of the Credit Opportunities portfolio) was 27.2%.
• The Pension Protector Portfolio has outperformed its performance objective, CPI + 5% per annum (10.2%), by a margin of 0.8% per annum over the
period since inception.
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4.3 Conservative Portfolio
4.3.1 Asset Allocation
The table and chart below compares the effective asset allocation of the Conservative Portfolio to its strategic asset allocation as at 30 September 2018.
0.0% 5.0% 10.0% 15.0% 20.0% 25.0% 30.0% 35.0% 40.0%
Coronation
Allan Gray
ABSA + ABAX
Strategic Allocation Actual Allocation
Rebalancing band Position at month-end
Conservative
R’m
Actual Asset
Allocation
Strategic Asset
AllocationLower Upper
Over /
Underweight
Within rebalancing
band?
Coronation R 167.6 33.8% 33.3% 30.0% 36.7% 0.5% fine - within bands
Allan Gray R 168.3 34.0% 33.3% 30.0% 36.7% 0.7% fine - within bands
ABSA R 19.9 4.0%33.3% 30.0% 36.7% -1.1% fine - within bands
ABAX R 139.5 28.2%
Total R 495.3 100.0% 100.0%
Legend: Underweight Within bands
Overweight Rebalancing required
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4.3.2.3 The following table sets out key risk statistics for the Portfolio for the period since inception (1 December 2010):
1 The “tracking error” is the standard deviation of active returns (active return is the portfolio return minus benchmark return). Over long periods a low number indicates that a portfolio behaves similar to the
benchmark.
2 The “information ratio” measures the extent to which the actual Portfolio has outperformed the BMK divided by the “tracking error” – it is therefore a measure of the extra return generated per unit of risk. An
information ratio of 0.4 and higher is regarded as very good.
3 The “variation of return” is a measure of how widely the annual return is dispersed – the lower this measure, the less the risk.
4 The “downside capture” measures the extent to which the manager protects the downside when the BMK delivers a negative return. Over the long term, we would expect the downside to be some 80% to 85% of
negative BMK returns.
5 The “upside capture” measures the extent to which the manager delivers a positive return when the BMK is positive. Over the long term, we would expect the “upside capture” to be some 100% of positive BMK
returns.
Key statistic Conservative Benchmark
Return p.a. since inception 9.4% 10.5%
Excess return p.a. -1.0%
Tracking error to BMK1 2.0%
Information ratio2 -0.5
Variation of return p.a.3 3.9% 3.9%
Downside capture4 79.0%
Upside capture5 89.0%
4.3.2 Portfolio performance
4.3.2.1 The chart below compares the performance of the Conservative Portfolio to that of its strategic asset allocation benchmark (see Section 2.4) and inflation plus
3.5% (CPI + 3.5%) for various measurement periods to 30 September 2018.
4.3.2.2 The Portfolio’s primary investment objective is to earn a net return that is 3.5% higher than headline inflation over a period of 3 years. The portfolio has more
than a 3 year history. It has not met the primary objective over the last 3 and 5-year period but has done so for the period since inception.
3 month YTD 12 month 3 year 5 yearSince
inception
Conservative 1.3% 6.0% 7.7% 8.3% 8.4% 9.4%
CP Benchmark 1.9% 2.8% 6.1% 7.9% 9.1% 10.4%
CPI + 3.5% 2.0% 6.7% 8.4% 8.8% 8.8% 9.0%
0.0%
4.0%
8.0%
12.0%
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4.3.2.4 Comments:
• The Conservative Portfolio underperformed its benchmark over the since-inception period.
• The Conservative Portfolio has outperformed its performance objective of CPI + 3.5% per annum by a margin of 0.4% per annum over the period since
inception.
4.3.2.5 The following graph shows the 12-month rolling returns of the Conservative Portfolio since inception, against the Conservative Portfolio benchmark. One of the
key result areas for this portfolio is to seek to avoid capital losses over rolling 12-month periods, which has clearly been the case. The median 12-month return
for this Portfolio has been 6.6%.
0.0%
2.0%
4.0%
6.0%
8.0%
10.0%
12.0%
14.0%
16.0%
18.0%
Conservative CP Benchmark
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4.4 Shari’ah Portfolio
4.4.1 Asset Allocation
The following chart compares the effective asset allocation of the Shari’ah Portfolio to its strategic asset allocation as at 30 September 2018.
0.0% 10.0% 20.0% 30.0% 40.0% 50.0% 60.0%
SA Equity
SA Bonds
SA Cash and Money Market
SA Property
SA Commodities
Foreign Equity
Foreign Other
Benchmark Fund
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4.4.2.3 The risk statistics shown for this portfolio below are only based on a 62-month history of returns:
1 The “tracking error” is the standard deviation of active returns (active return is the portfolio return minus benchmark return). Over long periods a low number indicates that a portfolio behaves similar to the benchmark.
2 The “information ratio” measures the extent to which the actual Portfolio has outperformed the BMK divided by the “tracking error” – it is therefore a measure of the extra return generated per unit of risk. An information ratio of 0.4
and higher is regarded as very good.
3 The “variation of return” is a measure of how widely the annual return is dispersed – the lower this measure, the less the risk.
4 The “downside capture” measures the extent to which the manager protects the downside when the BMK delivers a negative return. Over the long term, we would expect the downside to be some 80% to 85% of negative BMK
returns.
5 The “upside capture” measures the extent to which the manager delivers a positive return when the BMK is positive. Over the long term, we would expect the “upside capture” to be some 100% of positive BMK returns.
Key statistic Shari'ah Benchmark
Return p.a. since inception 5.1% 2.6%
Excess return p.a. 2.5%
Tracking error to BMK1 5.9%
Information ratio2 0.4
Variation of return p.a.3 6.9% 10.4%
Downside capture4 48.3%
Upside capture5 70.8%
4.4.2 Portfolio performance
4.4.2.1 The chart below compares the performance of the Shari’ah Portfolio (inception date of May 2013) to that of its strategic asset allocation benchmark (see
Section 2.4) and inflation-related objective (CPI plus 4% p.a. until 31 July 2016, and CPI + 5% p.a. thereafter).
4.4.2.2 The Portfolio’s primary investment objective is to earn a net return that is 5% higher than headline inflation over a period of 5 years. Although the portfolio has
outperformed its benchmark by a large margin over 5 years, the portfolio has failed to meet its performance objective.
3 month YTD 12 month 3 yearSince
inception
Shari'ah 1.6% 4.1% 4.2% 6.7% 5.1%
Shari'ah Benchmark 2.3% 6.3% 1.6% 2.6% 2.6%
CPI + 5% 2.4% 7.8% 9.9% 10.3% 9.8%
0.0%
4.0%
8.0%
12.0%
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5.1 SA Equity Managers
5.1.1 Coronation
Benchmark: Capped SWIX (SWIX prior to 1 April 2017)
Objective: Benchmark + 3.5%
Objective period: 5 years
Inception date: Jan 2011
1 The “tracking error” is the standard deviation of active returns (active return is the portfolio return minus benchmark return). Over long periods a low number indicates that a portfolio behaves similar to the benchmark.
2 The “information ratio” measures the extent to which the actual Portfolio has outperformed the BMK divided by the “tracking error” – it is therefore a measure of the extra return generated per unit of risk. An information ratio of 0.4
and higher is regarded as very good.
3 The “variation of return” is a measure of how widely the annual return is dispersed – the lower this measure, the less the risk.
4 The “downside capture” measures the extent to which the manager protects the downside when the BMK delivers a negative return. Over the long term, we would expect the downside to be some 80% to 85% of negative BMK
returns.
5 The “upside capture” measures the extent to which the manager delivers a positive return when the BMK is positive. Over the long term, we would expect the “upside capture” to be some 100% of positive BMK returns.
6 The “batting average” measures the number of times (as a percentage) a manager outperforms its benchmark over a specified measurement period.
5. Performance Analysis - Individual Investment ManagersPlease note that the manager returns are quoted net of fees and determined on a money weighted rate of return basis (i.e. impacted by cash flows over the periods considered). These
returns may therefore differ from the returns reported by the individual managers which are typically on a gross of fees, time weighted rate of return basis (i.e. not impacted by cash flows).
The following sections set out the performance and key risk statistics of individual investment managers for various measurement periods ended 30 September 2018.
3 month YTD 12 month 3 year 5 yearSince
inception
Coronation -3.5% -6.9% -1.8% 4.0% 4.8% 10.0%
Benchmark -1.7% -7.4% 0.4% 4.5% 7.4% 10.6%
Objective -0.8% -5.0% 3.9% 8.0% 10.9% 14.1%
-10.0%
-5.0%
0.0%
5.0%
10.0%
15.0%
20.0%
Key statistic Coronation Benchmark
Return p.a. since inception 10.0% 10.6%
Excess return -0.6%
Tracking error to BMK1 4.1%
Information ratio2 -0.1
Variation of return p.a.3 11.0% 10.1%
Downside capture4 99.8%
Upside capture5 97.6%
Batting average6 45.2%
Market value R'm R 223.0
% of total fund 4.2%
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Key statistic Kagiso Benchmark
Return p.a. since inception 8.8% 11.2%
Excess return -2.4%
Tracking error to BMK1 4.0%
Information ratio2 -0.6
Variation of return p.a.3 10.6% 10.2%
Downside capture4 100.8%
Upside capture5 90.0%
Batting average6 40.8%
Market value R'm R 301.4
% of total fund 5.7%
1 The “tracking error” is the standard deviation of active returns (active return is the portfolio return minus benchmark return). Over long periods a low number indicates that a portfolio behaves similar to the benchmark.
2 The “information ratio” measures the extent to which the actual Portfolio has outperformed the BMK divided by the “tracking error” – it is therefore a measure of the extra return generated per unit of risk. An information ratio of 0.4
and higher is regarded as very good.
3 The “variation of return” is a measure of how widely the annual return is dispersed – the lower this measure, the less the risk.
4 The “downside capture” measures the extent to which the manager protects the downside when the BMK delivers a negative return. Over the long term, we would expect the downside to be some 80% to 85% of negative BMK
returns.
5 The “upside capture” measures the extent to which the manager delivers a positive return when the BMK is positive. Over the long term, we would expect the “upside capture” to be some 100% of positive BMK returns.
6 The “batting average” measures the number of times (as a percentage) a manager outperforms its benchmark over a specified measurement period.
3 month YTD 12 month 3 year 5 yearSince
inception
Kagiso -0.4% -4.9% -1.3% 3.7% 4.2% 8.8%
Benchmark -1.7% -7.4% 0.4% 4.5% 7.4% 11.2%
Objective -1.4% -6.7% 1.4% 5.5% 8.4% 12.2%
-10.0%
-5.0%
0.0%
5.0%
10.0%
15.0%5.1.2 Kagiso
Benchmark: Capped SWIX (SWIX prior to 1 April 2017)
Objective: Benchmark + 1.0%
Objective period: 5 years
Inception date: June 2012
5.1.3 Prudential
Benchmark: Capped SWIX (SWIX prior to 1 April 2017)
Objective: Benchmark + 2.5%
Objective period: 5 years
Inception date: June 2012
Key statistic Prudential Benchmark
Return p.a. since inception 13.3% 11.2%
Excess return 2.1%
Tracking error to BMK1 2.7%
Information ratio2 0.8
Variation of return p.a.3 10.3% 10.2%
Downside capture4 86.0%
Upside capture5 102.4%
Batting average6 52.6%
Market value R'm R 454.0
% of total fund 8.6%
3 month YTD 12 month 3 year 5 yearSince
inception
Prudential -2.7% -4.1% 5.8% 7.2% 9.1% 13.3%
Benchmark -1.7% -7.4% 0.4% 4.5% 7.4% 11.2%
Objective -1.0% -5.7% 2.9% 7.0% 9.9% 13.7%
-10.0%
-5.0%
0.0%
5.0%
10.0%
15.0%
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5.1.4 Visio
Benchmark: Capped SWIX (SWIX prior to 1 April 2017)
Objective: Benchmark + 3.5%
Objective period: 5 years
Inception date: April 2015
Key statistic Visio Benchmark
Return p.a. since inception 0.9% 2.6%
Excess return -1.7%
Tracking error to BMK1 4.4%
Information ratio2 -0.4
Variation of return p.a.3 10.0% 10.9%
Downside capture4 77.9%
Upside capture5 71.8%
Batting average6 50.0%
Market value R'm R 302.7
% of total fund 5.8%
1 The “tracking error” is the standard deviation of active returns (active return is the portfolio return minus benchmark return). Over long periods a low number indicates that a portfolio behaves similar to the benchmark.
