2

industry and market

3

the global etp inflow ytd

september

2014

$190BN global etp cumulative flow

Source: BlackRock | ETP Landscape

4

global etp assets

september

2014

$2.6TN global etp assets and products

Source: BlackRock | ETP Landscape

south african active equity managers how are they doing against the ALSI (SWIX)?

85% 11 out of 13

1995

63% 10 out of 16

1996

82% 14 out of 17

1997

33% 7 out of 21

1998

4% 1 out of 28

1999

23% 7 out of 31

2000

30% 19 out of 63 (40%)

2007

11% 6 out of 55 (33%)

2006

6% 3 out of 47 (13%)

2005

95% 42 out of 44 (75%)

2004

90% 38 out of 42

2003

90% 36 out of 40

2002

19% 7 out of 37

2001

51% 37 out of 73 (37%)

2008

19% 15 out of 78 (31%)

2009

38% 31 out of 82 (24%)

2010

58% 50 out of 86 (38%)

2011

19% 18 out of 97 (12%)

2012

40% 42 out of 104 (49%)

2013

?% ? out of ? (?)

2014

Data source: Morningstar

17% of general equity managers are outperforming the SWIX over a 10 year basis;

21% are outperforming the ALSI June 2014

6

evolution of the cluster

7

investment core

8

11.0

2.6

1.6

4.0 3.5

13.6

4.0

2.0

6.1

3.5

16.4

5.0

2.8

12.4

0.2

4.0

0.0

2.0

4.0

6.0

8.0

10.0

12.0

14.0

16.0

18.0

Vanilla Smart Beta Sector Offshore Africa Enhanced

Dec 11

Dec 12

Dec 13

R22.7bn

R29.2bn

R40.8bn

assets under management

Note: SWIX from 208m in 2012 (end) to 1.1bn in 2013 (end)

9

vanilla products

Tracker Product Unit

Trust ETF Seg.

Alsi 40

Swix 40

All Share

Swix

Property

All Bond

April 2014

10

sector products

Tracker Product Unit

Trust ETF Seg.

Fini 15

Indi 25

Resi 10

April 2014

11

smart beta products

Tracker Product Unit

Trust ETF Seg.

Dividend Plus

Equally Weighted Top 40

Rafi 40

Momentum

Balanced

Balanced low equity

12

international products

Tracker Product Unit

Trust AUM

World Equity R3.8bn

North American Equity R4.6bn

UK Equity R370m

Europe (excl. UK) Equity R690m

Emerging Markets Equity R400m

Pan Africa (excl. SA Equity) R155m

April 2014

13

Pricing

“Passive Investment Management,

which is significantly cheaper and

not demonstrably inferior to active

management over the long term, is

under-utilised in South Africa”

Strengthening Retirement Savings

National Treasury - 2012

16

satrix philosophy

our philosophy

Understanding the source and nature of all risks one is

exposed to provides a clearer line of sight into the extent

and character of the salvageable premium on offer. The

marriage between this and sound risk management

practice and discipline is pivotal in reaching one’s

investment objectives.

18

what is driving total return?

70's 80's 90's 2000 2010 +

market

beta

β

pure

alpha

α

α

β β β

smart

beta

β+

β+ β+

95% of total mutual fund performance is explained by market beta + smart beta Li & Qu; Financial Product Differentiation over the State Space in the Mutual Fund Industry (2010)

total

return

α α

19

smart beta defined | philosophy

20

Hiport

DSS (Excel API)

Barra Portfolio

Manager

E-Gen

DSS (Excel API)

Barra Portfolio

Manager

Custom Matlab

Applications

E-Gen

DSS (Excel API)

Barra Portfolio

Manager

Decalog /

Neutron /

Hermes /

Bloomberg Statpro

Barra Portfolio

Manager

investment process

Performance monitoring

•Portfolio management duty

•Assisted by a dedicated performance team

•Daily discipline

•Full Attribution

•Re-evaluation of assumptions and risk model (optimisation)

Portfolio management

•Trading

•Liquidity / turnover

•Implementation accuracy

•Monitor trade execution

•Risk analytic

•Absolute and relative risk

•Contributors and detractors

•Factor style diagnostic

Index Reconstruction

•Index rebalancing

•Quarterly

•Dividend flow

•Rights issues

•Other corporate actions

•Optimisation

•Alpha signals

•Risk model

Data

management •Cashflow notification •Index notification

•Re-evaluation of alpha signals

•Risk landscape

•Portfolio / benchmark positions

21

satrix smartcore

what is a factor?

