MEASUREMENT OF VALUE ADDED THROUGH MERCER S MANAGER RESEARCH RECOMMENDATIONS SEPTEMBER 2015

MEASUREMENT OF VALUE ADDED THROUGH MERCER S MANAGER RESEARCH RECOMMENDATIONS SEPTEMBER 2015

CONTENTS 1. Introduction... 1 2. Summary of value added through Mercer s Manager Research recommendations... 4 As at 30 June 2015... 3. Value added for periods ended 30 June 2015... 6 4. Value added by calendar year... 8 5. Background information As at 30 June 2015... 10 6. Endnotes to tables... 12 7. Important Notices... 13 8. Risk Warnings... 14 MERCER i

1 Introduction Mercer s Investment business has developed and implemented a methodology for measuring the value added through their manager research recommendations. This methodology, and the results of the analysis for periods to 30 June 2015, are presented below. Measurement methodology For most investment strategies that we research, we arrive at a rating on a four tier scale in which the possible ratings are A, B+, B and C. When we formulate short lists of candidates for clients to consider in manager searches, these are generally drawn from the list of strategies rated A within the relevant product category. We first began maintaining formal ratings on this basis in 1995, replacing less formal methods in place, and have extended this to cover all product categories that we actively research, over the period since. Our methodology for measuring the performance of our ratings entails calculating the average performance of the strategies that we rated A within each product category each quarter, based on the ratings as they stood at the end of the previous quarter. Therefore there is no element of hindsight in the analysis. We then compound these quarterly results together to calculate performance over longer periods. Finally, we subtract the return for an appropriate and widely accepted benchmark index for the product category concerned to calculate value added. We also calculate a risk-adjusted measure of the value added known as the information ratio. In essence, this methodology tracks the performance of a hypothetical Mercer client that is assumed to split its money evenly between all of the strategies rated A by Mercer within the product category concerned. This hypothetical client is assumed to have reviewed its manager line-up at the end of each quarter, based on the Mercer ratings as they stood at that point in time. A typical client would not invest in all strategies in all of the categories, as some may not be relevant to a particular client for a variety of reasons. Therefore the actual added value of strategies selected by a client would vary from the results depicted here. The average value added for each product category is detailed in this report. Three types of strategy are excluded from the analysis. Firstly, we exclude strategies that are sub-advised by other investment managers, to avoid double-counting. Secondly, where a manager offers two variants of what is essentially just one strategy, we only include one of these in the analysis (we used to use the one with the longer track record but in 2011 we assigned the decision on which track record to use to the researcher responsible for the strategy), once again to avoid double counting. Thirdly, if a strategy s track record relates to a benchmark that is materially different to the benchmark used in the analysis for the product category concerned, it will be excluded from the analysis to avoid distortions that could arise solely as a result of the non-standard benchmark. Where a manager offers equity strategies in a typical long only format and a variant which includes the ability to short we only include the long-only version. MERCER 1

For some product categories, where the use of custom benchmarks is prevalent, there is no single widely accepted benchmark that can be used as a basis for this analysis. We therefore use a slightly different methodology for these categories. In these cases we carry out the analysis by first calculating value added each quarter for each track record relative to its custom benchmark, then calculating the average of these value added figures each quarter, and then compounding the quarterly value added figures to calculate value added over longer periods. We have carried out these calculations for most of the product categories where we both maintain ratings and for which we have reliable performance data (currently 67 categories), going back in each case to when we first had a reasonable spread of ratings for the product category concerned. Some important caveats All of the value added figures have been calculated by Mercer, but are based upon performance data provided to Mercer by the investment managers concerned. Mercer generally does not independently verify the performance information provided by investment managers. The methodology described above does not allow for transaction costs that an investor would have incurred if it had actually changed its panel of investment managers every quarter in line with changes to the list of products rated A by Mercer within the product category concerned. In practice, the turnover of managers incurred by such an investor would have averaged about 16% per annum (the actual averages since inception for each product category are shown in the final section of the results). We have not attempted to estimate the transaction costs that would have been incurred as this would require assumptions on a number of factors, including the investor s cash flow position and how the changes had been implemented. All investment performance data used was reported gross of investment management fees and certain other expenses, such as custody and administration. All the value added figures are also quoted before deduction of such fees. The figures are however net of all transaction costs that the managers concerned have incurred within their investment portfolios. As described above, the results of the analysis are based on performance data provided to Mercer by the investment managers concerned and other sources. While this information is believed to be reliable, no representations or warranties are made as to the accuracy of information presented, and no responsibility or liability, including for consequential or incidental damages, can be accepted for any error, omission or inaccuracy in this information. In cases where investment managers submit historical performance data to Mercer or notify Mercer of a revision to their historical performance data subsequent to the publication of Mercer s analysis, this new information will be reflected in subsequent updates of the analysis published by Mercer, but Mercer will not reissue previous analyses to allow for the change to the historical data. We have endeavoured to obtain performance data for all investment products that have ever been rated A by Mercer for inclusion in the analysis, but in some cases this has not been possible. Where data could not be obtained, we have no option but to exclude the product from the analysis. We will continue to endeavour to obtain missing data for future updates of the analysis. This may result in some changes to the historic figures in future updates of the results. MERCER 2

As always, past performance cannot be relied on as a guide to future performance. Whilst Mercer commits considerable resources to manager research, in an effort to maximise the value added through our manager research recommendations, we do not provide any guarantees as to the future performance of the investment strategies that we recommend to our clients. Results The results of the analysis are set out in the following pages. The first table shows the results for each product category since inception. The subsequent tables show more detailed background information. The headline value added since inception is 1.4% per annum. September 2015 MERCER 3

