SEI Strategic Portfolios Expected Range of Returns. June 2016

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1 SEI Strategic Portfolios Expected Range of Returns June 2016

2 Capital Market Assumptions for Asset Allocation Modeling Estimating and monitoring capital market assumptions (CMAs) is an integral part of SEI s strategic asset allocation process. These assumptions are designed to be long-term in nature and are intended to be a reasonable approximation for a wide range of return behaviour that asset classes can potentially exhibit through various market cycles. Estimating these assumptions requires a solid analysis of the key drivers of risk and return in each asset category. Our capital market assumptions include estimates of expected returns, return volatility, correlations, yields, active management return (alpha), and active management risk (tracking error). We also develop views on performance characteristics such as autocorrelation, skew and kurtosis particularly for those investments that deviate most clearly from the common statistical framework of normally distributed returns. Asset class assumptions are set using a combination of empirical and qualitative analysis. Empirical analysis ensures that our assumptions reflect historical performance. Our qualitative analysis is targeted towards capturing long-term trends and structural changes that are not yet reflected in the historical data. It provides an additional means for adjusting for the effect of unrealistic or unsustainable short-term valuations or trends, opting instead for return levels and behaviour that are more likely to prevail over long periods. The result of our analyses is a series of forward looking indicators that produce a realistic picture of how portfolios are likely to behave through time. Ultimately, the value of these assumptions is not in their accuracy as point estimates, but in their ability to capture relevant relationships and changes in those relationships as a function of economic and market influences. Changes in market structure and composition can cause our best thinking to deviate from historical estimates. Changes in assumptions may have a material impact on the projections presented. All projected returns are presented gross of all fees and charges and are not necessarily indicative of the future or likely performance of the portfolios, especially over a short-term time period. The CMAs are revisited on a regular basis to reflect the changes in the market environment. The forecasts shown in the pages following are not necessarily indicative of the future or likely performance of the portfolios, especially over a short-term time period.

3 SEI Strategic Portfolio Allocations Projections using SEI Capital Market Assumptions. SEI SEI SEI SEI SEI SEI SEI Defensive Conservative Moderate Core Balanced Growth Aggressive Fund Fund Fund Fund Fund Fund Fund Liquidity 27.50% 12.30% 1.10% 1.10% 1.00% Fixed Income 55.10% 51.40% 49.94% 40.20% 27.10% 16.00% Equity 7.30% 21.00% 34.40% 47.40% 62.70% 80.00% % Income 5.10% 7.20% 5.30% 3.10% 2.10% Inflation-Sensitive Assets 4.00% 5.10% 5.10% 6.20% 5.10% 4.00% Absolute Return 1.00% 3.00% 4.30% 2.00% 2.00% % % % % % % % Cash & Cash Equivalents 27.50% 12.30% 1.10% 1.10% 1.00% Global Short Duration Fixed Income 19.00% 15.40% 15.61% 2.70% 1.05% Global Short Term Fixed Interest 19.00% 15.40% 5.75% 2.70% 1.05% UK Fixed Income 6.10% 8.20% 10.60% 13.00% 6.20% Global Government Fixed Income 3.00% 3.10% 4.20% 5.40% 4.20% 2.00% Global Credit Fixed Income 3.00% 3.10% 4.20% 5.40% 3.10% 2.00% High Yield 5.00% 6.20% 7.48% 7.70% 6.30% 6.00% Emerging Market Debt 2.10% 3.30% 5.20% 6.00% Global Managed Volatility 7.30% 16.80% 23.56% Global Developed Markets Equity 7.40% 8.10% 10.00% 13.00% UK Equity 4.20% 10.70% 17.90% 24.30% 31.00% 39.00% US Large Companies Equity 5.90% 5.30% 6.40% 7.60% US Small Companies Equity 0.40% 2.30% 3.10% 3.90% European Equity 3.20% 3.00% 4.00% 5.00% Pan European Small Companies 1.00% 2.00% 3.00% 3.00% Japan Equity 2.10% 3.00% 3.00% 4.00% Pacific Basin Ex-Japan Equity 1.00% 2.00% 2.00% 3.00% Emerging Market Equity 2.10% 5.10% 8.00% 10.00% Factor Allocation US Equity 6.40% 7.60% 9.50% 11.50% Multi-Asset Income 5.10% 7.20% 5.30% 3.10% 2.10% Commodities 2.00% 3.00% 3.00% 4.00% 3.00% 2.00% Inflation-linked bonds 2.00% 2.10% 2.10% 2.20% 2.10% 2.00% Liquid Alternatives 1.00% 3.00% 4.30% 2.00% 2.00% TOTAL 100% 100% 100% 100% 100% 100% 100% Expected Returns 3.10% 4.30% 5.30% 6.50% 7.30% 8.10% 8.50% Expected Standard Deviation 3.40% 5.80% 8.20% 12.00% 14.70% 17.60% 20.00% Drawdown Risk Budget -10% -20% -30% The SEI Strategic Portfolios may invest in a combination of SEI and Third-Party Funds as well as in additional manager pools based on asset classes. These manager pools are pools of assets from the respective Strategic Portfolio separately managed by Portfolio Managers which are monitored by SEI. One cannot directly invest in these manager pools. Asset allocations represent strategic long-term baseline allocations as of 30 June Allocations subject to change. For information on the current target active allocations, please see appendix.

