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Quarterly Investment ReviewQ3 / 2016

2 Parmenion Investment Management Quarterly Investment Review

Parmenion Investment Management Quarterly Investment Review 3

Important Notes 4.

Parmenion Investment Management 5.

Market Commentary 6.

Featured Article 7.

PIM Strategic Multi-Option Active and Passive Portfolios 8.

PIM Strategic Conviction Portfolios 12.

PIM Strategic Active Portfolios 16.

PIM Tactical Active and Passive Portfolios 18.

PIM Tactical Income Solution 24.

PIM Strategic Ethical Active Portfolios: Profile A-D 28.

PIM Tactical Ethical Active Portfolios 36.

DFA Multi-Option: UK Perspective 40.

DFA Multi-Option: Global Perspective 44.

Distribution Technology Multi-Option 48.

Portfolio Changes 53.

Solutions Index 54.

Index and Peer Group Returns 56.

Contents

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Important Notes

Views and Opinions

The views and opinions expressed in this document are those of Parmenion Investment Management. They should not be taken as a personal recommendation to buy or sell, or as advice on how any investment mentioned is likely to perform. Every care has been taken to ensure the accuracy of the information published in this document. It cannot, however, be guaranteed.

Performance Data

Unless otherwise stated, all performance figures are from FE, formerly Financial Express Analytics, and are calculated on a total return, bid to bid basis (no initial charges) to 30 September 2016 (net income reinvested). Performance figures include the underlying funds’ Annual Management Charges and exclude rebates and external charges from Parmenion or the introducing Adviser.

Performance figures assume that units sales and purchases instructed for rebalancing and fund switches will be made on the same day. However, in the context of client portfolios at least a 24 hour delay may be imposed between sales and purchases, to ensure settlement proceeds have been received before purchases are made. This is to protect the client money pooled account and ensures another clients money is not used to fund purchases from within the pool.

Where performance data is not available for a period of five years or more, this is quoted from inception date. Where no performance figures are shown, no data is available which we have labelled as N/A for the purposes of this document.

The tables in this document provide past performance data and should not be taken as a guide to future returns.

The value of investments and the income that can be earned from them may go down as well as up and a client may not get back the full amount invested. Rates and bases of taxation are subject to change. The risks of investment associated with different asset classes, for example, overseas equity, property, corporate debt, commodities and alternative assets vary in their nature.

Yield

The Quarterly Investment Review quotes the historic yield, which reflects distribution declared over the past twelve months as a percentage of the unit price. It is based on a snapshot of the portfolio on that day.

Ongoing Charge Figure (OCF)

OCF means Ongoing Charge Figure, defined as the expected total cost of managing and operating the fund for the coming year. OCF includes the Annual Management Charge paid to the fund manager plus the additional operational charges of the fund (custody, distribution, audit, registration and regulatory fees).

OCF does not include an estimate of performance fees unlike the old measure, Total Expense Ratio, or TER, which was based on the experience over the prior year.

The OCF figures quoted in this report are net of any rebates paid to Parmenion from the Annual Management Charge. Any such rebates received are credited to the client’s portfolio. OCF figures in this report do not include Parmenion’s own charges or those of the introducing Adviser; neither do they include any dealing costs associated with buying or selling the funds.

Seeking appropriate Financial Advice

Parmenion is not authorised to provide investment advice to individuals. It is important that clients take a medium to long term view when investing and are realistic about performance outcomes.

If a client wishes to obtain financial advice as to whether an investment is suitable for their needs, they should consult an authorised Financial Adviser. Clients should ensure they have understood the contents of their Adviser’s suitability report before proceeding with any proposed investment.

Regulatory

Parmenion Investment Management Ltd is a subsidiary of Parmenion Capital Partners LLP. Parmenion Capital Partners LLP is authorised and regulated by the Financial Conduct Authority, registration number: 462085. Wholly owned subsidiary of Aberdeen Asset Management PLC and Aberdeen Investments Limited. Parmenion Capital Partners LLP is registered in England and Wales OC322243.

Contact Details

Head Office: 2 College Square Anchor Road, Bristol BS1 5UE.

Office: 0845 519 0100 Website: www.parmenion-im.co.uk Email: [email protected]

For professional use only


Parmenion Investment Management (PIM) is a leading provider of discretionary management services to Financial Advisers. Renowned for its investment expertise, service excellence and unique risk management framework PIM provides Advisers with an extensive range of market leading investment solutions to assist in creating customised offerings to best meet the specific requirements of their individual clients.Our aim is to be the investment manager of choice for Financial Advisers looking to profitably grow their business. We pledge to undertake the investment research, fund selection and monitoring allowing you to focus more closely on ensuring the on-going suitability of the selected investment solution to best align with the risk mandate agreed between you and your clients. This ensures that the client and Adviser can have complete confidence in their investments and their risk adjusted returns regardless of market conditions, strategy or investment style, whilst also providing Advisers with greater opportunity to expand new business prospects.

The enhanced client and Adviser confidence stems from the unique approach PIM takes towards investing. With a firm belief that risk and return are inextricably linked, our focus at all times is on managing the expectations of clients and Financial Advisers in relation to their investment outcomes – a fundamental premise being that returns are always commensurate with the level of risk taken.

In contrast, many Investment Managers focus on benchmark investment performance, which we believe only leads to disappointment. Instead, we place the emphasis on managing risk so that clients understand the inherent volatilities they are taking with their investments and consequently the outcome they can expect.

We believe the management of risk within an investment portfolio is critical. To assist in this process Modern Portfolio Theory (MPT) is used to substantiate and underpin our investment solutions with the objective of reducing overall risk whilst maximising returns for any given level of risk taken. This is done by varying the exposure to risky and defensive asset classes and back testing using 20 years of historical data to help determine an optimised weighting to each asset class for any given level of risk. PIM then overlays this with our experience and a variety of techniques, including stress testing, that takes into account a range of potential scenarios to ensure that each and every portfolio is suitably protected and diversified.

The comprehensive PIM investment range encompasses a Strategic Multi-Option solution, with a mix of Active and Passive options, plus Tactical and Ethical strategies. Each of the PIM solutions are built using asset classes (Equities, Fixed Interest and Property) that can be dynamically combined to match the risk tolerance of each client.

PIM undertakes rigorous research for each fund included in its portfolios. The objective is to select funds that will provide favourable risk adjusted returns over the long term. The research of these funds is divided into two stages: qualitative and quantitative. The qualitative element involves meeting the fund manager face to face to understand their investment philosophy, process and methodology and how it has generated the favourable risk adjusted performance that PIM has identified. The quantitative analysis measures raw data including the risk/return performance of the collective fund, downside risk management and fund manager skill.

Parmenion Investment Management


Market Commentary

Simon Brett Director & Chief Investment Officer Parmenion Investment Management

There are two topics to discuss in this quarterly review, one in the news a great deal and the other perhaps not catching the headlines. The former is the ongoing developments post the Brexit vote and the latter is the good performance from emerging markets this year. Each is covered below.It is now over 3 months since the vote to leave the European Union. Article 50 which starts the two year countdown to leave the EU has not yet been invoked and we are no wiser as to the type of exit the UK wishes to negotiate, whether it be “hard”, “soft” or something in-between. Most commentators expect Article 50 to be implemented in 2017, and until that point it is perhaps pointless to speculate on the long term implications of the new relationship between the UK and Europe.

However life goes on and it is worth analysing what has happened to the UK stock market and the economy since June. First, in August the Bank of England lowered interest rates from 0.50% to 0.25%, a new historic low. In addition, it extended its Quantitative Easing programme and introduced a “Term Funding Scheme”, providing cheap loans to banks so that they may continue to lend. Some have criticised these actions, citing what kind of signal this sends to individual and companies? Does the Bank of England foresee the economy slowing rapidly and is taking pre-emptive action? How will people behave? Will they cut back on spending and companies rein back investment? The response may well be negative and have the opposite effect from the intended result. Time will tell.

Looking at the evidence the economy appears to be in reasonably good shape. Consumer confidence and demand remains strong. Wages are ahead of prices, unemployment is low and the return on savings is so pitiful that perhaps consumers may rather spend than save. Another consequence of the vote to leave has been the drop in sterling, versus the dollar it has fallen from $1.49 to $1.29. This should enhance the competitiveness of exporting UK companies and may explain the recent strong performance of the FTSE100 index (up 13.8% since the vote) which drives approximately three quarters of its earnings from overseas.

The second notable theme of the third quarter of 2016 has been the resurgence of investor interest in emerging markets. (The FTSE Emerging Market index is up 33% in sterling terms

year to date). At the start of the year this was an asset class beset with problems. There were serious concerns about the health and stability of the Chinese economy, Brazil and Venezuela had political problems and commodity prices were depressed. Nine months on and the asset class is in rude health. What has happened? Much of the bounce may be attributable to the rise in commodity prices, the Bloomberg Commodity Index is up nearly 24% in sterling terms (see chart below), as many emerging markets derive significant revenues from exporting commodities, such as Brazil, South Africa, and Russia. Conversely however, countries like India and China do not benefit as they import large amounts of commodities.

Another key driver for the emerging markets asset class has been the direction of interest rates in the United States, which now increasingly appears will rise gently from present levels. Last year it was expected the Fed would raise rates by 4 times during 2016. This has not happened. A rise in rates lifts the value of the US dollar, lowering the price of commodities and hence income and GDP growth in emerging markets. It also makes the dollar denominated debt of EM companies more expensive to repay. Thus with interest rates “lower for longer” in the US and elsewhere in the developed world, emerging markets are less likely to suffer from a rapid rise in the dollar.

As we enter the final quarter of 2016 it is easy to forget that the FTSE World index has risen by 22% in sterling terms, a healthy return for investors. Central banks have maintained low interest rates in order to provide “cheap” money as and when needed to generate economic growth. As always it is important to remember markets can go down as well as up, and to invest according to your risk appetite.

Bloomberg Commodity Index

10%

0%

20%

-10%

-20%

-30%

-40%

-50%OCT ‘11 FEB ‘12 JUN OCT FEB ‘13 JUN OCT FEB ‘14 JUN OCT FEB ‘15 JUN OCT FEB ‘16 JUN

TIME

Source: FE Analytics 2016Bloomberg Commodity GTR in GB [23.67%]


Featured Article Has QE failed, and if so why are markets clamouring for more?

Peter Dalgliesh Managing Director Parmenion Investment Management

The aim of Quantitative Easing [QE] was to support global economic growth in the wake of the Global Financial Crisis, and help to push GDP growth back towards its trend rate, typically around 3.2 – 3.5% for the world and 2 - 2.5% for the UK.This would allow the amount of outstanding debt to be managed and ultimately reduced over time. It was hoped that a virtuous cycle could be started: pinning interest rates down would boost investment, which would improve employment prospects, leading to increased consumption and a self-sustaining recovery where total demand would become strong enough to generate desirable levels of debt-reducing inflation. The problem has been that whilst the cost of capital for companies has been meaningfully lowered, it has not led to the hoped-for uptick in investment, so productivity, wages and consumption have all remained weak. Instead it has merely enabled weaker companies to survive, leading to excess supply at a point in time of sustained weak demand, which has acted as a further depressant on prices and therefore been a disinflationary force.

With soft growth and negligible inflation, the global debt mountain consequently remains as challenging today as it has ever been despite QE-driven central bank balance sheet expansion of almost four times since 2007 (the aggregate balance sheet of the US Federal Reserve, Bank of Japan, European Central Bank and Bank of England has grown from $3.5 trillion in 2007 to over $12 trillion today: source Wall Street Journal). As a result markets and policy makers are beginning to question the extended use of QE, though the alternatives appear potentially more disruptive and politically challenging.

The markets’ and society’s fatigue with QE stems primarily from the rising inequality that it has generated. Whilst “the few” have benefitted from the positive wealth effect of rising asset prices (bonds, equities, property etc.), “the many” have endured flat to falling nominal incomes. Corporations and their shareholders have profited at the expense of employees. Households have faced rising bills and the pain of austerity whilst governments have congratulated themselves on avoiding catastrophe, when in actual fact they have offered little to no leadership, failed to institute any growth-supporting fiscal policies and instead delegated all responsibility for repairing the economy to the central bankers.

Despite the relative calm that QE has brought, its primary goal of rekindling sustainable demand-driven inflation has been a glaring failure. Yes there are glimmers of ‘cost push’ inflation beginning to emerge, courtesy of a depreciating currency and commodity prices rising from a floor, but typically

these pressures are transient and unstable. Until confidence is firmly re-established, the benefit of low interest rates is unlikely to manifest itself in increased investment and so the positive money multiplier effect the central bank craves remains elusive. This explains why markets continue to expect the long term natural rate of interest (the real, ie nominal less inflation, interest rate that supports non-inflationary GDP growth) to remain at historically low levels, see chart below.

The problem is whilst rationally and intuitively many market participants believe a change is necessary, the prospect of moving away from QE raises uncertainty. As a result whenever central bankers have hinted at a reversal of QE, this has led to market weakness, ultimately leading them to withdraw their earlier intentions. This is effectively leading to a dangerous scenario where the counter-cyclical role of a central bank designed to deliver relative economic and financial stability through the cycle is being forfeited. Instead of central banks leading they are increasingly being led, and led by markets addicted to the QE drug, where the prospect of complete withdrawal is always going to be messy and full of unknowns.

So who would want to be a central banker, particularly now? Even after all their best efforts since the Global Financial Crisis (GFC) of 2008/09 to stimulate economic activity and restore financial stability, global GDP growth remains anaemic, inflation some way beneath target, and business confidence absent. The appropriateness, efficacy and relevance of QE is now being deeply questioned. Yet, at the same time there is a clear hesitancy about its withdrawal. As a result central bankers feel increasingly trapped, damned if they do and damned if they don’t. But that is why they have the position of responsibility they have, to take difficult decisions for the ultimate betterment of their respective economies. Let’s hope they are up to the task, as ultimately the addiction needs to be broken as QE cannot go on forever.

Estimated Natural Interest Rate, Adjusted for Inflation

5%

4%

3%

2%

1%

0%

-1%1980 1985 1990 1995 2000 2005 2010 2015

YEAR

Source: Kathryn Holston, Thomas Laubach of the Federal Reserve Board; John C. Williams, Federal Reserve Bank of San Francisco

U.K.Canada

U.S.Eurozone


PIM Strategic Multi-Option Active and Passive Portfolios

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PIM Strategic Multi-Option - Asset Allocation Table

Risk Grade

1 80% 20% 0% 0% 0% 0% 0% 100%

2 25% 55% 10% 5% 5% 0% 0% 100%

3 15% 55% 10% 10% 5% 5% 0% 100%

4 15% 35% 10% 20% 10% 10% 0% 100%

5 5% 30% 10% 20% 15% 20% 0% 100%

6 0% 25% 10% 20% 20% 25% 0% 100%

7 0% 15% 15% 20% 20% 25% 5% 100%

8 0% 0% 15% 20% 15% 35% 15% 100%

9 0% 0% 10% 15% 15% 35% 25% 100%

10 0% 0% 0% 10% 15% 40% 35% 100%

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Portfolios are rebalanced to their asset allocation on a quarterly basis.

