The SunGard Retirement Benefits Scheme Quarterly Investment Monitoring Report to 31 March 2012

Transcription

1 Quarterly Investment Monitoring Report to 31 March 2012

2 Executive Summary Scheme Asset Valuation The SunGard Section's assets increased in value over the quarter to 75,233,620. This is an increase of 5,188,852 (7.4%) over the quarter. The Sherwood Section's assets increased in value over the quarter to 23,777,048. This is an increase of 1,456,987 (6.5%) over the quarter. Member holdings and allocation We were unable to obtain member holdings in each individual fund at the time of this report. Therefore we have not included the split for Quarter Default Fund performance All Funds in the default strategy are invested in passively managed index funds with Legal & General. All three Legal & General funds have performed in line with their benchmarks However, over 1 year both the Consensus Index Fund and the Over 15 Year Gilts Index Fund have slightly underperformed, taking into account the fees charged. Over 3 years all three Legal & General funds have performed in line with their benchmarks, net of fees. Self Select Fund performance Over the quarter all funds produced a positive absolute return, apart from the Legal & General AAA Fixed Interest Over 15 Year Fund. The strongest funds in terms of absolute returns were those with the highest equity allocation, as equities continued to rally from the previous quarter. The Neptune Global Equity Fund produced a positive relative return this quarter after 4 quarters of negative relative returns. However the 1 year absolute and relative returns as well as the 3 year relative return are negative. The Russell Emerging Markets Equity Fund produced a negative relative return over the quarter, however over the longer term relative performance is still positive. This fund is expected to be quite volatile relative to its benchmark, so we would recommend that the Trustees monitor performance closely going forward. Most of the other funds produced strong relative returns, which is very much a trait of many active managers performing well in rising markets. Conclusions and Recommendations This was a good quarter, with most funds producing a positive absolute return. Only two funds produced negative relative returns over the quarter. The key area of concern is the ongoing relative return of the Neptune Global Equity Fund, although this was positive in this quarter. The performance of the Russell Emerging Market Equity Fund should also be closely monitored. Page 2 of 51

3 Contents 5.10 Russell Emerging Markets Equity Fund F&C MPF Stewardship Fund 42 General 1 Market Review 4 Total Scheme 2 Scheme Asset Valuation 8 3 Member Profile 10 Appendices A: List of Funds and Objectives 44 B: Complying with the Myners Principles 46 C: Benchmarks used in Market Review 47 D: Glossary 48 Default Funds 4 Default Fund Performance Legal & General Consensus Index Fund Legal & General Over 15 Year Gilts Index Fund Legal & General Cash Fund 18 5 Self Select Funds' Performance Legal & General FTSE 100 IndexTracker Fund L&G Global Equity 50:50 Index Fund Legal & General Property Fund Legal & General 10 Year Active Corporate Bond Fund L&G AAA Fixed Interest Over 15 Year Fund Threadneedle UK Equity Fund Threadneedle Mixed Fund Threadneedle Managed Global Equity Fund Neptune Global Equity Fund 38 Contact: Brendan Coffey Senior Investment consultant brendan.coffey@capita.co.uk Heena Desai Associate Consultant heena.desai@capita.co.uk Page 3 of 51

4 1. Market Review MARKET EVENTS UK market events Quantitative easing: The Bank of England as expected expanded its quantitative easing programme by 50 billion to 325 billion in February The continuing aim of this is to provide banks with more liquidity which should feed through to lending to businesses. Budget 2012: The Budget was broadly in-line with expectations of it maintaining the government's ongoing austerity programme. The impact on investment markets is expected to be fairly limited, as it is the global macroeconomic problems that are the key driver of market sentiment. However, the ongoing austerity measures are likely to keep yields on UK gilts low while global markets remain volatile. Government Debt: The Debt Management Office projects a Cash Borrowing Requirement of over 100 billion for the next two years, as the government continues to try to reduce the deficit. It expects to issue over 150 billion in government bonds for each of these years. The UK public sector debt was 995 billion at February 2012, or 63.1% of Gross Domestic Product. This is an increase of 18 billion over the quarter, bringing the fiscal year total to date to 106 billion. Interest rates: UK interest rates have been kept at 0.5% over the quarter, and for the last 3 years. Unemployment: Unemployment fell to 2.65 million (8.3%) at the end of February 2012, which is the first fall since almost a year ago. The rate of youth employment remains high at 22.2%, with over 1 million year olds unemployed. Inflation: Consumer Price Index ("CPI") annual inflation fell to 3.5% in March 2012 from 4.2% in December, still considerably above the Bank of England target of 2%. Retail Price Inflation ("RPI") fell to 3.6% from 4.8% over the quarter. Economic growth: UK GDP contracted by 0.2% in Q1 2012, after the previous quarter estimate being revised downwards from 0.2% to 0.3%. This means the UK is technically in recession again after two consecutive quarters of negative GDP growth. Manufacturing sector: The Purchasing Managers' Index rose to a 10 month high of 52.1 in March 2012 (above 50 indication expansion). Services sector: Output from the services sector increased by 0.1% in Q Europe market events Sovereign Debt Crisis: At the beginning of the quarter, Standard & Poors rating agency downgraded the credit rating of France and the EU bailout fund. The UK and Czech Republic refused to sign the Europe wide fiscal pact, creating a rift between the UK and Europe. After much negotiation the EU leaders approved a bailout package for Greece, with private bond holders taking over a 5 'haircut'. Concerns over Italy and Spain caused their bond yields to hit high points during the quarter. Government Debt: The Euro area and EU27 government deficit for 2011 is estimated at 4.1% and 4.5% of Gross Domestic Product respectively. The government debt figure at the year end was 87.2% and 82.5% respectively. Interest rates: The key interest rate has been kept at its historic low level of 1. since December Unemployment: In March 2012 unemployment in the Eurozone hit a historic high of 10.9%, amounting to 11 million people unemployed. For the whole EU, unemployment was 10.2%. The highest unemployment rate was in Spain at 24.4%. Inflation: Inflation across the Eurozone was 2.7% for the year to March Economic growth: The Eurozone economy contracted by 0.3% in the fourth quarter of Manufacturing sector: The manufacturing sector fell sharply in March, indicating the ninth month of contraction. US market events Government Debt: US government debt remained above US$15 trillion at the end of March Interest rates: The US Federal Reserve has maintained interest rates at a historically low level of 0.25% since December Unemployment: US unemployment continued to fall to 8.2% in March Inflation: US inflation was 2.7% in March 2012, which is restricting the Federal Reserves ability to do more to stimulate the economy and reduce unemployment. Page 4 of 51