A factor is a unique,

systematic risk or theme

that is common to a subset

of securities on a capital

market for which it is

well evidenced and

reasoned that a

compensating return

premium is available.

23

smartcore | domestic product factor range

New

harvesting factors

25

satrix momentum fund

26

price behaviour

the propensity for securities

to exhibit persistence in their

price behaviour

What underpins the satrix momentum factor?

earnings revisions /

surprises

analysts / the sell side do

have a significant impact on

the local equity capital

market

philosophy | why does this factor premiums exist?

academic theory is conclusive, it exists: Jegadeesh and Titman

(1993), Fama and French (2008)

market systematically underestimates earnings due to the macro

factor risk and then sharply rerates when confirmed by analysts

and macro risks abate (Novy Marks)

… / process

27

explaining momentum

28

stock is cheap on value screen

value investor buys

explaining momentum

momentum signal positive

momentum investor buys

momentum signal negative

momentum investor sells

stock is expensive

value investor sells

29

return to

value

investor

explaining momentum

30

return to

momentum

investor

explaining momentum

31

style correlations (rank) | momentum factor

-0.30

-0.25

-0.20

-0.15

-0.10

-0.05

0.00

0.05

0.10

0.15

Jan 0

0

Ju

l 00

Ja

n 0

1

Ju

l 01

Ja

n 0

2

Ju

l 02

Ja

n 0

3

Ju

l 03

Ja

n 0

4

Ju

l 04

Ja

n 0

5

Ju

l 05

Ja

n 0

6

Ju

l 06

Ja

n 0

7

Ju

l 07

Ja

n 0

8

Jul 08

Ja

n 0

9

Ju

l 09

Ja

n 1

0

Ju

l 10

Ja

n 1

1

Ju

l 11

Ja

n 1

2

Ju

l 12

Ja

n 1

3

Ju

l 13

Book to Price Log Market Cap Volatility Dividends to Price Ratio

Source: S&P

32

portfolio characteristics

33

scores from momentum model

rebalanced monthly

strict turnover constraints

no fundamental overlay

continuous monitoring

benchmark SWIX

active risk 4

turnover around 100% p.a.

2% sector risk limits

3% stock bet limit

process

34

performance and risk

35

momentum | hotspot | swix | oct 2014

36

performance | momentum factor | sept 2014

-25%

-15%

-5%

5%

15%

25%

35%

45%

-40%

-20%

0%

20%

40%

60%

80%

Jan-02 May-03 Sep-04 Jan-06 May-07 Sep-08 Jan-10 May-11 Sep-12 Jan-14

SWIX Rolling 12 month (LHS) Monthly excess returns (RHS)

Rolling 12 months excess (RHS)

37

annualised performance portfolio benchmark excess

3 months 1.5% -0.5% 2.0%

YTD 13.3% 11.2% 2.0%

12 months 21.9% 17.9% 4.0%

24 months 28.1% 21.6% 6.5%

36 months 29.9% 23.3% 6.5%

since inception (50 months) 24.9% 19.0% 5.9%

… including backtest

5 years 24.5% 18.9% 5.6%

7 years 15.2% 12.0% 3.1%

10 years 24.0% 19.6% 4.5%

portfolio performance | sept 2014

38

satrix dividend + fund

39

annualised performance portfolio swix alsi

3 months -2.1% -0.5% -2.1%

ytd 2.2% 11.2% 9.4%

1 year 7.0% 18.0% 15.4%

3 years 14.6% 23.3% 22.2%

dividend+ | performance | sept 2014

40

high yield investment strategy

top 30 stocks with the highest forward

dividend yield

rebalance semi-annually

large cap + mid cap - property

what underpins the dividend + factor?

