Threadneedle Dynamic Real Return Fund

Retirement Advantage – The Drawdown Strategies Conference

For professional investors only

October - November 2017

RETIREMENT ADVANTAGE ADVISER EVENT

All content in this presentation is the copyright of Columbia Threadneedle Investments.

Although the content is freely available, it is not in the public domain. This presentation may

not be reproduced, copied or published in any form, in print or electronically, in whole or in

part, or passed on to any third party, without the express written permission of Columbia

Threadneedle Investments.

Learning objectives

Understand the investment approach adopted by

Columbia Threadneedle Investments from a Multi Asset

perspective1

Learn more about Columbia Threadneedle

Investments’ views on the key factors to consider in

post-retirement solutions2

Gain an insight into the investment process, current

positioning and performance of the Dynamic Real

Return Fund 3

2

Columbia Threadneedle Investments

RETIREMENT ADVANTAGE ADVISER EVENT

Columbia Threadneedle InvestmentsAsset allocation is central to our business

4

All data is for the Columbia and Threadneedle group of companies as at 30 June 2017.

1 AUM includes externally managed funds under administration as well as all assets managed on a discretionary or non-discretionary basis by the entities in the Columbia and Threadneedle group of

companies.

An established global asset management

group

AUM of £364.1 billion

Offices in 19 countries

Over 450 investment professionals and over

2,000 people

Focus is active management of client assets

£106.1 billion AUM in asset allocation

strategies

Offers a broad spectrum of capabilities

Equities

Fixed Income

Alternatives

Asset Allocation

Investment Solutions

Part of Ameriprise Financial, Inc.

Assets under management1

Asset allocation

strategies

29.2%

Other

70.8%

AUM – institutional vs. wholesale

Wholesale59%

Institutional41%

Equities53%

Fixed Income

39%

Alternatives8%

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Key client investment considerations

post-retirement

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Client considerations post- retirement

6

Longevity InflationRisk /

volatility

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Longevity

7

Source: https://www.moneyadviceservice.org.uk/en/retirement-income-options/income-drawdown#health-and-longevity ; ONS Data, 2014.

RETIREMENT ADVANTAGE ADVISER EVENT

Impact of Inflation over time

8

1985 2017 % change

£0.26 250%

1st class

stamp

Pint of milk

Mars bar

Loaf of bread

£0.17 £0.65 382%

£0.23 £0.43 187%

£0.65

£0.40 £1.00 250%

Source: pensionsworld.co.uk “40 years of UK price rises – the devastating effect of inflation”, 13 October 2014

RETIREMENT ADVANTAGE ADVISER EVENT

In accumulation the sequence of returns does not

matter…

9

Annual

returns

0

100,000

200,000

300,000

400,000

500,000

600,000

700,000

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19

£

Year

£100,000 invested – IA UK Equity Income

2007-1990 1990-2007

£427,313

… the investor ends up at the same place at the end of

the period

This is for illustrative purposes only. Past performance is not a guide to future performance

RETIREMENT ADVANTAGE ADVISER EVENT

In decumulation the sequence of returns matters…

10

Annual

returns

£108,455

£57,419

For illustrative purposes only. Past performance is not a guide to future performance, UK Stocks is FTSE 100 and Multi Asset portfolio is mix of 45% MSCI World, 45% Barclays Global and 10% UK

property. Source Bloomberg 31 August 2017

RETIREMENT ADVANTAGE ADVISER EVENT

… as does diversification

-

20,000

40,000

60,000

80,000

100,000

120,000

140,000

Dec-00 Dec-02 Dec-04 Dec-06 Dec-08 Dec-10 Dec-12 Dec-14 Dec-16

Po

t siz

e

£100,000 invested, taking 5% withdrawal each year Capital Return – FTSE 100 and Multi Asset Portfolio

Multi Asset UK Stocks

Client considerations in pre- and post- retirement

11

RETIREMENT ADVANTAGE ADVISER EVENT

Our solution to these considerations

Threadneedle Dynamic Real Return Fund

RETIREMENT ADVANTAGE ADVISER EVENT

Threadneedle Dynamic Real Return

Source: Columbia Threadneedle Investments, as at 30 June 2017. Past performance is not a guide to future returns. Where references are made to portfolio guidelines and features, these may be

subject to change over time and prevailing market conditions. Actual investment parameters will be agreed and set out in the prospectus or formal investment management agreement. Please note

that the performance target may not be attained.