The Multi-Option offering is built around seven asset classes; Managed Liquidity, Fixed Interest, Property, UK Value and Income, UK Growth, Developed Markets and Emerging Markets. An investor in the Multi-Option offering assumes that the risk and return relationships between the various asset classes are stable over the long term. Thus, the asset allocations for the ten Risk Graded portfolios will not change frequently. The Multi-Option offering allows a choice of either Active or Passive investment for each asset class.

The PIM Strategic Passive solution, is identical in structure to the PIM Strategic Multi-Option Passive solution and as such is excluded from the QIR. Strategic Multi-Option gives Advisers the flexibility to choose between Active or Passive for each asset class, whilst PIM Strategic Passive has a passive fund selection across all available asset classes. Whilst the DFM fee differs slightly for PIM Strategic Multi-Option (proportional to the Active exposure) this would not affect the performance figures as they are gross of fees from Parmenion or the Adviser.

Fund OCF 0.12% 0.67% 0.76% 0.87% 0.80% 0.97% 1.15%

Historic Yield 0.45% 2.48% 3.15% 3.87% 2.30% 1.02% 1.33%

Fund OCF 0.12% 0.08% 0.76% 0.15% 0.05% 0.08% 0.22%

Historic Yield 0.45% 2.03% 3.15% 4.61% 3.66% 1.94% 2.67%

Net Ongoing Charge Figure (OCF) and Historic Yield

The fund OCF and historic yield for each asset class are shown below. The data included will vary from month to month, depending on the fund selection of the investment manager and the expenses of the underlying funds themselves. These figures are therefore only included for the purposes of transparency.

PIM Strategic Multi-Option Active

Fund OCF and historic yield data is correct as at 02 October 2016.



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PIM Strategic Multi-Option Active PIM Strategic Multi-Option Passive

Federated Short-Term Sterling Prime

L&G All Stocks Index Linked Gilt Index

Threadneedle UK Property Authorised Trust Feeder

Vanguard FTSE UK Equity Income Index

Vanguard FTSE UK All Share Index

Vanguard US Equity Index

Vanguard Emerging Markets Stock Index

BlackRock ICS Institutional Sterling Liquidity Heritage

Vanguard UK Investment Grade Bond Index

L&G UK Property Feeder

Vanguard FTSE Developed Europe ex UK Equity Index

Vanguard Global Bond Index GBP Hedged

Standard Life Investments UK Real Estate Income Feeder

L&G Pacific Index

Vanguard UK Government Bond Index

L&G Japan Index

Portfolio Holdings as of 30 September 2016

The current portfolio holdings for PIM Strategic Multi-Option are shown in the tables below, as at 30 September 2016. Please refer to page 53 for details on fund changes over the period. If you have any further queries, please refer to your relationship manager.

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Allianz Gilt Yield


Unicorn UK Income

JOHCM UK Opportunities

Stewart Investors Asia Pacific Leaders

Aberdeen Emerging Markets Equity


M&G Optimal Income


Trojan Income CF Lindsell Train UK Equity

CF Morant Wright Nippon Yield

Schroder Global Emerging Markets

Fidelity Moneybuilder Income


Rathbone Income

Liontrust Special Situations

JPM US Equity Income

MI Somerset Emerging Markets Dividend Growth

Jupiter Strategic Bond

Threadneedle UK Equity Income

Jupiter UK Special Situations

Jupiter European

Fidelity Emerging Markets

TwentyFour Dynamic Bond

Invesco Perpetual Income

Fidelity American Special Situations

M&G Index Linked Bond

Threadneedle European Select

Kames Investment Grade Bond

Pioneer US Fundamental Growth


PIM Strategic Multi-Option Active - Portfolio Returns to period end 30 September 2016

After a strong performance from Emerging Market Equities and a weakening of sterling that has boosted returns from overseas assets, returns from these portfolios now increase sequentially with risk over all time periods, with just 4 exceptions (Risk Grade 7 over 6 months and 2 years owing to its higher exposure to Property which lagged Fixed Interest, and Risk Grade 9 over 3 and 5 years owing to the relative outperformance of UK Equities over Emerging Markets).

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Passive

Please refer to Important Notes on page 4 for how performance figures are calculated. Performance data is correct as of 30 September 2016. Past performance is not an indication of future returns. The value of investments and any income from them is not guaranteed and can go down as well as up.

PIM Strategic Multi-Option Passive - Portfolio Returns to period end 30 September 2016

After a strong performance from Emerging Market Equities and a fall in sterling, returns from these portfolios now increase sequentially with risk over all time periods, with just 6 exceptions (Risk Grade 4 over 2 years due to Fixed Interest outperforming UK Equities, Risk Grade 7 over 6 months and 2 year to 5 years owing to its higher exposure to Property which lagged Fixed Interest, and Risk Grade 9 over 5 years due to the relative outperformance of UK Value and Income over Emerging Markets).

1 0.95% 1.92% 2.81% 4.59% 7.03% 11.19%

2 3.05% 5.29% 8.03% 12.33% 18.85% 30.72%

3 3.81% 6.68% 10.16% 14.52% 22.05% 38.64%

4 4.48% 7.51% 11.33% 14.35% 22.09% 45.87%

5 5.54% 9.50% 14.61% 17.51% 26.67% 58.16%

6 6.16% 10.61% 16.39% 18.98% 28.86% 65.43%

7 6.37% 10.48% 16.75% 18.50% 28.61% 65.09%

8 7.51% 12.51% 20.77% 20.37% 31.04% 71.04%

9 8.40% 14.49% 23.94% 21.31% 31.40% 70.36%

10 9.68% 17.71% 28.95% 23.42% 32.91% 73.54%

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1 1.24% 1.99% 2.56% 4.04% 6.03% 10.63%

2 4.00% 5.24% 7.23% 11.48% 16.84% 30.33%

3 4.78% 6.30% 9.11% 14.09% 20.57% 38.58%

4 5.31% 6.45% 10.23% 15.74% 23.40% 48.51%

5 6.32% 8.08% 13.42% 19.83% 29.12% 61.61%

6 6.91% 8.94% 15.22% 22.10% 32.36% 69.98%

7 6.93% 8.73% 15.66% 22.00% 32.70% 70.61%

8 7.60% 10.39% 19.47% 24.41% 35.78% 76.87%

9 8.36% 12.46% 22.65% 25.24% 35.64% 76.60%

10 9.48% 15.63% 27.59% 27.47% 36.84% 80.11%



PIM Strategic Multi-Option Active

PIM Strategic Multi-Option Active and Passive Portfolios

Managed Liquidity 0.11% 0.23% 0.49% 1.31% 2.64% 5.22%

Fixed Interest 5.63% 9.06% 10.95% 15.37% 20.37% 34.59%

Property -0.41% -6.57% -3.02% 6.90% 21.00% 26.76%

UK Value and Income 7.76% 6.30% 9.97% 16.92% 27.19% 79.92%

UK Growth 9.45% 11.24% 18.13% 23.07% 32.12% 90.55%

Developed Markets 8.23% 15.37% 29.44% 38.39% 53.67% 105.15%

Emerging Markets 11.38% 20.45% 34.76% 19.57% 22.53% 48.68%

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Fixed Interest 4.15% 8.63% 12.33% 18.39% 26.10% 37.98%

Property -0.41% -6.57% -3.02% 6.90% 21.00% 26.76%

UK Value and Income 6.61% 10.29% 12.83% 10.41% 16.96% 63.81%

UK Growth 7.75% 12.80% 16.73% 14.00% 20.81% 68.30%

Developed Markets 8.90% 18.13% 31.65% 35.27% 51.29% 113.37%

Emerging Markets 12.12% 21.31% 35.87% 17.43% 21.84% 37.51%

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PIM Strategic Multi-Option Passive

5 YE

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PIM Strategic Multi-Option - Asset Class Returns to period end 30 September 2016

The PIM Strategic Multi-Option Risk Graded portfolios are built through a weighted exposure to seven underlying asset classes. For transparency purposes the returns of each asset class are given below. These returns should not be considered in isolation as the asset class risk and return characteristics are taken into account within the construction of each risk graded portfolio.




PIM Strategic Conviction PortfoliosC

PIM Strategic Conviction Portfolios - Asset Allocation Table

PIM Strategic Conviction was launched in August 2015. The solution combines both active and passive funds within each asset class in order to achieve attractive long term risk adjusted returns, a unique feature within the PIM investment solutions. By combining both types of fund, the PIM Conviction Solution overcomes the difficulty of choosing one approach over the other. PIM uses its experience to decide the split between active/passive by examining monthly, a range of quantitative and qualitative factors. Thus the split between active and passive in each asset class is likely to vary over time depending on PIM’s analysis and interpretation of market conditions. The current allocations can be seen on page 13.

The PIM Strategic Conviction solution is built around seven broad asset classes; Managed Liquidity, Fixed Interest, Property, UK Value and Income, UK Growth, Developed Markets and Emerging Markets. Fixed Interest is then split into four sub asset classes: UK Gilts, Index Linked Gilts, Corporate Bonds and Strategic Bonds. Developed Markets is also split into four sub asset classes; European Equity, US Equity, Japanese Equity and Asia Pacific ex Japan Equity. An investor in the PIM Strategic Conviction assumes that the risk and return relationships between the various asset classes are stable over the long term. Thus, the asset allocations for the ten Risk Graded portfolios will not change frequently.

Asset Group 1 2 3 4 5 6 7 8 9 10

Managed Liquidity 80.00% 25.00% 15.00% 15.00% 5.00% 0.00% 0.00% 0.00% 0.00% 0.00%

Gilts 3.00% 8.25% 8.25% 5.25% 4.50% 3.75% 2.25% 0.00% 0.00% 0.00%

Index Linked Gilts 2.00% 5.50% 5.50% 3.50% 3.00% 2.50% 1.50% 0.00% 0.00% 0.00%

Corporate Bonds 7.00% 19.25% 19.25% 12.25% 10.50% 8.75% 5.25% 0.00% 0.00% 0.00%

Global Bonds 8.00% 22.00% 22.00% 14.00% 12.00% 10.00% 6.00% 0.00% 0.00% 0.00%

Property 0.00% 10.00% 10.00% 10.00% 10.00% 10.00% 15.00% 15.00% 10.00% 0.00%

UK Equity Income 0.00% 5.00% 10.00% 20.00% 20.00% 20.00% 20.00% 20.00% 15.00% 10.00%

UK Equity Growth 0.00% 5.00% 5.00% 10.00% 15.00% 20.00% 20.00% 15.00% 15.00% 15.00%

European Equity 0.00% 0.00% 1.00% 2.00% 4.00% 5.00% 5.00% 7.00% 7.00% 8.00%

US Equity 0.00% 0.00% 3.00% 6.00% 12.00% 15.00% 15.00% 21.00% 21.00% 24.00%

Japanese Equity 0.00% 0.00% 0.50% 1.00% 2.00% 2.50% 2.50% 3.50% 3.50% 4.00%

Asia Pacific ex Japan Equity 0.00% 0.00% 0.50% 1.00% 2.00% 2.50% 2.50% 3.50% 3.50% 4.00%

Emerging Market Equity 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 5.00% 15.00% 25.00% 35.00%

*Portfolios are rebalanced to their asset allocation on a quarterly basis or when a change is made between the active/passive allocations.


Fund OCF 0.12% 0.20% 0.10% 0.43% 0.60% 0.76% 0.59% 0.66% 0.59% 0.76% 0.98% 0.60% 0.80%

Historic Yield 0.45% 1.63% 0.17% 2.80% 2.83% 3.15% 4.14% 2.59% 1.42% 0.59% 2.28% 1.87% 1.94%




Active/Passive Allocation as at 30 September 2016

The chart below displays the current active/passive weights within each asset class as at 30 September 2016.

INDE

X LI

NKE

D GI

LTS

CORP

ORAT

E BO

NDS

STRA

TEGI

C BO

NDS

PROP

ERTY

UK E

QUIT

Y IN

COM

E

GILT

S

MAN

AGED

LIQ

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UK E

QUIT

Y GR

OWTH

EURO

PEAN

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US E

QUIT

Y

JAPA

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E EQ

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ASIA

PAC

IFIC

EX

JAPA

N E

QUIT

YEM

ERGI

NG

MAR

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TY

MAN

LIQUIDITY

%

ACTIVE PASSIVE

0

10

20

30

40

50

60

70

80

90

100

GILTS

INDEX LIN

KED

CORP BONDS

GLOBAL

BONDS

PROPERTY

UK INCOME

UK GROWTH

EUROPE

US EQUITY

JAPAN

ASIA EX JAPAN

EMERGING M

ARKETS


INDE

X LI

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GILT

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CORP

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GLOB

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STRA

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C B

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ITY

PIM Strategic Conviction Active and Passive Funds

Portfolio Holdings as of 30 September 2016 The current portfolio holdings for PIM Strategic Conviction are shown in the tables below, as at 30 September 2016. Please refer to page 53 for details on fund changes over the period. If you have any further queries, please refer to your relationship manager.







Unicorn UK Income


Jupiter European

Fideity American Special Situations





Allianz Gilt Yield


M&G Optimal Income


Trojan Income

CF Lindsell Train UK Equity



L&G Japan Index

L&G Pacific Index





Rathbone Income



CF Milton US Opportunities







UK E

QUIT

Y

GROW

TH

EURO

PEAN

EQ

UITY

US E

QUIT

Y

JAPA

NES

E

EQUI

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EMER

GIN

G

MAR

KET

EQ

UITY

UK E

QUIT

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INCO

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ASIA

PAC

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EX

JAP

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PIM Strategic Conviction Portfolios C

PIM Strategic Conviction - Portfolio Returns to period end 30 September 2016

Returns from these portfolios now increase sequentially with risk over all time periods, owing to the strong relative performance of US, Asia and Emerging Markets Equity, with the exception of Risk Grade 7 over 6 months owing to it’s higher relative weighting to Property.

1 YE

AR R

ETUR

N

3 M

ONTH

RET

URN

Risk Grade

1 1.15% 1.93% 2.54% 2.39%

2 3.70% 5.10% 7.24% 7.09%

3 4.51% 6.22% 9.11% 8.84%

4 5.09% 6.49% 10.27% 9.87%

5 6.14% 8.19% 13.55% 12.93%

6 6.73% 9.10% 15.42% 14.69%

7 6.86% 8.98% 15.91% 15.18%

8 7.81% 11.00% 19.85% 18.82%

9 8.65% 13.10% 23.05% 21.83%

10 9.85% 16.27% 27.90% 26.32%

PIM Strategic Conviction - Asset Class Returns to period end 30 September 2016

The PIM Strategic Conviction portfolios are built through a weighted exposure to seven underlying asset classes. For transparency purposes the returns of each sub-asset class are given below. These returns should not be considered in isolation as the asset class risk and return characteristics are taken into account within the construction of each risk graded portfolio.

