Annual Report. Standard Life Investments Global Absolute Return Strategies Fund

Transcription

1 Annual Report Standard Life Investments Global Absolute Return Strategies Fund Annual Short Report For the year ended 31 March 2016

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3 Contents 1 Trust Profile and Information 2 Investment Report 5 Comparative Tables

4 Trust Profile and Information I enclose your copy of the annual short report for Standard Life Investments Global Absolute Return Strategies Fund. This short report covers the twelve month period from 1 April 2015 to 31 March The full annual report and financial statements is available online at standardlifeinvestments.com, by calling ( if outwith the UK) or by writing to our Edinburgh address. Launch Date 29 January 2008 Benchmark 6 Month Sterling LIBOR Objective The investment objective of the Trust is to deliver a positive absolute return in the form of capital growth over the medium to longer term in all market conditions. The level of return the Trust aims to generate over rolling three-year periods is equivalent to cash plus five per cent a year, gross of fees. Invested capital is however at risk and there is no guarantee that the objective will be attained over this or any time period. Policy The investment policy of the Trust is to invest in permitted derivative contracts (including futures, options, swaps, forward currency contracts and other derivatives), transferable and fixed interest securities, cash and other collective investment schemes. Use may also be made of borrowing, efficient portfolio management (including hedging) and stock lending. Risk Profile There is no restriction on the proportion of the scheme property of the Trust which may be invested in transferable securities which are warrants. If more than 5% of the scheme property of the Trust is invested in warrants the net asset value of the Trust may, at times, be highly volatile. Call options are not deemed to be warrants for the purposes of this 5% limit. This Trust is designed for investors who wish to participate in the opportunity to achieve a positive absolute return over the medium to longer term by investing in an actively managed portfolio consisting of derivatives, transferable securities, cash and collective investment schemes. The diversified nature of the portfolio makes it suitable for investors wishing to achieve a broad spread of exposure. The investor must be able to accept temporary capital losses due to the potentially volatile nature of the assets held and should therefore have an investment time horizon of at least 5 years. The price of stocks, shares and other securities on financial markets can move unpredictably. Many factors affect prices, including announcements by the issuer of a security, economic and political events and views of prospective events. Investment in the Trust should be regarded as medium to long-term. Reporting dates Interim Annual 30 September 31 March Distribution record date The Trust may, subject to and in accordance with the FCA Rules, take long and short positions in markets, securities and groups of securities through derivative contracts. Annual 31 March Trust Information Manager Directors of the Manager Secretary of the Manager Trustee Independent Auditors Registrar Investment Adviser Standard Life Investments (Mutual Funds) Limited 1 George Street Edinburgh EH2 2LL A.S. Acheson S.A. Fitzgerald J. Lowe R.J. McKillop L. Scott D.E. Thomas S. Wemyss S.E. Crewes (resigned 26 May 2015) H.S. Kidd (appointed 26 May 2015) Citibank Europe plc* UK Branch 1 North Wall Quay Dublin 1 Pricewaterhouse Coopers LLP Atria One 144 Morrison Street Edinburgh EH3 8EX International Financial Data Services Limited** IFDS House St Nicholas Lane Basildon Essex SS15 5FS Standard Life Investments Limited 1 George Street Edinburgh EH2 2LL * Citibank International Limited merged into Citibank Europe plc on 4 January 2016 ** Prior to 13 July 2015 the Registrar was The Bank of New York Mellon (International) Limited 1 Standard Life Investments Global Absolute Return

