investment performance report quarter ending 31 december...
TRANSCRIPT
October 2017
Investment Performance Report
Quarter ending 30 September 2017
© 2017 Willis Towers Watson. All rights reserved.
PetroSA Retirement Fund
Introduction
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• This report deals with the investment performance of the PetroSA Retirement Fund for measurement periods ended 30 June
2017 and has been prepared for the Fund’s Board of Trustees.
• The monthly investment returns on the Market-Linked,Stable, Money Market and Shariah Portfolios, were calculated by Willis
Towers Watson from inception to 31 May 2017.
• From 1 June 2017, the Fund moved to daily unit pricing with Sygnia.
Disclaimer
This report contains confidential and proprietary information of Willis Towers Watson and is intended for the exclusive use of
the client specified herein. This report and any opinions on or ratings of investment products it contains may not be modified
sold or otherwise provided in whole or in part to any other person or entity without Willis Towers Watson’s prior written
permission.
Information on investment management firms contained herein has been obtained from the firms themselves and other
sources. While this information is believed to be reliable no representations or warranties are made as to the accuracy of the
information presented and no responsibility or liability including for consequential or incidental damages can be accepted for
any error omission or inaccuracy in this report or related materials.
Opinions on or ratings of investment products contained herein are not intended to convey any guarantees as to the future
investment performance of these products. In addition past performance cannot be relied on as a guide to future performance.
Executive summary
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• Balanced scorecard – looking back for periods to 30 September 2017
The table below summarises the key results for the various portfolios operated by the Fund (returns shown are net of investment
management fees):
Portfolio Investment Objective Meeting target?Measurement period to 30
September 2017
Market-Linked portfolio(inception: December 2004) CPI + 5.0% net over a rolling 7-year period 8.4% p.a. real 7 years
Stable Portfolio (inception: October 2001) CPI + 3% net over a rolling 3-year period 2.1% p.a. real 3 years
Money Market Portfolio (inception: October 2001) CPI + 1% net over a rolling 1-year period 4.1% p.a. real 1 year
Shari’ah Portfolio (inception: July 2012) CPI + 4.0% net over a rolling 5-year period 3.8% p.a. real 5 Years
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Market Returns
Major Index Returns
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• The chart below shows the total returns of the major indices (in ZAR, unless specified otherwise) for measurement periods of up to 5 years
ended 30 September 2017:
• The global economic environment experienced some improvement in momentum over the third quarter. Positive revisions to economic and
earnings forecasts drove an improvement in global investor sentiment and were a tailwind for risk assets. Global equities rallied, with emerging
markets (EMs) bolstered by a softer US dollar, improving Chinese economic growth and commodity prices, together with relatively attractive
valuations.
• The MSCI EM composite delivered 8.0% in US dollar terms over the quarter, outpacing the MSCI World Index (reflecting Developed Markets)
which gained 5.0%. Global bonds underperformed equities, with the Barclays Capital Global Aggregate delivering 1.8% in US dollar terms over
the period.
• A favourable EM backdrop was supportive for South African (SA) asset classes in the third quarter, but a worsening economic outlook and
heightened political risk continued to weigh on investors’ risk appetite. Escalating political tensions within the ruling party accompany a fragile
economy, which continues to be plagued by rising unemployment, weak consumer and business confidence and feeble economic growth.
• Local equities defied weak economic fundamentals and staged a sharp recovery in July and August. The FTSE/JSE ALSI delivered a strong
return of 8.9% over the quarter, outperforming local cash, bonds and listed property. The ALBI gained 3.7% over the quarter, boosted by EM
flows and an improving inflation outlook. Nominal bonds outperformed inflation-linked bonds, which gained 1.2%.
• Despite the positive market performance, the rand lost ground over the quarter, derailing a sustained period of appreciation against the US
dollar. The local currency unit ended the quarter 3.1% weaker against the US dollar, and also depreciated by 6.8% against the euro and by 6.4%
against the British pound.
-5%
0%
5%
10%
15%
20%
25%
SAEquities(ALSI)
SAEquities(CappedSWIX)
SA ListedProperty(SAPY)
SANominalBonds(ALBI)
SA Infl'nLinkedBonds
(Barclays)
SA Cash(STeFIComp)
GlobalEquities(MSCI)(ZAR)
GlobalEquities(MSCI)(USD)
EMEquities(MSCIEM)
(ZAR)
EMEquities(MSCIEM)
(USD)
GlobalBonds
(BarCapAgg)(ZAR)
GlobalBonds
(BarCapAgg)
(USD)
ZAR/USD
Inflation(CPI)
3 months 8.9% 6.0% 5.7% 3.7% 1.2% 1.8% 8.2% 5.0% 11.3% 8.0% 4.9% 1.8% 3.1% 0.9%
1 year 10.2% 5.3% 9.5% 8.2% 0.3% 7.6% 16.7% 18.8% 20.7% 22.9% -3.0% -1.3% -1.8% 5.1%
3 years p.a. 7.2% 6.4% 12.7% 7.6% 4.5% 7.0% 14.9% 8.3% 11.7% 5.3% 7.5% 1.3% 6.1% 5.3%
5 years p.a. 12.5% 12.2% 12.7% 6.3% 5.7% 6.4% 23.2% 11.6% 15.2% 4.4% 10.9% 0.5% 10.4% 5.5%
Major Index Returns Continued
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• The chart below shows the total returns of the major indices in ZAR for measurement periods of longer than 5 years ended
30 September 2017 – where there is a blank the index return is not available.
• Over the 20 year period, SA equities emerged as the best performing asset class, outperforming cash returns by 4.8% p.a. Real cash returns
over the past 20 years were 3.6% p.a., which is higher than the historic average on account of aggressive monetary policy (extremely high
interest rates) from about 1998 to 2007 to curtail inflation.