2 The “information ratio” measures the extent to which the actual Portfolio has outperformed the BMK divided by the “tracking error” – it is therefore a measure of the extra return generated per unit of risk. An information ratio of 0.4
and higher is regarded as very good.
3 The “variation of return” is a measure of how widely the annual return is dispersed – the lower this measure, the less the risk.
4 The “downside capture” measures the extent to which the manager protects the downside when the BMK delivers a negative return. Over the long term, we would expect the downside to be some 80% to 85% of negative BMK
returns.
5 The “upside capture” measures the extent to which the manager delivers a positive return when the BMK is positive. Over the long term, we would expect the “upside capture” to be some 100% of positive BMK returns.
6 The “batting average” measures the number of times (as a percentage) a manager outperforms its benchmark over a specified measurement period.
3 month YTD 12 month Since inception
Visio -1.8% -3.1% -0.3% 0.9%
Benchmark -1.7% -7.4% 0.4% 2.6%
Objective -0.8% -5.0% 3.9% 6.1%
-10.0%
-8.0%
-6.0%
-4.0%
-2.0%
0.0%
2.0%
4.0%
6.0%
8.0%
5.1.5 Steyn Capital
Benchmark: Capped SWIX
Objective: Benchmark + 3%
Objective period: 5 years
Inception date: September 2017
Steyn Capital took over the management of the ABSA portfolio on 14 August 2017. Returns are monitored from 1 September 2017. This portfolio has lagged
the benchmark significantly since inception, but has only been in place for 13 months.
Steyn Capital Return Benchmark Active Return over Benchmark
July 2018 -0.4% 1.4% -1.8%
August 2018 1.4% 1.2% 0.1%
September 2018 -1.6% -4.2% 2.6%
3-month period to 30 September 2018 -0.6% -1.7% 1.0%
Since inception (01/09/2017) -9.5% -1.4% -8.1%
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5.2 SA Bond Managers
5.2.1 Futuregrowth Development Bond
Benchmark: ALBI
Objective: ALBI + 1.25%
Objective period: 3 years
Inception date: June 2008
Key statisticFuturegrowth Dev
BondBenchmark
Return p.a. since inception 11.3% 9.3%
Excess return 2.0%
Tracking error to BMK1 1.2%
Information ratio2 1.7
Variation of return p.a.3 7.1% 7.7%
Downside capture4 77.4%
Upside capture5 103.1%
Batting average6 67.7%
Market value R'm R 67.5
% of total fund 1.3%
5.2.2 Futuregrowth Yield
Benchmark: ALBI
Objective: ALBI + 1.25%
Objective period: 3 years
Inception date: June 2008
Key statistic Futuregrowth Yield Benchmark
Return p.a. since inception 11.5% 9.3%
Excess return 2.2%
Tracking error to BMK1 1.3%
Information ratio2 1.7
Variation of return p.a.3 7.2% 7.7%
Downside capture4 76.2%
Upside capture5 103.6%
Batting average6 66.1%
Market value R'm R 44.2
% of total fund 0.8%
1 The “tracking error” is the standard deviation of active returns (active return is the portfolio return minus benchmark return). Over long periods a low number indicates that a portfolio behaves similar to the benchmark.
2 The “information ratio” measures the extent to which the actual Portfolio has outperformed the BMK divided by the “tracking error” – it is therefore a measure of the extra return generated per unit of risk. An information ratio of 0.4 and higher is
regarded as very good.
3 The “variation of return” is a measure of how widely the annual return is dispersed – the lower this measure, the less the risk.
4 The “downside capture” measures the extent to which the manager protects the downside when the BMK delivers a negative return. Over the long term, we would expect the downside to be some 80% to 85% of negative BMK returns.
5 The “upside capture” measures the extent to which the manager delivers a positive return when the BMK is positive. Over the long term, we would expect the “upside capture” to be some 100% of positive BMK returns.
6 The “batting average” measures the number of times (as a percentage) a manager outperforms its benchmark over a specified measurement period.
3 month YTD 12 month 3 year 5 yearSince
inception
FG Dev Bond 1.1% 6.5% 9.4% 9.2% 8.9% 11.3%
Benchmark 0.8% 4.8% 7.1% 7.7% 7.2% 9.3%
Objective 1.1% 5.8% 8.4% 8.9% 8.4% 10.6%
0.0%
2.0%
4.0%
6.0%
8.0%
10.0%
12.0%
3 month YTD 12 month 3 year 5 yearSince
inception
FG Yield 1.0% 6.7% 9.7% 9.5% 9.0% 11.5%
Benchmark 0.8% 4.8% 7.1% 7.7% 7.2% 9.3%
Objective 1.1% 5.8% 8.4% 8.9% 8.4% 10.6%
0.0%
2.0%
4.0%
6.0%
8.0%
10.0%
12.0%
14.0%
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5.2.3 Aluwani Passive Index Linked
Benchmark: R202
Objective: R202
Objective period: Ongoing
Inception date: Aug 2008
Key statistic Aluwani IL Benchmark
Return p.a. since inception 6.9% 7.0%
Excess return -0.1%
Tracking error to BMK1 1.1%
Information ratio2 -0.1
Variation of return p.a.3 8.4% 8.3%
Downside capture4 102.7%
Upside capture5 101.1%
Batting average6 47.5%
Market value R'm R 56.7
% of total fund 1.1%
1 The “tracking error” is the standard deviation of active returns (active return is the portfolio return minus benchmark return). Over long periods a low number indicates that a portfolio behaves similar to the benchmark.
2 The “information ratio” measures the extent to which the actual Portfolio has outperformed the BMK divided by the “tracking error” – it is therefore a measure of the extra return generated per unit of risk. An information ratio of 0.4
and higher is regarded as very good.
3 The “variation of return” is a measure of how widely the annual return is dispersed – the lower this measure, the less the risk.
4 The “downside capture” measures the extent to which the manager protects the downside when the BMK delivers a negative return. Over the long term, we would expect the downside to be some 80% to 85% of negative BMK
returns.
5 The “upside capture” measures the extent to which the manager delivers a positive return when the BMK is positive. Over the long term, we would expect the “upside capture” to be some 100% of positive BMK returns.
6 The “batting average” measures the number of times (as a percentage) a manager outperforms its benchmark over a specified measurement period.
3 month YTD 12 month 3 year 5 yearSince
inception
Aluwani IL -0.2% -1.2% -0.5% 2.3% 5.4% 6.9%
Benchmark -0.2% -1.0% -0.3% 2.4% 5.5% 7.1%
Objective -0.2% -1.0% -0.3% 2.4% 5.5% 7.1%
-2.0%-1.0%0.0%
1.0%2.0%
3.0%4.0%5.0%6.0%
7.0%8.0%
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5.2.4 Old Mutual Pensioner LHP
Benchmark: LHP Ref Portfolio consisting of a blend of ILB’s and cash
Objective: LHP Ref Portfolio+0.5% p.a
Objective period: 3 years
Inception date: Apr 2018
5.2.5 Futuregrowth IDILBF Pensioners
Benchmark: BILBI 15+ YEAR
Objective: BILBI
Objective period: 3 years
Inception date: May 2018
1 The “tracking error” is the standard deviation of active returns (active return is the portfolio return minus benchmark return). Over long periods a low number indicates that a portfolio behaves similar to the benchmark.
2 The “information ratio” measures the extent to which the actual Portfolio has outperformed the BMK divided by the “tracking error” – it is therefore a measure of the extra return generated per unit of risk. An information ratio of 0.4
and higher is regarded as very good.
3 The “variation of return” is a measure of how widely the annual return is dispersed – the lower this measure, the less the risk.
4 The “downside capture” measures the extent to which the manager protects the downside when the BMK delivers a negative return. Over the long term, we would expect the downside to be some 80% to 85% of negative BMK
returns.
5 The “upside capture” measures the extent to which the manager delivers a positive return when the BMK is positive. Over the long term, we would expect the “upside capture” to be some 100% of positive BMK returns.
6 The “batting average” measures the number of times (as a percentage) a manager outperforms its benchmark over a specified measurement period.
Old Mutual Pensioner LHP Return BenchmarkActive Return over
Benchmark
July 20180.2% 0.1% 0.1%
August 2018-0.2% -0.1% -0.1%
September 20180.4% 0.4% 0.0%
3-month period to 30 September 20180.4% 0.4% 0.0%
Futuregrowth IDILBF
PensionersReturn Benchmark Active Return over Benchmark
July 20180.2% 0.4% -0.2%
August 2018-0.3% 0.4% -0.6%
September 20180.3% 0.4% -0.1%
3-month period to 30
September 2018 0.2% 1.2% -0.9%
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5.2.6 Futuregrowth IDILBF Actives
Benchmark: BILBI 15+ YEAR
Objective: BILBI+1%
Objective period: 3 years
Inception date: May 2018
1 The “tracking error” is the standard deviation of active returns (active return is the portfolio return minus benchmark return). Over long periods a low number indicates that a portfolio behaves similar to the benchmark.
2 The “information ratio” measures the extent to which the actual Portfolio has outperformed the BMK divided by the “tracking error” – it is therefore a measure of the extra return generated per unit of risk. An information ratio of 0.4
and higher is regarded as very good.
3 The “variation of return” is a measure of how widely the annual return is dispersed – the lower this measure, the less the risk.
4 The “downside capture” measures the extent to which the manager protects the downside when the BMK delivers a negative return. Over the long term, we would expect the downside to be some 80% to 85% of negative BMK
returns.
5 The “upside capture” measures the extent to which the manager delivers a positive return when the BMK is positive. Over the long term, we would expect the “upside capture” to be some 100% of positive BMK returns.
6 The “batting average” measures the number of times (as a percentage) a manager outperforms its benchmark over a specified measurement period.
Futuregrowth IDILBF
ActivesReturn Benchmark Active Return over Benchmark
July 20180.3% 0.4% -0.1%
August 2018-0.4% 0.4%
-0.8%
September 2018 0.3% 0.4% -0.1%
3-month period to 30
September 2018 0.1% 1.2% -1.1%
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5.2.7 Investec Credit Opps
Benchmark: STEFI 3-month
Objective: STEFI 3-month + 3.7%
Objective period: 5 years
Inception date: Feb 2011
Key statisticInvestec Credit
OppsBenchmark
Return p.a. since inception 9.5% 6.1%
Excess return 3.4%
Tracking error to BMK1 2.2%
Information ratio2 1.5
Variation of return p.a.3 2.2% 0.2%
Batting average6 80.4%
Market value R'm R 219.1
% of total fund 4.2%
1 The “tracking error” is the standard deviation of active returns (active return is the portfolio return minus benchmark return). Over long periods a low number indicates that a portfolio behaves similar to the benchmark.
2 The “information ratio” measures the extent to which the actual Portfolio has outperformed the BMK divided by the “tracking error” – it is therefore a measure of the extra return generated per unit of risk. An information ratio of 0.4
and higher is regarded as very good.
3 The “variation of return” is a measure of how widely the annual return is dispersed – the lower this measure, the less the risk.
4 The “downside capture” measures the extent to which the manager protects the downside when the BMK delivers a negative return. Over the long term, we would expect the downside to be some 80% to 85% of negative BMK
returns.
5 The “upside capture” measures the extent to which the manager delivers a positive return when the BMK is positive. Over the long term, we would expect the “upside capture” to be some 100% of positive BMK returns.
6 The “batting average” measures the number of times (as a percentage) a manager outperforms its benchmark over a specified measurement period.
