quarterly performance report · introduction 10 3. market overview 14 4. investment portfolio...

Altron Group Pension Fund

© 2018 Willis Towers Watson. All rights reserved.

Quarterly Performance Report

SEPTEMBER 2018

TABLE OF CONTENTS

© 2018 Willis Towers Watson. All rights reserved. Proprietary and Confidential. For Willis Towers Watson and Willis Towers Watson client use only. 2

1. Executive Summary 3

2. Introduction 10

3. Market Overview 14

4. Investment Portfolio Performance 19

5. Performance Analysis – Individual Investment Managers 30

6. Risk and return profile 53

7. Performance relative to objective and inflation 54

8. Comparative Peer Review 58

9. Mandate Compliance 62

Annexure I: Portfolio Returns 66

Annexure II: Portfolio Fees & Mandate Summary 67


1. Executive Summary

1.1 Performance relative to objectives and benchmarksThe table below summarises the key results for the various portfolios operated by the Fund.

In terms of the investment objectives set for the Fund:

• The Wealth Builder Portfolio performance should ideally be measured over a period of 7 years. The performance history now exceeds 7 years,

and the primary investment objective has been met when measured over the period since inception. Performance has been slightly behind the

benchmark over this period.

• The Pension Protector Portfolio performance should ideally be measured over a period of 5 years. The performance history exceeds 5 years

and the primary objective has been met over the full period since inception. Performance has been marginally behind the benchmark over this

period.

• The Conservative Portfolio performance should ideally be measured over a period of 3 years. The performance history exceeds 3 years and

the primary objective has been met over the full period since inception. Performance has lagged the benchmark over this period.

• The Shari’ah Portfolio has lagged the inflation-related objective significantly since inception, but is ahead of its benchmark over this period.

• The benchmarks are set out in Section 2.4 of the report.

PortfolioInvestment

Objective

Inception date

and period to

report date

Meeting

Objective?Benchmark

Out-performing

Benchmark?

Wealth Builder CPI + 6% p.a.1 Oct 2008;

10 years

Yes, by 0.5% p.a.

since inceptionWB Benchmark

No, by -0.5% p.a.

since inception

Pension

ProtectorCPI + 5% p.a.

1 Oct 2008;

10 years

Yes, by 0.8% p.a.

since inceptionPP Benchmark

No, by -0.2% p.a.

since inception

Conservative CPI + 3.5% p.a.1 Dec 2010;

7 years, 10 months

Yes, by 0.4% p.a.

since inceptionCP Benchmark

No, by -1.0% p.a.

since inception

Shari’ah CPI + 4% p.a.1 May 2013;

5 years, 5 months

No, by -4.8% p.a.

since inception

Shari'ah

Benchmark

Yes, by 2.4% p.a.

since inception


Altron Group Pension Fund

Fund performance per investment portfolio

The table below summarises the investment returns achieved by the Fund’s investment portfolios over various measurement periods to 30 September 2018. It is noted that

returns for periods longer than a year have been annualised.

Fund performance per asset class and investment manager

The tables below summarises the investment returns achieved by the Fund’s investment managers over various measurement periods to 30 September 2018 – see note 4

below.

Portfolio

Market value -

September 2018

R'm

Performance % Portfolio Benchmark ObjectiveInception

Date1 Month 3 Months Year to Date 1 Year 3 Year 5 Year Since inception

SA EQUITIES

Coronation Houseview R 223.0 -4.2% -3.5% -6.9% -1.8% 4.0% 4.8% 10.0% 10.6% 14.1% Jan-11

Visio R 302.7 -3.5% -1.8% -3.1% -0.3% 2.3% n/a 0.9% 2.6% 6.1% Apr-15

Kagiso R 301.4 -3.2% -0.4% -4.9% -1.3% 3.7% 4.2% 8.8% 11.2% 12.2% Jun-12

Prudential R 454.0 -4.6% -2.7% -4.1% 5.8% 7.2% 9.1% 13.3% 11.2% 13.7% Jun-12

Steyn Capital R 214.2 -1.6% -0.6% -10.1% -9.0% n/a n/a -9.5% -1.4% -0.4% Sep-17

Capped SWIX -4.2% -1.7% -7.4% 0.4% 4.5% 7.4%

TOTAL SA EQUITIES R 1,495.4 -3.6% -1.9% -5.4% -0.2% 3.8% 5.1%

SA LISTED PROPERTY

Sesfikile R 94.3 -1.7% -0.4% -16.5% -10.0% 2.4% n/a 2.7% -1.0% 1.0% Aug-15

Investec Listed Property R 91.2 -2.4% -1.4% -19.4% -12.9% -0.2% 8.6% 11.9% 10.7% 12.7% Jan-11

J253T SAPY -2.6% -1.0% -22.2% -15.7% -1.4% 6.8%

TOTAL SA LISTED PROPERTY R 185.5 -2.1% -0.9% -17.9% -11.5% 1.1% 8.2%

Portfolio

Market value -

September 2018

R'm



Wealth Builder R 1,718.3 -2.9% 0.9% 3.5% 4.9% 7.7% 9.1% 11.6% 12.2% 11.2% Oct-08

WB Benchmark -3.0% 1.2% 0.2% 4.3% 7.0% 9.6%

Pension Protector R 3,035.1 -2.0% 1.0% 2.0% 3.5% 6.9% 8.5% 10.9% 11.2% 10.2% Oct-08

PP Benchmark -2.0% 1.0% 0.4% 3.5% 6.4% 9.0%

Conservative R 495.3 -1.5% 1.3% 6.0% 7.7% 8.3% 8.4% 9.4% 10.4% 9.0% Dec-10

CP Benchmark -1.4% 1.9% 2.8% 6.1% 7.9% 9.1%

Money Market Portfolio R 4.5 0.7% 2.1% 6.5% 8.7% 8.6% 7.8% 6.9% 6.8% 6.7% Oct-08

STEFI 0.6% 1.8% 5.4% 7.3% 7.3% 6.8%

Shari'ah R 6.6 -2.1% 1.6% 4.1% 4.2% 6.7% 4.5% 5.1% 2.6% 9.8% May-13

Shari'ah Benchmark -2.1% 2.3% 6.3% 1.6% 2.6% 0.6%

Employer Surplus R 4.2 0.7% n/a n/a n/a n/a n/a 0.7% 0.6% n/a Aug-17

Employer Surplus Benchmark 0.6% n/a n/a n/a n/a n/a

TOTAL R 5,264.0


Portfolio

Market value -

September

2018 R'm



SA NOMINAL BONDS

FG Dev Bond R 67.5 0.4% 1.1% 6.5% 9.4% 9.2% 8.9% 11.3% 9.3% 10.6% Jun-08

FG Yield R 44.2 0.3% 1.0% 6.7% 9.7% 9.5% 9.0% 11.5% 9.3% 10.6% Jun-08

BEASSA All-Bond Index 0.3% 0.8% 4.8% 7.1% 7.7% 7.2%

SA IL BONDS (ACTIVES)

Aluwani Passive ILB R 56.7 0.3% -0.2% -1.2% -0.5% 2.3% 5.4% 6.9% 7.1% 7.1% Aug-08

R202 0.3% -0.2% -1.0% -0.3% 2.4% 5.5%

FG IDILBF Actives R 53.3 0.3% 0.1% n/a n/a n/a n/a -2.9% -2.4% -2.0% May-18

BILBI 15+ year 0.4% 1.2% n/a n/a n/a n/a

PENSIONER MATCHING

PORTFOLIO

Old Mutual Pensioner LHP* R 1,028.3 0.4% 0.4% n/a n/a n/a n/a -2.4% -1.6% 3.0% May-18

FG IDILBF Pensioners R 55.4 0.3% 0.2% n/a n/a n/a n/a -2.6% -2.4% -2.0%May-18

LHP Ref Portfolio+0.5% p.a 0.4% 0.4% n/a n/a n/a n/a

TOTAL SA BONDS R 1,305.3 0.4% 0.4% 1.2% 2.7% 4.7% 6.4%

SA CREDIT BONDS

Investec Credit Opps R 219.1 1.0% 3.1% 7.5% 10.2% 11.1% 9.5% 9.5% 6.1% 9.8% Feb-11

STEFI 3-month 0.5% 1.5% 5.1% 6.9% 7.0% 6.5%

TOTAL SA CREDIT BONDS R 219.1 1.0% 3.1% 7.5% 10.2% 11.1% 9.5%

PRIVATE EQUITY

OM Renewable Energy SF R 80.5 0.1% -1.6% 2.7% 15.2% 14.4% 18.4% 19.6% 12.5% 12.5% Jan-13

CPI + 7% p.a. 1.0% 2.9% 9.3% 11.9% 12.3% 12.3%

Vantage Mezzanine Fund II R 55.4 -2.5% 3.2% 15.1% -0.9% 5.5% 13.7% 10.2% 16.4% n/a Apr-12

TOTAL PRIVATE EQUITY R 135.9

SA CASH

Investec Money Fund R 9.4 0.7% 2.1% 6.6% 8.8% 8.6% 7.9% 7.6% 6.6% 6.8% Dec-12

STEFI 0.6% 1.8% 5.4% 7.3% 7.3% 6.8%

SHARI'AH

27four Shari'ah Wealth Builder R 6.6 -2.1% 1.6% 4.1% 4.2% n/a n/a 2.6% 1.2% 10.1% Sep-16

Shari'ah Benchmark -2.1% 2.3% 6.3% 1.6% n/a n/a


Portfolio

Market value -

September 2018

R'm



DEVELOPED MARKET EQUITIES (ZAR)

Hosking R 231.6 -3.3% 5.3% 13.2% 10.1% 12.3% n/a 13.8% 15.3% 19.3% Sep-14

Contrarius R 178.7 -1.6% -1.9% 24.7% 26.7% 26.3% 19.5% 24.1% 20.2% 24.2% Jan-11

Veritas (via Sygnia) R 243.1 -2.8% 9.0% 21.2% 12.6% 13.5% 16.8% 20.0% 20.1% 24.9% Dec-12

Ardevora R 184.3 -4.4% 5.6% 21.1% 17.6% n/a n/a 16.2% 15.2% 19.7% Aug-16

Polaris R 181.0 -3.1% 4.3% 14.2% 10.6% n/a n/a 14.5% 15.2% 19.7% Aug-16

MSCI AC World (ZAR) -3.0% 7.8% 19.2% 15.6% 14.9% 17.0%

TOTAL DEVELOPED

MARKET EQUITIES (ZAR)R 1,018.7 -3.1% 3.6% 17.2% 13.3% 15.9% 16.2%

EMERGING MARKET

EQUITIES (ZAR)

EM Equity (via Sygnia) R 162.3 -6.7% n/a n/a n/a n/a n/a 1.5% 4.6% 5.0% Aug-18

MSCI EM (ZAR) -3.9%

INT'L PROPERTY (ZAR)

Resolution (via Sygnia) R 154.1 -8.6% n/a n/a n/a n/a n/a 7.2% 6.9% 7.3% Aug-18

FTSE EPRA/NAREIT (ZAR) -5.4%

DEVELOPED MARKETS

EQUITIES (USD)

Hosking $16.4 -0.3% 1.6% -1.4% 4.7% 11.1% n/a 6.0% 7.6% 11.6% Sep-14

Contrarius $12.6 1.8% -5.0% 9.1% 20.8% 25.3% 11.7% 12.5% 9.0% 13.0% Jan-11

Veritas (via Sygnia) $17.2 0.6% 6.8% 7.3% 8.8% 13.6% 9.7% 11.4% 10.9% 14.9% Dec-12

Ardevora $13.0 -1.0% 3.2% 6.7% 13.1% n/a n/a 15.6% 14.1% 18.6% Aug-16

Polaris $12.8 0.4% 1.7% 0.6% 6.3% n/a n/a 13.8% 14.1% 18.6% Aug-16

MSCI AC World (USD) 0.5% 4.4% 4.3% 10.3% 14.0% 9.2%

TOTAL DEVELOPED

MARKETS EQUITIES (USD)$72.0 0.2% 2.4% 4.5% 10.3% 15.7% 9.0%

EMERGING MARKET

EQUITIES (USD)

EM Equity (via Sygnia) $11.5 -4.2% n/a n/a n/a n/a n/a -6.8% -3.2% -2.8% Aug-18

MSCI EM (USD) -0.5%

INT'L PROPERTY (USD)

Resolution (via Sygnia) $10.9 -5.4% n/a n/a n/a n/a n/a -0.8% -1.0% -0.7% Aug-18

FTSE EPRA/NAREIT (USD) -2.0%


NOTES:

* The initial transfer of assets to the Old Mutual Pensioner Liability Hedging Portfolio (LHP) took place towards the end of March 2018 with the bulk of the

transfers taking place in April. For performance measurement purposes, the inception date of this portfolio is therefore assumed to be 01 May 2018.

** Allan Gray Global Absolute from 01 May 2018.

*** The residual balance consists of some Eskom inflation-linked bonds and a few similarly illiquid holdings which are being managed by ABSA until they can

be sold at a reasonable price.

