CAF UK Equitrack Fund Registered Charity Number: Annual Manager s Report and Financial Statements for the year ended 30 April 2015

Transcription

1 Distribution Number 20 CAF UK Equitrack Fund Registered Charity Number: Annual Manager s Report and Financial Statements for the year ended 30 April 2015 In association with

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3 Contents Page Number Statement on the Constitution and Governance of the Fund Common Investment Funds 2 Investment Responsibilities of the Charity Trustees 2 Corporate Trustee and Custodian 2 Advisory Board 3 Advisory Board Report 4 Corporate Governance 5 Manager s Statement on Governance 6 Scope of Responsibility 6 System of Internal Controls 6 Risk Framework 6 Corporate Governance 7 Review of Effectiveness 8 Statement of the Manager s Responsibilities 9 Manager s Investment Report 10 Corporate Trustees Report 14 Portfolio Statement 17 Independent Auditor s Report 34 Statement of Total Return 36 Statement of Change in Net Assets attributable to Unitholders 36 Balance Sheet 37 Notes to the Financial Statements 38 Distribution Tables 46 Fund Facts 47 Performance Record 48 Constitution and General Information 49 1

4 Statement on the Constitution and Governance of the Fund The name of this Fund is the Charities Aid Foundation UK Equitrack Fund, known as the CAF UK Equitrack Fund. Common Investment Funds The Charities Aid Foundation (CAF) UK Equitrack Fund (the Fund ) is a Common Investment Fund (CIF) established by the Charity Commission for England and Wales ( the Commission ), under section 24 of the Charities Act The Fund is administered for the benefit of the participating charities under a Scheme of the Commission dated January Any charity, or organisation, regarded as charitable in UK Law, and based in England, Scotland or Wales, can invest in the CAF UK Equitrack Fund. Investment Responsibilities of the Charity Trustees The Charity Commissioner requires the Charity Trustees to invest their assets only in investments authorised under the governing document of their charity or the Trustee Act 2000 if applicable. Trustees are also required to avoid speculation and to invest prudently in order to achieve both income and/or capital growth. Furthermore, Trustees of charities are required to seek professional advice regarding their investments. Corporate Trustee and Custodian The Corporate Trustee of the Fund is National Westminster Bank Plc ( the Corporate Trustee ). The Corporate Trustee has delegated the function of custodian of the property of the Fund to Northern Trust Global Services Limited ( the Custodian ). The Custodian is independent from the Manager and Corporate Trustee. 2

5 Statement on the Constitution and Governance of the Fund continued Advisory Board The purpose of the Advisory Board ( the Board ) is to oversee the administration and management of the Fund. The Board establishes the investment policy, determines the criteria and methods for evaluating the Fund s performance and appoints the auditor. In addition, the Board determines the remuneration of both the Corporate Trustee and the Manager of the Fund. The Board issues an annual report on the discharge of its responsibilities. The Board may apply to the Charity Commission for an order to discharge the Corporate Trustee or Manager of the Fund and to appoint a new Corporate Trustee or new Manager of the Fund. The Board meets not less than twice a year. Matters are decided by a majority vote of Board members present and voting. In the event that no decision is reached with a simple majority, the Chairman has the casting vote, whether or not he has previously voted. The Board members comprise the members of the CAF Funds Monitoring Committee (CFMC) which is established to oversee the performance of the fund range offered by CAF Financial Solutions Ltd. The Chairman of the Committee Advisory Board is the Chairman of the CFMC. 3

6 Statement on the Constitution and Governance of the Fund continued Advisory Board Report /15 The Advisory Board ( the Board ) of the CAF UK Equitrack Fund submits its report on the discharge of its responsibilities for the year ended 30 April During the year, the Board: Met on four occasions; Reviewed the investment policy; Reviewed the criteria and methods for evaluating the performance of the Fund; Agreed to the continuing appointment of the auditor and their terms of engagement; Agreed that the remuneration of the Manager of the Fund would be unchanged from the last accounting year. No changes to the criteria and methods for evaluating the performance of the Fund and its investment policy have been implemented. No member of the Board has offered investment advice or conducted investment business in relation to the Fund. For and on behalf of the Advisory Board of CAF UK Equitrack Fund 11 June

7 Statement on the Constitution and Governance of the Fund continued Corporate Governance Legal & General (Unit Trust Managers) Limited were appointed Managers of the Fund in accordance with the Scheme constitution. The Manager is authorised and regulated by the Financial Conduct Authority (the FCA ) for the conduct of regulated activities, including the establishment, operation and winding up of unregulated Collective Investment Schemes. The Manager will provide management and administration services on behalf of the Fund. The Manager has delegated the investment management of the assets of the Fund to Legal & General Investment Management Limited (LGIM). The Corporate Trustee has appointed the Manager as Registrar. Up until 6 April 2015 the Manager had delegated responsibility to Legal & General (Portfolio Management Services) Limited. The Investment Manager and Registrar are authorised and regulated by the Financial Conduct Authority and are members of the same group of companies as the Manager. The Manager has delegated the administration of the Fund to Northern Trust Global Services Limited, a subsidiary of Northern Trust Holdings Limited. 5