FROM

INCE

PTIO

N

(31.

08.2

015)

3 M

ONTH

RET

URN

Asset Class

Managed Liquidity 0.11% 0.23% 0.49% 0.37%

Gilts 4.37% 11.37% 15.61% 16.92%

Index Linked Gilts 13.96% 24.91% 28.03% 26.56%

Corporate Bonds 5.53% 8.29% 10.86% 10.78%

Global Strategic Bonds 2.85% 4.41% 5.36% 4.83%

Property -0.41% -6.57% -3.02% -2.25%

UK Equity Income 7.47% 6.59% 9.59% 8.91%

UK Equity Growth 8.46% 10.94% 19.31% 18.74%

European Equity 7.43% 11.32% 19.18% 17.94%

US Equity 7.65% 16.19% 31.24% 29.64%

Japanese Equity 15.75% 21.55% 34.81% 24.70%

Asia Pacific ex Japan Equity 11.59% 20.33% 35.27% 34.59%

Emerging Market Equity 12.21% 21.18% 35.00% 33.42%



6 M

ONTH

RET

URN

6 M

ONTH

RET

URN

FROM

INCE

PTIO

N

(31.

08.2

015)

1 YE

AR R

ETUR

N


PIM Strategic Active Portfolios

The PIM Strategic Active portfolios are constructed using six asset classes each with their own distinctive risk and reward characteristics. By varying the percentage exposure to each asset class, ten Risk Graded portfolios are produced that can match the risk tolerance of a particular client. The current split between the asset classes for each of the ten Risk Graded portfolios is detailed in the table below. An investor in the PIM Strategic Active solution assumes that the risk and return relationships between the various asset classes are stable over the long term. Thus, the asset allocations for the ten Risk Graded portfolios will not change frequently.

PIM Strategic Active Portfolios - Asset Allocation Table

PIM Strategic Active - Model Portfolio Holdings as of 30 September 2016

Risk Grade

1 80% 20% 0% 0% 0% 0% 100%

2 25% 55% 10% 5% 5% 0% 100%

3 15% 55% 10% 10% 10% 0% 100%

4 15% 35% 10% 25% 15% 0% 100%

5 5% 30% 15% 25% 25% 0% 100%

6 0% 25% 15% 25% 25% 10% 100%

7 0% 10% 15% 25% 35% 15% 100%

8 0% 0% 15% 20% 35% 30% 100%

9 0% 0% 10% 20% 30% 40% 100%

10 0% 0% 0% 0% 35% 65% 100%

EQUI

TY IN

COM

E

PROP

ERTY

FIXE

D IN

TERE

ST

MAN

AGED

LIQ

UIDI

TY

EQUI

TY G

ROW

TH

GLOB

AL A

LPH

A


Fund OCF 0.12% 0.67% 0.76% 0.88% 0.93% 0.95%

Historic Yield 0.45% 2.48% 3.15% 3.89% 1.30% 0.59%

Federated - Short-Term Sterling Prime

Allianz Gilt Yield Threadneedle UK Property Authorised Trust Feeder

MI Chelverton UK Equity Income


Schroder Asian Alpha Plus


M&G Optimal Income


Unicorn UK Income Stewart Investors Asia Pacific Leaders

Franklin UK Managers' Focus



Trojan Income CF Morant Wright Nippon Yield

JOHCM Continental European


Artemis Global Income


Old Mutual North American Equity


Rathbone Income JPM US Equity Income

Baillie Gifford Japanese


Threadneedle UK Equity Income


Threadneedle Global Emerging Market Equity


Fidelity Global Dividend

Jupiter European Legg Mason ClearBridge US Aggressive Growth



Rathbone Global Opportunities






S

PROP

ERTY

EQUI

TY

INCO

ME

EQUI

TY

GROW

TH

GLOB

AL

ALPH

A

FIXE

D

INTE

REST

MAN

AGED

LI

QUID

ITY

The current portfolio holdings for PIM Strategic Active are shown in the table below, as at 30 September 2016. Please refer to page 53 for further details on fund changes over the period. If you have any further queries, please refer to your relationship manager.


Portfolios are rebalanced to their asset allocation on a quarterly basis.

TOTA

L


PIM Strategic Active - Portfolio Returns to period end 30 September 2016 PIM Strategic Active - Asset Class Returns to period end 30 September 2016

Returns from these portfolios now increase sequentially with risk over all time periods owing to the strong relative returns of Equity Income, Equity Growth and Global Alpha. The only exceptions are Risk Grade 9 over 3 years and Risk Grades 8-10 over 5 years due to the relative outperformance of Equity Growth over Global Alpha.

6 M

ONTH

RET

URN

1 YE

AR R

ETUR

N

2 YE

AR R

ETUR

N

3 YE

AR R

ETUR

N

5 YE

AR R

ETUR

N

3 M

ONTH

RET

URN

The PIM Strategic Active Risk Graded portfolios are built through a weighted exposure to six underlying asset classes. For transparency purposes the returns of each asset class are given below. These returns should not be considered in isolation as the asset class risk and return characteristics are taken into account within the construction of each risk graded portfolio.

6 M

ONTH

RET

URN

1 YE

AR R

ETUR

N

2 YE

AR R

ETUR

N

3 YE

AR R

ETUR

N

5 YE

AR R

ETUR

N

3 M

ONTH

RET

URN

Risk Grade Asset Class


1 1.24% 1.99% 2.56% 4.04% 6.03% 10.63%

2 4.03% 5.47% 7.75% 11.94% 17.33% 30.48%

3 4.90% 6.55% 9.64% 14.34% 20.65% 38.36%

4 5.51% 6.58% 10.61% 15.49% 22.73% 47.36%

5 6.12% 7.24% 12.51% 18.27% 27.08% 56.41%

6 7.00% 8.39% 14.46% 19.83% 29.13% 59.85%

7 7.65% 9.30% 16.74% 21.94% 32.02% 66.69%

8 8.41% 10.45% 18.84% 23.04% 33.27% 66.59%

9 9.12% 11.68% 20.24% 23.34% 32.98% 65.34%

10 10.72% 15.70% 25.97% 26.51% 35.15% 63.24%


Fixed Interest 5.63% 9.06% 10.95% 15.37% 20.37% 34.59%

Property -0.41% -6.57% -3.02% 6.90% 21.00% 26.76%

Equity Income 8.69% 7.43% 12.40% 17.30% 26.49% 79.12%

Equity Growth 8.99% 14.67% 26.94% 32.88% 44.32% 95.71%

Global Alpha 11.66% 16.25% 25.42% 23.12% 30.35% 47.71%

*Prior to 16 February 2015 the returns shown as Global Alpha were synonymous with Specialist Equity.



PIM Tactical Active & Passive Portfolios

The Tactical offering is built around five asset classes; Managed Liquidity, Cautious, Balanced, Active and Global Alpha. The Managed Liquidity and Global Alpha portfolios are the same as PIM Strategic Active portfolios. The asset allocation between bonds, equities and other asset classes may vary within the Cautious, Balanced and Active portfolios, at the discretion of the investment manager (PIM). The aim is to minimise volatility whilst maximising risk adjusted returns.

These five asset class portfolios are blended to give ten Risk Graded portfolios, as shown below. The Tactical Passive investment solution seeks to replicate the asset allocation of Tactical Active via the use of passive funds. The exceptions are Managed Liquidity and Property where passive alternatives are unavailable. Global Alpha has the same sub-asset allocations for Active and Passive, however is labelled Active Plus in the latter.

PIM Tactical Portfolios Active and Passive - Asset Allocation Table

Portfolios are rebalanced to their asset allocation on a periodic basis.

BALA

NCE

D

ACTI

VE

ACTI

VE P

LUS

CAUT

IOUS

MAN

AGED

LIQ

UIDI

TY

PIM Tactical Passive

BALA

NCE

D

ACTI

VE

GLOB

AL A

LPH

A

INCO

ME

CAUT

IOUS

MAN

AGED

LIQ

UIDI

TY

Fund OCF 0.12% 0.63% 0.81% 0.95% 0.95% 0.83%

Historic Yield 0.45% 2.16% 2.15% 1.68% 0.59% 4.01%

Fund OCF 0.12% 0.16% 0.15% 0.17% 0.09%

Historic Yield 0.45% 2.13% 2.71% 2.68% 2.09%

T



PIM Tactical Active

Risk Grade

1 50% 50% 0% 0% 0% 100%

2 25% 75% 0% 0% 0% 100%

3 0% 100% 0% 0% 0% 100%

4 0% 75% 25% 0% 0% 100%

5 0% 25% 75% 0% 0% 100%

6 0% 0% 100% 0% 0% 100%

7 0% 0% 75% 25% 0% 100%

8 0% 0% 25% 75% 0% 100%

9 0% 0% 0% 100% 0% 100%

10 0% 0% 0% 75% 25% 100%

BALA

NCE

D

ACTI

VE

GLOB

AL A

LPH

A



MAN

AGED

LIQ

UIDI

TY

CAUT

IOUS

TOTA

L


PIM Tactical Active (Cautious, Balanced and Active) - Portfolio Holdings*

CAUT

IOUS

BALA

NCE

D

ACTI

VE

FUN

D

ASSE

T CL

ASS

Managed Liquidity Federated Short-Term Sterling Prime 7.50% 0.00% 0.00% 0.00%

BlackRock ICS Institutional Sterling Liquidity Heritage 7.50% 0.00% 0.00% 0.00%

Fixed Interest Vanguard Global Bond Index Hedge GBP 22.00% 10.80% 0.00% 0.00%

L&G All Stocks Index Linked Gilt Index 5.50% 2.70% 0.00% 0.00%

Vanguard UK Investment Grade Bond Index 19.25% 9.45% 0.00% 0.00%

Vanguard UK Government Bond Index 8.25% 4.05% 0.00% 0.00%

Property L&G UK Property Feeder 4.00% 4.00% 3.34% 0.00%

Threadneedle UK Property Authorised Trust Feeder 4.00% 4.00% 3.33% 0.00%

Standard Life Investments UK Real Estate Income Feeder 4.00% 4.00% 3.33% 0.00%

UK Equities Vanguard FTSE UK All Share Index 13.00% 36.00% 27.00% 7.90%

International Equities Vanguard US Equity Index 3.00% 15.00% 22.80% 54.84%

Vanguard FTSE Developed Europe ex UK Equity Index 1.00% 5.00% 7.60% 12.96%

L&G Japan Index 0.75% 3.75% 5.70% 8.20%

L&G Pacific Index 0.25% 1.25% 1.90% 8.75%

Emerging Markets Vanguard Emerging Markets Stock Index 0.00% 0.00% 25.00% 7.35%

Total 100% 100% 100% 100%

Managed Liquidity Federated Short-Term Sterling Prime 7.50% 0.00% 0.00%

BlackRock ICS Institutional Sterling Liquidity Heritage 7.50% 0.00% 0.00%

Fixed Interest M&G Optimal Income 7.34% 3.60% 0.00%

Jupiter Strategic Bond 7.33% 3.60% 0.00%

Fidelity Moneybuilder Income 9.62% 4.72% 0.00%

M&G Index Linked Bond 5.50% 2.70% 0.00%

Kames Investment Grade Bond 9.63% 4.73% 0.00%

TwentyFour Dynamic Bond 7.33% 3.60% 0.00%

Allianz Gilt Yield 8.25% 4.05% 0.00%

Property L&G UK Property Feeder 4.00% 4.00% 3.34%

Threadneedle UK Property Authorised Trust Feeder 4.00% 4.00% 3.33%

Standard Life Investments UK Real Estate Income Feeder 4.00% 4.00% 3.33%

UK Equities JOHCM UK Opportunities 3.25% 9.00% 6.75%

CF Lindsell Train UK Equity 3.25% 9.00% 6.75%

Jupiter UK Special Situations 3.25% 9.00% 6.75%

Liontrust Special Situations 3.25% 9.00% 6.75%

International Equities Stewart Investors Asia Pacific Leaders 0.25% 1.25% 1.90%

Threadneedle European Select 0.50% 2.50% 3.80%

Jupiter European 0.50% 2.50% 3.80%

CF Morant Wright Nippon Yield 0.75% 3.75% 5.70%

JPM US Equity Income 1.00% 5.00% 7.60%

Fidelity American Special Situations 1.00% 5.00% 7.60%

Pioneer SICAV US Fundamental Growth 1.00% 5.00% 7.60%

Fidelity Emerging Markets 0.00% 0.00% 6.25%

Schroder Global Emerging Markets 0.00% 0.00% 6.25%

MI Somerset Emerging Markets Dividend Growth 0.00% 0.00% 6.25%

Aberdeen Emerging Markets Equity 0.00% 0.00% 6.25%

Total 100% 100% 100%

PIM Tactical Passive (Cautious, Balanced and Active) - Portfolio Holdings*

*The current portfolio holdings for PIM Tactical (Active and Passive) are shown in the tables above, as at 30 September 2016. Please refer to page 53 for details on fund changes over the period. If you have any further queries, please refer to your relationship manager.


CAUT

IOUS

BALA

NCE

D

ACTI

VE

FUN

D

ASSE

T CL

ASS

ACTI

VE P

LUS


PIM Tactical Active and Passive Portfolio Returns to period end 30 September 2016

Returns from these portfolios increase sequentially with risk over all time periods following a strong performance from Emerging Market Equities and a weakening of sterling that has boosted returns from overseas assets. The only exception is Risk Grade 10 over 2, 3 and 5 years owing to the relative outperformance of Tactical Active over Global Alpha.

6 M

ONTH

RET

URN

1 YE

AR R

ETUR

N

2 YE

AR R

ETUR

N

3 YE

AR R

ETUR

N

5 YE

AR R

ETUR

N

3 M

ONTH

RET

URN

6 M

ONTH

RET

URN

1 YE

AR R

ETUR

N

2 YE

AR R

ETUR

N

5 YE

AR R

ETUR

N

3 M

ONTH

RET

URN

Risk Grade

PIM Tactical Active - Portfolio Returns PIM Tactical Passive - Portfolio Returns

Returns from these portfolios increase sequentially with risk over all time periods following a strong performance from Emerging Market Equities and a weakening of sterling that has boosted returns from overseas assets.

