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For professional advisers onlyThis document is issued by Sterling ISA Managers Limited, a wholly owned subsidiary of Embark Group

HORIZON MULTI-ASSET

FUND IQUARTERLY FUND REPORT Q2 2020

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HORIZON MULTI-ASSET FUND I: QUARTERLY FUND REPORT Q2 2020 | 3

CONTENTS

About the Horizon range 03

About the fund 04

Our view on markets this quarter 05

Fund performance this quarter 06

EValue’s strategic asset allocation 07

Active management by Columbia Threadneedle 09

A closer look at the portfolio 11

Definitions 13

ABOUT THE HORIZON RANGE

• Five globally diversified multi-asset funds designed to meet your client’s risk profile.• Targeting a combination of income and capital growth over the medium to long term.• Rebalanced by experts on a regular basis in response to changing market conditions.• Straightforward, easy-to-understand investment solutions.

2 | HORIZON MULTI-ASSET FUND I: QUARTERLY FUND REPORT Q2 2020

Please note that the information contained in this Quarterly Fund Report Q2 2020 is correct as at 30 June 2020.

On 1 May 2020 Zurich Investment Services (UK) Limited, the entity responsible for the operation of the Horizon fund range as at 31 March 2020, was acquired by the Embark Group and subsequently renamed Embark Investments Limited. The Zurich Horizon Multi-Asset Fund I was renamed the Embark Horizon Multi-asset Fund I. For the most up to date information on this fund, please contact Embark Investments Limited, 7th Floor, 100 Cannon Street, London EC4N 6EU.

Embark ExperienceEmbark Group is a fast growing, diversified, financial services business providing investment savings and retirement solutions, built using the latest digital technology. With a depth of expertise across platforms, pensions, investments, research and consultancy services we are well placed to meet your investment needs.

We enjoy the stability offered by significant institutional backing from a portfolio of long-term investors including a number of well-known financial institutions, giving you confidence in the financial strength of our firm. Businesses in Embark Group have been established in the retirement market for more than 40 years and have a long history of working closely with intermediary distribution partners and affluent / high net worth clients.

1

EValue – risk-profiled asset allocationEValue is a risk profiling service provider with more than 20 years’ experience in UK financial services. They run a range of economic scenarios using forward-looking (stochastic) modelling, taking into account current market conditions. This approach allows EValue to produce realistic, independent and objective forecasts, from which they determine the appropriate asset mix for the risk profiles underlying each of the five Horizon Multi-Asset Funds.

2

Columbia Threadneedle Investments – Investment managerWe have appointed Columbia Threadneedle Investments (CTI) as investment manager for the Horizon Multi-Asset Fund range. CTI manages the funds in line with the strategic asset allocations provided by EValue. CTI is required to maintain the asset allocation within limits above and below those strategic asset allocations. CTI also actively manage the fund’s liquidity on a daily basis – EValue’s strategic asset allocation specifies a minimum of 2% in cash, although CTI has the flexibility to have a greater or lower level than this.

3

Your adviceThe blend of these three elements is what we believe delivers real value for our customers. This is reinforced further by the advice and support you give to your clients, creating a fourth layer of expertise that they can rely on.

4

Four layers of expertise

Our approach means your clients can access a wealth of industry expertise, on top of your own advice and oversight.



ABOUT THE HORIZON RANGE

• Five globally diversified multi-asset funds designed to meet your client’s risk profile.• Targeting a combination of income and capital growth over the medium to long term.• Rebalanced by experts on a regular basis in response to changing market conditions.• Straightforward, easy-to-understand investment solutions.


Embark ExperienceEmbark Group is a fast growing, diversified, financial services business providing investment savings and retirement solutions, built using the latest digital technology. With a depth of expertise across platforms, pensions, investments, research and consultancy services we are well placed to meet your investment needs.

We enjoy the stability offered by significant institutional backing from a portfolio of long-term investors including a number of well-known financial institutions, giving you confidence in the financial strength of our firm. Businesses in Embark Group have been established in the retirement market for more than 40 years and have a long history of working closely with intermediary distribution partners and affluent / high net worth clients.

We have enlisted the complementary skills of two of the leading names in UK financial services and we provide constant oversight across EValue and Columbia Threadneedle Investments (CTI), to ensure they are delivering the high standards we demand and our customers deserve.

We want customers to understand and be clear on the assets in which they are invested. For that reason, traditional, mainstream asset classes make up the vast majority of the Horizon Multi-Asset Funds’ asset allocation. You can learn more about the makeup of this fund on the closer look at the portfolio page in this report.

1

EValue – risk-profiled asset allocationEValue is a risk profiling service provider with more than 20 years’ experience in UK financial services. They run a range of economic scenarios using forward-looking (stochastic) modelling, taking into account current market conditions. This approach allows EValue to produce realistic, independent and objective forecasts, from which they determine the appropriate asset mix for the risk profiles underlying each of the five Horizon Multi-Asset Funds.

These risk-profiled asset allocations range from 1 – lowest risk in the range to 5 – highest risk in the range. For example,

Fund I will likely have a greater exposure to lower risk assets, such as fixed income securities, than Fund V. The asset allocation mix varies through the funds to match their risk requirements. EValue update these allocations on a quarterly basis and the funds are actively managed by the investment manager, in line with these strategic asset allocations.

2

Columbia Threadneedle Investments – Investment managerWe have appointed Columbia Threadneedle Investments (CTI) as investment manager for the Horizon Multi-Asset Fund range. CTI manages the funds in line with the strategic asset allocations provided by EValue. CTI is required to maintain the asset allocation within limits above and below those strategic asset allocations. CTI also actively manage the fund’s liquidity on a daily basis – EValue’s strategic asset allocation specifies a minimum of 2% in cash, although CTI has the flexibility to have a greater or lower level than this.