13

Differentiating features Portfolio characteristics

StrategyThreadneedle Dynamic Real

Return

Performance targetUK CPI+4% (gross of fees) over 3-5

year investment horizon

Asset class weightings

Equities 0-75%; bonds & cash 0-

100%; property 0-20%; commodities

0-20%; alternatives 0-10%

Holdings

Portfolio is invested in direct

investments, derivatives, beta

strategies and in-house

Threadneedle funds

Targeting UK CPI+4% in line with long-

run real return of equities

Aiming for equity-like returns with up to

two-thirds volatility

A volatility-controlled strategy

Real returns

and lower

volatility

Long-only, unleveraged, risk-controlled,

index-unconstrained

Dynamically managed asset allocation;

there is no ‘neutral’

Uses direct holdings, derivatives, beta

strategies, and in-house funds

Dynamic &

unconstrained

Drawing on the expertise of our entire

investment platform

Full look-through to all positions better

enables portfolio construction

No double charging on internal funds

Effective

governance

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Investment philosophy

We believe that we can deliver strong

risk-adjusted returns for our clients through:

An active approach that takes advantage

of market inefficiencies

Our global perspective advantage – the

combination of macro and micro insights

The appropriate allocation of risk

14

RETIREMENT ADVANTAGE ADVISER EVENT

Investment process overviewA collaborative and risk-oriented approach

15

Identify investment regime

Identify asset preference

Identify our key differentiators

to the consensus

Set current risk tolerance levels

Asset allocation Strategy Group

Attribute and size risk budget

according to value conviction

Implement via internal funds,

direct holdings, and passive

strategies

Full look-through bottom-up

risk analysis ex post

Portfolio management

Economic Research Group –

what is going to happen?

Sector & Thematic

Research Group –

create investment themes

Valuation Research Group –

what is in the price?

Firm-wide research

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Asset allocation team

16

Source: Columbia Threadneedle Investments investment professionals as at 31 August 2017.

Portfolio

management

Toby Nangle

Lead Portfolio

Manager

Maya Bhandari

Deputy Portfolio

Manager

Valuation

Research Group

Seven Investment

Professionals across

all asset classes

Jeff Knight

Global Co-Head

of Asset

Allocation

Alex Lyle

Head of Managed

Funds, EMEA

William Davies

Global Head of

Equities

Mark Burgess

Chief Investment

Officer, EMEA &

Global Head of Equities

Toby Nangle

Global Co-Head

of Asset

Allocation

Maya Bhandari

Portfolio

Manager

Alex Lyle

Head of

Managed Funds

Maya Bhandari

Portfolio Manager

Craig Nowrie

Client Portfolio

Manager

Rajeev Kapur

Asset Allocation

Manager

Jeff Knight

Global Head of

Investment Solutions,

Co-Head of Global

Asset Allocation

Bill Landes

Deputy Head of

Investment

Solutions

Anwiti Bahuguna

Senior Portfolio

Manager

Fred Copper

Senior Portfolio

Manager

Josh Kutin

Senior Portfolio

Manager

Brian Virginia

Portfolio Manager

Dan Boncarosky

Portfolio Manager

Maria Garrahan

Research

Analyst

Vincent Poon

Research

Analyst

Marc

Khalamayzer

Portfolio Manager

Andrew Gruet

Research

Analyst

Corey Lorenzen

Quantitative

Analyst

Drew Gleckler

Quantitative

Analyst

Toby Nangle

Head of Multi-Asset

Allocation,

Co-Head of Global

Asset Allocation

Ben Rodriguez

Multi Asset

Analyst

Alex Wilkinson

Portfolio Manager

Martin

Truszkowski

Manager Research

Adam Scully-Power

Client Portfolio Manager

Benjamin Simonds

Client Portfolio Manager

Robert Webb

Asset Allocation

Analyst

Matthew Rees

Portfolio Manager

Adrian Hilton

Head of Interest

Rates & Currency

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100% Short Dated Govt Bonds 75% Equity

DRR

4.2% 5.5% 6.8% 8.1% 9.3% 10.6%

Ex Ante Portfolio Volatility - 10yr Monthly

How is risk being rewarded?Focusing on risk adjusted returns

17

Source: Columbia Threadneedle Investments, Asset Allocation Matrix as at 31 August 2017.