8 Statement on the Constitution and Governance of the Fund continued Manager s Statement on Governance Scope of Responsibility Legal & General (Unit Trust Managers) Limited (UTM) have responsibility for maintaining a sound system of internal controls that support the achievement of the CAF UK Equitrack Fund policies, aims and objectives, whilst safeguarding the assets of unitholders. System of Internal Controls The system of internal controls is designed to manage risk to a reasonable level rather than eliminate all risk of failure to achieve policies, aims and objectives; it can therefore only provide reasonable, not absolute assurance of effectiveness. The system of internal controls is based on an ongoing process designed to identify and prioritise the risks to the achievement of policies, aims and objectives, to evaluate the likelihood of those risks being realised, the impact should they be realised and to manage them efficiently, effectively and compliantly. Risk Framework Legal & General (Unit Trust Managers) Limited (UTM) is a subsidiary of Legal & General Investment Management (Holdings) Limited (LGIM), itself a subsidiary firm of the Legal & General Group (L&G) and operates within a group-wide risk management framework. The risk framework seeks to ensure all risks are identified and that appropriate strategies are in place for their management. The framework consists of formal committees, risk management policies, risk assessment and reporting processes and oversight functions. These enable the directors and senior management to debate key risks and draw assurance that risks are being appropriately identified and managed, and that an independent assessment of risk is being performed. Legal & General operates a three lines of defence model of risk management and assurance. Business management manage risks, Risk functions and Group level committees oversee and challenge the management of risk and Internal Audit provide independent assurance that risks are effectively managed and that there is appropriate oversight. Risk assessment is carried out on a bottom up and top down basis. On a monthly basis business management carry out a self-assessment of the performance of controls that operate to mitigate risk, which requires approval through the corporate hierarchy. This assessment is carried out using SWORD RMS, an externally provided risk management system. This self-assessment feeds into the Directors Certification process, part of the firms Combined Code on Corporate Governance. The Group Regulatory Risk & Compliance function operates a Conduct Risk Universe carrying out periodic assessments of controls using a conduct risk-based model. In addition, the Internal Audit function operates a similar risk-based universe of periodic reviews and assessments of control. These functions report findings to key committees and these findings are recorded on the risk management system, which ensures that required actions are tracked and evidenced. During the period, no material findings have been contained within the published reports. 6

9 Statement on the Constitution and Governance of the Fund continued Manager s Statement on Governance continued The control assurance model incorporates a self-assessment and independent assurance of the full risk exposure of the firm. This will range from transaction processing to risk management and governance. The bottom up assessments are carried out monthly, with the independent assurance subject to a risk-based approach, with an appropriate frequency agreed by the Audit Committee (for Internal Audits) or the Group Regulatory Risk & Compliance function. On an annual basis, the external auditor assesses and reports on the effectiveness of the firm s accounting; this is filed with the Financial Conduct Authority (FCA). Corporate Governance Legal & General (Unit Trust Managers) Limited is a company authorised and regulated by the Financial Conduct Authority (FCA) and its Board members are persons approved by the FCA to carry out significant management and control functions. The Company is a subsidiary company of LGIM (Holdings) Limited, which is itself a subsidiary of Legal & General Group Plc. The UTM Board consists of seven Directors, each with approved person responsibility for UTM and other Legal & General companies. The independent Compliance Officer and Risk Director also attend the Board meetings. The Chairman of the Board also sits on the board of Legal & General Group Plc and is a member of the LGIM Risk & Compliance Committee. The Board of Legal & General Group Plc has a number of Non-Executive Directors. The UTM Board is the legally accountable governance forum for the management of the firm and meets quarterly. The Board delegates the management of inherent risks to a series of Governance Committees with Terms of Reference that meet monthly. These include (but are not limited to) the LGIM Retail Risk & Compliance Committee and Unit Trust Managers Funds Committee, which respectively manage operational risks and fund risk on its behalf. These delegated authorities are periodically monitored and reviewed by the Board. On an annual basis the Board approves the firm s financial statements and the findings of the external auditors report, which is then filed with the FCA. The Board also approves the full documentation and output from the stress and scenario analysis of the firm s risks and capital, including the process and costs of winding the firm down in an orderly fashion, as required by the regulations. The output of this assessment is filed with the FCA according to an agreed cycle, currently every two years. 7

10 Statement on the Constitution and Governance of the Fund continued Review of effectiveness The UTM Board has responsibility for reviewing the effectiveness of the system of internal controls. Our reviews of internal control are informed by the work of the internal auditors, support functions and the Executive Managers within UTM who have responsibility for the development and maintenance of the risk management framework, and comments made by the external auditor in their management letter and other reports. On the basis of this information, we can confirm there are no significant internal control issues to report. A. J. C. Craven S. D. Thomas (Director) (Director) Legal & General (Unit Trust Managers) Limited 16 June

11 Statement on the Constitution and Governance of the Fund continued Statement of the Manager s Responsibilities Under the Scheme Rules and charity law, the Manager of the Fund is responsible for preparing the Annual Report and the financial statements for each financial year in accordance with applicable law and regulations. The financial statements are required by law to give a true and fair view of the state of affairs of the Fund and of the incoming resources and application of resources for that period. In preparing these financial statements, generally accepted accounting practice requires the Manager to: select suitable accounting policies and then apply them consistently; make judgements and estimates that are reasonable and prudent; state whether applicable UK Accounting Standards and the principles set out in the Statement of Recommended Practice for Authorised Funds have been followed, subject to any material departures disclosed and explained in the financial statements; state whether the financial statements comply with the Scheme Rules, subject to any material departures disclosed and explained in the financial statements; and prepare the financial statements on the going concern basis unless it is inappropriate to presume that the Fund will continue in business. The Manager is required to act in accordance with the Scheme Rules of the Fund, within the framework of trust law. They are responsible for keeping proper accounting records, sufficient to disclose at any time, with reasonable accuracy, the financial position of the Fund at that time, and to enable the Manager to ensure that, where any statements of accounts are prepared by it under section 132(1) of the Charities Act 2011 and the Statement of Recommended Practice for Authorised Funds issued by The Investment Association in October 2010, those statements of accounts comply with the requirements of regulations under these provisions. The Manager has general responsibility for taking such steps as are reasonably open to it to safeguard the assets of the Fund and to prevent and detect fraud and other irregularities. 9