4 Returns Expected range of returns Standard Deviation 9.0% SEI Strategic Portfolios Aggressive 8.0% Balanced Growth 7.0% Core 6.0% 5.0% 4.0% Conservative Moderate Growth-Focused 3.0% Defensive 2.0% Stability-Focused 1.0% 0.0% 0.0% 5.0% 10.0% 15.0% 20.0% 25.0% Standard Deviation Source: SEI. Allocations subject to change; as per 30 June Projections using SEI Capital Market Assumptions

5 Expected Range of Returns Over a Twenty-Year Time Period 5

6 Expected Returns Expected Range of Returns Defensive Fund 7.0% 6.0% 5.0% Figures are gross and based in GBP Source: SEI s Capital Markets Assumptions for asset class returns, risks and correlations. 4.0% 95% 3.0% 3.1% 50% Percentiles 2.0% 5% 1.0% 0.0% -1.0% -2.0% Time Horizon (Years) The 95th percentile represents the value below which 95% of outcomes fall. The 50th percentile is the median value where half the outcomes are higher and half the outcomes are lower than that value. The 5th percentile represents the value below which 5% of outcomes fall. Source: SEI. Allocations subject to change; as per 30 June Current Standardised performance is available on request.

7 Expected Returns Expected Range of Returns Conservative Fund 12.0% 10.0% Figures are gross and based in GBP Source: SEI s Capital Markets Assumptions for asset class returns, risks and correlations. 8.0% 95% 6.0% 4.0% 2.0% 4.3% 50% 5% Percentiles 0.0% -2.0% Time Horizon (Years) The 95th percentile represents the value below which 95% of outcomes fall. The 50th percentile is the median value where half the outcomes are higher and half the outcomes are lower than that value. The 5th percentile represents the value below which 5% of outcomes fall. Source: SEI. Allocations subject to change; as per 30 June Current Standardised performance is available on request.

8 Expected Returns Expected Range of Returns Moderate Fund 16.0% 14.0% 12.0% Figures are gross and based in GBP Source: SEI s Capital Markets Assumptions for asset class returns, risks and correlations. 10.0% 8.0% 95% 6.0% 5.3% 50% Percentiles 4.0% 2.0% 5% 0.0% -2.0% -4.0% Time Horizon (Years) The 95th percentile represents the value below which 95% of outcomes fall. The 50th percentile is the median value where half the outcomes are higher and half the outcomes are lower than that value. The 5th percentile represents the value below which 5% of outcomes fall. Source: SEI. Allocations subject to change; as per 30 June Current Standardised performance is available on request.