Each quarter, once EValue’s revised strategic asset allocations have been approved, CTI adjusts the portfolio if necessary, to keep the asset allocations within the limits. Then, on a daily basis, the team calls on its own market knowledge to implement tactical asset allocation tilts.

3

Your adviceThe blend of these three elements is what we believe delivers real value for our customers. This is reinforced further by the advice and support you give to your clients, creating a fourth layer of expertise that they can rely on.

4

Four layers of expertise

Our approach means your clients can access a wealth of industry expertise, on top of your own advice and oversight.


HORIZON MULTI-ASSET FUND I: QUARTERLY FUND REPORT Q2 2020 | 5 4 | HORIZON MULTI-ASSET FUND I: QUARTERLY FUND REPORT Q2 2020

Ratings accurate as at July 2019. Providers update ratings at different times. 1 EValue’s 5 point scale. 2 © FinaMetrica Pty Ltd. Risk tolerance scores were mapped to the funds’ strategic asset allocations as at February 2020. The mappings are only for use by financial advisers licensed to use FinaMetrica’s risk profiling system and do not constitute financial advice. Financial advisers must satisfy themselves that the funds’ current asset allocations reflect the risk/return expectations of the funds when mapped. Embark pays FinaMetrica for the mappings in the table. However these mappings are calculated independently by FinaMetrica. 3 Defaqto is a financial information business, helping financial institutions and consumers make better informed decisions. 4 Synaptic factsheet Q2 2020.

EValue1Distribution Technology

FinaMetrica2

Defaqto Risk Rating3 Synaptic Risk4Growth Assets

Best fit risk comfort zone

1 4 35% 30-48 4 3

ABOUT THE FUND ABOUT THE FUND (CONTINUED)

Fund objective

The aim of the fund is to grow the amount invested over the medium to long term (5 or more years) and to keep the fund within a designated risk profile.

Investment policy

The fund invests at least two-thirds of its value in other funds (underlying funds) actively managed by Columbia Threadneedle and its group of companies.

Through the underlying funds, at least 50% of the value of the fund will be exposed to fixed income securities such as corporate bonds and government bonds. The fund will also have some exposure to UK equities and may have exposure to other developed markets (including US, Japan and Europe). The fund may also gain exposure to money market instruments, cash and near cash. There will be no exposure to property.

Save in exceptional circumstances, the actual asset class exposures will be in the following ranges: fixed income 50-80%; equities 20-50%; and money market instruments, cash and near cash 0-10%.

The sub-fund is permitted to use derivatives for efficient portfolio management. In practice this would be for the purpose of reducing risk or gaining a market exposure as a substitute for an actual investment in an underlying fund. However the sub-fund does not currently use derivatives even though the underlying funds in which it invests may do.

The Horizon Multi-Asset range of funds aims to cater for investors with different risk appetites. The funds carry staggered risk profiles starting from Horizon Multi-Asset Fund I and becoming progressively higher in risk, through to Horizon Multi-Asset Fund V.

EValue, an independent risk profile service provider, using the output from its investment research tools, produces a strategic weighting of asset classes aligned to the risk profile of the fund based on a long term time horizon. EValue updates these weightings on a quarterly basis and Columbia Threadneedle will consider the weightings when taking active management decisions to decide on the composition of the investments of the fund.

Investor profile

The fund may be suitable for an investor seeking income and capital growth without a capital guarantee. The fund uses EValue’s strategic asset allocation model which looks ahead over a long term time horizon of 18 years. Providing the asset allocations are deemed suitable for the investor’s desired outcomes and in line with his or her risk tolerance the fund may be suited for investors looking to hold investments for 5 or more years. Investors should regularly review and discuss their risk appetite and investment horizon with their advisers to ensure that the fund remains suitable in the event of any change of personal circumstances.

Risk profile 1

This fund is aligned to risk profile 1, the lowest risk profile in this range. This means that it aims to deliver growth through assets that demonstrate moderate price fluctuations, with greater emphasis placed on fixed income securities and lower exposure to equities.

The fund’s risk profile according to alternative risk rating agencies is shown opposite.

As the virus took hold in the US, European countries took gradual steps towards ending the lockdown. President Trump began to refer openly to the possibility that the outbreak was a deliberate act, an accusation refuted by the Chinese. However, this had the effect of intensifying the US-China trade war tensions. The virus continued to spread rapidly in certain emerging market countries where control mechanisms are less robust, while in other countries the authorities took steps to handle isolated outbreaks as quickly as possible. By quarter end, confirmed cases worldwide had surpassed ten million.

The severe impact of measures to control the spread of the virus became clearer as economic data rolled in, pointing to a slump of unprecedented scale. Indeed, the IMF feared that the “Great Lockdown Recession” would be the steepest in almost a century. US weekly jobless claims served as a real-time measure of the enormous scale of the economic damage. As the quarter progressed, data from around the world showed signs of stabilisation/improvement as economies slowly re-opened.

In the first quarter of 2020, stocks recorded their fastest-ever drop into bear market territory as the severity of the COVID-19 situation and its wider consequences became apparent. By contrast, the second quarter saw a remarkable recovery from the March lows, even as the virus swept across the US. Bargain-hunting investors were enticed back to equities by the lower valuations on offer and broadly, markets chose to take heart from falling case numbers in Asia and parts of Europe, along with news of potential vaccines and treatments. The huge scale of



Ratings accurate as at July 2019. Providers update ratings at different times. 1 EValue’s 5 point scale. 2 © FinaMetrica Pty Ltd. Risk tolerance scores were mapped to the funds’ strategic asset allocations as at February 2020. The mappings are only for use by financial advisers licensed to use FinaMetrica’s risk profiling system and do not constitute financial advice. Financial advisers must satisfy themselves that the funds’ current asset allocations reflect the risk/return expectations of the funds when mapped. Embark pays FinaMetrica for the mappings in the table. However these mappings are calculated independently by FinaMetrica. 3 Defaqto is a financial information business, helping financial institutions and consumers make better informed decisions. 4 Synaptic factsheet Q2 2020.