• All asset classes have delivered a real return of at least 3.6% p.a. over the past 20 years. It has therefore been easy for South African
investors to earn a high real return over this 20 year period – one could argue that returns have been borrowed from the future and returns
over the next 20 years will almost certainly be lower. SA equities have delivered a real return of over 8.4% p.a. over the past 20 years, above
the 117 year observed history of a real return of 7% p.a.
• Listed property was the best performing asset class over the 15 year period. This asset class has experienced significant tailwinds over this
period and future returns are likely to be closer to the long term expected return from this asset class, being a real return of 5% to
6% p.a.
0%
5%
10%
15%
20%
25%
SA Equities(ALSI)
MoneyMarket
(AlexanderForbes)
SA NominalBonds(ALBI)
SA Infl'nLinked Bonds
(Barclays)
SA ListedProperty(SAPY)
GlobalEquities(MSCI)(ZAR)
Global Bonds(BarCap Agg)
(ZAR)ZAR/USD
Inflation(CPI)
7 years p.a. 12.8% 6.2% 7.7% 7.9% 15.2% 21.7% 11.7% 9.9% 5.5%
10 years p.a. 9.5% 7.3% 8.4% 9.2% 13.9% 12.1% 10.5% 6.9% 6.0%
15 years p.a. 15.9% 8.0% 9.6% 9.2% 22.2% 11.4% 6.2% 1.7% 5.4%
20 years p.a. 14.1% 9.3% 11.3% 11.9% 10.3% 5.5% 5.7%
SA Equity Sector Returns
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• The chart below shows the total returns of the major sectors of the All Share Index for measurement periods of up to 10 years ended
30 September 2017:
• Resources emerged as the outperformer over the third quarter, delivering a return of 17.8% over the period. The sector benefited from higher
metal prices, a softer rand and the suspended implementation of the Mining Charter. Coal Mining, General Mining and Industrial Metals were
the main contributors to the performance of Resources over the quarter.
• July’s interest rate cut, together with the prospect for additional monetary policy easing, boosted banks and retailers.
• Real Estate Investment and Services and Non-life Insurance stocks were the main contributors to financial sector performance over the
quarter, while Industrial Transportation, Personal Goods and Media stocks buoyed the performance of Industrials, with Naspers a notable
driver of returns.
-10%
-5%
0%
5%
10%
15%
20%
Resources Financials Industrials
3 months 17.8% 5.1% 7.4%
1 year 11.1% 7.0% 11.5%
3 years p.a. -8.4% 8.1% 10.5%
5 years p.a. -2.5% 13.7% 17.4%
7 years p.a. -1.1% 14.4% 18.6%
10 years p.a. -2.2% 10.8% 15.8%
SA Bond Sector Returns
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• The chart below shows the total returns of the term sectors of the All Bond Index for measurement periods of up to 10 years ended
30 September 2017:
• Lower inflation and an uptick in foreign capital inflows provided a tailwind to nominal bonds at the start of the quarter.
• Over the long term, one would expect longer dated bonds (“12+ year”) to offer a return premium relative to short-dated bonds, as investors
need to be compensated for the uncertainty regarding future inflation (the so-called “term premium”). However, over the past ten years there
has been no term premium earned for investors in SA bonds in the “12+ year” category versus all shorter-dated categories.
• This arises partly from many institutional investors being prepared to pay more for long-dated bonds to match their long-term liabilities. The
high returns from shorter-dated maturities relative to longer-dated maturities is also reflective of a hawkish SARB determined to retain its
inflation-fighting credibility.
0%
2%
4%
6%
8%
10%
12%
0-3 years 3-7 years 7-12 years 12+ years
3 months 2.7% 3.1% 3.6% 4.0%
1 year 9.0% 10.3% 9.6% 7.2%
3 years p.a. 8.1% 8.8% 8.2% 7.3%
5 years p.a. 6.7% 6.8% 6.2% 6.3%
7 years p.a. 7.3% 8.3% 8.1% 7.4%
10 years p.a. 8.0% 8.7% 8.7% 7.8%
9
Market value of assets and asset
allocation
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Market value of assets and portfolio performance
10
• The table below shows the market value of the assets as at 30 September 2017 – all figures are in ZAR millions
• The table below shows the monthly investment returns (net of fees) of the Fund’s investment portfolios over the quarter to 30
September 2017.