3 month YTD 12 month 3 year 5 yearSince
inception
Investec Credit Opps 3.1% 7.5% 10.2% 11.1% 9.5% 9.5%
Benchmark 1.5% 5.1% 6.9% 7.0% 6.5% 6.1%
Objective 2.5% 8.0% 10.6% 10.7% 10.2% 9.8%
0.0%
2.0%
4.0%
6.0%
8.0%
10.0%
12.0%
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5.3.2 Sesfikile Listed Property
Benchmark: J253
Objective: J253 + 2%
Objective period: 5 years
Inception date: Aug 2015
1 The “tracking error” is the standard deviation of active returns (active return is the portfolio return minus benchmark return). Over long periods a low number indicates that a portfolio behaves similar to the benchmark.
2 The “information ratio” measures the extent to which the actual Portfolio has outperformed the BMK divided by the “tracking error” – it is therefore a measure of the extra return generated per unit of risk. An information ratio of 0.4 and higher is
regarded as very good.
3 The “variation of return” is a measure of how widely the annual return is dispersed – the lower this measure, the less the risk.
4 The “downside capture” measures the extent to which the manager protects the downside when the BMK delivers a negative return. Over the long term, we would expect the downside to be some 80% to 85% of negative BMK returns.
5 The “upside capture” measures the extent to which the manager delivers a positive return when the BMK is positive. Over the long term, we would expect the “upside capture” to be some 100% of positive BMK returns.
6 The “batting average” measures the number of times (as a percentage) a manager outperforms its benchmark over a specified measurement period.
3 month YTD12
month3 year 5 year
Sinceinception
Investec Listed Prop -1.4% -19.4% -12.9% -0.2% 8.6% 11.9%
Benchmark -1.0% -22.2% -15.7% -1.4% 6.8% 10.7%
Objective -0.5% -21.0% -13.7% 0.6% 8.8% 12.7%
-25.0%
-20.0%
-15.0%
-10.0%
-5.0%
0.0%
5.0%
10.0%
15.0%
5.3 SA Listed Property
5.3.1 Investec Listed Property
Benchmark: J253
Objective: J253 + 2%
Objective period: 5 years
Inception date: Jan 2011
3 month YTD 12 month Since inception
Sesfikile -0.4% -16.5% -10.0% 2.7%
Benchmark -1.0% -22.2% -15.7% -1.0%
Objective -0.5% -21.0% -13.7% 1.0%
-25.0%
-20.0%
-15.0%
-10.0%
-5.0%
0.0%
5.0%
Key statistic Sesfikile Listed Prop Benchmark
Return p.a. since inception 2.7% -1.0%
Excess return 3.7%
Tracking error to BMK1 3.6%
Information ratio2 1.0
Variation of return p.a.3 12.0% 13.9%
Downside capture4 77.2%
Upside capture5 96.9%
Batting average6 68.4%
Market value R'm R 94.3
% of total fund 1.8%
Key statistic Investec Listed Prop Benchmark
Return p.a. since inception 11.9% 10.7%
Excess return 1.2%
Tracking error to BMK1 2.3%
Information ratio2 0.5
Variation of return p.a.3 13.2% 13.9%
Downside capture4 90.0%
Upside capture5 98.3%
Batting average6 59.1%
Market value R'm R 91.2
% of total fund 1.7%
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5.4 SA Cash
5.4.1 Investec Money Market Fund
Benchmark: STEFI
Objective: STEFI + 0.25%
Objective period: 1 year
Inception date: Dec 2012
Key statistic Investec Money Benchmark
Return p.a. since inception 7.6% 6.6%
Excess return 1.0%
Market value R'm R 9.4
% of total fund 0.2%
5.5 Private Equity: SRI
5.5.1 Old Mutual Renewable Energy Sub-Fund
Benchmark: CPI + 7%
Objective: CPI + 7%
Objective period: 7 years
Inception date: Jan 2013
Key statistic Old Mutual RESF Benchmark
Return p.a. since inception 19.6% 12.5%
Excess return 7.1%
Market value R'm R 80.5
% of total fund 1.5%
3 month YTD 12 month 3 year 5 yearSince
inception
Investec Money 2.1% 6.6% 8.8% 8.6% 7.9% 7.6%
Benchmark 1.8% 5.4% 7.3% 7.3% 6.8% 6.6%
Objective 1.8% 5.6% 7.5% 7.6% 7.0% 6.8%
0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
6.0%
7.0%
8.0%
9.0%
10.0%
3 month YTD 12 month 3 year 5 yearSince
inception
OM RESF -1.6% 2.7% 15.2% 14.4% 18.4% 19.6%
Benchmark 2.9% 9.3% 11.9% 12.3% 12.3% 12.5%
Objective 2.9% 9.3% 11.9% 12.3% 12.3% 12.5%
-5.0%
0.0%
5.0%
10.0%
15.0%
20.0%
25.0%
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5.6 Shari’ah Compliant Portfolio
5.6.1 27Four Shari’ah Wealth Builder
Benchmark: Shari’ah Benchmark
Objective: CPI + 5% over rolling 5-year periods
Objective period: 5 years
Inception date: Aug 2016
3 month YTD 12 month Since inception
Shari'ah 1.6% 4.1% 4.2% 5.1%
Benchmark 2.3% 6.3% 1.6% 2.6%
Objective 2.4% 7.8% 9.9% 9.8%
0.0%
2.0%
4.0%
6.0%
8.0%
10.0%
12.0%
Key statistic Shari’ah Benchmark
Return p.a. since inception 5.1% 2.6%
Excess return 2.5%
Market value R'm R 6.6
% of total fund 0.1%
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1 The “tracking error” is the standard deviation of active returns (active return is the portfolio return minus benchmark return). Over long periods a low number indicates that a portfolio behaves similar to the benchmark.
2 The “information ratio” measures the extent to which the actual Portfolio has outperformed the BMK divided by the “tracking error” – it is therefore a measure of the extra return generated per unit of risk. An information ratio of 0.4
and higher is regarded as very good.
3 The “variation of return” is a measure of how widely the annual return is dispersed – the lower this measure, the less the risk.
5.7 International Equity (ZAR)
5.7.1 Hosking (ZAR)
Benchmark: MSCI All Country
Objective: MSCI All Country + 4%
Objective period: 5 years
Inception date: September 2014
Key statistic Hosking (ZAR) Benchmark
Return p.a. since inception 13.8% 15.3%
Excess return -1.5%
Tracking error to BMK1 3.7%
Information ratio2 -0.4
Variation of return p.a.3 15.5% 15.2%
Market value R'm R 231.6
% of total fund 4.4%
3 month YTD 12 month 3 yearSince
inception
Hosking (ZAR) 5.3% 13.2% 10.1% 12.3% 13.8%
Benchmark 7.8% 19.2% 15.6% 14.9% 15.3%
Objective 8.8% 22.7% 19.6% 18.9% 19.3%
0.0%
5.0%
10.0%
15.0%
20.0%
25.0%
3 month YTD 12 month 3 year 5 yearSince
inception
Contrarius (ZAR) -1.9% 24.7% 26.7% 26.3% 19.5% 24.1%
Benchmark 7.8% 19.2% 15.6% 14.9% 17.0% 20.2%
Objective 8.6% 21.3% 19.6% 18.9% 21.0% 24.2%
-5.0%
0.0%
5.0%
10.0%
15.0%
20.0%
25.0%
30.0%
5.7.2 Contrarius (ZAR)
Benchmark: MSCI All Country
Objective: MSCI All Country + 4%
Objective period: 5 years
Inception date: Jan 2011
Key statistic Contrarius (ZAR) Benchmark
Return p.a. since inception 24.1% 20.2%
Excess return 3.9%
Tracking error to BMK1 13.8%
Information ratio2 0.3
Variation of return p.a.3 16.4% 13.8%
Market value R'm R 178.7
% of total fund 3.4%
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1 The “tracking error” is the standard deviation of active returns (active return is the portfolio return minus benchmark return). Over long periods a low number indicates that a portfolio behaves similar to the benchmark.
2 The “information ratio” measures the extent to which the actual Portfolio has outperformed the BMK divided by the “tracking error” – it is therefore a measure of the extra return generated per unit of risk. An information ratio of 0.4
and higher is regarded as very good.
3 The “variation of return” is a measure of how widely the annual return is dispersed – the lower this measure, the less the risk.
5.7.3 Veritas (via Sygnia) (ZAR)
Benchmark: MSCI All Country
Objective: MSCI All Country + 4%
Objective period: 5 years
Inception date: Dec 2012
Key statistic Veritas (ZAR) Benchmark
Return p.a. since inception 20.0% 20.1%
Excess return -0.1%
Tracking error to BMK1 5.0%
Information ratio2 0.0
Variation of return p.a.3 16.3% 14.5%
Market value R'm R 243.1
% of total fund 4.6%
3 month YTD 12 month 3 year 5 yearSince
inception
Veritas (ZAR) 9.0% 21.2% 12.6% 13.5% 16.8% 20.0%
Benchmark 7.8% 19.2% 15.6% 14.9% 17.0% 20.1%
Objective 8.8% 22.7% 19.6% 18.9% 21.0% 24.9%
0.0%
5.0%
10.0%
15.0%
20.0%
25.0%
30.0%
5.7.4 Ardevora (ZAR)
Benchmark: MSCI All Country
Objective: MSCI All Country + 4%
Objective period: 5 years
Inception date: Aug 2016
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3 month YTD 12 month Since inception
Polaris (ZAR) 4.3% 14.2% 10.6% 14.5%
Benchmark 7.8% 19.2% 15.6% 15.2%
Objective 8.8% 22.7% 19.6% 19.7%
0.0%
5.0%
10.0%
15.0%
20.0%
25.0%5.7.5 Polaris (ZAR)
Benchmark: MSCI All Country
Objective: MSCI All Country + 4%
Objective period: 5 years
Inception date: Aug 2016
Key statistic Polaris (ZAR) Benchmark
Return p.a. since inception 14.5% 15.2%
Excess return -0.7%
Tracking error to BMK1 3.5%
Information ratio2 -0.2
Variation of return p.a.3 16.4% 16.3%
Market value R'm R 181.0
% of total fund 3.4%
Key statistic Ardevora (ZAR) Benchmark
Return p.a. since inception 16.2% 15.2%
Excess return 1.0%
Tracking error to BMK1 3.1%
Information ratio2 0.3
Variation of return p.a.3 16.9% 16.3%
Market value R'm R 184.3
% of total fund 3.5%
1 The “tracking error” is the standard deviation of active returns (active return is the portfolio return minus benchmark return). Over long periods a low number indicates that a portfolio behaves similar to the benchmark.
2 The “information ratio” measures the extent to which the actual Portfolio has outperformed the BMK divided by the “tracking error” – it is therefore a measure of the extra return generated per unit of risk. An information ratio of 0.4
and higher is regarded as very good.
3 The “variation of return” is a measure of how widely the annual return is dispersed – the lower this measure, the less the risk.
3 month YTD 12 month Since inception
Ardevora (ZAR) 5.6% 21.1% 17.6% 16.2%
Benchmark 7.8% 19.2% 15.6% 15.2%
Objective 8.8% 22.7% 19.6% 19.7%
0.0%
5.0%
10.0%
15.0%
20.0%
25.0%
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5.7.6 EM Equity Blend (via Sygnia) (ZAR)
Benchmark: MSCI Emerging Markets
Objective: MSCI EM + 2%
Objective period: 5 years
Inception date: Jul 2018
5.8 INTERNATIONAL PROPERTY
5.8.1 Resolution (via Sygnia) (ZAR)
Benchmark: FTSE EPRA/NAREIT
Objective: FTSE EPRA/NAREIT + 2%
Objective period: 5 years
Inception date: July 2018
1 The “tracking error” is the standard deviation of active returns (active return is the portfolio return minus benchmark return). Over long periods a low number indicates that a portfolio behaves similar to the benchmark.