EValue1Distribution Technology

FinaMetrica2

Defaqto Risk Rating3 Synaptic Risk4Growth Assets

Best fit risk comfort zone

1 4 35% 30-48 4 3

ABOUT THE FUND (CONTINUED)

Investor profile

The fund may be suitable for an investor seeking income and capital growth without a capital guarantee. The fund uses EValue’s strategic asset allocation model which looks ahead over a long term time horizon of 18 years. Providing the asset allocations are deemed suitable for the investor’s desired outcomes and in line with his or her risk tolerance the fund may be suited for investors looking to hold investments for 5 or more years. Investors should regularly review and discuss their risk appetite and investment horizon with their advisers to ensure that the fund remains suitable in the event of any change of personal circumstances.

Risk profile 1

This fund is aligned to risk profile 1, the lowest risk profile in this range. This means that it aims to deliver growth through assets that demonstrate moderate price fluctuations, with greater emphasis placed on fixed income securities and lower exposure to equities.

The fund’s risk profile according to alternative risk rating agencies is shown opposite.

OUR VIEW ON MARKETS THIS QUARTER

As the virus took hold in the US, European countries took gradual steps towards ending the lockdown. President Trump began to refer openly to the possibility that the outbreak was a deliberate act, an accusation refuted by the Chinese. However, this had the effect of intensifying the US-China trade war tensions. The virus continued to spread rapidly in certain emerging market countries where control mechanisms are less robust, while in other countries the authorities took steps to handle isolated outbreaks as quickly as possible. By quarter end, confirmed cases worldwide had surpassed ten million.

The severe impact of measures to control the spread of the virus became clearer as economic data rolled in, pointing to a slump of unprecedented scale. Indeed, the IMF feared that the “Great Lockdown Recession” would be the steepest in almost a century. US weekly jobless claims served as a real-time measure of the enormous scale of the economic damage. As the quarter progressed, data from around the world showed signs of stabilisation/improvement as economies slowly re-opened.

In the first quarter of 2020, stocks recorded their fastest-ever drop into bear market territory as the severity of the COVID-19 situation and its wider consequences became apparent. By contrast, the second quarter saw a remarkable recovery from the March lows, even as the virus swept across the US. Bargain-hunting investors were enticed back to equities by the lower valuations on offer and broadly, markets chose to take heart from falling case numbers in Asia and parts of Europe, along with news of potential vaccines and treatments. The huge scale of

policy announcements from governments and central banks around the world also contributed to the rapid change of sentiment.

Against this backdrop, global stock markets moved ahead smartly, notwithstanding some volatility along the way. US markets led the way, although in the initial phase of the rally, market leadership was extremely narrow, with the likes of Microsoft, Apple, Amazon, Google and Facebook pulling away from the rest of the market. Latterly, other stocks and sectors participated in the rally as investors began to anticipate the return to some form of normality.

After a period of uncharacteristic volatility in March, during the worst moments of the virus-inspired panic, UK gilt yields resumed a downward path (prices moving up) at the start of the second quarter. With a global recession unavoidable, it became very clear that interest rates were destined to remain at low levels for the foreseeable future. Quantitative easing measures, in the form of direct bond purchasing by the Bank of England, also supported the market. Latterly, gilt yields began to rise from ultra-low levels as economies began to unlock.


6 | HORIZON MULTI-ASSET FUND I: QUARTERLY FUND REPORT Q2 2020 HORIZON MULTI-ASSET FUND I: QUARTERLY FUND REPORT Q2 2020 | 7

FUND PERFORMANCE THIS QUARTER EVALUE’S STRATEGIC ASSET ALLOCATION

Horizon Multi-Asset Fund I (Z Acc share class (GBP)) returned +8.65% in the three months to 30 June.

The fund’s performance was helped positively by its overall strategic asset allocation; additionally, Columbia Threadneedle made further positive contributions from both stock selection and tactical asset allocation positioning.

The positive overall contribution came from both equities and government bonds. The risk on environment came very quickly after the big sell off in Q1 2020 led investors to favour risk assets in Q2. Asset Allocation decisions during the quarter have helped overall returns. In the risk-on environment, the overweight in equities was supportive, as was the underweight in UK government bonds. In total, asset allocation added 67bps.

Security selection also added value, 24bps for the quarter, particularly in the Japanese equity portfolio. Within the underlying fund, stock selection drove outperformance, notably within technology and industrials. Choices in materials, communication services and healthcare also added. Elsewhere, choices in US and UK equities were also supportive.

In the Threadneedle American Fund, security selection and sector allocation both contributed. Picks in communication services, healthcare and materials showed the best returns. The underweights in consumer staples and utilities were helpful, as was the above-benchmark allocation to technology.

Meanwhile, the outperformance of the Threadneedle UK Fund was due to favourable sector allocation, driven by the underweight in energy and overweight in materials. Over much of the period, the fund benefited from the improved market sentiment towards value/cyclical names, and positive contributors included Intermediate Capital and Weir.

A risk profile service provider with more than 20 years’ experience in the UK financial services market. They determine the appropriate mix of asset classes for the risk profiles underlying each of the five Horizon Multi-Asset Funds.