5 Economic growth: US economic growth slowed to 2.2% on an annualised basis in the first quarter, from 3. the previous quarter. Japan and 'BRICS' countries market events Japan: Japan maintained its near zero interest rate after reducing it from 0.1% in October. The inflation rate was 0.5% in March The economy contracted by 0.2% in the fourth quarter of Brazil: Brazil maintained its key interest rate at an almost historic low of 9.. Unemployment at the end of March 2012 was 6.2%. Inflation remained at 5.2% for the year. Gross Domestic Product rose 0.3% in the fourth quarter of 2011, after a slight fall the previous quarter. Russia: Gross Domestic Product rose 1.8% in the fourth quarter of Inflation was 3.7% in March 2012, while unemployment was 6.5%. The benchmark interest rate was 8.. India: The inflation rate in March was 9.5%. The benchmark interest rate was 8.. Unemployment was 9.4%. China: Inflation in China for the year to March 2012 was 3.6%. The benchmark interest rate was 6.6%. Unemployment in the fourth quarter of 2011 was 4.1%. South Africa: The inflation rate for the year to March 2012 was 6%. The key interest rate was 5.5%. Unemployment at the end of 2011 was 23.9%. Gross Domestic Product rose by 3.2% in the fourth quarter of ASSET CLASS PERFORMANCE The New Year began with a positive but cautious sentiment with investors willing to take more risk. As a result equity markets rose strongly over January and February while bond values fell progressively - a reversal of 'flight to safety'. Towards the end of March equity markets fell considerably as Asia (particularly China) and Europe reported disappointing economic data. While China appears to be coming in for a controlled landing, Europe (excl. Germany) appears to be set for widespread recession in Investors have also taken stock of strong returns from the first two months. UK Equities: UK equities produced another strong positive return over the quarter, returning 6.1%, although lagged other equity markets. Overseas Equities: Overseas equities produced a very strong return over the quarter, driven by a recovering US economy and reduced fears over the extent of a slowdown in emerging markets. Government Bonds: UK gilts produced negative returns over the quarter with over 15 year gilt yields rising from 2.94% to 3.26%. This remains historically low, but is likely to significantly improve the valuation of defined benefit pension scheme liabilities and funding levels from the start of the quarter. Corporate Bonds: Although long dated gilt values fell over the quarter, long dated corporate bonds continued to produce a positive return. The yield on the iboxx Corporate AA over 15 years index fell slightly from 4.68% to 4.63% over the quarter. Property: UK commercial property again posted a modest positive return over the quarter. Concerns remain over the effect of austerity measures on the broad economy, and the impact on occupier demand, rents and default rates. Commodities: Commodities produced a negative return of -2.2% over the quarter, bringing their 5 year return to just 0.3% p.a. Currencies: Sterling depreciated against the US dollar (-0.5%) and the Yen (-1.5%), but strengthened significantly against the Euro (+6.) over the quarter. Currencies remain volatile relative to each other as investment market volatility and economic uncertainties persist. Page 5 of 51

6 Key Observations All major equities regions performed strongly over the first quarter. Notably UK equities underperformed all other major regions, as austerity measures continue to dampen sentiment about the economy. Following two quarters of significant returns, gilts fell back over the quarter. However, corporate bonds continue to produce relatively strong returns. For the year, gilts and corporate bonds were the strongest performing asset classes by far. Europe ex UK and emerging/developing markets have posted a significant loss over this period. Over 3 years, most asset classes produced strong returns, despite some poor returns over the last year. However, over 5 years long dated gilts were the strongest performing asset class (besides emerging market equities). UK and Europe ex UK were in particular very weak over such a long time scale. ASSET CLASS STATISTICS (returns in GBP) UK Equities Overseas Equities European (Ex UK) Equities US Equities Japanese Equities Asia Pacific (ex Japan) Equities Global Emerging Markets Brazil, Russia, India and China Over 15yrs Fixed Interest Gilts Over 5yrs Index Linked Gilts Long Dated UK Corporate Bonds Cash UK Commercial Property Commodities UK Equities Overseas Equities European (Ex UK) Equities US Equities Japanese Equities Asia Pacific (ex Japan) Equities Global Emerging Markets Brazil, Russia, India and China Over 15yrs Fixed Interest Gilts Over 5yrs Index Linked Gilts Long Dated UK Corporate Bonds Cash UK Commercial Property Commodities -4.4% % 3 3 Months 0.3% 0.9% 1.6% 6.1% 8.7% 9.2% 8.9% 9.4% 9.8% 9.8% 11.1% % 3 Years (p.a.) 3 Years (Per Annum) 4.9% 9.4% 11.2% 12.3% 12.2% 12.6% 14.2% 14.9% % 18.8% 18.9% 21.4% UK Equities Overseas Equities European (Ex UK) Equities US Equities Japanese Equities Asia Pacific (ex Japan) Equities Global Emerging Markets Brazil, Russia, India and China Over 15yrs Fixed Interest Gilts Over 5yrs Index Linked Gilts Long Dated UK Corporate Bonds Cash UK Commercial Property Commodities UK Equities Overseas Equities European (Ex UK) Equities US Equities Japanese Equities Asia Pacific (ex Japan) Equities Global Emerging Markets Brazil, Russia, India and China Over 15yrs Fixed Interest Gilts Over 5yrs Index Linked Gilts Long Dated UK Corporate Bonds Cash UK Commercial Property Commodities -17.1% -15.9% -11.4% -9.1% -8.4% 1 Year 12 Months -0.3% 1.4% % 6.6% % 21.1% 22.6% % 5 Years (p.a.) 5 Years (Per Annum) 0.1% 0.3% 1.8% 2.2% 2.7% % 6.3% 6.6% 7.1% 8.3% Source: Capita Hartshead 9.5% 9.5% Page 6 of 51

7 Key Observations Sterling returns versus local market currency returns Equity returns compared to inflation indices Sterling has continued to appreciate against the Euro, but weakened modestly against the US Dollar over the last year. The strong Yen has meant the continuing depreciation of Sterling against the Yen. Average Weekly Earnings increases for the year have fallen to almost zero at the end of February This continues to be far below inflation, meaning an overall reduction in real earnings. Long dated gilt yields (a key driver in defined benefit pension scheme liability valuations) have bounced back from their sub-3% level at the end of However, they have fluctuated around the current low level over the entire quarter. US Equities Japanese Equities Europe (ex- UK) Equities Asia Pacific (ex Japan) Equities 1yr Annualised to 31 Mar yr (p.a.) 5yr (p.a.) 10yr (p.a.) GBP % 6.3% 2.9% Local 8.5% 23.4% % GBP 6.2% 12.2% 2.2% 4.1% Local 5.4% 9.5% -8.7% 0.4% GBP -11.4% 12.3% 0.1% 5.1% Local -6.1% 16.3% -3.9% 1.9% GBP -9.1% 18.1% 6.6% 8.5% Local -9.6% 7.1% -2.6% 2.7% UK Average Earnings Index (as at Feb 2011) Annualised to 31 Mar yr 5yr 10yr 2.6% 1.9% 3.2% UK Equity 18.8% 1.8% 5.2% Overseas Equity (GBP returns) % RPI 4.5% 3.3% 3.3% CPI 3.6% 3.2% 2.6% UK Inflation Year to 31 Mar 2012 CPI (Consumer Prices Index) 3.5% Currencies RPI (Retail Prices Index) 3.6% AWE (Average Weekly Earnings) 0.22% (at 29 Feb 2012) Annualised to 31 Mar 2012 UK Pound against US Dollar 1yr 3yr (p.a.) 5yr (p.a.) 10yr (p.a.) -0.5% 3.7% -3.9% 1.2% UK Pound against Euro % UK Pound against Japanese Yen -1.5% -2.3% -10.7% -3.6% UK Interest Rates/Yields At 31 Mar 2012 (p.a.) Bank of England Base Rate 0.5 Gilt Yield (+15 Years) 3.26% Net Equity Yield (FTSE All Share) 3.45% Source: Capita Hartshead Page 7 of 51