INT'L BONDS (ZAR)

Colchester R 76.2 -4.0% 0.3% 9.0% -0.4% 2.4% 6.9% 12.1% 11.3% 12.8% Jan-11

JP Morgan Gov Bond

(ZAR)-4.5% 1.5% 11.3% 3.1% 2.2% 7.5%

INT'L BONDS (USD)

Colchester $5.4 -0.6% -1.1% -2.3% -2.6% 2.7% 0.5% 2.0% 0.9% 2.4% Jan-11

JP Morgan Gov Bond

(USD)-1.1% -1.7% -2.6% -1.6% 1.5% 0.5%

CONSERVATIVE

MANAGERS

Coronation Inflation Plus R 167.6 -1.6% 1.0% 3.9% 4.1% 6.6% 7.1% 9.6% 10.3% 9.1% Jan-11

Allan Gray Global

Stable/Absolute**R 168.3 -2.1% 1.3% 7.2% 9.4% 10.2% 9.5% 10.2% 10.6% 10.4% Apr-18

ABSA Absolute

(Domestic)***R 19.9 0.9% 0.6% 1.9% 4.8% 5.6% 6.8% 7.1% 10.1% 8.9% Nov-12

ABAX Global Absolute R 139.5 -0.9% 2.1% 3.0% n/a n/a n/a 3.0% 2.8% 6.6% Jan-18

CP Benchmark -1.4% 1.9% 2.8% 6.1% 7.9% 9.1%

TOTAL CONSERVATIVE R 495.3 -1.5% 1.3% 6.0% 7.7% 8.3% 8.4%

Period since inception legend (for

managers/portfolios who exceeded objective

measurement period)

Not meeting benchmark or objective %%

Meeting benchmark but not objective(For WB, Conservative and CP, this means the CPI-related objective is met, but not the benchmark)

%%

Meeting benchmark and objective %%

Portfolio

Market value -

September

2018 R'm


Date1 Month 3 Months Year to Date 1 Year 3 Years 5 Years Since inception


Market value –

June 2018 R'm

Investments

R'm

Disinvestments

R'm

Net Investment

income R'm

Market value –

September 2018 R'm

% of Invested Fund

Value

SA EQUITY

Coronation Houseview 229.7 1.4 (8.1) 223.0 4.2%

Visio 307.7 0.8 (5.7) 302.7 5.8%

Kagiso 301.4 1.3 (1.3) 301.4 5.7%

Prudential 469.9 (3.1) (12.7) 454.0 8.6%

Steyn Capital 213.3 2.2 (1.3) 214.2 4.1%

SA LISTED PROPERTY

Sesfikile Listed Property 93.5 1.2 (0.4) 94.3 1.8%

Investec Listed Property 91.3 1.2 (1.3) 91.2 1.7%

SA NOMINAL BONDS

Futuregrowth Development Bond 64.4 2.4 0.7 67.5 1.3%

Futuregrowth Yield 42.0 1.6 0.5 44.2 0.8%

SA IL BONDS (ACTIVES)

Aluwani Passive Inflation Linked 56.8 - - (0.1) 56.7 1.1%

Futuregrowth IDILBF Actives 49.3 4.0 0.0 53.3 1.0%

PENSIONER MATCHING

PORTFOLIO

Old Mutual Pensioner LHP 1 064.2 (39.9) 4.0 1028.3 19.5%

Futuregrowth IDILBF Pensioners 55.2 - - 0.2 55.4 1.1%

SA CREDIT

Investec Credit Opps 229.5 (17.1) 6.7 219.1 4.2%

PRIVATE EQUITY

Vantage Mezzanine Fund II 56.1 (2.5) 1.9 55.4 1.1%

OM Renewable Energy SF 81.8 - - (1.3) 80.5 1.5%

SA CASH

Investec Money Market Fund 5.5 3.3 0.6 9.4 0.2%

SHARI'AH

27 Four Shari'ah 6.4 0.1 0.1 6.6 0.1%

1.4. Market value of assetsThe table below summarises market values, cash flows and investment income over the quarter ended 30 September 2018.


Market value –

June 2018 R'm

Investments

R'm

Disinvestments

R'm

Net Investment

income R'm

Market value –

September 2018 R'm

% of Invested Fund

Value

DEVELOPED MARKET EQUITY

Hosking 280.1 (64.5) 16.0 231.6 4.4%

Contrarius 182.2 - - (3.5) 178.7 3.4%

Walter Scott 197.3 (195.5) (1.8) 0.0 0.0%

Ardevora 202.9 (29.3) 10.7 184.3 3.5%

Polaris 196.0 (22.9) 7.9 181.0 3.4%

Veritas (via Sygnia) 277.5 (57.3) 22.9 243.1 4.6%

EMERGING MARKET EQUITY

EM Equity (via Sygnia) 0.0 163.1 (0.7) 162.3 3.1%

INTERNATIONAL PROPERTY

Resolution (via Sygnia) 0.0 143.8 10.4 154.1 2.9%

INTERNATIONAL BONDS

Colchester 103.2 (27.2) 0.3 76.2 1.4%

CONSERVATIVE PORTFOLIO

Coronation Inflation Plus 175.2 (9.3) 1.6 167.6 3.2%

Allan Gray Global Stable 178.0 (11.9) 2.2 168.3 3.2%

ABSA Absolute 19.8 - - 0.1 19.9 0.4%

ABAX Global Absolute 99.2 37.9 2.4 139.5 2.6%

TOTAL 5329.5 364.3 (480.7) 51.0 5264.0 100.0%

Market value of assetsThe table below summarises market values, cash flows and investment income over the quarter ended 30 September 2018.


2.1 Purpose of report

2.1.1 This report deals with the investment performance of the Altron Group Pension Fund (the “Fund”) for the quarter ended 30 September 2018.

2.1.2 Throughout the report, investment returns are quoted net of investment manager fees and are determined on a money weighted rate of return basis

(i.e. impacted by cash flows over the periods considered). These returns may therefore differ from the returns reported by the individual managers

which are typically on a gross of fees, time weighted rate of return basis (not impacted by cash flows). Benchmark/ index returns are quoted before

any equivalent fees.

2.2 Significant events since the previous quarter

2.2.1 The Veritas portfolio has switched into the AMX offering via Sygnia to take advantage of the decreased fee.

2.2.2 Global Emerging market equity exposure using a WTW manager blend via Sygnia was added during the quarter.

2.2.3 International property exposure via Sygnia, managed by Resolution Capital, was added during the quarter.

2.2.4 The exposure to Walter Scott was terminated during the quarter.

2. Introduction


100% 100%

80%

60%

40%

20%20%

40%

60%

80%

100% 100%

0%

20%

40%

60%

80%

100%

8 7 6 5 4 3 2 1

Life Stage Model

Wealth Builder Conservative

2.3 Investment portfolios offered by the Fund

2.3.1 The Fund operates by way of a Life Stage model and can be summarised as follows:

- The Inflation Protector Portfolio was discontinued and the Conservative Portfolio was introduced with effect 1 December 2010.

- The default Life Stage model was restructured to operate in a way such that active members’ assets are gradually transferred from the Wealth Builder to the

Conservative Portfolio, based on term to retirement as indicated in the graph below. On retirement, the pensioner’s assets are transferred into the Pension

Protector Portfolio.

2.3.2 The portfolios operated by the Fund can be described as follows:

• Wealth Builder Portfolio – the primary purpose of this portfolio is to target a return 6% in excess of inflation and is thus designed to deal with inflation risk.

This portfolio will have a high exposure to growth assets (i.e. equity) and is most suitable for members that have a long term investment horizon.

• Conservative Portfolio – this portfolio offers some degree of protection against investment risk as members near their retirement age. The portfolio aims to

achieve a return of inflation plus 3.5%.

• Pension Protector Portfolio – following the review of the investment strategy, this portfolio is made up of the pensioner assets only and aims to achieve a

return of inflation plus 5% in order to be able to award pension increases in line with inflation.

• Cash Portfolio – this is an elective portfolio and is a cash investment only.

• Shari’ah Compliant Portfolio – this is an elective portfolio managed in accordance with Shari’ah law by 27Four through its Fund of Funds offering.


Asset Class Wealth Builder Benchmark Inflation Protector Benchmark Pension Protector Benchmark

SA Equities 65.0% 55.0% 45.0%

SA Bonds 5.0% 5.0% 10.0%

SA Index Linked Bonds 8.0% 15.0% 20.0%

SA Cash 2.0% 5.0% 5.0%

International 20.0% 20.0% 20.0%

Wealth BuilderWith effect

1 December 2010

With effect

1 March 2011

With effect

31 December

2012

With effect

01 July 2018*Index

SA Equities 52.0% 47.5% 46.5% 42.5% FTSE/JSE Capped SWIX

SA Property 5.0% 5.0% 5.0% 5.0% SA Listed Property SAPY (J253)

SA Credit 5.0% 5.0% 5.0% 5.0% STEFI + 2.5% p.a.

SA Nominal Bonds 9.0% 7.0% 7.0% 7.0% BEASSA All Bond Index (ALBI)

SA Index Linked Bonds 9.0% 9.0% 9.0% 7.0% RSA R202 IL Bonds

PE (Mezz Debt) 0.0% 2.5% 2.5% 2.5%STEFI + 10% p.a. (2.5% included in SA equities

from 1 July 2018)

Private Equity: SRI 0.0% 0.0% 1.0% 1.0%CPI + 7% (1% included in SA equities for

calculation purposes)

DM Equities 17.0% 20.0% 20.0% 20.0% MSCI All Country World Index (MSCI)

EM Equities n/a n/a n/a 3.0% MSCI Emerging Market Index

Global Property n/a n/a n/a 3.0% FTSE EPRA/NAREIT

Global Bonds 3.0% 4.0% 4.0% 4.0% JP Morgan World Government Bond

2.4.2 The benchmarks for the Wealth Builder and Pension Protector portfolios are as follows:

2.4 General information

2.4.1 The following were the benchmarks against which performance of the Fund’s Life Stage Portfolios were assessed prior to the investment strategy review, i.e. up to

30 November 2010:

* The changes to the strategic asset allocation to target the new 30% offshore allowance have been implemented effective 1 July 2018, with the realignment

exercise being completed during July/August 2018. These changes include the introduction of two new asset classes in the form of global emerging market

equities and global listed property.


Pension ProtectorWith effect

1 March 2011

With effect

31 December

2012

With effect

1 May 2018

With effect

1 July 2018*Index

SA Equities 34.0% 33.0% 33.0% 27.5% FTSE/JSE Capped SWIX

SA Property 5.0% 5.0% 5.0% 5.0% SA Listed Property SAPY (J253)

SA Credit 5.0% 5.0% 5.0% 5.0% STEFI + 2.5% p.a.

SA Bonds 12.0% 12.0% 0.0% 0.0% BEASSA All Bond Index (ALBI)

SA Index Linked Bonds 22.0% 22.0% 38.5% 38.5% RSA R202 IL Bonds

Private Equity: SRI 0.0% 1.0% 1.0% 1.0%CPI + 7% (1% included in SA equities for

calculation purposes)

DM Equity 17.5% 17.5% 17.5% 17.5% MSCI All Country World Index (MSCI)

EM Equity n/a n/a n/a 2.5% MSCI Emerging Market Index

Global Property 3.0% FTSE EPRA/NAREIT

International Bonds 4.5% 4.5% 0.0% 0.0% JP Morgan World Government Bond

Conservative Allocation** Index

SA Equities 15.0% FTSE/JSE Capped SWIX

SA Property 10.0% SA Listed Property SAPY (J253)

SA Inflation-linked bonds 10.0% RSA R202 IL Bonds

SA Cash 42.0% STEFI Composite Index

Global Equity 16.0% MSCI All Country World Index (MSCI)

Global Bonds 4.0% JP Morgan World Government Bond

Global Property 3.0% FTSE EPRA/NAREIT

* The changes to the strategic asset allocation to target the new (higher) offshore allowance (up from 17.5% to 23%) have been implemented effective 1 July 2018, with

the realignment exercise completed during July/August 2018.

2.4.3 The benchmark for the Conservative Portfolio is as follows:

2.4.4 The benchmark for the Shari’ah portfolio has been amended from 1 August 2016 to be in line with the internal benchmark used by 27Four for their Wealth Builder

fund. This benchmark is as follows: 50% FTSE Shari’ah Capped Top 40 Index, 22.5% Dow Jones Islamic Market Titans 100 Total Return index, 2.5% Lotus

Islamic Market Index, 14% STeFI Composit Index, 5% Newgold Platinum reference price, and 5% Dow Jones Sukuk Index. 1% is held in the call account for

liquidity purposes. Prior to 1 August 2016, the Shari’ah benchmark was: 60% FTSE Shari’ah All Share Index, and 40% STEFI Composite Index, less 1%.

2.4.5 Benchmarks and performance objectives for individual managers are set out in Section 5 of this report.

2.4.6 Headline inflation (CPI) was rebased and restated retrospectively in January 2009, reflecting the new CPI “basket” (as per Stats SA). The old CPI index was

“blended” with the restated CPI index and the CPI shown throughout the report reflects the “blended” version.

** The benchmark strategic asset allocation for the Conservative Portfolio was also recently reviewed and updated in the SIP – this will take effect from 1 July 2018


This section deals with an analysis of market performance over various measurement periods ended 30 September 2018. This analysis provides some insight into the

drivers of the recent performance of the Fund.

