Quarterly Performance Report · For Willis Towers Watson and Willis Towers Watson client use only. 2 1. Executive Summary 3 2. Introduction 9 3. Market Overview 13 4. Investment Portfolio

Altron Group Pension Fund

© 2018 Willis Towers Watson. All rights reserved.

Quarterly Performance Report

JUNE 2018

TABLE OF CONTENTS

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

1. Executive Summary 3

2. Introduction 9

3. Market Overview 13

4. Investment Portfolio Performance 18

5. Performance Analysis – Individual Investment Managers 29

6. Risk and return profile 50

7. Performance relative to objective and inflation 51

8. Comparative Peer Review 55

9. Mandate Compliance 59

Annexure I: Portfolio Returns 63

Annexure II: Portfolio Fees & Mandate Summary 64


1. Executive Summary

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

In terms of the investment objectives set for the Fund:

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

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

benchmark over this period.

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

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

period.

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

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

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

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

PortfolioInvestment

Objective

Inception date

and period to

report date

Meeting

Objective?Benchmark

Out-performing

Benchmark?

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

9 years, 9 months

Yes, by 0.7% p.a.

since inceptionWB Benchmark

No, by -0.5% p.a.

since inception

Pension

ProtectorCPI + 5% p.a.

1 Oct 2008;

9 years, 9 months

Yes, by 0.9% p.a.

since inceptionPP Benchmark

No, by -0.2% p.a.

since inception

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

7 years, 7 months

Yes, by 0.5% p.a.

since inceptionCP Benchmark

No, by -0.9% p.a.

since inception

Shari’ah CPI + 4% p.a.1 May 2013;

5 years, 2 months

No, by -4.8% p.a.

since inception

Shari'ah

Benchmark

Yes, by 2.8% p.a.

since inception


Altron Group Pension Fund

Fund performance per investment portfolio

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

returns for periods longer than a year have been annualised.

Fund performance per asset class and investment manager

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

PortfolioMarket value -

June 2018 R'm

Performance % Portfolio Benchmark ObjectiveInception

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

SA EQUITIES

Coronation Houseview R 229.7 1.3% 1.5% -3.6% 7.8% 3.2% 8.5% 10.9% 11.2% 14.7% Jan-11

Visio R 307.7 0.8% 1.1% -1.3% 6.7% 2.3% n/a 1.6% 3.3% 6.8% Apr-15

Kagiso R 301.4 0.6% 0.6% -4.5% 3.6% 1.4% 7.2% 9.3% 12.0% 13.0% Jun-12

Prudential R 469.9 1.7% 2.8% -1.5% 16.7% 6.7% 12.2% 14.4% 12.0% 14.5% Jun-12

Steyn Capital R 213.3 0.8% 0.0% -9.5% n/a n/a n/a -9.7% 0.1% 2.6% Sep-17

Capped SWIX 0.7% -0.8% -5.9% 8.2% 3.6% 10.0%

TOTAL SA EQUITIES R 1,522.0 1.1% 1.4% -3.5% 7.6% 2.8% 8.2%

SA LISTED PROPERTY

Sesfikile R 93.5 -3.4% -3.8% -16.1% -3.6% n/a n/a 3.1% -0.8% 1.2% Aug-15

Investec Listed Property R 91.3 -3.3% -4.0% -18.3% -6.4% 2.5% 8.4% 12.5% 11.3% 13.3% Jan-11

J253T SAPY -3.5% -2.2% -21.4% -9.9% 0.9% 6.7%

TOTAL SA LISTED PROPERTY R 184.8 -3.4% -3.9% -17.2% -5.0% 3.4% 8.0%


June 2018 R'm

Performance % Portfolio Benchmark ObjectiveInception


Wealth Builder R 1,751.2 3.2% 5.6% 2.6% 9.9% 7.2% 10.8% 11.9% 12.4% 11.2% Oct-08

WB Benchmark 1.7% 2.6% -1.0% 8.8% 6.5% 10.9%

Pension Protector R 3,061.9 1.6% 2.5% 1.1% 7.5% 6.5% 9.8% 11.1% 11.3% 10.2% Oct-08

PP Benchmark 0.6% 1.3% -0.6% 7.5% 6.2% 10.1%

Conservative R 505.5 3.2% 5.0% 4.7% 11.0% 8.3% 9.1% 9.6% 10.5% 9.1% Dec-10

CP Benchmark 1.4% 3.2% 0.9% 8.5% 7.5% 9.7%

Money Market Portfolio R 4.3 0.7% 2.0% 4.4% 8.9% 8.5% 7.7% 6.9% 6.8% 6.8% Oct-08

STEFI 0.6% 1.8% 3.5% 7.3% 7.3% 6.7%

Shari'ah R 6.4 2.4% 5.4% 2.4% 6.8% 4.4% 5.3% 5.0% 2.2% 9.8% May-13

Shari'ah Benchmark 2.4% 7.8% 3.3% 6.2% -0.9% 1.8%

TOTAL R 5,329.3



June 2018 R'm

Performance % Portfolio Benchmark Objective Inception


SA NOMINAL BONDS

FG Dev Bond R 64.4 -0.9% -3.4% 4.3% 11.8% 9.0% 9.0% 11.4% 9.5% 10.7% Jun-08

FG Yield R 42.0 -1.1% -3.2% 4.6% 11.8% 9.2% 9.1% 11.5% 9.5% 10.7% Jun-08

Aluwani Active R 0.0 Terminated Over Quarter Dec-07

BEASSA All-Bond Index -1.2% -3.8% 4.0% 10.2% 7.8% 7.4%

SA IL BONDS (ACTIVES)

Aluwani Passive ILB R 56.8 -2.4% -4.5% -1.0% 0.6% 2.6% 5.7% 7.1% 7.3% 7.3% Aug-08

R202 -2.3% -4.3% -0.8% 0.8% 2.7% 5.9%

FG IDILBF Actives R 49.3 -3.1% n/a n/a n/a n/a n/a May-18

BILBI 15+ year -3.2% -8.3% n/a n/a n/a n/a

PENSIONER MATCHING

PORTFOLIO

Old Mutual Pensioner LHP* R 1,064.2 -2.3% -4.6% n/a n/a n/a n/a Apr-18

FG IDILBF Pensioners R 55.2 -2.8% n/a n/a n/a n/a n/aMay-18

LHP Ref Portfolio+0.5% p.a -2.2% -4.9% n/a n/a n/a n/a

TOTAL SA BONDS R 1,331.9 -2.2% -4.3% 0.8% 4.4% 4.8% 6.7%

SA CREDIT BONDS

Investec Credit Opps R 229.5 0.7% 1.8% 4.2% 10.3% 10.4% 8.9% 9.4% 6.1% 9.8% Feb-11

STEFI 3-month 0.7% 1.8% 3.5% 7.2% 7.0% 6.4%

TOTAL SA CREDIT BONDS R 229.5 0.7% 1.8% 4.2% 10.3% 10.4% 8.9%

PRIVATE EQUITY

OM Renewable Energy SFR 81.8 3.5% 3.8% 4.4% 17.6% 15.1% 18.6% 21.0% 12.5% 12.5% Jan-13

CPI + 7% p.a. 0.9% 3.0% 6.3% 11.6% 12.3% 12.4%

Vantage Mezzanine Fund II R 56.1 4.1% 8.4% 11.5% 0.4% 7.7% 13.6% 10.1% 16.4% n/a Apr-12

TOTAL PRIVATE EQUITY R 137.9

SA CASH

Investec Money Fund R 5.5 0.7% 2.0% 4.4% 8.9% 8.4% 7.9% 7.7% 6.5% 6.8% Dec-12

STEFI 0.6% 1.8% 3.5% 7.3% 7.3% 6.7%

SHARI'AH

27four Shari'ah Wealth Builder R 6.4 2.4% 5.4% 2.4% 6.8% n/a n/a 2.1% -0.2% 10.1% Sep-16

Shari'ah Benchmark 2.4% 7.8% 3.3% 6.2% n/a n/a



June 2018 R'm

Performance % Portfolio Benchmark Objective

Inception


INT'L EQUITIES (ZAR) (INCLUDING WALTER SCOTT ALLOCATION TO CONSERVATIVE PORTFOLIO)

Hosking R 280.1 6.7% 12.4% 7.5% 13.8% 12.2% n/a 13.3% 14.2% 18.2% Sep-14

Contrarius R 182.2 14.5% 31.7% 27.1% 47.5% 22.6% 23.0% 25.3% 19.7% 23.7% Jan-11

Walter Scott R 197.3 8.6% 18.4% 14.5% 19.6% 15.0% 16.9% 19.9% 19.7% 23.7% Jan-11

Veritas (via Nedgroup) R 277.5 10.8% 19.4% 11.2% 9.9% 12.2% 16.6% 19.2% 19.5% 23.5% Dec-12

Polaris R 196.0 8.0% 17.0% 9.5% 13.8% n/a n/a 28.6% 26.0% 35.7% Aug-16

Ardevora R 202.9 7.4% 17.5% 14.6% 23.0% n/a n/a 31.2% 26.0% 35.7% Aug-16

MSCI AC World (ZAR) 7.7% 16.5% 10.6% 16.4% 13.3% 17.3%

TOTAL INT'L EQUITIES (ZAR) R 1,336.0 9.2% 18.6% 13.1% 18.9% 14.9% 17.5%

INT'L BONDS (ZAR)

Colchester R 103.2 7.6% 10.7% 8.7% 4.6% 6.1% 7.5% 12.5% 11.5% 13.0% Jan-11

JP Morgan Gov Bond (ZAR) 7.9% 12.2% 9.7% 6.4% 7.0% 8.1%

INT'L EQUITIES (USD)

Hosking $20.4 -1.4% -2.8% -2.9% 8.5% 7.6% n/a 5.9% 6.9% 10.9% Sep-14

Contrarius $13.3 5.8% 13.9% 14.8% 41.1% 17.7% 15.3% 13.7% 8.7% 12.7% Jan-11

Walter Scott $14.4 0.4% 2.3% 3.4% 14.3% 10.1% 9.5% 8.7% 8.7% 12.7% Jan-11

Veritas (via Nedgroup) $20.2 2.4% 3.3% 0.5% 5.1% 8.2% 9.7% 10.6% 10.6% 14.6% Dec-12