2 Summary of value added through Mercer s Manager Research recommendations As at 30 June 2015 Product Category Benchmark (Base Currency for calculations) Inception date of measurement period Value added since inception(a) (% pa) Information ratio since inception (b) Australia Equity S&P/ASX 300 (All Ords before 1/4/2000) (AUD) 1 July 1995 1.4 0.9 Australia Equity, Small Cap S&P/ASX Small Ordinaries (AUD) 1 January 1997 8.0 1.2 Trans-Tasman Equity NZX50 Gross (NZX40 before 1/10/2003) (NZD) 1 January 1999 3.9 0.7 Average for Australia Equity 4.4 1.0 MSCI AC Asia ex Japan, MSCI AC Far East ex Asia ex Japan Equity Japan prior to 1/10/2010 (USD) 1 July 1997 2.2 0.5 Asia Equity, Small Cap MSCI AC Asia ex Japan Small Cap (USD) 1 July 2014 9.1 * China Equity MSCI China (USD) 1 July 2010 2.1 0.4 Greater China Equity MSCI Golden Dragon (USD) 1 July 2010 1.9 0.7 Japan Equity TOPIX (JPY) 1 April 1996 2.4 0.7 Japan Equity, Small Cap Russell/Nomura Small Cap (JPY) 1 October 2003 1.1 0.2 Pacific ex Japan Equity MSCI AC Asia Pacific ex Japan (USD), MSCI AC Pacific ex Japan before 1/1/2011 (USD) 1 January 1996 3.5 0.7 Average for Asia Equity 3.2 0.5 Eurozone Equity MSCI EMU (EUR) 1 July 2004 1.3 0.7 Europe ex UK Equity MSCI Europe ex UK (GBP) 1 October 1995 1.0 0.4 Europe inc UK Equity MSCI Europe (USD) (before June 2014 FTSE World Europe) 1 October 1995 0.9 0.3 Europe inc UK Equity, Small Cap MSCI Europe Small Cap (USD) (before June 2014 S&P Europe Small Cap) 1 April 2003 0.4 0.1 UK Equity FTSE All Share (GBP) 1 October 1995 1.5 0.7 UK Equity, Small Cap FTSE UK Small Cap (GBP) 1 April 2004 5.4 1.0 Average for Europe Equity 1.8 0.5 US Equity, Large Cap Core Russell 1000 (USD) 1 July 2000 0.1 0.1 US Equity, Large Cap Growth Russell 1000 Growth (USD) 1 July 2000 0.7 0.2 US Equity, Large Cap Value Russell 1000 Value (USD) 1 July 2000 0.0 0.0 US Equity, Mid Cap Core Russell Midcap (USD) 1 January 1996 0.6 0.1 US Equity, Mid Cap Growth Russell Midcap Growth (USD) 1 January 1996 1.2 0.2 US Equity, Mid Cap Value Russell Midcap Value (USD) 1 January 1996 0.4 0.1 US Equity, SMID Core Russell 2500 (USD) 1 July 2000 3.0 0.6 US Equity, SMID Growth Russell 2500 Growth (USD) 1 July 2000 1.4 0.4 US Equity, SMID Value Russell 2500 Value (USD) 1 July 2000 0.7 0.3 US Equity, Small Cap Core Russell 2000 (USD) 1 January 1996 1.8 0.5 US Equity, Small Cap Growth Russell 2000 Growth (USD) 1 January 1996 1.0 0.3 US Equity, Small Cap Value Russell 2000 Value (USD) 1 January 1996 2.1 0.6 Average for US Equity 1.1 0.3 Canada Equity S&P/TSX Composite (CAD) 1 July 2001 1.0 0.6 Canada Equity, Small Cap S&P/TSX SmallCap, BMO Small Cap Blended (Weighted), before 1/10/2010 (CAD) 1 January 2005 3.7 0.5 Average for Canada Equity 2.4 0.5 Emerging Markets Equity MSCI Emerging Markets (USD) 1 January 1996 2.0 0.5 Global Equity, Core MSCI World (USD) 1 July 1995 1.2 0.6 Global Equity, Small Cap MSCI World Small Cap (USD) 1 July 2010 1.4 0.7 World ex US Equity, Core MSCI EAFE (USD) 1 January 1996 2.0 0.7 World ex US Equity, Small Cap S&P Developed ex US Small Cap (USD) 1 January 1996 2.8 0.7 Average for Global/International Equity 1.9 0.6 All Equity Categories 2.1 0.5 * Information ratios are shown for only those product categories that have track records at least three years running. MERCER 4