41 41

the dna of the fund remains true to label

fundamental view style exposure view

0

2

4

6

8

10

12

14

Nov 2008Nov 2009Nov 2010Nov 2011Nov 2012

Rolling One Year Index Dividend

Yield

RESI INDI FINI PREF

SAPY DIVI DTOP

SIMDIF 4.8% 5.0% 4.9% 4.6% 4.7% 4.6%

ALSI 3.1% 3.2% 3.2% 2.9% 2.8% 2.9%

SIMDIF 4.8% 5.0% 5.0% 4.5% 4.8% 4.9%

ALSI 3.0% 3.1% 2.9% 2.7% 3.1% 3.1%

historic dy

forward dy

-0.60

-0.40

-0.20

0.00

0.20

0.40

0.60

0.80

1.00

Jan-13 May-13 Sep-13 Jan-14

Active factor exposure relative to ALSI

Size

Momentum

Trading Activity

Market Variability

Foreign Exposure

Yield

Growth

Value

Financial Leverage

Market Sensitivity

Primary ForeignListing

-0.60

-0.40

-0.20

0.00

0.20

0.40

0.60

0.80

1.00

Jan-13 May-13 Sep-13 Jan-14

Active factor exposure relative to SWIX Size

Momentum

Trading Activity

Market Variability

Foreign Exposure

Yield

Growth

Value

Financial Leverage

Market Sensitivity

Primary ForeignListing

3/12 6/12 9/12 2/12 3/12 5/12

3/12 6/12 9/12 12/12 3/12 5/12

42 42

dividend+ | performance | sept 2014

-25%

-15%

-5%

5%

15%

25%

35%

45%

-40%

-20%

0%

20%

40%

60%

80%

Jan-04 Feb-05 Mar-06 Apr-07 May-08 Jun-09 Jul-10 Aug-11 Sep-12 Oct-13

SWIX Rolling 12 month (LHS) Monthly excess returns (RHS)

Rolling 12 months excess (RHS)

43 43

dividend+ | hotspot | alsi | oct 2014

44 44

dividend+ | hotspot | swix | oct 2014

45

satrix balanced fund

46

DISCLOSURE OF SIMULATED DATA USED IN PERFORMANCE CHARTS

AND TABLES

The performance information presented in certain charts

or tables represent back tested performance based on a

combination of simulated index data and actual data for

the Satrix unit trusts. However, for comparison

purposes and/or portfolio construction where various

unit trusts were included in charts or tables, the

actual unit trust returns were used.

Clients should note that simulated data is not an

indication of future performance, and may differ to the

actual performance.

47

93.60% 88%

81.40% 76.60%

69.70%

91.50%

4.60% 1.80%

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

1974-1983 1993-1997 1988-1998 1962-2001 Bear Markets 1978-1987 1978-1987 1978-1987

PensionFunds (91)

PensionFunds (58)

U.S. Balancedmutual funds

(94)

U.S. Balancedmutual funds

(507)

U.S. Balancedmutual funds

(68)

StrategicAsset

Allocation

Stock Picking Tactical AssetAllocation

Strategic Asset Allocation contributes more to long-term returns

Source: Vanguard Investment, Brinson et al 1991.

48

55%

8%

6%

5%

6%

15%

5%

Domestic Cash

Domestic Property

Domestic ILB

International Bonds

International Equity

Domestic Bonds

Domestic Equity

Divi +

Equally

Weighted

Momentum

Equal

Weighted

FUND DESIGN: STRATEGIC ASSET ALLOCATION

49

Smart Beta Rationale: Equity Building Block

STRATEGY INDEX EXPLAINED BIAS

DIVIDEND

PLUS

• 30 high dividend yielding companies within the universe of Top 40 and Mid Cap Index

• Expected to pay the best normal dividends over the forthcoming year

• Fund will have a low correlation with other indices on the JSE

Value

EQUALLY

WEIGHTED

TOP 40

• Top 40 Equally Weighted Index represents the 40 largest, most liquid shares listed on JSE

• Equal weighting methodology offers a more balanced exposure to all companies

Size

MOMENTUM

• Momentum is a composite of price and earnings momentum as measured by analyst revisions.