5 Investment Report Trust Manager: Standard Life Investments Multi Asset Investing Team Investment background Equity markets ended lower over the review period, with volatility at times pronounced. Sentiment was largely dictated by divergent central bank monetary policy, concerns about the global economy (primarily emanating from China), a weakening US dollar and a slump in commodity prices. Early in the review period, increased growth and inflation expectations fuelled a rise in bond yields. Thereafter, markets became turbulent, dominated by Greece s debt crisis, slowing Chinese growth and conjecture over US interest rates. Worries over China escalated in the second half of In particular, the Chinese authorities surprise devaluation of the yuan in August led many to conclude that conditions were worse than the government would admit. This prompted aggressive selling of Chinese equities, which spilled over to affect global markets more widely. Sentiment improved towards end-2015 in anticipation of further ECB support and a US rate hike. When a rate rise materialised, markets initially rose, then declined on disappointing ECB stimulus and renewed commodity weakness. Investors remained nervous in early 2016 and government bonds rallied as demand for defensive assets increased. However, the review period ended on an upbeat note, as central bank action subsequently restored confidence, propelling equity and credit markets higher. Investment activity Early in the year, we added a US equity large-cap versus small-cap strategy, as small-cap companies appeared relatively overvalued on several metrics. We exited our long US dollar versus Japanese yen position after it reached our target, while adding a long US dollar versus Korean won pair. The Korean economy is struggling, as the won has strengthened while competitors have engineered weaker currencies. Lower rates and a weaker currency will be required to bolster Korea s economy. We introduced a short US duration leg to our Mexican rates versus euro strategy, aiming to insulate against the effects of a rate hike in the US. Meanwhile, we closed our European versus US and Japanese duration strategy after solid performance. We also closed the short leg of the Japanese versus Korean equity strategy, preferring to take exposure to economic recovery in Japan through an outright long position. In August, we exited our Brazilian government bonds strategy after S&P placed Brazil on negative watch in response to the ongoing political corruption scandal. We added a US investment grade credit strategy, as heavy issuance had left valuations looking attractive. At the same time, we closed our US dollar versus Canadian dollar position, which had reached our target. We introduced a long US dollar versus Singapore dollar currency pair, seeking to benefit from the structurally weaker trade and growth environment in Asia and the necessity for the Singaporean authorities to engineer devaluation to lift inflation. We opened a US banks versus consumer staples position. We expect that the maturing business cycle will support the banks outperformance of consumer staples. Additionally, there is significant disparity in growth and valuations between the two sectors. We took profits on our long equity variance position and introduced a EuroStoxx 50 versus S&P 500 variance strategy. We expect the EuroStoxx 50 index to continue delivering greater volatility relative to the S&P 500 than the market is pricing in. We closed our global equity miners strategy in October. Management s cost control activities on which the strategy was predicated had largely played out but were overwhelmed by the collapse in commodity prices. We also exited our Chinese equity position, as we now expect the Chinese economy to recover more slowly. Elsewhere, we added a longer-dated Australian duration strategy to complement our existing Australian duration exposure. Although Australian employment improved, we believe interest rates will fall in the medium term given subdued inflation, commodity weakness and the slowdown in China. As 2016 got underway, we amended two existing currency strategies to create a long Indian rupee versus Swiss franc pair. Switzerland has struggled to stave off deflation since it abandoned its currency linkage with the euro in 2015, while India s macroeconomic fundamentals remain stable if not modestly improving. We later opened a US real versus nominal yield curve steepener strategy, expressing our view that US inflation expectations are too low. Finally, we exited our long Mexican peso versus Australian dollar currency pair. Our confidence in Mexico s growth prospects have lessened, which will likely constrain the upside potential of the peso. There were no material (greater than 5% of opening Net Asset Value) changes made to the portfolio in the year to 31 March The total value of purchases in the year was 34,885,331,000 and the total proceeds from sales were 30,968,761,000. Performance During the period under review, the Trust returned -5.34% (net of retail fees), compared to the 6-month LIBOR return of 0.73% (Source: Morningstar, Datastream, as at 31 March 2016). During the first quarter of the review period, a sell-off in US Treasuries boosted our short US duration strategy, which benefits from rising US yields. However, our US equity large-cap versus small-cap position lost value, as small-cap stocks continued to benefit from the recovering domestic economy and outperformed large-caps. After successive failed attempts by the Greek government to secure new funding, European equities fell in June, hurting our exposure here. European credit markets also slid lower, leading to negative returns from our European corporate bonds strategy. Markets remained nervous through the summer, and our European and Japanese equity strategies were loss-making. US equity losses were more pronounced in the small-cap segment owing to its heavy exposure to energy. This boosted our US equity technology versus small-cap and US large-cap versus small-cap relative value strategies. Elsewhere, continued pressure on commodity markets drove losses from our global equity miners position. US Treasuries Standard Life Investments Global Absolute Return 2