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Market Value as at 30 September 2017 (R'm)
Portfolio / Manager Market-linked StableMoney
MarketShari'ah Total
% of Total
Fund
Cash flows for
the quarter
Market-Linked Portfolio 74.0%
Allan Gray Domestic Equity 241.4 241.4 12.2% 10.6
Coronation Houseview Equity 242.3 242.3 12.2% 9.4
Abax 249.0 249.0 12.5% -2.0
Investec Flexible Bonds 178.0 178.0 9.0% -1.1
Coronation Active Bonds 177.8 177.8 9.0% -1.6
Sygnia (WTW Diversified Global Balanced) 382.2 382.2 19.2% -27.4
Stable Portfolio 18.8%
Prescient Positive Return 0.0 0.0 0.0% -180.0
Allan Gray Global Stable 186.6 186.6 9.4% -8.7
Coronation Inflation plus 93.1 93.1 4.7% 92.0
Investec Cautious Managed 92.9 92.9 4.7% 91.6
Money Market Portfolio 6.6%
Investec Money Market 132.1 132.1 6.6% 2.4
Shari'ah Portfolio 0.6%
Prescient 27four Shari'ah Balanced 11.1 11.1 0.6% 0.1
TOTAL 1 470.6 372.6 132.1 11.1 1 986.5 100% -14.8
Market Linked Portfolio Net Stable Portfolio Net Money Market Portfolio Net Shari'ah Portfolio Net
31-Jul-17 3.81% 2.39% 0.72% 2.08%
31-Aug-17 0.84% 0.23% 0.74% 1.30%
30-Sep-17 0.72% 1.26% 0.74% 0.78%
Q3 2017 5.44% 3.92% 2.22% 4.22%
Asset allocation – Market-Linked Portfolio
11
• The chart below compares the actual asset allocation of the Market-Linked Portfolio to its strategic asset allocation. We also
show the deviation from the benchmark (the so-called active money) and the upper and lower re-balancing ranges.
• The Portfolio is within the tolerance limits for each asset class as at 30 September 2017 so no rebalancing is required.
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49.8%
24.2% 26.0%
51.0%
24.0% 25.0%
0.0%
20.0%
40.0%
60.0%
SA equities SA bonds Global Balanced
Actual versus strategic asset allocation
Actual Strategic
-6.0%
-4.0%
-2.0%
0.0%
2.0%
4.0%
6.0%
SA equities SA bonds Global Balanced
Active position relative to re-balancing rules
Local Manager Mix – Market-Linked Portfolio
12
• The charts below compares the actual manager mix to the strategic manager allocation at 30 September 2017.
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33.0% 33.1% 34.0%33.3% 33.3% 33.3%
0.0%
10.0%
20.0%
30.0%
40.0%
Allan Gray Domestic Equity Coronation Houseview Equity Abax
SA Equity Managers
Actual Strategic
50.0% 50.0%50.0% 50.0%
0.0%
10.0%
20.0%
30.0%
40.0%
50.0%
60.0%
Investec Flexible Bonds Coronation Active Bonds
SA Bond Managers
Actual Strategic
Global Manager Mix – Market-Linked Portfolio
13
• The charts below shows the actual versus strategic asset allocation for the Towers Watson Diversified Global Balanced Portfolio
(TWDGBP) at 30 September 2017.
• The chart below shows the actual versus strategic allocation for the relevant TWDGBP underlying managers
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14.8%
70.5%
14.7%15.0%
70.0%
15.0%
0%
25%
50%
75%
100%
Global Bond Building Block Global Equity Building Block Global Listed Property Building Block
Building Block Asset Allocations
Actual Strategic
7.4% 7.4%
12.5%13.3%
11.3% 11.0% 11.0% 11.4%
14.7%
7.5% 7.5%
12.6% 12.6%11.2% 11.2% 11.2% 11.2%
15.0%
0%
2%
4%
6%
8%
10%
12%
14%
16%
Global Bond-Brandywine
Global Bond-Colchester
Global Equity-Ardevora
Global Equity-Hosking
Globa Equity-Lansdowne
Global Equity-Lindsell Train
Global Equity-Veritas
Global Equity-Polaris
Global Property-Resolution Capital
Underlying Manager Allocations
Actual Strategic
Asset allocation and manager mix – Stable Portfolio
14
The charts below show the asset allocation of the Stable Portfolio managers as at 30 September 2017:
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Net SA equities29.0%
Hedged SA Equities
2.2%SA Property
2.0%
SA Bonds13.5%
SA Cash24.4%
Foreign net equities11.7%
Foreign hedged equities11.3%
Foreign cash2.3% Foreign
property1.0%
Foreign bonds2.7%
AG Global Stable
Equities19.8%
Preference Shares3.8%
Real Estate9.4%
Other0.0%
Commodities1.3%Bonds
34.3%
Cash10.0%
International21.4%
Coronation Inflation PlusCash and Deposits25.2%
Bonds and Debentures
34.6%
Property1.8%
Equities13.0%
International25.4%
Investec Cautious Managed
50.1%
24.9% 25.0%
50.0%
25.0% 25.0%
0.0%
10.0%
20.0%
30.0%
40.0%
50.0%
60.0%
Allan Gray Global Stable Investec Cautious Managed Coronation Inflation Plus
Stable Portfolio Managers
Actual Strategic
Asset allocation – Shari’ah Portfolio
15
The chart below shows the asset allocation of the Shari’ah Portfolio as at 30 September 2017
Source: 27Four
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16
Please note that all the performances shown in this
section are net of fees and tax
Investment channel performance
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Market-Linked Portfolio – performance
17
The objective of the Market-Linked Portfolio (MLP) is to out-perform inflation by 5% p.a. over a rolling 7-year period.