8 2. Scheme Asset Valuation The SunGard Section's assets increased in value over the quarter to 75,233,620. This is an increase of 5,188,852 (7.4%) over the quarter. The choice of funds remains appropriately broad for members. The SUNGARD SECTION s asset valuation at the start and end of the quarter was as follows: Value At 31 December 2011 No. of Members Value At 31 March 2012 No. of Members % % Ref L&G Consensus Index Fund 49,744, , % 53,183, % * 4.1 L&G Over 15 Year Gilts Index Fund 3,748, % % 3,742, * 4.2 L&G Cash Fund 1,197, % % 1,230, % * 4.3 L&G FTSE 100 IndexTracker Fund 581, % % 630, % * 5.1 L&G Global Equity 50:50 Index Fund 278, % % 309, % * 5.2 L&G Property Fund 165, % % 172, % * 5.3 L&G Active Corporate Bond Over 10 Year Fund 324, % 8 0.2% 336, % * 5.4 L&G AAA Fixed Interest Over 15 Year Fund 9, % 13, * 5.5 Threadneedle UK Equity Fund 1,220, % % 1,368, % * 5.6 Threadneedle Mixed Fund 4,234, % 4,542, * 5.7 Threadneedle Managed Global Equity Fund 455, % % 588, % * 5.8 Neptune Global Equity Fund 5,271, % % 5,846, % * 5.9 Russell Emerging Markets Equity Fund 2,372, % % 2,765, % * 5.10 F&C MPF Stewardship Ethical Fund 440, % , % * 5.11 Total 70,044, ,201 75,233, = default fund Source: Capita Hartshead; Investment managers Note: *We have not included the membership split this quarter as this information was not available at the time of this report. The references on the right hand column refer to the performance page for the fund. Page 8 of 51

9 The Sherwood Section's assets increased in value over the quarter to 23,777,048. This is an increase of 1,456,987 (6.5%) over the quarter. The SHERWOOD SECTION s asset valuation at the start and end of the quarter was as follows: Value At Value At 31 December 2011 No. of Members 31 March 2012 No. of Members % % Ref L&G Consensus Index Fund 16,734, ,198, % * 4.1 L&G Over 15 Year Gilts Index Fund 3,683, % % 3,828, % * 4.2 L&G Cash Fund 614, % % 636, % * 4.3 L&G FTSE 100 IndexTracker Fund 31, % 2 0.3% 32, % * 5.1 L&G Global Equity 50:50 Index Fund 413, % 7 1.1% 445, % * 5.2 L&G Property Fund 10, % 10, * 5.3 L&G Active Corporate Bond Over 10 Year Fund 190, % 5 0.8% 194, % * 5.4 L&G AAA Fixed Interest Over 15 Year Fund 57, % % 784, % * 5.5 Threadneedle UK Equity Fund 188, % 5 0.8% 207, % * 5.6 Threadneedle Mixed Fund 39, % 2 0.3% 43, % * 5.7 Threadneedle Managed Global Equity Fund 342, % % 333, % * 5.8 Russell Emerging Markets Equity Fund 13, % 2 0.3% 60, % * 5.10 Total 22,320, ,777, = default fund Source: Capita Hartshead; Investment managers; Administration Report Note: *We have not included the membership split this quarter as this information was not available at the time of this report. The references on the right hand column refer to the performance page for the fund. Page 9 of 51

10 3. Member Profile As we did not have the membership data at the time of this report we have not included a split of the number of members invested in each fund for this Quarter. We have included the previous quarters membership profile for reference. The SUNGARD SECTION s member profile by number of members invested in each fund at the end of the previous quarter was as follows: L&G Consensus Index Fund L&G Over 15 Year Gilts Index Fund % 8% 92% 92% L&G Cash Fund L&G FTSE 100 IndexTracker Fund L&G Global Equity 50:50 Index Fund L&G Property Fund L&G Active Corporate Bond Fund L&G AAA Fixed Interest Fund Threadneedle UK Equity Fund Threadneedle Mixed Fund Threadneedle Managed Global Equity Fund Neptune Global Equity Fund Russell Emerging Markets Equity Fund F&C MPF Stewardship Fund Standard Life Corporate Bond Fund 5% 7% 3% 3% 1% 1% 2% 2% 4% 4% 7% 8% 2% 1% 8% 9% 7% 7% 2% 2% 1% 31 December September 2011 Source: Capita Hartshead/Investment managers The percentages will not add to 10 as many members are invested across multiple funds. Page 10 of 51

11 As we did not have the membership data at the time of this report we have not included a split of the number of members invested in each fund for this Quarter. We have included the previous quarters membership profile for reference. The SHERWOOD SECTION s member profile by number of members invested in each fund at the end of the previous quarter was as follows: L&G Consensus Index Fund L&G Over 15 Year Gilts Index Fund L&G Cash Fund L&G FTSE 100 IndexTracker Fund L&G Global Equity 50:50 Index Fund L&G Property Fund L&G Active Corporate Bond Fund L&G AAA Fixed Interest Fund Threadneedle UK Equity Fund Threadneedle Mixed Fund Threadneedle Managed Global Equity Fund Russell Emerging Markets Equity Fund Baillie Gifford (60:40) Worldwide Equity Pension Fund Invesco Cash Pension Fund Invesco Global Equity Pension Fund Liontrust Income Fund Standard Life Corporate Bond Fund % 1% 1% 2% 1% 5% 5% 1% 1% 1% 12% 22% 84% 93% 97% 31 December September 2011 Source: Capita Hartshead/Investment managers The percentages will not add to 10 as many members are invested across multiple funds. Page 11 of 51