3.1 Index returns

3.1.1 The chart below shows the performance of the traditional asset classes and other indices for various measurement periods ended 30 September 2018.

SA Equity(Capped

SWIX)

SA Equity(ALSI)

SA Bonds(ALBI)

ListedProperty

(J253 SAPY)

SA Cash(STEFI

Composite)

Int'l Equity(ZAR) (MSCI

AC)

Int'l Bonds(ZAR) (JPMorgan)

ZAR / US $Exchange

HeadlineInflation

(CPI)

3 Months -1.7% -2.2% 0.8% -1.0% 1.8% 7.8% 1.5% 3.2% 1.1%

1 Year 0.4% 3.3% 7.1% -15.7% 7.3% 15.6% 3.1% 4.8% 4.9%

3 Years 4.5% 6.7% 7.7% -1.4% 7.3% 14.9% 2.2% 0.8% 5.3%

5 Years 7.4% 8.0% 7.2% 6.8% 6.8% 17.0% 7.5% 7.1% 5.3%

10 Years 12.1% 8.6% 13.5% 6.8% 14.8% 8.1% 5.5% 5.2%

-20.0%

-15.0%

-10.0%

-5.0%

0.0%

5.0%

10.0%

15.0%

20.0%

3. Market overview


SA Equity (ALSI) Resources (RESI) Industrials FinancialsIndustrials & Financials

(FINDI)

3 Months -2.2% 5.2% -7.8% 2.8% -4.5%

1 Year 3.3% 26.9% -7.7% 8.1% -2.9%

3 Years 6.7% 15.7% 2.5% 4.6% 3.3%

5 Years 8.0% 1.0% 7.7% 10.9% 8.7%

10 Years 12.1% 2.9% 16.2% 13.8% 15.5%

-10.0%

-5.0%

0.0%

5.0%

10.0%

15.0%

20.0%

25.0%

30.0%

3.1.2 The following chart shows the performance of the main sectors of the SA Equity market for various measurement periods ended 30 September 2018.

3.1.3 The performance of local equities was negatively impacted by EM headwinds and poor local economic data. The ALSI and the Capped SWIX declined 2.2% and

1.7% respectively over the quarter. Over the year-to-date, the Capped SWIX was down 7.4% (mid caps fell by 12.1%, small caps fell by 7.8% and large caps fell

by 3.2%).

3.1.4 Resources outperformed the financial and industrial sectors over the third quarter and particularly over the past year. Mondi and Sasol (boosted by higher oil

prices) were standout performers within this sector. Platinum shares were also strong contributors. However, the recent rally from resource shares should be

seen in the context of the poor prior performance.

Financials staged a rebound from the poor showings of the previous quarter, delivering 2.8% for the current quarter.

Industrials fell significantly, shedding 7.8% over the quarter. Most notably, within this sector, MTN slumped as much as 18% during the quarter and Naspers was

down 12%. Aspen took the biggest knock, plunging 34% following disappointing earnings releases.


3.1.7 The following chart shows the performance of the different sectors of the SA All Bond index and Inflation Linked Bonds for various measurement periods

ended 30 September 2018. Cash returns over these periods are also included.

SA Bonds (ALBI) 0 - 3 Years 3 - 7 Years 7 - 12 Years 12+ YearsBarclays Inflation

Linked BondSA Cash (STEFI)

3 Months 0.8% 1.9% 1.5% 1.3% 0.4% 0.6% 1.8%

1 Year 7.1% 6.9% 6.1% 6.5% 7.5% 0.9% 7.3%

3 Years 7.7% 8.0% 8.5% 8.0% 7.3% 3.1% 7.3%

5 Years 7.2% 7.3% 7.6% 7.0% 7.1% 5.2% 6.8%

10 Years 8.6% 7.8% 8.8% 8.8% 8.2% 7.7% 6.8%

0.0%

1.0%

2.0%

3.0%

4.0%

5.0%

6.0%

7.0%

8.0%

9.0%

10.0%

3.1.8 The local bond market did not fare particularly well in an environment of reduced global risk appetite. Yields rose as the combination of capital outflows from EMs, a

firm dollar and rising US interest rates contributed to market weakness. However, the weakening pressure on the SA bond market was relatively contained in

comparison to some of the other EMs over the quarter. Nominal and inflation-linked bonds managed to eke out positive returns of 0.8% and 0.6% respectively.

The rand weakened broadly against a basket of major currencies over the quarter, falling most steeply against the strong US dollar. The local currency lost 3.2%

against the US dollar, 2.0% against the British pound and 2.7% against the euro over the quarter.


3.2 Comment on economies and markets over the quarter

Domestic

• Local markets experienced a volatile quarter underpinned by a challenging global backdrop and poor local economic data releases. A second consecutive quarterly

contraction in economic growth (as measured by GDP) has placed the South African economy in a recession. Persistent uncertainty and risk pertaining to key issues

of land reform, the economy’s large twin deficits and the financial position of state-owned enterprises dominated the local narrative over the quarter.

• As a small economy and a country more vulnerable to external pressures, the combination of US dollar strength, the negative spill-over emanating from EM volatility

and the higher oil price saw the rand weaken sharply against a strong US dollar. President Cyril Ramaphosa’s policy assurances and the release of the revised, and

improved, Mining Charter moderated some of the unease and provided some respite towards quarter end.

• The economy contracted by 0.7% during the second quarter of 2018. The decline in GDP was led by the agricultural sector, which was down 29% for the quarter.

Other significant contributors to the contraction were the trade (-1.9%) and transport industries (-4.9%). On a more positive note, the current account deficit narrowed

to 3.3% from the revised figure of 4.6% reported in the previous quarter.

• The South African Reserve Bank (SARB) kept rates unchanged at the September meeting, while also striking a more hawkish tone with three out of the seven

members voting in favour of a hike. The SARB highlighted the deteriorating outlook on inflation, which currently remains within the target range but is projected to

drift higher.

• Besides EM contagion, several economic risks dragged on global sentiment towards SA bonds, including policy ambiguity and uncertainty regarding land

expropriation.

• Sectoral performance within the SA equity market registered the greatest gains in the resources sector boosted by the strong performance of platinum, precious

metals and industrial metals over the quarter, which, together with dual-listed shares, benefited from a weaker rand.

Global

• Global financial markets were largely driven by US-China trade tensions, higher oil prices, rising US policy rates accompanied by a firm US dollar and a reduction in

global liquidity. These factors presented headwinds for emerging markets (EMs) and led to a broad derating of EMs over the quarter. EMs are especially vulnerable

in an environment of rising US interest rates and a strong US dollar, as they rely on global capital flows and positive investor sentiment towards risk.

• Several EM currencies reeled as contagion from the crash of the Turkish lira led to a sharp sell-off. However, there was a strong rebound towards the end of the

quarter as moves to expedite policy responses and countermeasures among various EM economies eased concerns.

• Against this backdrop, EM assets remained on the back foot, underperforming developed markets (DM). DM equities gained ground, with the MSCI World Index

(representing DM equities) rising 5.1% (in US dollars) over the quarter. US equities led the charge, spurred on by robust economic growth, a strong corporate

earnings season and solid employment numbers which all lifted the S&P 500 to record highs. The index rendered a strong return of 7.7% (in US dollars) for the

quarter.


Current Market Risks and Outlook

• If rising trade tensions were to escalate into a global trade war, the impact on global economic prospects would be meaningful. EM countries, with economies which

are particularly dependent on global trade, are likely to be impacted to a greater extent.

• A further risk for EM countries that rely heavily on external funding is the US Fed’s cycle of monetary tightening and reduction in global liquidity. Economies with

significant dollar-denominated sovereign debt positions and large, or widening, current account deficits will likely come under substantial pressure in this

environment.

• Several EM economies have been forced to respond by also tightening monetary policy, in an effort to avert further deterioration in their economies, curb

hyperinflationary conditions and defend their currencies. This will not bode well for growth expectations within these economies.

• Higher international oil prices are an additional headwind for EM economies that are large oil importers, particularly those whose currencies have recently

experienced volatility such as South Africa.

• The SA economy remains plagued by political and policy uncertainty. The World Bank reduced its 2018 growth forecast for South African GDP expansion to 1.0%

from its earlier estimate of 1.4%, noting constrained domestic conditions emanating from a range of factors including the structurally high unemployment levels. The

IMF echoed similar sentiments in its latest downward revision of SA growth forecasts to 0.8% for 2018 from a previous projection of 1.1%, citing the lingering

uncertainty in SA’s business environment as a further threat to the growth prospects. This is likely to also reflect in a dimmer 2018/2019 growth outlook by National

Treasury in the upcoming Medium Term Budget Policy Statement, which will be watched closely following the recent change in the Finance Minister.


4. Investment Portfolio Performance

4.1 Wealth Builder Portfolio

4.1.1 Asset Allocation

The table and chart below compares the effective asset allocation of the Wealth Builder Portfolio to its strategic asset allocation as at 30 September 2018.

0.0% 10.0% 20.0% 30.0% 40.0% 50.0%

Global Bonds

Global Developed World Equities

Global Emerging Market Equities

Global Listed Property

SA Cash

Private Equity: SRI

Private Equity Mez Debt

SA Credit

SA Index Linked Bonds

SA Nominal Bonds

SA Listed Property

SA Equity

Strategic Allocation Actual Allocation

Rebalancing band Position at month-end

Wealth Builder

R’m

Actual Asset

Allocation

Strategic Asset

AllocationLower Upper

Over /

Underweight

Within rebalancing

band?

SA Equity R 683.8 39.8% 42.5% 38.5% 46.5% -2.7% fine - within bands

SA Listed Property R 65.5 3.8% 5.0% 3.0% 7.0% -1.2% fine - within bands

SA Nominal Bonds R 111.7 6.5% 7.0% 5.0% 9.0% -0.5% fine - within bands

SA Index Linked Bonds R 110.0 6.4% 7.0% 5.0% 9.0% -0.6% fine - within bands

SA Credit R 77.3 4.5% 5.0% -0.5% no rebalancing

Private Equity: Mezz Debt R 55.4 3.2% 2.5% 0.7% no rebalancing

Private Equity: SRI R 28.4 1.7% 1.0% 0.7% no rebalancing

SA Cash R 0.3 0.0% 0.0% 0.0% no rebalancing

Global Developed World Equities R 391.1 22.8% 20.0% 17.0% 23.0% 2.8% fine - within bands

Global Emerging Market Equities R 64.2 3.7% 3.0% 1.5% 4.5% 0.7% fine - within bands

Global Listed Property R 54.4 3.2% 3.0% 1.5% 4.5% 0.2% fine - within bands

Global Bonds R 76.2 4.4% 4.0% 2.0% 6.0% 0.4% fine - within bands

Total R 1,718.3 100.0% 100.0%


4.1.2.3 The following table sets out key risk statistics for the Portfolio for the period since inception (1 October 2008):

1 The “tracking error” is the standard deviation of active returns (active return is the portfolio return minus benchmark return). Over long periods a low number indicates that a portfolio behaves similar to the

benchmark.

2 The “information ratio” measures the extent to which the actual Portfolio has outperformed the BMK divided by the “tracking error” – it is therefore a measure of the extra return generated per unit of risk. An

information ratio of 0.4 and higher is regarded as very good.

3 The “variation of return” is a measure of how widely the annual return is dispersed – the lower this measure, the less the risk.

4 The “downside capture” measures the extent to which the manager protects the downside when the BMK delivers a negative return. Over the long term, we would expect the downside to be some 80% to 85% of

negative BMK returns.

5 The “upside capture” measures the extent to which the manager delivers a positive return when the BMK is positive. Over the long term, we would expect the “upside capture” to be some 100% of positive BMK

returns.

Key statistic Wealth Builder Benchmark

Return p.a. since inception 11.6% 12.2%

Excess return p.a. -0.6%

Tracking error to BMK1 2.4%

Information ratio2 -0.3

Variation of return p.a.3 8.9% 8.9%

Downside capture4 95.5%

Upside capture5 95.8%

4.1.2 Portfolio Performance

4.1.2.1 The chart below compares the performance of the Wealth Builder Portfolio to that of its strategic asset allocation benchmark (see Section 2.4) and inflation plus

6% (CPI + 6%) for various measurement periods ended 30 September 2018.

4.1.2.2 The Portfolio’s primary investment objective is to earn a net return that is 6.0% higher than headline inflation over a period of 7 years. The portfolio now has a

10 year history and the primary objective has been met over this period.

3 month YTD 12 month 3 year 5 yearSince

inception

Wealth Builder 0.9% 3.5% 4.9% 7.7% 9.1% 11.6%

WB Benchmark 1.2% 0.2% 4.3% 7.0% 9.6% 12.2%

CPI + 6% 2.6% 8.6% 10.9% 11.3% 11.3% 11.2%

0.0%

4.0%

8.0%

12.0%

16.0%


4.1.2.4 Comments:

• The Wealth Builder Portfolio’s asset allocations were underweight in most domestic assets and correspondingly overweight in international assets

(compared to the strategic asset allocations).

• As at 30 September 2018 the total offshore exposure of the Wealth Builder Portfolio (excluding the small offshore component of the Credit Opportunities

portfolio) was 34.1%. The offshore exposure at the previous quarter end was 34.6%.

