Institutional Information sheets Institutional investors only Morningstar Rating Fund Manager Philip Dicken Since: 11 5 All data as at 31 Dec 14 Institutional/OEIC Threadneedle Pan European Smaller Companies Fund Investment objective and policy The Fund aims to achieve capital growth. The Fund invests primarily in the equities of smaller companies domiciled in Continental Europe and the UK, or, with significant Continental European or UK operations. If desirable, the Manager may further invest in other securities (including fixed interest securities, other equities and money market securities). Fund facts : Fund size: Euromoney European Smaller Companies 1,373.m Launch date: 1/11/5 Fund domicile: United Kingdom Share class & general Institutional I Acc EUR Period end NAV price: 883 Sedol: BPHJR5 ISIN GBBPHJR59 Bloomberg: TDNPUA:LN Equity Reuters: -- MEX ID: ADESI WKN: AHMGC Valoren: 39878 Institutional X Acc EUR Period end NAV price: 1.3454 Sedol: B1DD8Y ISIN GBB1DD8Y8 Bloomberg: TESCRIX LN Reuters: -- MEX ID: ADPESM WKN: ALGN3 Valoren: 71897 NAV price based on midday valuations. All information expressed in EUR ¹Since Inception The index was HSBC Smaller European Companies until 1/1/13 and Euromoney European Smaller Companies thereafter. Contact Details For your local office details please visit our website threadneedle.com or Tel: +44 ()7 464 5 clientservices@threadneedle.co.uk 5 year performance 14% 1% 1% 8% 6% 4% % Absolute % Dec-9 Dec-1 Dec-11 Dec-1 Dec-13 Dec-14 Fund Fund performance 6% 5% 4% 3% % 1% % -1% % Calendar year YTD 13 1 11 1 9 1M % 3M % YTD % 1Y % 3Y % 5Y % SI¹ Fund (Gross).3 6. 1.7 1.7 1. 18.5 13.1 (Gross) 1..8 5.1 5.1 19.9 1 6.6 Periods over one year are annualised. Performance 1 months ending 31 Dec 1 31 Dec 11 31 Dec 1 31 Dec 13 31 Dec 14 43.4% -8.1% 3.4% 1.1% 1.7% All Performance returns shown above are gross of total expenses and are at fund level using global close authorised valuations based on in-house calculated transactions with cash flow at start of day. Top 1 holdings Fund Sector % St. James's Place Plc Financials. Brenntag AG Industrials. Shaftesbury PLC Financials.1 Partners Group Holding AG Financials.1 Ingenico SA Information Technology Iliad SA Telecommunication Services Pandora A/S Consumer Discretionary 1.9 Close Brothers Group plc Financials 1.8 Orpea SA Health Care 1.8 Korian-Medica SA Health Care 1.8 number of stocks in portfolio: 98 Port % in top 1: 19.9 Source: Factset and Morningstar. Copyright 14 Morningstar UK Ltd
Financial ratios Port Price/Book value.8x 1.59x Price/Earnings ratio.x 14.75x on Equity 18.59% 11.78% All financial ratios are based on the latest reported figures except where stated. Portfolio Characteristics and holdings are subject to change periodically and may not be representative of current characteristics. Price/Book values and Price/Earnings ratios are based on weighted harmonic average whilst the on Equity figure is calculated using weighted averages. Market cap split Greater than 5 billion 8.49% Greater than billion, less than 5 billion 34.18% Greater than 1 billion, less than billion 3.34% Greater than 5 million, less than 1 billion 13.1% Less than 5 million.86% Top 1 overweight and underweight stock Overweight Port % % Sector Country St. James's Place Plc. -- Financials United Kingdom Brenntag AG. -- Industrials Germany Partners Group Holding AG.1 -- Financials Switzerland Ingenico SA -- Information Technology France Iliad SA -- Telecommunication Services France Pandora A/S 1.9 -- Consumer Discretionary Denmark Shaftesbury PLC.1. Financials United Kingdom Telenet Group Holding NV 1.7 -- Consumer Discretionary Belgium Ashtead Group plc 1.6 -- Industrials United Kingdom Close Brothers Group plc 1.8. Financials United Kingdom Underweight Man Group Plc --.3 Financials United Kingdom Telekom Austria AG --.3 Telecommunication Services Austria Booker Group PLC --.3 Consumer Staples United Kingdom BTG plc --.3 Health Care United Kingdom ICAP plc --.3 Financials United Kingdom Elisa Oyj Class A --.3 Telecommunication Services Finland Faurecia SA --.3 Consumer Discretionary France ICA Gruppen AB --.3 Consumer Staples Sweden Helvetia Holding AG --.3 Financials Switzerland Gagfah S.A. --.3 Financials Luxembourg Deviation from %...1 1.9 1.8 1.7 1.6 1.6 Sector analysis - overweights and underweights Port % % Industrials 4. 