Cumulative performance against Investment Association (IA) Sector (as at 30 June 2020)

Changes to the strategic asset allocation of Fund I

Fund and strategy performance

Launch 12/12/13 5 Years 3 Years 1 Year 6 months 3 months

Embark Horizon Multi-Asset I 49.03% 34.01% 14.61% 6.37% 2.65% 8.65%

IA Mixed 20-60% Shares 29.43% 19.35% 4.74% -0.62% -4.06% 10.13%

IA Sector Fund Ranking 10/116 13/132 11/149 9/165 11/172 140/175

Asset classStrategic asset allocation (%)

31 March 2020Strategic asset allocation (%)

30 June 2020 Change (%)

Cash 2% 2% -

UK Government Bonds 48% 45% -3%

UK Corporate Bonds 14% 11% -3%

Global Bonds - 8% 8%

UK Equities 14% 18% 4%

Overseas Equities 22% 16% -6%

Data provided by FE as at 30/06/2020; bid to bid net of all charges, with net income reinvested, based on sterling class Z acc shares. Horizon Multi-Asset Fund I was launched on 27/03/2015 (as “Zurich Horizon Multi-Asset Fund I”). Performance before then is based on the Threadneedle Multi-Asset Zurich Fund I, and attributable to Columbia Threadneedle Investments (CTI).Please note that figures refer to simulated performance and past performance is not a reliable guide to future performance.The value of the funds can fall, meaning you may get back less than you originally invested. Changes in exchange rates will affect the value of investments made overseas. Investments in newer markets, smaller companies or single sectors offer the possibility of higher returns but may also involve a higher degree of risk.

Data provided by FE as at 30/06/2020; bid to bid net of all charges, with net income reinvested, based on sterling class Z acc shares. Horizon Multi-Asset Fund I was launched on 27/03/2015 (as “Zurich Horizon Multi-Asset Fund I”). Performance before then is based on the Threadneedle Multi-Asset Zurich Fund I, and attributable to Columbia Threadneedle Investments (CTI). Cash includes money market investments. Source: EValue as at 30 June 2020.

Evalue:

• Provides the investment framework with forward-looking asset allocations

• Weightings are aligned to five risk profiles

• Asset allocations are updated on a quarterly basis

EValue updates its strategic asset allocations on a quarterly basis and the changes will be adopted by the investment manager during the quarter, where appropriate. The table below shows the strategic asset allocation weightings at the end of Q1 2020 and Q2 2020, as well as the changes over the period.

-10%

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40%

50%

20%

10%

0%

Embark Horizon Multi-Asset I Z Acc in GB [49.03%]IA Mixed Investment 20-60% Shares TR in GB [29.43%]

Jul Jul Jul Jul JulJulJan ‘15Jan ‘14 Jan ’16 Jan ’17 Jan ’18 Jan ’19 Jan ’20


6 | HORIZON MULTI-ASSET FUND I: QUARTERLY FUND REPORT Q2 2020 HORIZON MULTI-ASSET FUND I: QUARTERLY FUND REPORT Q2 2020 | 7

FUND PERFORMANCE THIS QUARTER EVALUE’S STRATEGIC ASSET ALLOCATION

In the Threadneedle American Fund, security selection and sector allocation both contributed. Picks in communication services, healthcare and materials showed the best returns. The underweights in consumer staples and utilities were helpful, as was the above-benchmark allocation to technology.

Meanwhile, the outperformance of the Threadneedle UK Fund was due to favourable sector allocation, driven by the underweight in energy and overweight in materials. Over much of the period, the fund benefited from the improved market sentiment towards value/cyclical names, and positive contributors included Intermediate Capital and Weir.

A risk profile service provider with more than 20 years’ experience in the UK financial services market. They determine the appropriate mix of asset classes for the risk profiles underlying each of the five Horizon Multi-Asset Funds.

Cumulative performance against Investment Association (IA) Sector (as at 30 June 2020)

Changes to the strategic asset allocation of Fund I

Fund and strategy performance

Launch 12/12/13 5 Years 3 Years 1 Year 6 months 3 months

Embark Horizon Multi-Asset I 49.03% 34.01% 14.61% 6.37% 2.65% 8.65%

IA Mixed 20-60% Shares 29.43% 19.35% 4.74% -0.62% -4.06% 10.13%

IA Sector Fund Ranking 10/116 13/132 11/149 9/165 11/172 140/175

Asset classStrategic asset allocation (%)

31 March 2020Strategic asset allocation (%)

30 June 2020 Change (%)

Cash 2% 2% -

UK Government Bonds 48% 45% -3%

UK Corporate Bonds 14% 11% -3%

Global Bonds - 8% 8%

UK Equities 14% 18% 4%

Overseas Equities 22% 16% -6%

Data provided by FE as at 30/06/2020; bid to bid net of all charges, with net income reinvested, based on sterling class Z acc shares. Horizon Multi-Asset Fund I was launched on 27/03/2015 (as “Zurich Horizon Multi-Asset Fund I”). Performance before then is based on the Threadneedle Multi-Asset Zurich Fund I, and attributable to Columbia Threadneedle Investments (CTI).Please note that figures refer to simulated performance and past performance is not a reliable guide to future performance.The value of the funds can fall, meaning you may get back less than you originally invested. Changes in exchange rates will affect the value of investments made overseas. Investments in newer markets, smaller companies or single sectors offer the possibility of higher returns but may also involve a higher degree of risk.

Data provided by FE as at 30/06/2020; bid to bid net of all charges, with net income reinvested, based on sterling class Z acc shares. Horizon Multi-Asset Fund I was launched on 27/03/2015 (as “Zurich Horizon Multi-Asset Fund I”). Performance before then is based on the Threadneedle Multi-Asset Zurich Fund I, and attributable to Columbia Threadneedle Investments (CTI). Cash includes money market investments. Source: EValue as at 30 June 2020.

Evalue:

• Provides the investment framework with forward-looking asset allocations

• Weightings are aligned to five risk profiles

• Asset allocations are updated on a quarterly basis

EValue updates its strategic asset allocations on a quarterly basis and the changes will be adopted by the investment manager during the quarter, where appropriate. The table below shows the strategic asset allocation weightings at the end of Q1 2020 and Q2 2020, as well as the changes over the period.

Rationale behind EValue’s strategic asset allocation changes, as at April 2020:

The events of Q1 worsened the outlook across the board. In equities, emerging and Asian markets outside of Japan suffered the most. UK equities were somewhat protected by sterling weakness, foreign earnings and a substantial repricing, and thus gained a little in allocations at the expense of Overseas equities.