12 Manager s Investment Report Investment Objective and Policy The investment objective for the Fund is to track the capital performance of the UK equity market as represented by the FTSE All-Share Index ( the Index ) by investment in a representative sample of stocks selected from various economic sectors (including a stock or stocks reasonably expected to become part of that Index). From time to time non Index constituents may be held as a result of a corporate action and these holdings will be sold or transferred as soon as reasonably practical. The investment objective set for the Investment Manager is to match the capital return of the Index to within a deviation of +/- 0.50% per annum, in two years out of three on a rolling basis, before the deduction of expenses. For the purposes of measuring Fund performance relative to the Index, the Investment Manager will use proprietary performance data. The Fund shall normally invest in: Securities which are constituents of the Index, or securities which are expected to become Index constituents, and are listed on a recognised stock exchange Cash (including any near-cash short-term instruments) The Fund may also invest in: Investments which may be subject to stabilisation Derivatives New issues Underwriting (including sub-underwriting) of any issue or offer for sale, subject to the provisions of the Governing Scheme Document/the prior written approval of the Charity Commission Foreign currency may be purchased as required to manage the Fund efficiently Cash will be held, from time to time, in the Fund which will include cash required for administration purposes but could also include cash available for investment which the Investment Manager may place on deposit pending acquisition of securities. Cash on deposit will be placed with banks approved by the Investment Manager. 10

13 Manager s Investment Report continued Manager s Investment Report During the year under review, the bid price of the Fund s distribution units rose from 73.45p to 76.10p, an increase of 3.61%. FTSE, the Index compiler, calculates the benchmark Index at the end of the business day using closing prices, whereas the Fund is valued using prevailing prices at 12 noon. Therefore, for tracking purposes the Fund has been revalued using closing prices. On this basis, over the review year from the close of business on 30 April 2014 to the close of business on 30 April 2015, the Fund rose by 3.80% on a capital only basis compared with the FTSE All-Share Index rise of 3.87% (Source: Bloomberg), producing a tracking difference of -0.07%. Past performance is not a guide to future performance. The value of investments and any income from them may go down as well as up. Exchange rate changes may cause the value of any overseas investments to rise or fall. The FTSE All-Share Index is calculated by FTSE International Limited ( FTSE ). FTSE does not sponsor, endorse or promote this product. All copyright in the Index values and constituent list belongs to FTSE. Legal & General has obtained full licence from FTSE to use such copyright in the creation of this product. FTSE TM, FT-SE and Footsie are trademarks of the London Stock Exchange Plc and The Financial Times Limited and are used by FTSE International Limited ( FTSE ) under license. All-Share is a trademark of FTSE. Market/Economic Review For the majority of the review year in the UK, the more domestically focused FTSE 250 Index (+10.5%) and the FTSE SmallCap Index (+4.1%) generally outperformed the blue chip FTSE 100 Index (+2.7%), which is heavily weighted towards mining stocks that have struggled on weaker commodity prices. Major sectors such as Industrial Metals & Mining (+53.5%), Forestry & Paper (+34.7%) and Health Care Equipment & Services (+30.1%) showed the largest positive returns, while Oil Equipment, Services & Distribution (-25.2%), Food & Drug Retailers (-16.8%) and Mining (-14.0%) were the worst performing sectors. Divergent economic trends exerted a strong influence on the performance of equity markets over the review year. The US economy rebounded strongly and grew at its fastest pace in 11 years during the third quarter of 2014, although growth slowed over the closing months of the year. The UK economy saw a marked turnaround, led by a revival in the dominant Services sector. In both economies, the central banks signalled a shift towards a gradual tightening of monetary policy provided the recovery maintained its path. However, pressure to raise interest rates in the US eased in recent months as the oil price fell dramatically, declining to a six-year low in January In contrast, the UK equity market struggled to make headway as the Mining and Oil & Gas sectors, which comprise a substantial proportion of the FTSE All-Share Index, were weighed down by the weakness of 11

14 Manager s Investment Report continued commodity markets. The uncertainty over the future government was mirrored by volatility in UK equities as prices fell sharply at the end of March 2015, but have since recovered as the conservatives won the election. Fund Review Companies within the Fund are held with weightings generally proportionate to those of the benchmark Index. Hence, investment activity, other than to raise or invest cash, is only necessary when there are changes to the weightings of the constituent companies or to the constituents of the Index. At the annual Index review in June 2014 there were 29 additions, including Kennedy Wilson Europe Real Estate, durable goods retailer AO World and discount retailer Poundland Group, and 13 deletions, including floor-covering distributor Headlam Group and publisher Wilmington Group. At the quarterly Index review in September 2014, 16 companies were added, including restaurant concessionaire SSP Group, TSB Banking Group and leisure & travel services provider Saga. New World Resources, the hard coal and coke producer, was the sole deletion. The largest increases to free share capital were for Glencore, BT Group and BHP Billiton. In the December 2014 quarterly Index review, there were two additions: the footwear manufacturer Jimmy Choo and the solar investment company NextEnergy Solar Fund. There were four deletions: equity investment trust BlueCrest BlueTrend (GBP), mining company Petropavlovsk, oil and gas exploration company JKX Oil & Gas and the Indonesia-based thermal coal producer Asia Resource Minerals. The largest increases to free share capital were for online takeaway ordering services provider Just Eat, London Stock Exchange and media firm Informa. The largest decreases to free share capital were for BP, BHP Billiton and the catering company Compass Group. At the quarterly Index review in March 2015, there were four additions: automobile insurance and breakdown coverage provider AA, retail banking company Virgin Money Holdings, biopharmaceutical company Oxford BioMedica and the mining company Petropavlovsk, that had been initially deleted at the December 2014 Index review. Hardy Oil & Gas was the sole deletion. The largest increases to free share capital were for BT Group, entertainment facilities company Merlin Entertainments and leisure & travel services company TUI AG. The largest decreases to free share capital were for International Consolidated Airlines Group, Royal Dutch Shell A and the advertising firm WPP. At each of the Index review effective dates the Fund was rebalanced accordingly. Merger and acquisition activities outside the Index reviews included Caracal Energy s acquisition by Glencore; engineering firm Kentz being acquired by Canadian engineering and construction solutions company SNC-Lavalin Group; the merger of Dixons Retail and 12