1 2.45% 3.27% 5.18% 7.68% 11.76% 21.99%

2 3.61% 4.79% 7.56% 10.95% 16.56% 31.22%

3 4.77% 6.32% 9.97% 14.29% 21.51% 41.08%

4 5.35% 7.07% 11.59% 16.35% 24.13% 46.57%

5 6.51% 8.58% 14.87% 20.49% 29.46% 58.04%

6 7.09% 9.34% 16.53% 22.58% 32.16% 64.01%

7 7.52% 10.39% 18.32% 23.18% 32.60% 65.47%

8 8.37% 12.48% 21.93% 24.33% 33.39% 68.27%

9 8.79% 13.53% 23.76% 24.87% 33.74% 69.60%

10 9.52% 14.22% 24.21% 24.48% 32.94% 63.98%

1 1.96% 3.36% 5.35% 7.48% 11.73% 21.22%

2 2.88% 4.92% 7.83% 10.65% 16.51% 29.99%

3 3.78% 6.49% 10.34% 13.89% 21.45% 39.33%

4 4.38% 7.46% 11.85% 15.04% 22.93% 44.08%

5 5.58% 9.42% 14.90% 17.31% 25.87% 53.86%

6 6.18% 10.40% 16.45% 18.42% 27.33% 58.90%

7 6.80% 11.60% 18.34% 18.91% 27.88% 60.78%

8 8.03% 13.99% 22.15% 19.78% 28.85% 64.40%

9 8.64% 15.19% 24.07% 20.17% 29.27% 66.14%

10 8.83% 16.57% 27.42% 24.03% 32.84% 69.90%

3 YE

AR R

ETUR

N

Please refer to Important Notes on page 4 for how performance figures are calculated. Performance data is correct as of 30 September 2016. Past performance is not an indication of future returns. The value of investments and any income from them is not guaranteed and can go down as well as up. Please refer to Important Notes on page 4 for how performance figures are calculated. Performance data is correct as

of 30 September 2016. Past performance is not an indication of future returns. The value of investments and any income from them is not guaranteed and can go down as well as up.

Risk Grade


PIM Tactical Active & Passive - Asset Class Returns to period end 30 September 2016

The PIM Tactical Risk Graded portfolios are built through a weighted exposure to the five underlying asset classes. For transparency purposes the returns of each asset class are given below. These returns should not be considered in isolation as the asset class risk and return characteristics are taken into account within the construction of each risk graded portfolio.

PIM Tactical Active and Passive Portfolios T

*Prior to 16 February 2015 the returns shown as Global Alpha were synonymous with Specialist Equity.


PIM Tactical Active PIM Tactical Passive


6 M

ONTH

RET

URN

1 YE

AR R

ETUR

N

2 YE

AR R

ETUR

N

5 YE

AR R

ETUR

N

3 M

ONTH

RET

URN

PIM Tactical Active PIM Tactical Passive

3 YE

AR R

ETUR

N

6 M

ONTH

RET

URN

1 YE

AR R

ETUR

N

2 YE

AR R

ETUR

N

3 YE

AR R

ETUR

N

5 YE

AR R

ETUR

N

3 M

ONTH

RET

URN


PIM Tactical Active: Cautious 4.77% 6.32% 9.97% 14.29% 21.51% 41.08%

IA Mixed Investment 20-60% Shares 5.99% 8.27% 12.11% 12.48% 18.21% 40.15%

PIM Tactical Active: Balanced 7.09% 9.34% 16.53% 22.58% 32.16% 64.01%


PIM Tactical Active: Active 8.79% 13.53% 23.76% 24.87% 33.74% 69.60%

IA Flexible Investment 7.87% 10.79% 16.45% 15.68% 22.24% 53.69%

PIM Tactical Active: Global Alpha 11.66% 16.25% 25.42% 23.12% 30.35% 47.71%

FTSE World 8.28% 17.71% 31.18% 32.26% 48.05% 107.39%


PIM Tactical Passive: Cautious 3.78% 6.49% 10.34% 13.89% 21.45% 39.33%


PIM Tactical Passive: Balanced 6.18% 10.40% 16.45% 18.42% 27.33% 58.90%


PIM Tactical Passive: Active 8.64% 15.19% 24.07% 20.17% 29.27% 66.14%


PIM Tactical Passive: Active Plus 9.02% 17.95% 30.83% 27.97% 36.47% 73.63%

FTSE World 8.28% 17.71% 31.18% 32.26% 48.05% 107.39%


PIM Tactical Active Income - Portfolio Returns to period end 30 September 2016

The Tactical Active Income portfolio invests in a combination of Managed Liquidity, Fixed Interest, Property and Equity Income collectives with the aim of providing a yield between 10% and 20% greater than that of the broad UK stock market, which is currently 3.46%. The mix of asset classes will be varied by the investment manager (PIM) depending upon their risk and return characteristics. Given the unique character of the portfolio, Tactical Income does not easily fit within any of the IA sector definitions and there is no natural benchmark for performance comparisons. However, in the table below are some of the common benchmarks for reference purposes.

6 M

ONTH

RET

URN

2 YE

AR R

ETUR

N

3 YE

AR R

ETUR

N

3 M

ONTH

RET

URN

1 YE

AR R

ETUR

N

5 YE

AR R

ETUR

N

PIM Tactical Active Income 6.03% 4.28% 7.70% 13.08% 22.70% 49.27%

Citi UK Government Bond Index

5.12% 12.20% 16.54% 26.69% 34.40% 41.68%

IA Sterling Corporate Bond Sector

6.07% 9.53% 12.22% 15.38% 22.78% 42.95%

IA UK Equity Income Sector 9.18% 7.92% 11.39% 15.33% 24.10% 76.22%

1 YE

AR V

OLAT

ILIT

Y

1 YE

AR R

ETUR

N/R

ISK

RATI

O

3 YE

AR A

NN

UALI

SED

RETU

RN

3 YE

AR A

NN

UALI

SED

VOLA

TILI

TY

1 YE

AR R

ETUR

N

PIM Tactical Active & Passive - Portfolio Volatility Against Comparable Indices

All portfolios have stronger risk-adjusted returns than their respective IA Mixed Investment sector averages as demonstrated by the comparative return / risk ratio over 1 and 3 years. For the Cautious portfolios this is achieved via a lower volatility over 1 year and a higher return with a lower volatility over 3 years. The Balanced portfolios have a higher relative performance and lower volatility over both periods and simiarly the Active portfolios have a higher return over 1 and 3 years.

3 YE

AR A

NN

UALI

SED

RETU

RN/R

ISK

RATI

O

PIM Tactical Active: Cautious 9.97% 3.45% 2.89x 6.71% 3.85% 1.74x

PIM Tactical Passive: Cautious 10.34% 3.10% 3.34x 6.69% 3.97% 1.69x

IA Mixed Investment 20-60% Shares

12.11% 5.67% 2.14x 5.73% 5.30% 1.08x

PIM Tactical Active: Balanced 16.53% 6.16% 2.68x 9.74% 6.43% 1.51x

PIM Tactical Passive: Balanced 16.45% 5.63% 2.92x 8.39% 6.53% 1.28x


15.40% 7.78% 1.98x 7.03% 7.14% 0.98x

PIM Tactical Active: Active 23.76% 8.93% 2.66x 10.17% 8.79% 1.16x

PIM Tactical Passive: Active 24.07% 9.23% 2.61x 8.93% 9.21% 0.97x

IA Flexible Investment 16.45% 8.59% 1.92x 6.92% 7.72% 0.90x




PIM Tactical Active Income % Asset Allocation as of 30 September 2016

The PIM Tactical Active Income portfolios have a target yield of between 10% and 20% above the UK Equity Market.

49.5%

FIXED INTEREST

EQUITY INCOME

PROPERTY

18%

32.5%

PIM Tactical Active Income Portfolio Holdings as of 30 September 2016


PIM Tactical Active and Passive Portfolios T

Fixed Interest M&G Optimal Income 10.00%

M&G Index Linked Bond 2.50%

Invesco Perpetual Corporate Bond 10.00%

TwentyFour Dynamic Bond 10.00%

Property L&G UK Property Feeder 6.00%

Threadneedle UK Property Authorised Trust Feeder 6.00%

Standard Life Investments UK Real Estate Income Feeder 6.00%

Equity Income MI Chelverton UK Equity Income 7.28%

Unicorn UK Income 7.28%

Trojan Income 7.28%

Rathbone Income 7.28%

Schroder Income Maximiser 7.29%

Fidelity Enhanced Income 7.29%

Fidelity Global Dividend 3.20%

Artemis Global Income 2.60%

Total 100%

TACT

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The current portfolio holdings for PIM Tactical Active Income are shown in the table below, as at 30 September 2016. Please refer to page 53 for details on fund changes over the period. If you have any further queries, please refer to your relationship manager.


PIM Tactical Income Solution

The PIM Tactical Income portfolios aim to deliver a set of target yields while controlling the level of portfolio volatility. Parmenion will use tactical asset allocation to both achieve the target yields and to keep portfolio volatility within the constraints identified for each risk grade.

The PIM Tactical Income portfolios have, as their name suggests, the flexibility to adopt tactical asset allocations. This means the investment manager (PIM) has the capability to alter the asset allocation of the portfolios in light of changing market conditions.

This flexibility enhances PIM’s ability to increase allocations to income generating assets to meet the target yields, when it is prudent to do so, while simultaneously managing the portfolios’ volatility and exposure to risk. All changes to asset allocation are made within prescribed limits only.

Key Benefits

• 10 Risk Graded Portfolios

• Rising target yields, rising from 3% to 5.25%

• Tactical asset allocation to make the targeted yields achievable

• Proactive blending of Passive and Active funds

• Natural income arises periodically, not evenly, and can be paid as it arises

• Controlled use of Maximiser Funds.

What are Maximiser Funds?

Up to 35% of a PIM Tactical Income portfolio may be invested in Maximiser Funds to help ensure an attractive level of income. It is important that clients understand this. A Maximiser Fund is a portfolio of stocks in which the fund manager has a high level of conviction.

Derivatives contracts are written on a select number of underlying companies, carefully managed by a derivatives specialist, generating additional income in return for giving up some potential return on a stock above the level specified in the contract. In this way, Maximiser Funds can generate an income greater than that achieved by only investing in stocks.

Tactical Asset Allocation

Parmenion has designed the PIM Tactical Income portfolios using a range of neutral strategic asset allocations as its starting point. These strategic asset allocations are based around the performance and volatilities of various asset class indices over a 20 year period and combined with a qualitative overlay to ensure diversification. As market conditions change over time, so do the relative volatility and valuations of different asset classes.

When prudent to do so, the PIM Tactical Income portfolio asset allocations can adapt to ensure that target yields are achieved with the least anticipated risk and within the acceptable range of volatility for each particular risk grade.

TI


PIM Tactical Income Portfolios - Historic Yield, Fund OCF and Return Data


Please note, the Annualised Return, Standard Deviation, Maximum Loss and Gain figures are based on the simulated returns, of the portfolio’s neutral asset weightings over the last 20 years to December 2015. Figures are based on indices and therefore exclude the effect of taxes or fees from Parmenion or the Adviser. Charges are however taken from portfolio liquidity and therefore will not affect the income distributed.

Risk Grade

1 3.00% 2.28% 4.74% 2.24% -6.59% 14.53% 0.55%

2 3.25% 3.05% 5.80% 3.93% -12.94% 22.43% 0.62%

3 3.50% 3.58% 6.61% 5.40% -16.68% 30.07% 0.68%

4 3.75% 3.97% 7.12% 6.63% -20.24% 35.22% 0.71%

5 4.00% 4.25% 7.44% 7.77% -23.11% 39.00% 0.73%

6 4.25% 4.43% 7.53% 9.24% -25.30% 41.54% 0.74%

7 4.50% 4.63% 7.59% 10.35% -27.18% 43.28% 0.75%

8 4.75% 4.88% 7.61% 11.54% -29.46% 45.26% 0.75%

9 5.00% 5.13% 7.60% 12.86% -31.82% 47.56% 0.76%

10 5.25% 5.22% 7.42% 13.98% -32.86% 49.39% 0.75%

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The current fund holdings for PIM Tactical Income portfolios are shown in the table below, as at 30 September 2016. Please refer to page 53 for details on fund changes over the period. If you have any further queries, please refer to your relationship manager.

Asset Group Holdings 1 2 3 4 5 6 7 8 9 10

Managed Liquidity Dimensional Global Ultra Short Fixed Income 18.34% 11.67% 5.00% 1.67% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%

AXA Sterling Credit Short Duration Bond 18.33% 11.67% 5.00% 1.67% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%

M&G Short Dated Corporate Bond 18.33% 11.66% 5.00% 1.66% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%

Corporate Bonds Fidelity Moneybuilder Income 7.50% 7.50% 11.25% 11.25% 10.00% 7.50% 5.00% 2.50% 0.00% 0.00%

M&G Corporate Bond 7.50% 7.50% 11.25% 11.25% 10.00% 7.50% 5.00% 2.50% 0.00% 0.00%

Jupiter Strategic Bond 7.50% 7.50% 11.25% 11.25% 10.00% 7.50% 5.00% 2.50% 0.00% 0.00%

TwentyFour Dynamic Bond 7.50% 7.50% 11.25% 11.25% 10.00% 7.50% 5.00% 2.50% 0.00% 0.00%

High Yield Bonds Schroder Monthly High Income 0.00% 0.00% 1.00% 1.50% 2.00% 3.00% 3.50% 4.00% 4.50% 5.00%

Threadneedle High Yield Bond 0.00% 0.00% 1.00% 1.50% 2.00% 3.00% 3.50% 4.00% 4.50% 5.00%

Property Henderson UK Property Feeder 3.09% 4.13% 3.09% 3.09% 3.09% 2.06% 2.06% 2.06% 2.06% 0.00%

L&G UK Property Feeder 3.09% 4.13% 3.09% 3.09% 3.09% 2.06% 2.06% 2.06% 2.06% 0.00%

Threadneedle UK Property Authorised Trust Feeder 6.19% 8.25% 6.19% 6.19% 6.19% 4.13% 4.13% 4.13% 4.13% 0.00%

UK Equity Income Rathbone Income 0.00% 1.00% 1.50% 1.90% 2.20% 2.60% 2.90% 3.30% 3.50% 3.80%

Vanguard FTSE UK Equity Income Index 0.00% 3.50% 5.25% 6.65% 7.70% 9.10% 10.15% 11.55% 12.25% 13.30%

Trojan Income 0.00% 1.00% 1.50% 1.90% 2.20% 2.60% 2.90% 3.30% 3.50% 3.80%

Artemis Income 0.00% 1.00% 1.50% 1.90% 2.20% 2.60% 2.90% 3.30% 3.50% 3.80%

Fidelity Enhanced Income 0.00% 3.50% 5.25% 6.65% 7.70% 9.10% 10.15% 11.55% 12.25% 13.30%

US Equity JPM US Equity Income 0.00% 1.00% 1.50% 2.00% 2.50% 3.50% 4.00% 3.50% 3.00% 2.50%

Aviva Investors US Equity Income II 0.00% 1.00% 1.50% 2.00% 2.50% 3.50% 4.00% 3.50% 3.00% 2.50%

Europe ex UK Standard Life Investments European Equity Income 0.00% 1.00% 2.00% 3.00% 4.00% 6.00% 7.00% 8.00% 10.00% 12.00%

Asia Pacific ex Japan L&G Pacific Index 0.00% 0.00% 0.00% 0.67% 1.67% 2.67% 3.33% 4.33% 5.67% 6.67%

Henderson Asian Dividend Income 0.00% 0.00% 0.00% 0.66% 1.66% 2.66% 3.33% 4.33% 5.66% 6.66%

Schroder Asian Income Maximiser 0.00% 0.00% 0.00% 0.67% 1.67% 2.67% 3.34% 4.34% 5.67% 6.67%

Global Maximiser Schroder ISF Global Dividend Maximiser 1.97% 4.11% 4.22% 4.97% 5.72% 6.56% 8.06% 9.56% 11.06% 11.25%

Fidelity Global Enhanced Income 0.66% 1.38% 1.41% 1.66% 1.91% 2.19% 2.69% 3.19% 3.69% 3.75%

Total 100% 100% 100% 100% 100% 100% 100% 100% 100% 100%


PIM Tactical Income - Portfolio Returns to period end 30 September 2016

Returns from these portfolios increase sequentially with risk owing to the relative outperformance of US Equity, Asia Pacific Equity and Emerging Market Equity over all time periods.