6 Investment Report (continued) reacted favourably to the declining global inflation and commodity price outlook, supported too by investors seeking defensive assets. The consequent decline in yields boosted our US relative interest rates strategy, but hurt our short US duration strategy. Elsewhere, our long US dollar versus Korean won currency pair made gains, as heightened geopolitical tensions pushed the won to its lowest level in five years. Expectations of a US rate rise mounted and in December were finally realised. This led to solid performance from our US relative interest rates strategy, as well as our Japanese and European equity exposures. However, our European equity banks versus insurers strategy detracted from performance, with bank stocks impeded by poor results, cost cutting and restructuring. Our US equity technology versus small-cap strategy made gains, as smallcaps were again hampered by poor commodity markets. Among our currency pairs, our long US dollar versus euro position was profitable. The euro fell in anticipation of further ECB stimulus while the Fed s rate move buoyed the dollar. Our long Mexican peso versus Australian dollar strategy made a loss. The Australian dollar strengthened in the quarter on better-than-expected labour market data, while the US rate increase and renewed oil price weakness forced the peso lower. Also negative was our long US dollar versus Korean won strategy. The won rose, as better-than-expected growth figures ignited hopes of economic recovery. Meanwhile, our China equity versus UK equity volatility strategy lost value, as fluctuations in commodity stocks caused the FTSE to exhibit greater volatility than the Hong Kong index. In the final three months, our positions in Japanese and European equity markets posted negative returns. Our US equity banks versus consumer staples strategy was also loss-making banks slid lower amid wavering investor confidence, receding expectations of further US rate hikes and worsening credit market conditions. Meanwhile, the rebound in credit markets benefited our European corporate bonds and high yield credit strategies. Demand for safe-haven assets lifted our Australian duration and Australian forward-start interest rates strategies. Also positive were our US relative interest rates strategy and our US real versus nominal yield curve steepener strategy, the latter boosted by increasing US inflation expectations. However, our short US duration position lost value as Treasury yields nudged down. Meanwhile, the Fed s dovish comments at its March meeting drove the US dollar lower, undermining our long US dollar versus Singapore dollar and long US dollar versus euro strategies. Outlook and future strategy Our central expectation is still for modest global growth, albeit with regional variations. A growing divergence in central bank monetary policy will remain an important driver of asset returns. The US has finally embarked on monetary tightening, albeit on a gradual incline, whereas economies in Europe and Asia maintain a looser monetary path. Geopolitical tensions remain high and on many metrics asset prices appear expensive. We seek to exploit the opportunities that these conditions present by implementing a diversified range of strategies using multiple asset classes. Subsequent Events The decision on 23 June by the UK to negotiate an exit from the European Union (EU) clearly has significant implications for financial assets, politics (UK and EU), economies and currencies. The full implications of the UK vote will only become apparent over time. There are several important time-frames ranging from the immediate market and corporate reactions, several central bank decisions in July through to October/November when elections are scheduled in several key countries. The political ramifications for the UK are already becoming apparent. The wider implications for Europe will appear over time. In such a fluid situation it is impossible to accurately predict what the final political consequences will be. A framework of examining how politics influences economic activity, policy responses and what is priced into markets will help investors navigate their way. We will be providing investors with regular updates as this situation progresses. 3 Standard Life Investments Global Absolute Return