Product Category Benchmark (Base Currency for calculations) Inception date of measurement period Value added since inception(a) (% pa) Information ratio since inception (b) Australia Fixed UBS Composite Bond (AUD) 1 July 1995 0.3 0.2 Australia Fixed, Absolute Return UBS Bank Bill (AUD) 1 October 2013 1.7 * New Zealand Fixed ANZ NZ All Government Stock (NZD) 1 January 1996 0.7 0.8 Average for Australia Fixed 0.9 0.5 Eurozone Fixed, Aggregate Bonds Barclays Capital Euro-Aggregate (EUR) 1 October 2002 0.5 0.4 Eurozone Fixed, Government Bonds JPM EMU Government (EUR) 1 July 2004-0.2-0.1 Eurozone Fixed, Non-Government Bonds Barclays Capital Euro Aggregate Corporate (EUR) 1 July 2004 0.4 0.2 UK Fixed, Aggregate Bonds 50 FTA All Stock/50 iboxx Non Gilts Overall (GBP) 1 April 2004 0.4 0.4 UK Fixed, Government Bonds FTA All Stocks, Datastream before 1999 (GBP) 1 October 1995 0.3 0.6 UK Fixed, Non-Government Bonds iboxx Non-Gilts Overall (GBP) 1 July 2001 0.6 0.6 UK Fixed, Inflation-Linked Bonds FTA ILG All Stocks, Datastream before 1999 (GBP) 1 April 1996 0.6 0.7 Average for Europe Fixed 0.4 0.4 US Fixed, Core Investment Grade Barclays Capital US Aggregate (USD) 1 January 1996 0.3 0.1 US Fixed, Core Opportunistic Barclays Capital US Aggregate (USD) 1 January 1996 0.6 0.2 US Fixed, Credit Barclays Capital US Corporate Inv Grade (USD) 1 January 2011 0.8 1.3 US Fixed, High Yield BofA Merrill Lynch High Yield Master (USD) 1 January 1996 0.2 0.1 US Fixed, Short BofA Merrill Lynch Govt/Corp 1-3 Years (USD) 1 January 1996 0.4 0.3 US Fixed, Intermediate Barclays Capital US Intermediate Govt/Credit (USD) 1 January 1996 0.4 0.3 US Fixed, Long Barclays Capital US Long Govt/Credit (USD) 1 January 1996 1.2 0.9 Average for US Fixed 0.6 0.5 Canada Fixed FTSE TMX Canada Universe Bond (FTMXU) (CAD) 1 July 2001 0.3 0.4 Canada Fixed, Corporate & Credit Focused FTSE TMX Canada Universe Corporate (FTMXUNCP) (CAD) 1 April 2005 0.3 0.3 Canada Fixed, Core Plus FTSE TMX Canada Universe Bond (FTMXU) (CAD) 1 January 2007 0.4 0.2 Average for Canada Fixed 0.3 0.3 Emerging Markets Debt JP Morgan EMBI Global Diversified (USD) 1 January 2002 2.1 0.6 Emerging Markets Debt Local JP Morgan GBI-EM Global Diversified (USD), JP Morgan GBI-EM before 1/7/2012 (USD) 1 April 2008 2.8 1.0 International Fixed, Global Broad Market Aggregate Barclays Capital Global Aggregate (USD) 1 July 2002 1.2 0.4 International Fixed, Global Sovereign Citigroup WGBI (USD) 1 July 1995 1.6 0.8 International Fixed, Global High Yield BofA Merrill Lynch Global High Yield (USD) 1 January 2008 0.6 0.2 International Fixed, World ex US Citigroup World ex US Unhedged GBI (USD) 1 January 1996 1.1 0.6 Average for Global/International Fixed 1.6 0.6 All Fixed Categories 0.8 0.5 Australia Real Estate, Listed Property S&P/ASX 300 A-REIT (AUD) 1 October 1998 0.7 0.2 Australia Real Estate, Direct Property Mercer/IPD PPFI (NAV) (AUD) 1 January 2001-0.1-0.1 UK Real Estate IPD UK All Balanced Funds (GBP) 1 July 2004 0.7 0.8 US Real Estate, Open End NCREIF NFI ODCE (USD) 1 July 2004-0.4-0.5 US Real Estate, Securities FTSE NAREIT (USD) 1 July 2004 1.6 1.0 Global Real Estate, Securities FTSE NAREIT ERPA Developed (USD) 1 July 2005 1.0 0.6 All Real Estate Categories 0.6 0.3 OVERALL AVERAGES 1.4 0.5 * Information ratios are shown for only those product categories that have track records at least three years running. MERCER 5

3 Value added for periods ended 30 June 2015 Product Category 3 months % 1 year % 2 years 3 years 4 years 5 years 6 years 7 years 8 years 9 years 10 years Australia Equity 0.5 1.8 1.6 1.5 0.9 0.8 0.8 1.4 1.3 1.2 1.1 Australia Equity, Small Cap -0.5 2.4 4.7 7.5 8.1 8.3 9.2 9.9 7.1 7.0 6.0 Trans-Tasman Equity 0.9 0.2 2.1 1.2 0.5-0.3 0.1 1.1 1.9 0.9 1.9 Average for Australia Equity 0.3 1.5 2.8 3.4 3.2 2.9 3.4 4.1 3.4 3.0 3.0 Asia ex Japan Equity 0.6 1.1 1.2 1.5 2.7 2.3 2.1 1.8 1.4 1.4 1.4 Asia Equity, Small Cap 0.9 9.1 China Equity 1.7-4.2 0.3 2.4 1.2 2.1 Greater China Equity 1.7-0.6 1.9 1.7 1.2 1.9 Japan Equity 0.5-0.3 0.4 1.0 0.8 1.1 1.3 1.3 1.1 0.9 1.1 Japan Equity, Small Cap -1.6-3.0 4.5 5.3 3.7 3.9 3.9 1.9 1.2 0.7 0.8 Pacific ex Japan Equity 0.8 2.8 2.4 1.9 1.8 1.4 1.5 1.6 1.9 2.0 2.1 Average for Asia Equity 0.6 0.7 1.8 2.3 1.9 2.1 2.2 1.7 1.4 1.3 1.3 Eurozone Equity 1.4 3.7 2.4 2.6 1.4 1.4 1.8 1.6 1.4 1.3 1.4 Europe ex UK Equity 1.4 2.0 0.9 1.3 1.2 1.2 1.3 0.8 0.5 0.5 0.7 Europe inc UK Equity 1.6 2.4 1.7 2.4 1.8 1.6 1.5 1.3 1.0 1.1 1.2 Europe inc UK Equity, Small Cap 2.2 5.0 0.7 0.1 0.6 1.3 0.8-0.2-0.1 0.2 0.1 UK Equity 1.9 6.0 5.0 6.0 4.9 4.3 4.0 3.2 2.6 2.3 2.3 UK Equity, Small Cap 5.9 7.6 7.5 5.7 5.9 6.8 6.0 5.7 5.6 5.7 5.2 Average for Europe Equity 2.4 4.4 3.0 3.0 2.6 2.8 2.6 2.1 1.8 1.9 1.8 US Equity, Large Cap Core 0.6 2.1 0.9 0.9 0.2 0.4 0.0 0.0-0.1-0.2-0.2 US Equity, Large Cap Growth 1.2 1.5 1.9 1.7 0.2 0.5 0.3-0.5 0.0-0.3-0.3 US Equity, Large Cap Value 0.4 1.0 1.3 1.6 0.5 0.6 0.2-0.2-0.8-0.7-0.7 US Equity, Mid Cap Core 1.9 2.6 1.8 0.3 0.2 0.3-0.4-0.6-0.7-0.7-0.7 US Equity, Mid Cap Growth 1.7 2.4 1.0-0.1-0.1-0.2-0.4-0.1 0.5 0.6 0.9 US Equity, Mid Cap Value 1.2 2.2 1.3 1.7 0.8 0.9 0.2 1.3 0.4 0.6 0.2 US Equity, SMID Core 1.3 2.6-0.1-0.3 0.1 0.5-0.3 0.1 1.0 1.0 1.2 US Equity, SMID Growth 0.9 0.4-0.8-0.5 0.0 0.2 0.2 0.1 0.2 0.3 0.5 US Equity, SMID Value 0.5 2.0 2.1 1.9 1.3 1.3 0.5 1.0 0.9 0.8 0.6 US Equity, Small Cap Core 0.6 1.1 0.4 0.6 0.7 1.1 1.0 0.9 1.2 1.2 1.0 US Equity, Small Cap Growth -0.1-1.2-1.7-0.8-0.6 0.0 0.3-0.3-0.6-0.5-0.5 US Equity, Small Cap Value 0.9 2.1 2.7 2.8 2.1 2.5 2.5 2.1 2.1 2.1 1.9 Average for US Equity 0.9 1.6 0.9 0.8 0.5 0.7 0.3 0.3 0.3 0.4 0.3 Canada Equity 0.3 1.3 2.1 3.4 2.5 2.1 1.7 1.4 0.8 0.9 0.7 Canada Equity, Small Cap 0.8 10.2 7.7 13.7 12.8 10.6 7.6 5.1 5.6 5.1 3.8 Average for Canada Equity 0.6 5.7 4.9 8.6 7.6 6.4 4.7 3.2 3.2 3.0 2.3 Emerging Markets Equity -0.3-1.3-0.4 0.7 1.1 0.8 0.9 0.5 0.5 0.6 0.4 Global Equity, Core 0.6 0.5 0.5 0.6 0.1 0.1 0.1 0.1 0.5 0.6 0.8 Global Equity, Small Cap -0.3-0.3 0.8 2.1 1.1 1.4 World ex US Equity, Core 0.7 2.4 2.1 1.8 1.2 1.3 1.6 1.2 1.4 1.5 1.4 World ex US Equity, Small Cap 0.6 2.2 0.8 2.2 2.3 2.0 1.6 1.3 1.3 1.3 1.1 Average for Global/International Equity 0.3 0.7 0.8 1.5 1.2 1.1 1.1 0.8 0.9 1.0 0.9 All Equity Categories 0.9 1.9 1.8 2.2 1.8 1.8 1.6 1.4 1.3 1.2 1.2 MERCER 6