15 Manager s Investment Report continued Carphone Warehouse to become Dixons Carphone; Heritage Oil being acquired by Al Mirqab Capital; AMEC s acquisition by Foster Wheeler AG (USA) to become AMEC Foster Wheeler; Reckitt Benckiser spin-off of its specialty pharmaceuticals unit Indivior; TUI Travel s merger with German counterpart TUI AG, and the acquisition of the newspaper publisher Mecom Group by Belgian media group De Persgroep. Other corporate activities included the purchase of a 9.99% stake in International Consolidated Airlines Group by Qatar Airways, resulting in a free float decrease. TSB Banking Group increased its free float to 50% as a result of a secondary share placing by Lloyds Banking Group. Also, Spire Healthcare Group, Merlin Entertainments, telecommunication services provider Inmarsat, plastic piping supplier Polypipe Group and caterer SSP Group all saw their free float increase after strategic holders reduced their stakes. Capital raising activities to fund expansion included the rights issues by the London Stock Exchange to part fund the acquisition of Frank Russell Co to expand its index and exchange-traded fund businesses; Mothercare; business information services provider UBM; medical devices provider Consort Medical; containers and packaging company RPC Group; insurance management company Charles Taylor Consulting, and distributions company Connect Group. There were also primary placings to fund growth opportunities by BT Group (to part fund the acquisition of EE), the building materials company CRH and the retailer Poundland Group. Outlook UK economic momentum looks set to continue through 2015 and, with inflation tumbling to negative territory, the Bank of England seems likely to wait until next year before raising interest rates. For now there is sufficient slack to allow the Bank of England to keep rates on hold through next year, but if productivity stagnates and unemployment falls more rapidly, pressure to begin normalising interest rates will eventually increase. In the UK, stronger growth is feeding back into an improvement in the public finances, but this needs to develop into a multi-year expansion to reduce the deficit to sustainable levels. A steady improvement in global growth is expected throughout 2015 underpinned by the drop in the oil price. Despite the recent rebound in the oil price, prices are still significantly lower than that at the same point in 2014 which is particularly welcomed by countries that tend to import their energy. Looking at the UK and US, in the short term, the fall is probably a negative, as both have reasonable oil-producing sectors that are currently slashing capital expenditure in response to the weaker oil price. Also, the weaker investment outlook, post-election Sterling strength and weak growth from OPEC and Russia means that the prospects for exporters are also underwhelming. However, beyond this short-term effect, the positive impact on consumption will more than offset this, as the fall in the oil price will boost the spending power. The Fund is well positioned to capture the UK market performance. Legal & General Investment Management Limited (Investment Adviser) 22 May

16 Corporate Trustees Report Part 1 - Introduction The Royal Bank of Scotland Plc was appointed Corporate Trustee for the Common Investment Fund on 7 February On 27 January 2012 the Corporate Trustee became National Westminster Bank Plc following an internal re-structure of its Trustee and Depositary Services business. The principal duties of the Corporate Trustee for the Scheme are contained within the relevant Scheme Orders and can be summarised as follows: Supervision and oversight of the Manager s compliance with the relevant Scheme Orders and Scheme Particulars Appointment of a Registrar Supervision and oversight of any Registrar or other delegate appointed by the Corporate Trustee Appointment of Custodian and control of the property of the Schemes and collection of income due to the Scheme The creation and cancellation of units in accordance with the instructions of the Manager Making distributions or allocations of income to Unitholders Preparation of reports by the Corporate Trustee on the discharge of its responsibilities Authorisation of payment by the Scheme in respect of reasonable costs/expenses of the Advisory Board members The Corporate Trustee is responsible for the safeguarding of the Fund s assets and for ensuring that reasonable steps are taken for the prevention and detection of fraud and other irregularities. 14

17 Corporate Trustees Report continued Part 2 - Certification Supervision and oversight of the Manager s compliance with the relevant Scheme Orders and Scheme Particulars The Corporate Trustee is satisfied that, over the year concerned, the Manager has managed the Scheme in all material respects in accordance with the relevant Scheme Orders and Scheme Particulars. Specific comments on key areas are as follows; a) the proper exercise of investment and borrowing powers on the part of the Manager in terms of the investment restrictions contained within the Scheme Orders, Scheme Particulars and Investment Guidelines. Review procedures: Investment and borrowing power restrictions and objectives are reviewed on a daily basis using our ComplianceAlert monitoring system. Status: No breaches recorded within this period. b) the proper pricing of the schemes. Review procedures: Pricing calculations are checked on each creation and each cancellation of units. Status: No breaches recorded within this period. c) Supervision and oversight of the Registrar. The creation and cancellation of units in accordance with the instructions of the Manager. Re-issue of Unclaimed Distributions greater than 25. Review procedures: Supervision of the Registrar is achieved through periodic site visits and monthly reconciliation of the total number of registered units against the records held by the Corporate Trustee. Unit deals which have been outstanding for longer than three months are reviewed to obtain satisfaction that there are no underlying difficulties in respect of unit dealing or registration processes. The Corporate Trustee ensures that creations and cancellations of units are priced and performed in accordance with the requirements of the Scheme Orders and Scheme Particulars and that correct monies are paid to or from the Schemes within appropriate time scales. Status: All issue and cancellation monies have been received or paid within appropriate time scales. There are no issues to report. No cheques were re-issued for greater than