The chart below shows the performance of the MLP compared to the strategic asset allocation for measurement periods to 30
September 2017. With effect from 1 June 2012 the investment strategy of the MLP was changed by the introduction of specialist
managers.
The next chart shows the performance of the MLP compared to inflation for periods to 30 September 2017.
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5.4%
9.0% 9.1%
14.5% 14.5% 14.0%11.4%
15.0%
6.9%
9.9% 9.0%
13.2% 13.3% 13.3%10.5%
14.2%
0.0%
5.0%
10.0%
15.0%
20.0%
3 months 1 year 3 years p.a 5 years p.a Since 1/6/2012 p.a. 7 years p.a 10 years p.a Since inception(154 months) p.a.
Return vs SAA
Market Linked Market-Linked Benchmark
5.4%
9.0% 9.1%
14.5% 14.5% 14.0%11.4%
15.0%
0.9%
5.1% 5.3% 5.6% 5.6% 5.5% 6.0% 5.9%
0.0%
5.0%
10.0%
15.0%
20.0%
3 months 1 year 3 years p.a 5 years p.a Since 1/6/2012 p.a. 7 years p.a 10 years p.a Since inception(154 months) p.a.
Return vs Inflation
Market Linked Inflation
Market-Linked Portfolio – rolling performance
18
The next chart shows the real return of the MLP compared to objective of inflation + 5% p.a. shown over rolling 7 years
Investment Objective:
• The Market linked portfolio is ahead of the Investment objective over all measurement periods.
Risk Constraints:
• Based on the history of the portfolio the probability of the real return (relative to headline inflation) being less than 0% p.a. over
any rolling 7-year period is 0.
• Based on the history of the portfolio the probability of the nominal return is less than 0% p.a. (i.e. capital loss) over any rolling
7-year period is 0.
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0.00%
2.00%
4.00%
6.00%
8.00%
10.00%
12.00%
Dec-1
1
Ma
r-12
Jun
-12
Se
p-1
2
Dec-1
2
Ma
r-13
Jun
-13
Se
p-1
3
Dec-1
3
Ma
r-14
Jun
-14
Se
p-1
4
Dec-1
4
Ma
r-15
Jun
-15
Se
p-1
5
Dec-1
5
Ma
r-16
Jun
-16
Se
p-1
6
Dec-1
6
Ma
r-17
Jun
-17
Se
p-1
7
7 year real return (target = 5% p.a)
MLP real retun Target
Stable Portfolio – performance
19
The objective of the Stable Portfolio (SP) is to out-perform inflation by 3% p.a. over a rolling 3-year period.
The investment strategy of the SP was changed on 1 June 2012. The chart below shows the performance of the SP compared to
the benchmark (CPI +3%) since inception.
The chart below shows the performance relative to inflation for periods to 30 September 2017.
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3.9%
6.7%7.4%
8.8% 8.7%7.8% 8.1%
10.0%
1.6%
8.2% 8.4% 8.9% 8.9% 8.8% 9.2% 9.0%
0.0%
2.0%
4.0%
6.0%
8.0%
10.0%
12.0%
3 months 1 year 3 years p.a 5 years p.a Since 1/6/2012 p.a. 7 years p.a 10 years p.a Since inception (192months )p.a.
Return vs CPI+3%
Stable Portfolio Stable Portfolio Target (CPI+3%)
3.9%
6.7% 7.4%8.8% 8.7%
7.8% 8.1%
10.0%
0.9%
5.1% 5.3% 5.6% 5.6% 5.5% 6.0% 5.8%
0.0%
2.0%
4.0%
6.0%
8.0%
10.0%
12.0%
3 months 1 year 3 years p.a 5 years p.a Since 1/6/2012 p.a. 7 years p.a 10 years p.a Since inception (192months) p.a.
Return vs Inflation
Stable Portfolio Inflation
Stable Portfolio – rolling performance
20
The chart below shows the real return of the Stable Portfolio compared to the objective of inflation + 3% p.a. over rolling 3 year
periods.
Investment Objective:
• The Stable portfolio has been ahead of the Investment objective for 64% of the rolling 3-year periods.
Risk Constraints:
• Based on the history of the portfolio the probability of nominal return being less than 0% p.a. (i.e. capital loss) over any rolling
3-year period is 0.
• Based on the history of the portfolio the probability of the nominal return being less than 0% p.a. (i.e. capital loss) over any
rolling 1-year period is 0.