9 Expected Returns Expected Range of Returns Core Fund 20.0% 15.0% Figures are gross and based in GBP Source: SEI s Capital Markets Assumptions for asset class returns, risks and correlations. 10.0% 95% 6.5% 50% Percentiles 5.0% 5% 0.0% -5.0% Time Horizon (Years) The 95th percentile represents the value below which 95% of outcomes fall. The 50th percentile is the median value where half the outcomes are higher and half the outcomes are lower than that value. The 5th percentile represents the value below which 5% of outcomes fall. Source: SEI. Allocations subject to change; as per 30 June Current Standardised performance is available on request.

10 Expected Returns Expected Range of Returns Balanced Fund 25.0% 20.0% Figures are gross and based in GBP Source: SEI s Capital Markets Assumptions for asset class returns, risks and correlations. 15.0% 95% 10.0% 7.3% 50% Percentiles 5.0% 5% 0.0% -5.0% -10.0% Time Horizon (Years) The 95th percentile represents the value below which 95% of outcomes fall. The 50th percentile is the median value where half the outcomes are higher and half the outcomes are lower than that value. The 5th percentile represents the value below which 5% of outcomes fall. Source: SEI. Allocations subject to change; as per 30 June Current Standardised performance is available on request.

11 Expected Returns Expected Range of Returns Growth Fund 30.0% 25.0% 20.0% Figures are gross and based in GBP Source: SEI s Capital Markets Assumptions for asset class returns, risks and correlations. 15.0% 95% 10.0% 8.1% 50% Percentiles 5.0% 5% 0.0% -5.0% -10.0% Time Horizon (Years) The 95th percentile represents the value below which 95% of outcomes fall. The 50th percentile is the median value where half the outcomes are higher and half the outcomes are lower than that value. The 5th percentile represents the value below which 5% of outcomes fall. Source: SEI. Allocations subject to change; as per 30 June Current Standardised performance is available on request.

12 Expected Returns Expected Range of Returns Aggressive Fund 35.0% 30.0% 25.0% Figures are gross and based in GBP Source: SEI s Capital Markets Assumptions for asset class returns, risks and correlations. 20.0% 15.0% 95% 10.0% 8.5% 50% Percentiles 5.0% 0.0% 5% -5.0% -10.0% -15.0% Time Horizon (Years) The 95th percentile represents the value below which 95% of outcomes fall. The 50th percentile is the median value where half the outcomes are higher and half the outcomes are lower than that value. The 5th percentile represents the value below which 5% of outcomes fall. Source: SEI. Allocations subject to change; as per 30 June Current Standardised performance is available on request.

13 Expected Range of Returns Over a Three-Year Time Period 13

14 Expected Returns SEI Strategic Portfolios Projections Using SEI Capital Market Assumptions 35.0% 30.0% 25.0% Expected Range of Returns 3-Year Time Horizon Figures are gross and based in GBP Source: SEI s Capital Markets Assumptions for asset class returns, risks and correlations. 20.0% 15.0% 10.0% 5.0% 0.0% 3.1% 4.3% 5.3% 6.5% 7.3% 8.1% 8.5% 95% 50% 5% Percentiles -5.0% -10.0% -15.0% Defensive Conservative Moderate Core Balanced Growth Aggressive The 95th percentile represents the value below which 95% of outcomes fall. The 50th percentile is the median value where half the outcomes are higher and half the outcomes are lower than that value. The 5th percentile represents the value below which 5% of outcomes fall. Source: SEI. Allocations subject to change; as per 30 June Current Standardised performance is available on request.