7 Investment Report (Continued) Synthetic Risk & Reward Indicator Retail accumulation, Institutional accumulation, Standard Life accumulation, Institutional regulated accumulation, Standard Life B accumulation and Standard Life A accumulation unit classes Lower risk Typically lower rewards Higher risk Typically Higher rewards Platform 1 accumulation, Institutional S accumulation and Institutional A accumulation unit classes Lower risk Typically lower rewards Higher risk Typically Higher rewards This indicator reflects the volatility of the Trust s unit price over the last five years which in turn reflects the volatility of the underlying assets in which the Trust invests. Historical data may not be a reliable indication of the future. Where the unit class does not have a history of five years, an alternative unit class or a representative benchmark has been used to show how the Trust price may have behaved over the period. The current rating, which is the same for all unit classes, is not guaranteed and may change if the volatility of the assets in which the Trust invests changes. The lowest rating does not mean risk free. All investment involves risk. This Trust offers no guarantee against loss or that the Trust s objective will be attained. For further information on the risks that may not be fully captured by the risk and reward indicator, please request the current Key Investor Information Document (KIID). Cautionary note It should be remembered that past performance is not a guide to future performance. The value of investments may go down as well as up and, therefore, investors may not get back the amount originally invested. Composition of Portfolio % as at 31 March 2016 Bonds (18.92%) Equities (28.68%) Collective Investment Schemes (8.37%) 4.04 Derivatives (2.80%) (3.19) Money Markets (28.72%) Net other assets (12.51%) The percentage figures in brackets show the comparative holding as at 31 March Ten Largest Holdings (by market value) % as at 31 March 2016 European Equity Income 4.04 US (Govt of) 0.125% Index-Linked US (Govt of) 0.375% Index-Linked US (Govt of) 0.625% Index-Linked US (Govt of) 2.375% Index-Linked Mexico (United Mexican States) 8.5% Mexico (United Mexican States) 7.5% Mexico (United Mexican States) 10% Mexico (United Mexican States) 6.5% US (Govt of) 0.125% Index-Linked Standard Life Investments Global Absolute Return 4

8 Comparative Tables pence per unit pence per unit pence per unit Retail accumulation Change in net assets per unit Opening net asset value per unit Return before operating charges* (3.16) Operating charges** (1.21) (1.18) (1.12) Return after operating charges* (4.37) Closing net asset value per unit Retained distributions on accumulation unit * after direct transaction costs of:*** Performance+ Return after charges -5.64% 9.40% 2.36% Other information Closing net asset value ( 000) 1,900,908 2,864,363 2,853,573 Closing number of units 2,599,388,190 3,696,133,980 4,028,350,154 Operating charges**** 1.58% 1.59% 1.59% Direct transaction costs*** 0.03% 0.03% 0.06% Prices Highest unit price Lowest unit price ** The operating charges include all costs borne by the trust, except for direct transaction costs. *** The direct transaction costs are made up of; fees and commissions paid to agents, advisers, brokers and dealers, levies by regulatory agencies and securities exchanges as well as transfer taxes and duties. In line with the requirements of the 2014 SORP for authorised funds, direct transaction costs are stated after the proportion of the amounts collected from dilution adjustments in relation to direct transaction costs. **** The operating charges percentage is the equivalent of the ongoing charges figure per the prior year accounts. It shows the annualised operating expenses of the share class as a percentage of the average net asset value of the class over the same period. + The performance figures are calculated by taking the value of the shareclass per the financial statements compared to the value per the financial statements in the prior year. This figure may differ from the performance figure quoted in the Investment Report. The Investment Report performance figure is calculated using the last available published price for a given shareclass in the period compared to the equivalent for the prior period. The published price may contain an adjustment for dilution in accordance with the trust pricing policy, while the price per the financial statements values the trust on a bid-price basis. The financial statements shareclass valuation is based on close of business market prices on the last day of the period, again this may differ from the intra-day pricing point of the trust which is used in the published shareclass price. 5 Standard Life Investments Global Absolute Return