Polaris $14.3 -0.2% 1.1% -1.1% 8.8% n/a n/a 14.7% 13.5% 18.0% Aug-16

Ardevora $14.8 -0.8% 1.5% 3.5% 17.5% n/a n/a 15.9% 13.5% 18.0% Aug-16

MSCI AC World (USD) -0.5% 0.7% -0.1% 11.3% 8.8% 10.0%

TOTAL INT'L EQUITIES (USD) $97.4 0.9% 2.5% 2.1% 13.6% 10.3% 10.1%

INT'L BONDS (USD)

Colchester $7.5 -0.5% -4.3% -1.2% 0.7% 2.4% 1.1% 2.3% 1.2% 2.7% Jan-11

JP Morgan Gov Bond (USD) -0.3% -3.0% -0.9% 1.7% 2.7% 1.3%



June 2018 R'm

Performance % Portfolio Benchmark Objective

Inception


CONSERVATIVE MANAGERS (EXCLUDING WALTER SCOTT ALLOCATION)

Coronation Global Infl.Plus R 175.2 2.1% 4.3% 3.0% 7.9% 5.7% 8.3% 9.9% 10.4% 9.1% Jan-11

Allan Gray Global

Stable/Absolute**R 178.0 4.4% 6.0% 5.8% 12.6% 11.0% 9.9% 10.4% 10.7% 8.9% Jun-12

ABSA Absolute *** R 19.8 -1.1% -2.6% 1.3% 7.7% 5.6% 7.4% 7.3% 10.2% 8.9% Nov-12

ABAX Domestic/Global

AbsoluteR 99.2 2.3% 2.6% 3.7% n/a n/a n/a 0.9% 0.9% 5.7% Jan-18

CP Benchmark 1.4% 3.2% 0.9% 8.5% 7.5% 9.7%

CONSERVATIVE MANAGERS R 472.2 3.2% 5.0% 4.7% 11.0% 8.3% 9.1%

(Performance includes Walter

Scott)

Period since inception legend (for

managers who exceeded objective

measurement period)

Not meeting benchmark or objective %%

Meeting benchmark but not objective(For WB, PP, CP, Cash and Shari’ah, this means the CPI-related objective is met, but not the benchmark)

%%

Meeting benchmark and objective %%

NOTES:

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

transfers taking place in April. For performance measurement purposes, the inception date of this portfolio is therefore assumed to be 1 April 2018.

** Allan Gray Global Absolute from 01 May 2018; prior to this date Allan Gray Global Stable

*** The residual balance consists of some Eskom inflation-linked bonds and a few similarly illiquid holdings which are being held by ABSA (at zero

management fee) until they can be sold at a reasonable price.


Market value –

Mar 2018 R'm

Investments

R'm

Disinvestments

R'm

Net Investment

income R'm

Market value –

June 2018 R'm

% of Invested Fund

ValueSA EQUITY

Coronation Houseview 226.4 - - 3.3 229.7 4.3%

Visio 304.4 - - 3.3 307.7 5.8%

Kagiso 299.8 - - 1.6 301.4 5.7%

Prudential 457.3 - - 12.6 469.9 8.8%

Steyn Capital 213.4 - - (0.1) 213.3 4.0%

SA LISTED PROPERTY - - - 0.0%

Sesfikile Listed Property 97.1 - - (3.6) 93.5 1.8%

Investec Listed Property 95 - - (3.7) 91.3 1.7%

SA NOMINAL BONDS - - 0.0%

Aluwani Active 167.7 (166.7) (1.0) 0 0.0%

Futuregrowth Development Bond 199.4 (133.3) (1.7) 64.4 1.2%

Futuregrowth Yield 137.6 (94.4) (1.2) 42 0.8%

SA IL BONDS (ACTIVES) - - 0.0%

Aluwani Passive Inflation Linked 790.8 (731.0) (3.0) 56.8 1.1%

Futuregrowth IDILBF Actives 0 53.6 (4.3) 49.3 0.9%

PENSIONER MATCHING

PORTFOLIO- - 0.0%

Old Mutual Pensioner LHP 172.7 938.0 - (46.5) 1064.2 20.0%

Futuregrowth IDILBF Pensioners 0 67.1 (11.9) 55.2 1.0%

SA CREDIT - - 0.0%

Investec Credit Opps 246.4 (21.2) 4.3 229.5 4.3%

PRIVATE EQUITY - - 0.0%

Vantage Mezzanine Fund II 51.8 (0.0) - 4.3 56.1 1.1%

OM Renewable Energy SF 78.9 - - 2.9 81.8 1.5%

SA CASH - - 0.0%

Investec Money Market Fund 23.8 (18.8) 0.5 5.5 0.1%

SHARI'AH - - 0.0%

27 Four Shari'ah 6 0.0 - 0.4 6.4 0.1%

INTERNATIONAL EQUITY - - 0.0%

Hosking 249.2 - - 30.9 280.1 5.3%

Contrarius 138.3 - - 43.9 182.2 3.4%

Walter Scott 166.7 - - 30.6 197.3 3.7%

Ardevora 172.7 - - 30.2 202.9 3.8%

Polaris 167.5 - - 28.5 196 3.7%

Veritas (via Nedgroup Investments) 232.3 - - 45.2 277.5 5.2%

INTERNATIONAL BONDS - - 0.0%

Colchester 93.2 - 10.0 103.2 1.9%

CONSERVATIVE PORTFOLIO - - 0.0%

Coronation Inflation Plus 167.9 0.2 7.1 175.2 3.3%

Allan Gray Global Stable 166.8 1.3 - 9.9 178 3.3%

ABSA Absolute 20.3 - - (0.5) 19.8 0.4%

ABAX Domestic Absolute 96.1 0.6 2.5 99.2 1.9%

TOTAL 5239.5 1,060.8 (1,165.5) 194.6 5329.4 100.0%

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


2.1 Purpose of report

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

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

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

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

any equivalent fees.

2.2 Significant events since the previous quarter

2.2.1 The Old Mutual Liability Hedging Portfolio was implemented during the quarter and is now fully funded.

2.22 In the February Budget Speech, it was announced that the offshore exposure limit for retirement funds will be increased to 30% (from 25%) with an

additional 10% ( previously 5% ) available for investment in Africa (ex-SA).

The fund’s strategic allocations for the Wealth Builder and Pension Protector have been updated in the revised Statement of Investment Principles

(“SIP”) to take account of this important change, which will be effective from 1 July 2018.

2. Introduction


100% 100%

80%

60%

40%

20%20%

40%

60%

80%

100% 100%

0%

20%

40%

60%

80%

100%

8 7 6 5 4 3 2 1

Life Stage Model

Wealth Builder Conservative

2.3 Investment portfolios offered by the Fund

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

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

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

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

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

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

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

• Conservative Portfolio – this portfolio offers some degree of protection against investment risk as members near their retirement age. The portfolio aims toachieve a return of inflation plus 3.5%.

• Pension Protector Portfolio – following the review of the investment strategy, this portfolio is made up of the pensioner assets only and aims to achieve areturn of inflation plus 5% in order to be able to award pension increases in line with inflation.

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

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


Asset Class Wealth Builder Benchmark Inflation Protector Benchmark Pension Protector Benchmark

SA Equities 65.0% 55.0% 45.0%

SA Bonds 5.0% 5.0% 10.0%

SA Index Linked Bonds 8.0% 15.0% 20.0%

SA Cash 2.0% 5.0% 5.0%

International 20.0% 20.0% 20.0%

Wealth BuilderWith effect

1 December 2010With effect

1 March 2011With effect

31 December 2012*Index

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

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

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

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

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

Private Equity (Mezz Debt) 0.0% 2.5% 2.5%STEFI + 10% p.a. (split 1.5% SA equities; 1% SA bonds

for calculation purposes)

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

purposes)

International Equity 17.0% 20.0% 20.0% MSCI All Country World Index (MSCI)

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

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

2.4 General information

2.4.1 The following were the benchmarks against which performance of the Fund’s Life Stage Portfolios were assessed prior to the investment strategy review, i.e. up to 30 November 2010:

* The changes to the strategic asset allocation to target the new 30% offshore allowance will be implemented effective 1 July 2018, with the realignment exercise being targeted for completion during July/August 2018. These changes will include the introduction of two new asset classes in the form of global emerging

market equities and global listed property.


Pension ProtectorWith effect

1 March 2011With effect

31 December 2012With effect 1 May 2018*

Index

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

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

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

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

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

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

purposes)

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

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

Conservative Allocation** Index

SA Equities 24.0% FTSE/JSE Capped SWIX

SA Property 6.0% SA Listed Property SAPY (J253)

SA Credit 35.0% STEFI + 1% p.a.

SA Cash 20.0% STEFI Composite Index

International Equity 15.0% MSCI All Country World Index (MSCI)

* The changes to the strategic asset allocation to target the new (higher) offshore allowance (up from 17.5% to 23%) will be implemented effective 1 July 2018, with the realignment exercise being targeted for completion during July/August 2018.

2.4.3 The benchmark for the Conservative Portfolio is as follows:

2.4.4 The benchmark for the Shari’ah portfolio has been amended from 1 August 2016 to be in line with the internal benchmark used by 27Four for their Wealth Builderfund. This benchmark is as follows: 50% FTSE Shari’ah Capped Top 40 Index, 22.5% Dow Jones Islamic Market Titans 100 Total Return index, 2.5% Lotus

Islamic Market Index, 14% STeFI Composit Index, 5% Newgold Platinum reference price, and 5% Dow Jones Sukuk Index. 1% is held in the call account forliquidity purposes. Prior to 1 August 2016, the Shari’ah benchmark was: 60% FTSE Shari’ah All Share Index, and 40% STEFI Composite Index, less 1%.