Lower rates suppressed fixed income returns. Credit spreads blew up in March. They recovered a little but with the prospect of actual difficulties at issuers developing, further rating downgrades and liquidity panics remained, and expected returns suffered more than government bonds. So allocations to Corporate bonds were displaced by the introduction of Global Government bonds.

-10%

30%

40%

50%

20%

10%

0%

Embark Horizon Multi-Asset I Z Acc in GB [49.03%]IA Mixed Investment 20-60% Shares TR in GB [29.43%]

Jul Jul Jul Jul JulJulJan ‘15Jan ‘14 Jan ’16 Jan ’17 Jan ’18 Jan ’19 Jan ’20



2.5% Percentile Median 97.5% Percentile

1 Year 5 Years 10 Years 18 Years

Holding Period

%

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EVALUE’S STRATEGIC ASSET ALLOCATION (CONTINUED)

EValue risk profile 1 – Potential returns profile

Distributions of potential returns produced by EValue’s stochastic model

The graph illustrates the distribution of potential annualised returns over different time periods, according to EValue’s model.

The graph is based on the results of simulations performed by EValue using a computer model and relying on assumptions made by EValue, as at April 2020; the assumptions and the results of these simulations will change over time.

How the profile was calculated

EValue performed 10,000 simulations of potential returns from a typical strategic asset allocation, and created a distribution of 10,000 simulated outcomes at the end of each investment period shown on the graph. The outcomes were then converted into annualised returns.

For each investment period the graph shows the median outcome, the 2.5% percentile (where 2.5% or 250 of the outcomes may be below this level, perhaps significantly) and the 97.5% percentile (where 2.5% or 250 of the outcomes may be above this level). As such the graph does not illustrate the full range of outcomes of the simulation.

The graph in this document is intended for illustrative purposes only. It does not represent the actual fund offered, and should not be relied upon as an indicator or guarantee of future performance, which could be very different; you may get back less than you invested. The simulations do not include the effect of tax, investment management fees, or any other charges specific to the Horizon Multi-Asset Funds; if they did, the simulated returns would be lower.

ACTIVE MANAGEMENT BY COLUMBIA THREADNEEDLE

A global asset management group that provides a broad range of actively managed investment strategies for clients.

Columbia Threadneedle Investments

• Overlays its own views on asset allocation on those produced by EValue

• Selects the right mix of underlying funds for each risk profile

• Actively manages the underlying funds to reflect where they believe the best opportunities lie



2.5% Percentile Median 97.5% Percentile

1 Year 5 Years 10 Years 18 Years

Holding Period

%

40

30

20

10

0

-10

-20

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EVALUE’S STRATEGIC ASSET ALLOCATION (CONTINUED)

Distributions of potential returns produced by EValue’s stochastic model

For each investment period the graph shows the median outcome, the 2.5% percentile (where 2.5% or 250 of the outcomes may be below this level, perhaps significantly) and the 97.5% percentile (where 2.5% or 250 of the outcomes may be above this level). As such the graph does not illustrate the full range of outcomes of the simulation.

The graph in this document is intended for illustrative purposes only. It does not represent the actual fund offered, and should not be relied upon as an indicator or guarantee of future performance, which could be very different; you may get back less than you invested. The simulations do not include the effect of tax, investment management fees, or any other charges specific to the Horizon Multi-Asset Funds; if they did, the simulated returns would be lower.

The following commentary summarises Columbia Threadneedle’s view of the markets.

Equities and corporate bonds rebounded powerfully during the quarter, outperforming safer havens such as core government debt. As the Covid-19 pandemic appeared to be slowing across much of the developed world, the consequent easing of lockdown restrictions, together with unprecedented stimulus from governments and central banks, fostered hopes of a swift ‘V-shaped’ economic recovery. Economic data tended to reinforce this sentiment, being generally dire in absolute terms but significantly better than expected. In June, the risk-on rally slowed, and volatility increased.

A resurgence of the virus in several countries, including the US and China, prompted fears that a second wave of the pandemic could derail the recovery. Rising caseloads saw reopening plans halted in the three most populous US states, and curbs were reimposed in Beijing following a serious outbreak there.

On the stimulus front, the European Central Bank and Bank of England expanded their bond-buying programmes, while the Federal Reserve and Bank of Japan respectively announced and increased loan schemes. The Fed also included high-yield bond ETFs in its purchase programme. In June, investors welcomed reports that the White House was weighing up a $1 trillion US infrastructure package. Germany announced new fiscal measures worth €130 billion to support its own economy; however, EU states remained divided over a proposed €750 billion recovery fund, despite the support of Germany and France.

In terms of politics, the Trump administration stepped up efforts to blame China for the pandemic. Adding to the tensions, China imposed a harsh new security law on Hong Kong, to which the US responded by threatening to withdraw the city’s special trade status. However, President Trump stopped short of scrapping the phase-one US-China trade deal. Meanwhile in the UK, there was lingering uncertainty about the prospects for reaching a post-Brexit trade deal with the EU, especially as the UK government formally rejected any extension to the transition period beyond the end of 2020.

The MSCI AC World index of global equities returned 18.4% in local terms and 19.8% in sterling. The technology sector led the rally, benefiting from the lockdown-driven shift to online services, while the more defensive sectors lagged. By region, the US fared best in sterling terms, aided by its large exposure to technology stocks. Europe ex UK markets slightly outperformed global averages; sentiment was buoyed by stimulus announcements and the sterling return was inflated by strength in the euro. Japan underperformed, having held up best in the prior sell-off. The UK was by far the biggest laggard as Brexit fears resurfaced.

Bond markets had mixed fortunes. The 10- year US and German government yields were little changed, though the UK equivalent fell 18 basis points (bps). Credit had a strong quarter as spreads tightened.