Product Category 3 months % 1 year % 2 years 3 years 4 years 5 years 6 years 7 years 8 years 9 years 10 years Australia Fixed 0.2-0.1 0.2 0.5 0.4 0.5 0.8 0.4 0.2 0.2 0.2 Australia Fixed, Absolute Return -0.6 1.5 1.7 New Zealand Fixed 0.3 0.1 0.5 1.0 0.8 0.9 1.1 0.8 0.6 0.6 0.7 Average for Australia Fixed 0.0 0.5 0.8 0.8 0.6 0.7 1.0 0.6 0.4 0.4 0.4 Eurozone Fixed, Aggregate Bonds 0.0 0.1 0.8 0.8 0.7 0.8 1.2 0.7 0.4 0.4 0.4 Eurozone Fixed, Government Bonds -0.3 1.8 1.3 0.4 0.5 0.6 0.8-0.2-0.6-0.4-0.3 Eurozone Fixed, Non-Government Bonds -0.1 0.4 0.9 0.9 0.8 0.9 1.3 0.7 0.5 0.4 0.4 UK Fixed, Aggregate Bonds 0.0 0.4 0.8 0.7 0.6 0.7 0.9 0.7 0.5 0.5 0.4 UK Fixed, Government Bonds 0.1-0.3 0.1 0.3 0.3 0.3 0.5 0.6 0.5 0.5 0.4 UK Fixed, Non-Government Bonds 0.2 0.5 0.9 1.0 0.9 1.0 1.2 1.1 0.9 0.8 0.8 UK Fixed, Inflation-Linked Bonds -0.5 1.6 1.3 1.0 1.4 1.2 1.1 1.1 1.0 0.8 0.7 Average for Europe Fixed -0.1 0.6 0.9 0.7 0.7 0.8 1.0 0.6 0.5 0.4 0.4 US Fixed, Core Investment Grade 0.3 0.3 0.6 1.0 0.9 0.9 1.4 0.6 0.3 0.3 0.3 US Fixed, Core Opportunistic 0.4-0.4 1.2 2.2 1.7 2.0 2.7 1.7 1.1 1.0 1.0 US Fixed, Credit 0.5 0.4 0.6 0.8 0.8 US Fixed, High Yield 0.4 0.8 0.4 0.3 0.5 0.4-0.3-0.1 0.1 0.1 0.1 US Fixed, Short 0.0 0.2 0.5 0.6 0.8 1.0 1.5 0.9 0.5 0.5 0.5 US Fixed, Intermediate -0.1 0.2 0.7 0.8 0.8 0.8 1.2 0.9 0.6 0.6 0.5 US Fixed, Long 0.3 0.0 0.6 1.1 0.7 0.9 1.2 1.5 1.5 1.3 1.2 Average for US Fixed 0.3 0.2 0.6 1.0 0.9 1.0 1.3 0.9 0.7 0.6 0.6 Canada Fixed 0.1-0.3-0.1 0.1 0.0 0.1 0.3 0.3 0.2 0.2 0.3 Canada Fixed, Corporate & Credit 0.5 0.4 0.4 0.3 0.1 0.1 0.0 0.1 0.3 0.3 0.3 Focused Canada Fixed, Core Plus 0.0-0.3 0.2 0.5 0.2 0.4 0.9 0.5 0.4 Average for Canada Fixed 0.2-0.1 0.2 0.3 0.1 0.2 0.4 0.3 0.3 0.3 0.3 Emerging Markets Debt 0.2-2.5-1.6-0.4-0.5 0.3 1.1-0.4-0.4 0.1 0.5 Emerging Markets Debt Local 0.3 0.8 0.4 0.7 1.0 0.9 2.1 3.0 International Fixed, Global Broad Market 0.1 0.6 0.9 1.5 1.1 1.4 2.7 2.4 1.9 1.5 1.4 Aggregate International Fixed, Global Sovereign -1.0 2.6 2.4 3.6 3.0 2.3 2.6 2.4 1.9 1.8 1.7 International Fixed, Global High Yield -1.0 0.1 0.6 0.5 0.9 0.6 0.2 0.7 International Fixed, World ex US 0.0 2.9 1.7 2.5 2.2 2.1 2.5 2.1 1.5 1.4 1.3 Average for Global/International -0.3 0.3 0.5 1.2 1.1 1.1 1.7 1.6 1.1 1.1 1.2 Fixed All Fixed Categories 0.0 0.4 0.7 0.9 0.8 0.9 1.2 1.0 0.7 0.6 0.6 Australia Real Estate, Listed Property -0.1-1.5 0.9 0.8 0.8 1.5 1.7 1.4 0.6 0.6 0.6 Australia Real Estate, Direct Property 0.1 1.1 1.6 1.0 0.6 0.4 0.2 0.1 0.0-0.1-0.4 UK Real Estate -0.1 1.3 1.4 1.1 0.7 0.4 0.2 0.4 0.7 0.7 0.6 US Real Estate, Open End -0.3-1.4-0.9-1.0-0.8-0.9-0.7-0.8-0.7-0.6-0.6 US Real Estate, Securities -0.9 1.2 1.7 1.0 0.9 1.0 0.9 1.5 1.5 1.3 1.5 Global Real Estate, Securities 0.3 1.2 1.1 0.9 0.4 0.2-0.1 1.0 0.9 0.8 1.0 All Real Estate Categories -0.2 0.3 1.0 0.6 0.4 0.4 0.4 0.6 0.5 0.5 0.5 OVERALL AVERAGES 0.5 1.2 1.3 1.6 1.3 1.4 1.4 1.2 1.0 1.0 0.9 MERCER 7