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13 4. Default Fund Performance The Default funds performance over the quarter, 1 year and 3 years was as follows: Key Risks/Concerns Identified There are no concerns with the relative performance of any of the default funds. Absolute return Quarter 1 Year 3 Year B'mark return Relative return Absolute return B'mark return Relative return Absolute return B'mark return Relative return % % % % % % % p.a. % p.a. % p.a. Ref Comments All three default funds are invested in passively managed index funds with Legal & General. All three funds have performed in line with their benchmarks over the quarter, net of fees. However, over 1 year both the Consensus Index Fund and the Over 15 Year Gilts Index Fund have marginally underperformed, allowing for fees. Of note in the fall in value of the Gilts Fund, following the previous two quarters of significant returns. Overall the performance of each fund is within a tolerable range of its benchmark. L&G Consensus Index Fund L&G Over 15 Year Gilts Index Fund L&G Cash Fund Source: Capita Hartshead/ Legal & General Investment management Performance measurement: Fund performance is measured on a time weighted rate of return basis, net of fees. Figures in red indicate underperformance relative to the benchmark. Page 13 of 51

14 4.1 Legal & General Consensus Index Fund Total Scheme value as at 31 March ,382,309 % of total Scheme value 71.1% Fees (p.a.) 0.15% 25% 2 15% 1 Legal & General Consensus Index Fund (net of fees) - quarterly returns Performance target CAPS Consensus Median gross of fees Performance 1 Quarter 1 Year 3 Years(p.a.) Fund return (net) 5.8% 0.2% 14.6% Benchmark 5.8% 0.4% 14.6% Relative return % 0. Achieved? Risk Volatility (monthly over 3 years) 12.1% p.a. Tracking error (monthly over 3 years) 0.1% p.a. 5% -5% -1-15% 0.1% -0.1% % -0.1% % 0. Fund 7.1% 18.5% % -8.9% 9.5% 6.3% 1.2% 1.3% -11.7% 5.8% 5.8% Benchmark % % -8.9% 9.6% 6.4% 1.2% 1.3% -11.7% % Relative 0.1% -0.1% % -0.1% % 0. Source: Capita Hartshead Limited/ Legal & General Investment management Key Risks/Concerns Identified None Page 14 of 51

15 Comments The Fund produced an absolute return of 5.8% net of fees over the quarter, in-line with the benchmark. Over the last 12 quarters the fund has produced 1 quarter of outperformance, 4 quarters of underperformance, and 7 quarters of performance in line with the benchmark. Over 1 year the Fund produced an absolute return of 0.2% net of fees, underperforming the benchmark by -0.2%. Over 3 years the Fund produced an absolute return of 14.6% p.a. net of fees, in-line with the benchmark % 14% 12% 1 8% 6% 4% 2% -2% -4% Legal & General Consensus Index Fund (net of fees) - 1 year returns 0.4% 0.4% 0.2% 0.2% -0.1% -0.1% -0.1% -0.1% % -0.1% -0.2% 1 year fund return 1 year benchmark return 1 year relative return Legal & General Consensus Index Fund (net of fees) - 3 year returns 0.1% 0.1% % % 0.1% year p.a. fund return 3 year p.a. benchmark return 3 year p.a. relative return Source: Capita Hartshead Limited/ Legal & General Investment management Page 15 of 51

16 4.2 Legal & General Over 15 Year Gilts Index Fund 2 Legal & General Over 15 Year Gilts Index Fund (net of fees) - quarterly returns Total Scheme value as at 31 March ,571,545 % of total Scheme value 7.6% Fees (p.a.) 0.1% 15% 1 Performance target FTSE A Government (Over 15 Year) Index gross of fees 1 Quarter 1 Year 3 Years Fund return (net) -4.4% 22.4% 9.3% Benchmark -4.4% 22.6% 9.4% Relative return % -0.1% Achieved? Risk Volatility (monthly over 3 years) 10.8% p.a. Tracking error (monthly over 3 years) 0. p.a. 5% -5% % % % 0. Fund -1.6% 5.9% -4.3% 0.2% 6.4% 5.7% -3.5% -1.5% 2.2% 14.4% 9.5% -4.4% Benchmark -1.6% 5.9% -4.3% 0.2% 6.4% 5.8% -3.5% -1.5% 2.3% 14.4% 9.6% -4.4% Relative % % % 0. Source: Capita Hartshead Limited/ Legal & General Investment management Key Risks/Concerns Identified None Page 16 of 51

17 Comments The Fund produced an absolute return of -4.4% net of fees over the quarter, in-line with the benchmark. Over the last 12 quarters the fund has produced 0 quarters of outperformance, 3 quarters of underperformance, and 9 quarters of performance in line with the benchmark. Over 1 year the Fund produced an absolute return of 22.4% net of fees, underperforming the benchmark by -0.2%. Over 3 years the Fund produced an absolute return of 9.3% p.a. net of fees, underperforming the benchmark by -0.1% p.a. 3 25% 2 15% 1 5% -5% -1 12% Legal & General Over 15 Year Gilts Index Fund (net of fees) - 1 year returns % -0.1% % % % -0.1% -0.2% -0.2% 1 year fund return 1 year benchmark return 1 year relative return Legal & General Over 15 Year Gilts Index Fund (net of fees) - 3 year returns 1 8% 6% 4% 2% -2% -0.1% -0.1% -0.1% % -0.1% -0.1% -0.1% -0.1% % 3 year p.a. fund return 3 year p.a. benchmark return 3 year p.a. relative return Source: Capita Hartshead Limited/ Legal & General Investment management Page 17 of 51

18 4.3 Legal & General Cash Fund Total Scheme value as at 31 March ,866,400 % of total Scheme value 1.9% % Legal & General Cash Fund (net of fees) - quarterly returns Fees (p.a.) 0.125% Performance target 7 Day LIBOR gross of fees % 1. 1 Quarter 1 Year 3 Years Fund return (net) 0.1% 0.5% 0.5% Benchmark 0.1% 0.5% 0.5% Relative return Achieved? Risk Volatility (monthly over 3 years) 0. p.a. Tracking error (monthly over 3 years) 0. p.a. Key Risks/Concerns Identified None 0.5% % Fund 0.1% 0.1% 0.1% 0.1% 0.1% 0.1% 0.1% 0.1% 0.1% 0.1% 0.2% 0.1% Benchmark 0.1% 0.1% 0.1% 0.1% 0.1% 0.1% 0.1% 0.1% 0.1% 0.1% 0.1% 0.1% Relative % 0. Source: Capita Hartshead Limited/ Legal & General Investment management 0.1% 0. Page 18 of 51