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

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

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

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


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

3.1 Index returns

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

SA Equity(Capped

SWIX)

SA Equity(ALSI)

SA Bonds(ALBI)

ListedProperty

(J253 SAPY)

SA Cash(STEFI

Composite)

Int'l Equity(ZAR) (MSCI

AC)

Int'l Bonds(ZAR) (JPMorgan)

ZAR / US $Exchange

HeadlineInflation

(CPI)

3 Months -0.8% 4.5% -3.8% -2.2% 1.8% 16.5% 12.2% 15.7% 1.3%

1 Year 8.2% 15.0% 10.2% -9.9% 7.3% 16.4% 6.4% 4.6% 4.6%

3 Years 3.6% 6.7% 7.8% 0.9% 7.3% 13.3% 7.0% 4.1% 5.3%

5 Years 10.0% 11.1% 7.4% 6.7% 6.7% 17.3% 8.1% 6.7% 5.5%

10 Years 9.8% 9.8% 16.0% 6.9% 12.5% 8.3% 5.8% 5.4%

-15.0%

-10.0%

-5.0%

0.0%

5.0%

10.0%

15.0%

20.0%

3. Market overview


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

(FINDI)

3 Months 4.5% 19.6% 4.0% -6.0% 0.6%

1 Year 15.0% 42.1% 7.5% 10.5% 8.5%

3 Years 6.7% 6.5% 5.6% 3.3% 5.0%

5 Years 11.1% 3.6% 11.9% 11.7% 11.9%

10 Years 9.8% -2.4% 16.7% 14.8% 16.1%

-10.0%

0.0%

10.0%

20.0%

30.0%

40.0%

50.0%

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

3.1.3 Local equities were not insulated from EM headwinds in the second quarter, but a rally in general miners and the dual-listed stocks buoyed the performance

overall. The ALSI gained 4.5% over the quarter but the Capped SWIX was down 0.8%, reflecting the effect on the index of dual-listed shares and Naspers

(limited to 10% in the Capped SWIX). Over the year to date the Capped SWIX was down 5.9% (Mid Caps were down 10.5% and Small Caps were down 5.7%).

3.1.4 Resources was the best performing sector in the second quarter by a large margin. In particular, Chemicals, Forestry and Paper and General Mining stocks

posted exceptional returns over the period.

A softer rand buoyed dual-listed Industrial stocks, and Naspers delivered an exceptional return of 20% over the quarter. Sasol was also a strong contributor to

performance over the quarter.

In contrast, Financials and retailers ended the quarter in negative territory. Losses in SA Listed Property also added to the weakness in Financials. Banks and

retailers were notably weak over the quarter.


3.1.7 The following chart shows the performance of the different sectors of the SA All Bond index and Inflation Linked Bonds for various measurement periodsended 30 June 2018. Cash returns over these periods are also included.

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

Linked BondSA Cash (STEFI)

3 Months -3.8% 0.3% -1.2% -2.9% -4.9% -5.0% 1.8%

1 Year 10.2% 7.8% 7.7% 8.9% 11.3% 1.5% 7.3%

3 Years 7.8% 7.9% 8.5% 7.9% 7.5% 3.2% 7.3%

5 Years 7.4% 7.2% 7.7% 7.2% 7.4% 5.3% 6.7%

10 Years 9.8% 8.4% 9.8% 10.1% 10.2% 7.5% 6.9%

-6.0%

-4.0%

-2.0%

0.0%

2.0%

4.0%

6.0%

8.0%

10.0%

12.0%

14.0%

3.1.8 While foreigners were strong buyers of the local bond market amidst renewed optimism following the election of Cyril Ramaphosa as President of the ANC, they were large net sellers in the second quarter.

The selling occurred in an environment of a sell-off in EM assets in the face of rising US interest rates and a stronger US dollar. Bond returns were still fairly strong over the year to date (up 4.0%) and over the past year (up 10.2%).

It is worth contextualising the recent foreign selling of SA bonds. While foreigners were large sellers of bonds over the quarter in rand terms, this is predominantly a

function of their large holdings. Foreign investors currently own around 39% of South Africa’s domestic government bonds in issue, a dramatic increase from only 9% in 2006. Expressed as a percentage of their holdings, recent selling, while large, was within a “normal” range.

Over the long term, one would expect longer dated bonds (“12+ years”) 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”).

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 are also reflective of a hawkish SARB determined to retain its inflation-fighting credibility.


3.2 Comment on economies and markets over the quarter

Domestic

• Local markets had a positive start to the second quarter, but were inevitably impacted by the headwinds facing EMs globally. SA is a relatively small open economy

(imports and exports are a relatively high percentage of GDP) and is highly dependent on global trade. The rand and the local bond market weakened sharply over

the quarter, along with broad-based EM currency and asset class weakness. It should be pointed out however that the weak 2018-to-date returns, especially when measured in US dollars, follow on from stellar returns enjoyed in 2016 and 2017.

• Economic data disappointed with a decline of 2.2% in GDP growth over the first quarter, which was the largest quarterly decline since the second quarter of 2009. The current account deficit also widened more than expected from 2.9% to 4.8% of GDP in the first quarter of 2018. Recent data releases – specifically corporate

earnings releases, retail sales, mining and manufacturing production – have all disappointed, posing further downward risk to GDP growth for 2018.

• On a positive note, S&P left the sovereign credit rating unchanged and maintained a stable outlook. However, rising government debt remains a concern and structural reforms are yet to be implemented.

• The South African Reserve Bank (SARB) left the repo rate unchanged at 6.5% in May but echoed a more hawkish rhetoric amid risk of inflationary pressures from rand weakness and a rising oil price.

• Within the SA equity market, there was sharp divergence of performance across sectors over the quarter. Gains were driven largely by a rally in cyclical shares which

benefitted Resources (especially general miners and Sasol on the back of the higher oil price), while Financials were weak. Dual-listed shares benefitted from rand weakness.

Global

• Financial market headwinds built over the quarter on the back of US-led global trade tariff increases – which, if deteriorate further, are expected to be negative for

global trade and economic growth – rising short-term US interest rates and a slowing in synchronised economic momentum. The US dollar strengthened in this

environment. These headwinds negatively impacted global investor sentiment and risk appetite over the second quarter of 2018.

• Being more sensitive to global trade and investor sentiment, emerging markets (EMs), were the most affected. EM currencies, equities and bonds all weakened, both

in absolute terms and relative to developed markets (DMs). EM equities declined by nearly 8% (in US dollars) over the quarter, with currency weakness the notabledriver of the weak returns. DM equities eked out a positive return of 1.9% in US dollars for the quarter. The S&P 500 was up 3.4% for the quarter in US dollars.

• The US Federal Reserve (US Fed) raised the Federal Funds rate in June with a hawkish outlook and the general trend of tightening monetary policy conditions

continued elsewhere in the developed world. The European Central Bank (ECB) announced that quantitative easing would come to an end by December 2018,although it stated that interest rates would not be hiked at least until mid-2019.

• EM bond returns were poor amid ensuing capital outflows. The relatively large capital outflows (including those recently experienced by the South African bondmarket) should be viewed in the context of the recent substantial buying of these bonds by foreign investors.


Current Market Risks and Outlook

• The prospects for world trade and growth in emerging economies could face headwinds in light of the recent spate of trade tariffs and proposed changes to US tradepolicy. In the near term, economic conditions should remain supportive of earnings growth and translate into moderate equity returns.

• Although EM equity valuations appear attractive, EM markets (including South Africa) remain sensitive to global investor sentiment and capital flows.

• Notwithstanding recent improvements in economic momentum, developed economies remain in a structurally low growth environment and debt levels remain

extremely high. This is particularly concerning in an environment of rising interest rates. With equity valuations ranging from fair to high in developed markets, we

continue to expect relatively low asset returns in the prevailing environment.

• The change in South Africa’s political sphere incited investor confidence in the local economy and the future of policy reform, but the euphoria has moderated. Policy

uncertainty, reform challenges in SOEs and a lack of private sector investment continue to present significant challenges. A recent positive development in policyreform has come from the passing of the labour reform package in the National Assembly. This package is comprised of three Bills which aim to improve productivity,

employment, investment and growth. The draft Mining Charter and debate on land reform remain key to investor sentiment and risk.

• The SARB believes that the inflation cycle has likely bottomed and expects headline inflation to average 4.9% and 5.2% per annum for 2018 and 2019, respectively.


4. Investment Portfolio Performance

4.1 Wealth Builder Portfolio

4.1.1 Asset Allocation

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

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

International Bonds

International Equity

SA Cash

Private Equity: SRI

Private Equity Mez Debt

SA Credit

SA Index Linked Bonds

SA Nominal Bonds

SA Listed Property

SA Equity

Strategic Allocation Actual Allocation

Rebalancing band Position at month-end

Wealth Builder

R’m

Actual Asset

Allocation

Strategic Asset

AllocationLower Upper

Over /

Underweight

Within rebalancing

band?

SA Equity R 699.7 40.0% 46.5% 42.5% 50.5% -6.5% underweight

SA Listed Property R 65.6 3.7% 5.0% 3.0% 7.0% -1.3% fine - within bands

SA Nominal Bonds R 106.4 6.1% 7.0% 5.0% 9.0% -0.9% fine - within bands

SA Index Linked Bonds R 106.1 6.0% 9.0% 7.0% 11.0% -3.0% underweight

SA Credit R 81.5 4.7% 5.0% 0.0% 0.0% -0.3% no rebalancing

Private Equity: Mezz Debt R 56.1 3.2% 2.5% 0.0% 0.0% 0.7% no rebalancing

Private Equity: SRI R 29.0 1.7% 1.0% 0.0% 0.0% 0.7% no rebalancing

SA Cash R 0.5 0.0% 0.0% 0.0% 0.0% 0.0% no rebalancing

International Equity R 503.1 28.7% 20.0% 17.0% 23.0% 8.7% overweight

International Bonds R 103.2 5.9% 4.0% 2.0% 6.0% 1.9% fine - within bands

Total R 1,751.2 100.0% 100.0%


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

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

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

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

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

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

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

returns.

Key statistic Wealth Builder Benchmark

Return p.a. since inception 11.9% 12.4%

Excess return p.a. -0.5%

Tracking error to BMK1 2.4%

Information ratio2 -0.2

Variation of return p.a.3 8.8% 8.9%

Downside capture4 95.5%

Upside capture5 95.9%

4.1.2 Portfolio Performance

4.1.2.1 The chart below compares the performance of the Wealth Builder Portfolio to that of its strategic asset allocation benchmark (see Section 2.4) and inflation plus6% (CPI + 6%) for various measurement periods ended 30 June 2018.