• The Wealth Builder Portfolio has outperformed its performance objective, CPI + 6% per annum (11.2%), by a margin of 0.5% per annum over the period

since inception.


4.2 Pension Protector Portfolio


The table and chart below compares the effective asset allocation of the Pension Protector Portfolio to its strategic asset allocation as at 30 September 2018.

0.0% 10.0% 20.0% 30.0% 40.0% 50.0%

Global Developed World Equities

Global Emerging Market Equities

Global Listed Property

SA Cash

Private Equity: SRI

SA Credit

SA Index Linked Bonds

SA Listed Property

SA Equity



Pension Protector

R’m

Actual Asset

Allocation

Strategic Asset


Over /

Underweight

Within rebalancing

band?

SA Equity R 811.5 26.7% 27.5% 24.0% 31.0% -0.8% fine - within bands

SA Listed Property R 120.1 4.0% 5.0% 3.0% 7.0% -1.0% fine - within bands

SA Index Linked Bonds R 1,083.7 35.7% 38.5% 35.5% 41.5% -2.8% fine - within bands

SA Credit R 141.8 4.7% 5.0% -0.3% no rebalancing

Private Equity: SRI R 52.1 1.6% 1.0% 0.6% no rebalancing

SA Cash R 0.4 0.1% 0.0% 0.1% no rebalancing

Global Developed World Equities R 627.7 20.7% 17.5% 14.5% 20.5% 3.2% overweight

Global Emerging Market Equities R 98.1 3.2% 2.5% 1.0% 4.0% 0.7% fine - within bands

Global Listed Property R 99.7 3.3% 3.0% 1.5% 4.5% 0.3% fine - within bands

Total R 3,035.1 100.0% 100.0%


4.2.2.3 The following table sets out key risk statistics for the Portfolio for the period since inception (1 October 2008):


benchmark.







returns.

Key statistic Pension Protector Benchmark








4.2.2 Portfolio performance

4.2.2.1 The chart below compares the performance of the Pension Protector Portfolio to that of its strategic asset allocation benchmark (see section 2.4) and inflation

plus 5% (CPI + 5%) for various measurement periods ended 30 September 2018.

4.2.2.2 The Portfolio’s primary investment objective is to earn a net return that is 5% higher than headline inflation over a period of 5 years. The portfolio has

comfortably met the primary objective over the 10 year period since inception.


inception

Pension Protector 1.0% 2.0% 3.5% 6.9% 8.5% 10.9%

PP Benchmark 1.0% 0.4% 3.5% 6.4% 9.0% 11.2%

CPI + 5% 2.4% 7.8% 9.9% 10.3% 10.3% 10.2%

0.0%

4.0%

8.0%

12.0%


4.2.2.4 Comments:

• Similar to the Wealth Builder Portfolio, the Pension Protector Portfolio’s asset allocations were underweight in domestic assets and correspondingly

overweight in international assets (compared to the strategic asset allocation).

• As at 30 September 2018 the total offshore exposure of the Pension Protector Portfolio as reflected in the table on page 21 (excluding the small offshore

component of the Credit Opportunities portfolio) was 27.2%.

• The Pension Protector Portfolio has outperformed its performance objective, CPI + 5% per annum (10.2%), by a margin of 0.8% per annum over the

period since inception.


4.3 Conservative Portfolio


The table and chart below compares the effective asset allocation of the Conservative Portfolio to its strategic asset allocation as at 30 September 2018.

0.0% 5.0% 10.0% 15.0% 20.0% 25.0% 30.0% 35.0% 40.0%

Coronation

Allan Gray

ABSA + ABAX



Conservative

R’m

Actual Asset

Allocation

Strategic Asset


Over /

Underweight

Within rebalancing

band?

Coronation R 167.6 33.8% 33.3% 30.0% 36.7% 0.5% fine - within bands

Allan Gray R 168.3 34.0% 33.3% 30.0% 36.7% 0.7% fine - within bands

ABSA R 19.9 4.0%33.3% 30.0% 36.7% -1.1% fine - within bands

ABAX R 139.5 28.2%

Total R 495.3 100.0% 100.0%

Legend: Underweight Within bands

Overweight Rebalancing required


4.3.2.3 The following table sets out key risk statistics for the Portfolio for the period since inception (1 December 2010):


benchmark.







returns.

Key statistic Conservative Benchmark









4.3.2.1 The chart below compares the performance of the Conservative Portfolio to that of its strategic asset allocation benchmark (see Section 2.4) and inflation plus

3.5% (CPI + 3.5%) for various measurement periods to 30 September 2018.

4.3.2.2 The Portfolio’s primary investment objective is to earn a net return that is 3.5% higher than headline inflation over a period of 3 years. The portfolio has more

than a 3 year history. It has not met the primary objective over the last 3 and 5-year period but has done so for the period since inception.


inception

Conservative 1.3% 6.0% 7.7% 8.3% 8.4% 9.4%

CP Benchmark 1.9% 2.8% 6.1% 7.9% 9.1% 10.4%

CPI + 3.5% 2.0% 6.7% 8.4% 8.8% 8.8% 9.0%

0.0%

4.0%

8.0%

12.0%


4.3.2.4 Comments:

• The Conservative Portfolio underperformed its benchmark over the since-inception period.

• The Conservative Portfolio has outperformed its performance objective of CPI + 3.5% per annum by a margin of 0.4% per annum over the period since

inception.

4.3.2.5 The following graph shows the 12-month rolling returns of the Conservative Portfolio since inception, against the Conservative Portfolio benchmark. One of the

key result areas for this portfolio is to seek to avoid capital losses over rolling 12-month periods, which has clearly been the case. The median 12-month return

for this Portfolio has been 6.6%.

0.0%

2.0%

4.0%

6.0%

8.0%

10.0%

12.0%

14.0%

16.0%

18.0%

Conservative CP Benchmark


4.4 Shari’ah Portfolio


The following chart compares the effective asset allocation of the Shari’ah Portfolio to its strategic asset allocation as at 30 September 2018.

0.0% 10.0% 20.0% 30.0% 40.0% 50.0% 60.0%

SA Equity

SA Bonds

SA Cash and Money Market

SA Property

SA Commodities

Foreign Equity

Foreign Other

Benchmark Fund


4.4.2.3 The risk statistics shown for this portfolio below are only based on a 62-month history of returns:

1 The “tracking error” is the standard deviation of active returns (active return is the portfolio return minus benchmark return). Over long periods a low number indicates that a portfolio behaves similar to the benchmark.

2 The “information ratio” measures the extent to which the actual Portfolio has outperformed the BMK divided by the “tracking error” – it is therefore a measure of the extra return generated per unit of risk. An information ratio of 0.4

and higher is regarded as very good.


4 The “downside capture” measures the extent to which the manager protects the downside when the BMK delivers a negative return. Over the long term, we would expect the downside to be some 80% to 85% of negative BMK

returns.

5 The “upside capture” measures the extent to which the manager delivers a positive return when the BMK is positive. Over the long term, we would expect the “upside capture” to be some 100% of positive BMK returns.

Key statistic Shari'ah Benchmark


Excess return p.a. 2.5%


Information ratio2 0.4





4.4.2.1 The chart below compares the performance of the Shari’ah Portfolio (inception date of May 2013) to that of its strategic asset allocation benchmark (see

Section 2.4) and inflation-related objective (CPI plus 4% p.a. until 31 July 2016, and CPI + 5% p.a. thereafter).

4.4.2.2 The Portfolio’s primary investment objective is to earn a net return that is 5% higher than headline inflation over a period of 5 years. Although the portfolio has

outperformed its benchmark by a large margin over 5 years, the portfolio has failed to meet its performance objective.

3 month YTD 12 month 3 yearSince

inception

Shari'ah 1.6% 4.1% 4.2% 6.7% 5.1%

Shari'ah Benchmark 2.3% 6.3% 1.6% 2.6% 2.6%

CPI + 5% 2.4% 7.8% 9.9% 10.3% 9.8%

0.0%

4.0%

8.0%

12.0%


5.1 SA Equity Managers

5.1.1 Coronation

Benchmark: Capped SWIX (SWIX prior to 1 April 2017)

Objective: Benchmark + 3.5%

Objective period: 5 years

Inception date: Jan 2011






returns.


6 The “batting average” measures the number of times (as a percentage) a manager outperforms its benchmark over a specified measurement period.

5. Performance Analysis - Individual Investment ManagersPlease note that the manager returns are quoted net of fees and determined on a money weighted rate of return basis (i.e. impacted by cash flows over the periods considered). These

returns may therefore differ from the returns reported by the individual managers which are typically on a gross of fees, time weighted rate of return basis (i.e. not impacted by cash flows).

The following sections set out the performance and key risk statistics of individual investment managers for various measurement periods ended 30 September 2018.


inception

Coronation -3.5% -6.9% -1.8% 4.0% 4.8% 10.0%

Benchmark -1.7% -7.4% 0.4% 4.5% 7.4% 10.6%

Objective -0.8% -5.0% 3.9% 8.0% 10.9% 14.1%

-10.0%

-5.0%

0.0%

5.0%

10.0%

15.0%

20.0%

Key statistic Coronation Benchmark


Excess return -0.6%






Batting average6 45.2%

Market value R'm R 223.0

% of total fund 4.2%


Key statistic Kagiso Benchmark


Excess return -2.4%














returns.




inception

Kagiso -0.4% -4.9% -1.3% 3.7% 4.2% 8.8%

Benchmark -1.7% -7.4% 0.4% 4.5% 7.4% 11.2%

Objective -1.4% -6.7% 1.4% 5.5% 8.4% 12.2%

-10.0%

-5.0%

0.0%

5.0%

10.0%

15.0%5.1.2 Kagiso




Inception date: June 2012

5.1.3 Prudential





Key statistic Prudential Benchmark


Excess return 2.1%










inception

Prudential -2.7% -4.1% 5.8% 7.2% 9.1% 13.3%

Benchmark -1.7% -7.4% 0.4% 4.5% 7.4% 11.2%

Objective -1.0% -5.7% 2.9% 7.0% 9.9% 13.7%

-10.0%

-5.0%

0.0%

5.0%

10.0%

15.0%


5.1.4 Visio




Inception date: April 2015

Key statistic Visio Benchmark


Excess return -1.7%














returns.



3 month YTD 12 month Since inception

Visio -1.8% -3.1% -0.3% 0.9%

Benchmark -1.7% -7.4% 0.4% 2.6%

Objective -0.8% -5.0% 3.9% 6.1%

-10.0%

-8.0%

-6.0%

-4.0%

-2.0%

0.0%

2.0%

4.0%

6.0%

8.0%

5.1.5 Steyn Capital

Benchmark: Capped SWIX

Objective: Benchmark + 3%


Inception date: September 2017

Steyn Capital took over the management of the ABSA portfolio on 14 August 2017. Returns are monitored from 1 September 2017. This portfolio has lagged

the benchmark significantly since inception, but has only been in place for 13 months.

Steyn Capital Return Benchmark Active Return over Benchmark

July 2018 -0.4% 1.4% -1.8%

August 2018 1.4% 1.2% 0.1%

September 2018 -1.6% -4.2% 2.6%

3-month period to 30 September 2018 -0.6% -1.7% 1.0%

Since inception (01/09/2017) -9.5% -1.4% -8.1%


5.2 SA Bond Managers

5.2.1 Futuregrowth Development Bond

Benchmark: ALBI

Objective: ALBI + 1.25%



Key statisticFuturegrowth Dev

BondBenchmark


Excess return 2.0%









5.2.2 Futuregrowth Yield

Benchmark: ALBI

Objective: ALBI + 1.25%



Key statistic Futuregrowth Yield Benchmark


Excess return 2.2%










2 The “information ratio” measures the extent to which the actual Portfolio has outperformed the BMK divided by the “tracking error” – it is therefore a measure of the extra return generated per unit of risk. An information ratio of 0.4 and higher is

regarded as very good.


4 The “downside capture” measures the extent to which the manager protects the downside when the BMK delivers a negative return. Over the long term, we would expect the downside to be some 80% to 85% of negative BMK returns.




inception

FG Dev Bond 1.1% 6.5% 9.4% 9.2% 8.9% 11.3%

Benchmark 0.8% 4.8% 7.1% 7.7% 7.2% 9.3%

Objective 1.1% 5.8% 8.4% 8.9% 8.4% 10.6%

0.0%

2.0%

4.0%

6.0%

8.0%

10.0%

12.0%


inception

FG Yield 1.0% 6.7% 9.7% 9.5% 9.0% 11.5%

Benchmark 0.8% 4.8% 7.1% 7.7% 7.2% 9.3%

Objective 1.1% 5.8% 8.4% 8.9% 8.4% 10.6%

0.0%

2.0%

4.0%

6.0%

8.0%

10.0%

12.0%

14.0%


5.2.3 Aluwani Passive Index Linked

Benchmark: R202

Objective: R202

Objective period: Ongoing

Inception date: Aug 2008

Key statistic Aluwani IL Benchmark


Excess return -0.1%














returns.




inception

Aluwani IL -0.2% -1.2% -0.5% 2.3% 5.4% 6.9%

Benchmark -0.2% -1.0% -0.3% 2.4% 5.5% 7.1%

Objective -0.2% -1.0% -0.3% 2.4% 5.5% 7.1%

-2.0%-1.0%0.0%

1.0%2.0%

3.0%4.0%5.0%6.0%

7.0%8.0%


5.2.4 Old Mutual Pensioner LHP

Benchmark: LHP Ref Portfolio consisting of a blend of ILB’s and cash

Objective: LHP Ref Portfolio+0.5% p.a


Inception date: Apr 2018

5.2.5 Futuregrowth IDILBF Pensioners

Benchmark: BILBI 15+ YEAR

Objective: BILBI


Inception date: May 2018






returns.