A key area of focus has been how to reconcile the “sudden stop” in global economic activity with buoyant financial markets. Although the

Market background and outlook

ACTIVE MANAGEMENT BY COLUMBIA THREADNEEDLE

A global asset management group that provides a broad range of actively managed investment strategies for clients.

Columbia Threadneedle Investments

• Overlays its own views on asset allocation on those produced by EValue

• Selects the right mix of underlying funds for each risk profile

• Actively manages the underlying funds to reflect where they believe the best opportunities lie



ACTIVE MANAGEMENT BY COLUMBIA THREADNEEDLE (CONTINUED) ACTIVE MANAGEMENT BY COLUMBIA THREADNEEDLE (CONTINUED)

short-term shock to economic activity and corporate balance sheets will be huge, what matters for asset markets is how the world evolves in 2021 and beyond.

Our base case has left us comfortable owning quality risk, even as markets recover. An important element of this has been the response from policymakers, which has eclipsed anything we have seen before in both speed and size. The policy news from the euro area in particular over the last month has been remarkably constructive.

Meanwhile, the low growth, low inflation and lower discount rates that we anticipate should prove supportive to valuations and we are keen to remain long in the assets most impacted by the policy response. However, with companies likely to emerge from this crisis with greater leverage or weaker balance sheets than before, our focus has been on higher-quality companies in both credit and equities.

We retain a meaningful position in Investment Grade credit. While valuations are less compelling than before, the technical environment has improved vastly, as high-grade credit is a targeted beneficiary of the powerful policy response to the crisis.

We remain cautious on government bonds at these yield levels, particularly given sharply deteriorating fiscal accounts as policymakers seek to manage the crisis.

Fund activity

The fund’s strategic asset allocation was rebalanced during the quarter. Consequently, we added to our position in UK equities but reduced exposure to all other regions.

Within fixed income, we initiated a holding in the Threadneedle Global Bond Fund, which focuses on overseas sovereign debt, and reduced the allocations to gilts and UK corporate bonds.

Tactical asset allocation

The table on the next page shows the asset allocations in the fund’s portfolio and EValue’s strategic asset allocation as at 31 March 2020 and 30 June 2020. It also shows the difference between the two as at 30 June.

During Q2 2020 we continued to retain a preference for equities and investment grade corporate bonds, at the expense of government bonds. As equity markets have continued to rise we have taken this strength to top slice our equity allocations given:

• Equity and credit markets have recouped much of what was lost in March, denting their valuation case.

• At the fringes, uncertainty is mounting – from second waves of the virus, to trade tensions, US elections and questions around how labour markets emerge once support schemes fade.

We are not in defensive mode, and have left our preference for equities and credit unchanged:

• Policy easing continues to run at an extraordinary clip: China, Japan and Europe are among regions that are upping their games.

• Lower discount rates are a powerful support as economies recover and we are keen to remain long those assets most impacted.

• Moreover, as economies reset in early stages of recovery, higher equity multiples might be expected.

But we have taken some risk off the table in the Horizon fund range.

In equites, we still favour the quality of the US market with cyclicality in emerging Asia. The US market offers access to high quality companies with strong balance sheets and which look well-placed to deliver growth, even in this highly uncertain environment. Meanwhile, some cyclicality in Asian equities should be rewarded as Asia pulls out of this crisis and parts of its economy - such as Chinese manufacturing – show signs of reverting to pre-virus levels.

We retain a strong preference for investment grade credit. While spreads have tightened from their late-March wides, they remain cheap to long run averages. Meanwhile, the technical environment has improved with vastly better liquidity conditions, and the fundamental picture appears relatively sound, as high-grade credit is a targeted beneficiary of the policy response to the crisis.

Market background and outlook (continued) Asset allocations in the fund’s portfolio

Figures are % of net asset value. Cash includes money market investments. Source: Columbia Threadneedle Investments. Cash includes investments in a money market fund as well as adjustments to cash such as accruals. Figures may not add up to 100% due to rounding.

Date: 31 March 2020 30 June 2020 30 June 2020

Asset class Fund IStrategic asset

allocation Fund IStrategic asset

allocationDifference between Fund I and

Strategic asset allocation

UK Equity 13.46 14.00 18.60 18.00 0.60

Europe ex-UK Equity 4.10 4.40 3.55 3.20 0.35

North America Equity 15.47 14.30 11.55 10.40 1.15

Japan Equity 4.16 3.30 2.85 2.40 0.45

UK Government Bonds 47.55 48.00 43.57 45.00 -1.43

UK Corporate Bonds 14.73 14.00 12.54 11.00 1.54

Global Bonds - - 6.99 8.00 -1.01

Cash & Money Markets 0.53 2.00 0.35 2.00 -1.65

Total 100% 100% 100% 100% 0.0

0% Cash19% UK Equity

4% European ex-UK Equity

12% North America Equity

3% Japan Equity

13% UK Corporate Bonds

7% Global Bonds

44% UK Government Bonds

All data provided as at 30 June 2020 unless otherwise stated.

Figures are in % of net asset value. Source: Columbia Threadneedle Investments. Cash includes investments in a money market fund as well as adjustments to cash such as accruals. Figures may not add up to 100% due to rounding.

FUND SIZE: £

Portfolio breakdown

A CLOSER LOOK AT THE PORTFOLIO



ACTIVE MANAGEMENT BY COLUMBIA THREADNEEDLE (CONTINUED) ACTIVE MANAGEMENT BY COLUMBIA THREADNEEDLE (CONTINUED)

During Q2 2020 we continued to retain a preference for equities and investment grade corporate bonds, at the expense of government bonds. As equity markets have continued to rise we have taken this strength to top slice our equity allocations given:

• Equity and credit markets have recouped much of what was lost in March, denting their valuation case.

• At the fringes, uncertainty is mounting – from second waves of the virus, to trade tensions, US elections and questions around how labour markets emerge once support schemes fade.

We are not in defensive mode, and have left our preference for equities and credit unchanged:

• Policy easing continues to run at an extraordinary clip: China, Japan and Europe are among regions that are upping their games.