• Fund is negatively correlated to value investing

• Momentum Fund designed to be:

• Risk Controlled;

• Consistent and True to Label

• Robust blend of price and earnings momentum styles

Momentum

50

Returns to 31 December 2013 | Source: MoneyMate and SIM | Back-tested

,pro forma

-60.00%

-40.00%

-20.00%

0.00%

20.00%

40.00%

60.00%

80.00%

Jun-

03

Dec

-03

Jun-

04

Dec

-04

Jun-

05

Dec

-05

Jun-

06

Dec

-06

Jun-

07

Dec

-07

Jun-

08

Dec

-08

Jun-

09

Dec

-09

Jun-

10

Dec

-10

Jun-

11

Dec

-11

Jun-

12

Dec

-12

Jun-

13

Dec

-13

ALSI Balanced Equity Carve-Out

Rolling

1 Year

Balanced Equity

Carve-Out ALSI Active

Feb 09 -29.03% -37.59% 8.56%

Oct 08 -25.82% -30.87% 5.04%

Nov 08 -23.07% -27.68% 4.61%

Relative Protection – Rolling 1 year

Equity Building Block vs ALSI

51

Returns to 31 December 2013 | Source: MoneyMate and SIM | Back-tested ,pro forma

returns

0.00%

5.00%

10.00%

15.00%

20.00%

25.00%

30.00%

35.00%

40.00%

Jun-

07

Sep-

07

Dec-

07

Mar

-08

Jun-

08

Sep-

08

Dec-

08

Mar

-09

Jun-

09

Sep-

09

Dec-

09

Mar

-10

Jun-

10

Sep-

10

Dec-

10

Mar

-11

Jun-

11

Sep-

11

Dec-

11

Mar

-12

Jun-

12

Sep-

12

Dec-

12

Mar

-13

Jun-

13

Sep-

13

Dec-

13

ALSI Balanced Equity Carve-Out

CONSISTENT

Outperformance over

ALL rolling 5 year

periods

Consistent Outperformance – Rolling 5 year

Equity Building Block vs ALSI

Domestic

Cash

Domestic

Ilbs

International

Bonds

DIVI PLUS

Intern.

Equity

Domestic

Property

Dom.

Bonds

Now add other asset

classes

53

0.00%

5.00%

10.00%

15.00%

20.00%

25.00%

30.00%

35.00%

40.00%

2005

/09/

01

2006

/01/

01

2006

/05/

01

2006

/09/

01

2007

/01/

01

2007

/05/

01

2007

/09/

01

2008

/01/

01

2008

/05/

01

2008

/09/

01

2009

/01/

01

2009

/05/

01

2009

/09/

01

2010

/01/

01

2010

/05/

01

2010

/09/

01

2011

/01/

01

2011

/05/

01

2011

/09/

01

2012

/01/

01

2012

/05/

01

2012

/09/

01

2013

/01/

01

2013

/05/

01

2013

/09/

01

2014

/01/

01

Satrix Balanced Index Fund SA - Multi Asset - High Equity

Returns to 31 December 2013 | Source: MoneyMate and SIM | Back-tested

,pro forma ret.