Old Mutual Pensioner LHP Return BenchmarkActive Return over

Benchmark

July 20180.2% 0.1% 0.1%

August 2018-0.2% -0.1% -0.1%

September 20180.4% 0.4% 0.0%

3-month period to 30 September 20180.4% 0.4% 0.0%

Futuregrowth IDILBF

PensionersReturn Benchmark Active Return over Benchmark

July 20180.2% 0.4% -0.2%

August 2018-0.3% 0.4% -0.6%

September 20180.3% 0.4% -0.1%

3-month period to 30

September 2018 0.2% 1.2% -0.9%


5.2.6 Futuregrowth IDILBF Actives

Benchmark: BILBI 15+ YEAR

Objective: BILBI+1%


Inception date: May 2018






returns.



Futuregrowth IDILBF

ActivesReturn Benchmark Active Return over Benchmark

July 20180.3% 0.4% -0.1%

August 2018-0.4% 0.4%

-0.8%

September 2018 0.3% 0.4% -0.1%

3-month period to 30

September 2018 0.1% 1.2% -1.1%


5.2.7 Investec Credit Opps

Benchmark: STEFI 3-month

Objective: STEFI 3-month + 3.7%


Inception date: Feb 2011

Key statisticInvestec Credit

OppsBenchmark


Excess return 3.4%












returns.




inception

Investec Credit Opps 3.1% 7.5% 10.2% 11.1% 9.5% 9.5%

Benchmark 1.5% 5.1% 6.9% 7.0% 6.5% 6.1%

Objective 2.5% 8.0% 10.6% 10.7% 10.2% 9.8%

0.0%

2.0%

4.0%

6.0%

8.0%

10.0%

12.0%


5.3.2 Sesfikile Listed Property

Benchmark: J253

Objective: J253 + 2%










3 month YTD12

month3 year 5 year

Sinceinception

Investec Listed Prop -1.4% -19.4% -12.9% -0.2% 8.6% 11.9%

Benchmark -1.0% -22.2% -15.7% -1.4% 6.8% 10.7%

Objective -0.5% -21.0% -13.7% 0.6% 8.8% 12.7%

-25.0%

-20.0%

-15.0%

-10.0%

-5.0%

0.0%

5.0%

10.0%

15.0%

5.3 SA Listed Property

5.3.1 Investec Listed Property

Benchmark: J253

Objective: J253 + 2%




Sesfikile -0.4% -16.5% -10.0% 2.7%

Benchmark -1.0% -22.2% -15.7% -1.0%

Objective -0.5% -21.0% -13.7% 1.0%

-25.0%

-20.0%

-15.0%

-10.0%

-5.0%

0.0%

5.0%

Key statistic Sesfikile Listed Prop Benchmark

Return p.a. since inception 2.7% -1.0%

Excess return 3.7%









Key statistic Investec Listed Prop Benchmark


Excess return 1.2%










5.4 SA Cash

5.4.1 Investec Money Market Fund

Benchmark: STEFI

Objective: STEFI + 0.25%

Objective period: 1 year

Inception date: Dec 2012

Key statistic Investec Money Benchmark


Excess return 1.0%



5.5 Private Equity: SRI

5.5.1 Old Mutual Renewable Energy Sub-Fund

Benchmark: CPI + 7%

Objective: CPI + 7%



Key statistic Old Mutual RESF Benchmark


Excess return 7.1%




inception

Investec Money 2.1% 6.6% 8.8% 8.6% 7.9% 7.6%

Benchmark 1.8% 5.4% 7.3% 7.3% 6.8% 6.6%

Objective 1.8% 5.6% 7.5% 7.6% 7.0% 6.8%

0.0%

1.0%

2.0%

3.0%

4.0%

5.0%

6.0%

7.0%

8.0%

9.0%

10.0%


inception

OM RESF -1.6% 2.7% 15.2% 14.4% 18.4% 19.6%

Benchmark 2.9% 9.3% 11.9% 12.3% 12.3% 12.5%

Objective 2.9% 9.3% 11.9% 12.3% 12.3% 12.5%

-5.0%

0.0%

5.0%

10.0%

15.0%

20.0%

25.0%


5.6 Shari’ah Compliant Portfolio

5.6.1 27Four Shari’ah Wealth Builder

Benchmark: Shari’ah Benchmark

Objective: CPI + 5% over rolling 5-year periods




Shari'ah 1.6% 4.1% 4.2% 5.1%

Benchmark 2.3% 6.3% 1.6% 2.6%

Objective 2.4% 7.8% 9.9% 9.8%

0.0%

2.0%

4.0%

6.0%

8.0%

10.0%

12.0%

Key statistic Shari’ah Benchmark


Excess return 2.5%








5.7 International Equity (ZAR)

5.7.1 Hosking (ZAR)

Benchmark: MSCI All Country

Objective: MSCI All Country + 4%



Key statistic Hosking (ZAR) Benchmark


Excess return -1.5%







inception

Hosking (ZAR) 5.3% 13.2% 10.1% 12.3% 13.8%

Benchmark 7.8% 19.2% 15.6% 14.9% 15.3%

Objective 8.8% 22.7% 19.6% 18.9% 19.3%

0.0%

5.0%

10.0%

15.0%

20.0%

25.0%


inception

Contrarius (ZAR) -1.9% 24.7% 26.7% 26.3% 19.5% 24.1%

Benchmark 7.8% 19.2% 15.6% 14.9% 17.0% 20.2%

Objective 8.6% 21.3% 19.6% 18.9% 21.0% 24.2%

-5.0%

0.0%

5.0%

10.0%

15.0%

20.0%

25.0%

30.0%

5.7.2 Contrarius (ZAR)





Key statistic Contrarius (ZAR) Benchmark


Excess return 3.9%











5.7.3 Veritas (via Sygnia) (ZAR)





Key statistic Veritas (ZAR) Benchmark


Excess return -0.1%







inception

Veritas (ZAR) 9.0% 21.2% 12.6% 13.5% 16.8% 20.0%

Benchmark 7.8% 19.2% 15.6% 14.9% 17.0% 20.1%

Objective 8.8% 22.7% 19.6% 18.9% 21.0% 24.9%

0.0%

5.0%

10.0%

15.0%

20.0%

25.0%

30.0%

5.7.4 Ardevora (ZAR)







Polaris (ZAR) 4.3% 14.2% 10.6% 14.5%

Benchmark 7.8% 19.2% 15.6% 15.2%

Objective 8.8% 22.7% 19.6% 19.7%

0.0%

5.0%

10.0%

15.0%

20.0%

25.0%5.7.5 Polaris (ZAR)





Key statistic Polaris (ZAR) Benchmark


Excess return -0.7%






Key statistic Ardevora (ZAR) Benchmark


Excess return 1.0%











Ardevora (ZAR) 5.6% 21.1% 17.6% 16.2%

Benchmark 7.8% 19.2% 15.6% 15.2%

Objective 8.8% 22.7% 19.6% 19.7%

0.0%

5.0%

10.0%

15.0%

20.0%

25.0%


5.7.6 EM Equity Blend (via Sygnia) (ZAR)

Benchmark: MSCI Emerging Markets

Objective: MSCI EM + 2%


Inception date: Jul 2018

5.8 INTERNATIONAL PROPERTY

5.8.1 Resolution (via Sygnia) (ZAR)

Benchmark: FTSE EPRA/NAREIT

Objective: FTSE EPRA/NAREIT + 2%


Inception date: July 2018






returns.



Emerging Market Equity Blend

(via Sygnia)Return Benchmark

Active Return over

Benchmark

August 2018 8.8% 8.9% -0.1%

September 2018 -6.7% -3.9% -2.8%

Resolution (via Sygnia) Return BenchmarkActive Return over

Benchmark

August 201817.3% 13.0% 4.3%

September 2018-8.6% -5.4% -3.2%







inception

Colchester (ZAR) 0.3% 9.0% -0.4% 2.4% 6.9% 12.1%

Benchmark 1.5% 11.3% 3.1% 2.2% 7.5% 11.3%

Objective 1.9% 12.6% 4.6% 3.7% 9.0% 12.8%

-2.0%

0.0%

2.0%

4.0%

6.0%

8.0%

10.0%

12.0%

14.0%5.9 International Bonds (ZAR)

5.9.1 Colchester (ZAR)

Benchmark: JP Morgan Gov Bond

Objective: JP Morgan Gov Bond + 1.5%



Key statistic Colchester (ZAR) Benchmark


Excess return 0.8%














5.10 International Equity (USD)

5.10.1 Hosking (USD)

Benchmark: MSCI All Country (USD)

Objective: MSCI All Country (USD) + 4%



5.10.2 Contrarius (USD)





Key statistic Contrarius (USD) Benchmark


Excess return 3.5%







Market value $'m $12.6


Key statistic Hosking (USD) Benchmark


Excess return -1.6%










inception

Hosking (USD) 1.6% -1.4% 4.7% 11.1% 6.0%

Benchmark 4.4% 4.3% 10.3% 14.0% 7.6%

Objective 5.4% 7.4% 14.3% 18.0% 11.6%

-5.0%

0.0%

5.0%

10.0%

15.0%

20.0%


inception

Contrarius (USD) -5.0% 9.1% 20.8% 25.3% 11.7% 12.5%

Benchmark 4.4% 4.3% 10.3% 14.0% 9.2% 9.0%

Objective 5.4% 7.4% 14.3% 18.0% 13.2% 13.0%

-10.0%

-5.0%

0.0%

5.0%

10.0%

15.0%

20.0%

25.0%

30.0%

47© 2018 Willis Towers Watson. All rights reserved. Proprietary and Confidential. For Willis Towers Watson and Willis Towers Watson client use only.






returns.



5.10.3 Veritas (via Sygnia) (USD)





Key statistic Veritas (USD) Benchmark


Excess return 0.5%










inception

Veritas (USD) 6.8% 7.3% 8.8% 13.6% 9.7% 11.4%

Benchmark 4.4% 4.3% 10.3% 14.0% 9.2% 10.9%

Objective 5.4% 7.4% 14.3% 18.0% 13.2% 14.9%

0.0%

2.0%

4.0%

6.0%

8.0%

10.0%

12.0%

14.0%

16.0%

18.0%

20.0%

5.10.4 Ardevora (USD)


Objective: MSCI All Country (USD)+ 4%





Ardevora (USD) 3.2% 6.7% 13.1% 15.6%

Benchmark 4.4% 4.3% 10.3% 14.1%

Objective 5.4% 7.4% 14.3% 18.6%

0.0%

2.0%

4.0%

6.0%

8.0%

10.0%

12.0%

14.0%

16.0%

18.0%

20.0%

5.10.5 Polaris (USD)






Polaris (USD) 1.7% 0.6% 6.3% 13.8%

Benchmark 4.4% 4.3% 10.3% 14.1%

Objective 5.4% 7.4% 14.3% 18.6%

0.0%

2.0%

4.0%

6.0%

8.0%

10.0%

12.0%

14.0%

16.0%

18.0%

20.0%

Key statistic Polaris (USD) Benchmark


Excess return -0.3%









Key statistic Ardevora (USD) Benchmark


Excess return 1.5%














returns.




5.10.6 EM Equity Blend (via Sygnia) (USD)

Benchmark: MSCI Emerging Markets

Objective: MSCI EM + 2%


Inception date: Jul 2018

5.11 INTERNATIONAL PROPERTY

5.11.1 Resolution (via Sygnia) (USD)

Benchmark: FTSE EPRA/NAREIT

Objective: FTSE EPRA/NAREIT + 2%


Inception date: July 2018






returns.



Emerging Market Equity Blend (via Sygnia) Return BenchmarkActive Return over

Benchmark

August 2018-2.8% -2.7% -0.1%

September 2018-4.2% -0.5% -3.7%

Resolution (via Sygnia) Return Benchmark Active Return over Benchmark

August 20184.9% 1.0% 3.9%

September 2018-5.4% -2.0% -3.4%







returns.