2 The “information ratio” measures the extent to which the actual Portfolio has outperformed the BMK divided by the “tracking error” – it is therefore a measure of the extra return generated per unit of risk. An information ratio of 0.4
and higher is regarded as very good.
3 The “variation of return” is a measure of how widely the annual return is dispersed – the lower this measure, the less the risk.
4 The “downside capture” measures the extent to which the manager protects the downside when the BMK delivers a negative return. Over the long term, we would expect the downside to be some 80% to 85% of negative BMK
returns.
5 The “upside capture” measures the extent to which the manager delivers a positive return when the BMK is positive. Over the long term, we would expect the “upside capture” to be some 100% of positive BMK returns.
6 The “batting average” measures the number of times (as a percentage) a manager outperforms its benchmark over a specified measurement period.
Emerging Market Equity Blend
(via Sygnia)Return Benchmark
Active Return over
Benchmark
August 2018 8.8% 8.9% -0.1%
September 2018 -6.7% -3.9% -2.8%
Resolution (via Sygnia) Return BenchmarkActive Return over
Benchmark
August 201817.3% 13.0% 4.3%
September 2018-8.6% -5.4% -3.2%
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1 The “tracking error” is the standard deviation of active returns (active return is the portfolio return minus benchmark return). Over long periods a low number indicates that a portfolio behaves similar to the benchmark.
2 The “information ratio” measures the extent to which the actual Portfolio has outperformed the BMK divided by the “tracking error” – it is therefore a measure of the extra return generated per unit of risk. An information ratio of 0.4
and higher is regarded as very good.
3 The “variation of return” is a measure of how widely the annual return is dispersed – the lower this measure, the less the risk.
3 month YTD 12 month 3 year 5 yearSince
inception
Colchester (ZAR) 0.3% 9.0% -0.4% 2.4% 6.9% 12.1%
Benchmark 1.5% 11.3% 3.1% 2.2% 7.5% 11.3%
Objective 1.9% 12.6% 4.6% 3.7% 9.0% 12.8%
-2.0%
0.0%
2.0%
4.0%
6.0%
8.0%
10.0%
12.0%
14.0%5.9 International Bonds (ZAR)
5.9.1 Colchester (ZAR)
Benchmark: JP Morgan Gov Bond
Objective: JP Morgan Gov Bond + 1.5%
Objective period: 3 years
Inception date: Jan 2011
Key statistic Colchester (ZAR) Benchmark
Return p.a. since inception 12.1% 11.3%
Excess return 0.8%
Tracking error to BMK1 3.0%
Information ratio2 0.3
Variation of return p.a.3 12.9% 14.3%
Market value R'm R 76.2
% of total fund 1.4%
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1 The “tracking error” is the standard deviation of active returns (active return is the portfolio return minus benchmark return). Over long periods a low number indicates that a portfolio behaves similar to the benchmark.
2 The “information ratio” measures the extent to which the actual Portfolio has outperformed the BMK divided by the “tracking error” – it is therefore a measure of the extra return generated per unit of risk. An information ratio of 0.4 and higher is
regarded as very good.
3 The “variation of return” is a measure of how widely the annual return is dispersed – the lower this measure, the less the risk.
4 The “downside capture” measures the extent to which the manager protects the downside when the BMK delivers a negative return. Over the long term, we would expect the downside to be some 80% to 85% of negative BMK returns.
5 The “upside capture” measures the extent to which the manager delivers a positive return when the BMK is positive. Over the long term, we would expect the “upside capture” to be some 100% of positive BMK returns.
6 The “batting average” measures the number of times (as a percentage) a manager outperforms its benchmark over a specified measurement period.
5.10 International Equity (USD)
5.10.1 Hosking (USD)
Benchmark: MSCI All Country (USD)
Objective: MSCI All Country (USD) + 4%
Objective period: 5 years
Inception date: September 2014
5.10.2 Contrarius (USD)
Benchmark: MSCI All Country (USD)
Objective: MSCI All Country (USD) + 4%
Objective period: 5 years
Inception date: Jan 2011
Key statistic Contrarius (USD) Benchmark
Return p.a. since inception 12.5% 9.0%
Excess return 3.5%
Tracking error to BMK1 13.7%
Information ratio2 0.3
Variation of return p.a.3 18.4% 11.7%
Downside capture4 79.2%
Upside capture5 109.5%
Batting average6 53.8%
Market value $'m $12.6
% of total fund 3.4%
Key statistic Hosking (USD) Benchmark
Return p.a. since inception 6.0% 7.6%
Excess return -1.6%
Tracking error to BMK1 3.7%
Information ratio2 -0.4
Variation of return p.a.3 11.6% 10.1%
Downside capture4 119.2%
Upside capture5 102.8%
Batting average6 53.1%
Market value $'m $16.4
% of total fund 4.4%
3 month YTD 12 month 3 yearSince
inception
Hosking (USD) 1.6% -1.4% 4.7% 11.1% 6.0%
Benchmark 4.4% 4.3% 10.3% 14.0% 7.6%
Objective 5.4% 7.4% 14.3% 18.0% 11.6%
-5.0%
0.0%
5.0%
10.0%
15.0%
20.0%
3 month YTD 12 month 3 year 5 yearSince
inception
Contrarius (USD) -5.0% 9.1% 20.8% 25.3% 11.7% 12.5%
Benchmark 4.4% 4.3% 10.3% 14.0% 9.2% 9.0%
Objective 5.4% 7.4% 14.3% 18.0% 13.2% 13.0%
-10.0%
-5.0%
0.0%
5.0%
10.0%
15.0%
20.0%
25.0%
30.0%
47© 2018 Willis Towers Watson. All rights reserved. Proprietary and Confidential. For Willis Towers Watson and Willis Towers Watson client use only.
1 The “tracking error” is the standard deviation of active returns (active return is the portfolio return minus benchmark return). Over long periods a low number indicates that a portfolio behaves similar to the benchmark.
2 The “information ratio” measures the extent to which the actual Portfolio has outperformed the BMK divided by the “tracking error” – it is therefore a measure of the extra return generated per unit of risk. An information ratio of 0.4
and higher is regarded as very good.
3 The “variation of return” is a measure of how widely the annual return is dispersed – the lower this measure, the less the risk.
4 The “downside capture” measures the extent to which the manager protects the downside when the BMK delivers a negative return. Over the long term, we would expect the downside to be some 80% to 85% of negative BMK
returns.
5 The “upside capture” measures the extent to which the manager delivers a positive return when the BMK is positive. Over the long term, we would expect the “upside capture” to be some 100% of positive BMK returns.
6 The “batting average” measures the number of times (as a percentage) a manager outperforms its benchmark over a specified measurement period.
5.10.3 Veritas (via Sygnia) (USD)
Benchmark: MSCI All Country (USD)
Objective: MSCI All Country (USD) + 4%
Objective period: 5 years
Inception date: Dec 2012
Key statistic Veritas (USD) Benchmark
Return p.a. since inception 11.4% 10.9%
Excess return 0.5%
Tracking error to BMK1 4.8%
Information ratio2 0.1
Variation of return p.a.3 9.9% 9.8%
Downside capture4 69.0%
Upside capture5 88.6%
Batting average6 47.1%
Market value $'m $17.2
% of total fund 4.6%
3 month YTD 12 month 3 year 5 yearSince
inception
Veritas (USD) 6.8% 7.3% 8.8% 13.6% 9.7% 11.4%
Benchmark 4.4% 4.3% 10.3% 14.0% 9.2% 10.9%
Objective 5.4% 7.4% 14.3% 18.0% 13.2% 14.9%
0.0%
2.0%
4.0%
6.0%
8.0%
10.0%
12.0%
14.0%
16.0%
18.0%
20.0%
5.10.4 Ardevora (USD)
Benchmark: MSCI All Country (USD)
Objective: MSCI All Country (USD)+ 4%
Objective period: 5 years
Inception date: Aug 2016
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3 month YTD 12 month Since inception
Ardevora (USD) 3.2% 6.7% 13.1% 15.6%
Benchmark 4.4% 4.3% 10.3% 14.1%
Objective 5.4% 7.4% 14.3% 18.6%
0.0%
2.0%
4.0%
6.0%
8.0%
10.0%
12.0%
14.0%
16.0%
18.0%
20.0%
5.10.5 Polaris (USD)
Benchmark: MSCI All Country (USD)
Objective: MSCI All Country (USD) + 4%
Objective period: 5 years
Inception date: Aug 2016
3 month YTD 12 month Since inception
Polaris (USD) 1.7% 0.6% 6.3% 13.8%
Benchmark 4.4% 4.3% 10.3% 14.1%
Objective 5.4% 7.4% 14.3% 18.6%
0.0%
2.0%
4.0%
6.0%
8.0%
10.0%
12.0%
14.0%
16.0%
18.0%
20.0%
Key statistic Polaris (USD) Benchmark
Return p.a. since inception 13.8% 14.1%
Excess return -0.3%
Tracking error to BMK1 3.2%
Information ratio2 -0.1
Variation of return p.a.3 6.7% 6.6%
Downside capture4 93.9%
Upside capture5 97.2%
Batting average6 44.4%
Market value $'m $12.8
% of total fund 3.4%
Key statistic Ardevora (USD) Benchmark
Return p.a. since inception 15.6% 14.1%
Excess return 1.5%
Tracking error to BMK1 3.3%
Information ratio2 0.5
Variation of return p.a.3 6.9% 6.6%
Downside capture4 86.0%
Upside capture5 104.5%
Batting average6 55.6%
Market value $'m $13.0
% of total fund 3.5%
1 The “tracking error” is the standard deviation of active returns (active return is the portfolio return minus benchmark return). Over long periods a low number indicates that a portfolio behaves similar to the benchmark.
2 The “information ratio” measures the extent to which the actual Portfolio has outperformed the BMK divided by the “tracking error” – it is therefore a measure of the extra return generated per unit of risk. An information ratio of 0.4
and higher is regarded as very good.
3 The “variation of return” is a measure of how widely the annual return is dispersed – the lower this measure, the less the risk.
4 The “downside capture” measures the extent to which the manager protects the downside when the BMK delivers a negative return. Over the long term, we would expect the downside to be some 80% to 85% of negative BMK
returns.
5 The “upside capture” measures the extent to which the manager delivers a positive return when the BMK is positive. Over the long term, we would expect the “upside capture” to be some 100% of positive BMK returns.
6 The “batting average” measures the number of times (as a percentage) a manager outperforms its benchmark over a specified measurement period.
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5.10.6 EM Equity Blend (via Sygnia) (USD)
Benchmark: MSCI Emerging Markets
Objective: MSCI EM + 2%
Objective period: 5 years
Inception date: Jul 2018
5.11 INTERNATIONAL PROPERTY
5.11.1 Resolution (via Sygnia) (USD)
Benchmark: FTSE EPRA/NAREIT
Objective: FTSE EPRA/NAREIT + 2%
Objective period: 5 years
Inception date: July 2018
1 The “tracking error” is the standard deviation of active returns (active return is the portfolio return minus benchmark return). Over long periods a low number indicates that a portfolio behaves similar to the benchmark.
2 The “information ratio” measures the extent to which the actual Portfolio has outperformed the BMK divided by the “tracking error” – it is therefore a measure of the extra return generated per unit of risk. An information ratio of 0.4
and higher is regarded as very good.
3 The “variation of return” is a measure of how widely the annual return is dispersed – the lower this measure, the less the risk.
4 The “downside capture” measures the extent to which the manager protects the downside when the BMK delivers a negative return. Over the long term, we would expect the downside to be some 80% to 85% of negative BMK
returns.
5 The “upside capture” measures the extent to which the manager delivers a positive return when the BMK is positive. Over the long term, we would expect the “upside capture” to be some 100% of positive BMK returns.
6 The “batting average” measures the number of times (as a percentage) a manager outperforms its benchmark over a specified measurement period.
