This communication is intended for investment professionals only and must not be relied on by anyone else.

Absolute Return Investing: wahre Diversifikation

und robuste Portfolio Konstruktion

Dr Jens Kroeske PRM FRM

Quantitative Investment Manager

Hamburg

September 2015

Standard Life Investments weltweit

• Standard Life Investments wurde 1998

als eigenständiges Unternehmen

gegründet

• Standard Life Versicherungsgruppe

wurde 1825 gegründet

• €352,8 Mrd. Vermögen unter Verwaltung

• 570 Investmentspezialisten

• 930 weitere Investment Mitarbeiter

• Zentrale in Edinburgh

• Weitere Büros in

Boston

Dublin

Frankfurt

London

Toronto

Tokyo**Wechselkurs £1:€1.411506 per 30 Juni 2015

* Joint Venture mit HDFC Asset Management

** Strategic Partnership mit Sumitomo Mitsui Trust Bank Limited

Quelle: Standard Life Investments, 30 Juni 2015

Hong Kong

Sydney

Beijing

Seoul

Mumbai*

2

Multi-Asset Investing Team

* Basiert in Nordamerika ** Basiert in Hong Kong

GARS Portfolio Konstrukteure

Reale Renditen und Zins Teams produzieren Makro Analysen, die das GARS Portfolio beeinflussen aber nicht direkt steuern, daher werden diese Teams nicht zur Anzahl

der am GARS Produkt beteiligten Spezialisten dazugezählt und sind grau hinterlegt

Quelle: Standard Life Investments, 31 Juli 2015

Critical combination of skills and experience

MAI Team Mitglieder: Anzahl BereichDurchschnittliche

Erfahrung in Branche

Durchschnittliche Erfahrung bei

Standard Life Investments

Ökonomische Rahmenbedingungen 10 Globale Strategie 15 6

Risikoanalyse 11 Multi-Asset Risiko & Konstruktion 13 8

Entwicklung von Ideen und Umsetzung 26 Multi-Asset Management & Umsetzung 18 10

Kommunikation 10 Multi-Asset Investment -Spezialisten 19 6

SenioritätGröße Stärke

Leiter Multi-Asset and Makro Investments

Multi-Asset Risiko und Konstruktion

Guy Stern CFA

Multi-Asset / Makro Portfolio Management

Multi-Asset Business Management

Zinsen & Reale Renditen

Multi-Asset

Globale Strategie Multi-Asset Investment Spezialisten

Multi-Asset Umsetzung

Jason Hepner CFADr Anne Friel PRM

Dr Brian Fleming CFA PRM

Dr Robert de Roeck

Dr Jens Kroeske PRM FRM

Malin Nairn

James Esland CFA

Philip Laing

Roger Sadewsky

Colette Conboy

Scott Smith CFASebastian Mackay

Murray Forbes

Adam Rudd CFA

David Sol

Owen McCrossan FIA Richard Martin FIA

Neil Richardson

Naglis Vysniauskas

Katy Forbes CFA

Adam Skerry

Tom Walker

Aaron Rock

Jack Kelly

Liam O’Donnell CFA

Ross Hutchison

Dougie Smyth CFA

Norest Zvavamwe CFA

Christopher Nichols FIA

Malcolm Jones FFA

David Bint

Scott Kay

William Martinez CFA

Tam McVie*

Stuart Peskin CFA*

Rebecca Nichols FIA*

Jason Yu CFA**

Dongyue Zhang FSA CFA**

David Kirkpatrick

Audrey Simpson Alex Berry

Jennifer Catlow CFA

Stephen KerrKevin Hogg

Harry Barnes

Kenny MacMaster

Andrew Milligan

Frances Hudson

Craig Hoyda

Govinda Finn

Harry Smith

Jeremy Lawson

Alex Wolf

James McCann

Stephanie Kelly

Abdel Chabi-YoLynne Provan

Andy McNeillGraeme Lindsay

Nicholas HutchingsMark Holden

Vincent Ropers

Hanyi ChenGerry Fowler CFA

Dr Chris Faulkner –

MacDonagh

3

Buy portfolio insurance or diversify?