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

9 year and 9 month history and the primary objective has been met over this period.

3 month YTD 12 month 3 year 5 yearSince

inception

Wealth Builder 5.6% 2.6% 9.9% 7.2% 10.8% 11.9%

WB Benchmark 2.6% -1.0% 8.8% 6.5% 10.9% 12.4%

CPI + 6% 2.8% 5.8% 10.6% 11.3% 11.5% 11.2%

-4.0%

0.0%

4.0%

8.0%

12.0%

16.0%


4.1.2.4 Comments:

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

international bonds (compared to the strategic asset allocations).

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

portfolio) was 34.6%. The offshore exposure at the previous quarter end was 30.3%. The significant overweight and underweight positions, and the

offshore exposure issues are currently being addressed by the Investment Committee, with reference to the revised strategic asset allocation, as part ofthe offshore realignment exercise (refer to comments on the SAA on page 11).

• The Wealth Builder Portfolio has outperformed its performance objective, CPI + 6% per annum (11.2%), by a margin of 0.7% per annum over the periodsince inception.


4.2 Pension Protector Portfolio


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

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

International Equity

SA Cash

Private Equity: SRI

SA Credit

SA Index Linked Bonds

SA Listed Property

SA Equity



Pension Protector

R’m

Actual Asset

Allocation

Strategic Asset


Over /

Underweight

Within rebalancing

band?

SA Equity R 822.4 26.9% 33.0% 30.0% 36.0% -6.1% underweight

SA Listed Property R 119.2 3.9% 5.0% 3.0% 7.0% -1.1% fine - within bands

SA Index Linked Bonds R 1,119.4 36.6% 38.5% 35.5% 41.5% -1.9% fine – within bands

SA Credit R 148.0 4.8% 5.0% 0.0% 0.0% -0.2% no rebalancing

Private Equity: SRI R 52.8 1.6% 1.0% 0.0% 0.0% 0.6% no rebalancing

SA Cash R 0.6 0.1% 0.0% 0.0% 0.0% 0.1% no rebalancing

International Equity R 799.5 26.1% 17.5% 14.5% 20.5% 8.6% overweight

Total R 3,061.9 100.0% 100.0%


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







returns.

Key statistic Pension Protector Benchmark








4.2.2 Portfolio performance

4.2.2.1 The chart below compares the performance of the Pension Protector Portfolio to that of its strategic asset allocation benchmark (see section 2.4) and inflationplus 5% (CPI + 5%) for various measurement periods ended 30 June 2018.

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

comfortably met the primary objective over the 9 year and 9 month period since inception.


inception

Pension Protector 2.5% 1.1% 7.5% 6.5% 9.8% 11.1%

PP Benchmark 1.3% -0.6% 7.5% 6.2% 10.1% 11.3%

CPI + 5% 2.6% 5.3% 9.6% 10.3% 10.5% 10.2%

-4.0%

0.0%

4.0%

8.0%

12.0%


4.2.2.4 Comments:

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

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

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

component of the Credit Opportunities portfolio) was 26.1%. The significant overweight and underweight positions, and the offshore exposure issues are

currently being addressed by the Investment Committee, with reference to the revised strategic asset allocation, as part of the offshore realignmentexercise (refer to comments on the SAA on page 12).

• The Pension Protector Portfolio has outperformed its performance objective, CPI + 5% per annum (10.2%), by a margin of 0.9% per annum over theperiod since inception.


4.3 Conservative Portfolio


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

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

ABSA + ABAX + Walter ScottGlobal Equities

Allan Gray

Coronation



Conservative

R’m

Actual Asset

Allocation

Strategic Asset


Over /

Underweight

Within rebalancing

band?

Coronation R 175.2 34.7% 33.3% 30.0% 40.0% 1.4% fine - within bands

Allan Gray R 178.0 35.2% 33.3% 30.0% 40.0% 1.9% fine - within bands

ABSA R 19.8 3.9%

33.3% 25.0% 35.0% -3.2% fine - within bandsABAX R 99.2 19.6%

Walter Scott Global Equities R 33.4 6.6%

Total R 505.5 100.0% 100.0%

Legend: Underweight Within bands

Overweight Rebalancing required


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







returns.

Key statistic Conservative Benchmark









4.3.2.1 The chart below compares the performance of the Conservative Portfolio to that of its strategic asset allocation benchmark (see Section 2.4) and inflation plus3.5% (CPI + 3.5%) for various measurement periods to 30 June 2018.

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

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


inception

Conservative 5.0% 4.7% 11.0% 8.3% 9.1% 9.6%

CP Benchmark 3.2% 0.9% 8.5% 7.5% 9.7% 10.5%

CPI + 3.5% 2.2% 4.5% 8.1% 8.8% 9.0% 9.1%

0.0%

4.0%

8.0%

12.0%


4.3.2.4 Comments:

• The Conservative Portfolio outperformed its benchmark over all periods other than the 5 years and since inception period.

• The Conservative Portfolio has outperformed its performance objective, CPI + 3.5% per annum (9.1%), by a margin of 0.5% per annum over the periodsince inception.

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

Conservative Portfolio has outperformed its benchmark over this period (on a rolling 12-month basis) and has achieved one of the key result areas for thisportfolio which is to seek to avoid capital losses over rolling 12-month periods, and the median 12-month return for this Portfolio has been 8.5%.

0.0%

2.0%

4.0%

6.0%

8.0%

10.0%

12.0%

14.0%

16.0%

18.0%

20.0%

Conservative CP Bmk


4.4 Shari’ah Portfolio


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

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

SA Equity

SA Bonds

SA Cash and Money Market

SA Property

SA Commodities

Foreign Equity

Foreign Debt Instruments

Foreign Other

Benchmark Fund


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

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

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

and higher is regarded as very good.


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

returns.

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

Key statistic Shari'ah Benchmark


Excess return p.a. 2.8%


Information ratio2 0.5





4.4.2.1 The chart below compares the performance of the Shari’ah Portfolio (inception date of May 2013) to that of its strategic asset allocation benchmark (seeSection 2.4) and inflation-related objective (CPI plus 4% p.a. until 31 July 2016, and CPI + 5% p.a. thereafter).

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

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


inception

Shari'ah 5.4% 2.4% 6.8% 4.4% 5.3% 5.0%

Shari'ah Benchmark 7.8% 3.3% 6.2% -0.9% 1.8% 2.2%

CPI + 5% 2.6% 5.3% 9.6% 10.1% 10.0% 9.8%

-4.0%

0.0%

4.0%

8.0%

12.0%


5.1 SA Equity Managers

5.1.1 Coronation

Benchmark: Capped SWIX (SWIX prior to 1 April 2017)Objective: Benchmark + 3.5%

Objective period: 5 yearsInception date: Jan 2011






returns.


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

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

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

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


inception

Coronation 1.5% -3.6% 7.8% 3.2% 8.5% 10.9%

Benchmark -0.8% -5.9% 8.2% 3.6% 10.0% 11.2%

Objective 0.0% -4.2% 11.7% 7.1% 13.5% 14.7%

-10.0%

-5.0%

0.0%

5.0%

10.0%

15.0%

20.0%

Key statistic Coronation Benchmark


Excess return -0.3%






Batting average6 45.6%

Market value R'm R 229.7

% of total fund 4.3%


Key statistic Kagiso Benchmark


Excess return -2.7%














returns.




inception

Kagiso 0.6% -4.5% 3.6% 1.4% 7.2% 9.3%

Benchmark -0.8% -5.9% 8.2% 3.6% 10.0% 12.0%

Objective -0.6% -5.4% 9.2% 4.6% 11.0% 13.0%

-10.0%

-5.0%

0.0%

5.0%

10.0%

15.0%5.1.2 Kagiso


Objective period: 5 years

Inception date: June 2012

5.1.3 Prudential




Key statistic Prudential Benchmark


Excess return 2.4%










inception

Prudential 2.8% -1.5% 16.7% 6.7% 12.2% 14.4%

Benchmark -0.8% -5.9% 8.2% 3.6% 10.0% 12.0%

Objective -0.2% -4.7% 10.7% 6.1% 12.5% 14.5%

-10.0%

-5.0%

0.0%

5.0%

10.0%

15.0%

20.0%


5.1.4 Visio



Inception date: April 2015

Key statistic Visio Benchmark


Excess return -1.7%














returns.



3 month YTD 12 month 3 year Since inception

Visio 1.1% -1.3% 6.7% 2.3% 1.6%

Benchmark -0.8% -5.9% 8.2% 3.6% 3.3%

Objective 0.0% -4.2% 11.7% 7.6% 6.8%

-8.0%

-6.0%

-4.0%

-2.0%

0.0%

2.0%

4.0%

6.0%

8.0%

10.0%

12.0%

14.0%

5.1.5 Steyn Capital

Benchmark: Capped SWIXObjective: Benchmark + 3%


Inception date: September 2017

Steyn Capital took over the management of the ABSA portfolio on 14 August 2017. Returns are monitored from 1 September 2017. This portfolio has laggedthe benchmark significantly since inception, but has only been in place for 10 months.