9 Comparative Tables (Continued) pence per unit pence per unit pence per unit Institutional accumulation Change in net assets per unit Opening net asset value per unit Return before operating charges* (3.60) Operating charges** (0.69) (0.68) (0.64) Return after operating charges* (4.29) Closing net asset value per unit Retained distributions on accumulation unit * after direct transaction costs of:*** Performance+ Return after charges -5.08% 10.10% 2.99% Other information Closing net asset value ( 000) 4,113,398 3,236,702 2,745,122 Closing number of units 5,130,407,108 3,831,881,880 3,578,274,484 Operating charges**** 0.83% 0.84% 0.84% Direct transaction costs*** 0.02% 0.02% 0.05% Prices Highest unit price Lowest unit price ** The operating charges include all costs borne by the trust, except for direct transaction costs. *** The direct transaction costs are made up of; fees and commissions paid to agents, advisers, brokers and dealers, levies by regulatory agencies and securities exchanges as well as transfer taxes and duties. In line with the requirements of the 2014 SORP for authorised funds, direct transaction costs are stated after the proportion of the amounts collected from dilution adjustments in relation to direct transaction costs. **** The operating charges percentage is the equivalent of the ongoing charges figure per the prior year accounts. It shows the annualised operating expenses of the share class as a percentage of the average net asset value of the class over the same period. + The performance figures are calculated by taking the value of the shareclass per the financial statements compared to the value per the financial statements in the prior year. This figure may differ from the performance figure quoted in the Investment Report. The Investment Report performance figure is calculated using the last available published price for a given shareclass in the period compared to the equivalent for the prior period. The published price may contain an adjustment for dilution in accordance with the trust pricing policy, while the price per the financial statements values the trust on a bid-price basis. The financial statements shareclass valuation is based on close of business market prices on the last day of the period, again this may differ from the intra-day pricing point of the trust which is used in the published shareclass price. Standard Life Investments Global Absolute Return 6

10 Comparative Tables (Continued) pence per unit pence per unit pence per unit Standard Life accumulation Change in net assets per unit Opening net asset value per unit Return before operating charges* (3.88) Operating charges** (0.07) (0.08) (0.07) Return after operating charges* (3.95) Closing net asset value per unit Retained distributions on accumulation unit * after direct transaction costs of:*** Performance+ Return after charges -4.47% 10.82% 3.35% Other information Closing net asset value ( 000) 12,157 22,801 5,426 Closing number of units 14,410,340 25,818,580 6,808,884 Operating charges**** 0.08% 0.09% 0.09% Direct transaction costs*** 0.02% 0.02% 0.06% Prices Highest unit price Lowest unit price ** The operating charges include all costs borne by the trust, except for direct transaction costs. *** The direct transaction costs are made up of; fees and commissions paid to agents, advisers, brokers and dealers, levies by regulatory agencies and securities exchanges as well as transfer taxes and duties. In line with the requirements of the 2014 SORP for authorised funds, direct transaction costs are stated after the proportion of the amounts collected from dilution adjustments in relation to direct transaction costs. **** The operating charges percentage is the equivalent of the ongoing charges figure per the prior year accounts. It shows the annualised operating expenses of the share class as a percentage of the average net asset value of the class over the same period. + The performance figures are calculated by taking the value of the shareclass per the financial statements compared to the value per the financial statements in the prior year. This figure may differ from the performance figure quoted in the Investment Report. The Investment Report performance figure is calculated using the last available published price for a given shareclass in the period compared to the equivalent for the prior period. The published price may contain an adjustment for dilution in accordance with the trust pricing policy, while the price per the financial statements values the trust on a bid-price basis. The financial statements shareclass valuation is based on close of business market prices on the last day of the period, again this may differ from the intra-day pricing point of the trust which is used in the published shareclass price. 7 Standard Life Investments Global Absolute Return