18 Corporate Trustees Report continued Part 2 - Certification continued d) Custody and control of the property of the Schemes and collection of income due to the Schemes Review procedures: Property of the Scheme is held by Northern Trust Global Services Limited ( the Custodian ) and may only be released in accordance with the terms of a Custody Agreement entered into by the Corporate Trustee and the Custodian. On a daily basis the Corporate Trustee monitors that settlement of trades has taken place in a timely manner and on a monthly basis, reviews the extent to which all income has been received on the expected dates. Status: Over the year in question, all trades settled in a timely manner. e) Making distributions or allocations of income to Scheme participants. Review procedures: Distributions are paid to unitholders on 31 December and 30 June each year. The Corporate Trustee ensures that payments/allocations have been made in a timely manner. The Corporate Trustee reconciles the Unclaimed Distributions Accounts. Status: Over the year in question, no discrepancies exist. Part 3 - Other Matters Compliance Visits The Corporate Trustee made Compliance visits to: Legal & General (Unit Trust Managers) Limited Northern Trust Global Services Limited The Northern Trust Company Regular compliance visits to the above have taken place with no major issues to report. London National Westminster Bank Plc 18 June 2015 Trustee and Depositary Services 16

19 Portfolio Statement Portfolio Statement as at 30 April 2015 All investments are in ordinary shares unless otherwise stated. The percentages in brackets show the equivalent sector holdings at 30 April Holding/ Market % of Nominal Value Net Value Investment Assets UNITED KINGDOM 93.45% (93.80%) Oil & Gas Producers 12.11% (14.77%) 288,142 Afren 9, ,879 BG Group 10,489, ,810,512 BP 22,611, ,962 Cairn Energy 281, ,289 Enquest 108, ,640 Nostrum Oil & Gas 100, ,196 Ophir Energy 260, ,257 Premier Oil 275, ,572 Royal Dutch Shell 'A' 16,108, ,800 Royal Dutch Shell 'B' 18,699, ,456 SOCO International 106, ,713 Tullow Oil 960, ,013, Oil Equipment, Services & Distribution 0.41% (0.55%) 102,039 AMEC Foster Wheeler 935, ,529 Hunting 188, ,764 Petrofac 600, ,863 Wood Group (John) 660, ,384, Alternative Energy 0.01% (0.01%) 9,300 Porvair 28, Chemicals 0.70% (0.68%) 53,504 Alent 196, ,396 Carclo 25,754 33,964 Croda International 964, ,240 Elementis 402, ,560 Johnson Matthey 1,778, ,148 Synthomer 261, ,751 Victrex 386, ,014, Forestry & Paper 0.22% (0.17%) 97,989 Mondi (UK) 1,286, Industrial Metals & Mining 0.05% (0.04%) 125,096 Evraz 236, ,539 Ferrexpo 45, , Mining 4.36% (5.52%) 40,362 African Barrick Gold 117, ,851 Anglo American 3,768, ,645 Anglo Pacific Group 33, ,304 Antofagasta 728, ,796 BHP Billiton 8,593,

20 Portfolio Statement continued 18 Holding/ Market % of Nominal Value Net Value Investment Assets Mining (cont.) 47,389 Fresnillo 343, ,456 Hochschild Mining 43, ,097 Kazakhmys 164, ,590 Lonmin 174, ,953 Petropavlovsk 33, ,464 Polymetal International 322, ,144 Randgold Resources 1,224, ,943 Rio Tinto 9,477, ,414 Vedanta Resources 175, ,200, Construction & Materials 0.33% (0.31%) 190,106 Balfour Beatty 457, ,502 Boot (Henry) 49, ,066 Costain Group 54, ,162 Galliford Try 346, ,721 Keller 196, ,678 Kier Group 221, ,103 Low & Bonar 62, ,937 Marshalls Group 146, ,403 Morgan Sindall 81, ,000 Norcros 14,520 34,949 Polypipe Group 95, ,620 Tyman 164, ,135 Volution Group 23,154 1,915, Aerospace & Defence 2.16% (2.11%) 9,517 Avon Rubber 73, ,701 BAE Systems 4,229, ,702 Chemring Group 93, ,629 Cobham 858, ,637 Meggitt 1,143, ,904 QinetiQ 300, ,764 Rolls-Royce 5,084, ,012 Senior 341, ,342 Ultra Electronics Holdings 352, ,477, General Industrials 0.67% (0.68%) 5,921 British Polythene Industries 41, ,447 Rexam 1,046, ,929 RPC Group 407, ,383 Smith (DS) 852, ,000 Smiths Group 1,210, ,903 Vesuvius 328, ,887, Electronic & Electrical Equipment 0.48% (0.49%) 7,871 Dialight 55, ,543 Domino Printing Sciences 251, ,578 e2v Holdings 132, ,683 Halma 655, ,026 HellermannTyton Group 198, ,637 Morgan Crucible 292,