4 Value added by calendar year Product Category 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 % % % % % % % % % % % % % % YTD % Australia Equity 0.5 1.6 0.4 1.6 0.9-0.4 1.8 2.0 3.4-0.4 0.3-0.8 3.2 0.9 0.7 Australia Equity, Small Cap 12.2 19.0 1.0 13.0-8.0 0.7 5.3 2.0 7.7 6.7 9.0 13.5 12.7 4.2 0.8 Trans-Tasman Equity 17.9-8.3 5.7 6.2 1.8 5.5-1.6 8.1 4.4-0.7-3.3-1.0 5.3-2.1 0.4 Average for Australia Equity 10.2 4.1 2.4 6.9-1.8 1.9 1.8 4.1 5.2 1.8 2.0 3.9 7.1 1.0 0.7 Asia ex Japan Equity -0.7 8.1 4.6-2.4 0.5 0.2 1.6-0.5-0.9 1.2 4.4 1.9 1.3 2.5 0.4 Asia Equity, Small Cap 3.3 China Equity -2.4-1.4 11.7-4.3 0.5 Greater China Equity 2.9-2.2 6.1-1.3 0.8 Japan Equity -1.5 1.4 0.3-0.9 3.0 1.4 0.1-0.5 4.3 1.8 1.7 0.0 2.3-0.5 0.7 Japan Equity, Small Cap -4.1 7.0-0.6-0.9-7.7 7.7-1.7-0.2 0.8 28.1-1.7-2.1 Pacific ex Japan Equity 0.6 2.3 6.2 1.5 0.4 4.0 5.2 2.4-2.2 2.5 1.5 0.1 0.1 3.5 1.0 Average for Asia Equity -0.6 3.9 3.7-1.5 2.7 1.3 1.5-1.6 2.2 0.9 1.3-0.1 8.3-0.3 0.6 Eurozone Equity 3.0 0.0-1.9 1.3 3.7 3.0 0.0 0.3 1.5 2.0 2.2 Europe ex UK Equity 3.4 2.8-2.3-0.3 3.6 2.0-2.5-1.3 1.5 3.1 0.5 1.2 1.1-0.4 1.5 Europe inc UK Equity 0.5-0.5 0.3 0.7 1.3 1.9-1.0 0.2-0.2 2.9-0.4 2.1 3.9-0.3 2.5 Europe inc UK Equity, Small Cap 2.5 1.6-2.7 1.1-0.9-2.0 6.2-1.3 2.6-3.4 0.2 2.1 UK Equity 1.9 1.0 1.3 0.5 1.1 2.1-2.9-0.6 0.6 3.9 0.2 6.7 9.0 1.8 3.4 UK Equity, Small Cap 0.9 3.0 2.7 9.5-10.5 11.7 6.7 4.9 7.8 1.5 6.1 Average for Europe Equity 1.9 1.1-0.3 0.8 1.9 1.0-0.8 1.4-1.2 5.1 0.9 3.0 3.3 0.8 3.0 US Equity, Large Cap Core 0.7-0.7 1.0 0.1 1.3-2.3-0.5-0.5 0.3-1.6 0.1 0.0 0.1 0.8 1.1 US Equity, Large Cap Growth -2.6 1.7-0.8 2.7 2.9-4.4 4.2-4.9 4.7 0.9-4.0 1.6 5.0-2.3 1.3 US Equity, Large Cap Value 5.6-1.7 1.9-1.3 0.4-2.3-2.6-4.6 4.7-1.6-1.8 0.9 4.0-1.7 1.7 US Equity, Mid Cap Core 12.9-4.2-2.0-3.1-1.4-3.8 0.0 1.6-9.6-0.6-0.2-0.7 2.3-1.8 2.8 US Equity, Mid Cap Growth 3.1-1.8-5.3-2.0-0.2 1.0 7.6 2.0-2.7-1.2-1.6-1.0 1.3-2.7 3.1 US Equity, Mid Cap Value 10.7-0.5 0.7-3.5-3.6-2.2-1.2-0.2 6.0-1.7-0.9 1.1 5.2-2.8 2.3 US Equity, SMID Core 19.3 2.7-0.4 0.6 3.4-1.5 6.5 3.8-4.6-1.1 3.8-0.8-0.3-2.2 1.9 US Equity, SMID Growth -1.9 7.6-1.2-0.1 3.5 0.9 3.0-0.3-0.5-0.3 1.3 0.2 1.4-1.9 0.2 US Equity, SMID Value 5.3 2.8-1.3-0.1-0.7-3.2 2.6-1.0 1.6 0.1 1.7-1.1 5.4-0.6 1.7 US Equity, Small Cap Core 5.6 3.6-2.4 1.0 1.2-3.2 2.8 0.7 3.0 0.2 3.9 0.6 0.6-0.3 0.4 US Equity, Small Cap Growth 0.3-0.7-3.6-4.4 2.7-1.2 2.0-4.1 2.8-0.3 3.1-0.8 1.9-3.2-0.6 US Equity, Small Cap Value 5.1 1.8 1.6 0.9 3.7-5.9 4.3-5.0 13.4 3.5 3.1-0.1 4.7 1.2 1.9 Average for US Equity 5.3 0.9-1.0-0.8 1.1-2.3 2.4-1.0 1.6-0.3 0.7 0.0 2.6-1.5 1.5 Canada Equity 3.0-1.2 0.6 0.3-1.1 0.4-0.1-2.5-0.3 0.2 1.5 8.0 0.3 1.1 Canada Equity, Small Cap -4.0-5.4 14.5 3.2-30.5-7.6 6.5 12.4 27.1 5.5 3.3 Average for Canada Equity 3.0-1.2 0.6-1.8-3.3 7.4 1.5-16.5-3.9 3.3 7.0 17.6 2.9 2.2 Emerging Markets Equity -0.3 4.2 4.3 4.6-1.0-0.5-2.0 0.3 1.0 1.7 0.3 2.0 1.9 0.8-1.6 Global Equity, Core 1.9 0.5-1.4-0.6 2.7 1.6 3.1-1.3 3.9 0.8-1.2 1.1 0.9-1.3 1.4 Global Equity, Small Cap -0.9 2.6 4.5-0.9 0.4 World ex US Equity, Core 1.0 2.2-3.0-1.2 1.7 0.1 2.7 0.2 2.5 3.9-1.1 1.6 1.2 2.8 0.6 World ex US Equity, Small Cap 1.5-1.4 3.3 5.1 3.0-2.1 0.9 2.6-4.2 0.8 1.0 3.4 3.8-0.4 2.0 Average for Global/International 1.0 1.4 0.8 2.0 1.6-0.2 1.2 0.5 0.8 1.8-0.4 2.1 2.5 0.2 0.5 Equity All Equity Categories 4.1 1.8 0.3 0.6 1.1-0.6 1.8 0.2 0.2 1.2 1.0 1.6 5.0-0.1 1.4 MERCER 8