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0.00%
2.00%
4.00%
6.00%
8.00%
10.00%
12.00%
14.00%
16.00%
18.00%
Se
p-0
4
Dec-0
4
Ma
r-05
Jun
-05
Se
p-0
5
Dec-0
5
Ma
r-06
Jun
-06
Se
p-0
6
Dec-0
6
Ma
r-07
Jun
-07
Se
p-0
7
Dec-0
7
Ma
r-08
Jun
-08
Se
p-0
8
Dec-0
8
Ma
r-09
Jun
-09
Se
p-0
9
Dec-0
9
Ma
r-10
Jun
-10
Se
p-1
0
Dec-1
0
Ma
r-11
Jun
-11
Se
p-1
1
Dec-1
1
Ma
r-12
Jun
-12
Se
p-1
2
Dec-1
2
Ma
r-13
Jun
-13
Se
p-1
3
Dec-1
3
Ma
r-14
Jun
-14
Se
p-1
4
Dec-1
4
Ma
r-15
Jun
-15
Se
p-1
5
Dec-1
5
Ma
r-16
Jun
-16
Se
p-1
6
Dec-1
6
Ma
r-17
Jun
-17
Se
p-1
7
3 year real return (target = 3% p.a.)
Stable Portfolio real return (3yr) Target
Money Market Portfolio - performance
21
The objective of the Money Market Portfolio (MMP) is to out-perform inflation by 1.0% p.a. over any 12 month period. This
portfolio was established on 1 October 2001.
The chart below shows the performance of the MMP compared to the benchmark (STeFI Composite) for measurement periods to
30 September 2017. The performance of the MMP has been very good and has exceeded the benchmark over the longer
measurement periods.
The chart below shows the performance relative to inflation for periods to 30 September 2017. The performance is well ahead of
inflation over the longer periods.
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2.2%
9.1%8.1%
7.3%8.2% 8.6%
1.8%
7.6%7.0%
6.4%7.2%
8.0%
0.0%
2.0%
4.0%
6.0%
8.0%
10.0%
3 months 1 year 3 years p.a 5 years p.a 10 years p.a Since inception 192 monthsp.a.
Return vs STeFi Composite
Money Market Portfolio STeFi Composite
2.2%
9.1%8.1%
7.3%8.2% 8.6%
0.9%
5.1% 5.3% 5.5% 6.0% 5.8%
0.0%
2.0%
4.0%
6.0%
8.0%
10.0%
3 months 1 year 3 years p.a 5 years p.a 10 years p.a Since inception 192 monthsp.a.
Return vs Inflation
Money Market Portfolio Inflation
Money Market Portfolio – rolling performance
22
The chart below shows the real return of the MMP compared to objective of inflation + 1.0% p.a. The MMP has delivered in
excess of the target (inflation +1.0% p.a.) 71% of the time over 12 months demonstrating that in spite of very good manager skill
the achievement of the objective is dependent on short term interest rates relative to inflation which in turn is a function of
Reserve Bank monetary policy.
Risk Constraint:
• Based on the history of the portfolio the probability of nominal return being less than 0% p.a. (i.e. capital loss) over any period
of 1 month or more is 0.
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-4.00%
-2.00%
0.00%
2.00%
4.00%
6.00%
8.00%
10.00%
12.00%
14.00%
Se
p-0
2
Dec-0
2
Ma
r-03
Jun
-03
Se
p-0
3
Dec-0
3
Ma
r-04
Jun
-04
Se
p-0
4
Dec-0
4
Ma
r-05
Jun
-05
Se
p-0
5
Dec-0
5
Ma
r-06
Jun
-06
Se
p-0
6
Dec-0
6
Ma
r-07
Jun
-07
Se
p-0
7
Dec-0
7
Ma
r-08
Jun
-08
Se
p-0
8
Dec-0
8
Ma
r-09
Jun
-09
Se
p-0
9
Dec-0
9
Ma
r-10
Jun
-10
Se
p-1
0
Dec-1
0
Ma
r-11
Jun
-11
Se
p-1
1
Dec-1
1
Ma
r-12
Jun
-12
Se
p-1
2
Dec-1
2
Ma
r-13
Jun
-13
Se
p-1
3
Dec-1
3
Ma
r-14
Jun
-14
Se
p-1
4
Dec-1
4
Ma
r-15
Jun
-15
Se
p-1
5
Dec-1
5
Ma
r-16
Jun
-16
Se
p-1
6
Dec-1
6
Ma
r-17
Jun
-17
Se
p-1
7
1 year real return (target = 1% p.a.)
Money Market Portfolio real return Target
Shari’ah Portfolio - performance
23
The objective of the Shari’ah Portfolio is to out-perform inflation by 4.0% p.a. over a rolling 5 year period. The Shari’ah Portfolio
was funded on 1 July 2012.
The chart below shows the performance of the Shari’ah Portfolio compared to the benchmark and inflation for measurement
periods to 30 September 2017.
Benchmark: 45% JSE Shari’ah ALSI* 32% STeFi Composite 18% Dow Jones Titans 100 World and 5% Dow Jones Global Sukuk
Index.
* The JSE Shari’ah All Share Index is heavily weighted towards Resources shares and is not a suitable benchmark for SA equity
Shari’ah compliant mandates.