• Historically you would

have needed to pay 1.8%

per quarter,

on average, to cap losses

at 5%

• Tail protection is too

expensive over the long

run

• Diversification is a much

more efficient way to deal

with tail risk

Source: Bloomberg, Standard Life Investments, May 2015 4

But diversification can be hard to achieve

• We have seen a

significant difference in

performance of equity

markets in recent times

• But: Investors lost

between 40 and 60%

regardless of the equity

market in 2007 to 2009

Source: Bloomberg, Standard Life Investments, June 2015 5

Unstable risk characteristics

Correlation of Global Equities with other market sectors

Analysis based on weekly returns

Source: MSWRLDL(RI) MSCI world, JPM GBI-EM, S&P GSCI Commodity Index, ML Global High yield, ML Global Broad Corp, ELUK Index, FXJPEMCI Index; Bloomberg,

Datastream, Standard Life Investments, 30 June 2015 6

And bond yields bottoming out – which way next?

• Over 100 years UK bonds have

outperformed cash by 0.5% on

average

• However this hides periods of

extreme volatility

• 1950-1980: Bonds

underperformed cash by nearly

2%

• 1980-2014: Bonds

outperformed cash by around

3%

UK bond yields through history

Bonds cycles can be long and varied – bull market coming to an end?

Source: Standard Life Investments, Global Financial Data, 30 June 2015

-2

0

2

4

6

8

10

12

14

16

18

1866 1886 1906 1926 1946 1966 1986 2006 2026

Yie

ld (

%)

Long-term Gilt Yield Scenario 1: Deflation

Scenario 2: Weak Recovery Scenario 3: Inflation

Inflation

Weak Recovery

Deflation

7

Philosophie

Grundsätze:

Langfristige Markteinschätzungen führen zu positiven Investmentergebnissen

Viele Investoren haben einen kurzfristigen Zeithorizont

Dies führt zu Marktineffizienzen über 2-5 Jahres-Zeithorizonte

Gründliche analysierende, kreative und geduldige Anleger können dies ausnutzen

Wir können Rendite bringende, risikoarme Portfolien mit längerfristigen Strategien

konstruieren

Wir verbinden viele Strategien und können es uns erlauben, geduldig zu sein

Kurzfristig entwickeln diese sich unterschiedlich, die meisten sollten erfolgreich sein

Im Ergebnis führt dies zu geringem Risiko im Portfolio bei attraktivem Renditepotenzial

Ansatz:

Wir konstruieren robuste Portfolien für zahlreiche Szenarien

Wir erwarten in unserem Basisszenario für zukünftige Marktbedingungen signifikante Renditen für

alle unsere Strategien über einen 3-Jahreszeitraum

Unsere Selektionskriterien fokussieren auf solche Strategien, die auch dann positive Renditen

erzielen, wenn unser Basisszenario falsch ist

Wenn also einige Strategien enttäuschen, werden andere dies durch überdurchschnittliche

Wertentwicklung kompensieren

Wir achten stark auf die Vermeidung konzentrierter Risiken8

Standard Life Staff Pension Scheme

• Background

80% Funded DB plan in 2005

Deficit reduction plan

Drive to reduce risk and burden on sponsor

• Genesis of GARS

Examination of risk drivers

The majority of the SL Pension Scheme assets are

invested in the GARS Strategy

• Transparency and Liquidity

Transparent positioning

Liquid instruments

Safety-first approach

Counterparty selection and diversification

Daily collateralisation

Cash / G7 Government securities only

Daily priced and daily dealing

GARS has full commitment and conviction across Standard Life Group

GARS

Traditional

Equity-heavy

Portfolio

9

Our key multi-asset capabilities

Return target is gross of fees, annualised, evaluated over rolling 3 year periods

Risk measure is annualised volatility. * After institutional fee rebate

Appealing options with established pedigree

Absolute Bonds

(ARGBS/GCAR)

Global Absolute

Return Strategies

(GARS)

Global Focused

Strategies (GFS)

Enhanced

Diversification

Growth Fund (EDGF)

Return target Cash + 3% Cash + 5% Cash + 7.5%Equity-like returns over

the market cycle

Expected volatility 2% to 4% (<5%) 4% to 8% 6% to 12%2/3 the risk of

Equity markets

Ideas universe• Bonds & FX

• Macro

• Multi-asset

• Macro

• Multi-asset

• Macro and Micro

• Multi-asset core

• Macro

Availability Global GlobalGlobal ex-US

Institutional only

UK OEIC &

Custom/Localised

Institutional fee 45bps* 85bps 120bps 50bps

• Broad investment freedom – multiple opportunities irrespective of the environment