19 Comments The Fund produced an absolute return of 0.1% net of fees over the quarter, in-line with the benchmark. Over the last 12 quarters the fund has produced 1 quarter of outperformance, 0 quarters of underperformance, and 11 quarters of performance in line with the benchmark. Over 1 year the Fund produced an absolute return of 0.5% net of fees, in-line with the benchmark. Over 3 years the Fund produced an absolute return of 0.5% p.a. net of fees, in-line with the benchmark % % % % 0.2% 0.2% Legal & General Cash Fund (net of fees) - 1 year returns % -0.1% -0.1% -0.1% 0.1% year fund return 1 year benchmark return 1 year relative return Legal & General Cash Fund (net of fees) - 3 year returns 2.5% % % % % % 0.1% year p.a. fund return 3 year p.a. benchmark return 3 year p.a. relative return Source: Capita Hartshead Limited. Page 19 of 51

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21 5. Self Select Fund Performance Key Risks/Concerns Identified Comments The key area of concern was the ongoing negative relative return of the Neptune Global Equity Fund. This quarter Neptune have produced a return of 9., outperforming its performance measurement benchmark by 0.3%. Over the quarter all funds, except for the L&G AAA Fixed Interest Fund, produced a positive absolute return. The strongest funds in terms of absolute returns were those with the highest equity allocation, as equities continued to rally from the previous quarter. The Neptune Global Equity Fund produced a slight positive relative return over the quarter. However the 1 year return is significantly poor and the 3 year return is also negative showing considerable underperformance over the longer term. The F&C MPF Stewardship Fund produced a positive relative return over the quarter, resulting in a positive 1 and 3 year relative return. Most of the funds produced strong relative returns, which is a trait of active management performing well in rising markets. The Russell Emerging Markets Fund was the exception, which underperformed. The Self Select funds performance over the quarter, 1 year and 3 years was as follows: Absolute return Quarter 1 Year 3 Year B'mark return Relative return Absolute return B'mark return Relative return Absolute return B'mark return Relative return % % % % % % % p.a. % p.a. % p.a. L&G FTSE 100 IndexTracker Fund L&G Global Equity 50:50 Index Fund L&G Property Fund L&G Active Corporate Bond Over 10 Year Fund L&G AAA Fixed Interest Over 15 Year Fund Threadneedle UK Equity Fund Threadneedle Mixed Fund Threadneedle Managed Global Equity Fund Neptune Global Equity Fund Russell Emerging Markets Equity Fund F&C MPF Stewardship Fund Source: Capita Hartshead Limited/ Legal & General Investment management Figures in red indicate underperformance. Ref Page 21 of 51

22 5.1 Legal & General FTSE 100 IndexTracker Fund 25% Legal & General FTSE 100 IndexTracker Fund (net of fees) - quarterly returns Total Scheme value as at 31 March ,554 % of total Scheme value 0.7% 2 15% Fees (p.a.) 0.1% 1 Performance target To track the FTSE 100 Index gross of fees 5% 0.3% % % % 1 Quarter 1 Year 3 Years Fund return (net) 4.7% 1.3% 18. Benchmark 4.6% 1.2% 17.8% Relative return 0.1% 0.1% 0.2% Achieved? Risk Volatility (monthly over 3 years) 15.1% p.a. Tracking error (monthly over 3 years) 0.1% p.a. -5% -1-15% Fund % 6.1% % 13.7% 6.9% 1.1% 1.6% -12.9% 9.4% 4.7% Benchmark 9.7% 21.9% 6.2% % 13.8% 6.9% 1.1% 1.6% -12.9% 9.4% 4.6% Relative 0.3% % % % Source: Capita Hartshead Limited/ Legal & General Investment management Key Risks/Concerns Identified None Page 22 of 51

23 Comments The Fund produced an absolute return of 4.7% net of fees over the quarter, outperforming the benchmark by 0.1%. Over the last 12 quarters the fund has produced 3 quarter of outperformance, 0 quarters of underperformance, and 9 quarters of performance in line with the benchmark. Over 1 year the Fund produced an absolute return of 1.3% net of fees, outperforming the benchmark by 0.1%. Over 3 years the Fund produced an absolute return of 18% p.a. net of fees, outperforming the benchmark by 0.2% p.a Legal & General FTSE 100 IndexTracker Fund (net of fees) - 1 year return 0.3% 0.5% 0.3% 0.4% % 0. 1 year fund return 1 year benchmark return 1 year relative return 2 Legal & General FTSE 100 IndexTracker Fund (net of fees) - 3 year returns 15% 1 5% -5% % 0.1% 0.1% 0.1% 0.1% 0.1% 0.1% 0.1% 0.1% 0.1% 0.1% -1 3 year p.a. fund return 3 year p.a. benchmark return 3 year p.a. relative return Source: Capita Hartshead Limited/ Legal & General Investment management Page 23 of 51

24 5.2 L&G Global Equity 50:50 Index Fund Total Scheme value as at 31 March ,415 % of total Scheme value 0.8% Fees (p.a.) 0.365% Performance target To track the composite equity benchmark 1 Quarter 1 Year 3 Years 25% 2 15% 1 5% -5% L&G Global Equity 50:50 Index Fund (net of fees) - quarterly returns 0.3% % % % 0. Fund return (net) 7.6% -0.4% 17.1% Benchmark 7.6% -0.3% 17. Relative return % 0.1% Achieved? Risk Volatility (monthly over 3 years) 15. p.a. Tracking error (monthly over 3 years) 0.1% p.a. Key Risks/Concerns Identified None -1-15% -2 Fund 9.1% 22.3% 3.6% 7.9% -11.6% % 1.5% 1.5% -14.6% 6.7% 7.6% Benchmark 8.8% 22.3% 3.6% 7.9% -11.6% 11.1% 8.3% 1.5% 1.4% -14.6% 6.8% 7.6% Relative 0.3% % % % 0. Source: Capita Hartshead Limited/ Legal & General Investment management Page 24 of 51

25 Comments The Fund produced an absolute return of 7.6% net of fees over the quarter, in-line with the benchmark. Over the last 12 quarters the fund has produced 2 quarters of outperformance, 2 quarters of underperformance, and 8 quarters of performance in line with the benchmark. Over 1 year the Fund produced an absolute return of -0.4% net of fees, underperforming the benchmark by -0.1%. Over 3 years the Fund produced an absolute return of 17.1% p.a. net of fees, outperforming the benchmark by 0.1% p.a L&G Global Equity 50:50 Index Fund (net of fees) - 1 year returns 0.3% 0.5% 0.4% 0.4% 0.2% 0.1% 0.1% 0.1% % % 1 year fund return 1 year benchmark return 1 year relative return 2 L&G Global Equity 50:50 Index Fund (net of fees) - 3 year returns 15% 1 5% -5% % 0.1% 0.2% 0.1% 0.2% 0.2% 0.1% 0.2% 0.2% 0.1% 0.1% -1 3 year p.a. fund return 3 year p.a. benchmark return 3 year p.a. relative return Source: Capita Hartshead Limited/ Legal & General Investment management Page 25 of 51