3.1 Financials 19.9 Consumer Discretionary 17. 16.6 Information Technology 11.1 8.6 Health Care 1. 7.9 Materials 9.3 7. Consumer Staples 3.5 5.9 Telecommunication Services 1.9 Energy 1.5 4. Utilities..6 Cash 1.. Deviation from % 1.1.1.6.6.3.4..7.6 1. Country analysis - overweights and underweights Port % % United Kingdom 36.1 9.6 France 13.8 9.3 Germany 11.5 1. Ireland 7.1 1.1 Italy 5.9 7.8 Denmark 5.1.5 Belgium 4.6 3.1 Switzerland 4.1 7.6 Sweden 3.5 8.5 Netherlands.7.9 Other Country 4.6 17.5 Cash 1.. Deviation from % 6.5 4.4 1.5 6. -1.9.6 1.5-3.5-5. -. -13. 1.
Top 5 positive/negative security attribution (three months) Percent Portfolio Attri. Security Name Contr. To Geo. 5 Highest 7.4.1 1.4.1-48.8 1.7 Royal Imtech N.V.. -. -..1-48.8.4 Brenntag AG.1 19.9.4 -- --.4 Ryanair Holdings Plc 1.3 9.9.4 -- --.3 Iliad SA 1.9 18.6.4 -- --.3 Partners Group Holding AG 15.4.3 -- --.3 5 Lowest 4.6 9.9-1.7.3-33.9-1.5 Fenner PLC.7-31.7.1-31.6 -. Optimal Payments Plc.7-33.3.1-33. -. Weir Group PLC 1. 5. -- -- Stock Spirits Group Plc 1.4 4.3 -.4.1 4. Hunting PLC.8-39.8 -.5.1-39.8 -.4 Geometric total effect The chart analyses the five largest positive and negative contributors to the portfolio's performance from the perspective of individual stock holdings taken from the attribution report as measured by geometric total effect. The contribution to return, as shown in the accompanying table, is the absolute contribution to the portfolio's performance being the product of the period performance of the holding and its weighting in the portfolio. The geometric total effect is the contribution to the portfolio's performance of the actual stock holding compared with what it would have been had the stock weighting been exactly in line with the index weighting for that stock calculated in a geometric basis. Sector analysis - performance attribution (three months) Percent Var. in Port. Bench Geometric Attribution Alloc. Selec. Industrials. 5.7-1.1. 1.6 1.6 Financials. 1..9 -. 1.3 1.3 Materials 3.1 7.9 -..8.8 Energy.6-3.9 5.6.8 -.1.7 Information Technology.6 6..8..6.6 Consumer Discretionary 1.1 8.8 6.7.1.3.4 Utilities -3. -- -1.6.3 --.3 Telecommunication Services.1 18.6.5 -..3.3 Health Care.9 5.4.1 -. Consumer Staples.4.4 4.5 -.1 -- 6..8 1.1 4.3 5.4 Attribution calculation methodologies may result in rounding differences of total effects versus geometric total portfolio returns Consumer Staples Energy Health Care Materials Information Technology Consumer Discretionary Industrials Financials Utilities Telecommunication Services -5 5 1 15 Variation in Positive total effect Negative total effect effect label connector only (no movement implied) 3 1-1 -3 Variation in Average Country analysis - performance attribution (three months) Percent Var. in Port. Bench. Geometric Attribution Alloc. Selec. Top 5 Netherlands -.4 1.3-9.6.1.7.8 France 4.1 7.5 1.6..7.8 United Kingdom 8. 4.6 3.4..5.7 Norway -3.3-17.3-18..7..7 Germany 1.5 1.4 4.6.1.6.7 Bottom 5 Belgium 1.1 6.9.8... Austria.7 3..1.1 -.1. Finland -1.3-1..9 -. -. -. Sweden -5.5 9.9 5.7.1 -. Switzerland -3.3. 4.8 -.1 -.1 -.. 6..8 1.8 3.5 5.4 Attribution calculation methodologies may result in rounding differences of total effects versus geometric total portfolio returns Austria United Kingdom Finland Switzerland Norway Sweden France Germany Belgium Netherlands -1 1 3 Variation in Positive total effect Negative total effect effect label connector only (no movement implied) 1 8 6 4-4 -6 Variation in Average
