Managers’ Commentary

ANNEX COMMENTARY FROM

1 Fidelity

2 Columbia Threadneedle

3 Schroders

4 Henderson

5 UBS

6 Pyrford

7 Standard Life

ANNEX 1

Kingston – 1Q16

Performance SummaryFor the first quarter of 2016, the Portfolio underperformed the benchmark. Materials, Health Care, and Energy were among the largest sector detractors from relative performance, while select individual holdings contributed.

Portfolio DetailsIn the Materials sector, the overweight in corrugated and consumer packaging company WestRock and the underweight in mining company Glencore were among the largest Portfolio detractors. Despite reporting first-quarter earnings that topped consensus estimates, WestRock declined amid negative investor sentiment after Bank of America downgraded the stock, citing declining containerboard prices. Glencore shares rose sharply as commodity prices rallied during the period. Glencore also announced that it had agreed to sell a precious metals stream to Franco-Nevada for $500 million in a move consistent with the company’s asset disposal plan to shore up its finances. In the Health Care sector, the overweights in biotech companies Vertex Pharmaceuticals and BioMarin Pharmaceutical were among the largest Portfolio detractors. Despite reporting inline fourth-quarter earnings, Vertex declined amid negative investor sentiment due to disappointing sales results for its recently launched cystic fibrosis treatment, Orkambi. Shares of BioMarin Pharmaceutical declined amid negative investor sentiment after the U.S. Food and Drug Administration announced that it had rejected BioMarin’s Duchenne muscular dystrophy drug, citing a lack of effectiveness.

In the Energy sector, the overweight in refiner Marathon Petroleum was among the largest Portfolio detractors from relative performance. Shares of Marathon Petroleum declined as the company reported a steep drop in fourth-quarter earnings compared to the same period a year earlier, driven largely by lower-than-expected revenues and lower oil and gas prices. Among individual holdings, the underweight in telecom services provider Verizon Communications was among the largest detractors from relative performance. Verizon shares rose as the company posted fourth-quarter earnings that topped consensus estimates, driven by better-than-expected margins.

Select individual holdings across a range of sectors were among the largest contributors to relative performance. In the Industrials sector, the overweight position in industrial manufacturing company Eaton was among the largest Portfolio contributors. Eaton shares rose as the company reported better-than-expected fourth-quarter earnings and announced a $3 billion share buyback. In the Utilities sector, the overweight in regulated utility provider Edison International was among the largest Portfolio contributors. Despite reporting fourth-quarter earnings that missed consensus estimates, Edison International rose as the company announced full year earnings guidance that topped analysts’ forecasts. In the Consumer Discretionary sector, the overweight in apparel company PVH was among the largest contributors. PVH shares rose as the company posted fourth-quarter earnings that beat analysts’ estimates, driven by strong results in its Calvin Klein segment. PVH also issued better-than-expected full year 2016 guidance.

Portfolio PositioningWe continue to seek to exploit market inefficiencies through bottom-up stock selection based on fundamental company research, implemented within a framework of quantitative risk control. As of

March 31, 2016, the Portfolio remains relatively neutral across regions. While maintaining similar sector weightings relative to the benchmark, active stock selection results in slight overweights in Health Care and Telecom Services stocks, and slight underweights in Financials and Utilities stocks.

ANNEX 2

Market BackgroundGlobal equities rose modestly in the first quarter of 2016. Further market turmoil in China and dramatic swings in oil prices fed concerns about the prospects for the world economy. After bottoming on 11 February, however, global equities were boosted by a surge in oil prices from low levels, enhanced stimulus measures from the European Central Bank and easing worries over the pace of US interest-rate rises. PerformanceAgainst this backdrop, the TPEN Global Select Fund underperformed its benchmark over the quarter returning 1.07% vs the benchmark of 2.94% on a gross of fee basis. The Fund continues to outperform on a 12 month basis, returning 3.49% gross vs an index return of -0.65%. Regional allocation added value over the quarter, thanks largely to our underweight in Japan. However, both allocation and selection detracted in sector terms. Our underweights in materials and utilities and our overweight in healthcare weighed on returns, while gains from our industrials selections were offset by the adverse effects from those in healthcare, materials, financials and telecoms. Key positive contributors over the quarter were led by data-provider Markit, which traded higher on news that it was to be acquired by rival IHS. WESCO International, a provider of services and distribution in the electronics sector, moved higher on broker upgrades, while insurance and investment multinational Aon was buoyed by fourth-quarter figures that beat expectations. Pharmaceutical stocks were among the main detractors during the quarter. Alkermes traded lower after reporting negative results in late-stage clinical trials of new drugs, while Vertex Pharmaceuticals also declined. OutlookWe have seen interest rates move away from emergency settings in the US, but monetary policy is likely to remain accommodative in both Japan and Europe. The outlook for the emerging markets remains challenging, particularly for those commodity exporters reliant on Chinese fixed-asset investment. We continue to seek out company-led growth as we believe economic growth will remain subdued, and companies that can deliver consistent growth in this environment will be attractive investments. We continue to favour secular-growth companies and high-quality franchises, but find cyclical areas of the markets less attractive.