15 Important Information This material is not directed to any persons where (by reason of that person s nationality, residence or otherwise) the publication or availability of this material is prohibited. Persons in respect of whom such prohibitions apply must not rely on this information in any respect whatsoever. Investment in the funds or products described herein are available only to intended recipients and this communication must not be relied or acted upon by anyone who is not an intended recipient. While considerable care has been taken to ensure the information contained within this document is accurate and up-to-date, no warranty is given as to the accuracy or completeness of any information and no liability is accepted for any errors or omissions in such information or any action taken on the basis of this information. SEI Investments (Europe) Limited acts as distributor of collective investment schemes which are authorised in Ireland pursuant to the UCITS regulations and which are collectively referred to as the SEI Funds in these materials. These umbrella funds are incorporated in Ireland as limited liability investment companies and are managed by SEI Investments Global, Limited, an affiliate of the distributor. SEI Investments (Europe) Limited utilises the SEI Funds in its asset management programme to create asset allocation strategies for its clients. Reference in this document to any SEI Funds should not be construed as a recommendation to buy or sell these securities or to engage in any related investment management services. Recipients of this information who intend to apply for shares in any SEI Fund are reminded that any such application must be made solely on the basis of the information contained in the Prospectus (which includes a schedule of fees and charges and maximum commission available). Commissions and incentives may be paid and if so, would be included in the overall costs. A copy of the Prospectus can be obtained by contacting your Financial Advisor, SEI Relationship Manager or using the contact details below. Past performance is not a guarantee of future performance. Investments in SEI Funds are generally medium to long term investments. The value of an investment and any income from it can go down as well as up. Fluctuations or movements in exchange rates may cause the value of underlying internal investments to go up or down. Investors may not get back the original amount invested. SEI Funds may use derivative instruments which maybe used for hedging purposes and/or investment purposes. This material represents an assessment of the market environment at a specific point in time and is not intended to be a forecast of future events. The risks described below may apply to the underlying assets of the products into which the Strategic Portfolios invest: Investment in equity securities in general are subject to market risks that may cause their prices to fluctuate over time. Fixed income securities are subject to credit risk and may also be subject to price volatility and may be sensitive to interest rate fluctuations. Absolute return investments utilise aggressive investment techniques which may increase the volatility of returns. If the correlation between absolute return investments and other asset classes within the fund increases, absolute return investments expected diversification benefits may be decreased. International investments may involve risk of capital loss from unfavourable fluctuation in currency values, from differences in generally accepted accounting principles or from economic or political instability in other nations. Narrowly focused investments and smaller companies typically exhibit higher volatility. The performance of the Fund may therefore rise and fall as a result of exchange rate fluctuations. This information is issued by SEI Investments (Europe) Limited ( SIEL ), 1st Floor Alphabeta, Finsbury Square, London EC2A 1BR, United Kingdom +44 (0) This document and its contents are directed only at persons who have been classified by SIEL as a Professional Client for the purposes of the FCA Conduct of Business Sourcebook. SIEL is authorised and regulated by the Financial Conduct Authority.

16 Appendix

17 SEI Strategic Portfolio Target Allocations Current column represents each Funds target active allocation. A blue-shaded cell (white font) represents an overweight position; a grey-shaded cell (black font) represents an underweight position versus the strategic weight. All targets are as at 30 June Allocations subject to change. *Obtained by investing in a hedged Sterling-denominated share class of the SEI Japan Equity Fund or SEI European (ex-uk) Equity Fund combined with a long U.S. dollar/short sterling currency forward designed to neutralize unintended currency effects

18 SEI Strategic Portfolio Target Allocations Current column represents each Funds target active allocation. A blue-shaded cell (white font) represents an overweight position; a grey-shaded cell (black font) represents an underweight position versus the strategic weight. All targets are as at 30 June Allocations subject to change. *Obtained by investing in a hedged Sterling-denominated share class of the SEI Japan Equity Fund or SEI European (ex-uk) Equity Fund combined with a long U.S. dollar/short sterling currency forward designed to neutralize unintended currency effects