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Risk Grade

1 2.11% 2.67% 4.28% 7.03% 10.43%

2 2.99% 3.73% 6.35% 9.47% 13.86%

3 4.16% 5.66% 8.75% 12.15% 17.29%

4 4.86% 6.73% 10.60% 13.84% 19.58%

5 5.43% 7.62% 12.38% 15.24% 21.66%

6 6.16% 8.96% 14.85% 16.81% 23.70%

7 6.50% 9.51% 16.21% 17.72% 25.08%

8 6.88% 10.02% 17.36% 18.30% 26.02%

9 7.35% 10.71% 18.89% 19.05% 27.10%

10 8.18% 12.37% 21.05% 20.12% 28.24%

PIM Tactical Income Solution TI

PIM Tactical Income - Asset Class Returns to period end 30 September 2016

The PIM Tactical Income Risk Graded portfolios are built through a weighted exposure to nine underlying asset classes. For transparency purposes the returns of each asset class are given below. These returns should not be considered in isolation as the asset class risk and return characteristics are taken into account within the construction of each Risk Graded portfolio.

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Asset Class

Managed Liquidity 1.03% 1.65% 2.59% 3.19% 4.32%

Corporate Bonds 4.82% 7.49% 9.05% 12.63% 17.39%

High Yield Bonds 4.77% 6.79% 9.38% 10.84% 12.66%

Property -1.27% -6.82% -3.42% 3.69% 10.90%

UK Equity Income 6.31% 8.30% 11.81% 13.68% 20.24%

US Equity 7.46% 15.26% 36.29% 37.82% 53.65%

Europe ex UK 11.02% 13.18% 23.16% 25.27% 29.32%

Asia Pacific ex Japan 11.83% 19.95% 37.66% 23.79% 37.93%

Global Equity Income Maximiser 8.07% 14.34% 24.92% 24.32% 33.57%

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PIM Strategic Ethical Active Portfolios: Profile A-D

What is Ethical Investing?

Ethical investment is known by a variety of terms including: ‘Green investment’, ‘Socially responsible investment’ (SRI) and ‘Sustainable finance’. All of these terms refer to financial or investment services which strive to maximise investment performance and social welfare. In general, ethical investment looks to encourage corporate practices that promote environmental stewardship, consumer protection, human rights and diversity, although additional criteria such as the avoidance of weapons, alcohol, tobacco, gambling and pornography are often included as legitimate areas of concern. These criteria can be broadly summarised as environmental, social justice and corporate governance issues or ESG criteria.

What are the benefits of Investing Ethically?

Ethical investment provides the opportunity to invest in ethically sound investment solutions that cater for a range of ethical preferences. It gives investors the option to avoid companies that engage in activities that they would not usually support and proactively invest in companies that recognise their corporate responsibilities. Investing ethically is now one of the fastest growing areas in financial services with funds under management having grown to approximately $6.57 trillion in the United States (USSIF) and €16.8 trillion in Europe (EUROSIF).

Solution Description

The PIM Strategic Ethical Active Investment Solution offers the discretionary management of active funds across seven distinct asset class groups. There is an independent ethical overlay provided by the Ethical Oversight Committee, which includes Julian Parrott and Julia Dreblow. Both Julian and Julia are ethical specialists, with over 20 years experience in ethical investing, previously holding the positions of Chair of the EIA and Directors of UKSIF, respectively.

Each asset class is populated with funds according to their Ethical Profile and risk adjusted returns. Incorporated within the solution are four Ethical Profiles (A to D) and ten Risk Graded portfolios (1 to 10), which are designed to capture the majority of clients ethical preferences and values. The Parmenion Ethical Portfolio Selector is available to assist the Adviser in identifying the appropriate Ethical Profile for your client.

Armaments (Strategic) P P P P

Pornography (Production) P P P P

Human Rights (Evidenced/Country Based) P P P P

Environmental Management / Technology** P P P P

Animal Testing (Non-Medical) P P P P

Tobacco (Production) P P P P

Environmental Impact P P P

Gambling P P

Alcohol Production P

Nuclear (Power) P

ETH

ICAL

PRO

FILE

A

(LIM

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EXPO

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* )

ETH

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CR

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Ethical Screening Criteria by Ethical Profile

SE

*Exposure to ethical criteria is likely to be limited by the responsible approach to environmental, social and governance issues adopted in Ethical Profiles A and B.**Ethical Profiles C and D only invest in funds which include the specified ethical criteria, as defined by the Ethical Oversight Committee.

Note. Avoidance criteria does not always mean ‘zero involvement’ as most ethical funds have de minimis limits which allow for limited (normally non-manufacturing or wholesale related) exposure to excluded areas. This allows funds to be manageable and support otherwise positive larger companies.

ETH

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ETH

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ETH

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PRO

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PIM Strategic Ethical Active - Asset Class Weightings as of 30 September 2016

The PIM Strategic Ethical Active portfolios are constructed using up to eight asset classes, each with their own distinctive risk and reward characteristics. Ten Risk Graded portfolios (1-10) are produced, by varying the percentage exposure to each asset class, to match the risk tolerance of a particular client. UK Government Bonds are currently excluded from Ethical Profiles B-D, whilst Ethical Profiles C-D also exclude Property due to the difficulties in screening the underlying tenants. The current split between the asset classes for each of the portfolios are detailed in the tables below. Strategic investors assume relatively constant long term risk and return characteristics and as such the underlying asset allocations will only vary where these have materially changed.

Asset Group 1 2 3 4 5 6 7 8 9 10

Managed Liquidity (Unscreened) 70.00% 45.00% 15.00% 5.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%

UK Ethical Corporate Bonds 24.00% 28.00% 40.00% 40.00% 32.00% 24.00% 12.00% 4.00% 0.00% 0.00%

UK Government Bonds 6.00% 7.00% 10.00% 10.00% 8.00% 6.00% 3.00% 1.00% 0.00% 0.00%

UK Property 0.00% 10.00% 15.00% 15.00% 15.00% 10.00% 10.00% 10.00% 5.00% 0.00%

UK Ethical Equity Growth 0.00% 3.00% 6.00% 9.00% 15.00% 18.00% 21.00% 21.00% 24.00% 24.00%

UK Ethical Equity Income 0.00% 2.00% 4.00% 6.00% 10.00% 12.00% 14.00% 14.00% 16.00% 16.00%

International Ethical Equity 0.00% 5.00% 10.00% 15.00% 15.00% 20.00% 25.00% 30.00% 30.00% 30.00%

Ethical Emerging Markets Equity 0.00% 0.00% 0.00% 0.00% 5.00% 10.00% 15.00% 20.00% 25.00% 30.00%

PIM Strategic Ethical Active - Profile A

Asset Group 1 2 3 4 5 6 7 8 9 10



UK Property 0.00% 10.00% 15.00% 15.00% 15.00% 10.00% 10.00% 10.00% 5.00% 0.00%





PIM Strategic Ethical Active - Profile B


Asset Group 1 2 3 4 5 6 7 8 9 10







Asset Group 1 2 3 4 5 6 7 8 9 10







PIM Strategic Ethical Active - Profile C

PIM Strategic Ethical Active - Profile D

Portfolios in all profiles are rebalanced to their asset allocation on a periodic basis.



Fund OCF 0.12% 0.53% 0.67% 0.83% 0.65% 1.01%

Historic Yield 0.45% 3.46% 2.18% 4.03% 1.05% 0.75%

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PIM Strategic Ethical Active - Profile BUK

GOV

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Fund OCF 0.12% 0.50% 0.76% 0.76% 0.83% 0.65% 1.01%

Historic Yield 0.45% 3.43% 3.38% 2.15% 4.03% 1.05% 0.75%

MAN

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Fund OCF 0.12% 0.50% 0.76% 0.83% 0.65% 1.01%

Historic Yield 0.45% 3.43% 2.15% 4.03% 1.05% 0.75%

MAN

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Ongoing Charge Figure (OCF) Net of Rebates and Historic Yield


Fund OCF 0.12% 0.50% 0.45% 0.76% 0.76% 0.83% 0.65% 1.01%

Historic Yield 0.45% 3.43% 0.74% 3.38% 2.15% 4.03% 1.05% 0.75%

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PIM Strategic Ethical Active Portfolios SE






Illustration of the Impact of Ethical Screening on Portfolio Holdings as of 30 September 2016

PIM Strategic Ethical Active (A-D): Portfolio Holdings as of 30 September 2016*

The fund universe for each of the Ethical Profiles is determined by the Ethical Oversight Committee (EOC) as per the ethical screening criteria defined on page 28 of the QIR. The table below shows the current holdings for each Ethical Profile (A-D), to demonstrate the impact of the ethical screening on fund selection and for the purposes of transparency. Please note these holdings may change over the period, depending on the views of the investment manager (PIM). Details of any fund changes over the period, are available on page 53 of this document.

PROF

ILE

D

*Fund weightings are excluded, as it would depend upon the Risk Grade selected. For further information please contact your relationship manager.


Please refer to the Ethical Portfolio Selector and supporting documents for further information.

PROF

ILE

A

PROF

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B

PROF

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FUN

D

PROF

ILE

D

Asset Class

PROF

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PROF

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B

PROF

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FUN

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Asset Class

Managed Liquidity (unscreened)



UK Ethical Corporate Bonds Rathbone Ethical Bond

Kames Ethical Corporate Bond

F&C Responsible Sterling Bond

Alliance Trust Sustainable Future Corporate Bond

Royal London Ethical Bond

UK Government / Inflation Linked Bonds

Allianz Gilt Yield


UK Responsible Property Henderson UK Property Feeder


Threadneedle UK Property Feeder

UK Ethical Equity Growth Standard Life Investments UK Ethical

Kames Ethical Equity

EdenTree Amity UK

Alliance Trust Sustainable Future UK Growth

Premier Ethical

Alliance Trust UK Ethical

UK Ethical Equity Income F&C Responsible UK Income

Henderson Global Care UK Income

International Ethical Equity Henderson Global Care Growth

F&C Responsible Global Equity

Alliance Trust Sustainable Future Global Growth

Alliance Trust Sustainable Future European Growth

Ethical Emerging Market Equity

Stewart Investors Asia Pacific Sustainability




PIM Strategic Ethical Active (Profile A-D): Portfolio Returns to period end 30 September 2016

Returns from these portfolios increase sequentially with risk over all time periods as UK, Developed and Emerging Markets Equities have all performed strongly, with the sole exception of Risk Grade 8 since inception for Ethical Profile A. Returns from Bonds have also been surprisingly strong, contributing to excellent returns across the risk spectrum.


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Risk Grade

1 2.23% 3.49% 4.54% 6.37% 10.51% 17.51%

2 3.51% 4.38% 6.42% 10.24% 16.24% 25.90%

3 5.53% 6.67% 9.82% 15.67% 23.83% 36.82%

4 6.53% 7.66% 11.45% 18.04% 26.84% 43.38%

5 7.34% 8.14% 12.55% 19.71% 29.03% 48.73%

6 8.16% 9.38% 14.66% 21.40% 30.69% 53.21%

7 8.60% 9.75% 15.93% 22.53% 32.08% 57.50%

8 8.87% 10.39% 17.48% 23.64% 33.14% 56.46%

9 9.54% 11.47% 19.07% 24.85% 34.34% 59.31%

10 10.03% 12.83% 20.93% 26.04% 35.57% 60.78%

Risk Grade

1 2.02% 2.97% 3.96% 5.48% 9.68% 17.23%

2 3.24% 3.74% 5.71% 9.14% 15.17% 25.97%

3 5.13% 5.75% 8.78% 14.03% 22.30% 38.32%

4 6.11% 6.71% 10.38% 16.33% 25.24% 44.83%

5 6.97% 7.33% 11.63% 18.27% 28.20% 51.22%

6 7.83% 8.72% 13.91% 20.25% 30.80% 56.44%

7 8.35% 9.32% 15.45% 21.85% 33.21% 61.67%

8 8.67% 10.13% 17.19% 23.28% 35.24% 64.67%

9 9.36% 11.28% 18.86% 24.64% 37.27% 69.49%

10 9.84% 12.64% 20.73% 25.82% 39.20% 72.90%

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PIM Strategic Ethical Active (Grade A-D): Portfolio Returns to period end 30 September 2016


Risk Grade

1 2.02% 2.97% 3.96% 5.48% 9.55% 17.46%

2 3.93% 5.30% 7.18% 9.87% 15.18% 26.90%

3 6.15% 8.09% 11.00% 15.12% 22.37% 39.48%

4 7.12% 9.06% 12.62% 17.42% 25.21% 45.58%

5 7.98% 9.68% 13.89% 19.37% 28.15% 51.61%

6 8.50% 10.29% 15.43% 20.97% 30.51% 56.51%

7 9.01% 10.90% 16.99% 22.57% 32.88% 61.47%

8 9.33% 11.71% 18.74% 24.01% 34.66% 64.42%

9 9.69% 12.07% 19.64% 25.00% 36.57% 68.65%

10 9.84% 12.64% 20.73% 25.82% 38.40% 71.62%

Risk Grade

1 2.02% 2.99% 4.00% 5.58% 9.74% 17.55%

2 3.94% 5.29% 7.20% 9.96% 15.69% 27.25%

3 6.17% 8.06% 11.01% 15.21% 23.39% 40.32%

4 7.15% 8.99% 12.58% 17.44% 26.49% 46.74%

5 8.03% 9.53% 13.76% 19.21% 29.34% 52.78%

6 8.55% 10.09% 15.25% 20.68% 31.86% 57.90%

7 9.08% 10.65% 16.75% 22.14% 34.39% 63.10%

8 9.40% 11.45% 18.50% 23.52% 36.25% 66.11%

9 9.77% 11.77% 19.35% 24.40% 38.09% 70.33%

10 9.92% 12.33% 20.42% 25.20% 39.88% 73.30%

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PIM Strategic Ethical Active - Profile C PIM Strategic Ethical Active - Profile D

Asset ClassAsset Class



UK Ethical Corporate Bonds 6.37% 9.37% 11.71% 15.81% 24.70% 38.71%

UK Property -0.68% -6.10% -3.07% 7.83% 20.88% 30.70%

UK Ethical Equity Growth 12.01% 5.16% 7.61% 18.42% 24.54% 63.51%

UK Ethical Equity Income 8.24% 5.83% 9.45% 19.89% 29.85% 69.44%

International Ethical Equity 9.57% 14.23% 25.37% 28.01% 34.10% 56.28%

Ethical Emerging Markets Equity 9.55% 20.72% 33.48% 32.00% 61.14% 97.67%







Asset Class







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UK Government Bonds 9.52% 18.07% 21.43% 32.06% 40.11% 43.17%

UK Property -0.68% -6.10% -3.07% 7.83% 21.15% 25.95%





PIM Strategic Ethical Active (Profile A-D): Asset Class Returns to period end 30 September 2016

Emerging Markets Equity has outperformed all other asset groups over all periods beyond 3 months (and since inception for Ethical Profile A). Whilst UK Ethical Corporate Bonds (and UK Government Bonds for Ethical Profile A) have performed strongly over shorter periods, UK and International Ethical Equity continue to relatively outperform over 2 years, 3 years and since inception.