In an environment where we Strongly Favour “risk” we will be investing in assets that have greater

volatility with the expectation that volatility will be rewarded

In an environment where we Strongly Dislike “risk” we will be investing in assets that aim to protect

investor’s capital and are less volatile, as we believe volatility will not be well rewarded

Protect Participate

Strongly Dislike Dislike Neutral Favour Strongly Favour

Current risk

appetiteX

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2.0%

3.0%

4.0%

5.0%

6.0%

7.0%

8.0%

9.0%

10.0%

2.0%

3.0%

4.0%

5.0%

6.0%

7.0%

8.0%

9.0%

10.0%Portfolio 2/3rds Equity

Process in actionDynamically managing the allocation to suit market

opportunities

18

Source: Columbia Threadneedle Investments as at 31 August 2017. Past performance is not a guide to future performance. Based on 180 weeks of equally weighted weekly data.

Risk Allocation

Pro

tec

tP

art

icip

ate

Ris

k

What

2014 - Concerned risk was not being rewarded so increased protection assets; re-orientated equity allocation and reinitiated a position in Euro High Yield

2015 – Chinese currency devaluation in August, reduced Indian equity allocation in favour of Japanese equities and reduced Australian government bond position in favour of Mexican government bonds

2016 – Increased risk through increasing participate assets; Euro High Yield from c. 10% to c. 15% and increased equities from 29% to 33%

Brexit

China

Currency

Devaluation

Fears of

global

recession

Brexit

Process in action - BrexitDynamically managing the allocation to suit market

opportunities

19

What

Reduced risk on run up to election on 23 June 2016

Before 23 June

Reduced

– UK equity small cap exposure

– European ex UK equities allocation by hedging some of the physical exposure with a EuroStoxx 50 hedge up to c.4% (which is more financials orientated compared to underlying fund)

– Japanese equities and removed currency hedge

– European High Yield exposure

Post 23 June

Exited

– UK equity small cap exposure

– EuroStoxx 50 hedge on 24th June

– UK Property

Reduced physical European ex UK equity exposure

Un-hedged part of Mexican government bond exposure

Increased

– UK short dated corporate bonds

– UK large cap equities

Hedged some of UK equity exposure into US dollars

Why

AAS moved Current Risk Appetite from Neutral to Dislike

Initial asymmetry of trade

UK breakup from the EU and implications

Source: Columbia Threadneedle Investments and Bloomberg, as at 30 June 2016. Past performance is not a guide to future performance.

-20.0% -10.0% - 10.0% 20.0%

FTSE100

FTSE250

S&P500

EuroStoxx50

Topix

Leave

Remain

Forecasted impact of Remain or Leave in

GBP terms

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Asset allocation strategy view – August 2017Risk adjusted menu of ideas

Source: Columbia Threadneedle Investments as at 31 August 2017.

Strongly Dislike Dislike Neutral Favour Strongly Favour

Asset AllocationGovernment

I/L

Cash

Credit

Commodity

Equity

Property

Equity Region USUK

EM

EU x UK

Japan

Pac x Jpn

Global Equity Sector

Materials

Utilities

Telco

Real Estate

Financials

Industrials

Consumer Cyclicals

Energy

Staples

Health

Technology

Bond – FX Hedged Japan

Germany

US

UK

Nordic

Australia

EM Local

CreditCorporate IG

EMDCorporate High Yield

Commodity

Livestock

Softs

Energy

Base Metals

Grains

Precious

FXAUD

GBP

USD

JPY

Euro

Nordics

20

RETIREMENT ADVANTAGE ADVISER EVENT

How are we invested?Dynamic, active, index-unconstrained

Source: Columbia Threadneedle Investments, as at 31 August 2017. Data is shown is for the Threadneedle Dynamic Real Return Fund.