Steyn Capital Return Benchmark Active Return over Benchmark

April 2018 4.3% 4.1% 0.2%

May 2018 -5.0% -5.3% 0.3%

June 2018 0.8% 0.7% 0.1%

3-month period to 30 June 2018 0.0% -0.8% 0.8%

Since inception (01/09/2017) -9.7% 0.1% -9.8%


5.2 SA Bond Managers

5.2.1 Futuregrowth Development Bond

Benchmark: ALBIObjective: ALBI + 1.25%

Objective period: 3 yearsInception date: June 2008

Key statisticFuturegrowth Dev

BondBenchmark


Excess return 1.9%









5.2.2 Futuregrowth Yield




Key statistic Futuregrowth Yield Benchmark


Excess return 2.0%









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

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

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

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

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



inception

FG Dev Bond -3.4% 4.3% 11.8% 9.0% 9.0% 11.4%

Benchmark -3.8% 4.0% 10.2% 7.8% 7.4% 9.5%

Objective -3.5% 4.6% 11.4% 9.0% 8.6% 10.7%

-6.0%

-4.0%

-2.0%

0.0%

2.0%

4.0%

6.0%

8.0%

10.0%

12.0%

14.0%


inception

FG Yield -3.2% 4.6% 11.8% 9.2% 9.1% 11.5%

Benchmark -3.8% 4.0% 10.2% 7.8% 7.4% 9.5%

Objective -3.5% 4.6% 11.4% 9.0% 8.6% 10.7%

-6.0%-4.0%-2.0%0.0%2.0%4.0%6.0%8.0%

10.0%12.0%14.0%


5.2.3 Aluwani Active



Inception date: December 2007

PORTFOLIO TERMINATED IN Q2 2018

5.2.4 Aluwani Passive Index Linked

Benchmark: R202Objective: R202

Objective period: Ongoing

Inception date: Aug 2008

Key statistic Aluwani IL Benchmark


Excess return -0.2%














returns.




inception

Aluwani IL -4.5% -1.0% 0.6% 2.6% 5.7% 7.1%

Benchmark -4.3% -0.8% 0.8% 2.7% 5.9% 7.3%

Objective -4.3% -0.8% 0.8% 2.7% 5.9% 7.3%

-6.0%

-4.0%

-2.0%

0.0%

2.0%

4.0%

6.0%

8.0%


5.2.5 Old Mutual Pensioner LHP

Benchmark: LHP Ref Portfolio consisting of a blend of ILB’s and cashObjective: LHP Ref Portfolio+0.5% p.a


Inception date: Apr 2018

5.2.6 Futuregrowth IDILBF Pensioners

Benchmark: BILBI 15+ YEARObjective: BILBI


Inception date: May 2018






returns.



Old Mutual Pensioner LHP Return BenchmarkActive Return over

Benchmark

April 2018-1.8% -3.0% 1.2%

May 2018-0.5% 0.2% -0.7%

June 2018-2.3% -2.2% -0.1%

3-month period to 30 June 2018-4.6% -4.9% 0.3%

Futuregrowth IDILBF

PensionersReturn Benchmark Active Return over Benchmark

April 2018n/a n/a n/a

May 20180.0% -0.3% 0.3%

June 2018 -2.8% -3.2% 0.4%

3-month period to 30 June 2018n/a n/a n/a


5.2.7 Futuregrowth IDILBF Actives

Benchmark: BILBI 15+ YEARObjective: BILBI+1%


Inception date: May 2018






returns.



Futuregrowth IDILBF

ActivesReturn Benchmark Active Return over Benchmark

April 2018n/a n/a n/a

May 2018 0.0% -0.3% 0.3%

June 2018 -3.1% -3.2% 0.1%

3-month period to 30 June 2018n/a n/a n/a


5.2.8 Investec Credit Opps

Benchmark: STEFI 3-monthObjective: STEFI 3-month + 3.7%


Inception date: Feb 2011

Key statisticInvestec Credit

OppsBenchmark


Excess return 3.3%












returns.




inception

Investec Credit Opps 1.8% 4.2% 10.3% 10.4% 8.9% 9.4%

Benchmark 1.8% 3.5% 7.2% 7.0% 6.4% 6.1%

Objective 2.8% 5.4% 10.9% 10.7% 10.1% 9.8%

0.0%

2.0%

4.0%

6.0%

8.0%

10.0%

12.0%


5.3.2 Sesfikile Listed Property

Benchmark: J253Objective: J253 + 2%









3 month YTD12

month3 year 5 year

Sinceinception

Investec Listed Prop -4.0% -18.3% -6.4% 2.5% 8.4% 12.5%

Benchmark -2.2% -21.4% -9.9% 0.9% 6.7% 11.3%

Objective -1.7% -20.5% -7.9% 2.9% 8.7% 13.3%

-25.0%

-20.0%

-15.0%

-10.0%

-5.0%

0.0%

5.0%

10.0%

15.0%

20.0%

5.3 SA Listed Property

5.3.1 Investec Listed Property

Benchmark: J253Objective: J253 + 2%


3 month YTD 12 month Since inception

Sesfikile -3.8% -16.1% -3.6% 3.1%

Benchmark -2.2% -21.4% -9.9% -0.8%

Objective -1.7% -20.5% -7.9% 1.2%

-25.0%

-20.0%

-15.0%

-10.0%

-5.0%

0.0%

5.0%

Key statistic Sesfikile Listed Prop Benchmark

Return p.a. since inception 3.1% -0.8%

Excess return 3.9%









Key statistic Investec Listed Prop Benchmark


Excess return 1.2%










5.4 SA Cash

5.4.1 Investec Money Market Fund

Benchmark: STEFIObjective: STEFI + 0.25%

Objective period: 1 yearInception date: Dec 2012

Key statistic Investec Money Benchmark


Excess return 1.2%



5.5 Private Equity: SRI

5.5.1 Old Mutual Renewable Energy Sub-Fund

Benchmark: CPI + 7%Objective: CPI + 7%


Key statistic Old Mutual RESF Benchmark


Excess return 8.4%




inception

Investec Money 2.0% 4.4% 8.9% 8.4% 7.7% 7.6%

Benchmark 1.8% 3.5% 7.3% 7.3% 6.7% 6.5%

Objective 1.8% 3.7% 7.6% 7.5% 6.9% 6.8%

0.0%

1.0%

2.0%

3.0%

4.0%

5.0%

6.0%

7.0%

8.0%

9.0%

10.0%


inception

OM RESF 3.5% 4.4% 17.6% 15.1% 18.6% 21.0%

Benchmark 3.0% 6.3% 11.6% 12.3% 12.5% 12.5%

Objective 3.0% 6.3% 11.6% 12.3% 12.5% 12.5%

0.0%

5.0%

10.0%

15.0%

20.0%

25.0%


5.6 Shari’ah Compliant Portfolio

5.6.1 27Four Shari’ah Wealth Builder

Benchmark: Shari’ah BenchmarkObjective: CPI + 5% over rolling 5-year periods

Objective period: 5 yearsInception date: Aug 2016


Shari'ah 5.4% 2.4% 7.6% 2.1%

Benchmark 7.8% 3.3% 6.2% -0.2%

Objective 2.6% 5.3% 9.6% 10.1%

-2.0%

0.0%

2.0%

4.0%

6.0%

8.0%

10.0%

12.0%

Key statistic Shari’ah Benchmark

Return p.a. since inception 2.1% -0.2%

Excess return 2.3%








5.7 International Equity (ZAR)

5.7.1 Hosking (ZAR)

Benchmark: MSCI All CountryObjective: MSCI All Country + 4%

Objective period: 5 yearsInception date: September 2014

Key statistic Hosking (ZAR) Benchmark


Excess return -0.9%






3 month YTD 12 month 3 yearSince

inception

Hosking (ZAR) 12.4% 7.5% 13.8% 12.2% 13.3%

Benchmark 16.5% 10.6% 16.4% 13.3% 14.2%

Objective 17.6% 12.7% 20.4% 17.3% 18.2%

0.0%

5.0%

10.0%

15.0%

20.0%

25.0%


inception

Contrarius (ZAR) 31.7% 27.1% 47.5% 22.6% 23.0% 25.3%

Benchmark 16.5% 10.6% 16.4% 13.3% 17.3% 19.7%

Objective 17.6% 12.7% 20.4% 17.3% 21.3% 23.7%

0.0%

5.0%

10.0%

15.0%

20.0%

25.0%

30.0%

35.0%

40.0%

45.0%

50.0%

5.7.2 Contrarius (ZAR)



Inception date: Jan 2011

Key statistic Contrarius (ZAR) Benchmark


Excess return 5.6%











5.7.3 Walter Scott (ZAR)




5.7.4 Veritas (Nedgroup Investments) (ZAR)



Inception date: Dec 2012

Key statistic Veritas (ZAR) Benchmark


Excess return -0.3%






Key statistic Walter Scott (ZAR) Benchmark


Excess return 0.2%







inception

Walter Scott (ZAR) 18.4% 14.5% 19.6% 15.0% 16.9% 19.9%

Benchmark 16.5% 10.6% 16.4% 13.3% 17.3% 19.7%

Objective 17.6% 12.7% 20.4% 17.3% 21.3% 23.7%

0.0%

5.0%

10.0%

15.0%

20.0%

25.0%


inception

Veritas (ZAR) 19.4% 11.2% 9.9% 12.2% 16.6% 19.2%

Benchmark 16.5% 10.6% 16.4% 13.3% 17.3% 19.5%

Objective 17.6% 12.7% 20.4% 17.3% 21.3% 23.5%

0.0%

5.0%

10.0%

15.0%

20.0%

25.0%

5.7.5 Ardevora (ZAR)






Ardevora (ZAR) 17.5% 14.6% 23.0% 31.2%

Benchmark 16.5% 10.6% 16.4% 26.0%

Objective 17.6% 12.7% 20.4% 35.7%

0.0%

5.0%

10.0%

15.0%

20.0%

25.0%

30.0%

35.0%

40.0%

5.7.6 Polaris (ZAR)





Polaris (ZAR) 17.0% 9.5% 13.8% 28.6%

Benchmark 16.5% 10.6% 16.4% 26.0%

Objective 17.6% 12.7% 20.4% 35.7%

0.0%

5.0%

10.0%

15.0%

20.0%

25.0%

30.0%

35.0%

40.0%

Key statistic Polaris (ZAR) Benchmark


Excess return 2.6%






Key statistic Ardevora (ZAR) Benchmark


Excess return 5.2%
















inception

Colchester (ZAR) 10.7% 8.7% 4.6% 6.1% 7.5% 12.5%

Benchmark 12.2% 9.7% 6.4% 7.0% 8.1% 11.5%

Objective 12.6% 10.5% 7.9% 8.5% 9.6% 13.0%

0.0%

2.0%

4.0%

6.0%

8.0%

10.0%

12.0%

14.0%5.8 International Bonds (ZAR)