11 Comparative Tables (Continued) pence per unit pence per unit pence per unit Institutional regulated accumulation Change in net assets per unit Opening net asset value per unit Return before operating charges* (3.67) Operating charges** (0.45) (0.44) (0.42) Return after operating charges* (4.12) Closing net asset value per unit Retained distributions on accumulation unit * after direct transaction costs of:*** Performance+ Return after charges -4.82% 9.61% 3.54% Other information Closing net asset value ( 000) Closing number of units 2, Operating charges**** 0.53% 0.54% 0.54% Direct transaction costs*** 0.02% 0.02% 0.06% Prices Highest unit price Lowest unit price ** The operating charges include all costs borne by the trust, except for direct transaction costs. *** The direct transaction costs are made up of; fees and commissions paid to agents, advisers, brokers and dealers, levies by regulatory agencies and securities exchanges as well as transfer taxes and duties. In line with the requirements of the 2014 SORP for authorised funds, direct transaction costs are stated after the proportion of the amounts collected from dilution adjustments in relation to direct transaction costs. **** The operating charges percentage is the equivalent of the ongoing charges figure per the prior year accounts. It shows the annualised operating expenses of the share class as a percentage of the average net asset value of the class over the same period. + The performance figures are calculated by taking the value of the shareclass per the financial statements compared to the value per the financial statements in the prior year. This figure may differ from the performance figure quoted in the Investment Report. The Investment Report performance figure is calculated using the last available published price for a given shareclass in the period compared to the equivalent for the prior period. The published price may contain an adjustment for dilution in accordance with the trust pricing policy, while the price per the financial statements values the trust on a bid-price basis. The financial statements shareclass valuation is based on close of business market prices on the last day of the period, again this may differ from the intra-day pricing point of the trust which is used in the published shareclass price. Standard Life Investments Global Absolute Return 8

12 Comparative Tables (Continued) pence per unit pence per unit pence per unit Standard Life B accumulation Change in net assets per unit Opening net asset value per unit Return before operating charges* (3.94) Operating charges** (0.01) Return after operating charges* (3.94) Closing net asset value per unit Retained distributions on accumulation unit * after direct transaction costs of:*** Performance+ Return after charges -4.45% 10.84% 3.70% Other information Closing net asset value ( 000) 1,453 2,628 3,369 Closing number of units 1,716,456 2,967,255 4,216,148 Operating charges**** 0.00% 0.00% 0.01% Direct transaction costs*** 0.02% 0.02% 0.06% Prices Highest unit price Lowest unit price ** The operating charges include all costs borne by the trust, except for direct transaction costs. *** The direct transaction costs are made up of; fees and commissions paid to agents, advisers, brokers and dealers, levies by regulatory agencies and securities exchanges as well as transfer taxes and duties. In line with the requirements of the 2014 SORP for authorised funds, direct transaction costs are stated after the proportion of the amounts collected from dilution adjustments in relation to direct transaction costs. **** The operating charges percentage is the equivalent of the ongoing charges figure per the prior year accounts. It shows the annualised operating expenses of the share class as a percentage of the average net asset value of the class over the same period. + The performance figures are calculated by taking the value of the shareclass per the financial statements compared to the value per the financial statements in the prior year. This figure may differ from the performance figure quoted in the Investment Report. The Investment Report performance figure is calculated using the last available published price for a given shareclass in the period compared to the equivalent for the prior period. The published price may contain an adjustment for dilution in accordance with the trust pricing policy, while the price per the financial statements values the trust on a bid-price basis. The financial statements shareclass valuation is based on close of business market prices on the last day of the period, again this may differ from the intra-day pricing point of the trust which is used in the published shareclass price. 9 Standard Life Investments Global Absolute Return