• Risk-based portfolio construction – ensures a robust portfolio

• Longer investment time horizon – exploits established inefficiencies

10

Investment ansatz

Eine große Bandbreite an Renditemöglichkeiten

Dauerhafte Vielfalt – durch ein größeres Spektrum an Möglichkeiten

Markt

• Dynamische Allokation

• Langfristige Risikoprämien,

z.Bsp. Aktien,

Unternehmensanleihen,

Immobilienaktien

• Werden nur eingesetzt bei

erwartetem Ertrag auf 3-

Jahressicht

Einzeltitelauswahl

• Aktive Einzeltitelauswahl

• Konventionelle Benchmarks

• Bottom-up, Focus on Change Prozess

Relativer Wert

• Suche nach Paaren eng verbundener

Märkte oder Segmente

• Nach unserer Einschätzung wird

Wertentwicklung der Paarbestandteile

über 3 Jahre unterschiedlich sein

• Gewinn aus unterschiedlicher

Wertentwicklung unabhängig von

Marktrichtung

Direktional

• Spezifische direktionale

Investmentideen

• In Märkten mit geringen oder keinen

langfristigen Risikoprämien

• Signifikantes Renditepotential auf 3-

Jahressicht

T

R

A

D

I

T

I

O

N

E

L

L

M

O

D

E

R

N

11

Investment prozess

Integriert in komplette Investmentkompetenz von Standard Life Investments

Fundamentale

wirtschaftliche

Analyse

Spezialisten-

Meinungen

und

Strategien

Quantitative

Modelle

Bewertungs-

modelle

Multi Asset Risiko und Strukturierung

Prä-Transaktionsrisiko Diversifikations-Beitrag Szenario-Analyse

Strategic Investment Group• Überprüfung

• Diskussion

• Zustimmung /

Absage

Überzeugung

Diversifikation

Liquidität

Entwicklung von Ideen

Selektion

UmsetzungMulti Asset Management

Umsetzung der Strategie Bestimmung der Positionsgröße Handel

Investment

Organisation &

Überwachung

• Unabhängige

Risikoanalyse

• Handelspartner

Risiko-

Management

• Investment

Governance

12

Wesentliche merkmale unserer portfolios

Ausnutzen von bekannten Marktineffizienzen

Positive Ergebnisse überwiegen

Geringe Umschlagshäufigkeit / Kosten

Beständig diversifiziert

Große Bandbreite an ertragsbringenden Strategien

Gute Entwicklung in verschiedenen Szenarien

Transparenz / Kontrolle

Risiken im Portfolio und Ertragsquellen – umfassend und präzise

Reguliertes Investmentvehikel, bekannte Fondsstruktur

Investierbar / Liquide

Fonds ist ohne Einschränkungen täglich handelbar

Unterliegende Vermögensgegenstände sind sehr liquide

Gute Ergänzung zu bestehendem Portfolio

Niedrig korreliert zu traditionellen Investments

13

Building a resilient portfolio

Risk management

Three stages of risk management:

(1) Independent risk modelling using APT system (ex-ante risk)

Daily risk reporting

Basis for pre-trade risk analysis

(2) Scenario analysis

Historical extreme events using RiskMetrics

Future extreme events modelled internally

(3) Realised volatility based on performance (ex-post risk)

15

Risk profiles show diversification effect

• The portfolios are exposed to multiple & diverse market risks

• Total stand-alone investment risk that is deployed to seek returns is commensurate

with the performance objective

• Independent risk analysis shows the benefits of investment diversification

Source: Standard Life Investments GCAR, GARS and GFS portfolios, 30 June 2015 16

Mitigating Model Risk

• Official risk system is supplemented by an internal risk model.