26 5.3 Legal & General Property Fund Total Scheme value as at 31 March ,108 % of total Scheme value 0.2% 8% 6% Legal & General Property Fund (net of fees) - quarterly returns Fees (p.a.) 0.55% Performance target To outperform the BNY Mellon CAPS pooled property fund survey median over three and five year periods. 4% 2% % 0.6% 1.2% 0.2% -0.6% 1.7% 0.1% -0.2% % 1 Quarter 1 Year 3 Years Fund return (net) 0.5% 4.9% 9.3% Benchmark % 5.8% Relative return 0.5% 1.4% 3.5% Achieved? Risk Volatility (monthly over 3 years) 2.7% p.a. Tracking error (monthly over 3 years) 1.6% p.a. -2% -4% -6% Fund -1.8% 3.4% 7.1% 5.1% 2.8% % 1.8% 1.1% 1.3% 1.9% 0.5% Benchmark -4.8% 1.1% 6.5% 3.9% 2.6% 1.6% 1.2% 1.7% 1.3% 1.3% 0.9% 0. Relative % 0.6% 1.2% 0.2% -0.6% 1.7% 0.1% -0.2% % Source: Capita Hartshead Limited/ Legal & General Investment management Key Risks/Concerns Identified None Page 26 of 51

27 Comments The Fund produced an absolute return of 0.5% net of fees over the quarter, outperforming the benchmark by 0.5%. Over the last 12 quarters the fund has produced 9 quarters of outperformance, 2 quarters of underperformance, and 1 quarters of performance in line with the benchmark. Over 1 year the Fund produced an absolute return of 4.9% net of fees, outperforming the benchmark by 1.4%. Over 3 years the Fund produced an absolute return of 9.3% p.a. net of fees, outperforming the benchmark by 3.5% p.a % Legal & General Property Fund (net of fees) - 1 year returns 9.2% 8.1% 7.8% 4.9% 1.6% 2.7% 1.4% % % 1 year fund return 1 year benchmark return 1 year relative return 15% Legal & General Property Fund (net of fees) - 3 year returns 1 5% 2.7% 3.7% 3.8% 4.4% 4.7% 4.6% % 4.9% 4.8% 4.1% 3.5% -5% -1-15% 3 year p.a. fund return 3 year p.a. benchmark return 3 year p.a. relative return Source: Capita Hartshead Limited/ Legal & General Investment management Page 27 of 51

28 5.4 Legal & General 10 Year Active Corporate Bond Fund Total Scheme value as at 31 March ,938 % of total Scheme value 0.5% Fees (p.a.) 0.25% 14% 12% 1 8% 6% Legal & General 10 Year Active Corporate Bond Fund (net of fees) - quarterly returns Performance target 4% To outperform the iboxx Non-Gilt 10 Year + Index by 0.75% p.a. 2% 0.7% 0.3% 0.2% -0.5% -0.2% -0.1% 0.6% 0.1% 0.1% 0.3% 0.9% 0.7% 1 Quarter 1 Year 3 Years Fund return (net) % Benchmark 1.3% 11.9% 13.5% Relative return 0.7% 2.1% 1.2% Achieved? Risk Volatility (monthly over 3 years) 5.5% p.a. Tracking error (monthly over 3 years) 0.6% p.a. -2% -4% -6% Fund 7.7% 11.8% -0.4% 3.6% 2.7% 6.4% -3.2% 0.6% 1.6% 5.4% 4.4% 2. Benchmark % -0.6% 4.1% 2.9% 6.5% -3.8% 0.5% 1.5% 5.1% 3.5% 1.3% Relative 0.7% 0.3% 0.2% -0.5% -0.2% -0.1% 0.6% 0.1% 0.1% 0.3% 0.9% 0.7% Source: Capita Hartshead Limited/ Legal & General Investment management Key Risks/Concerns Identified None Page 28 of 51

29 Comments The Fund produced an absolute return of 2% net of fees over the quarter, outperforming the benchmark by 0.7%. Over the last 12 quarters the fund has produced 9 quarters of outperformance, 3 quarters of underperformance, and 0 quarters of performance in line with the benchmark. Over 1 year the Fund produced an absolute return of 14% net of fees, outperforming the benchmark by 2.1%. Over 3 years the Fund produced an absolute return of 14.7% p.a. net of fees, outperforming the benchmark by 1.2% p.a. 3 25% 2 15% 1 5% -5% 3.8% 3.2% % Legal & General 10 Year Active Corporate Bond Fund (net of fees) - 1 year returns -0.2% -0.6% -0.1% 0.4% 0.8% 1.1% 1.4% 1 year fund return 1 year benchmark return 1 year relative return 2.1% 16% 14% 12% 1 8% 6% 4% 2% Legal & General 10 Year Active Corporate Bond Fund (net of fees) - 3 year returns 1.7% 1.5% 1.2% 1.1% 1.2% 3 year p.a. fund return 3 year p.a. benchmark return 3 year p.a. relative return Source: Capita Hartshead Limited/ Legal & General Investment management Page 29 of 51

30 5.5 L&G AAA Fixed Interest Over 15 Year Fund Total Scheme value as at 31 March ,047 % of total Scheme value 0.8% 16% 14% 12% 1 L&G AAA Fixed Interest Over 15 Year Fund (net of fees) - quarterly returns Fees (p.a.) 0.15% Performance target iboxx Non-Gilt Sovereign & Sub-Sovereign AAA Over 15 Year Index 1 Quarter 1 Year 3 Years Fund return (net) -1.7% 14.3% 7.8% Benchmark -1.6% 14.4% 7.6% Relative return -0.1% -0.1% 0.2% Achieved? Risk Volatility (monthly over 3 years) Tracking error (monthly over 3 years) 9.7% p.a. 1.6% p.a. 8% 6% 4% 2% -2% -4% -6% 0.2% 0.6% 0.9% -1.1% 0.4% -0.7% Fund -0.6% 7.4% -3.7% % 5.4% -4.7% -0.7% % 1.4% -1.7% Benchmark -0.8% 6.8% -4.6% 2.1% 5.2% 6.1% -4.4% -1.1% % 0.7% -1.6% Relative 0.2% 0.6% 0.9% -1.1% 0.4% -0.7% -0.3% 0.4% % 0.7% -0.1% -0.3% 0.4% Source: Capita Hartshead Limited/ Legal & General Investment management % 0.7% -0.1% Key Risks/Concerns Identified None Page 30 of 51