Asset Class

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FROM

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(01.

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FROM

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(01.

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FROM

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(01.

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FROM

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(01.

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3 YE

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3 YE

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PIM Tactical Ethical Active Portfolios

The Tactical Ethical Active offering is built around five asset classes; Managed Liquidity, Cautious, Balanced, Active and Global Alpha. The Managed Liquidity portfolio is the same as PIM Strategic Active portfolios given the difficulties in sourcing an appropriate ethical fund in this area. The asset allocation between bonds, equities and other asset classes may vary within the Cautious, Balanced and Active portfolios, at the discretion of the investment manager (PIM). The aim is to minimise volatility whilst maximising risk adjusted returns. Funds are selected from the Ethical Investment Research Services (EIRiS) fund universe, after applying PIM’s due diligence process. Passive investments are not available within this solution.

GL

OBAL

AL

PHA

ACTI

VE

TE

1 50% 50% 0% 0% 0% 100%

2 25% 75% 0% 0% 0% 100%

3 0% 100% 0% 0% 0% 100%

4 0% 75% 25% 0% 0% 100%

5 0% 25% 75% 0% 0% 100%

6 0% 0% 100% 0% 0% 100%

7 0% 0% 75% 25% 0% 100%

8 0% 0% 25% 75% 0% 100%

9 0% 0% 0% 100% 0% 100%

10 0% 0% 0% 75% 25% 100%

PIM Tactical Ethical Active Portfolios - Asset Allocation Table


The current portfolio holdings for the PIM Tactical Ethical Active portfolios are shown in the table below, as at 30 September 2016. Please refer to page 53 for details on fund changes over the period. If you have any further queries, please refer to your relationship manager.

Risk Grade

Portfolios are rebalanced to their asset allocation on a periodic basis.


Fund OCF 0.12% 0.51% 0.68% 0.80% 0.85% 0.72%

Historic Yield 0.45% 2.50% 2.49% 1.69% 0.62% 3.81%


BALA

NCE

D

MAN

AGED

LI

QUID

ITY

CAUT

IOUS

TOTA

L

CAUT

IOUS

BALA

NCE

D

ACTI

VE

HOL

DIN

GS

Managed Liquidity Federated Short-Term Sterling Prime 7.50% 0.00% 0.00%

BlackRock ICS Institutional Sterling Liquidity Heritage 7.50% 0.00% 0.00%

Fixed Interest F&C Responsible Sterling Bond 9.62% 4.72% 0.00%

Rathbone Ethical Bond 11.00% 5.40% 0.00%

Royal London Ethical Bond 11.00% 5.40% 0.00%

M&G Index Linked Bond 5.50% 2.70% 0.00%

Allianz Gilt Yield 8.25% 4.05% 0.00%

Alliance Trust Sustainable Future Corporate Bond 9.63% 4.73% 0.00%

Property L&G UK Property Feeder 4.00% 4.00% 3.34%

Threadneedle UK Property Authorised Trust Feeder 4.00% 4.00% 3.33%

Standard Life Investments UK Real Estate Income Feeder 4.00% 4.00% 3.33%

UK Equity Premier Ethical 2.60% 7.20% 5.40%

EdenTree Amity UK 2.60% 7.20% 5.40%

Kames Ethical Equity 2.60% 7.20% 5.40%

F&C Responsible UK Income 2.60% 7.20% 5.40%

Henderson Global Care UK Income 2.60% 7.20% 5.40%

International Equity Alliance Trust Sustainable Future Global Growth 1.25% 6.25% 9.50%

Henderson Global Care Growth 1.25% 6.25% 9.50%

F&C Responsible Global Equity 1.25% 6.25% 9.50%

Alliance Trust Sustainable Future European Growth 1.25% 6.25% 9.50%

Stewart Investors Asia Pacific Sustainability 0.00% 0.00% 25.00%

Total 100% 100% 100%


PIM Tactical Ethical Active - Asset Class Returns to period end 30 September 2016

The PIM Tactical Ethical Risk Graded portfolios are built through a weighted exposure to the five underlying asset classes. For transparency purposes the returns of each asset class are given below. These returns should not be considered in isolation as the asset class risk and return characteristics are taken into account within the construction of each Risk Graded portfolio.

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Portfolio

PIM Tactical Ethical Active Cautious

5.70% 6.57% 9.68% 15.33% 23.49% 45.97%


5.99% 8.27% 12.11% 12.48% 18.21% 40.15%

PIM Tactical Ethical Active Balanced

7.92% 7.37% 12.53% 19.82% 29.49% 68.63%


7.46% 10.07% 15.40% 16.07% 22.61% 55.13%

PIM Tactical Ethical Active: Active 8.37% 11.12% 18.88% 22.49% 32.57% 75.33%


PIM Tactical Ethical Active Global Alpha

9.83% 14.86% 26.96% 30.90% 38.53% 92.59%

FTSE World 8.28% 17.71% 31.18% 32.26% 48.05% 107.39%

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1 2.91% 3.40% 5.04% 8.17% 12.69% 24.12%

2 4.31% 4.99% 7.35% 11.71% 17.99% 34.65%

3 5.70% 6.57% 9.68% 15.33% 23.49% 45.97%

4 6.25% 6.77% 10.39% 16.46% 24.99% 51.41%

5 7.36% 7.17% 11.81% 18.71% 27.99% 62.75%

6 7.92% 7.37% 12.53% 19.82% 29.49% 68.63%

7 8.13% 8.31% 14.09% 20.50% 30.28% 70.34%

8 8.53% 10.18% 17.27% 22.86% 32.87% 74.41%

9 8.73% 11.12% 18.88% 22.49% 32.57% 75.33%

10 9.02% 12.07% 20.87% 24.60% 34.13% 79.67%

Risk Grade

PIM Tactical Ethical Active - Portfolio Returns to period end 30 September 2016

All portfolios have performed in line with their relative risk for all periods, with the sole exception of Risk Grade 9 over 2 and 3 years.




PIM Tactical Ethical Active Income

The Tactical Ethical Active Income portfolio invests in a combination of Bonds, Property and Equity collectives with the aim of providing a yield between 10% and 20% greater than that of the broad UK stock market, which is currently 3.46%. The mix of asset classes will be varied by the investment manager (PIM) depending upon their risk and return characteristics. Funds will be selected from the Ethical Investment Research Services (EIRiS) fund universe within Fixed Interest and Equity Income in line with the Ethical mandate.

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PIM Tactical Ethical Active Income 6.05% 4.56% 7.82% 16.35% 26.94% 54.36%

Citi UK Government Bond Index 5.12% 12.20% 16.54% 26.69% 34.40% 41.68%

IA Sterling Corporate Bond Sector 6.07% 9.53% 12.22% 15.38% 22.78% 42.95%

IA UK Equity Income Sector 9.18% 7.92% 11.39% 15.33% 24.10% 76.22%

Portfolio / Benchmark


The current portfolio holdings for PIM Tactical Ethical Active Income are shown in the table below, as at 30 September 2016. Please refer to page 53 for details on fund changes over the period. If you have any further queries, please refer to your relationship manager.

PIM Tactical Ethical Active Income - Portfolio Returns to period end 30 September 2016

Given the unique character of the portfolio, Tactical Ethical Active Income does not easily fit within any of the IA sector definitions and there is no natural benchmark for performance comparisons. However, in the table below are some of the common benchmarks for reference purposes.


INCO

ME

HOL

DIN

GS

Fixed Interest F&C Responsible Sterling Bond 10.00%

Rathbone Ethical Bond 11.00%

Royal London Ethical Bond 11.00%

Property L&G UK Property Feeder 6.00%

Threadneedle UK Property Authorised Trust Feeder 6.00%

Standard Life Investments UK Real Estate Income Feeder 6.00%

Equity Income Henderson Global Care UK Income 25.00%

F&C Responsible UK Income 25.00%

Total 100%


PIM Tactical Ethical Active Income % Asset Allocation as of 30 September 2016

The PIM Tactical Ethical Active (Income) Portfolios have a target yield greater than 10% than that of the UK Equity Market.

18.0%

FIXED INTEREST

EQUITY INCOME

PROPERTY


50.0%

32.0%

PIM Tactical Ethical Active Portfolios TE


DFA Multi-Option: UK Perspective

The Dimensional Fund Advisers (DFA) Multi-Option: UK Perspective Solution enables clients to allocate monies across multiple asset classes within a Risk Graded framework. The Multi-Option profile provides the client with additional flexibility to accommodate both pure, passive and (where appropriate) active exposure within each asset class, and to vary the value and small cap tilt as appropriate. The amount to invest into each asset group is dependent upon the clients’ risk profile and, once agreed, is kept constant by the investment manager (PIM) by periodic rebalancing. PIM only have the authority to make infrequent changes to asset weightings, as identified by a structural change.

DFA Multi-Option: UK Perspective - Asset Allocation Table

Ongoing Charge Figure (OCF) Net of Rebates and Historic Yield


DFA Multi-Option: UK Perspective Pure

DFA Multi-Option: UK Perspective Passive

PROP

ERTY

UK E

QUIT

Y GR

OWTH

UK E

QUIT

Y IN

COM

EUK

VALU

E &

SM

ALL

CAP

WOR

LD E

X-UK

EQU

ITY

FIXE

D IN

TERE

ST

MAN

AGED

LIQ

UIDI

TY

DU

Fund OCF 0.20% 0.28% 0.22% 0.25% 0.15% 0.52% 0.36% 0.58% 0.69% 1.10%

Historic Yield 0.66% 0.96% 2.06% 3.02% 4.61% 3.07% 1.59% 1.27% 1.80% 1.90%

Fund OCF 0.20% 0.08% 0.22% 0.05% 0.15% 0.52% 0.08% 0.58% 0.22% 1.10%

Historic Yield 0.66% 2.03% 2.06% 3.66% 4.61% 3.07% 1.94% 1.27% 2.67% 1.90%

WOR

LD E

X-UK

VAL

UE

& S

MAL

L CA

PEM

ERGI

NG

MAR

KETS

EQUI

TY

EMER

GIN

G M

ARKE

TS V

ALUE

& S

MAL

L CA

P EQ

UITY

PROP

ERTY

UK E

QUIT

Y GR

OWTH

UK E

QUIT

Y IN

COM

EUK

VALU

E &

SM

ALL

CAP

WOR

LD E

X-UK

EQU

ITY

FIXE

D IN

TERE

ST

MAN

AGED

LIQ

UIDI

TY

WOR

LD E

X-UK

VAL

UE

& S

MAL

L CA

PEM

ERGI

NG

MAR

KETS

EQUI

TY

EMER

GIN

G M

ARKE

TS V

ALUE

& S

MAL

L CA

P EQ

UITY

1 100% 0% 0% 0% 0% 0% 0% 0% 0% 0% 100%

2 45% 40% 5% 1% 1% 3% 2% 3% 0% 0% 100%

3 25% 45% 10% 2% 1% 7% 2% 3% 3% 2% 100%

4 10% 50% 10% 3% 2% 10% 4% 6% 3% 2% 100%

5 0% 50% 10% 3% 3% 14% 4% 6% 5% 5% 100%

6 0% 45% 5% 4% 4% 17% 6% 9% 5% 5% 100%

7 0% 35% 5% 5% 4% 21% 6% 9% 8% 7% 100%

8 0% 25% 5% 6% 5% 24% 6% 9% 10% 10% 100%

9 0% 20% 0% 6% 6% 28% 8% 12% 10% 10% 100%

10 0% 10% 0% 7% 7% 31% 8% 12% 13% 12% 100%

PROP

ERTY

UK E

QUIT

Y GR

OWTH

UK E

QUIT

Y IN

COM

EUK

VAL

UE &

SM

ALL

CAP

EQUI

TY

WOR

LD E

X-UK

EQU

ITY

FIXE

D IN

TERE

ST

MAN

AGED

LIQ

UIDI

TY

WOR

LD E

X-UK

VAL

UE &

SMAL

L CA

P EQ

UITY

Portfolios are rebalanced to their asset allocation on a semi annual basis.

EMER

GIN

G M

ARKE

TS

EQUI

TY

EMER

GIN

G M

ARKE

T

VALU

E &

SM

ALL

CAP

EQUI

TYTO

TAL

Risk Grade





The current portfolio holdings for DFA Multi-Option: UK Perspective (Pure and Passive) are shown in the tables below, as at 30 September 2016. For the purposes of on-going suitability due diligence is conducted on DFA and underlying passive fund providers on a 6 monthly basis.


GLOB

AL P

ROPE

RTY

UK E

QUIT

Y GR

OWTH

UK E

QUIT

Y IN

COM

E

FIXE

D IN

TERE

ST

MAN

AGED

LIQ

UIDI

TY

WOR

LD E

X-UK

EQU

ITY

Dimensional Global Ultra Short Fixed Income

Dimensional Global Short Dated Bond

BlackRock Global Property Securities Equity Tracker

Dimensional UK Core Equity


Dimensional UK Value

Dimensional International Core Equity

Dimensional Global Targeted Value

Dimensional Emerging Markets Core Equity

Dimensional Emerging Markets Targeted Value

Dimensional Sterling Inflation Linked Intermediate Duration Fixed Income

Dimensional UK Small Companies







Dimensional UK Value






Dimensional UK Small Companies


Vanguard Global Bond Index Hedge

L&G Pacific Index


L&G Japan Index

UK V

ALUE

& S

MAL

L CA

P

WOR

LD E

X-UK

VAL

UE &

SMAL

L CA

P EQ

UITY

EMER

GIN

G M

ARKE

TS

EQUI

TY

EMER

GIN

G M

ARKE

TS

VALU

E &

SM

ALL

CAP

EQUI

TY


DFA Multi-Option: UK Perspective - Portfolio Returns to period end 30 September 2016

All portfolios perform in line for DFA UK Pure over all periods, with the exceptions of Risk Grade 6 over 2 and 3 years and Risk Grade 9 over 2 and 3 years. Portfolios are also in line for DFA UK Passive over 3 months, 6 months, 1 year and since inception with the exceptions of Risk Grades 6 and 9 over 1 year. Over 2 and 3 years, portfolios are in line up to Risk Grade 5 owing to the significant relative outperformance of Global Property over UK and Emerging Market Equities over this period.