• Each strategy is represented by a combination of time series, and current exposures:

• The model covers a longer time period than standard risk model (14 years vs 3-5 years)

• Used for monitoring:

ex-ante volatility on range of bases

unusual behaviour (v-masks, turbulence)

changes in correlation

variety of diversification measures

• Underpins forward-looking scenario analysis

• Allows behaviour of current strategies throughout 14yr window to be examined

• Basis of ‘sand-box’ for quickly risk-testing exposure changes

Source: Standard Life Investments, June 2015

Understanding risk model limitations is key

Two-way check

against official

risk model

17

Scenario Analysis

• Scenario analysis is used to explore tail risks

Conventional risk systems are calibrated using recent history only

Value-at-risk is a poor representation of tail behaviour

Scenarios should focus on potential portfolio weaknesses, not spurious accuracy

• We look at different types of scenarios

Historical scenarios using RiskMetrics

Large scenario library

Creation of bespoke scenarios

Forward-looking scenarios

Internally modelled

Guided by qualitative expert judgement

Non-traditional stress scenarios

Derivative positions

Counterparties

Better to be approximately right than exactly wrong 18

-28 -26 -24 -22 -20 -18 -16 -14 -12 -10 -8 -6 -4 -2 0 2 4 6 8 10 12 14 16 18

Black Monday 1987

Gulf War 1990

Rate Rise 1994

Mexican Crisis 1995

Asian Crisis 1997

Russian/LTCM

Tech Wreck (April 07 - 14, 2000)

Sept 11th

Equity Sell-Off (August 23 - October 09, 2002)

Equity Rally (October 10 - November 27, 2002)

Gulf War 2 (March 01 - 23, 2003)

Bond Rally (May 01 - June 13, 2003)

Bond Sell-Off (June 14 - July 31, 2003)

Emerging Market Sell-Off 2006 (May 01 - June 08, 2006)

Subprime Debacle 2007 (July 15 - August 15, 2007)

Bank Meltdown 2008 (September 12 - October 15, 2008)

Euro Crisis (July 22 - August 23, 2011)

QE jitters (May 22 - June 24, 2013)

% Move

Historical Scenarios - GFS

* MSCI World Returns prior to 2000 denoted in European Currency Units, except for 1987 which is denoted in German Marks

Source: RiskMetrics, 30 June 2015

Less than half the drawdowns under severe historical stresses

MSCI World (EUR)* GFS Current Portfolio

19

Future scenario analysis

Shaded regions represent the origin of one or more scenarios

Source: Standard Life Investments, June 2015

Modelling techniques can help identify potential concentrations of investment risk

Some scenarios currently of interest:

• Acropolis now

• Cold war 2

• Inflation shocker

• China crisis

• Crunch-time in EM

• The Bundesbank strikes back

• Deflation starts race to the bottom

20

Practical Example GARS: China crisis

Source: Standard Life Investments, June 2015

Focus on potential portfolio weaknesses, not spurious numerical accuracy

Key Factor(examples)

Shock(estimates)

HSI Index -60%

Australian Dollar -15%

Oil Price -47%

CDX HY +400bp

Scenario Impact Estimate

Global Equities -29.8%

GARS -5.8%

Description

Property market slowdown causes growth to drop sharply

Fixed asset investment deteriorates

Labour market strained, wage growth and consumption slows

Risk of banking crises as defaults rise

Social/political unrest as confidence in government breaks down

0%

5%

10%

15%

20%

-50%

-40%

-30%

-20%

-10%

0%

10%

Equity GARS

21

Practical Example GCAR: Inflation shocker

Source: Standard Life Investments, March 2015

Focus on potential portfolio weaknesses, not spurious numerical accuracy

Key Factor(examples)

Shock(estimates)

2 Year US Yield +250 bps

10 Year US Yield +150 bps

S&P 500 -20%

USD vs EM +20%

Scenario Impact Estimate

iBoxx Eur Corp -5.9%

GCAR +1.9%

DescriptionUS wage and core inflation pressures rise sharply

Fed tightens policy more aggressively than expected

Capital outflows from EM

0,00%

2,00%

4,00%

6,00%

8,00%

10,00%

12,00%

14,00%

16,00%ARGBS Iboxx Euro Corp

22

Ex-post risk analysis

Source: Standard Life Investments UK GARS portfolio; Datastream MSWRLDL(RI), MSWRLD$(RI)~£; SunGard Advanced portfolio technologies (APT), 30 June 2015

• Expected volatility range of 4 – 8%

• We track realised volatility relative to

expectation and to risk model estimates

• Many different bases can be used:

monthly, weekly, daily data

various window sizes and weightings

• Measuring relative to equities is a useful way to

normalise

• We expect to be 1/3 to 1/2 of equity volatility

• Equity volatility depends on the perspective: in

currency hedged or unhedged terms

23

Summary

Herausforderung:

• Wie kann echte Portfolio Diversifikation erziehlt werden?