Average

Outperformance

of 3.1%

annualised

Rolling 3 years

CONSISTENT

Outperformance over

ALL rolling 3 year

periods

Satrix Balanced vs Average Balanced

Manager

54

0.00%

5.00%

10.00%

15.00%

20.00%

25.00%

30.00%

2007

/09/

01

2007

/12/

01

2008

/03/

01

2008

/06/

01

2008

/09/

01

2008

/12/

01

2009

/03/

01

2009

/06/

01

2009

/09/

01

2009

/12/

01

2010

/03/

01

2010

/06/

01

2010

/09/

01

2010

/12/

01

2011

/03/

01

2011

/06/

01

2011

/09/

01

2011

/12/

01

2012

/03/

01

2012

/06/

01

2012

/09/

01

2012

/12/

01

2013

/03/

01

2013

/06/

01

2013

/09/

01

2013

/12/

01

Satrix Balanced Index Fund SA - Multi Asset - High Equity

Returns to 31 December 2013 | Source: MoneyMate and SIM | Back-tested

,pro forma ret.

Average

Outperformance of

2.8% annualised

Rolling 5 years

CONSISTENT

Outperformance over ALL

rolling 5 year periods

Satrix Balanced vs Average Balanced Manager

55

Name 2013 QR 2012 QR 2011 QR 2010 QR 2009 QR 2008 QR

Satrix Balanced

Index Fund 17.56% 3 24.27% 1 9.82% 1 16.15% 1 19.31% 1 -8.65% 2

Prudential

Balanced Fund 24.03% 1 20.72% 1 6.64% 2 13.45% 2 18.64% 2 -10.35% 3

Cadiz Managed

Flexible Fund 15.46% 3 18.96% 1 5.65% 3 17.64% 1 22.43% 1 -11.53% 3

Momentum

Balanced Fund 19.09% 2 18.93% 1 6.36% 2 9.89% 4 21.61% 1 -12.21% 3

Old Mutual

Balanced Fund 20.03% 2 18.12% 2 6.83% 2 12.69% 2 18.39% 2 -14.44% 4

SA - Multi Asset

High Equity 18.01% /133 15.95% /117 5.83% /104 11.68% /84 15.80% /77 -8.46% /72

Returns to 31 December 2013 | Source: MoneyMate and SIM | Back-tested ,pro forma ret.

CONSISTENT

Outperformance of Category and

BM cognisant managers

Satrix Balanced vs Benchmark Cognisant Managers

56

Returns highlighted in red, the fund has underperformed

Satrix Balanced

Returns to 31 December 2013 | Source: MoneyMate and SIM | Back-tested

,pro forma ret.

Calendar

Year

Allan Gray

Balanced

Coronation

Balanced Plus

Foord

Balanced

Satrix Balanced

2003 23.29% 17.68% 13.98% 17.48%

2004 23.38% 32.01% 22.59% 26.72%

2005 36.47% 35.02% 43.75% 32.78%

2006 30.26% 30.48% 32.39% 30.87%

2007 13.24% 13.09% 10.56% 13.04%

2008 -1.82% -8.19% -7.23% -8.65%

2009 13.89% 23.00% 17.05% 19.31%

2010 10.41% 15.43% 15.54% 16.15%

2011 11.83% 6.77% 9.41% 9.82%

2012 13.32% 20.07% 21.91% 24.27%

2013 23.72% 25.60% 22.01% 17.56%

Cyclicality of Returns – Calendar Year Performance

Balanced Manager Selection

57

Calendar

Year

Allan Gray

Balanced

Coronation

Balanced Plus

Foord

Balanced

2003 5.81% 0.21% -3.50%

2004 -3.35% 5.29% -4.13%

2005 3.69% 2.24% 10.97%

2006 -0.61% -0.39% 1.53%

2007 0.19% 0.04% -2.49%

2008 6.83% 0.47% 1.43%

2009 -5.43% 3.69% -2.26%

2010 -5.74% -0.72% -0.61%

2011 2.01% -3.06% -0.41%

2012 -10.94% -4.20% -2.36%

2013 6.16% 8.04% 4.45%

Cyclicality around

investment processes

causes

underperformance

Returns to 31 December 2013 | Source:

MoneyMate and SIM | Back-tested ,pro

forma ret.