5.8.1 Colchester (ZAR)

Benchmark: JP Morgan Gov BondObjective: JP Morgan Gov Bond + 1.5%


Key statistic Colchester (ZAR) Benchmark


Excess return 1.0%













5.9 International Equity (USD)

5.9.1 Hosking (USD)

Benchmark: MSCI All Country (USD)Objective: MSCI All Country (USD) + 4%

Objective period: 5 yearsInception date: September 2014

5.9.2 Contrarius (USD)




Key statistic Contrarius (USD) Benchmark


Excess return 5.0%







Market value $'m $13.3


Key statistic Hosking (USD) Benchmark


Excess return -1.0%









3 month YTD 12 month 3 yearSince

inception

Hosking (USD) -2.8% -2.9% 8.5% 7.6% 5.9%

Benchmark 0.7% -0.1% 11.3% 8.8% 6.9%

Objective 1.7% 1.8% 15.3% 12.8% 10.9%

-5.0%

0.0%

5.0%

10.0%

15.0%

20.0%


inception

Contrarius (USD) 13.9% 14.8% 41.1% 17.7% 15.3% 13.7%

Benchmark 0.7% -0.1% 11.3% 8.8% 10.0% 8.7%

Objective 1.7% 1.8% 15.3% 12.8% 14.0% 12.7%

-5.0%

0.0%

5.0%

10.0%

15.0%

20.0%

25.0%

30.0%

35.0%

40.0%

45.0%

45© 2018 Willis Towers Watson. All rights reserved. Proprietary and Confidential. For Willis Towers Watson and Willis Towers Wa tson client use only.






returns.



5.9.3 Walter Scott (USD)




5.9.4 Veritas (Nedgroup Investments) (USD)



Inception date: Dec 2012

Key statistic Veritas (USD) Benchmark


Excess return 0.0%










inception

Walter Scott (USD) 2.3% 3.4% 14.3% 10.1% 9.5% 8.7%

Benchmark 0.7% -0.1% 11.3% 8.8% 10.0% 8.7%

Objective 1.7% 1.8% 15.3% 12.8% 14.0% 12.7%

-2.0%

0.0%

2.0%

4.0%

6.0%

8.0%

10.0%

12.0%

14.0%

16.0%

18.0%


inception

Veritas (USD) 3.3% 0.5% 5.1% 8.2% 9.7% 10.6%

Benchmark 0.7% -0.1% 11.3% 8.8% 10.0% 10.6%

Objective 1.7% 1.8% 15.3% 12.8% 14.0% 14.6%

-2.0%

0.0%

2.0%

4.0%

6.0%

8.0%

10.0%

12.0%

14.0%

16.0%

18.0%

Key statistic Walter Scott (USD) Benchmark


Excess return 0.0%









5.9.5 Ardevora (USD)

Benchmark: MSCI All Country (USD)Objective: MSCI All Country (USD)+ 4%





Ardevora (USD) 1.5% 3.5% 17.5% 15.9%

Benchmark 0.7% -0.1% 11.3% 13.5%

Objective 1.7% 1.8% 15.3% 18.0%

-2.0%0.0%2.0%4.0%6.0%8.0%

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

5.9.6 Polaris (USD)





Polaris (USD) 1.1% -1.1% 8.8% 14.7%

Benchmark 0.7% -0.1% 11.3% 13.5%

Objective 1.7% 1.8% 15.3% 18.0%

-5.0%

0.0%

5.0%

10.0%

15.0%

20.0%

Key statistic Polaris (USD) Benchmark


Excess return 1.2%









Key statistic Ardevora (USD) Benchmark


Excess return 2.4%














returns.









returns.



5.10 International Bonds (USD)

5.10.1 Colchester (USD)

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


Key statistic Colchester (USD) Benchmark


Excess return 1.1%







Market value R'm $7.5



inception

Colchester (USD) -4.3% -1.2% 0.7% 2.4% 1.1% 2.3%

Benchmark -3.0% -0.9% 1.7% 2.7% 1.3% 1.2%

Objective -2.7% -0.2% 3.2% 4.2% 2.8% 2.7%

-5.0%

-4.0%

-3.0%

-2.0%

-1.0%

0.0%

1.0%

2.0%

3.0%

4.0%

5.0%







5.11 Conservative Portfolio Managers

5.11.1 Coronation Inflation Plus (previously Absolute)

Benchmark: CP BenchmarkObjective: CPI + 3.5%


Key statisticCoronation Inflation

PlusBenchmark


Excess return -0.5%







Key statistic Allan Gray Benchmark


Excess return -0.4%







5.11.2 Allan Gray Global Absolute (previously Stable)




3 month YTD12

month3 year 5 year

Sinceinception

Coronation Absolute 4.3% 3.0% 7.9% 5.7% 8.3% 9.9%

Benchmark 3.2% 0.9% 8.5% 7.5% 9.7% 10.4%

Objective 2.2% 4.5% 8.1% 8.8% 9.0% 9.1%

0.0%

2.0%

4.0%

6.0%

8.0%

10.0%

12.0%


inception

Allan Gray 6.0% 5.8% 12.6% 11.0% 9.9% 10.4%

Benchmark 3.2% 0.9% 8.5% 7.5% 9.7% 10.7%

Objective 2.2% 4.5% 8.1% 8.8% 9.0% 8.9%

0.0%

2.0%

4.0%

6.0%

8.0%

10.0%

12.0%

14.0%







5.11.3 ABAX Absolute




ABAX Investments was appointed in December 2017 to manage the ABSA portfolio that is in the process of being terminated. Returns are monitored from1 January 2018. In line with the Trustees decision, this portfolio was switched from the Domestic Absolute Product to the Global Absolute Product at the end of

May 2018.

ABAX Absolute (ZAR) Return Benchmark Active Return over Benchmark

April 2018 -1.5% 2.7% -4.2%

May 2018 -1.0% -1.0% 0.0%

June 2018 2.3% 1.4% 0.9%

3-month period to 30 June 2018 -0.2% 3.2% -3.0%

Since inception (01/01/2018) 0.9% 0.9% 0.0%

5.11.4 Absa Absolute

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


6. Risk and return profile

6.1 The chart below shows the risk/return profile (where “risk” is measured as the volatility of returns) of the Wealth Builder and Pension Protector Portfolios overthe period since inception to 30 June 2018 relative to each portfolio’s benchmark. The Conservative Portfolio’s risk/return profile is shown from

1 December 2010.

6.2 The Pension Protector Portfolio has delivered a slightly lower return at a similar level of risk as its benchmark over the period since inception. TheWealth Builder Portfolio delivered a lower return at a lower level of risk as its corresponding benchmark, and the Conservative Portfolio also

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

Wealth Builder

ConservativePension Protector

Conservative BMKPension Protector BMK

Wealth Builder BMK

0.0%

2.0%

4.0%

6.0%

8.0%

10.0%

12.0%

14.0%

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

Re

turn

Risk

7.1 The charts below shows the change in value of R100 invested on 1 October 2008 (inception date) to 30 June 2018 in the Wealth Builder and PensionProtector portfolios and from the period 1 December 2010 on the Conservative Portfolio, compared to each portfolio’s performance objectives and inflation.

Please note that these illustrations are net of fees.

Wealth Builder Portfolio


Pension Protector Portfolio

7. Performance relative to objective and inflation

70.0

120.0

170.0

220.0

270.0

320.0

Pension Protector PP Benchmark CPI + 5%

60.0

110.0

160.0

210.0

260.0

310.0

360.0

Wealth Builder WB Benchmark CPI + 6%


Comments:

• In the Wealth Builder Portfolio, R100 accumulated to R298.19, compared to the performance objective (CPI+6%) value of R288.37 and the WB Benchmark value of

R311.62.

• In the Pension Protector Portfolio, R100 accumulated to R279.68, compared to the performance objective (CPI+5%) value of R263.02, and the PP Benchmark value

of R285.19.

• In the Conservative Portfolio, R100 accumulated to R200.00, compared to the performance objective (CPI+3.5%) value of R195.41, and the CP Benchmark value ofR213.63.

Conservative Portfolio

100.0

120.0

140.0

160.0

180.0

200.0

220.0

Conservative CP Benchmark CPI + 3.5%


7.2 The charts below shows the rolling performance on a 7-year basis (Wealth Builder ), 5-year basis (Pension Protector) and 3-year basis (Conservative) againstthe respective rolling inflation figures and objectives.

Wealth Builder Portfolio

Pension Protector Portfolio

0.0%

2.0%

4.0%6.0%

8.0%10.0%

12.0%14.0%

16.0%18.0%

Sep-1

5

Oct-

15

No

v-1

5

De

c-1

5

Jan-1

6

Feb-1

6

Ma

r-1

6

Apr-

16

May-1

6

Jun-1

6

Jul-16

Aug-1

6

Sep-1

6

Oct-

16

No

v-1

6

De

c-1

6

Jan-1

7

Feb-1

7

Ma

r-1

7

Apr-

17

Ma

y-1

7

Jun-1

7

Jul-17

Aug-1

7

Sep-1

7

Oct-

17

Nov-1

7

Dec-1

7

Jan-1

8

Feb-1

8

Ma

r-1

8

Apr-

18

Ma

y-1

8

Jun-1

8

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

0.0%2.0%4.0%6.0%8.0%

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

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


Conservative Portfolio

0.0%

2.0%

4.0%

6.0%

8.0%

10.0%

12.0%

14.0%

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


Comments

• For comparative purposes, the Wealth Builder Portfolio has achieved an annualised return of 10.8% over the 5 year period to 30 June 2018.

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

• We are working on simplified peer review tables for “absolute” and “Sharia’h” which will be included in the next quarterly report

8. Comparative Peer Review

8.1 The results of the Willis Towers Watson Full Discretion Industry Median survey for Global Balanced Portfolios (net of a 0.75% p.a. fee adjustment) are shown inthe table below for the 12 largest managers over the relevant reporting periods to 30 June 2018, ordered on the “5 year” figures.