• Lower discount rates are a powerful support as economies recover and we are keen to remain long those assets most impacted.

• Moreover, as economies reset in early stages of recovery, higher equity multiples might be expected.

But we have taken some risk off the table in the Horizon fund range.

In equites, we still favour the quality of the US market with cyclicality in emerging Asia. The US market offers access to high quality companies with strong balance sheets and which look well-placed to deliver growth, even in this highly uncertain environment. Meanwhile, some cyclicality in Asian equities should be rewarded as Asia pulls out of this crisis and parts of its economy - such as Chinese manufacturing – show signs of reverting to pre-virus levels.

We retain a strong preference for investment grade credit. While spreads have tightened from their late-March wides, they remain cheap to long run averages. Meanwhile, the technical environment has improved with vastly better liquidity conditions, and the fundamental picture appears relatively sound, as high-grade credit is a targeted beneficiary of the policy response to the crisis.

Market background and outlook (continued) Asset allocations in the fund’s portfolio

Figures are % of net asset value. Cash includes money market investments. Source: Columbia Threadneedle Investments. Cash includes investments in a money market fund as well as adjustments to cash such as accruals. Figures may not add up to 100% due to rounding.

Date: 31 March 2020 30 June 2020 30 June 2020

Asset class Fund IStrategic asset

allocation Fund IStrategic asset

allocationDifference between Fund I and

Strategic asset allocation

UK Equity 13.46 14.00 18.60 18.00 0.60

Europe ex-UK Equity 4.10 4.40 3.55 3.20 0.35

North America Equity 15.47 14.30 11.55 10.40 1.15

Japan Equity 4.16 3.30 2.85 2.40 0.45

UK Government Bonds 47.55 48.00 43.57 45.00 -1.43

UK Corporate Bonds 14.73 14.00 12.54 11.00 1.54

Global Bonds - - 6.99 8.00 -1.01

Cash & Money Markets 0.53 2.00 0.35 2.00 -1.65

Total 100% 100% 100% 100% 0.0

0% Cash19% UK Equity

4% European ex-UK Equity

12% North America Equity

3% Japan Equity

13% UK Corporate Bonds

7% Global Bonds

44% UK Government Bonds


Figures are in % of net asset value. Source: Columbia Threadneedle Investments. Cash includes investments in a money market fund as well as adjustments to cash such as accruals. Figures may not add up to 100% due to rounding.

31.0M 791FUND SIZE: £NUMBER OF ASSETS HELDBY UNDERLYING FUNDS:

Portfolio breakdown

A CLOSER LOOK AT THE PORTFOLIO



Source: Columbia Threadneedle Investments as at 30 June 2020

Fund holdings

Underlying fund % of Fund Asset Value

Threadneedle Sterling Short-Term Money Market Fund 0.05%

Threadneedle UK Equity Income Fund 0.09%

Threadneedle UK Smaller Companies Fund 0.26%

Cash & Money Markets 0.35%

Threadneedle UK Select Fund 1.57%

Threadneedle Japan Fund 2.85%

Threadneedle European Fund 3.55%

Threadneedle Sterling Medium and Long-Dated Corporate Bond Fun 3.89%

Threadneedle Global Bond Fund 6.99%

Threadneedle UK Corporate Bond Fund 8.65%

Threadneedle American Fund 11.55%

Threadneedle UK Fund 16.68%

Threadneedle UK Fixed Interest Fund 19.74%

Threadneedle Sterling Bond Fund 23.83%


A CLOSER LOOK AT THE PORTFOLIO (CONTINUED)


DEFINITIONS

BondsThese are like loans to governments/companies in return for a fixed rate of interest.

Capital growthThe increase in value of your original investment.

Columbia Threadneedle Investments (CTI)Appointed Investment Manager of the Horizon Multi-Asset Fund range.

Corporate BondA debt security issued by a company and sold to investors, in order to raise financing for a variety of reasons such as ongoing operations, M&A, or to expand the business.

EquitiesAnother name for company shares.

Emerging marketsCountries with less developed financial markets and generally considered riskier than investing in developed markets.

EValueA risk profiling service provider, who provide the strategic asset allocations against which the Horizon Multi-Asset Fund range is managed.

GiltsA bond issued by the UK government.

High yield bondsA corporate bond that provides a higher income, (or yield) but is rated below investment grade bonds as it has a higher risk of default.

Investment Association (IA)The IA is the trade association that represents the UK investment management industry.

Top 10 exposures to investments held by the underlying Columbia Threadneedle funds

Source: Columbia Threadneedle Investments as at 30 June 2020. The data is based on the position sizes within the underlying Threadneedle funds, divided by the value of the Horizon fund’s portfolio of investments.

Asset Exposure (%)

UK Treasury 3.75% 9/7/2020 4.04

UK Treasury 1.75% 1/22/2049 3.91

UK Treasury 4.5% 9/7/2034 3.72

UK Gilt 1.5% 1/22/2021 3.32

UK Gilt 1.75% 9/7/2037 3.32

UK Treasury 3.25% 1/22/2044 2.93

UK Treasury 1.25% 10/22/2041 2.75

UK Treasury 0.125% 1/30/2026 2.60

UK Treasury 0.375% 10/22/2030 2.20

UK Treasury 0.5 10/22/2061 1.73



Source: Columbia Threadneedle Investments as at 30 June 2020

Fund holdings

Underlying fund % of Fund Asset Value

Threadneedle Sterling Short-Term Money Market Fund 0.05%

Threadneedle UK Equity Income Fund 0.09%

Threadneedle UK Smaller Companies Fund 0.26%

Cash & Money Markets 0.35%

Threadneedle UK Select Fund 1.57%

Threadneedle Japan Fund 2.85%

Threadneedle European Fund 3.55%

Threadneedle Sterling Medium and Long-Dated Corporate Bond Fun 3.89%

Threadneedle Global Bond Fund 6.99%

Threadneedle UK Corporate Bond Fund 8.65%

Threadneedle American Fund 11.55%

Threadneedle UK Fund 16.68%

Threadneedle UK Fixed Interest Fund 19.74%

Threadneedle Sterling Bond Fund 23.83%


A CLOSER LOOK AT THE PORTFOLIO (CONTINUED)


DEFINITIONS

BondsThese are like loans to governments/companies in return for a fixed rate of interest.