5.12 International Bonds (USD)

5.12.1 Colchester (USD)

Benchmark: JP Morgan Gov Bond (USD)

Objective: JP Morgan Gov Bond (USD) + 1.5%



Key statistic Colchester (USD) Benchmark


Excess return 1.1%







Market value R'm $5.4



inception

Colchester (USD) -1.1% -2.3% -2.6% 2.7% 0.5% 2.0%

Benchmark -1.7% -2.6% -1.6% 1.5% 0.5% 0.9%

Objective -1.3% -1.5% -0.1% 3.0% 2.0% 2.4%

-3.0%

-2.0%

-1.0%

0.0%

1.0%

2.0%

3.0%

4.0%







5.13 Conservative Portfolio Managers

5.13.1 Coronation Inflation Plus (previously Absolute)

Benchmark: CP Benchmark

Objective: CPI + 3.5%



Key statisticCoronation Inflation

PlusBenchmark


Excess return -0.7%







Key statistic Allan Gray Benchmark


Excess return -0.5%







3 month YTD12

month3 year 5 year

Sinceinception

Coronation Absolute 1.0% 3.9% 4.1% 6.6% 7.1% 9.6%

Benchmark 1.9% 2.8% 6.1% 7.9% 9.1% 10.3%

Objective 2.0% 6.7% 8.4% 8.8% 8.8% 9.1%

0.0%

2.0%

4.0%

6.0%

8.0%

10.0%

12.0%


inception

Allan Gray 1.3% 7.2% 9.4% 10.2% 9.5% 10.2%

Benchmark 1.9% 2.8% 6.1% 7.9% 9.1% 10.6%

Objective 2.4% 7.8% 9.9% 10.3% 10.3% 10.4%

0.0%

2.0%

4.0%

6.0%

8.0%

10.0%

12.0%5.13.2 Allan Gray Global Absolute (previously Stable)











5.13.3 ABAX Absolute





ABAX Investments was appointed in December 2017 to manage the ABSA portfolio that is in the process of being terminated. Returns are monitored from

1 January 2018. In line with the Trustees decision, this portfolio was switched from the Domestic Absolute Product to the Global Absolute Product at the end of

May 2018.

ABAX Absolute (ZAR) Return Benchmark Active Return over Benchmark

July 2018 0.1% -0.1% 0.3%

August 20182.9% 3.5% -0.7%

September 2018 -0.9% -1.4% 0.6%

3-month period to 30 September 2018 2.1% 1.9% 0.2%

Since inception (01/01/2018) 3.0% 2.8% 0.2%

5.13.4 Absa Absolute

This portfolio has been terminated, with the exception of certain legacy holdings (refer to page 7 above)


6. Risk and return profile

6.1 The chart below shows the risk/return profile (where “risk” is measured as the volatility of returns) of the Wealth Builder and Pension Protector Portfolios over

the period since inception to 30 September 2018 relative to each portfolio’s benchmark. The Conservative Portfolio’s risk/return profile is shown from

1 December 2010.

6.2 The Pension Protector Portfolio has delivered a slightly lower return at a similar level of risk as its benchmark over the period since inception. The

Wealth Builder Portfolio delivered a lower return at a lower level of risk as its corresponding benchmark, and the Conservative Portfolio also

delivered a lower return at a slightly higher level of risk than its respective benchmark over the period since inception.

Wealth Builder

ConservativePension Protector

Conservative BMKPension Protector BMK

Wealth Builder BMK

0.0%

2.0%

4.0%

6.0%

8.0%

10.0%

12.0%

14.0%

0.0% 1.0% 2.0% 3.0% 4.0% 5.0% 6.0% 7.0% 8.0% 9.0% 10.0%

Retu

rn

Risk

7.1 The charts below shows the change in value of R100 invested on 1 October 2008 (inception date) to 30 September 2018 in the Wealth Builder and Pension

Protector portfolios and from the period 1 December 2010 on the Conservative Portfolio, compared to each portfolio’s performance objectives and inflation.

Please note that these illustrations are net of fees.

Wealth Builder Portfolio


Pension Protector Portfolio

7. Performance relative to objective and inflation

60.0

110.0

160.0

210.0

260.0

310.0

360.0

Wealth Builder WB Benchmark CPI + 6%

70.0

120.0

170.0

220.0

270.0

320.0

Pension Protector PP Benchmark CPI + 5%


Comments:

• In the Wealth Builder Portfolio, R100 accumulated to R300.83, compared to the performance objective (CPI+6%) value of R295.95 and the WB Benchmark value of

R318.49.

• In the Pension Protector Portfolio, R100 accumulated to R282.36, compared to the performance objective (CPI+5%) value of R290.58, and the PP Benchmark value

of R218.86.

• In the Conservative Portfolio, R100 accumulated to R202.51, compared to the performance objective (CPI+3.5%) value of R199.35, and the CP Benchmark value of

R218.86.

Conservative Portfolio

100.0

120.0

140.0

160.0

180.0

200.0

220.0

240.0

Conservative CP Benchmark CPI + 3.5%


7.2 The charts below shows the rolling performance on a 7-year basis (Wealth Builder ), 5-year basis (Pension Protector) and 3-year basis (Conservative) against

the respective rolling inflation figures and objectives.

Wealth Builder Portfolio

Pension Protector Portfolio

0.0%

2.0%

4.0%

6.0%

8.0%

10.0%

12.0%

14.0%

16.0%

18.0%

Se

p-1

5

Oct-

15

Nov-1

5

Dec-1

5

Jan

-16

Fe

b-1

6

Ma

r-1

6

Ap

r-16

Ma

y-1

6

Jun

-16

Jul-

16

Au

g-1

6

Se

p-1

6

Oct-

16

Nov-1

6

Dec-1

6

Jan

-17

Fe

b-1

7

Ma

r-1

7

Ap

r-17

Ma

y-1

7

Jun

-17

Jul-

17

Au

g-1

7

Se

p-1

7

Oct-

17

Nov-1

7

Dec-1

7

Jan

-18

Fe

b-1

8

Ma

r-1

8

Ap

r-18

Ma

y-1

8

Jun

-18

Jul-

18

Au

g-1

8

Se

p-1

8

Wealth Builder rolling 7 year CPI rolling 7 year CPI + 6% rolling 7 year

0.0%2.0%4.0%6.0%8.0%

10.0%12.0%14.0%16.0%18.0%20.0%

Se

p-1

3

Nov-1

3

Jan

-14

Ma

r-1

4

Ma

y-1

4

Jul-

14

Se

p-1

4

Nov-1

4

Jan

-15

Ma

r-1

5

Ma

y-1

5

Jul-

15

Se

p-1

5

Nov-1

5

Jan

-16

Ma

r-1

6

Ma

y-1

6

Jul-

16

Se

p-1

6

Nov-1

6

Jan

-17

Ma

r-1

7

Ma

y-1

7

Jul-

17

Se

p-1

7

Nov-1

7

Jan

-18

Ma

r-1

8

Ma

y-1

8

Jul-

18

Se

p-1

8

Pension Protector rolling 5 year CPI rolling 5 year CPI + 5% rolling 5 year


Conservative Portfolio

0.0%

2.0%

4.0%

6.0%

8.0%

10.0%

12.0%

14.0%

Conservative rolling 3 year CPI rolling 3 year CPI + 3.5% rolling 3 year


Comments

• For comparative purposes, the Wealth Builder Portfolio has achieved an annualised return of 9.1% over the 5 year period to 30 September 2018.

• The Pension Protector Portfolio has a lower risk profile but has also fared well on the peer group basis, beating the median manager over the last 5 years.

8. Comparative Peer Review

8.1 The results of the Willis Towers Watson Full Discretion Industry Median survey for Global Balanced Portfolios (net of a 0.75% p.a. fee adjustment) are shown in

the table below for the 12 largest managers over the relevant reporting periods to 30 September 2018, ordered on the “5 year” figures.

ManagerMarket Value

R’m3 months Rank 12 months Rank 3 years Rank 5 years Rank

Investec Segregated Full Discretion 73,261 1.4% 6 5.8% 4 7.1% 6 10.0% 1

Prudential Balanced 10,634 1.8% 4 7.7% 1 8.8% 3 9.5% 2

Allan Gray Global Balanced Composite 61,573 0.5% 10 6.3% 2 9.5% 1 9.4% 3

Wealth Builder 1,718 0.9% 8 4.9% 8 7.7% 4 9.1% 4

Pension Protector 3,035 1.0% 7 3.5% 9 6.9% 8 8.5% 5

OMIG MacroSolutions (Segregated

Full Discretion) 4,385 2.0% 3 5.6% 5 7.0% 7 8.4% 6

Coronation Full Discretion 23,189 -0.5% 13 2.6% 11 6.8% 9 8.2% 7

SIM Unique 18,609 -0.9% 14 0.9% 14 6.3% 10 7.5% 8

Oasis Full Discretion 953 2.0% 2 6.2% 3 5.8% 11 7.3% 9

Kagiso Global Balanced 1,278 2.1% 1 3.3% 10 9.4% 2 7.2% 10

Foord Global Balanced 43,481 0.5% 11 1.2% 13 4.9% 12 6.9% 11

STANLIB Full Discretion 1,379 1.6% 5 5.0% 7 4.6% 13 6.6% 12

Prescient Global Balanced 162 0.3% 12 2.5% 12 3.6% 14 6.0% 13

Cadiz Global Balanced 441 0.8% 9 5.1% 6 7.6% 5 5.9% 14

Median 1.1% 5.0% 6.9% 7.4%

Inflation 1.1% 4.9% 5.3% 5.3%


8.2 The table below sets out a selection of managers appearing in the Willis Towers Watson Specialist Data (Absolute Return) survey as at 30 September 2018.

The managers selected have a performance history of at least 5 years. The performance figures for the managers are net of an estimated 0.75% p.a. fee

adjustment and have been ordered on the 3-year figures.

Manager RegionMarket Value

R’0003 months Rank 12 months Rank 3 years Rank 5 years Rank

Allan Gray Life Domestic Absolute

portfolioDomestic

1,526,078 1.8% 17 6.7% 19 10.9% 1 10.3% 1

Aylett Prescient QI Hedge Fund Global 86,888 -0.6% 50 6.8% 16 10.1% 2 8.4% 11

Allan Gray Life Global Stable Global 7,073,010 1.7% 21 8.9% 4 9.9% 3 9.2% 3

Allan Gray Life Domestic Stable

PortfolioDomestic

1,548,504 1.2% 30 9.3% 3 9.9% 4 9.1% 6

PSG Stable Fund Global 4,740,364 2.5% 4 8.6% 5 9.8% 5 9.1% 5

Taquanta Absolute Global 296,313 2.6% 2 9.5% 2 9.7% 6 7.1% 35

Cadiz Absolute Yield Domestic 598,293 2.3% 6 10.5% 1 9.3% 7 8.1% 18

Abax Absolute Return Fund Global 1,542,346 2.2% 8 7.3% 12 8.5% 8 9.4% 2

Kagiso Protector Fund Domestic 98,671 2.6% 3 4.2% 46 8.5% 9 7.1% 34

Altron Conservative 495,275 1.3% 27 7.7% 10 8.3% 10 8.4% 12

Allan Gray Life Global Absolute Global 4,032,308 1.2% 28 6.5% 20 8.3% 11 8.4% 13

SIM CPI + 5% Global Global 22,729,247 2.0% 11 6.0% 24 7.9% 12 8.9% 8

SIM CPI + 6% Global Global 42,662 1.6% 22 5.4% 31 7.9% 13 9.2% 4

Investec Opportunity Global 50,902,838 3.6% 1 7.9% 7 7.9% 14 8.9% 7

SIM CPI + 3% Global Global 806,265 1.9% 12 5.7% 27 7.8% 15 8.6% 10

Old Mutual Multi-Managers

Inflation Plus 1-3% Domestic 401,723 1.1% 33 4.0% 47 7.8% 16 8.6% 9

SIM CPI + 3% Domestic 1,560,045 1.1% 31 5.5% 30 7.7% 17 7.8% 25

Sasfin BCI Stable Fund Global 212,845 1.7% 20 7.5% 11 7.6% 18 8.4% 15

Balondolozi Absolute Return Domestic 749,026 0.6% 37 7.2% 14 7.4% 19 6.8% 40

SIM CPI+5% Domestic 892,987 0.5% 38 5.0% 34 7.4% 20 7.9% 22

Institutional Absolute Composite Global 912,452 2.1% 10 7.1% 15 7.3% 21 6.3% 46

SMM Cautious Absolute Fund Global 3,826 2.3% 7 5.9% 25 7.2% 22 8.3% 16

SIM CPI+6% Domestic 839,028 0.0% 45 4.2% 45 7.1% 23 8.0% 21

JM BUSHA REAL RETURN FUNDDomestic 112,216 0.3% 41 7.8% 9 7.0% 24 5.4% 52

Alexander Forbes Investments

Real Return Focus Global 4,714,110 1.5% 24 6.5% 21 6.8% 25 7.6% 27

Coronation Inflation Plus Global 3,905,098 1.1% 34 5.1% 33 6.8% 26 7.6% 26

Coronation Absolute Fund Global 3,278,878 0.5% 39 3.7% 49 6.7% 27 7.3% 33


Absolute Defensive Fund Global 931,276 1.8% 18 4.9% 35 6.7% 28 8.1% 17

VFM Global Absolute Return

CPI+3%Domestic

87,127 2.1% 9 7.9% 8 6.6% 29 7.9% 23


Manager RegionMarket Value



Absolute Balanced FundGlobal

261,070 1.2% 29 4.5% 43 6.6% 30 8.0% 20

Momentum Investments Real

ReturnDomestic

602,876 1.6% 23 7.2% 13 6.5% 31 6.7% 41

JM BUSHA Absolute Aggressive Domestic 1,482,127 0.4% 40 6.7% 18 6.5% 32 6.5% 43


Absolute Cautious Fund Domestic 184,165 1.8% 16 5.1% 32 6.4% 33 7.5% 31

NGI Bravata Worldwide Flex Fund Global 952,849 2.3% 5 4.3% 44 6.4% 34 8.4% 14

Prudential Real Return Plus 6% Domestic 2,519,113 -1.4% 53 4.5% 42 6.4% 35 8.0% 19