Emerging Market Equity Blend (via Sygnia) Return BenchmarkActive Return over
Benchmark
August 2018-2.8% -2.7% -0.1%
September 2018-4.2% -0.5% -3.7%
Resolution (via Sygnia) Return Benchmark Active Return over Benchmark
August 20184.9% 1.0% 3.9%
September 2018-5.4% -2.0% -3.4%
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1 The “tracking error” is the standard deviation of active returns (active return is the portfolio return minus benchmark return). Over long periods a low number indicates that a portfolio behaves similar to the benchmark.
2 The “information ratio” measures the extent to which the actual Portfolio has outperformed the BMK divided by the “tracking error” – it is therefore a measure of the extra return generated per unit of risk. An information ratio of 0.4
and higher is regarded as very good.
3 The “variation of return” is a measure of how widely the annual return is dispersed – the lower this measure, the less the risk.
4 The “downside capture” measures the extent to which the manager protects the downside when the BMK delivers a negative return. Over the long term, we would expect the downside to be some 80% to 85% of negative BMK
returns.
5 The “upside capture” measures the extent to which the manager delivers a positive return when the BMK is positive. Over the long term, we would expect the “upside capture” to be some 100% of positive BMK returns.
6 The “batting average” measures the number of times (as a percentage) a manager outperforms its benchmark over a specified measurement period.
5.12 International Bonds (USD)
5.12.1 Colchester (USD)
Benchmark: JP Morgan Gov Bond (USD)
Objective: JP Morgan Gov Bond (USD) + 1.5%
Objective period: 3 years
Inception date: Jan 2011
Key statistic Colchester (USD) Benchmark
Return p.a. since inception 2.0% 0.9%
Excess return 1.1%
Tracking error to BMK1 2.8%
Information ratio2 0.4
Variation of return p.a.3 6.0% 4.8%
Downside capture4 104.7%
Upside capture5 120.6%
Batting average6 59.1%
Market value R'm $5.4
% of total fund 1.4%
3 month YTD 12 month 3 year 5 yearSince
inception
Colchester (USD) -1.1% -2.3% -2.6% 2.7% 0.5% 2.0%
Benchmark -1.7% -2.6% -1.6% 1.5% 0.5% 0.9%
Objective -1.3% -1.5% -0.1% 3.0% 2.0% 2.4%
-3.0%
-2.0%
-1.0%
0.0%
1.0%
2.0%
3.0%
4.0%
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1 The “tracking error” is the standard deviation of active returns (active return is the portfolio return minus benchmark return). Over long periods a low number indicates that a portfolio behaves similar to the benchmark.
2 The “information ratio” measures the extent to which the actual Portfolio has outperformed the BMK divided by the “tracking error” – it is therefore a measure of the extra return generated per unit of risk. An information ratio of 0.4
and higher is regarded as very good.
3 The “variation of return” is a measure of how widely the annual return is dispersed – the lower this measure, the less the risk.
4 The “batting average” measures the number of times (as a percentage) a manager outperforms its benchmark over a specified measurement period.
5.13 Conservative Portfolio Managers
5.13.1 Coronation Inflation Plus (previously Absolute)
Benchmark: CP Benchmark
Objective: CPI + 3.5%
Objective period: 3 years
Inception date: Jan 2011
Key statisticCoronation Inflation
PlusBenchmark
Return p.a. since inception 9.6% 10.3%
Excess return -0.7%
Tracking error to BMK1 2.6%
Information ratio2 -0.3
Variation of return p.a.3 5.1% 3.8%
Batting average4 54.8%
Market value R'm R 167.6
% of total fund 3.2%
Key statistic Allan Gray Benchmark
Return p.a. since inception 10.2% 10.6%
Excess return -0.5%
Tracking error to BMK1 4.0%
Information ratio2 -0.1
Variation of return p.a.3 5.1% 3.9%
Batting average4 40.8%
Market value R'm R 168.3
% of total fund 3.2%
3 month YTD12
month3 year 5 year
Sinceinception
Coronation Absolute 1.0% 3.9% 4.1% 6.6% 7.1% 9.6%
Benchmark 1.9% 2.8% 6.1% 7.9% 9.1% 10.3%
Objective 2.0% 6.7% 8.4% 8.8% 8.8% 9.1%
0.0%
2.0%
4.0%
6.0%
8.0%
10.0%
12.0%
3 month YTD 12 month 3 year 5 yearSince
inception
Allan Gray 1.3% 7.2% 9.4% 10.2% 9.5% 10.2%
Benchmark 1.9% 2.8% 6.1% 7.9% 9.1% 10.6%
Objective 2.4% 7.8% 9.9% 10.3% 10.3% 10.4%
0.0%
2.0%
4.0%
6.0%
8.0%
10.0%
12.0%5.13.2 Allan Gray Global Absolute (previously Stable)
Benchmark: CP Benchmark
Objective: CPI + 3.5%
Objective period: 3 years
Inception date: June 2012
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1 The “tracking error” is the standard deviation of active returns (active return is the portfolio return minus benchmark return). Over long periods a low number indicates that a portfolio behaves similar to the benchmark.
2 The “information ratio” measures the extent to which the actual Portfolio has outperformed the BMK divided by the “tracking error” – it is therefore a measure of the extra return generated per unit of risk. An information ratio of 0.4
and higher is regarded as very good.
3 The “variation of return” is a measure of how widely the annual return is dispersed – the lower this measure, the less the risk.
4 The “batting average” measures the number of times (as a percentage) a manager outperforms its benchmark over a specified measurement period.
5.13.3 ABAX Absolute
Benchmark: CP Benchmark
Objective: CPI + 3.5%
Objective period: 3 years
Inception date: Jan 2018
ABAX Investments was appointed in December 2017 to manage the ABSA portfolio that is in the process of being terminated. Returns are monitored from
1 January 2018. In line with the Trustees decision, this portfolio was switched from the Domestic Absolute Product to the Global Absolute Product at the end of
May 2018.
ABAX Absolute (ZAR) Return Benchmark Active Return over Benchmark
July 2018 0.1% -0.1% 0.3%
August 20182.9% 3.5% -0.7%
September 2018 -0.9% -1.4% 0.6%
3-month period to 30 September 2018 2.1% 1.9% 0.2%
Since inception (01/01/2018) 3.0% 2.8% 0.2%
5.13.4 Absa Absolute
This portfolio has been terminated, with the exception of certain legacy holdings (refer to page 7 above)
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6. Risk and return profile
6.1 The chart below shows the risk/return profile (where “risk” is measured as the volatility of returns) of the Wealth Builder and Pension Protector Portfolios over
the period since inception to 30 September 2018 relative to each portfolio’s benchmark. The Conservative Portfolio’s risk/return profile is shown from
1 December 2010.
6.2 The Pension Protector Portfolio has delivered a slightly lower return at a similar level of risk as its benchmark over the period since inception. The
Wealth Builder Portfolio delivered a lower return at a lower level of risk as its corresponding benchmark, and the Conservative Portfolio also
delivered a lower return at a slightly higher level of risk than its respective benchmark over the period since inception.
Wealth Builder
ConservativePension Protector
Conservative BMKPension Protector BMK
Wealth Builder BMK
0.0%
2.0%
4.0%
6.0%
8.0%
10.0%
12.0%
14.0%
0.0% 1.0% 2.0% 3.0% 4.0% 5.0% 6.0% 7.0% 8.0% 9.0% 10.0%
Retu
rn
Risk
7.1 The charts below shows the change in value of R100 invested on 1 October 2008 (inception date) to 30 September 2018 in the Wealth Builder and Pension
Protector portfolios and from the period 1 December 2010 on the Conservative Portfolio, compared to each portfolio’s performance objectives and inflation.
Please note that these illustrations are net of fees.
Wealth Builder Portfolio
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Pension Protector Portfolio
7. Performance relative to objective and inflation
60.0
110.0
160.0
210.0
260.0
310.0
360.0
Wealth Builder WB Benchmark CPI + 6%
70.0
120.0
170.0
220.0
270.0
320.0
Pension Protector PP Benchmark CPI + 5%
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Comments:
• In the Wealth Builder Portfolio, R100 accumulated to R300.83, compared to the performance objective (CPI+6%) value of R295.95 and the WB Benchmark value of
R318.49.
• In the Pension Protector Portfolio, R100 accumulated to R282.36, compared to the performance objective (CPI+5%) value of R290.58, and the PP Benchmark value
of R218.86.
• In the Conservative Portfolio, R100 accumulated to R202.51, compared to the performance objective (CPI+3.5%) value of R199.35, and the CP Benchmark value of
R218.86.
Conservative Portfolio
100.0
120.0
140.0
160.0
180.0
200.0
220.0
240.0
Conservative CP Benchmark CPI + 3.5%
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7.2 The charts below shows the rolling performance on a 7-year basis (Wealth Builder ), 5-year basis (Pension Protector) and 3-year basis (Conservative) against
the respective rolling inflation figures and objectives.
Wealth Builder Portfolio
Pension Protector Portfolio
0.0%
2.0%
4.0%
6.0%
8.0%
10.0%
12.0%
14.0%
16.0%
18.0%
Se
p-1
5
Oct-
15
Nov-1
5
Dec-1
5
Jan
-16
Fe
b-1
6
Ma
r-1
6
Ap
r-16
Ma
y-1
6
Jun
-16
Jul-
16
Au
g-1
6
Se
p-1
6
Oct-
16
Nov-1
6
Dec-1
6
Jan
-17
Fe
b-1
7
Ma
r-1
7
Ap
r-17
Ma
y-1
7
Jun
-17
Jul-
17
Au
g-1
7
Se
p-1
7
Oct-
17
Nov-1
7
Dec-1
7
Jan
-18
Fe
b-1
8
Ma
r-1
8
Ap
r-18
Ma
y-1
8
Jun
-18
Jul-
18
Au
g-1
8
Se
p-1
8
Wealth Builder rolling 7 year CPI rolling 7 year CPI + 6% rolling 7 year
0.0%2.0%4.0%6.0%8.0%
10.0%12.0%14.0%16.0%18.0%20.0%
Se
p-1
3
Nov-1
3
Jan
-14
Ma
r-1
4
Ma
y-1
4
Jul-
14
Se
p-1
4
Nov-1
4
Jan
-15
Ma
r-1
5
Ma
y-1
5
Jul-
15
Se
p-1
5
Nov-1
5
Jan
-16
Ma
r-1
6
Ma
y-1
6
Jul-
16
Se
p-1
6
Nov-1
6
Jan
-17
Ma
r-1
7
Ma
y-1
7
Jul-
17
Se
p-1
7
Nov-1
7
Jan
-18
Ma
r-1
8
Ma
y-1
8
Jul-
18
Se
p-1
8
Pension Protector rolling 5 year CPI rolling 5 year CPI + 5% rolling 5 year
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Conservative Portfolio
0.0%
2.0%
4.0%
6.0%
8.0%
10.0%
12.0%
14.0%
Conservative rolling 3 year CPI rolling 3 year CPI + 3.5% rolling 3 year
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Comments
• For comparative purposes, the Wealth Builder Portfolio has achieved an annualised return of 9.1% over the 5 year period to 30 September 2018.
• The Pension Protector Portfolio has a lower risk profile but has also fared well on the peer group basis, beating the median manager over the last 5 years.
8. Comparative Peer Review
8.1 The results of the Willis Towers Watson Full Discretion Industry Median survey for Global Balanced Portfolios (net of a 0.75% p.a. fee adjustment) are shown in
the table below for the 12 largest managers over the relevant reporting periods to 30 September 2018, ordered on the “5 year” figures.