Cyclicality around investment

processes causes

underperformance

Cyclicality of Returns – Calendar Year Performance relative to Satrix Balanced

Balanced Manager Selection

58

TER Date to 31 December 2013 | Source: ASISA

Fund TER Current Proposed

Allan Gray Balanced 1.71% 33.3% 25.0%

Coronation Balanced Plus 1.65% 33.3% 25.0%

Foord Balanced 1.73% 33.4% 25.0%

Satrix Balanced 0.30% 0.0% 25.0%

Estimated Portfolio TER 1.70% 1.34%

Satrix Balanced: Active/Passive Blend

59

TER Date to

31 December

2013

Source: ASISA

relative

to peer

group

outperformance

underperformance

Balanced

Composite A

(Passive +

Active)

Balanced

Composite B

(Top 3)

Multi-Asset

High Equity

Average

Active Return

(Composite A)

Active Return

(Composite B)

2003 18.09% 18.34% 17.53% 0.56% 0.81%

2004 26.17% 25.95% 28.09% -1.92% -2.14%

2005 36.98% 38.38% 26.76% 10.22% 11.62%

2006 31.03% 31.08% 24.39% 6.64% 6.69%

2007 12.52% 12.35% 12.48% 0.04% -0.13%

2008 -6.46% -5.68% -8.58% 2.12% 2.90%

2009 18.32% 17.94% 15.77% 2.55% 2.17%

2010 14.40% 13.78% 11.44% 2.96% 2.34%

2011 9.46% 9.35% 5.71% 3.75% 3.64%

2012 19.84% 18.34% 16.01% 3.83% 2.33%

2013 22.22% 23.79% 17.72% 4.50% 6.07%

Calendar Year Analysis for Composites

Diversification

Lower fees

Consistency

No performance compromise

Satrix Balanced: The real value …

…/ Low Equity

61

msci world tracker

62 62

msci world | tracking approach

• index methodology

• The MSCI World index is a market-cap weighted index that aims to measure

the equity performance of developed markets throughout the world. With

1 612 constituents, the index covers approximately 85% of the free float-

adjusted market capitalization in each country (23 countries).

• The index is reviewed quarterly—in February, May, August and November—

with the objective of reflecting change in the underlying equity.

• optimisation strategy using barra risk model

• +/- 800 stocks and etf’s

• Understanding index construction rules.

• Monitoring & managing Corporate Actions and their effect on the portfolio.

• Trading and Broker network – use Barclays, CITI, Merrill's etc.

• Cash flows – cash flows are managed using a representative combination of I-

Shares to reduce trading costs.

• Fund may hold up to 10% of total fund market value in I-Shares

• ex-ante active risk: 17 bps

63 63

SATRIX MSCI WORLD EQUITY FEEDER FUND

• Management Style

• The fund uses optimisation, sampling and derivative instruments to track

the MSCI World Index.

• As at August 2014, holds 862 constituents vs. 1615 in the MSCI World

Index.

• Tracking Error

• Average annualised tracking error of 0.68% since inception measured over

3-year periods.

• Maximum annualised tracking error of 1.28% attained in July 2007.

• Annualised 3-year tracking error as at September 2014: 0.41%

LOW TRACKING ERROR IN VOLATILE MARKET CONDITIONS

Source: Morningstar, SI; updated to 30 September 2014.

0%

5%

10%

15%

20%

25%

30%

0.00%

0.50%

1.00%

1.50%

2.00%

2.50%

3.00%

Jul 0

7Se

p 0

7N

ov

07

Jan

08

Mar

08

May

08

Jul 0

8Se

p 0

8N

ov

08

Jan

09

Mar

09

May

09

Jul 0

9Se

p 0

9N

ov

09

Jan

10

Mar

10

May

10

Jul 1

0Se

p 1

0N

ov

10

Jan

11

Mar

11

May

11

Jul 1

1Se

p 1

1N

ov

11

Jan

12

Mar

12

May

12

Jul 1

2Se

p 1

2N

ov

12

Jan

13

Mar

13

May

13

Jul 1

3Se

p 1

3N

ov

13

Jan

14

Mar

14

May

14

Jul 1

4Se

p 1

4

Vo

lati

lity

of

MSC

I Wo

rld

Ind

ex

3 Y

ear

Tra

ckin

g Er

ror

(an

nu

alis

ed

)