21 Portfolio Statement continued Holding/ Market % of Nominal Value Net Value Investment Assets Electronic & Electrical Equipment (cont.) 16,141 Oxford Instruments 149, ,549 Renishaw 239, ,496 Spectris 669, ,160 TT Electronics 55, ,146 Xaar 92, ,792, Industrial Engineering 0.80% (0.98%) 52,744 Bodycote 361, ,881 Fenner 99, Goodwin 10,118 23,404 Hill & Smith Holdings 160, ,931 IMI 872, ,164 Melrose Industries 717, ,107 Renold 34, ,183 Rotork 561, ,833 Severfield-Rowen 54, ,166 Spirax-Sarco Engineering 648, ,824 Trifast 28, ,614 Vitec Group 69, ,658 Weir Group 1,010, ,628, Industrial Transportation 0.29% (0.31%) 118,685 BBA Aviation 408, ,063 Braemar Shipping Services 22,277 6,430 Clarkson 146, ,769 Fisher (James) & Sons 140, ,790 Royal Mail 779, ,552 Stobart Group 94, ,017 UK Mail Group 35, ,189 Wincanton 46, ,674, Support Services 3.84% (3.76%) 61,180 Aggreko 1,005, ,720 Ashtead Group 1,492, ,665 Atkins (WS) 371, ,392 Babcock International Group 1,335, ,081 Berendsen 426, ,110 Brammer 144, ,746 Bunzl 1,600, ,747 Capita Group 1,965, ,403 Carillion 393, ,557 Communisis 29, ,749 De La Rue 142, ,035 Diploma 249, ,863 Electrocomponents 274, ,115 Exova Group 43, ,720 Filtrona 686, ,191 G4S 1,198, ,579 Gulf Marine Services 39, ,869 Hays 517, ,953 Hogg Robinson Group 31, ,413 HomeServe 292,

22 Portfolio Statement continued 20 Holding/ Market % of Nominal Value Net Value Investment Assets Support Services (cont.) 151,935 Howden Joinery 709, ,476 Interserve 222, ,237 Intertek Group 1,071, ,773 Lavendon Group 79, ,382 Management Consulting Group 17,833 24,572 Mears Group 104, ,853 Menzies (John) 53, ,871 Michael Page International 446, ,220 Mitie Group 297, ,808 Northgate 210, ,189 PayPoint 176, ,427 Premier Farnell 199, ,138 Rentokil Initial 627, ,177 Ricardo 126, ,474 Robert Walters 73, ,862 RPS Group 145, ,066 Serco Group 404, ,568 Shanks Group 131, ,959 SIG 287, ,576 Smiths News 109, ,009 Speedy Hire 104, ,424 St. Ives 48, ,182 SThree 133, ,532 Travis Perkins 1,371, ,301 Tribal Group 19,286 2,006 Vp 12,939 70,321 Wolseley 2,696, ,609 Xchanging 96, ,221, Automobiles & Parts 0.26% (0.30%) 435,309 GKN 1,507, Beverages 3.70% (3.80%) 23,890 A.G. Barr 150, ,454 Britvic 460, ,269 Diageo 12,005, ,467 SABMiller 8,672, ,278 Stock Spirits Group 109, ,398, Food Producers 2.26% (2.30%) 4,906 Anglo-Eastern Plantations 28,700 91,902 Associated British Foods 2,627, ,000 Carr s Milling Industries 28, ,584 Cranswick 194, ,574 Dairy Crest Group 208, ,384 Devro 119, ,542 Hilton Food Group 53, ,581 Premier Foods 94, ,230 Tate & Lyle 693, ,559 Unilever 9,037, ,087, Household Goods & Home Construction 2.84% (2.38%) 16,348 Aga Rangemaster Group 14, ,556 Barratt Developments 1,312,

23 Portfolio Statement continued Holding/ Market % of Nominal Value Net Value Investment Assets Household Goods & Home Construction (cont.) 32,150 Bellway 631, ,817 Berkeley Group 790, ,623 Bovis Homes Group 328, ,449 Crest Nicholson Holdings 275, ,335 McBride 48, ,492 McColls Retail Group 24,347 8,357 MJ Gleeson Group 32,592 82,044 Persimmon 1,387, ,014 Reckitt Benckiser 9,963, ,618 Redrow Group 222, ,010 Taylor Wimpey 1,405, ,436, Leisure Goods 0.02% (0.02%) 6,736 Games Workshop Group 34, ,239 Photo-Me International 83, , Personal Goods 0.46% (0.41%) 115,946 Burberry Group 2,029, ,385 Jimmy Choo 44, ,521 PZ Cussons 311, ,866 SuperGroup 101, ,321 Ted Baker 181, ,668, Tobacco 4.47% (4.29%) 493,223 British American Tobacco 17,709, ,566 Imperial Tobacco 8,111, ,820, Health Care Equipment & Services 0.66% (0.48%) 19,678 Al Noor Hospitals Group 177, ,747 Cambian Group 54, ,655 Consort Medical 145, ,662 NMC Health 145, ,687 Optos 80, ,642 Smith & Nephew 2,664, ,244 Spire Healthcare Group 208, ,159 Synergy Healthcare 314, ,790, Pharmaceuticals & Biotechnology 7.81% (7.83%) 333,611 AstraZeneca 14,839, ,282 BTG 722, ,484 Circassia Pharmaceuticals 54, ,238 Dechra Pharmaceuticals 257, ,830 Genus 239, ,284,872 GlaxoSmithKline 19,318, ,944 Hikma Pharmaceuticals 716, ,888 Indivior 351, ,164 Oxford BioMedica 44, ,956 Shire 8,328, ,400 Skyepharma 81,