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4.2% 4.1%
5.0%
9.3% 9.3%
7.2% 7.2%
4.6%
9.4%9.8%
0.9%
5.1% 5.3% 5.5% 5.5%
0.0%
2.0%
4.0%
6.0%
8.0%
10.0%
12.0%
3 months 1 year 3 years p.a 5 years p.a Since inception 63 months p.a.
27four Shari'ah Balanced Benchmark Inflation
24
Please note that all the performances shown in this
section are gross of investment manager fees other than
for 27Four, Prescient Positive Return and Abax where the
performance is shown net of all fees and costs
Manager Performance
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SA equity performance
25
Allan Gray and Coronation were funded in June 2012 and Abax on 1 November 2016. The charts below show the SA equity
manager performance over measurement periods to 30 September 2017.
The chart below show the performance since inception for Allan Gray and Coronation (64 months) and Abax (11 months) to 30
September 2017.
Benchmark: FTSE / JSE Capped All Share Index (J303T) up to 30 June 2017 , FTSE / JSE Capped SWIX Index (J433T ) from 1
July 2017 onwards .
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6.0%
14.7%
9.1%
14.8%12.0%
5.0%
13.1%
9.2%
13.6%
0.0%
5.0%
10.0%
15.0%
20.0%
11 months Since inception 64 months p.a.
Manager performance since inception
AG Domestic Equity Coronation Houseview Equity ABAX Benchmark Peer Group Median
3.7%2.9%
7.8%
14.1%
6.1%4.7%
5.8%
13.6%
6.1% 6.0%7.0% 6.3%
12.0%
6.3% 6.0% 6.5%
12.5%
0.0%
5.0%
10.0%
15.0%
3 months 1 year 3 years p.a 5 years p.a
Manager performance compared to benchmark and peer group
AG Domestic Equity Coronation Houseview Equity ABAX Benchmark Peer Group Median
SA equity managers – top 10 holdings
26
The tables below show the top 10 holdings for the SA equity managers Allan Gray, Coronation and Abax as well as for the combined SA equity
portfolio versus the benchmark (Capped SWIX) as at 30 September2017:
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Allan Gray Domestic Equity % of portfolioBenchmark
Holding (%)
SOL Sasol Limited 9.6% 4.2%
NPN Naspers Limited 9.2% 10.3%
SBK Standard Bank Group Limited 7.5% 4.1%
BTI British American Tobacco Plc 7.4% 3.9%
OML Old Mutual 6.2% 2.0%
REM Remgro Limited 4.3% 2.2%
REI Reinet Investments SCA 3.5% 0.8%
INP Investec Plc 3.7% 0.6%
LHC Life Healthcare Group Holdings Limited 2.9% 0.7%
NTC Netcare Limited 2.3% 0.7%
56.8% 29.5%
Abax % of portfolioBenchmark
Holding (%)
NPN Naspers Limited 20.5% 10.3%
BTI British American Tobacco Plc 9.0% 3.9%
FSR Firstrand Limited 5.6% 3.5%
SNH Steinhoff International H Nv 4.6% 3.2%
MTN Mtn Group Limited 4.6% 4.5%
BIL Bhp Billiton Plc 3.6% 1.7%
SOL Sasol Limited 3.3% 4.2%
BGA Barclays Africa Group Limited 3.2% 1.9%
OML Old Mutual Plc 2.8% 2.0%
MNP Mondi Plc 2.7% 0.7%
59.9% 35.8%
Coronation Houseview% of
portfolio
Benchmark
Holding (%)
NPN Naspers Limited - N 10.0% 10.3%
SOL Sasol Limited 9.9% 4.2%
SBK Standard Bank Group Limited 7.6% 4.1%
OML Old Mutual 6.6% 2.0%
BTI British American Tobacco Plc 6.5% 3.9%
REM Remgro Limited 4.8% 2.2%
INP Investec Plc 3.3% 0.6%
REI Reinet Investments SCA 3.3% 0.8%
LHC Life Healthcare Group Holdings Limited 2.8% 0.7%
NTC Netcare Limited 2.3% 0.7%
57.0% 29.5%
Combined SA Equity
% of
Combined
portfolio
Benchmark
Holding (%)
NPN Naspers Limited 16.5% 10.3%
SOL Sasol Limited 9.4% 4.2%
BTI British American Tobacco Plc 9.0% 3.9%
SBK Standard Bank Group Limited 6.7% 4.1%
OML Old Mutual 6.5% 2.0%
REM Remgro Limited 4.6% 2.2%
REI Reinet Investments SCA 3.6% 0.8%
BGA Barclays Africa Group Limited 2.7% 1.9%
BIL BHP Billiton Plc 2.7% 1.7%
FSR Firstrand Limited [FSR] 2.6% 3.5%
64.3% 34.5%
SA bond performance
27
The SA bond managers were funded on 1 June 2012. The chart below shows the SA bond manager performance over
measurement periods to 30 September 2017.
Coronation and Investec have out-performed the benchmark over all measurement periods.
Benchmark: BESA All Bond Index
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4.0%
9.4% 9.0%8.2%
9.5%
4.1%
9.2%8.7%
7.3%
8.3%
3.7%
8.2%7.6%
6.3%
7.6%
3.8%
9.1%8.5%
7.1%
8.3%
0.0%
2.0%
4.0%
6.0%
8.0%
10.0%
3 months 1 year 3 years p.a 5 years p.a Since inception 64 months p.a.