Product Category 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 % % % % % % % % % % % % % % YTD % Australia Fixed 1.1 0.8-0.1 0.1-0.1-4.3 3.3 1.1-0.8 1.3 0.9-0.1 0.0 Australia Fixed, Absolute Return 2.0 0.5 New Zealand Fixed 0.4 0.4 0.3 0.6 0.5 1.3 0.7-2.4 1.8 1.2 0.3 1.9 1.2 0.1 0.2 Average for Australia Fixed 0.4 0.4 0.7 0.7 0.2 0.7 0.3-3.4 2.6 1.2-0.2 1.6 1.0 0.7 0.3 Eurozone Fixed, Aggregate Bonds 0.8 0.5 0.5 0.2-0.3-4.7 3.0 1.9 0.1 1.9 0.8 0.4 0.3 Eurozone Fixed, Government Bonds 0.5 0.5-1.0-6.0-0.8 0.9 2.0-1.4-0.4 2.4 0.3 Eurozone Fixed, Non-Government Bonds 0.8 0.0-0.7-4.4 5.3 0.8 0.5 1.7 0.9 0.4 0.5 UK Fixed, Aggregate Bonds 0.3 0.1-0.4-2.0 3.0 0.5 0.5 0.9 0.5 0.7 0.4 UK Fixed, Government Bonds -0.2 0.1 0.6 0.0 0.2 0.3 0.1-0.4 2.4 0.3 0.3 0.7 0.4-0.5 0.3 UK Fixed, Non-Government Bonds -0.5 0.8 0.8 0.1 0.2-0.1-1.2 4.1 0.8 0.5 1.7 0.9 0.6 0.5 UK Fixed, Inflation-Linked Bonds -0.4 0.5 0.7 0.6 0.5-0.2-0.5 0.8 0.3 0.6 3.3-0.1 0.4 2.3 0.2 Average for Europe Fixed -0.3 0.0 0.7 0.5 0.4 0.2-0.4-2.6 2.5 0.8 1.0 0.8 0.5 0.9 0.4 US Fixed, Core Investment Grade 0.5-0.3 1.0 0.4 0.3 0.4-0.9-8.8 7.5 1.2-0.8 3.2 0.9 0.1 0.4 US Fixed, Core Opportunistic -0.7-2.1 2.6 1.2 0.6 0.6-1.0-11.6 12.0 3.2-1.3 6.4 2.2 0.2 0.5 US Fixed, Credit 0.0 2.0 0.7 0.3 0.5 US Fixed, High Yield -0.5 3.7-4.3-0.1 0.8-1.0 0.9 4.2-10.1-0.7 0.9 0.0 0.3 0.1 0.5 US Fixed, Short -0.3-0.2 0.2 0.9 0.6 0.5-1.2-6.3 6.0 2.3 0.6 2.4 0.2 0.5 0.1 US Fixed, Intermediate -0.1-0.8 0.4 0.8 0.6 0.5-0.6-5.8 7.0 1.3 0.0 2.1 0.2 1.0 0.0 US Fixed, Long 1.1 1.2 1.4 0.8 1.3 0.1 1.9 0.6 3.5 2.3-1.9 2.7 1.7-0.3 0.3 Average for US Fixed 0.0 0.2 0.2 0.7 0.7 0.2-0.1-4.6 4.3 1.6-0.4 2.7 0.9 0.3 0.3 Canada Fixed 0.5 0.6 0.4 0.1 0.0 0.0-0.9 2.4 0.6-0.7 0.9 0.2-0.1-0.2 Canada Fixed, Corporate & Credit Focused 0.2 1.0 3.5-3.2 0.3-0.2-0.2 0.2 0.2 0.3 Canada Fixed, Core Plus 0.3-5.4 6.5 1.5-1.9 2.4 0.3-0.2 0.1 Average for Canada Fixed 0.5 0.6 0.4 0.1 0.1 0.4-0.9 1.9 0.8-0.9 1.0 0.2 0.0 0.1 Emerging Markets Debt 4.1 12.9 6.6 5.0 4.3 0.5-8.7 8.5 3.2-0.3 2.4 0.3-2.3-0.4 Emerging Markets Debt Local 13.6 4.7 4.0-0.1-0.4 0.7 0.1 International Fixed, Global Broad Market -0.2 2.2 2.2 1.0-0.1-0.9-0.8-7.6 15.0 4.9-0.9 3.9 1.3 0.5 0.5 Aggregate International Fixed, Global Sovereign 0.4-1.2 3.9 1.9 2.1 0.8-1.1-3.2 6.2 1.7-1.9 7.2 2.5 2.9 0.9 International Fixed, Global High Yield 5.7-10.6 0.5 1.9-0.7 1.0 1.0-0.3 International Fixed, World ex US 0.2 1.0 4.1 1.2 0.9 0.2-1.4-4.2 5.5 2.7-0.4 5.5 0.9 2.1 1.5 Average for Global/International 0.1 1.5 5.8 2.7 2.0 1.1-0.7-3.6 6.4 2.9 0.4 3.1 0.9 0.8 0.4 Fixed All Fixed Categories 0.0 0.6 1.7 1.1 0.8 0.4-0.2-3.2 3.8 1.6 0.2 2.0 0.7 0.6 0.3 Australia Real Estate, Listed Property -0.1 0.6 1.3 1.1 0.2-0.3-0.3-5.3 17.1 0.1 2.6 1.7 2.1-0.8-0.4 Australia Real Estate, Direct Property -0.8 0.1 0.8 1.9-2.2-2.6-1.8 0.0-0.2-2.1-0.2 0.0 0.3 2.3 0.4 UK Real Estate -0.9 1.6 0.8 1.4 0.6-0.4-0.5 0.3 0.0 2.6 0.2 US Real Estate, Open End 0.5-0.2 0.4-0.6-1.2-0.5 0.1-0.3-1.4-0.6-0.8 US Real Estate, Securities 2.1 2.5 0.1 1.7 4.7 0.7 1.1-0.5 0.6 3.8-0.2 Global Real Estate, Securities 2.6-1.5 2.4 4.4-1.7-0.6 0.9 0.4 0.8 0.5 All Real Estate Categories -0.5 0.3 1.1 1.5-0.1 0.6-0.4-0.1 4.2-0.7 0.4 0.4 0.3 1.4-0.1 OVERALL AVERAGES 2.6 1.3 1.0 0.9 0.9-0.1 0.8-1.2 2.1 1.2 0.6 1.6 2.9 0.3 0.8 MERCER 9