ManagerMarket Value
R’m3 months Rank 12 months Rank 3 years Rank 5 years Rank
Investec Segregated Full Discretion 73,261 1.4% 6 5.8% 4 7.1% 6 10.0% 1
Prudential Balanced 10,634 1.8% 4 7.7% 1 8.8% 3 9.5% 2
Allan Gray Global Balanced Composite 61,573 0.5% 10 6.3% 2 9.5% 1 9.4% 3
Wealth Builder 1,718 0.9% 8 4.9% 8 7.7% 4 9.1% 4
Pension Protector 3,035 1.0% 7 3.5% 9 6.9% 8 8.5% 5
OMIG MacroSolutions (Segregated
Full Discretion) 4,385 2.0% 3 5.6% 5 7.0% 7 8.4% 6
Coronation Full Discretion 23,189 -0.5% 13 2.6% 11 6.8% 9 8.2% 7
SIM Unique 18,609 -0.9% 14 0.9% 14 6.3% 10 7.5% 8
Oasis Full Discretion 953 2.0% 2 6.2% 3 5.8% 11 7.3% 9
Kagiso Global Balanced 1,278 2.1% 1 3.3% 10 9.4% 2 7.2% 10
Foord Global Balanced 43,481 0.5% 11 1.2% 13 4.9% 12 6.9% 11
STANLIB Full Discretion 1,379 1.6% 5 5.0% 7 4.6% 13 6.6% 12
Prescient Global Balanced 162 0.3% 12 2.5% 12 3.6% 14 6.0% 13
Cadiz Global Balanced 441 0.8% 9 5.1% 6 7.6% 5 5.9% 14
Median 1.1% 5.0% 6.9% 7.4%
Inflation 1.1% 4.9% 5.3% 5.3%
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8.2 The table below sets out a selection of managers appearing in the Willis Towers Watson Specialist Data (Absolute Return) survey as at 30 September 2018.
The managers selected have a performance history of at least 5 years. The performance figures for the managers are net of an estimated 0.75% p.a. fee
adjustment and have been ordered on the 3-year figures.
Manager RegionMarket Value
R’0003 months Rank 12 months Rank 3 years Rank 5 years Rank
Allan Gray Life Domestic Absolute
portfolioDomestic
1,526,078 1.8% 17 6.7% 19 10.9% 1 10.3% 1
Aylett Prescient QI Hedge Fund Global 86,888 -0.6% 50 6.8% 16 10.1% 2 8.4% 11
Allan Gray Life Global Stable Global 7,073,010 1.7% 21 8.9% 4 9.9% 3 9.2% 3
Allan Gray Life Domestic Stable
PortfolioDomestic
1,548,504 1.2% 30 9.3% 3 9.9% 4 9.1% 6
PSG Stable Fund Global 4,740,364 2.5% 4 8.6% 5 9.8% 5 9.1% 5
Taquanta Absolute Global 296,313 2.6% 2 9.5% 2 9.7% 6 7.1% 35
Cadiz Absolute Yield Domestic 598,293 2.3% 6 10.5% 1 9.3% 7 8.1% 18
Abax Absolute Return Fund Global 1,542,346 2.2% 8 7.3% 12 8.5% 8 9.4% 2
Kagiso Protector Fund Domestic 98,671 2.6% 3 4.2% 46 8.5% 9 7.1% 34
Altron Conservative 495,275 1.3% 27 7.7% 10 8.3% 10 8.4% 12
Allan Gray Life Global Absolute Global 4,032,308 1.2% 28 6.5% 20 8.3% 11 8.4% 13
SIM CPI + 5% Global Global 22,729,247 2.0% 11 6.0% 24 7.9% 12 8.9% 8
SIM CPI + 6% Global Global 42,662 1.6% 22 5.4% 31 7.9% 13 9.2% 4
Investec Opportunity Global 50,902,838 3.6% 1 7.9% 7 7.9% 14 8.9% 7
SIM CPI + 3% Global Global 806,265 1.9% 12 5.7% 27 7.8% 15 8.6% 10
Old Mutual Multi-Managers
Inflation Plus 1-3% Domestic 401,723 1.1% 33 4.0% 47 7.8% 16 8.6% 9
SIM CPI + 3% Domestic 1,560,045 1.1% 31 5.5% 30 7.7% 17 7.8% 25
Sasfin BCI Stable Fund Global 212,845 1.7% 20 7.5% 11 7.6% 18 8.4% 15
Balondolozi Absolute Return Domestic 749,026 0.6% 37 7.2% 14 7.4% 19 6.8% 40
SIM CPI+5% Domestic 892,987 0.5% 38 5.0% 34 7.4% 20 7.9% 22
Institutional Absolute Composite Global 912,452 2.1% 10 7.1% 15 7.3% 21 6.3% 46
SMM Cautious Absolute Fund Global 3,826 2.3% 7 5.9% 25 7.2% 22 8.3% 16
SIM CPI+6% Domestic 839,028 0.0% 45 4.2% 45 7.1% 23 8.0% 21
JM BUSHA REAL RETURN FUNDDomestic 112,216 0.3% 41 7.8% 9 7.0% 24 5.4% 52
Alexander Forbes Investments
Real Return Focus Global 4,714,110 1.5% 24 6.5% 21 6.8% 25 7.6% 27
Coronation Inflation Plus Global 3,905,098 1.1% 34 5.1% 33 6.8% 26 7.6% 26
Coronation Absolute Fund Global 3,278,878 0.5% 39 3.7% 49 6.7% 27 7.3% 33
Old Mutual Multi-Managers
Absolute Defensive Fund Global 931,276 1.8% 18 4.9% 35 6.7% 28 8.1% 17
VFM Global Absolute Return
CPI+3%Domestic
87,127 2.1% 9 7.9% 8 6.6% 29 7.9% 23
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Manager RegionMarket Value
R’0003 months Rank 12 months Rank 3 years Rank 5 years Rank
Old Mutual Multi-Managers
Absolute Balanced FundGlobal
261,070 1.2% 29 4.5% 43 6.6% 30 8.0% 20
Momentum Investments Real
ReturnDomestic
602,876 1.6% 23 7.2% 13 6.5% 31 6.7% 41
JM BUSHA Absolute Aggressive Domestic 1,482,127 0.4% 40 6.7% 18 6.5% 32 6.5% 43
Old Mutual Multi-Managers
Absolute Cautious Fund Domestic 184,165 1.8% 16 5.1% 32 6.4% 33 7.5% 31
NGI Bravata Worldwide Flex Fund Global 952,849 2.3% 5 4.3% 44 6.4% 34 8.4% 14
Prudential Real Return Plus 6% Domestic 2,519,113 -1.4% 53 4.5% 42 6.4% 35 8.0% 19
ABSA Asset Management
Absolute Domestic CPI + 4%Domestic
4,503,403 1.5% 26 6.8% 17 6.2% 36 6.9% 37
Alexander Forbes Investments
Real Return Focus LocalDomestic
7,303,061 0.6% 36 5.9% 26 6.2% 37 6.9% 38
VFM Global Absolute Return
CPI+5%Global
2,365,058 1.9% 13 6.2% 22 6.2% 38 7.6% 28
OMIG Wealth Defender Capability Global 6,652,915 1.9% 14 4.7% 39 6.0% 39 7.5% 30
Prudential Domestic Real Return
Plus 5%Domestic
1,931,135 -1.0% 51 3.5% 50 5.8% 40 7.4% 32
VFM Absolute Return CPI+7% Global 380,262 1.7% 19 8.1% 6 5.8% 41 7.9% 24
Alexander Forbes Investments
Stable Focus Global 3,517,100 1.5% 25 6.1% 23 5.7% 42 6.3% 45
VFM Domestic Absolute Return
CPI+5%Domestic
1,587,407 1.1% 32 5.7% 28 5.7% 43 6.9% 39
Prescient Positive Return
QuantPlus Domestic 3,022,646 0.3% 42 5.6% 29 5.7% 44 6.0% 48
Momentum Investments Absolute
Strategies Domestic 1,330,441 -0.3% 48 4.9% 37 5.6% 45 5.9% 49
JM BUSHA Absolute All Class Domestic 202,991 0.3% 43 4.9% 36 5.4% 46 6.3% 47
OMIG Capital Builder Global 1,771,335 -0.3% 47 4.5% 41 5.4% 47 5.7% 50
Argon Absolute Return Fund Domestic 117,684 0.7% 35 3.4% 51 5.3% 48 7.6% 29
VFM Domestic Absolute Return
CPI+4%Domestic
190,435 -0.3% 49 3.9% 48 4.9% 49 6.4% 44
ABSA Asset Management
Absolute Global CPI + 4%Global
8,231,207 1.8% 15 4.6% 40 4.9% 50 7.0% 36
Coronation Absolute Domestic Domestic 3,468,757 -1.1% 52 1.2% 53 4.6% 51 5.4% 53
Foord Absolute Return Global 223,267 0.0% 46 0.6% 54 4.3% 52 6.6% 42
VFM Absolute Return CPI+6% Domestic 1,707,131 0.1% 44 1.7% 52 3.9% 53 5.5% 51
Sentio Absolute Return Fund Domestic 2,106,547 -1.4% 54 4.8% 38 2.5% 54 5.2% 54
Median 1.2% 5.7% 6.7% 7.6%
Inflation 1.1% 4.9% 5.3% 5.3%
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ManagerMarket Value
R’0003 months Rank 12 months Rank 3 years Rank 5 years Rank
Element Islamic Global Equity 79,736 5.7% 2 11.9% 1 7.8% 6 12.9% 1
Oasis Crescent International Feeder 1,898,930 7.4% 1 2.7% 17 4.8% 15 9.8% 2
OMIG Albaraka Balanced 2,488,476 3.0% 7 6.2% 8 7.7% 7 8.0% 3
OMIG Albaraka Equity Fund 2,274,102 3.1% 6 4.5% 11 7.7% 8 8.0% 4
OASIS Crescent Balanced Stable FoF 711,903 2.1% 15 6.7% 4 6.8% 12 7.7% 5
Kagiso Islamic Equity Fund 813,486 2.8% 8 6.3% 7 12.3% 1 7.5% 6
Kagiso Islamic Balanced 1,256,870 2.6% 10 6.0% 9 9.6% 3 7.0% 7
OASIS Crescent Balanced Progressive
FoF 1,572,887 2.1% 14 6.7% 5 6.9% 11 6.9% 8
OASIS Crescent Balanced High Equity
FoF 177,032 2.4% 11 7.1% 2 7.4% 10 6.9% 9
27four Shari'ah Wealth Builder Fund 364,126 1.6% 17 4.3% 13 4.8% 16 6.7% 10
27four Shari'ah Multi-Managed
Balanced Fund 630,066 1.9% 16 4.4% 12 5.0% 14 6.7% 11
Element Islamic Balanced 69,961 3.1% 5 4.1% 15 10.7% 2 6.5% 12
Oasis Crescent Equity Fund 5,773,356 2.4% 12 6.9% 3 7.4% 9 6.1% 13
Altron Shari'ah 6,551 1.6% 18 4.2% 14 6.7% 13 4.5% 14
STANLIB Shariah Balanced Fund 572,110 2.3% 13 1.8% 18 4.8% 17 4.4% 15
Element Islamic Equity 133,408 3.3% 4 3.6% 16 9.2% 4 3.4% 16
Alexander Forbes Investments Shari'ah
High Growth 613,148 3.4% 3 4.9% 10 n/a n/a n/a n/a
SMM NUR Balanced Portfolio 183,908 2.7% 9 6.5% 6 7.9% 5 n/a n/a
Median 2.7% 6.0% 7.5% 6.9%
Inflation 1.1% 4.9% 5.3% 5.3%
8.3 The results of the Willis Towers Watson Specialist Data (Shari'ah Compliant Funds) survey (net of a 0.75% p.a. fee adjustment) are shown in the table below
over the relevant reporting periods to 30 September 2018, ordered on the 5-year figures.