21

Earnings growth exposure – 24.6%

where company profits are underpriced

Participate but protect in EM – 13.3%

buy EM assets (participation) with AUD

bonds (protection)

Avoid expensive duration – 43.0%

short duration assets

Eurozone opportunities – 17.9%

invest in Eurozone risk assets

Other – 1.2%

Opportunistic investments

UK Equities, 6.7%

Japanese Equities, 13.3%

Asia ex Japan Equities, 2.5%

Indian Equities, 2.1%

Mexican Bonds, Partly FX Hedged,

6.1%

Commodities, 6.4%

Australian Gvt Bonds, FX Hedged,

0.8%Short Dated UK Credit, 22.4%

Property, 5.1%

Short Dated UK Gvt, 5.7%

Cash, Cash like & FX, 9.9%

High Yield, FX Hedged, 2.8%

Europe ex UK equities, 15.1%

US TIPS, 1.2%

RETIREMENT ADVANTAGE ADVISER EVENT

0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

Jun-13 Dec-13 Jun-14 Dec-14 Jun-15 Dec-15 Jun-16 Dec-16 Jun-17

US Equities Europe ex UK Equities UK Equities

Japanese Equities EM Equity HY Credit

Dev Govt Bonds IG Credit EM Local

Commodities Property Cash & FX

Dynamic allocation

Source: Columbia Threadneedle Investments, as at 31 August 2017.

Data is shown is for the Threadneedle Dynamic Real Return Fund.

22

Historic asset allocation Historic currency allocation

0

10

20

30

40

50

60

70

80

90

100

Jun-13 Dec-13 Jun-14 Dec-14 Jun-15 Dec-15 Jun-16 Dec-16 Jun-17

USD AUD CAD Europe x UK GBP JPY Commod EM

RETIREMENT ADVANTAGE ADVISER EVENT

0.0

5.0

10.0

15.0

20.0

25.0

30.0

35.0

Jun-13 Dec-13 Jun-14 Dec-14 Jun-15 Dec-15 Jun-16 Dec-16 Jun-17

Cu

mm

ula

tive

Re

turn

(%

)

Fund

CPI +4%

Threadneedle Dynamic Real Return PerformanceSince Inception Annualised Return and Risk Profile

Source: Columbia Threadneedle Investments, as at 31 August 2017. Performance is in GBP, on an offer-to-offer basis, gross of annual management charges, using Global Close prices. Arithmetic

relative. CPI is represented with 2/3 the volatility of global equities. Past performance is no guide to future returns. The value of investments and income from them can go down as well as up.

Changes in exchange rates may also cause the value of investments to fall as well as rise.

23

Since Inception Annualised Return Since Inception Risk

Threadneedle Dynamic Real Return Fund 7.1% 4.9%

CPI +4% (lagged) 5.2% 7.9%

Fund -0.9%

Global Equities -5.5%

Global government bonds

2.0%

BREXIT

Fund 3.0%

DRR

Global BondsUK Bonds

UK Equities

Global Equities,

hedged to sterling

CPI (Lagged) +4%

CPI (Lagged)

0.0%

2.0%

4.0%

6.0%

8.0%

10.0%

12.0%

0.0% 2.0% 4.0% 6.0% 8.0% 10.0% 12.0% 14.0% 16.0%

An

nu

ali

se

d R

etu

rn

Annualised Risk

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Threadneedle Dynamic Real Return Performance

1 month 3 months YTD 1 Year

3 year

annualise

d

Since

Inception

annualise

d

2013** 2014 2015 2016 2017**

Fund

(gross)1.6 2.4 6.9 7.9 7.0 7.1 4.2 6.7 3.4 8.7 6.9

CPI +4%

p.a.0.3 0.8 3.9 6.3 5.0 5.2 3.3 4.6 4.2 5.3 3.9

Relative +1.3 +1.6 +2.9 +1.5 +1.9 +1.8 +0.9 +2.1 -0.9 +3.4 +2.9

Source: Columbia Threadneedle Investments, as at 31 August 2017. Performance is in GBP, on an offer-to-offer basis, gross of annual management charges, using Global Close prices. Arithmetic

relative. CPI is represented with 2/3 the volatility of global equities. Past performance is no guide to future returns. The value of investments and income from them can go down as well as up.

Changes in exchange rates may also cause the value of investments to fall as well as rise. * Periods one year and above are annualised ** Partial year

24

0.0

1.0

2.0

3.0

4.0

5.0

6.0

7.0

8.0

9.0

1 Month 3 Months YTD 1 Year 3 Year Since Inception

Re

turn

(%

)

Fund CPI+4% Actual

RETIREMENT ADVANTAGE ADVISER EVENT

SummaryKey points

25

Clients have numerous needs and considerations, but longevity, inflation and volatility are at the core of them

when in income drawdown.