Risk Analysis Port Absolute Volatility 8.63% 1.57% Relative Volatility.8 -- Tracking Error 6.47% -- Sharpe Ratio.41 -- Information Ratio.18 -- Beta.65 -- Sortino Ratio 5.85 -- Jensen Alpha 8.11% -- Annualised Alpha 7.73% -- Alpha.6% -- Max Drawdown -4.1-8.1 R² 6.59% -- Risk/return analysis (three years) Annualized 1..8.6.4.. 19.8 19.6 8.5 9. 9.5 1. 1.5 11. Annualized Standard Deviation Portfolio The risk ratios and risk return analysis shown above are based on month end performance data over a three year period. Regression Line Information Ratio Portfolio 1 8 6 4-4 -6-8 -8-6 -4 4 6 8 1 The regression line is calculated from the last 36 months individual data points. Each point represents the relevant monthly return of the fund and the index's corresponding return. The returns are as follows: y =.645798x +.61 R² = 6.5896 Information Ratio 1.5 1..5. 1/11 1/1 /1 3/1 4/1 5/1 6/1 7/1 8/1 9/1 1/1 11/1 1/1 1/13 /13 3/13 4/13 5/13 6/13 7/13 8/13 Months The information ratio is based on rolling 36 months statistics. 9/13 1/13 11/13 1/13 1/14 /14 3/14 4/14 5/14 6/14 7/14 8/14 9/14 1/14 11/14 1/14
The Global Industry Classification Standard ("GICS") was developed by and is the exclusive property and a service mark of MSCI Inc. ("MSCI") and Standard & Poor's, a division of The McGraw-Hill Companies Inc. ("S&P") and is licensed for use by Threadneedle. Neither MSCI, S&P nor any third party involved in making or compiling the GICS or any GICS classifications makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability and fitness for a particular purpose with respect to any of such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of their affiliates or any third party involved in making or compiling the GICS or any GICS classifications have any liability for any direct, indirect, special, punitive, consequential, or any other damages (including lost profits) even if notified of the possibility of such damages. Some of these identifiers have been determined by Threadneedle, may vary from the official classifications within Global Industry Classification System (GICS) and are not supported or sponsored by GICS providers MSCI or Standard & Poor's. Important Information For Professional and/or Qualified Investors only (not to be used with or passed on to retail clients). Past performance is not a guide to future performance. The value of investments and any income from them can go down as well as up and you may get back less than invested. Threadneedle Investment funds ICVC ("TIF") is registered in Austria, Belgium, Denmark, France, Germany, Ireland, Italy, Luxembourg, the Netherlands, Portugal, Spain, Switzerland (some sub-funds only) and the UK. Shares in the Funds may not be offered to the public in any other country and this document must not be issued, circulated or distributed other than in circumstances which do not constitute an offer to the public and are in accordance with all applicable local laws and regulations. TIF is registered with the Danish Financial Services Authority for marketing to professional investors only. The subfunds may not be offered or sold to retail investors in Denmark. This material is for information only and does not constitute an offer or solicitation of an order to buy or sell any securities or other financial instruments, or to provide investment advice. Subscriptions to a sub-fund may only be made on the basis of the current Prospectus and the Key Investor Information Document, as well as the latest annual or interim reports and the applicable terms & conditions. The above documents can be obtained free of charge on request by writing to Threadneedle Investments' Client Services department P.O. Box 1331, Swindon SN38 7TA, from local representatives as stated in the prospectus or from www.threadneedle.com and are available in English, French, German, Portuguese, Italian, Spanish and Dutch (no Dutch Prospectus). Threadneedle Investment Services Limited. Registered in England and Wales, Registered No. 371768, 6 St Mary Axe, London EC3A 8JQ, United Kingdom. Authorised and regulated in the UK by the FCA. Threadneedle Investments is a brand name and both the Threadneedle Investments name and logo are trademarks or registered trademarks of the Threadneedle group of companies.