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KAGISO
Sector ManagerCapped
SWIXDiff
Basic Materials 19.4% 19.8% -0.4%
Industrials 4.4% 6.5% -2.1%
Consumer Goods 11.6% 8.3% 3.3%
Health Care 2.7% 3.5% -0.8%
Consumer Services 18.4% 21.2% -2.8%
Telecommunications 4.7% 5.1% -0.4%
Financials 35.1% 35.3% -0.2%
Technology 3.6% 0.3% 3.3%
PRUDENTIAL
ManagerCapped
SWIXDiff
23.8% 19.8% 4.0%
5.7% 6.5% -0.8%
7.9% 8.3% -0.4%
4.0% 3.5% 0.5%
20.1% 21.2% -1.1%
3.2% 5.1% -1.9%
34.4% 35.3% -0.9%
0.9% 0.3% 0.6%
OVERALL
ManagerCapped
SWIXDiff
21.4% 19.8% 1.6%
6.0% 6.5% -0.5%
9.5% 8.3% 1.2%
3.3% 3.5% -0.2%
22.7% 21.2% 1.5%
3.4% 5.1% -1.7%
32.6% 35.3% -2.7%
1.1% 0.3% 0.8%
9. Mandate compliance
9.1 SA Equities
9.1.1 Sector weightings
Although the mandates place no explicit restrictions on the manager sector exposures, the positions in different equity sectors are an important determinant of
performance and risk relative to the benchmark and have therefore been shown. The tables below reflect the equity sector re-classification adopted by the JSE in
January 2006. The following tables show the sector weights held by the SA equity managers as at 30 September 2018.
CORONATION
Sector ManagerCapped
SWIXDiff
Basic Materials 22.7% 19.8% 2.9%
Industrials 0.2% 6.5% -6.3%
Consumer Goods 15.2% 8.3% 6.9%
Health Care 6.0% 3.5% 2.5%
Consumer Services 21.5% 21.2% 0.3%
Telecommunications 6.4% 5.1% 1.3%
Financials 27.3% 35.3% -8.0%
Technology 0.7% 0.3% 0.4%
VISIO
ManagerCapped
SWIXDiff
21.3% 19.8% 1.5%
8.6% 6.5% 2.1%
7.6% 8.3% -0.7%
3.1% 3.5% -0.4%
32.2% 21.2% 11.0%
0.0% 5.1% -5.1%
27.2% 35.3% -8.1%
0.0% 0.3% -0.3%
STEYN CAPITAL
ManagerCapped
SWIXDiff
17.6% 19.8% -2.2%
11.6% 6.5% 5.1%
6.7% 8.3% -1.6%
0.0% 3.5% -3.5%
23.9% 21.2% 2.7%
3.1% 5.1% -2.0%
37.1% 35.3% 1.8%
0.0% 0.3% -0.3%
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OVERALL
Counter ManagerCapped
SWIXDiff
OLD MUTUAL 5.4% 2.2% 3.2%
BRITISH A. TOBACCO 5.3% 3.4% 1.9%
PICK ‘N PAY 1.8% 0.5% 1.3%
NASPERS 10.9% 9.7% 1.2%
QUILTER 1.8% 0.6% 1.2%
ANGLO AMERICAN 4.6% 3.4% 1.2%
ADVTECH 1.0% 0.2% 0.8%
PPC LTD 1.0% 0.2% 0.8%
NORTHAM PLATINUM 1.1% 0.3% 0.8%
NETCARE 1.5% 0.7% 0.8%
PRUDENTIAL
Counter ManagerCapped
SWIXDiff
OLD MUTUAL 5.5% 2.2% 3.3%
SASOL 8.5% 5.9% 2.6%
STANDARD BANK 7.1% 4.6% 2.5%
ABSA GROUP 4.7% 2.2% 2.5%
ANGLO AMERICAN 5.9% 3.4% 2.5%
NASPERS 12.1% 9.7% 2.4%
SAPPI LTD 3.3% 1.0% 2.3%
CAPITAL & COUNT 2.5% 0.4% 2.1%
REINET 2.8% 0.8% 2.0%
PICK N PAY 2.4% 0.5% 1.9%
9.1.2 Stock weightings
It is instructive to consider the most overweight and underweight positions relative to the benchmark. In its ideal form, good stock picking consists of being overweight in
the best performing stocks and underweight in the poorer performing stocks.
The tables below shows the ten shares in which the managers have the most overweight positions relative to the benchmark as at 30 September 2018.
CORONATION
Counter ManagerCapped
SWIXDiff
BRITISH A. TOBACCO 10.2% 3.4% 6.8%
ANGLO AMERICAN 9.6% 3.4% 6.2%
NEDBANK GROUP 4.9% 1.2% 3.7%
NORTHAM PLATINUM 3.6% 0.3% 3.3%
NASPERS 13.0% 9.7% 3.3%
MTN GROUP 6.4% 3.2% 3.2%
PICK ‘N PAY 3.3% 0.5% 2.8%
SPAR GROUP 3.5% 0.7% 2.8%
INTU PROPERTIES 2.9% 0.3% 2.6%
QUILTER 2.5% 0.6% 2.1%
VISIO
Counter ManagerCapped
SWIXDiff
OLD MUTUAL 7.8% 2.2% 5.6%
MONDI PLC 4.5% 0.7% 3.8%
BIDVEST 4.5% 1.3% 3.2%
ADVTECH 3.3% 0.2% 3.1%
BID CORPORATION 5.0% 2.0% 3.0%
SHOPRITE 4.2% 1.7% 2.5%
NETCARE 3.1% 0.7% 2.4%
ABSA GROUP 4.4% 2.2% 2.2%
CASHBUILD 2.3% 0.1% 2.2%
QUILTER 2.6% 0.6% 2.0%
STEYN CAPITAL
Counter ManagerCapped
SWIXDiff
OLD MUTUAL 7.5% 2.2% 5.3%
PEPKOR 4.2% 0.2% 4.0%
MAS REAL ESTATE 4.1% 0.2% 3.9%
PSG 4.5% 0.8% 3.7%
ASSORE 3.7% 0.2% 3.5%
PICK N PAY 3.7% 0.5% 3.2%
MMI HOLDINGS 3.5% 0.4% 3.1%
BRAIT SE 3.2% 0.3% 2.9%
REINET 3.7% 0.8% 2.9%
PPC LTD 3.0% 0.2% 2.8%
KAGISO
Counter ManagerCapped
SWIXDiff
OLD MUTUAL 5.3% 2.2% 3.2%
RMB HOLDINGS 2.7% 1.1% 1.6%
NORTHAM PLATINUM 1.9% 0.3% 1.6%
DATATEC 1.6% 0.1% 1.5%
MMI HOLDINGS 1.7% 0.4% 1.3%
AFRICAN RAINBOW 1.6% 0.3% 1.3%
AECI LTD 1.5% 0.2% 1.3%
TONGAAT HULETT 1.4% 0.2% 1.2%
NASPERS 10.8% 9.7% 1.1%
ALLIED ELECTRONIC 1.2% 0.1% 1.1%
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The tables below shows the ten shares in which the SA equity managers had the most underweight positions relative to the benchmark as at 30 September 2018.
OVERALL
Counter ManagerCapped
SWIXDiff
SANLAM 0.4% 2.8% -2.4%
REMGRO 0.7% 2.1% -1.4%
FIRSTRAND 3.2% 4.4% -1.2%
CAPITEC BANK 0.0% 1.1% -1.1%
REDEFINE 0.0% 1.1% -1.1%
DISCOVERY 0.1% 1.2% -1.1%
RICHEMONT 1.0% 2.0% -1.0%
CLICKS GROUP 0.0% 0.9% -0.9%
VODACOM 0.7% 1.5% -0.8%
BID CORPORATION 1.2% 2.0% -0.8%
KAGISO
Counter ManagerCapped
SWIXDiff
NEDBANK GROUP 0.0% 1.2% -1.2%
CAPITEC 0.0% 1.1% -1.1%
REDEFINE 0.0% 1.1% -1.1%
SANLAM 1.8% 2.8% -1.0%
RICHEMONT 1.0% 2.0% -1.0%
BID CORPORATION 1.0% 2.0% -1.0%
GROWTHPOINT 0.5% 1.4% -0.9%
CLICKS GROUP 0.0% 0.9% -0.9%
DISCOVERY 0.3% 1.2% -0.9%
SHOPRITE 0.9% 1.7% -0.8%
PRUDENTIAL
Counter ManagerCapped
SWIXDiff
SANLAM 0.0% 2.8% -2.8%
BID CORPORATION 0.0% 2.0% -2.0%
VODACOM 0.0% 1.5% -1.5%
FIRSTRAND 2.9% 4.4% -1.5%
SHOPRITE 0.5% 1.7% -1.2%
BIDVEST GROUP 0.0% 1.3% -1.3%
DISCOVERY 0.0% 1.2% -1.2%
NEDBANK 0.0% 1.2% -1.2%
MR PRICE 0.0% 1.2% -1.2%
CAPITEC BANK 0.0% 1.1% -1.1%
CORONATION
Counter ManagerCapped
SWIXDiff
SANLAM 0.1% 2.8% -2.7%
OLD MUTUAL 0.0% 2.2% -2.2%
ABSA GROUP 0.0% 2.2% -2.2%
FIRSTRAND 2.3% 4.4% -2.1%
REMGRO 0.2% 2.1% -1.9%
SASOL 4.0% 5.9% -1.9%
SHOPRITE 0.1% 1.7% -1.6%
VODACOM 0.0% 1.5% -1.5%
BID CORPORATION 0.6% 2.0% -1.4%
GROWTHPOINT 0.0% 1.4% -1.4%
VISIO
Counter ManagerCapped
SWIXDiff
MTN GROUP 0.0% 3.2% -3.2%
SANLAM 0.0% 2.8% -2.8%
REMGRO 0.0% 2.1% -2.1%
VODACOM 0.0% 1.5% -1.5%
GROWTHPOINT 0.0% 1.4% -1.4%
ASPEN 0.0% 1.3% -1.3%
DISCOVERY 0.0% 1.2% -1.2%
NEDBANK 0.0% 1.2% -1.2%
CAPITEC BANK 0.0% 1.1% -1.1%
REDEFINE 0.0% 1.1% -1.1%
STEYN CAPITAL
Counter ManagerCapped
SWIXDiff
STANDARD BANK 0.0% 4.6% -4.6%
ANGLO AMERICAN 0.0% 3.4% -3.4%
MTN GROUP 0.0% 3.2% -3.2%
SANLAM 0.0% 2.8% -2.8%
ABSA GROUP 0.0% 2.2% -2.2%
REMGRO 0.0% 2.1% -2.1%
BID CORPORATION 0.0% 2.0% -2.0%
RICHEMONT 0.0% 2.0% -2.0%
GROWTHPOINT 0.0% 1.4% -1.4%
ASPEN 0.0% 1.3% -1.3%
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The tables below show the top 10 share holdings as at 30 September 2018.