24 Portfolio Statement continued 22 Holding/ Market % of Nominal Value Net Value Investment Assets Pharmaceuticals & Biotechnology (cont.) 107,503 Vectura 169, ,124, Food & Drug Retailers 1.53% (1.76%) 438,880 Booker Group 638, ,954 Greggs 279, ,428 Just Eat 369, ,741 Morrison (Wm) Supermarkets 1,075, ,815 Ocado Group 385, ,901 Sainsbury (J) 970, ,179 SSP Group 291, ,169,904 Tesco 4,828, ,839, General Retailers 2.41% (2.11%) 129,129 AA 540, ,209 AO World 85, ,788 Ashley (Laura) Holdings 11,345 42,873 Brown (N) Group 147, ,172 Card Factory 173, ,933 Carpetright 65, ,181 Debenhams 293, ,133 Dignity 287, ,542 Dixons Carphone 1,058, ,164 Dunelm Group 228, ,987 Findel 51, ,403 GAME Digital 56, ,000 Halfords Group 259, ,442 Home Retail Group 360, ,742 Inchcape 979, ,212 JD Sports Fashion 82, ,052 Kesa Electricals 106, ,384 Kingfisher 2,185, ,622 Lookers 145, ,550 Marks & Spencer Group 2,472, ,600 Moss Brothers Group 17,856 38,425 Mothercare 85, ,023 Next 2,864, ,321 Pendragon 158, ,189 Pets at Home Group 145, ,780 Poundland Group 150, ,230 Sports Direct International 397, ,925 Topps Tiles 50, ,719 WH Smith 471, ,934, Media 2.43% (2.03%) 6,007 4imprint Group 65, ,560 Bloomsbury Publishing 29, ,522 BSkyB 2,995, ,000 Centaur Media 14,580 21,392 Chime Communications 63, ,976 Euromoney Institutional Investor 152, ,130 Huntsworth 25,509 75,217 ITE Group 141, ,889 ITV 2,490,

25 Portfolio Statement continued Holding/ Market % of Nominal Value Net Value Investment Assets Media (cont.) 23,224 Johnston Press 35, ,098 Moneysupermarket.com 317, ,020 Pearson 2,877, ,017 Reed Elsevier 3,191, ,436 Rightmove 758, ,259 STV Group 25,407 75,883 Trinity Mirror 139, ,917 United Business Media 573, ,408 UTV Media 44, ,042 Zoopla Property Group 98, ,043, Travel & Leisure 3.57% (3.14%) 36, Holdings 58, ,971 Betfair Group 487, ,207 Bwin.Party Digital Entertainment 160, ,369 Carnival 1,445, ,233 Cineworld 224, ,471 Compass Group 5,066, ,242 Domino's Pizza UK & Ireland 291, ,882 easyjet 1,204, ,744 Enterprise Inns 165, ,023 FirstGroup 334, ,739 Flybe Group 35, ,082 Fuller Smith & Turner 'A' 90, ,141 Go-Ahead Goup 304, ,717 Greene King 476, ,611 InterContinental Hotels Group 1,756, ,128 Ladbrokes 252, ,228 Marston's 255, ,698 Merlin Entertainments 759, ,923 Millennium & Copthorne Hotels 245, ,254 Mitchells & Butlers 251, ,132 National Express 329, ,147 Punch Taverns 65, ,589 Rank Group 88, ,946 Restaurant Group 365, ,683 Spirit Pub 199, ,100 Sportech 24, ,630 Stagecoach 422, ,163 Thomas Cook 534, ,724 TUI AG 1,273, ,763 Wetherspoon (JD) 179, ,149 Whitbread 2,520, ,396 William Hill 790, ,659, Fixed Line Telecommunications 1.99% (1.61%) 2,206,706 BT Group 10,138, ,408 Cable & Wireless 501, ,290 Colt Telecom 117, ,339 KCOM Group 128, ,520 TalkTalk Telecom Group 494, ,695 Telecom Plus 127, ,508,

26 Portfolio Statement continued Holding/ Market % of Nominal Value Net Value Investment Assets Mobile Telecommunications 3.00% (3.00%) 114,972 Inmarsat 1,158, ,989,223 Vodafone Group 16,162, ,321, Electricity 0.78% (0.84%) 112,123 Drax Group 453, ,300 Infinis Energy 39, ,028 SSE 4,030, ,523, Gas, Water & Multiutilities 2.80% (2.92%) 1,317,655 Centrica 3,379, ,911 National Grid 8,811, ,208 Pennon Group 918, ,130 Severn Trent 1,323, ,638 United Utilities 1,743, ,176, Banks 10.79% (10.95%) 8,214 Bank of Georgia Holdings 149, ,327,082 Barclays 10,990, ,030,577 HSBC Holdings 32,357, ,312,486 Lloyds Banking Group 11,003, ,057 One Savings Bank 43, ,486 Royal Bank of Scotland 1,937, ,623 Standard Chartered 5,491, ,904 TSB Banking Group 221, ,014 Virgin Money Holdings 162, ,356, Nonlife Insurance 0.79% (0.76%) 49,852 Admiral Group 780, ,404 Amlin 578, ,072 Direct Line Insurance Group 1,281, ,957 esure Group 133, ,876 Jardine Lloyd Thompson Group 326, ,858 Novae Group 123, ,599 RSA Insurance Group 1,126, ,743 Saga 197, ,546, Life Insurance 4.76% (4.11%) 1,045,684 Aviva 5,474, ,989 Brit Insurance 66, ,236 Chesnara 112, ,550 Just Retirement Group 86, ,563,987 Legal & General Group 4,056, ,301,207 Old Mutual 3,040, ,040 Partnership Assura Group 55, ,674 Prudential 10,961, ,639 St. James's Place 1,213, ,268 Standard Life 2,426, ,494, Real Estate Investment & Services 0.59% (0.50%) 178,860 Capital & Counties Properties 705,