Manager performance compared to benchmark and Peer Group Median
Coronation Active Bonds Investec Flexible Bond Benchmark Peer Group Median
TW Diversified Global Balanced Portfolio (ZAR)
28
The return for the transition period, i.e. 1 November 2016 to 7 December 2016 was 0.9%
The chart shows the TWDGBP gross of fees performance (in ZAR) over measurement periods to 30 September 2017.
The charts below show the gross of fees performance (in ZAR) for the relevant TWDGBP building blocks over measurement
periods to 30 September 2017.
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8.0%
18.1%
7.8%
14.3%
0%
2%
4%
6%
8%
10%
12%
14%
16%
18%
20%
3 months Since incep (8 Dec 2016)
TWDGP (ZAR) Benchmark
6.6%
10.7%
4.8%5.5%
0%
2%
4%
6%
8%
10%
12%
3 months Since incep (8 Dec 2016)
Global Bonds (ZAR) Benchmark
8.8%
22.9%
9.1%
18.3%
0%
4%
8%
12%
16%
20%
24%
28%
3 months Since incep (8 Dec2016)
Global Equity (ZAR) Benchmark
6.1%
11.2%
4.7%5.5%
0%
2%
4%
6%
8%
10%
12%
3 months Since incep (8 Dec 2016)
Global Listed Property (ZAR) Benchmark
TW Diversified Global Balanced Portfolio (ZAR)
29
The chart shows the gross of fees performance (in ZAR) for the TWDGBP underlying managers over measurement periods to 30
september 2017.
The charts below show the gross of fees performance (in ZAR) for the TWDGBP underlying managers over measurement periods
to 30 September 2017
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10.3%
24.5%
9.4%
21.0%
8.3%
18.9%
8.9%
31.3%
7.2%
24.7%
8.2%
17.4%
0%
5%
10%
15%
20%
25%
30%
35%
3 months Since incep (8 Dec 2016)
Underlying global equity Manager returns (ZAR)
Ardevora Hosking Lansdowne Lindsell Train Veritas Polaris
7.1%
13.1%
6.2%8.3%
0%
4%
8%
12%
3 months Since incep (8 Dec 2016)
Underlying global bond manager returns (ZAR)
Brandywine Colchester
6.1%
18.9%
0%
5%
10%
15%
20%
3 months Since incep (8 Dec 2016)
Underlying global property manager returns (ZAR)
Resolution Capital
TW Diversified Global Balanced Portfolio (USD)
30
The chart shows the TWDGBP gross of fees performance (in USD) over measurement period to 30 June 2017
The charts below show the gross of fees performance (in USD) for the relevant TWDGBP building blocks from inception to 30
June 2017
© 2017 Willis Towers Watson. All rights reserved. Proprietary and Confidential. For Willis Towers Watson and Willis Towers Watson client use only.
4.2%
17.2%
3.9%
15.4%
0%2%4%6%8%
10%12%14%16%18%20%
3 months Since incep (8 Dec 2016)
TWDGP (USD) Benchmark
2.8%
9.5%
1.1%
4.3%
0%
2%
4%
6%
8%
10%
3 months Since incep (8 Dec 2016)
Global Bonds (USD) Benchmark
4.9% 5.2%
0%
2%
4%
6%
8%
10%
12%
14%
16%
3 months Since incep (8 Dec2016)
Global equity (USD) Benchmark
2.3%
10.0%
1.0%
4.3%
0%
2%
4%
6%
8%
10%
12%
3 months Since incep (8 Dec 2016)
Global Listed Property (USD) Benchmark
TW Diversified Global Balanced Portfolio (USD)
31
The chart shows the gross of fees performance (in USD) for the TWDGBP underlying managers from inception to 30 September
2017
The charts below show the gross of fees performance (in USD) for the relevant TWDGBP underlying managers from inception to
30 September 2017
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3.9%
14.6%
5.4%
22.1%
4.4%
20.5%
5.0%
28.3%
3.4%
24.0%
4.3%
18.7%
0%
5%
10%
15%
20%
25%
30%
3 months Since incep (8 Dec 2016)
Underlying global equity Manager returns (USD)
Ardevora Hosking Lansdowne Lindsell Train Veritas Polaris
3.2%
14.3%
2.4%
8.4%
0%
4%
8%
12%
3 months Since incep (8 Dec 2016)
Underlying global bond manager returns (USD)
Brandywine Colchester
2.3%
12.2%
0%
4%
8%
12%
3 months Since incep (8 Dec 2016)
Underlying global property manager returns (USD)
Resolution Capital
Stable Portfolio managers performance
32
The chart below shows the Stable Portfolio managers performance over measurement periods to 30 September 2017. The Stable
Portfolio assets were split 50%:50% between Allan Gray Global Stable Fund and Prescient Positive Return Fund on 1 June
2012.Precient Positive Return was terminated on 1 August 2017 and the Prescient assets were split 50%:50% between
Coronation Inflation Plus and Investec Cautious Managed.