Grundsätze:

Langfristiger Anlagehorizont

Breites Anlageuniversum

Diszipliniertes Risikomanagement

24

Appendices

V-masks for individual positions and overall

Short-term v-masks

(zero return, exponentially weighted, half-life = 3m, 99% confidence),

1 year of daily data

Source: Standard Life Investments, 03 July 2015 26

Financial Turbulence – Measuring the Unusual

• An extension to the v-mask methodology

• Monitors unusual behaviour:

Strategy returns (like V-masks)

Co-movements

Source: Standard Life Investments UK GARS portfolio, 30 June 2015

+0.5%

-0.5%

S&P 500 FTSE 100

Unusual+0.5%

-0.5%

Usual

S&P 500 FTSE 100

Unusual co-movements do not necessarily

correspond to big moves

The numbers above the bars are the z-scores of the strategies in isolation, based on the

previous days moves. The colour of the bar corresponds to the direction of the move -

green for positive, red for negative. The bar heights show which strategies contributed

the most to the overall unusualness score.

27

Der Global Absolute Return Strategies Fonds

Anlageziel:

• Euribor + 5% pro Jahr Renditeziel (brutto, im gleitenden 3-Jahresdurchschnitt)

• Erwartete Schwankungsbreite: 4% bis 8%

Schlüsselfaktoren:

• Zeitrahmen: 3-Jahres Investmentperspektive

Geduldige Anleger können von ineffizienten Märkten profitieren

• Breites Instrumentarium: Große Anlagefreiheit

Verschiedene Investmentstrategien bilden ein robustes Portfolio

Generierung von Ideen, Analyse von Risiken und Fondsmanagement sind in einem

erfahrenen Team integriert

• Ausgewogenheit: Risiko-kontrollierte Umsetzung

Auswahl der Strategien basiert auf Rendite, Diversifikation und Liquidität

Konstruktion von widerstandsfähigen Portfolien, die in verschiedenen Szenarien ein

positives Ergebnis erzielen

28

Wertentwicklung

* Quelle: Standard Life Investments, umgerechnete € Performance von £, Inst. Pooled Pension Portfolio bis 26/01/2011. GARS SICAV Portfolio Wertentwicklung vom

27/01/2011 bis zum 31/07/2015. ** Quelle: Thomson Datastream, 6 Monats Euribor. Wechselkurs £1:€1.41241 per 31/07/2015

Standard Life Investments ist in Übereinstimmung mit den “Global Investment Performance Standards” (GIPS®). Obige fondsspezifische Daten sind eine ergänzende

Information zum Euro GARS GIPS® Composite Report, der im Anhang enthalten ist

Positive Renditen bei geringem Risiko in schwierigen Marktphasen

• Euribor + 5% p.a. Zielrendite6 Monats Euribor +5% p.a. vor Kosten

• €14,1 Mrd. SICAV Fondsvermögen(per 31/07/2015)

• 1500+ institutionelle Kunden weltweit(in allen GARS Portfolien per 31/07/2015)

• 7,9% Rendite p.a. brutto(seit Auflage bis 31/07/2015)

• 5,4% Volatilität(Annualisierte Kennzahl, auf Basis monatlicher Renditen, vom 01/07/2006

bis zum 31/07/2015)

90

100

110

120

130

140

150

160

170

180

190

200

210

Price (

indexed t

o 1

00 a

t in

ception)

Cash (Euribor)** Target Return € GARS (gross)*

29

Risikovergleich

* Quelle: Standard Life Investments, umgerechnete netto € Wertentwicklung des £ Fund bis zum 26/01/2011. GARS SICAV Wertentwicklung seit 27/01/2011 bis zum

31/07/2015. ** Quelle: FactSet, MSCI World €. Quelle: Standard Life Investments, netto Wertentwicklung vom 12/06/2006 zum 31/07/2015

Quelle: Standard Life Investments, 31/07/2015

Rendite mit weniger Risiko

• Volatilität:

GARS 5,4%

Aktien Global 12,9%(annualisiert, auf Basis monatlicher Daten vom 01/07/2006 bis

31/07/2015)

• Maximaler Wertverlust:

GARS -14,3%

Aktien Global -52,9%(auf Basis täglicher Daten bis zum 31/07/2015)

• VaR (95%, wöchentlich):

GARS -1,3%

Aktien Global -3,8%(auf Basis wöchentlicher Daten bis zum 31/07/2015)

55

65

75

85

95

105

115

125

135

145

155

165

175

185

195

205

215

225

Price (

indexed t

o 1

00 a

t in

ception)

Global Equities** € GARS (net)*

30

Global Focused Strategies Fund

* Cash is defined as 6 month EURIBOR

Source: Standard Life Investments, 30 June 2015

A distinct and complementary investment proposition

• Our Multi-Asset capabilities are all based on:

Objectives aligned with our clients’ needs

Collaborative / broad research platform

Rigorous risk-based portfolio construction

…enabling strong and consistent performance and risk

• GFS extends our capability with a distinct and complementary proposition:

Enhanced absolute return objective: Cash* +7.5% annualised, on a three year rolling basis

Attractive risk, expected volatility: 6% to 12%

Regulated SICAV structure: Broad availability, liquidity, multiple currencies

• 3 additional sources of added value:

Enhanced Macro Strategies

Focused Macro Strategies

Granular thematic stock-specific strategies

31

0%

5%

10%

15%

20%

25%

30%

35%GFS cumulative modelportfolio

Cash +7.5% cumulativemodel portfolio

GFS

cumulative

live portfolio

Cash +7.5%

cumulative live

portfolio

GFS launch and development

* Gross cumulative representative performance, GBP, 30 November 2013

** From 01 July 2012 to 30 November 2013

Source: Standard Life Investments, gross representative performance, EUR, 30 June 2015

GFS was a paper-based portfolio for illustrative purposes only from 01 July 2012 to 30 November 2013

Active GFS paper portfolio

July 2012 to 30 November 2013

Cumulative return of 17.4%*

Volatility of 4.3%**

Fund launch

11 December 2013 SICAV (UCITS IV)

Extensive international support,

over €110m at launch

Established interest among clients and

research process established with major

consultants: >€400m of additional

subscriptions to date

Prices (£) Bloomberg: SLGFDHC LX Equity

GBP, USD, EUR, CAD and SEK share

classes

Monthly performance

GFS cumulative live

portfolio

32

Dynamic diversification

Source: Standard Life Investments UK GARS portfolio, 31 December 2006 to 30 June 2015

Market returnsDirectionalRelative ValueSecurity Selection

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

Q4 06 Q4 07 Q4 08 Q4 09 Q4 10 Q4 11 Q1 12 Q2 12 Q3 12 Q4 12 Q1 13 Q2 13 Q3 13 Q4 13 Q1 14 Q2 14 Q3 14 Q4 14 Q1 15 Q2 15

Sh

are

of

Vo

lati

lity

33

H2 2006 2007 2008 2009 2010

Equities 2.0% Equities 3.2% Duration 9.4% Credit 7.0% Duration 6.7%

Duration 1.8% Cash 1.4% Volatility 4.0% Equities 3.7% Equities 2.4%

Security Selection 1.1% Duration 1.3% Cash 1.5% Currencies 3.4% Credit 1.5%

Credit 0.6% Security Selection 1.0% Credit 0.8% Inflation 2.7% Currencies 1.2%

Cash 0.5% Inflation 0.8% Security Selection -0.6% Volatility 1.1% Cash 0.1%

Inflation 0.3% Currencies 0.4% Inflation -2.1% Duration 1.0% Real Estate 0.0%

Volatility 0.2% Credit 0.3% Real Estate -2.3% Cash 0.4% Inflation 0.0%

Real Estate 0.0% Volatility 0.2% Currencies -4.2% Security Selection -0.6% Security Selection -0.4%

Currencies 0.0% Real Estate -0.1% Equities -10.1% Real Estate -0.7% Volatility -0.6%