27 Portfolio Statement continued Holding/ Market % of Nominal Value Net Value Investment Assets Real Estate Investment & Services (cont.) 106,832 Capital & Regional 59, ,673 CLS Holdings 87, ,323 Countrywide 216, ,138 Daejan Holdings 63, ,461 Development Securities Capital 81, ,500 Foxtons Group 132, ,280 Grainger Trust 237, Hampton Trust* 27,739 Helical Bar 106, ,075 IRP Property Investments 73, ,693 LSL Property Services 97, Mountview Estates 27, ,721 Picton Properties 99, ,404 Quintain Estates & Development 141, ,592 Safestore Holdings 174, ,325 Savills 327, ,365 Schroder Real Estate Investment Trust 85, ,001 St. Modwen Properties 194, ,292 Standard Life Investment Property Income Trust 57, ,350 UK Commercial Property Trust 76, ,868 Unite Group 339, ,382, Real Estate Investment Trusts 2.00% (1.66%) 32,603 Big Yellow Group 217, ,378 British Land 2,237, ,296 Custodian REIT 51, ,529 Derwent London 875, ,756 Great Portland Estates 706, ,363 Hammerson 1,404, ,550 Hansteen Holdings 226, ,792 Intu Properties 844, ,844 Land Securities Group 2,558, ,975 London & Stamford Property 289, ,884 McKay Securities 56, ,487 Mucklow (A&J) Group 74, ,902 Primary Health Properties 112, ,423 SEGRO 801, ,350 Shaftesbury 648, ,819 Town Centre Securities 11, ,330 Tritax Big Box REIT 163, ,266 Workspace Group 261, ,541, Financial Services 2.52% (2.04%) 249,588 3i Group 1,242, ,415 Aberdeen Asset Management 1,244, ,905 Allied Minds 109, ,495 Arrow Global Group 102, ,170 Ashmore Group 351, ,481 Brewin Dolphin 201, ,571 Charles Taylor Consulting 19,713 6,650 City of London Investment Group 23,408 40,455 Close Brothers Group 615,

28 Portfolio Statement continued Holding/ Market % of Nominal Value Net Value Investment Assets Financial Services (cont.) 52,914 Hargreaves Lansdown 642, ,922 ICAP 773, ,105 IG Group 730, ,694 Intermediate Capital Group 588, ,662 International Personal Finance 315, ,139 Investec 814, ,371 IP Group 278, ,402 Jupiter Fund Management 494, ,401 Liontrust Asset Management 24,048 78,649 London Stock Exchange 1,995, ,879 Man Group 772, ,399 Paragon Group 378, ,935 Provident Financial 1,112, ,164 Rathbone Brothers 282, S & U 10,100 17,144 Schroders 554, ,591 Schroders (Non-voting) 406, ,657 SVG Capital 261, ,028 Tullett Prebon 226, ,572, Equity Investment Instruments 3.02% (2.83%) 58,824 Aberdeen Asian Income Fund 119, ,880 Aberdeen Asian Smaller Companies Investment Trust 103, ,155 Aberdeen New Dawn Investment Trust 64, ,669 Aberdeen New Thai Investment Trust 16,410 24,810 Aberforth Geared Income Trust 43, ,377 Aberforth Smaller Companies Trust 285, ,660 Acencia Debt Strategies 17, ,590 Alliance Trust 700, ,209 Artemis Alpha Trust 33, ,662 Baillie Gifford Japan Trust 79, ,600 Baillie Gifford Shin Nippon 29,013 29,279 Bankers Investment Trust 184, ,140 Baring Emerging Europe 41, ,960 Biotech Growth Investment Trust 103, ,826 BlackRock Commodities Investment Trust 20,543 42,720 BlackRock Frontier Markets Investment Trust 48, ,879 BlackRock Greater Europe Investment Trust 72, ,055 BlackRock Latin American Investment Trust 42, ,100 BlackRock New Energy Investment Trust* 18,128 BlackRock North American Income Trust 21,346 10,006 BlackRock Smaller Companies Trust 82, ,506 BlackRock World Mining Investment Trust 155, ,920 BlueCrest AllBlue Fund 208, ,445 British Assets Trust 109,

29 Portfolio Statement continued Holding/ Market % of Nominal Value Net Value Investment Assets Equity Investment Instruments (cont.) 37,740 British Empire Securities & General Trust 203, ,912 Brunner Investment Trust 55, ,055 Caledonia Investments 219, ,797 Candover Investments 18, Capital Gearing Trust 19,079 19,986 City Natural Resources High Yield Trust 20,636 73,844 City of London Investment Trust 293, ,501 Diverse Income Trust 80, ,355 Dunedin Enterprise Investment Trust 4,519 37,421 Dunedin Income Growth Investment Trust 97, ,298 Dunedin Smaller Companies Investment Trust 27,845 8,700 Eastern European Trust 19,945 58,224 Ecofin Water & Power Opportunities 85, ,959 Edinburgh Dragon Trust 156, ,506 Edinburgh Investment Trust 354, ,267 Edinburgh UK Tracker Investment Trust 94, ,335 Edinburgh Worldwide Investment Trust 56, ,934 Electra Private Equity Investment Trust 308, ,509 Electric & General Investment Trust* 12,554 EP Global Opportunities Trust 32, ,379 European Investment Trust 92, ,892 F&C Capital and Income Investment Trust 57, ,747 F&C Global Smaller Companies 134, ,125 F&C Private Equity Trust 35, ,291 F&C US Smaller Companies 34, ,209 Fidelity Asian Values 38, ,255 Fidelity China Special Situations 266, ,133 Fidelity European Values 176, ,224 Fidelity Japanese Values 24,475 14,376 Fidelity Special Values 131, ,656 Finsbury Growth & Income Trust 165, ,969 Foreign & Colonial Investment Trust 662, ,504 Fundsmith Emerging Equities Trust 48, ,116 Gartmore Irish Growth Fund* 21,620 Graphite Enterprise Trust 123, ,097 Greencoat UK Wind 136, ,648 Hansa Trust 'A' 22,243 19,485 Henderson Asian Total Return 40, ,592 Henderson European Focus Fund 48, ,350 Henderson EuroTrust 48, ,862 Henderson Global Trust 47, ,400 Henderson High Income Trust 51, ,485 Henderson Smaller Companies Investment Trust 129, ,619 Herald Investment Trust 156, ,769 HG Capital Trust 103, ,183 HICL Infrastructure 496, ,075 Impax Environmental Markets Trust 101, ,600 International Biotechnology Trust 49, ,281 International Public Partnerships 295,