ABSA Asset Management

Absolute Domestic CPI + 4%Domestic

4,503,403 1.5% 26 6.8% 17 6.2% 36 6.9% 37


Real Return Focus LocalDomestic

7,303,061 0.6% 36 5.9% 26 6.2% 37 6.9% 38

VFM Global Absolute Return

CPI+5%Global

2,365,058 1.9% 13 6.2% 22 6.2% 38 7.6% 28

OMIG Wealth Defender Capability Global 6,652,915 1.9% 14 4.7% 39 6.0% 39 7.5% 30

Prudential Domestic Real Return

Plus 5%Domestic

1,931,135 -1.0% 51 3.5% 50 5.8% 40 7.4% 32

VFM Absolute Return CPI+7% Global 380,262 1.7% 19 8.1% 6 5.8% 41 7.9% 24


Stable Focus Global 3,517,100 1.5% 25 6.1% 23 5.7% 42 6.3% 45

VFM Domestic Absolute Return

CPI+5%Domestic

1,587,407 1.1% 32 5.7% 28 5.7% 43 6.9% 39

Prescient Positive Return

QuantPlus Domestic 3,022,646 0.3% 42 5.6% 29 5.7% 44 6.0% 48

Momentum Investments Absolute

Strategies Domestic 1,330,441 -0.3% 48 4.9% 37 5.6% 45 5.9% 49

JM BUSHA Absolute All Class Domestic 202,991 0.3% 43 4.9% 36 5.4% 46 6.3% 47

OMIG Capital Builder Global 1,771,335 -0.3% 47 4.5% 41 5.4% 47 5.7% 50

Argon Absolute Return Fund Domestic 117,684 0.7% 35 3.4% 51 5.3% 48 7.6% 29

VFM Domestic Absolute Return

CPI+4%Domestic

190,435 -0.3% 49 3.9% 48 4.9% 49 6.4% 44

ABSA Asset Management

Absolute Global CPI + 4%Global

8,231,207 1.8% 15 4.6% 40 4.9% 50 7.0% 36

Coronation Absolute Domestic Domestic 3,468,757 -1.1% 52 1.2% 53 4.6% 51 5.4% 53

Foord Absolute Return Global 223,267 0.0% 46 0.6% 54 4.3% 52 6.6% 42

VFM Absolute Return CPI+6% Domestic 1,707,131 0.1% 44 1.7% 52 3.9% 53 5.5% 51

Sentio Absolute Return Fund Domestic 2,106,547 -1.4% 54 4.8% 38 2.5% 54 5.2% 54

Median 1.2% 5.7% 6.7% 7.6%

Inflation 1.1% 4.9% 5.3% 5.3%


ManagerMarket Value


Element Islamic Global Equity 79,736 5.7% 2 11.9% 1 7.8% 6 12.9% 1

Oasis Crescent International Feeder 1,898,930 7.4% 1 2.7% 17 4.8% 15 9.8% 2

OMIG Albaraka Balanced 2,488,476 3.0% 7 6.2% 8 7.7% 7 8.0% 3

OMIG Albaraka Equity Fund 2,274,102 3.1% 6 4.5% 11 7.7% 8 8.0% 4

OASIS Crescent Balanced Stable FoF 711,903 2.1% 15 6.7% 4 6.8% 12 7.7% 5

Kagiso Islamic Equity Fund 813,486 2.8% 8 6.3% 7 12.3% 1 7.5% 6

Kagiso Islamic Balanced 1,256,870 2.6% 10 6.0% 9 9.6% 3 7.0% 7

OASIS Crescent Balanced Progressive

FoF 1,572,887 2.1% 14 6.7% 5 6.9% 11 6.9% 8

OASIS Crescent Balanced High Equity

FoF 177,032 2.4% 11 7.1% 2 7.4% 10 6.9% 9

27four Shari'ah Wealth Builder Fund 364,126 1.6% 17 4.3% 13 4.8% 16 6.7% 10

27four Shari'ah Multi-Managed

Balanced Fund 630,066 1.9% 16 4.4% 12 5.0% 14 6.7% 11

Element Islamic Balanced 69,961 3.1% 5 4.1% 15 10.7% 2 6.5% 12

Oasis Crescent Equity Fund 5,773,356 2.4% 12 6.9% 3 7.4% 9 6.1% 13

Altron Shari'ah 6,551 1.6% 18 4.2% 14 6.7% 13 4.5% 14

STANLIB Shariah Balanced Fund 572,110 2.3% 13 1.8% 18 4.8% 17 4.4% 15

Element Islamic Equity 133,408 3.3% 4 3.6% 16 9.2% 4 3.4% 16

Alexander Forbes Investments Shari'ah

High Growth 613,148 3.4% 3 4.9% 10 n/a n/a n/a n/a

SMM NUR Balanced Portfolio 183,908 2.7% 9 6.5% 6 7.9% 5 n/a n/a

Median 2.7% 6.0% 7.5% 6.9%

Inflation 1.1% 4.9% 5.3% 5.3%

8.3 The results of the Willis Towers Watson Specialist Data (Shari'ah Compliant Funds) survey (net of a 0.75% p.a. fee adjustment) are shown in the table below

over the relevant reporting periods to 30 September 2018, ordered on the 5-year figures.


KAGISO

Sector ManagerCapped

SWIXDiff

Basic Materials 19.4% 19.8% -0.4%

Industrials 4.4% 6.5% -2.1%

Consumer Goods 11.6% 8.3% 3.3%

Health Care 2.7% 3.5% -0.8%

Consumer Services 18.4% 21.2% -2.8%

Telecommunications 4.7% 5.1% -0.4%

Financials 35.1% 35.3% -0.2%

Technology 3.6% 0.3% 3.3%

PRUDENTIAL

ManagerCapped

SWIXDiff

23.8% 19.8% 4.0%

5.7% 6.5% -0.8%

7.9% 8.3% -0.4%

4.0% 3.5% 0.5%

20.1% 21.2% -1.1%

3.2% 5.1% -1.9%

34.4% 35.3% -0.9%

0.9% 0.3% 0.6%

OVERALL

ManagerCapped

SWIXDiff

21.4% 19.8% 1.6%

6.0% 6.5% -0.5%

9.5% 8.3% 1.2%

3.3% 3.5% -0.2%

22.7% 21.2% 1.5%

3.4% 5.1% -1.7%

32.6% 35.3% -2.7%

1.1% 0.3% 0.8%

9. Mandate compliance

9.1 SA Equities

9.1.1 Sector weightings

Although the mandates place no explicit restrictions on the manager sector exposures, the positions in different equity sectors are an important determinant of

performance and risk relative to the benchmark and have therefore been shown. The tables below reflect the equity sector re-classification adopted by the JSE in

January 2006. The following tables show the sector weights held by the SA equity managers as at 30 September 2018.

CORONATION

Sector ManagerCapped

SWIXDiff

Basic Materials 22.7% 19.8% 2.9%

Industrials 0.2% 6.5% -6.3%

Consumer Goods 15.2% 8.3% 6.9%

Health Care 6.0% 3.5% 2.5%

Consumer Services 21.5% 21.2% 0.3%

Telecommunications 6.4% 5.1% 1.3%

Financials 27.3% 35.3% -8.0%

Technology 0.7% 0.3% 0.4%

VISIO

ManagerCapped

SWIXDiff

21.3% 19.8% 1.5%

8.6% 6.5% 2.1%

7.6% 8.3% -0.7%

3.1% 3.5% -0.4%

32.2% 21.2% 11.0%

0.0% 5.1% -5.1%

27.2% 35.3% -8.1%

0.0% 0.3% -0.3%

STEYN CAPITAL

ManagerCapped

SWIXDiff

17.6% 19.8% -2.2%

11.6% 6.5% 5.1%

6.7% 8.3% -1.6%

0.0% 3.5% -3.5%

23.9% 21.2% 2.7%

3.1% 5.1% -2.0%

37.1% 35.3% 1.8%

0.0% 0.3% -0.3%


OVERALL

Counter ManagerCapped

SWIXDiff

OLD MUTUAL 5.4% 2.2% 3.2%

BRITISH A. TOBACCO 5.3% 3.4% 1.9%

PICK ‘N PAY 1.8% 0.5% 1.3%

NASPERS 10.9% 9.7% 1.2%

QUILTER 1.8% 0.6% 1.2%

ANGLO AMERICAN 4.6% 3.4% 1.2%

ADVTECH 1.0% 0.2% 0.8%

PPC LTD 1.0% 0.2% 0.8%

NORTHAM PLATINUM 1.1% 0.3% 0.8%

NETCARE 1.5% 0.7% 0.8%

PRUDENTIAL


SWIXDiff

OLD MUTUAL 5.5% 2.2% 3.3%

SASOL 8.5% 5.9% 2.6%

STANDARD BANK 7.1% 4.6% 2.5%

ABSA GROUP 4.7% 2.2% 2.5%


NASPERS 12.1% 9.7% 2.4%

SAPPI LTD 3.3% 1.0% 2.3%

CAPITAL & COUNT 2.5% 0.4% 2.1%

REINET 2.8% 0.8% 2.0%

PICK N PAY 2.4% 0.5% 1.9%

9.1.2 Stock weightings

It is instructive to consider the most overweight and underweight positions relative to the benchmark. In its ideal form, good stock picking consists of being overweight in

the best performing stocks and underweight in the poorer performing stocks.

The tables below shows the ten shares in which the managers have the most overweight positions relative to the benchmark as at 30 September 2018.

CORONATION


SWIXDiff



NEDBANK GROUP 4.9% 1.2% 3.7%


NASPERS 13.0% 9.7% 3.3%

MTN GROUP 6.4% 3.2% 3.2%

PICK ‘N PAY 3.3% 0.5% 2.8%

SPAR GROUP 3.5% 0.7% 2.8%

INTU PROPERTIES 2.9% 0.3% 2.6%

QUILTER 2.5% 0.6% 2.1%

VISIO


SWIXDiff

OLD MUTUAL 7.8% 2.2% 5.6%

MONDI PLC 4.5% 0.7% 3.8%

BIDVEST 4.5% 1.3% 3.2%

ADVTECH 3.3% 0.2% 3.1%

BID CORPORATION 5.0% 2.0% 3.0%

SHOPRITE 4.2% 1.7% 2.5%

NETCARE 3.1% 0.7% 2.4%

ABSA GROUP 4.4% 2.2% 2.2%

CASHBUILD 2.3% 0.1% 2.2%

QUILTER 2.6% 0.6% 2.0%

STEYN CAPITAL


SWIXDiff

OLD MUTUAL 7.5% 2.2% 5.3%

PEPKOR 4.2% 0.2% 4.0%

MAS REAL ESTATE 4.1% 0.2% 3.9%

PSG 4.5% 0.8% 3.7%

ASSORE 3.7% 0.2% 3.5%

PICK N PAY 3.7% 0.5% 3.2%

MMI HOLDINGS 3.5% 0.4% 3.1%

BRAIT SE 3.2% 0.3% 2.9%

REINET 3.7% 0.8% 2.9%

PPC LTD 3.0% 0.2% 2.8%

KAGISO


SWIXDiff

OLD MUTUAL 5.3% 2.2% 3.2%

RMB HOLDINGS 2.7% 1.1% 1.6%


DATATEC 1.6% 0.1% 1.5%

MMI HOLDINGS 1.7% 0.4% 1.3%

AFRICAN RAINBOW 1.6% 0.3% 1.3%

AECI LTD 1.5% 0.2% 1.3%

TONGAAT HULETT 1.4% 0.2% 1.2%

NASPERS 10.8% 9.7% 1.1%

ALLIED ELECTRONIC 1.2% 0.1% 1.1%


The tables below shows the ten shares in which the SA equity managers had the most underweight positions relative to the benchmark as at 30 September 2018.