5 Background information As at 30 June 2015 Product Category Number of products in MercerInsight universe used for this analysis Number of products rated A by Mercer as at 30 June 2015 Average turnover among products rated A by Mercer since inception (d) () Australia Equity 176 21 30 Australia Equity, Small Cap 68 11 25 Trans-Tasman Equity 22 2 15 Average for Australia Equity 266 34 23 Asia ex Japan Equity 46 12 17 Asia Equity, Small Cap 17 3 0 China Equity 32 8 13 Greater China Equity 16 5 7 Japan Equity 140 14 16 Japan Equity, Small Cap 24 2 12 Pacific ex Japan Equity 72 7 21 Average for Asia Equity 347 51 13 Eurozone Equity 68 4 23 Europe ex UK Equity 65 7 27 Europe inc UK Equity 198 10 19 Europe inc UK Equity, Small Cap 43 6 17 UK Equity 109 8 25 UK Equity, Small Cap 24 3 7 Average for Europe Equity 507 38 20 US Equity, Large Cap Core 299 10 23 US Equity, Large Cap Growth 256 14 19 US Equity, Large Cap Value 299 14 18 US Equity, Mid Cap Core 57 6 17 US Equity, Mid Cap Growth 107 10 18 US Equity, Mid Cap Value 90 15 11 US Equity, SMID Core 58 12 11 US Equity, SMID Growth 63 15 9 US Equity, SMID Value 74 15 10 US Equity, Small Cap Core 163 21 12 US Equity, Small Cap Growth 164 18 18 US Equity, Small Cap Value 207 25 9 Average for US Equity 1837 175 15 Canada Equity 72 19 13 Canada Equity, Small Cap 30 7 20 Average for Canada Equity 102 26 17 Emerging Markets Equity 271 21 16 Global Equity, Core 489 45 18 Global Equity, Small Cap 198 10 19 World ex US Equity, Core 43 6 17 World ex US Equity, Small Cap 50 8 25 Average for Global/International Equity 1051 90 19 All Equity Categories 4110 414 17 MERCER 10