Capital growthThe increase in value of your original investment.

Columbia Threadneedle Investments (CTI)Appointed Investment Manager of the Horizon Multi-Asset Fund range.

Corporate BondA debt security issued by a company and sold to investors, in order to raise financing for a variety of reasons such as ongoing operations, M&A, or to expand the business.

EquitiesAnother name for company shares.

Emerging marketsCountries with less developed financial markets and generally considered riskier than investing in developed markets.

EValueA risk profiling service provider, who provide the strategic asset allocations against which the Horizon Multi-Asset Fund range is managed.

GiltsA bond issued by the UK government.

High yield bondsA corporate bond that provides a higher income, (or yield) but is rated below investment grade bonds as it has a higher risk of default.

Investment Association (IA)The IA is the trade association that represents the UK investment management industry.

IA sectorsTo help with comparisons between the thousands of funds available, they are categorised into different groups, or sectors, which are organised and reviewed by the Investment Association (IA).

IA Flexible Investment sectorFunds in this sector are expected to have a range of different investments. However, the fund manager has significant flexibility over what to invest in. There is no minimum or maximum requirement for investment in company shares (equities) and there is scope for funds to have a high proportion of shares.

IA Mixed investment 20-60% sectorFunds in this sector are required to have a range of different investments. The fund must have between 20% and 60% invested in company shares (equities). At least 30% of the fund must be in fixed income investments (for example, corporate and government bonds) and/or “cash” investments. “Cash” can include investments such as current account cash, short-term fixed income investments and certificates of deposit.

IA Mixed Investment 40-85% sectorFunds in this sector are required to have a range of different investments. However, there is scope for funds to have a high proportion in company shares (equities). The fund must have between 40% and 85% invested in company shares.

Investment grade bondA bond which is considered relatively safe and unlikely to default on its debt repayment obligations, and has therefore been assigned a high credit rating.

Investment ManagerEmbark has appointed Columbia Threadneedle Investments (CTI) to be the Investment Manager of the Horizon Multi-Asset Fund range.

OverweightWhen a fund holds a greater percentage of a particular asset compared to the asset’s percentage of, or weight in, the fund’s strategic asset allocation.

Strategic asset allocationsThe strategic asset allocation of the Horizon Multi-Asset Fund range is provided by EValue. This is a risk-profiled asset allocation, which is then implemented by the investment manager.

Tactical Asset AllocationAs opposed to the ‘strategic asset allocation’ supplied by EValue, the tactical asset allocation refers to overweight and underweight positions relative to the strategic asset allocation. These decisions are made by the investment manager, Columbia Threadneedle Investments (CTI).

TiltAnother word to describe a tactical asset allocation overweight or underweight.

UnderweightConversely to ‘overweight’, underweight refers to a situation where a fund holds a smaller percentage of a particular asset than the asset’s percentage of, or weight in, the fund’s strategic asset allocation.

Top 10 exposures to investments held by the underlying Columbia Threadneedle funds

Source: Columbia Threadneedle Investments as at 30 June 2020. The data is based on the position sizes within the underlying Threadneedle funds, divided by the value of the Horizon fund’s portfolio of investments.

Asset Exposure (%)

UK Treasury 3.75% 9/7/2020 4.04

UK Treasury 1.75% 1/22/2049 3.91

UK Treasury 4.5% 9/7/2034 3.72

UK Gilt 1.5% 1/22/2021 3.32

UK Gilt 1.75% 9/7/2037 3.32

UK Treasury 3.25% 1/22/2044 2.93

UK Treasury 1.25% 10/22/2041 2.75

UK Treasury 0.125% 1/30/2026 2.60

UK Treasury 0.375% 10/22/2030 2.20

UK Treasury 0.5 10/22/2061 1.73


EMB-NP722408001 (08/20) CMS

Important legal information

Thisdocumentisforusebyprofessionalfinancialadvisersonlyand is not to be distributed to retail clients.

Nothing contained within this document should be construed as the givingofinvestmentadviceorarecommendationtoinvestoranoffer to buy or sell shares.

Please note that past performance is not necessarily a guide to future performance and the value of investments (and any income from them) can go down, so an investor may get back less than the amount invested. No guarantee is given for the performance of the fund.

The tax position of the fund will depend on the personal circumstances of the investor and tax rules may change in the future.

On 1 May 2020 Zurich Investment Services (UK) Limited and its fund range were acquired by the Embark Group. Zurich Investment Services (UK) Limited was subsequently renamed Embark Investments Limited and the name of the Zurich Horizon Investment Funds ICVC changed to Embark Investment Funds ICVC. For the most up to date information on the Embark Investments Limited range of funds, please refer to the relevant fund and share class Key Investor Information Document (KIID), the Supplementary Information Document, the Annual or Interim Short Reports and the Prospectus.

The information in this document is not directed at any US Person. The fund has not been registered under the United States’ Securities Actof1933,andisnotofferedandmaynotbesoldintheUnitedStatesor to US citizens and residents.

On 1 May 2020, the name of the Authorised Corporate Director was changedtoEmbarkInvestmentsLimitedwithregisteredoffice:7thFloor, 100 Cannon Street, London EC4N 6EU. This document is issued by Sterling ISA Managers Limited. Sterling ISA Managers Limited is authorised and regulated by the Financial Conduct Authority. Registered in England and Wales under company number 02395416. Registered Office:100CannonStreet,London,EC4N6EU.


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