31 Comments The Fund produced an absolute return of -1.7% net of fees over the quarter, underperforming the benchmark by -0.1%. Over the last 12 quarters the fund has produced 6 quarters of outperformance, 5 quarters of underperformance, and 1 quarters of performance in line with the benchmark. Over 1 year the Fund produced an absolute return of 14.3% net of fees, underperforming the benchmark by -0.1%. Over 3 years the Fund produced an absolute return of 7.8% p.a. net of fees, outperforming the benchmark by 0.2% p.a. 2 15% 1 5% -5% % -2.5% -2.3% 0.7% % -1.7% L&G AAA Fixed Interest Over 15 Year Fund (net of fees) - 1 year returns -0.2% -0.6% -0.6% 0.5% 1 year fund return 1 year benchmark return 1 year relative return -0.1% 12% L&G AAA Fixed Interest Over 15 Year Fund (net of fees) - 3 year returns 1 8% 6% 4% 2% -2% 0.2% -1.3% -1.3% % -1.1% % % -1.1% -1.3% 3 year p.a. fund return 3 year p.a. benchmark return 3 year p.a. relative return Source: Capita Hartshead Limited/ Legal & General Investment management Page 31 of 51

32 5.6 Threadneedle UK Equity Fund Total Scheme value as at 31 March ,576,654 % of total Scheme value 1.6% Fees (p.a.) 0.6% 25% 2 15% 1 Threadneedle UK Equity Fund (net of fees) - quarterly returns Performance target To outperform the FTSE All Share Index 5% -2.5% -1.4% -0.9% 0.9% -0.5% % -0.6% -0.3% -2.6% 1.2% 3.2% 1 Quarter 1 Year 3 Years -5% Fund return (net) 9.3% 2.1% 18.4% Benchmark 6.1% 1.4% 18.8% Relative return 3.2% 0.7% -0.4% Achieved? Risk Volatility (monthly over 3 years) 16.2% p.a. Tracking error (monthly over 3 years) 3.2% p.a. Key Risks/Concerns Identified None -1-15% -2 Fund 8.4% % 7.3% -12.3% 15.6% 8.6% 0.4% 1.6% -16.1% 9.6% 9.3% Benchmark 10.9% 22.4% 5.5% 6.4% -11.8% 13.6% 7.4% % -13.5% 8.4% 6.1% Relative -2.5% -1.4% -0.9% 0.9% -0.5% % -0.6% -0.3% -2.6% 1.2% 3.2% Source: Capita Hartshead Limited/Threadneedle Investments Page 32 of 51

33 Comments The Fund produced an absolute return of 9.3% net of fees over the quarter, outperforming the benchmark by 3.2%. Over the last 12 quarters the fund has produced 5 quarters of outperformance, 7 quarters of underperformance, and 0 quarters of performance in line with the benchmark. Over 1 year the Fund produced an absolute return of 2.1% net of fees, outperforming the benchmark by 0.7%. Over 3 years the Fund produced an absolute return of 18.4% p.a. net of fees, underperforming the benchmark by -0.4% p.a % 0.6% Threadneedle UK Equity Fund (net of fees) - 1 year returns -1.5% -5.2% -2.1% 1.2% 3.5% 1.8% 2.5% -2.7% -2.7% 1 year fund return 1 year benchmark return 1 year relative return 0.7% 25% Threadneedle UK Equity Fund (net of fees) - 3 year returns 2 15% 1 5% -5% 1.5% 1.6% 1.7% 2.3% 1.8% 2.1% 1.7% 1.2% 0.7% -0.4% -0.4% -0.4% -1 3 year p.a. fund return 3 year p.a. benchmark return 3 year p.a. relative return Source: Capita Hartshead Limited/ Threadneedle Investments Page 33 of 51

34 5.7 Threadneedle Mixed Fund Total Scheme value as at 31 March ,585,943 % of total Scheme value 4.6% Fees (p.a.) 0.6% 25% 2 15% 1 Threadneedle Mixed Fund (net of fees) - quarterly returns Performance target To outperform the CAPS Balanced Median 5% -0.9% 0.3% -0.1% 0.8% -0.1% 0.8% 0.3% 0.3% 0.6% -2.4% 0.2% 2.2% 1 Quarter 1 Year 3 Years -5% Fund return (net) 8.8% 1.2% 15.8% Benchmark 6.6% % Relative return 2.2% 0.2% 0.6% Achieved? Risk Volatility (monthly over 3 years) 12.8% p.a. Tracking error (monthly over 3 years) 7. p.a. Key Risks/Concerns Identified None -1-15% -2 Fund 6.2% 18.8% 3.2% 7.6% -8.9% 10.6% 7.3% 1.2% 1.5% -13.8% 6.2% 8.8% Benchmark 7.1% 18.5% 3.3% 6.8% -8.8% 9.8% % 0.9% -11.4% % Relative -0.9% 0.3% -0.1% 0.8% -0.1% 0.8% 0.3% 0.3% 0.6% -2.4% 0.2% 2.2% Source: Capita Hartshead Limited/ Threadneedle Investments Page 34 of 51

35 Comments The Fund produced an absolute return of 8.8% net of fees over the quarter, outperforming the benchmark by 2.2%. Over the last 12 quarters the fund has produced 8 quarters of outperformance, 4 quarters of underperformance, and 0 quarters of performance in line with the benchmark. Over 1 year the Fund produced an absolute return of 1.2% net of fees, outperforming the benchmark by 0.2%. Over 3 years the Fund produced an absolute return of 15.8% p.a. net of fees, outperforming the benchmark by 0.6% p.a % Threadneedle Mixed Fund (net of fees) - 1 year returns 0.6% -0.2% 0.1% % 1.9% 1.3% 2.3% -1.5% -1.5% 1 year fund return 1 year benchmark return 1 year relative return 0.2% 2 Threadneedle Mixed Fund (net of fees) - 3 year returns 15% 1 5% 0.3% 0.7% 0.6% 0.8% 0.4% 0.5% 0.1% 0.7% 0.7% 0.1% % -5% 3 year p.a. fund return 3 year p.a. benchmark return 3 year p.a. relative return Source: Capita Hartshead Limited/ Threadneedle Investments Page 35 of 51

36 5.8 Threadneedle Managed Global Equity Fund Total Scheme value as at 31 March ,785 % of total Scheme value 0.9% 25% 2 15% Threadneedle Managed Global Equity Fund (net of fees) - quarterly returns Fees (p.a.) 0.7% Performance target To outperform the CAPS Global Equity Median 1 5% -1.5% -0.5% -0.2% -0.1% 0.8% 0.8% 0.7% 0.2% -0.2% % 2.7% -5% 1 Quarter 1 Year 3 Years Fund return (net) 10.9% 1.7% Benchmark 8.2% 0.5% 17.4% -15% Relative return 2.7% 1.2% 0.6% Achieved? Risk Volatility (monthly over 3 years) 14.8% p.a. Tracking error (monthly over 3 years) 8.4% p.a. -2 Fund 6.9% 21.1% % -10.5% 11.3% 9.6% 1.7% 1.3% -15.5% 7.2% 10.9% Benchmark 8.4% 21.6% 4.2% 8.2% -11.3% 10.5% 8.9% 1.5% 1.5% -14.5% % Relative -1.5% -0.5% -0.2% -0.1% 0.8% 0.8% 0.7% 0.2% -0.2% % 2.7% Source: Capita Hartshead Limited/ Threadneedle Investments Key Risks/Concerns Identified None Page 36 of 51