Product Category Number of products in MercerInsight universe used for this analysis Number of products rated A by Mercer as at 30 June 2015 Average turnover among products rated A by Mercer since inception (d) () Australia Fixed 18 5 22 Australia Fixed, Absolute Return 14 7 5 New Zealand Fixed 6 3 12 Average for Australia Fixed 38 15 13 Eurozone Fixed, Aggregate Bonds 50 8 25 Eurozone Fixed, Government Bonds 29 5 19 Eurozone Fixed, Non-Government Bonds 71 13 55 UK Fixed, Aggregate Bonds 25 9 23 UK Fixed, Government Bonds 25 7 24 UK Fixed, Non-Government Bonds 39 14 16 UK Fixed, Inflation-Linked Bonds 24 6 22 Average for Europe Fixed 263 62 26 US Fixed, Core Investment Grade 190 13 15 US Fixed, Core Opportunistic 117 6 23 US Fixed, Credit 57 9 10 US Fixed, High Yield 139 12 13 US Fixed, Short 156 7 15 US Fixed, Intermediate 128 9 17 US Fixed, Long 63 9 13 Average for US Fixed 850 65 15 Canada Fixed 46 9 12 Canada Fixed, Corporate & Credit Focused 20 3 9 Canada Fixed, Core Plus 22 3 8 Average for Canada Fixed 88 15 10 Emerging Markets Debt 68 13 17 Emerging Markets Debt Local 61 13 17 International Fixed, Global Broad Market 55 13 13 International Fixed, Global Sovereign 43 14 19 International Fixed, Global High Yield 52 6 11 International Fixed, World ex US 20 9 15 Average for Global/International 299 68 15 All Fixed Categories 1538 225 17 Australia Real Estate, Listed Property 31 2 25 Australia Real Estate, Direct Property 18 9 13 UK Real Estate 11 8 9 US Real Estate, Open End 13 5 2 US Real Estate, Securities 50 6 8 Global Real Estate, Securities 45 8 13 All Real Estate Categories 168 38 12 OVERALL AVERAGES 5816 677 16 MERCER 11

6 Endnotes to tables (a) Value added is calculated as the average return per annum of the A rated strategies over the period concerned, less the average return per annum for the stated benchmark index over the same period. The quarterly return of the A rated products is calculated as the unweighted average performance over the quarter of all products rated A by Mercer within the product category concerned as at the start of that quarter. Results for longer periods are calculated by compounding together the quarterly figures. See section 1 of this report. b) The information ratio is a risk-adjusted measure of value added. It is calculated as value added per annum divided by the tracking error over the period concerned. Value added is calculated as per (a) above. Tracking error is calculated as the annualised standard deviation of the quarterly value added for the A rated strategies over the period concerned. The quarterly value added is calculated each quarter as the average return for the A rated strategies over the quarter concerned less the quarterly returns of the stated benchmark index over the same quarter. c) The country, regional and overall averages shown in the tables are the equal-weighted averages of the figures for all relevant product and strategy categories. d) Turnover is calculated each quarter as the number of products that were rated A at the start of the quarter but not at the end of the quarter divided by the number of products that were rated A at the start of the quarter. Average annual turnover since inception is calculated as the average quarterly turnover since inception multiplied by four (to convert it from a quarterly figure to an annual figure). MERCER 12

7 Important Notices References to Mercer shall be construed to include Mercer LLC and/or its associated companies 2015 Mercer LLC. All rights reserved This contains confidential and proprietary information of Mercer and is intended for the exclusive use of the parties to whom it was provided by Mercer. Its content may not be modified, sold or otherwise provided, in whole or in part, to any other person or entity, without Mercer s prior written permission. The findings, ratings and/or opinions expressed herein are the intellectual property of Mercer and are subject to change without notice. They are not intended to convey any guarantees as to the future performance of the investment products, asset classes or capital markets discussed. Past performance does not guarantee future results. Mercer s ratings do not constitute individualized investment advice. This does not contain investment advice relating to your particular circumstances. No investment decision should be made based on this information without first obtaining appropriate professional advice and considering your circumstances. Information contained herein has been obtained from a range of third party sources. While the information is believed to be reliable, Mercer has not sought to verify it independently. As such, Mercer makes no representations or warranties as to the accuracy of the information presented and takes no responsibility or liability (including for indirect, consequential or incidental damages), for any error, omission or inaccuracy in the data supplied by any third party. This does not constitute an offer or a solicitation of an offer to buy or sell securities, commodities and/or any other financial instruments or products or constitute a solicitation on behalf of any of the investment managers, their affiliates, products or strategies that Mercer may evaluate or recommend. Research ratings For the most recent approved ratings of an investment strategy, and a fuller explanation of their meanings, contact your Mercer representative. Conflicts of interest For Mercer s conflict of interest disclosures, contact your Mercer representative or see www.mercer.com/conflictsofinterest. Mercer universes Mercer s universes are intended to provide collective samples of strategies that best allow for robust peer group comparisons over a chosen timeframe. Mercer does not assert that the peer groups are wholly representative of and applicable to all strategies available to investors. MERCER 13

8 Risk Warnings The value of stocks and shares, including unit trusts, can go down as well as up and you may not get back the amount you have invested. The value of gilts, bonds, and other fixed income investments including unit trusts can go down as well as up and you may not get back the amount you have invested. Investments denominated in a foreign currency will fluctuate with the value of the currency. The value of investments in real property can go down as well as up, and you may not get back the amount you have invested. Valuation is generally a matter of a valuer s opinion, rather than fact. It may be difficult or impossible to realise an investment because the property concerned may not be readily saleable. Certain investments, such as illiquid, leveraged or high-yield instruments or funds and securities issued by small capitalization and emerging market issuers, carry additional risks that should be considered before choosing an investment manager or making an investment decision. For higher volatility investments, losses on realisation may be high because their value may fall suddenly and substantially. Where investments are not domiciled and regulated locally, the nature and extent of investor protection will be different to that available in respect of investments domiciled and regulated locally. In particular, the regulatory regimes in some domiciles are considerably lighter than others, and offer substantially less investor protection. Where an investor is considering whether to make a commitment in respect of an investment which is not domiciled and regulated locally, we recommend that legal advice is sought prior to the commitment being made. MERCER 14

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