OVERALL
Counter ManagerCapped
SWIXDiff
NASPERS 10.9% 9.7% 1.2%
SASOL 6.5% 5.9% 0.6%
OLD MUTUAL 5.4% 2.2% 3.2%
BRITISH A. TOBACCO 5.3% 3.4% 1.9%
STANDARD BANK 4.8% 4.6% 0.2%
ANGLO AMERICAN 4.6% 3.4% 1.2%
FIRSTRAND 3.2% 4.4% -1.2%
ABSA GROUP 2.7% 2.2% 0.5%
BHP BILLITON 2.6% 2.1% 0.5%
MTN GROUP 2.5% 3.2% -0.7%
KAGISO
Counter ManagerCapped
SWIXDiff
NASPERS 10.8% 9.7% 1.1%
OLD MUTUAL 5.3% 2.2% 3.1%
SASOL 5.2% 5.9% -0.7%
STANDARD BANK 4.6% 4.6% 0.0%
FIRSTRAND 3.7% 4.4% -0.7%
BRITISH A. TOBACCO 3.4% 3.4% 0.0%
MTN GROUP 2.8% 3.2% -0.4%
ANGLO AMERICAN 2.8% 3.4% -0.6%
RMB HOLDINGS 2.7% 1.1% 1.7%
ABSA GROUP 2.0% 2.2% -0.2%
PRUDENTIAL
Counter ManagerCapped
SWIXDiff
NASPERS 12.1% 9.7% 2.4%
SASOL LTD 8.5% 5.9% 2.6%
STANDARD BANK 7.1% 4.6% 2.5%
ANGLO AMERICAN 5.9% 3.4% 2.5%
OLD MUTUAL 5.5% 2.2% 3.3%
BRITISH A. TOBACCO 5.3% 3.4% 1.9%
ABSA GROUP 4.7% 2.2% 2.5%
SAPPI 3.3% 1.0% 2.3%
MTN GROUP 3.3% 3.2% 0.1%
FIRSTRAND 2.9% 4.4% -1.5%
CORONATION
Counter ManagerCapped
SWIXDiff
NASPERS 13.0% 9.7% 3.3%
BRITISH A. TOBACCO 10.2% 3.4% 6.7%
ANGLO AMERICAN 9.6% 3.4% 6.2%
MTN GROUP 6.4% 3.2% 3.2%
NEDBANK 4.9% 1.2% 3.7%
SASOL 4.0% 5.9% -1.9%
STANDARD BANK 3.9% 4.6% -0.7%
NORTHAM PLATINUM 3.6% 0.3% 3.3%
SPAR 3.5% 0.7% 2.8%
PICK N PAY 3.3% 0.5% 2.8%
VISIO
Counter ManagerCapped
SWIXDiff
NASPERS 9.1% 9.7% -0.6%
SASOL 7.8% 5.9% 1.9%
OLD MUTUAL 7.8% 2.2% 5.6%
STANDARD BANK 5.3% 4.6% 0.7%
BID CORP 5.0% 2.0% 3.0%
BRITISH A. TOBACCO 4.6% 3.4% 1.2%
BIDVEST GROUP 4.5% 1.3% 3.2%
MONDI PLC 4.5% 0.7% 3.8%
ABSA GROUP 4.4% 2.2% 2.2%
ANGLO AMERICAN 4.3% 3.4% 0.9%
STEYN CAPITAL
Counter ManagerCapped
SWIXDiff
NASPERS 9.0% 9.7% -0.7%
OLD MUTUAL 7.5% 2.2% 5.3%
SASOL 4.7% 5.9% -1.2%
PSG 4.5% 0.8% 3.7%
PEPKOR 4.2% 0.2% 4.0%
MAS REAL ESTATE 4.1% 0.2% 3.9%
BHP BILLITON 4.0% 2.1% 1.9%
BRITISH A. TOBACCO 3.9% 3.4% 0.5%
ASSORE LTD 3.7% 0.2% 3.5%
PICK N PAY 3.7% 0.5% 3.2%
© 2018 Willis Towers Watson. All rights reserved. Proprietary and Confidential. For Willis Towers Watson and Willis Towers Watson client use only. 66
Returns quoted are net of investment manager fees.
Month Wealth Builder Pension Protector Conservative
Oct 08 - Dec 08 -7.09% -5.79% -
Jan 09 - Dec 09 17.58% 14.97% -
Jan 10 - Dec 10 15.90% 15.04% 1.62%
Jan 11 - Dec 11 8.38% 10.07% 6.58%
Jan 12 - Dec 12 21.57% 21.12% 12.52%
Jan 13 - Dec 13 23.71% 19.42% 14.56%
Jan 14 - Dec 14 11.75% 11.89% 8.61%
Jan 15 - Dec 15 9.18% 8.18% 9.06%
Jan 16 - Dec 16 4.27% 5.18% 5.92%
Jan 17 – Dec 17 2.38% 2.24% 1.16%
Jan 18 0.04% -0.16% 0.47%
Feb 18 -1.69% -1.16% -0.46%
Mar 18 -1.24% -0.11% -0.32%
Apr 18 3.61% 1.85% 2.73%
May 18 -1.24% -0.92% -0.98%
June 18 3.20% 1.60% 3.24%
July 18 -0.49% -0.33% -0.25%
Aug 18 4.44% 3.40% 3.02%
Sept 18 -2.92% -2.03% -1.48%
3 month 0.88% 0.96% 1.25%
YTD 3.48% 2.03% 6.01%
12 month 4.90% 3.46% 7.65%
3 year 7.73% 6.86% 8.33%
5 year 9.12% 8.53% 8.42%
Since inception 11.64% 10.94% 9.43%
Annexure I – Portfolio Returns
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Investment
ManagerFee Structure Description Benchmark
Performance
ObjectiveManager PI Cover
27four Shari’ah
Estimated total fee of 0.84%
p.a. (Depends on underlying
asset allocation and manager
selection decision over time)
Shari’ah Compliant
Portfolio
50% FTSE Shari’ah Capped Top 40
Index, 22.5% Dow Jones Islamic
Market Titans 100 Total Return
index, 2.5% Lotus Islamic Market
Index, 14% STeFI Composit Index,
5% Newgold Platinum reference
price, and 5% Dow Jones Sukuk
Index. 1% is held in the call account
for liquidity purposes
CPI + 4%
R 250m any one claim
and R 500m in the annual
aggregate.
ABAX Global Absolute Base fee of 0.45% p.a. Absolute ReturnCP Benchmark
CPI + 3.5%R 140,000,000.00 + 1 x
reinstatement
ABSA Absolute Nil Absolute return CP Benchmark CPI + 3.5%
R 4.05bn any one claim
and R 8.15bn in the
annual aggregate.
Allan Gray Global Absolute
Base fee of 0.37% p.a. plus
performance fees (local) plus
separate fees for offshore
(Orbis) investments
Absolute return CP Benchmark CPI + 3.5% Total cover R 1.50 billion
Aluwani Passive Index
LinkedMonthly base fee of 0.05% p.a.
SA Inflation Linked
BondsRSA R202 RSA R202
ZAR 200,000,000 each
single loss but ZAR
600,000,000 in the annual
aggregate
Ardevora Base fee of 0.5% p.a. International Equity MSCI All Country World IndexMSCI All Country
World Index + 4%Total cover GBP 2 million
Colchester Management fee of 0.45% p.a. International Bonds JP Morgan Gov Bond IndexJP Morgan Gov
Bond Index + 1.5%
USD 40m in the
aggregate, and USD 5m
for crime claims.
Annexure II – Portfolio Fees & Mandate Summary
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Investment
ManagerFee Structure Description Benchmark
Performance
ObjectiveManager PI Cover
Contrarius
Base fee of 0.75% p.a. plus
0.2% for every 1.00% that the
fund out-performs the
benchmark.
International EquityMSCI All Country World
Index
MSCI All Country World
Index + 4%
Total cover USD 25m in
the aggregate
Coronation Houseview
Base fee of 0.2% p.a. plus
0.2% for every 1.00% that the
fund out-performs the
benchmark, capped at 1.00%
p.a, high watermark applies.
SA Equity Capped SWIX Capped SWIX + 3.5%R 1bn any one claim and
R 2.5bn in the aggregate.
Coronation Inflation Plus
0.65% on domestic and directly
held international assets; plus
Coronation standard fees on
international fund investments.
Target return strategy CP Benchmark CPI + 3.5%R 1bn any one claim and
R 2.5bn in the aggregate.
Futuregrowth Infrastructure Base fee of 0.5% p.a. SA Nominal Bonds All Bond Index (ALBI) ALBI + 1.25%
Total cover GBP 10m any
one claim and annual
aggregate
Futuregrowth Infrastructure
& Development ILBBase fee of 0.5% p.a. SA ILB BILBI 15+ year BILBI 15+ year + 1% p.a
Total cover GBP 10m any
one claim and annual
aggregate
Futuregrowth Yield
EnhancedBase fee of 0.42% p.a. SA Nominal Bonds All Bond Index (ALBI) ALBI + 1.25%
Total cover GBP 10m any
one claim and annual
aggregate
Hosking
Base fee of 0.4% p.a. No
performance fee payable on
Class E shares.
International EquityMSCI All Country World
Index
MSCI All Country World
Index + 4%
GBP 20m in the
aggregate, and GBP 1m
for crime claims.
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Investment
ManagerFee Structure Description Benchmark
Performance
ObjectiveManager PI Cover
Investec Property
0.5% p.a. unless termination
prior to 31 Dec 2017.
Otherwise approximately
0.8% p.a., provided Investec
outperforms the benchmark
by 1.5% p.a. over rolling 3-
year periods.
SA Listed Property J253 SAPY J253 SAPY + 2%
Total cover GBP 365m any
one claim and in the
aggregate
Investec Credit
Opportunities
Base fee of 0.5% p.a, plus
25% performance fee if the
portfolio out-performs the
STEFI 3-month + 3% p.a.
Capped at 1.2% p.a.
SA Credit Bonds STEFI 3-month STEFI 3-month + 3.7%
Total cover GBP 365m any
one claim and in the
aggregate
Investec Money Base fee of 0.1% p.a. SA Cash STEFI STEFI + 0.25%
Total cover GBP 365m any
one claim and in the
aggregate
Kagiso Base fee of 0.45% p.a. SA Core Equity Capped SWIX Capped SWIX + 1%
Total cover R 100m any
one claim and in the
aggregate
Old Mutual LHP 0.07% p.a SA ILB Reference Portfolio Ref Portfolio + 0.5% p.a
Total cover GBP 10m any
one claim and annual
aggregate
Old Mutual RESF
Base fee of 0.25% p.a. of
cash portion and 1.0% of
invested portion, plus a
performance fee of 20% of
out-performance of the
benchmark.
Private Equity: SRI CPI + 7% CPI + 7%
Total cover GBP 10m any
one claim and annual
aggregate
Polaris Base fee of 0.75% p.a. International EquityMSCI All Country World
Index
MSCI All Country World
Index + 4%
General Aggregate
$9,000,000
Each Occurrence
$9,000,000
Prudential
0.65% p.a. on first R200
million, 0.55% p.a. on next
R300 million, 0.45% above
R500 million.
SA Core Equity Capped SWIX Capped SWIX + 2.5%
GBP 5m in the aggregate,
and GBP 10m for crime
claims.
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Investment
ManagerFee Structure Description Benchmark
Performance
ObjectiveManager PI Cover
Sesfikile Fixed fee of 0.475% p.a. SA Listed Property J253 SAPY J253 SAPY + 2%
R 150m any one claim and
in the annual aggregate,
R 0.5m deductible.
Steyn Capital Fixed fee of 0.7% p.a. SA Equity Capped SWIX Capped SWIX + 3%
R 75m any one claim and
in the annual aggregate,
R 4m deductible
Sygnia (EM Equity)0.77% p.a plus Sygnia
platform feeInternational EM Equity MSCI EM Index MSCI EM Index + 2% R600,000,000 any one
claim but R1,200,000,000
in the annual aggregate
Sygnia (Resolution) 0.40% p.a plus Sygnia
platform fee
International Property FTSE EPRA/NAREIT FTSE EPRA/NAREIT +2% R600,000,000 any one
claim but R1,200,000,000
in the annual aggregate
Sygnia (Veritas) via AMX
Base fee of 0.40% per
annum plus Sygnia platform
fee; plus 0.08% to AMX
International EquityMSCI All Country World
Index
MSCI All Country World
Index + 4%
GBP 40m any one claim.
Deductible: GBP 100 000
VantageRefer to Partnership
AgreementPrivate Equity (Mezz Debt) STEFI +10% To be determined
R 150m any one claim and
in the annual aggregate,
R 0.5m deductible
Visio Flat fee of 0.50% p.a. SA Equity Capped SWIX Capped SWIX + 3.5%
R 100m any one claim and
in the annual aggregate,
and R 0.25m for data
protection extension
claims.
Disclaimer and risk warning
© 2018, Towers Watson Pty Ltd
This report contains confidential and proprietary information of Towers Watson Pty Ltd, a Willis Towers Watson company, and is intended for the exclusive use of the client specified herein. This report, and
any opinions on or ratings of investment products it contains, may not be modified, sold or otherwise provided, in whole or in part, to any other person or entity without Willis Towers Watson’s prior written
permission.
Information on investment management firms contained herein has been obtained from the firms themselves and other sources. While this information is believed to be reliable, no representations or
warranties are made as to the accuracy of the information presented, and no responsibility or liability, including for consequential or incidental damages, can be accepted for any error, omission or
inaccuracy in this report or related materials.
Opinions on or ratings of investment products contained herein are not intended to convey any guarantees as to the future investment performance of these products. In addition, past performance cannot
be relied on as a guide to future performance.