13 Comparative Tables (Continued) pence per unit pence per unit pence per unit Standard Life A accumulation Change in net assets per unit Opening net asset value per unit Return before operating charges* (3.93) Operating charges** 0.00 (0.01) (0.01) Return after operating charges* (3.93) Closing net asset value per unit Retained distributions on accumulation unit * after direct transaction costs of:*** Performance+ Return after charges -4.44% 10.85% 3.68% Other information Closing net asset value ( 000) 17,264,360 16,524,484 12,970,579 Closing number of units 20,425,729,751 18,683,325,427 16,255,697,916 Operating charges**** 0.00% 0.01% 0.01% Direct transaction costs*** 0.02% 0.02% 0.06% Prices Highest unit price Lowest unit price ** The operating charges include all costs borne by the trust, except for direct transaction costs. *** The direct transaction costs are made up of; fees and commissions paid to agents, advisers, brokers and dealers, levies by regulatory agencies and securities exchanges as well as transfer taxes and duties. In line with the requirements of the 2014 SORP for authorised funds, direct transaction costs are stated after the proportion of the amounts collected from dilution adjustments in relation to direct transaction costs. **** The operating charges percentage is the equivalent of the ongoing charges figure per the prior year accounts. It shows the annualised operating expenses of the share class as a percentage of the average net asset value of the class over the same period. + The performance figures are calculated by taking the value of the shareclass per the financial statements compared to the value per the financial statements in the prior year. This figure may differ from the performance figure quoted in the Investment Report. The Investment Report performance figure is calculated using the last available published price for a given shareclass in the period compared to the equivalent for the prior period. The published price may contain an adjustment for dilution in accordance with the trust pricing policy, while the price per the financial statements values the trust on a bid-price basis. The financial statements shareclass valuation is based on close of business market prices on the last day of the period, again this may differ from the intra-day pricing point of the trust which is used in the published shareclass price. Standard Life Investments Global Absolute Return 10

14 Comparative Tables (Continued) pence per unit pence per unit pence per unit Platform 1 accumulation Change in net assets per unit Opening net asset value per unit Return before operating charges* (2.54) Operating charges** (0.52) (0.51) (0.48) Return after operating charges* (3.06) Closing net asset value per unit Retained distributions on accumulation unit * after direct transaction costs of:*** Performance+ Return after charges -5.09% 10.13% 2.98% Other information Closing net asset value ( 000) 1,828,563 1,494, ,631 Closing number of units 3,204,759,141 2,486,214,367 1,102,189,420 Operating charges**** 0.88% 0.89% 0.89% Direct transaction costs*** 0.03% 0.03% 0.06% Prices Highest unit price Lowest unit price ** The operating charges include all costs borne by the trust, except for direct transaction costs. *** The direct transaction costs are made up of; fees and commissions paid to agents, advisers, brokers and dealers, levies by regulatory agencies and securities exchanges as well as transfer taxes and duties. In line with the requirements of the 2014 SORP for authorised funds, direct transaction costs are stated after the proportion of the amounts collected from dilution adjustments in relation to direct transaction costs. **** The operating charges percentage is the equivalent of the ongoing charges figure per the prior year accounts. It shows the annualised operating expenses of the share class as a percentage of the average net asset value of the class over the same period. + The performance figures are calculated by taking the value of the shareclass per the financial statements compared to the value per the financial statements in the prior year. This figure may differ from the performance figure quoted in the Investment Report. The Investment Report performance figure is calculated using the last available published price for a given shareclass in the period compared to the equivalent for the prior period. The published price may contain an adjustment for dilution in accordance with the trust pricing policy, while the price per the financial statements values the trust on a bid-price basis. The financial statements shareclass valuation is based on close of business market prices on the last day of the period, again this may differ from the intra-day pricing point of the trust which is used in the published shareclass price. 11 Standard Life Investments Global Absolute Return