ANNEX 3

Over the quarter to 31 March 2016 the Global Active Value Fund (the fund) held by the Royal Borough of Kingston upon Thames Pension Fund rose by 3.6% against a rise of 2.2% for the MSCI World Index and 2.8% for the MSCI All Countries World Index (includes emerging markets).

The fund’s outperformance during the quarter came from a broad range of sources. The largest was the fund’s position in emerging markets, others included resources, Asian technology and telecoms and at a global level, a bias towards the more economically-sensitive sectors e.g. industrials and consumer discretionary. In US technology our long-standing preference for “mature” stocks over their more “glamorous” counterparts was rewarded. During the quarter there were tentative signs that the extremes of the past few years may be receding, with the market rotating in favour of Value as an investment style. The dominant performance of growth stocks and defensive equities over recent years has created plenty of opportunities for investors with a value orientation.

ANNEX 4

Royal Borough of Kingston – Q1 2016 commentary

Market review

Developed market government bond yields fell sharply during the quarter (prices moved higher), ending the quarter close to historic lows. The weakness was driven by growth concerns, falling oil prices and worries about China and other emerging markets.

Credit (corporate bond) markets recovered significantly in the second half of the quarter. The improvement came as oil prices rebounded and economic data improved. Central banks were also prominent in driving the rally as the likelihood of aggressive interest rate tightening in the US waned and the European Central Bank (ECB) eased monetary conditions in Europe. The notable addition for the latter was the inclusion of non-bank investment grade corporate bonds to their asset purchase programme, which sparked a major rally for the asset class.

In the UK, the announcement of a referendum on EU membership resulted in the sterling weakening against other major currencies. At the same time, corporate bond issuance slowed significantly and sterling corporate bonds underperformed relative to US and European credit markets as issuers and investors alike wait for more clarity. Elsewhere, the Bank of England voted to keep its base interest rate — the Bank Rate — at 0.5% as expected.

Henderson All Stocks Credit Fund

The All Stocks Credit Fund returned 3.0%, which was -0.2% behind the iBoxx sterling non-gilt index benchmark return of 3.2%. The higher weighting to the financial sector and a preference for lower rated bonds relative to the benchmark, were the main drivers of this quarter’s underperformance.

In financials, exposure to subordinated bonds from banks and the insurance sector was the main drag on returns. Positions in Standard Life and Aviva were among the worst performers as our holdings in the sector underperformed despite positive financial results from many of the issuers we held. Partially offsetting the weakness, performance benefited from our positioning in utilities, an underweight to the energy sector and an overweight position in the telecoms sector. We participated in a number of new bond issues during the quarter, adding positions in vehicle financing company Motability, Yorkshire Water and US dollar-denominated issues from Johnson & Johnson and Exxon Mobil.

Henderson Total Return Bond Fund

The fund delivered a positive return of 0.3% over the quarter. Performance was driven by holdings in high yield corporate debt and US and Italian inflation linked government bonds.

While we increased the interest rate sensitivity (duration) of the fund, it remains low and as a result the fund did not benefit materially from the fall in government bond yields, which boosted broader market returns. Holdings in Italian inflation linked bonds performed well, but positions seeking to benefit from higher US yields and a rise in long-term inflation expectations underperformed, as oil and commodity prices continued to decline. However, this was partly offset by currency views on the Australian dollar (versus the New Zealand dollar) and the euro (versus sterling), which both delivered positive returns.