OVERALL


SWIXDiff

SANLAM 0.4% 2.8% -2.4%

REMGRO 0.7% 2.1% -1.4%

FIRSTRAND 3.2% 4.4% -1.2%

CAPITEC BANK 0.0% 1.1% -1.1%

REDEFINE 0.0% 1.1% -1.1%

DISCOVERY 0.1% 1.2% -1.1%

RICHEMONT 1.0% 2.0% -1.0%

CLICKS GROUP 0.0% 0.9% -0.9%

VODACOM 0.7% 1.5% -0.8%

BID CORPORATION 1.2% 2.0% -0.8%

KAGISO


SWIXDiff

NEDBANK GROUP 0.0% 1.2% -1.2%

CAPITEC 0.0% 1.1% -1.1%

REDEFINE 0.0% 1.1% -1.1%

SANLAM 1.8% 2.8% -1.0%

RICHEMONT 1.0% 2.0% -1.0%


GROWTHPOINT 0.5% 1.4% -0.9%

CLICKS GROUP 0.0% 0.9% -0.9%

DISCOVERY 0.3% 1.2% -0.9%

SHOPRITE 0.9% 1.7% -0.8%

PRUDENTIAL


SWIXDiff

SANLAM 0.0% 2.8% -2.8%


VODACOM 0.0% 1.5% -1.5%

FIRSTRAND 2.9% 4.4% -1.5%

SHOPRITE 0.5% 1.7% -1.2%

BIDVEST GROUP 0.0% 1.3% -1.3%

DISCOVERY 0.0% 1.2% -1.2%

NEDBANK 0.0% 1.2% -1.2%

MR PRICE 0.0% 1.2% -1.2%

CAPITEC BANK 0.0% 1.1% -1.1%

CORONATION


SWIXDiff

SANLAM 0.1% 2.8% -2.7%

OLD MUTUAL 0.0% 2.2% -2.2%

ABSA GROUP 0.0% 2.2% -2.2%

FIRSTRAND 2.3% 4.4% -2.1%

REMGRO 0.2% 2.1% -1.9%

SASOL 4.0% 5.9% -1.9%

SHOPRITE 0.1% 1.7% -1.6%

VODACOM 0.0% 1.5% -1.5%



VISIO


SWIXDiff

MTN GROUP 0.0% 3.2% -3.2%

SANLAM 0.0% 2.8% -2.8%

REMGRO 0.0% 2.1% -2.1%

VODACOM 0.0% 1.5% -1.5%


ASPEN 0.0% 1.3% -1.3%

DISCOVERY 0.0% 1.2% -1.2%

NEDBANK 0.0% 1.2% -1.2%

CAPITEC BANK 0.0% 1.1% -1.1%

REDEFINE 0.0% 1.1% -1.1%

STEYN CAPITAL


SWIXDiff

STANDARD BANK 0.0% 4.6% -4.6%

ANGLO AMERICAN 0.0% 3.4% -3.4%

MTN GROUP 0.0% 3.2% -3.2%

SANLAM 0.0% 2.8% -2.8%

ABSA GROUP 0.0% 2.2% -2.2%

REMGRO 0.0% 2.1% -2.1%


RICHEMONT 0.0% 2.0% -2.0%


ASPEN 0.0% 1.3% -1.3%


The tables below show the top 10 share holdings as at 30 September 2018.

OVERALL


SWIXDiff

NASPERS 10.9% 9.7% 1.2%

SASOL 6.5% 5.9% 0.6%

OLD MUTUAL 5.4% 2.2% 3.2%




FIRSTRAND 3.2% 4.4% -1.2%

ABSA GROUP 2.7% 2.2% 0.5%

BHP BILLITON 2.6% 2.1% 0.5%

MTN GROUP 2.5% 3.2% -0.7%

KAGISO


SWIXDiff

NASPERS 10.8% 9.7% 1.1%

OLD MUTUAL 5.3% 2.2% 3.1%

SASOL 5.2% 5.9% -0.7%


FIRSTRAND 3.7% 4.4% -0.7%


MTN GROUP 2.8% 3.2% -0.4%

ANGLO AMERICAN 2.8% 3.4% -0.6%

RMB HOLDINGS 2.7% 1.1% 1.7%

ABSA GROUP 2.0% 2.2% -0.2%

PRUDENTIAL


SWIXDiff

NASPERS 12.1% 9.7% 2.4%

SASOL LTD 8.5% 5.9% 2.6%



OLD MUTUAL 5.5% 2.2% 3.3%


ABSA GROUP 4.7% 2.2% 2.5%

SAPPI 3.3% 1.0% 2.3%

MTN GROUP 3.3% 3.2% 0.1%

FIRSTRAND 2.9% 4.4% -1.5%

CORONATION


SWIXDiff

NASPERS 13.0% 9.7% 3.3%



MTN GROUP 6.4% 3.2% 3.2%

NEDBANK 4.9% 1.2% 3.7%

SASOL 4.0% 5.9% -1.9%

STANDARD BANK 3.9% 4.6% -0.7%


SPAR 3.5% 0.7% 2.8%

PICK N PAY 3.3% 0.5% 2.8%

VISIO


SWIXDiff

NASPERS 9.1% 9.7% -0.6%

SASOL 7.8% 5.9% 1.9%

OLD MUTUAL 7.8% 2.2% 5.6%


BID CORP 5.0% 2.0% 3.0%


BIDVEST GROUP 4.5% 1.3% 3.2%

MONDI PLC 4.5% 0.7% 3.8%

ABSA GROUP 4.4% 2.2% 2.2%


STEYN CAPITAL


SWIXDiff

NASPERS 9.0% 9.7% -0.7%

OLD MUTUAL 7.5% 2.2% 5.3%

SASOL 4.7% 5.9% -1.2%

PSG 4.5% 0.8% 3.7%

PEPKOR 4.2% 0.2% 4.0%

MAS REAL ESTATE 4.1% 0.2% 3.9%

BHP BILLITON 4.0% 2.1% 1.9%


ASSORE LTD 3.7% 0.2% 3.5%

PICK N PAY 3.7% 0.5% 3.2%


Returns quoted are net of investment manager fees.

Month Wealth Builder Pension Protector Conservative

Oct 08 - Dec 08 -7.09% -5.79% -

Jan 09 - Dec 09 17.58% 14.97% -

Jan 10 - Dec 10 15.90% 15.04% 1.62%

Jan 11 - Dec 11 8.38% 10.07% 6.58%

Jan 12 - Dec 12 21.57% 21.12% 12.52%

Jan 13 - Dec 13 23.71% 19.42% 14.56%

Jan 14 - Dec 14 11.75% 11.89% 8.61%

Jan 15 - Dec 15 9.18% 8.18% 9.06%

Jan 16 - Dec 16 4.27% 5.18% 5.92%

Jan 17 – Dec 17 2.38% 2.24% 1.16%

Jan 18 0.04% -0.16% 0.47%

Feb 18 -1.69% -1.16% -0.46%

Mar 18 -1.24% -0.11% -0.32%

Apr 18 3.61% 1.85% 2.73%

May 18 -1.24% -0.92% -0.98%

June 18 3.20% 1.60% 3.24%

July 18 -0.49% -0.33% -0.25%

Aug 18 4.44% 3.40% 3.02%

Sept 18 -2.92% -2.03% -1.48%

3 month 0.88% 0.96% 1.25%

YTD 3.48% 2.03% 6.01%

12 month 4.90% 3.46% 7.65%

3 year 7.73% 6.86% 8.33%

5 year 9.12% 8.53% 8.42%

Since inception 11.64% 10.94% 9.43%

Annexure I – Portfolio Returns


Investment

ManagerFee Structure Description Benchmark

Performance

ObjectiveManager PI Cover

27four Shari’ah

Estimated total fee of 0.84%

p.a. (Depends on underlying

asset allocation and manager

selection decision over time)

Shari’ah Compliant

Portfolio

50% FTSE Shari’ah Capped Top 40

Index, 22.5% Dow Jones Islamic

Market Titans 100 Total Return

index, 2.5% Lotus Islamic Market

Index, 14% STeFI Composit Index,

5% Newgold Platinum reference

price, and 5% Dow Jones Sukuk

Index. 1% is held in the call account

for liquidity purposes

CPI + 4%

R 250m any one claim

and R 500m in the annual

aggregate.

ABAX Global Absolute Base fee of 0.45% p.a. Absolute ReturnCP Benchmark

CPI + 3.5%R 140,000,000.00 + 1 x

reinstatement

ABSA Absolute Nil Absolute return CP Benchmark CPI + 3.5%

R 4.05bn any one claim

and R 8.15bn in the

annual aggregate.

Allan Gray Global Absolute

Base fee of 0.37% p.a. plus

performance fees (local) plus

separate fees for offshore

(Orbis) investments

Absolute return CP Benchmark CPI + 3.5% Total cover R 1.50 billion

Aluwani Passive Index

LinkedMonthly base fee of 0.05% p.a.

SA Inflation Linked

BondsRSA R202 RSA R202

ZAR 200,000,000 each

single loss but ZAR

600,000,000 in the annual

aggregate

Ardevora Base fee of 0.5% p.a. International Equity MSCI All Country World IndexMSCI All Country

World Index + 4%Total cover GBP 2 million

Colchester Management fee of 0.45% p.a. International Bonds JP Morgan Gov Bond IndexJP Morgan Gov

Bond Index + 1.5%

USD 40m in the

aggregate, and USD 5m

for crime claims.

Annexure II – Portfolio Fees & Mandate Summary


Investment


Performance


Contrarius


0.2% for every 1.00% that the

fund out-performs the

benchmark.

International EquityMSCI All Country World

Index

MSCI All Country World

Index + 4%

Total cover USD 25m in

the aggregate

Coronation Houseview


0.2% for every 1.00% that the

fund out-performs the

benchmark, capped at 1.00%

p.a, high watermark applies.

SA Equity Capped SWIX Capped SWIX + 3.5%R 1bn any one claim and

R 2.5bn in the aggregate.

Coronation Inflation Plus

0.65% on domestic and directly

held international assets; plus

Coronation standard fees on

international fund investments.

Target return strategy CP Benchmark CPI + 3.5%R 1bn any one claim and

R 2.5bn in the aggregate.

Futuregrowth Infrastructure Base fee of 0.5% p.a. SA Nominal Bonds All Bond Index (ALBI) ALBI + 1.25%

Total cover GBP 10m any

one claim and annual

aggregate

Futuregrowth Infrastructure

& Development ILBBase fee of 0.5% p.a. SA ILB BILBI 15+ year BILBI 15+ year + 1% p.a



aggregate

Futuregrowth Yield

EnhancedBase fee of 0.42% p.a. SA Nominal Bonds All Bond Index (ALBI) ALBI + 1.25%



aggregate

Hosking

Base fee of 0.4% p.a. No

performance fee payable on

Class E shares.


Index


Index + 4%

GBP 20m in the

aggregate, and GBP 1m

for crime claims.


Investment


Performance


Investec Property

0.5% p.a. unless termination

prior to 31 Dec 2017.

Otherwise approximately

0.8% p.a., provided Investec

outperforms the benchmark

by 1.5% p.a. over rolling 3-

year periods.

SA Listed Property J253 SAPY J253 SAPY + 2%


one claim and in the

aggregate

Investec Credit

Opportunities

Base fee of 0.5% p.a, plus

25% performance fee if the

portfolio out-performs the

STEFI 3-month + 3% p.a.

Capped at 1.2% p.a.

SA Credit Bonds STEFI 3-month STEFI 3-month + 3.7%



aggregate

Investec Money Base fee of 0.1% p.a. SA Cash STEFI STEFI + 0.25%



aggregate

Kagiso Base fee of 0.45% p.a. SA Core Equity Capped SWIX Capped SWIX + 1%

Total cover R 100m any


aggregate

Old Mutual LHP 0.07% p.a SA ILB Reference Portfolio Ref Portfolio + 0.5% p.a



aggregate

Old Mutual RESF

Base fee of 0.25% p.a. of

cash portion and 1.0% of

invested portion, plus a

performance fee of 20% of

out-performance of the

benchmark.

Private Equity: SRI CPI + 7% CPI + 7%



aggregate

Polaris Base fee of 0.75% p.a. International EquityMSCI All Country World

Index


Index + 4%

General Aggregate

$9,000,000

Each Occurrence

$9,000,000

Prudential

0.65% p.a. on first R200

million, 0.55% p.a. on next

R300 million, 0.45% above

R500 million.

SA Core Equity Capped SWIX Capped SWIX + 2.5%

GBP 5m in the aggregate,

and GBP 10m for crime

claims.


Investment


Performance


Sesfikile Fixed fee of 0.475% p.a. SA Listed Property J253 SAPY J253 SAPY + 2%

R 150m any one claim and

in the annual aggregate,

R 0.5m deductible.

Steyn Capital Fixed fee of 0.7% p.a. SA Equity Capped SWIX Capped SWIX + 3%



R 4m deductible

Sygnia (EM Equity)0.77% p.a plus Sygnia

platform feeInternational EM Equity MSCI EM Index MSCI EM Index + 2% R600,000,000 any one

claim but R1,200,000,000

in the annual aggregate

Sygnia (Resolution) 0.40% p.a plus Sygnia

platform fee

International Property FTSE EPRA/NAREIT FTSE EPRA/NAREIT +2% R600,000,000 any one

claim but R1,200,000,000

in the annual aggregate

Sygnia (Veritas) via AMX

Base fee of 0.40% per

annum plus Sygnia platform

fee; plus 0.08% to AMX


Index


Index + 4%

GBP 40m any one claim.

Deductible: GBP 100 000

VantageRefer to Partnership

AgreementPrivate Equity (Mezz Debt) STEFI +10% To be determined



R 0.5m deductible

Visio Flat fee of 0.50% p.a. SA Equity Capped SWIX Capped SWIX + 3.5%



and R 0.25m for data

protection extension

claims.

Disclaimer and risk warning

© 2018, Towers Watson Pty Ltd

This report contains confidential and proprietary information of Towers Watson Pty Ltd, a Willis Towers Watson company, and is intended for the exclusive use of the client specified herein. This report, and

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be relied on as a guide to future performance.

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