ManagerMarket Value

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

Investec Segregated Full Discretion 71,510 3.7% 11 10.7% 2 6.9% 5 11.7% 1

Prudential Balanced 6,970 4.8% 6 12.6% 1 8.0% 2 10.9% 2

Wealth Builder 1,751 5.6% 3 9.9% 4 7.2% 3 10.8% 3

Allan Gray Global Balanced Composite 61,356 4.2% 9 9.2% 6 6.4% 9 10.8% 4

Coronation Full Discretion 23,258 5.6% 4 9.2% 7 6.5% 7 10.1% 5

Pension Protector* 3,062 2.5% 13 7.5% 9 6.2% 10 10.1% 6

OMIG MacroSolutions (Segregated Full Discretion) 4,372 4.8% 5 7.2% 11 6.4% 8 9.6% 7

SIM Unique 17,714 2.5% 14 6.8% 12 8.3% 1 9.5% 8

Kagiso Global Balanced 1,253 4.8% 7 5.9% 14 6.9% 4 8.7% 9

Oasis Full Discretion 1,104 3.8% 10 9.7% 5 5.0% 11 8.5% 10

Foord Global Balanced 45,842 6.7% 2 6.2% 13 4.5% 12 8.4% 11

Cadiz Global Balanced (S) 436 9.4% 1 10.0% 3 6.5% 6 7.7% 12

STANLIB Full Discretion 2,438 4.3% 8 7.4% 10 4.3% 13 7.7% 13

Prescient Global Balanced 168 3.4% 12 8.6% 8 2.6% 14 7.2% 14

Median 4.5% 10.0% 7.2% 9.9%

Inflation 1.3% 4.6% 5.3% 5.4%


KAGISO

Sector ManagerCapped

SWIXDiff

Basic Materials 19.2% 18.5% 0.7%

Industrials 4.1% 6.6% -2.5%

Consumer Goods 10.5% 8.7% 1.8%

Health Care 2.7% 4.3% -1.6%

Consumer Services 18.8% 22.1% -3.3%

Telecommunications 5.3% 5.7% -0.4%

Financials 36.1% 33.7% 2.3%

Technology 3.4% 0.3% 3.1%

PRUDENTIAL

ManagerCapped

SWIXDiff

22.5% 18.5% 4.0%

6.3% 6.6% -0.3%

7.3% 8.7% -1.4%

5.6% 4.3% 1.3%

21.5% 22.1% -0.6%

3.5% 5.7% -2.2%

32.7% 33.7% -1.0%

0.7% 0.3% 0.4%

OVERALL

ManagerCapped

SWIXDiff

20.1% 18.5% 1.6%

5.8% 6.6% -0.8%

9.6% 8.7% 0.9%

3.9% 4.3% -0.4%

23.9% 22.1% 1.8%

3.6% 5.7% -2.2%

32.0% 33.7% -1.7%

1.0% 0.3% 0.7%

9. Mandate compliance

9.1 SA Equities

9.1.1 Sector weightings

Although the mandates place no explicit restrictions on the manager sector exposures, the positions in different equity sectors are an important determinant ofperformance and risk relative to the benchmark and have therefore been shown. The tables below reflect the equity sector re-classification adopted by the JSE in