Exposure to corporate bonds was the largest positive contributor to performance. High yield and emerging market corporate bonds benefited the most as markets rebounded from the losses seen in January and early February. Within investment grade holdings, our longer maturity, non-financial corporate debt in the US performed well, but the allocation to lower rated insurance company bonds (which we added to earlier this year) lagged amid broader concerns about the financial sector. Holdings in asset-backed securities detracted as the sector lagged the credit market rally in March.

Outlook

The current market environment remains fragile, with a number of concerns on investors’ minds. However, major central banks around the globe remain accommodative with stimulus measures to last through the remainder of this year and beyond. We expect the default rate to pick up in high yield credit markets, predominantly driven by energy issuers in the US. In contrast, we expect central bank action to support European credit markets.

In the UK, sterling credit is unlikely to materially outperform other markets ahead of the ‘Brexit’ vote, while government bond markets are currently reflecting a pessimistic view with the first rate hike in the UK not expected until 2020.

ANNEX 5

Over the three-month period to 31st March 2016, UBS Triton Property Fund produced a total return of + 1.4%. Performance was mainly driven by asset management despite the increase in Stamp Duty Land Tax (SDLT), which has impacted the Fund's March 2016 valuations by 1%. Over one, two and three years, the Fund has strongly outperformed its benchmark, delivering returns of 11.7%, 15.3% p.a. and 14.1% p.a., respectively. These latest results reflect the successful culmination of a significant repositioning of the Fund's portfolio and strategy. The Fund also repaid its direct debt of GBP 50 million through a capital raise from a range of existing investors.

2015 was a record year for UK commercial real estate investment, with transaction volumes in excess of GBP 71 billion, 15% above its pre-crisis peak, and leading to a further compression of all property yields (31 December 2015: 4.6%). This upward trend is unlikely to continue as 1Q16 transaction volumes are currently at less than 50% than 2015, indicating a major decline in activity. There is, however, strong evidence that investors are adopting a wait-and-see approach in the run up to June's EU referendum, and we would expect heightened activity in the event of a remain vote. Nonetheless, significant headwinds in the world economy are likely to impact appetite for risk, in particular for foreign investors. We would expect 2016 to be a much calmer year with yields likely to stabilise at current levels.

UBS Triton's current strategy is to seek to increase investment in the industrial and student accommodation sectors. We are currently under offer on two student accommodation assets and one retail property, which adjoins an existing holding, for a total value of GBP 45 million. The Fund focuses on dominant multi-let assets in growth areas with long-term asset management potential. Selective sales of assets will continue where asset management initiatives have been maximised. UBS Triton is a core, actively managed balanced UK fund focusing on strategic assets in growth locations with sustainable income streams.

ANNEX 6

Pyrford Global Total Return (Sterling) FundQ1 2016

Performance: The Pyrford Global Total Return Fund navigated through a challenging first quarter with three positive months of returns, generating an absolute gross return of +2.7%. This compared with a FTSE All Share Index return of -0.4% and a FTSE Government All-Stocks Index of +4.9% over the quarter. The aim of Fund is to provide a stable stream of real total returns over the long term with low absolute volatility and significant downside protection.

Key Drivers & Detractors: Going into the quarter, the portfolio’s defensive positioning with only 30% in equities protected capital in the market sell-off that was witnessed in the first half of the quarter. The equities in the Fund also performed well due to their defensive characteristics with a focus on quality and value. The key contributor to the portfolio’s returns over the quarter was overseas equities (+6.2%), which outperformed the FTSE World ex-UK (+3.2%) by over 3%. Holdings in Canada (+20.7%), Taiwan (+16.1%), Malaysia (+10.6%) and Singapore (+8.0%) helped to generate a strong first quarter return. The overseas equity portfolio remains focused on Asia Pacific ex-Japan where economies offer sustainable economic growth supported by labour force growth or enhanced productivity and trade at more reasonable valuations. The portfolio’s largest equity position, UK equities, managed to produce an absolute return of +0.5% over the quarter despite UK equities falling.

The portfolio’s bonds also contributed positive absolute returns over the final quarter as yields retreated. Overseas bonds were particularly strong (+5.3%), supported by sterling weakness against the US (-2.5%) and Canadian dollar (-9.2%). The portfolio’s overseas bond portfolio is made up of unhedged US and Canadian government bonds. UK bonds were positive (+0.6%), although when compared to the broader UK bonds Index, underperformed. The portfolio only holds short-duration government bonds and as such underperformed in a falling yield environment. Cash and currency hedging detracted marginally over the quarter.

