Trustee Choice Portfolio Range

Trustee Choice Portfolio

June 2018

Investment strategy Investment portfolio mandate

This investment portfolio is aimed at members of a retirement fund who are close to retirement. These members would have a short- to medium-term investment horizon and should be invested in predominantly defensive asset classes. This is achieved by having a 67.5% benchmark allocation to investments that should preserve the purchasing power of the capital accumulated. The portfolio incorporates all opportunities identified and performance fees may be paid within investment mandates, should they sufficiently enhance investment returns after fees.

The long-term return objective of this portfolio is inflation plus 3% a year over three-year rolling periods. All combinations of asset classes are considered and an optimum allocation is selected to achieve this objective with a high degree of certainty. Alternative asset-class opportunities are continually investigated. The risk of exposure to losses in the short term is continually managed by maximising diversification to predominantly active strategies within specialist investment mandates within each asset classes. This portfolio is managed in accordance with the investment limitations set out in Regulation 28 of the Pension Funds Act.

Benchmark allocation

Asset Class Allocation BenchmarkLocal equities 20.00% FTSE/JSE Shareholder Weighted Capped IndexLocal property 7.50% FTSE/JSE SA Listed Property IndexLocal bonds 12.50% JSE ASSA All Bond IndexLocal cash 27.50% Short-term Fixed Interest Composite IndexLocal ILB 15.00% JSE ASSA Inflation-linked Government Bond IndexLocal commodities

7.50% Short-term Fixed Interest Composite Index

Global equities 5.00% MSCI All Countries World IndexGlobal bonds 5.00% Citigroup World Government Bond Index

Investment returns

One Month

Three Months

OneYear

Three Years

Five Years

Since Inception

Portfolio 1.25% 2.48% 7.68% 6.43% 8.33% 10.71%Benchmark 0.37% 0.50% 6.84% 6.36% 8.16% 9.83%CPI + 3.0% p.a 7.38% 8.33% 8.44% 8.70%

Risk analysis

(Calculation based on five-year period) Portfolio Benchmark Volatility 3.5% 3.6%Maximum drawdown -1.7% -1.6%Worst month -1.7% -1.6%Best month 3.1% 2.8%

Portfolio Benchmark

Asset allocation

The benchmark for the local equity component was changed on 1 November 2017 from the FTSE/JSE Shareholder Weighted Index to the FTSE/JSE Shareholder Weighted Capped Index. Changes were made to the strategic asset allocations on 30 May 2014 and the benchmark returns were changed from 1 June 2014. The inception date of the Momentum Enhanced Factor 3 Portfolio, which is the underlying building block of the Trustee Choice Portfolio, is 1 July 2011 and the portfolio and benchmark returns for Momentum Enhanced Factor 3 Portfolio have been used since then. Portfolio and benchmark returns for Momentum Absolute Strategies Portfolio have been used from January 2004.

Comments

Investment portfolio informationInception DateInvestment Horizon

Risk Profile

October 2013Short term

Asset Management Fee 1.3%

One Month One Year WeightingLocal equity managersBlueAlpha 1.21% 13.38% 0.9%Prudential 1.26% 17.17% 1.4%Foord 3.61% -0.60% 1.2%SIM Momentum 0.92% 13.72% 1.1%Fairtree 2.22% 13.45% 1.2%Truffle 1.53% 8.51% 1.2%OMIG 2.70% 11.57% 0.9%Perpetua -1.23% 6.41% 1.0%Momentum Alternative Inv. (private equity 2) 4.34% 0.87% 0.3%Momentum Alternative Inv. (private equity 3) 5.60% 11.82% 0.6%Local property managersCatalyst -3.24% -7.43% 3.7%Meago -3.24% -9.79% 2.4%Local bond managersMomentum Asset Management 0.51% 9.45% 1.6%Momentum Special Opportunities 1.37% 8.80% 1.5%Local cash managersALUWANI 0.69% 9.22% 1.6%Taquanta 0.65% 9.09% 1.4%Atlantic 0.60% 8.27% 1.9%Prescient SRI 0.65% 8.81% 2.9%Local TAA managersPrescient -1.70% 3.80% 4.5%Global equity managersMomentum Global Investment Management 7.90% 19.63% 6.5%Global bond managersAmundi 7.73% 5.68% 4.4%Local absolute-return managersMomentum Moderate FoHF -0.15% 2.17% 4.4%Momentum Stable FoHF 0.16% 5.80% 4.7%Prescient 1.80% 8.96% 8.6%Absa 0.51% 9.99% 8.2%Prudential 0.21% 12.05% 7.3%Sentio 0.37% 10.20% 5.6%Tantalum 0.52% 7.71% 5.4%Local inflation-linked bond managerALUWANI -1.91% 2.30% 6.0%Local commodities managersMiton Optimal 4.59% 11.00% 7.5%Total 100%

Investment manager allocation and returns

Please note that this portfolio will be replaced by the Default Lifestages from 1 July 2018.The asset management fees exclude performance fees where applicable, as well as investment-management fees recovered by the underlying investment managers within the portfolio.

Notes