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

CORONATION

Sector ManagerCapped

SWIXDiff

Basic Materials 16.6% 18.5% -1.9%

Industrials 0.2% 6.6% -6.4%

Consumer Goods 17.7% 8.7% 9.0%

Health Care 6.8% 4.3% 2.5%

Consumer Services 20.6% 22.1% -1.5%

Telecommunications 6.6% 5.7% 0.9%

Financials 30.9% 33.7% -2.8%

Technology 0.6% 0.3% 0.3%

VISIO

ManagerCapped

SWIXDiff

18.3% 18.5% -0.2%

8.8% 6.6% 2.2%

9.2% 8.7% 0.5%

3.2% 4.3% -1.1%

34.6% 22.1% 12.5%

0.0% 5.7% -5.7%

25.9% 33.7% -7.8%

0.0% 0.3% -0.3%

STEYN CAPITAL

ManagerCapped

SWIXDiff

22.3% 18.5% 3.8%

8.7% 6.6% 2.1%

6.0% 8.7% -2.7%

0.0% 4.3% -4.3%

25.2% 22.1% 3.1%

3.2% 5.7% -2.5%

34.5% 33.7% 0.8%

0.0% 0.3% -0.3%


OVERALL

Counter ManagerCapped

SWIXDiff

OLD MUTUAL 4.2% 1.7% 2.5%

BRITISH A. TOBACCO 5.3% 3.5% 1.8%

NASPERS 12.3% 10.6% 1.7%

PICK ‘N PAY 1.7% 0.5% 1.2%

REINET INV 1.8% 0.7% 1.1%

PPC LTD 1.3% 0.2% 1.1%

QUILTER PLC 1.6% 0.6% 1.0%

NETCARE LTD 1.8% 0.8% 1.0%

TSOGO SUN 1.1% 0.2% 0.8%

ADVTECH 1.0% 0.2% 0.8%

PRUDENTIAL


SWIXDiff

OLD MUTUAL 4.4% 1.7% 2.7%

ANGLO AMERICAN 5.8% 3.2% 2.6%

NASPERS 13.0% 10.6% 2.4%

SAPPI 3.3% 1.0% 2.3%

ABSA GROUP 4.5% 2.3% 2.2%

REINET INV 2.8% 0.7% 2.1%

CAPITAL & COUNT 2.4% 0.4% 2.0%

PICK ‘N PAY 2.5% 0.5% 2.0%

SASOL 7.4% 5.5% 1.9%


9.1.2 Stock weightings

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

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

CORONATION


SWIXDiff


NEDBANK 4.6% 1.1% 3.5%

A-B INBEV 3.3% 0.0% 3.3%

INTU PROPERTIES 3.5% 0.3% 3.2%

NORTHAM PLATINUM 3.2% 0.3% 2.9%

PICK ‘N PAY 3.4% 0.5% 2.9%

SPAR GROUP 3.6% 0.7% 2.9%

MTN GROUP 6.6% 3.9% 2.7%

INVESTEC PLC 2.7% 0.7% 2.0%

NETCARE LTD 2.6% 0.8% 1.8%

VISIO


SWIXDiff

OLD MUTUAL 5.4% 1.7% 3.7%

MONDI PLC 3.9% 0.7% 3.2%

ADVTECH 3.2% 0.2% 3.0%

NASPERS 13.6% 10.6% 3.0%

BIDVEST GROUP 4.2% 1.3% 2.9%

BID CORPORATION 4.2% 1.8% 2.4%

NETCARE 3.2% 0.8% 2.4%

SHOPRITE 4.2% 2.0% 2.2%

CASHBUILD 2.1% 0.1% 2.0%

ABSA GROUP 4.2% 2.3% 1.9%

STEYN CAPITAL


SWIXDiff

REINET INV 5.1% 0.7% 4.4%

STEINHOFF AFRICA 4.4% 0.2% 4.2%

PSG 4.2% 0.6% 3.6%

OLD MUTUAL 5.1% 1.7% 3.4%

MAS REAL ESTATE 3.4% 0.1% 3.3%

RMI HOLDINGS 3.7% 0.5% 3.2%

PPC LTD 2.7% 0.2% 2.5%

IMPALA PLATINUM 2.8% 0.3% 2.5%

GRINDROD LTD 2.5% 0.1% 2.4%

ASSORE LTD 2.6% 0.2% 2.4%

KAGISO


SWIXDiff

OLD MUTUAL LTD 4.4% 1.7% 2.7%

RMB HOLDINGS 2.7% 1.0% 1.7%

AFRICAN RAINBOW 1.7% 0.2% 1.5%

NORTHAM PLAT 1.7% 0.3% 1.4%

DATATEC 1.4% 0.1% 1.3%

AMPLATS 1.8% 0.4% 1.3%

TONGAAT HULETT 1.5% 0.2% 1.3%

NASPERS 11.9% 10.6% 1.3%

AECI LTD 1.5% 0.2% 1.2%

MMI HOLDINGS 1.6% 0.4% 1.2%


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

OVERALL


SWIXDiff

SANLAM 0.4% 2.4% -2.0%

VODACOM 0.2% 1.5% -1.3%

REMGRO 0.8% 2.1% -1.3%

RICHEMONT 0.9% 1.9% -1.0%

GROWTHPOINT 0.6% 1.5% -0.9%

CLICKS 0.0% 1.0% -1.0%

CAPITEC BANK 0.0% 0.9% -0.9%

DISCOVERY 0.1% 1.0% -0.9%

FIRSTRAND 3.2% 4.1% -0.9%

BID CORPORATION 1.0% 1.8% -0.8%

KAGISO


SWIXDiff

REDEFINE PROPS 0.0% 1.1% -1.1%

SASOL 4.4% 5.5% -1.1%


FIRSTRAND 3.1% 4.1% -1.0%

CLICKS GROUP 0.0% 1.0% -1.0%

RICHEMONT 1.0% 1.9% -1.9%


CAPITEC BANK 0.0% 0.9% -0.9%

BRITISH A. TOBACCO 2.6% 3.5% -0.9%

ANGLO AMERICAN 2.5% 3.2% -0.7%

PRUDENTIAL


SWIXDiff

SANLAM 0.0% 2.4% -2.4%


VODACOM 0.0% 1.5% -1.5%

BIDVEST GROUP 0.0% 1.3% -1.3%

MR PRICE 0.0% 1.1% -1.1%

NEDBANK 0.0% 1.1% -1.1%

DISCOVERY 0.0% 1.0% -1.0%

CLICKS GROUP 0.0% 1.0% -1.0%

RICHEMONT 1.0% 1.9% -1.9%

CAPITEC BANK 0.0% 0.9% -0.9%

CORONATION


SWIXDiff

SANLAM 0.1% 2.4% -2.3%

ABSA GROUP 0.0% 2.3% -2.3%

FIRSTRAND 2.1% 4.1% -2.0%

REMGRO 0.2% 2.1% -1.9%

SASOL 3.7% 5.5% -1.8%



VODACOM 0.0% 1.5% -1.5%

BIDVEST GROUP 0.0% 1.3% -1.3%

SHOPRITE 0.7% -2.0% -1.3%

VISIO


SWIXDiff

MTN GROUP 0.0% 3.9% -3.9%

SANLAM 0.0% 2.4% -2.4%

REMGRO 0.0% 2.1% -2.1%

ASPEN 0.0% 1.9% -1.9%


VODACOM 0.0% 1.5% -1.5%

FIRSTRAND 2.9% 4.1% -1.2%

REDEFINE PROPS 0.0% 1.1% -1.1%

NEDBANK 0.0% 1.1% -1.1%

WOOLWORTHS 0.0% 1.1% -1.1%

STEYN CAPITAL


SWIXDiff

STANDARD BANK 0.0% 4.9% -4.9%


SANLAM 0.0% 2.4% -2.4%

ABSA GROUP 0.0% 2.3% -2.3%

REMGRO 0.0% 2.1% -2.1%

RICHEMONT 0.0% 1.9% -1.9%

ASPEN 0.0% 1.9% -1.9%


MTN GROUP 2.2% 3.9% -1.7%



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

OVERALL


SWIXDiff

NASPERS 12.3% 10.6% 1.7%

SASOL 5.6% 5.5% 0.1%


STANDARD BANK 4.9% 4.9% 0.0%

OLD MUTUAL 4.2% 1.7% 2.5%


FIRSTRAND 3.2% 4.1% -0.9%

MTN GROUP 3.1% 3.9% -0.8%

BHP BILLITON 2.8% 2.1% 0.7%

ABSA GROUP 2.6% 2.3% 0.3%

KAGISO


SWIXDiff

NASPERS 11.9% 10.6% 1.3%


SASOL 4.4% 5.5% -1.1%

OLD MUTUAL 4.4% 1.7% 2.7%

MTN GROUP 3.6% 3.9% -0.3%

FIRSTRAND 3.1% 4.1% -1.0%

RMB HOLDINGS 2.7% 1.0% 1.7%

BRITISH A. TOBACCO 2.6% 3.5% -0.9%


ABSA GROUP 1.8% 2.3% -0.5%

PRUDENTIAL


SWIXDiff

NASPERS 13.0% 10.6% 2.4%

SASOL 7.4% 5.5% 1.9%




ABSA GROUP 4.5% 2.3% 2.2%

OLD MUTUAL 4.4% 1.7% 2.7%

FIRSTRAND 3.9% 4.1% -0.2%

MTN GROUP 3.5% 3.9% -0.4%

ASPEN 3.4% 1.9% 1.5%

CORONATION


SWIXDiff

NASPERS 11.9% 10.6% 1.3%


MTN GROUP 6.6% 3.9% 2.7%



NEDBANK 4.6% 1.1% 3.5%

SASOL 3.7% 5.5% -1.8%

SPAR GROUP 3.6% 0.7% 2.9%

INTU PROPERTIES 3.5% 0.3% 3.2%

PICK ‘N PAY 3.4% 0.5% 2.9%

VISIO


SWIXDiff

NASPERS 13.6% 10.6% 3.0%

SASOL 5.8% 5.5% 0.3%


OLD MUTUAL 5.4% 1.7% 3.7%



BID CORPORATION 4.2% 1.8% 2.4%

ABSA GROUP 4.2% 2.3% 1.9%

SHOPRITE 4.2% 2.0% 2.2%

BIDVEST GROUP 4.2% 1.3% 2.9%

STEYN CAPITAL


SWIXDiff

NASPERS 10.0% 10.6% -0.6%

REINET INV 5.1% 0.7% 4.4%

OLD MUTUAL 5.1% 1.7% 3.4%

SASOL 4.6% 5.5% -0.9%

STEINHOFF AFRICA 4.4% 0.2% 4.2%

BHP BILLITON 4.3% 2.1% 2.2%

PSG 4.2% 0.6% 3.6%


RMI HOLDINGS 3.7% 0.5% 3.2%

MAS REAL ESTATE 3.4% 0.1% 3.3%


Returns quoted are net of investment manager fees.

Month Wealth Builder Pension Protector Conservative

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

Jan 09 - Dec 09 17.58% 14.97% -

Jan 10 - Dec 10 15.90% 15.04% 1.62%

Jan 11 - Dec 11 8.38% 10.07% 6.58%

Jan 12 - Dec 12 21.57% 21.12% 12.52%

Jan 13 - Dec 13 23.71% 19.42% 14.56%

Jan 14 - Dec 14 11.75% 11.89% 8.61%

Jan 15 - Dec 15 9.18% 8.18% 9.06%

Jan 16 - Dec 16 4.27% 5.18% 5.92%

Jan 17 – Dec 17 2.38% 2.24% 1.16%

Jan 18 0.04% -0.16% 0.47%

Feb 18 -1.69% -1.16% -0.46%

Mar 18 -1.24% -0.11% -0.32%

Apr 18 3.61% 1.85% 2.73%

May 18 -1.24% -0.92% -0.98%

June 18 3.20% 1.60% 3.24%

3 month 5.60% 2.52% 5.02%

YTD 2.57% 1.06% 4.70%

12 month 9.90% 7.55% 10.97%

3 year 7.19% 6.51% 8.29%

5 year 10.78% 9.79% 9.08%

Since inception 11.86% 11.13% 9.57%

Annexure I – Portfolio Returns


Investment

ManagerFee Structure Description Benchmark

Performance

ObjectiveManager PI Cover

27four Shari’ah

Estimated total fee of 0.84%

p.a. (Depends on underlying

asset allocation and manager

selection decision over time)

Shari’ah Compliant

Portfolio

50% FTSE Shari’ah Capped Top 40

Index, 22.5% Dow Jones Islamic

Market Titans 100 Total Return

index, 2.5% Lotus Islamic Market

Index, 14% STeFI Composit Index,

5% Newgold Platinum reference

price, and 5% Dow Jones Sukuk

Index. 1% is held in the call account

for liquidity purposes

CPI + 4%

R 250m any one claim

and R 500m in the annual

aggregate.

ABAX Global Absolute Base fee of 0.40% p.a. Absolute ReturnCP Benchmark

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

reinstatement

ABSA Absolute Base fee of 0.35% p.a. Absolute return CP Benchmark CPI + 3.5%

R 4.05bn any one claim

and R 8.15bn in the

annual aggregate.

Allan Gray Global AbsoluteBase fee of 0.31% p.a. plus

25% outperformance Absolute return CP Benchmark CPI + 3.5% Total cover R 1.50 billion

Aluwani Active Bonds

Base fee of 0.2% p.a. plus

performance fee of 0.20% for

every 1.00% that the fund out-

performs the benchmark,

capped at 0.80% p.a. of assets

held.

SA Nominal Bonds All Bond Index (ALBI) ALBI + 0.8% p.a.

ZAR 200,000,000 each

single loss but ZAR

600,000,000 in the annual

aggregate

Aluwani Passive Index

LinkedMonthly base fee of 0.05% p.a.

SA Inflation Linked

BondsRSA R202 RSA R202

ZAR 200,000,000 each

single loss but ZAR

600,000,000 in the annual

aggregate

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

World Index + 4%Total cover GBP 2 million

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

Bond Index + 1.5%

USD 40m in the

aggregate, and USD 5m

for crime claims.

Annexure II – Portfolio Fees & Mandate Summary


Investment


Performance


Contrarius


0.2% for every 1.00% that the

fund out-performs the

benchmark.

International EquityMSCI All Country World

Index

MSCI All Country World

Index + 4%

Total cover USD 25m in

the aggregate

Coronation Houseview


0.2% for every 1.00% that the

fund out-performs the

benchmark, capped at 1.00%

p.a, high watermark applies.

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

R 2.5bn in the aggregate.

Coronation Inflation Plus

0.65% on domestic and directly

held international assets; plus

Coronation standard fees on

international fund investments.

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

R 2.5bn in the aggregate.

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

Total cover GBP 10m any

one claim and annual

aggregate

Futuregrowth Infrastructure

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



aggregate

Futuregrowth Yield

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



aggregate

Hosking

Base fee of 0.4% p.a. No

performance fee payable on

Class E shares.


Index


Index + 4%

GBP 20m in the

aggregate, and GBP 1m

for crime claims.


Investment


Performance


Investec Property

0.5% p.a. unless termination

prior to 31 Dec 2017.

Otherwise approximately

0.8% p.a., provided Investec

outperforms the benchmark

by 1.5% p.a. over rolling 3-

year periods.

SA Listed Property J253 SAPY J253 SAPY + 2%


one claim and in the

aggregate

Investec Credit

Opportunities

Base fee of 0.5% p.a, plus

25% performance fee if the

portfolio out-performs the

STEFI 3-month + 3% p.a.

Capped at 1.2% p.a.

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



aggregate

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



aggregate

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

Total cover R 100m any


aggregate

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



aggregate

Old Mutual RESF

Base fee of 0.25% p.a. of

cash portion and 1.0% of

invested portion, plus a

performance fee of 20% of

out-performance of the

benchmark.

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



aggregate

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

Index


Index + 4%

General Aggregate

$9,000,000

Each Occurrence

$9,000,000

Prudential

0.65% p.a. on first R200

million, 0.55% p.a. on next

R300 million, 0.45% above

R500 million.

SA Core Equity Capped SWIX Capped SWIX + 2.5%

GBP 5m in the aggregate,

and GBP 10m for crime

claims.


Investment


Performance


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

R 150m any one claim and

in the annual aggregate,

R 0.5m deductible.

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



R 4m deductible

VantageRefer to Partnership

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



R 0.5m deductible

Veritas (Nedgroup)

Base fee of 0.75% per

annum (no additional fees

as a result of investing via

Nedgroup Investments)


Index


Index + 4%

GBP 40m any one claim.

Deductible: GBP 100 000

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



and R 0.25m for data

protection extension

claims.

Walter Scott Base fee of 1.00% p.a. International EquityMSCI All Country World

Index


Index + 4%

Total cover USD 10m any


aggregate

Disclaimer and risk warning

© 2018, Towers Watson Pty Ltd

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

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 orwarranties 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.

Documents

Quarterly Performance Report · For Willis Towers Watson and Willis Towers Watson client use only. 2 1. Executive Summary 3 2. Introduction 9 3. Market Overview 13 4. Investment Portfolio