Q1 2016 Market Commentary: The year got off to a volatile start with the first half of the quarter witnessing a sharp sell-off in equities. Despite the gradual “recovery” over the rest of the quarter the majority of equity markets ended the quarter quite a bit lower than at the start of 2016. Expressed in MSCI local currency price indices Europe fell by -5.6%, Far East -11.5%, Nordic area -6.4% and the Pacific -10.1%. Bucking the trend was North America with a small increase of +0.5%. In US dollars the “World” index was down -0.9%.January was a bleak month for equities following the US Federal Reserve decision in December to hike its official rate by quarter of one percent – an increase that was well paraded before the actual announcement but it still sent a chill through markets. Emerging markets were hit as a consequence of capital flight whilst the advanced economies experienced their share of trauma. The ongoing saga of a Chinese slowdown and apprehension relating to a sizeable build-up of indebtedness also continued to spook investors.

The second half of the quarter provided some respite for equity investors as market values gradually came off their lows but not without a significant degree of volatility. Unconventional monetary policies, which become even more unconventional with the passing of time, gave comfort to those who feared a sizeable economic downturn but did little or nothing to lift economic growth. In the meantime the savers of the world continued to be disenfranchised.

Negative interest policy rates have now been applied in Sweden, Switzerland, the eurozone, Denmark and Japan (the rates apply to excess reserves deposited at the central bank).

Both the IMF and OECD released their latest world and regional growth forecasts during the quarter and unsurprisingly the projections were marked down from the estimates published in late 2015. The growth reductions were spread fairly evenly across the emerging and developed world. It seems that every few months these forecasting bodies are obliged to acknowledge that their estimates are overly optimistic and we see no reason for this trend to change in the remainder of 2016.

Commodity prices continued to fall over the quarter with oil, in particular, reaching levels that no-one forecast as recently as 6-12 months ago. This precipitous price decline is causing mayhem in the US ‘fracking’ industry with drilling rig after drilling rig being taken out of service. Capital investment has dried up with the fall in price and this, as much as any other factor, is adversely impacting overall economic activity. In Saudi Arabia, the fall in the oil price is playing havoc with the budget with some estimates suggesting the budget deficit could be as high as 15-20% of GDP. In response the Saudis have been selling assets from reserves held offshore.

Currency manoeuvres continued to hit the headlines with some countries openly endeavouring to crank their currencies lower. In the UK the speculation surrounding potential exit from the EU was sufficient to spook investors in sterling whilst the UK Treasury, no doubt, is privately delighted to see a more competitive pound. Japan is still pressing hard for a lower yen whilst China is very pleased every time it is able to nudge its currency lower without attracting a storm of criticism.

Finally, Government bond yields, already at derisory levels, sunk even lower as a consequence of central bank actions. In several markets (Germany, Switzerland, Japan) yields at the short end of the curve are now negative. In the latter two markets yields remain negative up to 10 years. The surprise is that investors (other than central banks) appear willing to accept such a punitive return on their money.

Asset Allocation & positioning: During the first quarter Pyrford made the decision to increase equities by 5%. This decision was made by our Investment Strategy Committee (11 February 2016) in light of sharp falls in equity markets, both domestic and global. To quantify this, the dividend yield on offer for the UK equity index at the time of change was around 4%, which equates to a FTSE 100 level of around 5550. This is by no means fair value, hence the small increase, however as disciplined value investors we follow a rigorous investment process that requires us to “buy” as value emerges. The model allocation is now equities 35%, fixed income 62% and cash 3%. Despite our recent small increase in equities, we remain positioned extremely defensively and the focus of our portfolio will remain on the protection of our clients’ capital.

The equity portfolio remains defensively positioned with a zero weighting in UK and European banks and limited exposure to more cyclical sectors such as capital goods and materials. The focus of the portfolio is on balance sheet strength, profitability, earnings visibility and value.

In bonds Pyrford continues to adopt a defensive stance by owning short duration securities in order to protect the capital value of the portfolio from expected rises in yields. At the end of the quarter modified duration of the fixed income portfolio fell to 1.3 years. There were no changes to the geographical allocation of the fixed income portion of the portfolio during the final quarter.