Total Euro 6.9% 7.3% -4.5% 20.1% 11.3%

2011 2012 2013 2014

Duration 3.6% Credit 4.4% Equities 3.6% Currencies 3.3%

Inflation 1.2% Duration 1.8% Currencies 1.7% Equities 1.5%

Volatility 1.2% Equities 1.2% Credit 0.9% Duration 1.1%

Cash 0.3% Security Selection 0.8% Security Selection 0.8% Credit 0.7%

Real Estate 0.0% Inflation 0.6% Duration 0.5% Real Estate 0.6%

Currencies -0.2% Cash 0.2% Real Estate 0.4% Cash 0.2%

Credit -0.3% Real Estate 0.1% Cash 0.3% Inflation 0.0%

Equities -0.8% Volatility -0.1% Inflation -0.1% Security Selection -0.2%

Security Selection -1.3% Currencies -0.6% Volatility -0.4% Volatility -0.5%

Total Euro 4.2% 8.4% 7.4% 6.5%

GARS – finding positive strategies in all markets

GARS strategy group contributors by calendar year

Balance: well diversified set of individual strategies within the broader groups

Source Standard Life Investments, 31 December 2014 (€)

Currencies 3.3%

Equities 1.5%

Duration 1.1%

Credit 0.7%

Real Estate 0.6%

Cash 0.2%

Inflation 0.0%

Security Selection -0.2%

Volatility -0.5%

34

1 year cumulative performance attribution

Source: Standard Life Investments GARS SICAV portfolio, 30 June 2015 35

Entwicklung der Vermögen in der GARS Strategie

€1.1bn

€1.4bn

€2.1bn

€3.3bn

€5.3bn

€6.2bn

€7.2bn

€8.7bn

€13.3bn

0

10.000

20.000

30.000

40.000

50.000

60.000

70.000

Jun 0

6

De

z 0

6

Jun 0

7

De

z 0

7

Jun 0

8

De

z 0

8

Jun 0

9

De

z 0

9

Jun 1

0

De

z 1

0

Jun 1

1

De

z 1

1

Jun 1

2

De

z 1

2

Jun 1

3

De

z 1

3

Jun 1

4

De

z 1

4

Jun 1

5

SL Pension Scheme GARS UK Pooled Offshore Pooled N. American Pooled GARS SICAV

Quelle: Standard Life Investments, 30. Juni 2015

€m

illio

ns

3.8% 9.6% 17.2% 14.9% -9.6%30.3% 16.8%

65.9%

43.4%18.3%

27.7%

30.9%

29.4%

25.0%

13.5%

12.2%

% Wachstum der Vermögen

19.0%

27.7%

36

Diverse client base

A conversion rate of £1:€1.41151 as at 30 June 2015 has been used

Source: Standard Life Investments, 30 June 2015

Client Types:

Defined Benefit Pension Plans

Defined Contribution Pension Plans

Charities / Endowments / Foundations

Retail investments

Client Diversity:

Only 4 institutional pooled clients over €250m

The largest single pooled client has c.€300m invested

Investment rationale:

Equity replacement / DGF / Risk Parity

Alternative asset / Global Macro / GTAA, with benefits

Sustain income and real value of principle

Euro Millions

UK Pooled 36,475

SICAV 13,291

Offshore Fund 2,608

Separate US Accounts 7,776

Strategic Investment Allocation Fund 1,512

Standard Life Staff Scheme 5,677

TOTAL 67,339

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The information shown relates to the past. Past performance is not a guide to the future. The value of investment can go down as well as up.

Any data contained herein which is attributed to a third party ("Third Party Data") is the property of (a) third party supplier(s) (the “Owner”) and is licensed for use by Standard

Life**. Third Party Data may not be copied or distributed. Third Party Data is provided “as is” and is not warranted to be accurate, complete or timely. To the extent permitted by

applicable law, none of the Owner Standard Life** or any other third party (including any third party involved in providing and/or compiling Third Party Data) shall have any

liability for Third Party Data or for any use made of Third Party Data. Past performance is no guarantee of future results. Neither the Owner nor any other third party sponsors,

endorses or promotes the fund or product to which Third Party Data relates.

**Standard Life means the relevant member of the Standard Life group, being Standard Life plc together with its subsidiaries, subsidiary undertakings and associated

companies (whether direct or indirect) from time to time."

Standard Life Investments Limited is registered in Scotland (SC123321) at 1 George Street, Edinburgh EH2 2LL.

Standard Life Investments Limited is authorised and regulated by the Financial Conduct Authority.

Calls may be monitored and/or recorded to protect both you and us and help with our training.

www.standardlifeinvestments.com

© 2015 Standard Life, images reproduced under licence

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