The Chart below shows the performance since inception for Allan Gray Global Stable Fund (64 Months), Coronation Inflation Plus
and Investec Cautious Managed (2 Months) .
Benchmark : CPI + 3% p.a.
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4.4%
8.9%9.6%
11.1%
1.6%
8.2% 8.4% 8.8%
0.0%
2.0%
4.0%
6.0%
8.0%
10.0%
12.0%
3 months 1 year 3 years p.a 5 years p.a
Manager performance compared to benchmark
Coronation Inflation Plus Allan Gray Global Stable Investec Cautious Managed Benchmark
1.4% 1.7%
10.8%
2.4%
1.1%
8.8%
0%
2%
4%
6%
8%
10%
12%
2 months Since inception 64 months p.a.
Coronation Inflation Plus Allan Gray Global Stable Investec Cautious Managed Benchmark
Strategic Issues
33
The Trustees are considering making an allocation to Africa ex-SA listed equities (a contrarian investment opportunity) in the
Market-linked Portfolio.
The “Default” regulations became effective on 1 September 2017 ,and retirement funds need to comply by 1 March 2019. We will
consider the Fund’s compliance with Regulation 37 on default investment portfolios at the 3-year strategy review in March 2018.
© 2017 Willis Towers Watson. All rights reserved. Proprietary and Confidential. For Willis Towers Watson and Willis Towers Watson client use only.
Manager fees summary
34
The table below shows the managers fees paid for the quarter to 30 September 2017.
Sygnia fee is an estimate and excludes any performance fees.
The Coronation Active Bond performance fee of R247 649.74 was paid in August 2017 in respect of performance for the year
ending 30 June 2017.The Active Bond portfolio outperformed the benchmark by 1.45% over the period.
© 2017 Willis Towers Watson. All rights reserved. Proprietary and Confidential. For Willis Towers Watson and Willis Towers Watson client use only.
Allan Gray
Equity
Coronation
Equity
Investec
Money FundAbax
Investec
Bonds
Coronation
Bonds
Coronation
Inflation
plus
Investec
Cautious
Managed
PrescientAllan Gray
GS
27Four
Shari'ahSygnia Total
31-Jul-17 90 617 38 671 10 165 65 030 50 209 29 547 n/a n/a 87 647 47 925 6 221 252 499 675 425
31-Aug-17 97 366 41 266 11 396 67 080 51 016 277 420 51 607 0 n/a 46 750 6 100 240 967 888 047
30-Sep-17 103 428 40 119 11 345 64 362 51 522 29 236 54 024 47 921 0 46 773 6 068 253 140 704 982
TOTAL Q3 291 412 120 056 32 906 196 472 152 747 336 203 105 630 47 921 87 647 141 448 18 388 746 606 2 268 454
Manager fees summary and fee basis
35
The table below compares the manager fees paid since their inception date per investment portfolio:
The returns and fees for Abax , Sygnia , Coronation Inflation Plus and Investec Cautious Managed are not annualized.
The table below shows the fee basis for the various managers used by the Fund.
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Allan Gray
Equity
Coronation
Equity
Investec
Money FundAbax
Investec
Bonds
Coronation
Bonds
Coronation
Inflation plus
Investec
Cautious
Managed
Allan Gray
GS
27Four
Shari'ahSygnia Total
Inception
Date
01 July
201201 July 2012 01 July 2012
01 December
201601 July 2012 01 July 2012
01 August
2017
01 August
201701 July 2012 01 July 2012
08 December
2016
Total fees
paid14 837 835 8 250 499 512 112 684 254 2 548 135 2 433 778 100 324 99 848 6 193 003 341 064 2 465 634 42 782 098
Fees p.a. 0.97% 0.54% 0.10% 0.29% 0.35% 0.32% 0.02% 0.02% 0.70% 0.77% 0.67% 0.58%
Manager
returns p.a.14.6% 14.6% 7.7% 12.0% 7.8% 9.0% 0.3% 2.4% 11.1% 10.1% 18.1%
Benchmark
returns p.a.13.4% 13.4% 6.3% 9.5% 7.0% 7.0% 1.1% 1.1% 8.8% 9.8% 14.3%
Difference 1.1% 1.2% 1.4% 2.4% 0.8% 1.9% -0.8% 1.4% 2.3% 0.3% 3.8%
Manager Fee charged
Allan Gray Equity 0.5% p.a. plus 20% of the out-performance of the benchmark, capped at 2%
Coronation Equity 0.2% p.a. plus 20% of out-performance of SWIX over preceding 12 months capped at 1%
Abax 0.275% fixed fee plus performance fee (20% of the out performance of SWIX)
Investec Bonds 0.35% p.a., changes to 0.4% on out-performance of ALBI+2%
Coronation Bonds 0.2% p.a. plus 10% of out-performance over ALBI over preceding 12 months, capped at 1%
Investec Money Fund 0.1% p.a.
Allan Gray GS 0.4% p.a. plus 20% of the out-performance of the benchmark, subject to a 1.8% overall fee
Sygnia 0.09% p.a. plus underlying manager fee
27Four 0.30% p.a.
Coronation Inflation Plus 0.70% p.a.
Investec Cautious Managed 0.65% p.a.