15 Comparative Tables (Continued) pence per unit pence per unit pence per unit Institutional S accumulation Change in net assets per unit Opening net asset value per unit Return before operating charges* (2.39) Operating charges** (0.40) (0.39) (0.36) Return after operating charges* (2.79) Closing net asset value per unit Retained distributions on accumulation unit * after direct transaction costs of:*** Performance+ Return after charges -4.96% 10.24% 2.12% Other information Closing net asset value ( 000) 1,032, , ,551 Closing number of units 1,930,230,710 1,652,167,502 1,352,544,843 Operating charges**** 0.71% 0.72% 0.72% Direct transaction costs*** 0.04% 0.04% 0.06% Prices Highest unit price Lowest unit price ** The operating charges include all costs borne by the trust, except for direct transaction costs. *** The direct transaction costs are made up of; fees and commissions paid to agents, advisers, brokers and dealers, levies by regulatory agencies and securities exchanges as well as transfer taxes and duties. In line with the requirements of the 2014 SORP for authorised funds, direct transaction costs are stated after the proportion of the amounts collected from dilution adjustments in relation to direct transaction costs. **** The operating charges percentage is the equivalent of the ongoing charges figure per the prior year accounts. It shows the annualised operating expenses of the share class as a percentage of the average net asset value of the class over the same period. + The performance figures are calculated by taking the value of the shareclass per the financial statements compared to the value per the financial statements in the prior year. This figure may differ from the performance figure quoted in the Investment Report. The Investment Report performance figure is calculated using the last available published price for a given shareclass in the period compared to the equivalent for the prior period. The published price may contain an adjustment for dilution in accordance with the trust pricing policy, while the price per the financial statements values the trust on a bid-price basis. The financial statements shareclass valuation is based on close of business market prices on the last day of the period, again this may differ from the intra-day pricing point of the trust which is used in the published shareclass price. Standard Life Investments Global Absolute Return 12

16 Comparative Tables (Continued) 2016 pence per unit Institutional A accumulation ++ Change in net assets per unit Opening net asset value per unit Return before operating charges* (0.25) Operating charges** (0.78) Return after operating charges* (1.03) Closing net asset value per unit Retained distributions on accumulation unit 0.07 * after direct transaction costs of:*** 0.01 Performance+ Return after charges -2.06% Other information Closing net asset value ( 000) 1 Closing number of units 2,200 Operating charges**** 1.58% Direct transaction costs*** 0.02% Prices Highest unit price Lowest unit price ** The operating charges include all costs borne by the trust, except for direct transaction costs. *** The direct transaction costs are made up of; fees and commissions paid to agents, advisers, brokers and dealers, levies by regulatory agencies and securities exchanges as well as transfer taxes and duties. In line with the requirements of the 2014 SORP for authorised funds, direct transaction costs are stated after the proportion of the amounts collected from dilution adjustments in relation to direct transaction costs. **** The operating charges percentage is the equivalent of the ongoing charges figure per the prior year accounts. It shows the annualised operating expenses of the share class as a percentage of the average net asset value of the class over the same period. + The performance figures are calculated by taking the value of the shareclass per the financial statements compared to the value per the financial statements in the prior year. This figure may differ from the performance figure quoted in the Investment Report. The Investment Report performance figure is calculated using the last available published price for a given shareclass in the period compared to the equivalent for the prior period. The published price may contain an adjustment for dilution in accordance with the trust pricing policy, while the price per the financial statements values the trust on a bid-price basis. The financial statements shareclass valuation is based on close of business market prices on the last day of the period, again this may differ from the intra-day pricing point of the trust which is used in the published shareclass price. ++Share class launched 29 January Standard Life Investments Global Absolute Return

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20 Standard Life Investments Limited is registered in Scotland (SC123321) at 1 George Street, Edinburgh EH2 2LL. Standard Life Investments Limited is authorised and regulated by the Financial Conduct Authority. Calls may be monitored and/or recorded to protect both you and us and help with our training Standard Life, images reproduced under licence INVRT768 U