6 M

ONTH

RET

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2 YE

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ETUR

N

3 M

ONTH

RET

URN

Risk Grade Risk Grade

1 0.00% 0.31% 0.56% 1.36% 1.90% 2.24%

2 2.06% 3.94% 6.07% 8.39% 10.84% 13.20%

3 3.66% 6.49% 10.30% 12.55% 16.09% 19.67%

4 4.76% 8.03% 12.59% 14.98% 19.43% 25.39%

5 5.90% 9.56% 15.02% 16.57% 21.66% 28.65%

6 6.55% 9.91% 15.13% 16.00% 21.33% 30.47%

7 7.56% 11.08% 17.08% 16.76% 22.44% 32.76%

8 8.52% 12.27% 19.12% 17.49% 23.56% 34.99%

9 9.20% 12.60% 19.20% 16.85% 23.11% 36.80%

10 10.16% 13.79% 21.26% 17.50% 24.14% 38.97%

DFA Multi-Option: UK Perspective Pure DFA Multi-Option: UK Perspective Passive

6 M

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FROM

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PTIO

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(01.

01.2

013)

Please refer to Important Notes on page 4 for how performance figures are calculated. Performance data is correct as of 30 September 2016. Past performance is not an indication of future returns. The value of investments and any income from them is not guaranteed and can go down as well as up. Please refer to Important Notes on page 4 for how performance figures are calculated. Performance data is correct as

of 30 September 2016. Past performance is not an indication of future returns. The value of investments and any income from them is not guaranteed and can go down as well as up.

1 0.00% 0.31% 0.56% 1.36% 1.90% 2.24%

2 3.02% 5.87% 8.77% 12.20% 16.49% 19.06%

3 4.68% 8.66% 13.37% 16.89% 22.55% 26.42%

4 5.86% 10.48% 16.06% 19.93% 26.87% 33.25%

5 6.98% 12.00% 18.49% 21.51% 29.12% 36.58%

6 7.47% 12.14% 18.26% 20.50% 28.10% 37.71%

7 8.20% 12.83% 19.47% 20.25% 27.61% 38.25%

8 8.89% 13.56% 20.78% 19.97% 27.17% 38.76%

9 9.43% 13.66% 20.49% 18.90% 26.05% 39.82%

10 10.11% 14.37% 21.78% 18.56% 25.49% 40.17%

FROM

INCE

PTIO

N

(01.

01.2

013)

3 YE

AR R

ETUR

N

3 YE

AR R

ETUR

N


DU


1 YE

AR R

ETUR

N

FROM

INCE

PTIO

N

(01.

01.2

013)

6 M

ONTH

RET

URN

3 M

ONTH

RET

URN




Fixed Interest 1.69% 3.87% 5.57% 8.81% 11.69% 10.80%

Global Property 6.12% 17.07% 35.01% 47.59% 56.32% 64.13%

UK Equity Growth 9.34% 11.20% 15.62% 13.50% 20.53% 38.56%

UK Equity Income 6.61% 10.29% 12.83% 10.41% 16.96% 34.59%

UK Value and Small Cap 11.63% 8.00% 9.43% 11.06% 15.18% 39.99%

World Ex-UK Equity 9.86% 17.64% 32.04% 32.09% 46.44% 75.86%

World Ex-UK Value & Small Cap Equity

11.34% 20.10% 30.53% 30.46% 39.38% 71.84%

Emerging Markets Equity 12.73% 21.69% 38.26% 18.95% 25.80% 21.06%

Emerging Markets Value & Small Cap Equity

11.87% 22.53% 41.10% 19.66% 27.95% 23.43%


Fixed Interest 4.15% 8.63% 12.33% 18.39% 26.10% 25.50%

Global Property 6.12% 17.07% 35.01% 47.59% 56.32% 64.13%

UK Equity Growth 7.75% 12.80% 16.73% 14.00% 20.81% 38.32%

UK Equity Income 6.61% 10.29% 12.83% 10.41% 16.96% 34.59%

UK Value and Small Cap 11.63% 8.00% 9.43% 11.06% 15.18% 39.99%

World Ex-UK Equity 8.90% 18.12% 31.66% 35.40% 51.44% 78.34%

World Ex-UK Value & Small Cap Equity

11.34% 20.10% 30.53% 30.46% 39.38% 71.84%



11.87% 22.53% 41.10% 19.66% 27.95% 23.43%

DFA Multi-Option: UK Perspective - Asset Class Returns to period end 30 September 2016

Global Property and World Ex-UK Equity continues to perform well over all periods. Emerging Markets has also recovered very strongly over 3 and 6 months, owing to a reversal of previous negative sentiment towards the asset class.


Asset Class Asset Class2

YEAR

RET

URN

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AR R

ETUR

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PTIO

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(01.

01.2

013)

6 M

ONTH

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3 M

ONTH

RET

URN

2 YE

AR R

ETUR

N


3 YE

AR R

ETUR

N

3 YE

AR R

ETUR

N


DFA Multi-Option: Global Perspective

The DFA Multi-Option: Global Perspective Solution enables clients to allocate monies across multiple asset classes within a Risk Graded framework that uses a global approach to asset weightings. The Multi-Option profile provides the client with additional flexibility to accommodate both pure, passive and (where appropriate) active exposure within each asset class, and to vary the value and small cap tilt as appropriate. The amount to invest into each asset group is dependent upon the clients’ risk profile and, once agreed, is kept constant by the investment manager (PIM) by periodic rebalancing. PIM only has the authority to make infrequent changes to asset weightings, as identified by a structural change.

DFA Multi-Option: Global Perspective - Asset Allocation Table



DFA Multi-Option: Global Perspective Pure

DFA Multi-Option: Global Perspective Passive

Risk Grade

1 100% 0% 0% 0% 0% 0% 0% 100%

2 45% 40% 5% 4% 6% 0% 0% 100%

3 25% 45% 10% 6% 9% 3% 2% 100%

4 10% 50% 10% 10% 15% 3% 2% 100%

5 0% 50% 10% 12% 18% 5% 5% 100%

6 0% 45% 5% 14% 21% 8% 7% 100%

7 0% 35% 5% 16% 24% 10% 10% 100%

8 0% 25% 5% 18% 27% 13% 12% 100%

9 0% 20% 0% 20% 30% 15% 15% 100%

10 0% 10% 0% 22% 33% 18% 17% 100%

GLOB

AL P

ROPE

RTY

GLOB

AL E

QUIT

YGL

OBAL

VAL

UE &

SMAL

L CA

P EQ

UITY

EMER

GIN

G M

ARKE

TS

EQUI

TY

EMER

GIN

G M

ARKE

T VA

LUE

& S

MAL

L CA

P EQ

UITY

FIXE

D IN

TERE

ST

MAN

AGED

LIQ

UIDI

TY

TOTA

L

Portfolios are rebalanced to their asset allocation on a semi annual basis.

GLOB

AL P

ROPE

RTY

GLOB

AL E

QUIT

Y

GLOB

AL V

ALUE

&

SMAL

L CA

P

EMER

GIN

G M

ARKE

TS

EQUI

TY

EMER

GIN

G M

ARKE

TS

VALU

E &

SM

ALL

CAP

EQUI

TY

FIXE

D IN

TERE

ST

MAN

AGED

LIQ

UIDI

TY

DG

Fund OCF 0.20% 0.29% 0.22% 0.38% 0.58% 0.69% 1.10%

Historic Yield 0.66% 1.15% 2.06% 1.65% 1.27% 1.80% 1.90%

Fund OCF 0.20% 0.10% 0.22% 0.08% 0.58% 0.22% 1.10%

Historic Yield 0.66% 1.56% 2.06% 2.27% 1.27% 2.67% 1.90%

GLOB

AL P

ROPE

RTY

GLOB

AL E

QUIT

Y

GLOB

AL V

ALUE

&

SMAL

L CA

P

EMER

GIN

G M

ARKE

TS

EQUI

TY

EMER

GIN

G M

ARKE

TS

VALU

E &

SM

ALL

CAP

EQUI

TY

FIXE

D IN

TERE

ST

MAN

AGED

LIQ

UIDI

TY





The current portfolio holdings for DFA Multi-Option: Global Perspective Pure and Passive are shown in the tables below, as at 30 September 2016. Due diligence is conducted on Dimensional Fund Advisers (DFA) and underlying passive fund providers on a 6 monthly basis, for the purposes of on-going suitability.




Dimensional Global Short Dated Bond


Dimensional Global Core Equity


Dimensional Emerging Markets Core Equity


Dimensional Sterling Inflation Linked Intermediate Duration Fixed Income








Vanguard Global Bond Index Hedged




L&G Pacific Index

L&G Japan Index

GLOB

AL P

ROPE

RTY

GLOB

AL E

QUIT

Y

GLOB

AL V

ALUE

AN

D

SMAL

L CA

P

FIXE

D IN

TERE

ST

MAN

AGED

LIQ

UIDI

TY

EMER

GIN

G M

ARKE

TS

VALU

E &

SM

ALL

CAP

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DFA Multi-Option: Global Perspective - Portfolio Returns to period end 30 September 2016

All portfolios perform in line over all periods for DFA Global Pure owing to the strong relative returns of Global Property, Global Equity and Emerging Markets Equity over shorter periods. All portfolios for DFA Global Passive also perform in line over all periods with the exceptions of Risk Grade 6 over 2 years and Risk Grade 9 over 2 and 3 years.

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Risk Grade Risk Grade

1 0.00% 0.31% 0.56% 1.36% 1.90% 2.24%

2 2.17% 5.00% 8.17% 11.08% 15.34% 18.11%

3 3.74% 8.12% 13.50% 16.42% 22.28% 26.46%

4 4.85% 10.22% 16.85% 20.07% 27.44% 34.33%

5 5.96% 12.26% 20.29% 22.65% 31.01% 39.11%

6 6.69% 13.18% 21.52% 22.26% 30.67% 39.50%

7 7.61% 14.71% 24.14% 23.47% 32.09% 42.14%

8 8.51% 16.21% 26.75% 24.63% 33.42% 44.67%

9 9.22% 17.14% 28.09% 24.16% 33.04% 45.03%

10 10.11% 18.63% 30.77% 25.24% 34.29% 47.50%

1 0.00% 0.31% 0.56% 1.36% 1.90% 2.24%

2 1.73% 3.90% 6.35% 8.64% 11.04% 13.62%

3 3.27% 6.91% 11.45% 13.65% 17.33% 21.29%

4 4.32% 8.89% 14.57% 16.96% 21.76% 28.31%

5 5.45% 10.95% 18.03% 19.54% 25.29% 33.05%

6 6.24% 12.04% 19.57% 19.54% 25.66% 34.23%

7 7.27% 13.87% 22.74% 21.43% 28.30% 38.22%

8 8.29% 15.68% 25.94% 23.28% 30.92% 42.21%

9 9.04% 16.78% 27.59% 23.19% 31.23% 43.37%

10 10.04% 18.59% 30.90% 24.98% 33.80% 47.37%

DFA Multi-Option: Global Perspective Pure DFA Multi-Option: Global Perspective Passive

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DFA Multi-Option: Global Perspective DG


DFA Multi-Option: Global Perspective - Asset Class Returns to period end 30 September 2016

Global Property and Global Equity continue to perform strongly over all periods with Emerging Markets Equity also posting a strong recovery over shorter periods owing to a reversion in previous negative sentiment towards the asset class.


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Fixed Interest 0.86% 2.53% 4.17% 7.22% 9.46% 8.86%

Global Property 6.12% 17.07% 35.01% 47.59% 56.32% 64.13%

Global Equity 8.24% 17.89% 30.28% 32.32% 46.14% 73.23%

Global Value & Small Cap 11.34% 20.10% 30.53% 30.46% 39.38% 71.84%



11.87% 22.53% 41.10% 19.66% 27.95% 23.43%


Fixed Interest 1.94% 5.33% 8.81% 13.39% 20.35% 20.05%

Global Property 6.12% 17.07% 35.01% 47.59% 56.32% 64.13%

Global Equity 8.66% 17.14% 29.04% 31.69% 46.14% 71.46%

Global Value & Small Cap 11.34% 20.10% 30.53% 30.46% 39.38% 71.84%



11.87% 22.53% 41.10% 19.66% 27.95% 23.43%

Asset Class Asset Class2

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Distribution Technology Multi-Option

The Distribution Technology (DT) Multi-Option Solution incorporates ten risk graded model portfolios constructed by Parmenion Investment Management (PIM). The asset weightings of these portfolios exactly match those specified by Distribution Technology in their quarterly investment report. This solution allows the Adviser to choose between active and/or passive fund exposure, within each asset class, as appropriate for the underlying client. These portfolios were modified on 01 October 2015 to match the Strategic Asset Allocation (SAA) as per the Q2 2015 DT report.

Distribution Technology Multi-Option: Asset Allocation Table

Risk Grade

1 100% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 100%

2 41% 13% 5% 6% 13% 5% 12% 0% 0% 0% 0% 0% 5% 100%

3 10% 23% 7% 7% 16% 5% 15% 0% 9% 0% 0% 0% 8% 100%

4 5% 27% 5% 0% 8% 6% 22% 5% 9% 5% 0% 0% 8% 100%

5 0% 24% 0% 0% 5% 6% 28% 5% 14% 5% 6% 0% 7% 100%

6 0% 19% 0% 0% 0% 5% 31% 5% 9% 5% 10% 11% 5% 100%

7 0% 5% 0% 0% 0% 5% 35% 5% 7% 5% 16% 17% 5% 100%

8 0% 0% 0% 0% 0% 5% 23% 5% 5% 5% 22% 30% 5% 100%

9 0% 0% 0% 0% 0% 0% 16% 5% 5% 5% 26% 43% 0% 100%

10 0% 0% 0% 0% 0% 0% 5% 0% 5% 0% 27% 63% 0% 100%

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These are the asset weightings that were in effect as at 30 September 2016. Since then, asset weightings have changed as per the DT Dynamic Planner August 2016 Strategic Asset Allocation document. Please refer to solution factsheet for details of current asset weightings.