Finally, our currency positioning: In line with Pyrford’s purchasing power parity analysis, only the Swiss franc exposure within the portfolio remains fully hedged, insulating the portfolio against any fall in the value of the currency.

ANNEX 6

GLOBAL ABSOLUTE RETURN STRATEGIES

Environment

Global equities rebounded in the latter part of the quarter, reassured by central bank action and a modest recovery in oil prices

Banking stocks in some regions came under pressure as investors considered the impact of negative interest rates on profitability

Credit markets participated in the risk rally, rebounding towards quarter-end

Global equities declined sharply in January and early February, amid resurgent fears over global growth, China and commodity markets. Central bank action and a recovery in oil prices subsequently provided reassurance, allowing equities and other risk assets to recoup some lost ground thereafter. Specifically, the European Central Bank (ECB) unveiled additional stimulus measures, while the Bank of Japan adopted a negative interest rate policy. In the US, the Federal Reserve (Fed) kept interest rates unchanged and affirmed that rates would rise only gradually.

Despite the late-stage rally, European stocks ended the quarter lower. Banks came under particular pressure on mounting concern over the impact of negative deposit rates on profitability. The rebound in UK equities was helped by resource stocks, which responded positively to the recovery in commodity markets. US equities made gains, while those in Japan registered steep losses after a volatile quarter.

Reflecting the turnaround in confidence, credit markets rallied towards quarter-end. Core government bonds found support during the early part of the review period when concerns about global growth prevailed. They subsequently weakened slightly as the market mood improved. Nevertheless, sovereign yields fell over the quarter.

Activity

We closed our European equity banks versus insurers strategy as the challenging earnings and capital outlook for banks is now likely to persist for longer than we had previously thought.

Of our currency strategies, we closed the long British sterling leg of our long British sterling versus Swiss franc pair, while also closing the short euro leg of our long Indian rupee versus euro pair. The remaining positions created a long Indian rupee versus Swiss franc strategy. Sterling’s upside potential may now be limited by the uncertainty around the EU referendum and the increased likelihood of a delay to monetary tightening. Meanwhile, Switzerland has struggled to stave off deflation since it abandoned its currency linkage with the euro in

January 2015. India’s macroeconomic fundamentals remain stable if not modestly improving and the rupee remains fairly valued and attractive from a carry perspective.

We later opened a US real versus nominal yield curve steepener strategy, expressing our view that US inflation expectations are too low. Finally, we exited our long Mexican peso versus Australian dollar currency pair, which we believed would struggle to meet our return expectations within the targeted investment time horizon. While we still have confidence in Mexico’s ability to withstand the current challenges facing emerging markets, the country’s subdued economic growth prospects (largely due to smaller-than-expected benefits from energy reforms) will likely constrain the upside potential of the peso. However, we retain our Mexican government bond exposure.

Performance

The declines in Japanese and European equity markets hurt our exposures here. Our US equity banks versus consumer staples strategy was also loss-making – banks came under pressure from wavering investor confidence, receding expectations of further US rate hikes and worsening credit market conditions.

The rebound in credit markets benefited our European corporate bonds and high yield credit strategies. Additionally, demand for safe-haven assets supported both our Australian duration and Australian forward-start interest rates strategies. Also positive was our US butterfly strategy. However, our short US duration position, which profits when US interest rates increase, lost value as Treasury yields fell over the quarter. Other positive contributors included our newly introduced US real versus nominal yield curve steepener strategy, which was boosted by increasing US inflation expectations.

One consequence of the Fed’s dovish comments was US dollar weakness. In addition, the recovery in US equities prompted investors to adjust their currency hedges, further undermining the dollar. This drove losses from our long US dollar versus Singapore dollar and long US dollar versus euro strategies.

Outlook

Our central expectation is still for modest global growth, albeit with regional variations. A growing divergence in central bank monetary policy will remain an important driver of asset returns. The US has finally embarked on monetary tightening, albeit on a gradual incline, whereas economies in Europe and Asia maintain a looser monetary path. Geopolitical tensions remain high and on many metrics asset prices appear expensive. We seek to exploit the opportunities that these conditions present by implementing a diversified range of strategies using multiple asset classes.