Sanlam World Equity Tracker MSCI World Index (USD)

65 65

annualised performance portfolio benchmark excess

3 months -2.1% -2.2% 0.1%

ytd 4.1% 3.9% 0.2%

1 year 12.4% 12.2% 0.2%

3 years 17.8% 17.9% -0.1%

5 years 10.7% 10.9% -0.1%

msci portfolio performance (usd) | sep 2014

Performance figures are provided by Sanlam International Investments.

All fund figures are gross of investment management fees and reported in USD.

1y attribution

• aggregate residual effect +24bps

• allocation -7bps, selection +54bps, market timing -2bps, currency -11bps

• return adjustment -10bps

• trading effect -1bps

66 66 PERFORMANCE CONSISTENTLY ABOVE THE AVE

GLOBAL GENERAL EQUITY MANAGER IN SA

Source: Morningstar, SI; updated September 2014.

-5.00%

0.00%

5.00%

10.00%

15.00%

20.00%

25.00%

Jun

07

Au

g 0

7

Oct

07

De

c 0

7

Feb

08

Ap

r 0

8

Jun

08

Au

g 0

8

Oct

08

De

c 0

8

Feb

09

Ap

r 0

9

Jun

09

Au

g 0

9

Oct

09

De

c 0

9

Feb

10

Ap

r 1

0

Jun

10

Au

g 1

0

Oct

10

De

c 1

0

Feb

11

Ap

r 1

1

Jun

11

Au

g 1

1

Oct

11

De

c 1

1

Feb

12

Ap

r 1

2

Jun

12

Au

g 1

2

Oct

12

De

c 1

2

Feb

13

Ap

r 1

3

Jun

13

Au

g 1

3

Oct

13

De

c 1

3

Feb

14

Ap

r 1

4

Jun

14

Au

g 1

4

5-Y

ear

Ro

llin

g R

etu

rn

25th Percentile 50th Percentile 75th Percentile 90th Percentile Satrix MSCI World Equity Index Feeder Fund

67

blending active and passive

68

how will we define benchmarks in

future?

how is my risk budget defined?

how do I want to spend my risk

budget?

what is the risk character of my

active versus passive blend?

am I happy with my intended and

unintended risk / style factor

exposures?

portfolio construction | philosophy

Active Process

organisation and people

philosophy and process

is the manager skilful?

Is the ‘alpha’ signature

‘significant’ and ‘predictable’ given

varying environments?

pricing, turnover and transaction

costs

‘Passive’ Process

coverage

investability and liquidity

pricing, turnover and transaction cost

index construction rules

69

process | lets apply the logic | momentum & div+

“my risk budget is defined in the relative space and

tracking error is important. I would like to consider

different combinations of the two factors and understand

how my tracking error is spent.”

3.89

2.35 1.46 1.05

0.41 -0.16 0

0

0.5 1.43 1.97 3.04

5.29

7.17

-1

0

1

2

3

4

5

6

7

8

100 /

0

75 /

25

65 /

35

60 /

40

50 /

50

25 /

75

0 /

100

tracking error

(ex- ante)

momentum weight / div+ weight variations

active risk (tracking error)

contribution

ex ante

Div+

Mom

…then add other portfolio

construction process

pillars

1) + targeted active risk

level (+ vanilla passive)

2) + factor / risk diagnostic

3) + active manager skill

4) + fundamental and

qualitative value

70

The SATRIX

Advantage

Most experienced

team in the market Only player objective on

ETF | UT | Segregated

Portfolio Construction

and Risk Management

Growing business

in established

investment core

Market understanding

and relationship

World class systems,

dealing & compliance

Representation on

FTSE/JSE

advisory committee

Driven by passion Leverage off top

fundamental team