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Fund OCF 0.12% 0.68% 0.56% 0.84% 0.33% 0.73% 0.84% 0.93% 0.96% 1.20% 0.88% 1.15% 0.76%

Historic Yield 0.45% 2.66% 0.00% 3.00% 1.47% 4.43% 2.95% 0.63% 0.89% 2.49% 2.50% 1.33% 3.15%

Fund OCF 0.12% 0.06% 0.10% 0.10% 0.06% 0.73% 0.10% 0.09% 0.06% 0.10% 0.14% 0.22% 0.76%

Historic Yield 0.45% 3.02% 0.17% 1.71% 1.78% 4.43% 4.14% 2.61% 1.62% 1.45% 3.00% 2.67% 3.15%

Distribution Technology Multi-Option Active

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M&G Optimal Income

Allianz Gilt Yield Threadneedle High Yield Bond


Jupiter European

JPM US Equity Income



Aberdeen Emerging Markets Equity








Schroder Asian Income

Schroder Global Emerging Markets







Unicorn UK Income



Trojan IncomeUK

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Distribution Technology Multi-Option Active and Passive

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Threadneedle High Yield Bond




L&G Japan Index

L&G Pacific Index







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Distribution Technology Multi-Option DGDT

Distribution Technology Multi-Option - Portfolio Returns to period end 30 September 2016

All portfolios perform in line up to Risk Grades 9-10 over periods 3 months to 2 years for both DT Active and DT Passive. Portfolios are in line up to Risk Grade 6 for DT Active and Risk Grade 4 for DT Passive over 3 years and since inception owing to the significant relative outperformance of Index Linked Gilts and Developed Markets Equity over Pacific ex-Japan and Emerging Markets Equity which have high weightings within the DT Strategic Asset Allocation (SAA).

Distribution Technology Multi-Option Active6

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Risk Grade

1 0.11% 0.23% 0.49% 1.31% 2.64% 2.59%

2 3.65% 5.15% 7.37% 11.02% 15.57% 14.88%

3 5.59% 8.26% 12.59% 18.27% 25.93% 24.94%

4 6.61% 9.00% 14.69% 20.86% 30.04% 29.76%

5 7.14% 9.73% 17.00% 22.94% 33.27% 32.58%

6 8.17% 11.36% 19.70% 24.34% 36.11% 34.74%

7 8.95% 12.67% 22.28% 24.92% 35.49% 33.82%

8 9.57% 14.71% 25.77% 25.54% 35.71% 32.29%

9 10.62% 17.59% 30.42% 27.54% 37.43% 31.16%

10 10.90% 19.36% 33.16% 24.38% 32.19% 24.60%


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1 0.11% 0.23% 0.49% 1.31% 2.64% 2.59%

2 3.01% 5.43% 7.62% 10.94% 15.88% 15.28%

3 4.81% 9.00% 13.29% 18.47% 27.44% 26.47%

4 6.18% 10.59% 15.47% 19.68% 29.16% 28.46%

5 6.79% 11.68% 18.14% 20.37% 28.76% 27.63%

6 8.06% 13.40% 21.06% 20.71% 29.34% 27.54%

7 8.88% 14.59% 23.49% 19.79% 26.75% 24.64%

8 9.95% 16.35% 27.48% 20.25% 26.13% 22.77%

9 11.31% 19.21% 32.71% 22.14% 27.36% 21.88%

10 11.91% 20.58% 36.10% 20.64% 25.32% 18.03%

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UK Cash 0.11% 0.23% 0.49% 1.31% 2.64% 2.59%

UK Corp Bonds 6.03% 10.41% 14.48% 19.31% 27.78% 24.91%

UK I/L Gilts 13.96% 24.91% 28.03% 41.22% 52.97% 46.48%

International Bonds 0.50% 3.14% 6.63% 10.40% 16.91% 16.16%

UK Gilts 2.56% 9.44% 13.61% 23.38% 30.72% 28.20%

Global High Yield* 3.77% 5.28% 7.58% N/A N/A N/A

UK Equity 7.18% 11.54% 14.77% 12.20% 18.88% 18.87%

European Equity 9.07% 13.74% 20.99% 19.71% 27.43% 29.92%

US Equity 7.39% 18.41% 33.63% 41.77% 65.44% 60.09%

Japan Equity 13.54% 22.48% 32.43% 37.96% 38.13% 41.33%

Pacific Ex-Japan Equity 13.08% 20.87% 41.03% 25.58% 26.77% 22.44%


UK Property -0.41% -6.57% -3.02% 6.90% 21.00% 23.21%

Asset Class

Distribution Technology Multi-Option Active

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UK Cash 0.11% 0.23% 0.49% 1.31% 2.64% 2.59%

UK Corp Bonds 5.39% 7.96% 10.37% 13.67% 20.85% 18.74%

UK I/L Gilts 14.06% 25.21% 27.97% 42.42% 54.64% 46.46%

International Bonds 3.86% 5.20% 6.26% 7.09% 9.23% 6.89%

UK Gilts 4.95% 11.06% 14.93% 22.07% 26.46% 23.40%

Global High Yield* 3.77% 5.28% 7.58% N/A N/A N/A

UK Equity 9.09% 8.91% 15.94% 22.04% 33.03% 34.95%

European Equity 6.06% 9.76% 17.61% 34.37% 40.96% 39.67%

US Equity 7.69% 15.95% 32.03% 40.29% 59.72% 58.25%

Japan Equity 16.31% 20.79% 39.32% 41.76% 47.16% 48.34%

Pacific Ex-Japan Equity 10.70% 19.39% 32.63% 32.14% 50.66% 40.24%


UK Property -0.41% -6.57% -3.02% 6.90% 21.00% 23.21%

Distribution Technology Multi-Option - Asset Class Returns to period end 30 September 2016

UK Index Linked Gilts and Developed Markets Equity have performed strongly over all periods. Asia Pacific and Emerging Markets Equity have also significantly recovered over 3 months, 6 months and 1 year owing to a reversal of previous negative sentiment.

Asset Class

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*Distribution Technology introduced the Global High Yield asset class on 15 January 2015. Data is therefore unavailable over longer periods.

*Distribution Technology introduced the Global High Yield asset class on 15 January 2015. Data is therefore unavailable over longer periods.Please refer to Important Notes on page 4 for how performance figures are calculated. Performance data is correct as of

30 September 2016. Past performance is not an indication of future returns. The value of investments and any income from them is not guaranteed and can go down as well as up.

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Portfolio Changes

Portfolios Affected: DT Active, PIM Strategic Active, PIM Strategic Multi-Option Active, PIM Strategic Conviction & PIM Tactical Active

Kames Investment Grade Bond Invesco Perpetual Corporate Bond

The Kames fund has managed its way through these difficult markets with a more pragmatic approach, seeking value where available and avoiding substantial positions in any of the risk areas – duration, rates, rating band, credit, sector or individual company. By Contrast the Invesco Perpetual Corporate Bond fund has seen its performance worsen as a consequence primarily of its lower duration position (4.4 vs 8.5 yrs) and secondarily because of its sizeable holding in Financials.

Portfolios Affected: PIM Strategic Conviction - US Equity

CF Miton US Opportunities

Our current active funds have in general performed very well, however we recognise a slight bias towards the growth style which is now towards the top end of their historic trading range. The Miton fund has a high conviction, bottom up process which is style agnostic and should help to diversify the risk of a value rally within this asset group.

Portfolios Affected: PIM Strategic Active, Tactical Active, DT Active, PIM Strategic Active, PIM Strategic Multi-Option

Invest proceeds into remaining Emerging Markets funds Charlemagne Magna Emerging Markets Dividend

At the latest review meeting it was revealed that the majority of performance was coming from style exposure rather than bottom up stock selection, upon which the fund’s process is built and as such there are some concerns over the ongoing risk controls. A few large underlying holders are also a cause for concern so with higher conviction in the Fidelity Emerging Markets and other existing funds this was a good opportunity to align the weightings within the asset group.

Portfolios Affected: PIM Strategic Active & Tactical Active - Global Alpha

Baillie Gifford Japanese Neptune Japan Opportunities

Ballie Gifford has produced excellent returns with slightly higher volatility than the IA Japan sector which makes it a good fit for global Alpha. Meanwhile the Neptune Japan Opportunities funds met one of our review criteria, namely 3rd quartile performance over 3 years. The fund invests in Japanese global companies that will benefit from a weakening yen, hence boosting their overseas profits and making exports more competitive. This has not happened recently, yen appreciation over the past year has hurt performance and this has fed through to the longer term performance numbers.

SELL

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PIM In-House Solutions

PIM Strategic Multi-Option 1-10 Strategic

PIM Strategic Conviction 1-10 Strategic

PIM Strategic Active 1-10 Strategic

PIM Tactical Active 1-10 Tactical

PIM Tactical Passive 1-10 Tactical

PIM Tactical Income 1-10 Tactical

PIM Strategic Ethical Active (A-D) 1-10 Strategic

PIM Tactical Ethical Active 1-10 Tactical

Fund Manager Focus Solutions


1-10 Strategic

DFA Multi-Option: Global Perspective

1-10 Strategic

Distribution Technology Multi-Option (DT) 1-10 Strategic

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Solutions Index

Strategic

Strategic portfolios define and fix the asset allocation weightings at the outset and are based on historical performance data. These are reviewed annually and are only changed when structural errors have been identified. Once the weightings of the portfolio are established, the emphasis is on maintaining the asset allocation through rebalancing to achieve performance over the long term.

Active

Active funds are selected for their potential to outperform their sector with lower volatility. Active funds have higher charges as a result of the increased cost of the management process and associated research relative to Passive funds.

Tactical

Tactical asset allocation takes its lead from the fixed asset weightings of a strategic portfolio, but then allows the investment manager a degree of flexibility to vary those weightings within a risk-controlled framework. By moving among the various asset classes the investment manager looks to create an additional source of investment return by taking advantage of short term market inefficiencies which can help to manage investors’ exposure to risk.

Passive

Passive funds are selected for their ability to track the asset benchmarks closely. As processes are largely technology driven, there is minimal human intervention and the associated cost is lower.

Investment Solutions At Parmenion we provide an extensive range of investment solutions across varying Risk Grades and investment styles, here is a summary:


PIM Efficient Frontier 8-11 Active and/or Passive

All Users This solution uses seven asset groups and allows for active or passive fund selection, within a Strategic Asset Allocation. The PIM Strategic Passive solution has an identical structure to PIM Multi-Option Passive and has therefore been excluded from the QIR.

PIM Efficient Frontier 12-15 Active and Passive

All users The PIM Strategic Conviction solution enables clients to divide their investment across various different asset classes. The amount invested into each asset class is dependent upon the clients’ risk profile and, once agreed, is kept constant with periodic rebalancing. A strategic asset allocation will be followed and periodically reviewed by the Investment Manager. Only in exceptional or unusual market conditions will the Strategic asset weightings be re-defined, as appropriate. The split between active and passive funds will be determined by PIM using both quantitative and qualitative measures and may vary by asset class as deemed appropriate by the investment managers.

PIM Efficient Frontier 16-17 Active All Users This solution is based on a pure strategic asset allocation and active fund selection using six asset groups, including Equity Income, Equity Growth and Global Alpha.

PIM Asset Allocation Committee 18-23 Active All Users This solution is based on PIM’s tactical asset allocation and a passive fund selection, investment philosophy and process.

PIM Asset Allocation Committee 18-23 Passive All Users This solution is based on PIM’s tactical asset allocation and a passive fund selection, investment philosophy and process.

PIM Asset Allocation Committee 24-27 Active and/or Passive

All Users This investment solution enables clients to invest in a range of carefully constructed Tactical portfolios, according to their requirement for yield, total return and capacity for loss. The amount invested into each portfolio is dependent upon the client’s risk profile and, once agreed, is kept constant with periodic rebalancing. The investment managers have and will use a degree of flexibility to vary these weightings within a risk controlled framework, to maintain the portfolio’s targeted yield, maximise total return and minimise losses in response to changing market conditions.

PIM Efficient Frontier 28-35 Active All Users This solution combines various styles of ethical investing with strategic asset allocations and an active fund selection. All funds are screened for positive and negative ethical criteria and monitored on an on-going basis by the Ethical Oversight Committee.

PIM Asset Allocation Committee 36-39 Active All Users This solution is based on PIM’s tactical asset allocation and active fund selection, investment philosophy and process. Funds are selected from the EIRiS universe which are deemed to be broadly ethical in nature.

PIM Efficient Frontier 40-43 Pure/Passive Approved Users This solution provides the client with additional flexibility to accommodate both pure and passive exposure within each asset class, and to vary the value and small cap tilt as appropriate. The portfolio strategy incorporates a traditional domestic bias to UK equity in line with the Dimensional approach. This solution is strategic in nature; as such asset allocations are only changed on an infrequent basis, in response to structural issues.

PIM Efficient Frontier 44-47 Pure/Passive Approved Users This solution provides the client with additional flexibility to accommodate both pure and passive exposure within each asset class, and to vary the value and small cap tilt as appropriate. The portfolio strategy incorporates a global approach to asset allocations, in line with each country’s market capitalisation relative to the global economy. This solution is strategic in nature; as such asset allocations are only changed on an infrequent basis, in response to structural issues.

Distribution Technology’s Strategic Asset Allocation (SAA)

48-52 Active and/or Passive

All Users This solution asset weightings match DT’s Strategic Asset Allocation (SAA) and allows for active or passive fund selection.

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Index and Peer Group Returns

Index and Peer Group Returns to period end 30 September 2016





LIBOR GBP 12m 0.19% 0.44% 0.96% 1.97% 2.93% 5.73%

IBOXX Sterling Gilts All Maturities 2.45% 9.02% 13.15% 22.85% 30.17% 37.15%

Citi UK Inflation-Linked Securities Index 11.00% 22.14% 25.49% 38.61% 50.75% 66.47%

IBOXX Sterling Corporates All Maturities 6.77% 11.50% 15.93% 20.40% 29.89% 57.42%

Barclays Global Aggregate GBP (H) 0.39% 3.02% 6.53% 10.38% 16.80% 24.59%

PIM Property Index -0.72% -3.96% -1.53% 7.32% 21.47% 26.92%

FTSE All Share 8.03% 13.12% 17.10% 14.41% 21.37% 69.25%

FTSE UK Equity Income 6.67% 10.34% 12.98% 10.70% 17.59% 65.81%

FTSE North America 7.07% 18.11% 34.13% 40.33% 66.58% 145.09%

FTSE Europe Ex UK 9.07% 13.89% 21.77% 19.59% 25.88% 79.98%

FTSE Asia Pacific Ex Japan 12.36% 21.93% 38.24% 27.13% 35.51% 68.37%

FTSE Japan 12.10% 21.91% 31.30% 39.42% 41.12% 75.52%

FTSE World ex UK 8.35% 17.99% 32.22% 33.93% 50.64% 111.50%

FTSE Emerging 11.24% 21.84% 36.61% 19.32% 27.36% 42.66%

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Comparative Indices

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Notes

Parmenion Investment Management Ltd Head Office: 2 College Square Anchor Road, Bristol BS1 5UE. Office: 0845 519 0100 Website: www.parmenion-im.co.uk Email: [email protected]

Parmenion Investment Management Ltd is a subsidiary of Parmenion Capital Partners LLP.

Parmenion Capital Partners LLP is authorised and regulated by the Financial Conduct Authority, registration number: 462085.

Wholly owned subsidiary of Aberdeen Asset Management PLC and Aberdeen Investments Limited.

Parmenion Capital Partners LLP is registered in England and Wales OC322243.

quarterly investment review · drives approximately three quarters of its earnings from overseas....

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