Threadneedle Dynamic Real Return Fund was developed as a solution to help with these considerations

Equity like returns with 2/3rds volatility

An actively managed multi asset fund

Available via Retirement Advantage

RETIREMENT ADVANTAGE ADVISER EVENT

Learning outcomes

Understand the investment approach adopted by

Columbia Threadneedle Investments from a Multi Asset

perspective1

Learn more about Columbia Threadneedle

Investments’ views on the key factors to consider in

post-retirement solutions2

Gain an insight into the investment process, current

positioning and performance of the Dynamic Real

Return Fund 3

26

Threadneedle Dynamic Real Return FundObjective and key risks

27

Objective – The aim of the Fund is to provide a positive real rate of return above inflation (defined as the Consumer Price Index) over

the medium to long term and to provide a positive return over a three year time period, notwithstanding market conditions.

Investment Risk – The value of investments can fall as well as rise and investors might not get back the sum originally invested.

Investment in Funds – The Investment Policy allows the fund to invest principally in units of other collective investment schemes.

Investors should consider the investment policy and asset composition in the underlying funds when assessing their portfolio exposure.

Currency Risk – Where investments are made in assets that are denominated in multiple currencies, changes in exchange rates may

affect the value of the investments.

No Capital Guarantee – Positive returns are not guaranteed and no form of capital protection applies.

Issuer Risk – The fund invests in securities whose value would be significantly affected if the issuer either refused to pay or was

unable to pay or perceived to be unable to pay.

Interest Rate Risk – Changes in interest rates are likely to affect the fund’s value. In general, as interest rates rise, the price of a fixed

rate bond will fall, and vice versa.

Valuation Risk – The fund’s assets may sometimes be difficult to value objectively and the actual value may not be recognised until

assets are sold.

Investment in Derivatives – The Investment Policy of the fund allows it to invest materially in derivatives.

Volatility Risk – The fund may exhibit significant price volatility.

Important information

28

For internal use by Professional and/or Qualified Investors only (not to be used with or passed on to retail clients)

Past performance is not a guide to future performance. The value of investments and any income is not guaranteed and can go down as well as up and may be affected by

exchange rate fluctuations. This means that an investor may not get back the amount invested.

Threadneedle Opportunity Investment Funds ICVC (“TOIF”) is an open-ended investment company structured as an umbrella company, incorporated in England and Wales,

authorised and regulated in the UK by the Financial Conduct Authority (FCA) as a Non-UCITS scheme.

Subscriptions to a Fund may only be made on the basis of the current Prospectus and the Key Investor Information Document, as well as the latest annual or interim reports and

the applicable terms & conditions. Please refer to the ‘Risk Factors’ section of the Prospectus for all risks applicable to investing in any fund and specifically this Fund. The above

documents are available in English only and may be obtained free of charge on request from Columbia Threadneedle Investments at PO Box 10033, Chelmsford, Essex CM99

2AL.

This presentation is not investment, legal, tax, or accounting advice. Investors should consult with their own professional advisors for advice on any investment, legal, tax, or

accounting issues relating an investment with Columbia Threadneedle Investments.

The mention of any specific shares or bonds should not be taken as a recommendation to deal.

This material is for information only and does not constitute an offer or solicitation of an order to buy or sell any securities or other financial instruments, or to provide investment

advice or services.

The research and analysis included in this document has been produced by Columbia Threadneedle Investments for its own investment management activities, may have been

acted upon prior to publication and is made available here incidentally. Any opinions expressed are made as at the date of publication but are subject to change without notice and

should not be seen as investment advice. Information obtained from external sources is believed to be reliable but its accuracy or completeness cannot be guaranteed.

This presentation and its contents are confidential and proprietary. The information provided in this presentation is for the sole use of those attending the presentation. It may not

be reproduced in any form or passed on to any third party without the express written permission of Columbia Threadneedle Investments. This presentation is the property of

Columbia Threadneedle Investments and must be returned upon request.

Issued by Threadneedle Investment Services Limited. Registered in England and Wales, Registered No. 3701768, Cannon Place, 78 Cannon Street, London, EC4N 6AG, United

Kingdom. Authorised and regulated in the UK by the Financial Conduct Authority.

Columbia Threadneedle Investments is the global brand name of the Columbia and Threadneedle group of companies.