37 Comments The Fund produced an absolute return of 10.9% net of fees over the quarter, outperforming the benchmark by 2.7%. Over the last 12 quarters the fund has produced 6 quarters of outperformance, 6 quarters of underperformance, and 0 quarters of performance in line with the benchmark. Over 1 year the Fund produced an absolute return of 1.7% net of fees, outperforming the benchmark by 1.2%. Over 3 years the Fund produced an absolute return of 18% p.a. net of fees, outperforming the benchmark by 0.6% p.a % 1.3% -0.5% -3.2% 0.1% 1.4% 2.4% 2.7% 1.7% Threadneedle Managed Global Equity Fund (net of fees) - 1 year returns -0.6% -0.9% 1 year fund return 1 year benchmark return 1 year relative return 1.3% 2 Threadneedle Managed Global Equity Fund (net of fees) - 3 year returns 15% 1 5% -5% 0.9% 1.2% 1.1% 1.1% 1.1% 1.2% 0.7% 1.1% 0.9% 0.7% 0.3% 0.6% -1 3 year p.a. fund return 3 year p.a. benchmark return 3 year p.a. relative return Source: Capita Hartshead Limited/ Threadneedle Investments Page 37 of 51

38 5.9 Neptune Global Equity Fund Total Scheme value as at 31 March ,846,681 % of total Scheme value 5.9% 25% 2 15% Neptune Global Equity Fund (net of fees) - quarterly returns Fees (p.a.) 1.25% Performance target To outperform the MSCI World Index Fund by 5% p.a. 1 Quarter 1 Year 3 Years Fund return (net) % Benchmark 8.7% 1.5% 16.6% Relative return 0.3% -11.5% -1.3% Achieved? Risk Volatility (monthly over 3 years) Tracking error (monthly over 3 years) Key Risks/Concerns Identified 17.7% p.a. 10.2% p.a. The Neptune Global Equity Fund produced a slight positive relative return over the quarter. However the longer term 1 and 3 year returns are still negative after the previous 4 consecutive quarters of negative relative return. 1 5% -5% -1-15% -2-25% 4.7% -5.2% 4.9% -2.3% 3.9% -0.1% 4.5% -2.1% -4.2% -4.1% -3.3% Fund 10.1% 15.9% 8.1% 7.7% -7.4% % 0.4% -3.7% -18.1% 4.7% 9. Benchmark 5.4% 21.1% 3.2% % 8.1% 9.8% 2.5% 0.5% % Relative 4.7% -5.2% 4.9% -2.3% 3.9% -0.1% 4.5% -2.1% -4.2% -4.1% -3.3% 0.3% Source: Capita Hartshead Limited/ Neptune Investment Management 0.3% Page 38 of 51

39 Comments The Fund produced an absolute return of 9% net of fees over the quarter, outperforming the benchmark by 0.3%. Over the last 12 quarters the fund has produced 5 quarters of outperformance, 7 quarters of underperformance, and 0 quarters of performance in line with the benchmark. Over 1 year the Fund produced an absolute return of -1 net of fees, underperforming the benchmark by -11.5%. Over 3 years the Fund produced an absolute return of 15.3% p.a. net of fees, underperforming the benchmark by -1.3% p.a % -2.1% Neptune Global Equity Fund (net of fees) - 1 year returns 17.4% 3.8% 3.1% 7.5% 7.2% 6.8% % -12.8% -11.5% 1 year fund return 1 year benchmark return 1 year relative return 2 Neptune Global Equity Fund (net of fees) - 3 year returns 15% 1 5% -5% 0.2% -2.4% -3.1% -2.7% -0.9% % % 3 year p.a. fund return 3 year p.a. benchmark return 3 year p.a. relative return Source: Capita Hartshead Limited/ Neptune Investment Management. Page 39 of 51

40 5.10 Russell Emerging Markets Equity Fund Total Scheme value as at 31 March ,826,697 % of total Scheme value 2.9% 3 2 Russell Emerging Markets Equity Fund (net of fees) - quarterly returns Fees (p.a.) 0.9% Performance target Russell Emerging Markets Index 1 4.5% % 0.4% -0.4% 1.5% -0.2% -0.9% -0.1% 0.9% 1.8% -0.8% 1 Quarter 1 Year 3 Years Fund return (net) 10.7% -6.8% 23.8% Benchmark 11.5% -8.6% 20.6% Relative return -0.8% 1.8% 3.2% Achieved? Risk Volatility (monthly over 3 years) Tracking error (monthly over 3 years) Key Risks/Concerns Identified 20.7% p.a. 2.9% p.a. The Russell Emerging Markets Equity Fund produced a negative relative return over the quarter. However, over the 1 and 3 year periods the fund has managed a positive relative performance suggesting the fund is quite volatile. We would suggest that the Trustees monitor performance closely going forward Fund 21.8% 26.5% 8.1% 9.4% -7.5% 13.6% 7.8% -1.2% -1.1% -19.1% 5.3% 10.7% Benchmark 17.3% 24.5% 7.5% % 12.1% % % 11.5% Relative 4.5% % 0.4% -0.4% 1.5% -0.2% -0.9% -0.1% 0.9% 1.8% -0.8% Source: Capita Hartshead Limited/ Russell Investments Page 40 of 51

41 Comments The Fund produced an absolute return of 10.7% net of fees over the quarter, underperforming the benchmark by -0.8%. Over the last 12 quarters the fund has produced 7 quarters of outperformance, 5 quarters of underperformance, and 0 quarters of performance in line with the benchmark. Over 1 year the Fund produced an absolute return of -6.8% net of fees, outperforming the benchmark by 1.8%. Over 3 years the Fund produced an absolute return of 23.8% p.a. net of fees, outperforming the benchmark by 3.2% p.a % 1.6% 6.8% 11. Russell Emerging Markets Equity Fund (net of fees) - 1 year returns 2.7% 2.1% 1.2% -0.3% 0.1% -0.1% 1.5% 1.8% 1 year fund return 1 year benchmark return 1 year relative return 3 Russell Emerging Markets Equity Fund (net of fees) - 3 year returns 25% 2 15% 1 5% -5% 2.7% 3.2% 0.5% -0.1% 0.9% 0.9% 0.1% -0.6% 1. 3 year p.a. fund return 3 year p.a. benchmark return 3 year p.a. relative return Source: Capita Hartshead Limited/ Russell Investments Page 41 of 51