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Gray Swan Financial Services (Pty) Ltd (Reg No: 2010/009813/07) is an authorised Financial Services Provider (FSP No: 42290). GRAYSWAN SUMMARY SCORECARDS MARCH 2020
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Page 1: GRAYSWAN SUMMARY SCORECARDS · Portfolio 2008 k 2009 k 2010 k 2011 k 2012 k 2013 k 2014 k 2015 k 2016 k 2017 k 2018 k 2019 k 2020 k Absa AM Money Market 12.29% 13 9.19% 13 7.46% 11

Gray Swan Financial Services (Pty) Ltd (Reg No: 2010/009813/07) is an authorised Financial Services Provider (FSP No: 42290).

GRAYSWANSUMMARY SCORECARDS

MARCH01 2020

Page 2: GRAYSWAN SUMMARY SCORECARDS · Portfolio 2008 k 2009 k 2010 k 2011 k 2012 k 2013 k 2014 k 2015 k 2016 k 2017 k 2018 k 2019 k 2020 k Absa AM Money Market 12.29% 13 9.19% 13 7.46% 11

2INVESTMENT CONSULTING I WEALTH MANAGEMENT I TREASURY SOLUTIONS

we keep the score,you secure the win

EMPOWERING YOU TO INVEST WITH THE BEST

Plié

Correct use and development of a plié is a basic but essential movement to a dancer’s technique.

Page 3: GRAYSWAN SUMMARY SCORECARDS · Portfolio 2008 k 2009 k 2010 k 2011 k 2012 k 2013 k 2014 k 2015 k 2016 k 2017 k 2018 k 2019 k 2020 k Absa AM Money Market 12.29% 13 9.19% 13 7.46% 11

3INVESTMENT CONSULTING I WEALTH MANAGEMENT I TREASURY SOLUTIONS

In theory a "Black Swan" as first described in AD 82 depicted a creaturethat did not exist. However, in 1790 a Black Swan was discovered andtherefore proved the existence of the improbable.

Nicholas Taleb used the bird in his book, The Black Swan, to explain thatthe belief that "all swans are white" is based on the limits of ourexperience. Some occurrences are unpredictable because they deviateso far beyond what is normally expected. Such experiences are rare butwhen they occur they have massive consequences.

"Black Swan" events are therefore random and unexpected. They areunpredictable unknowns. However, “GraySwans”, as we coined theterm, are risks that can be identified and which have unintendedconsequences on investors’ portfolios and therefore should bemanaged or avoided.

At GraySwan we do not intend to predict the unpredictable.

“GraySwans” are risks that have unintended consequences but can

be identified and should be managed or avoided. Our superior

investment and risk advisory services empower you to do

exactly that.

Page 4: GRAYSWAN SUMMARY SCORECARDS · Portfolio 2008 k 2009 k 2010 k 2011 k 2012 k 2013 k 2014 k 2015 k 2016 k 2017 k 2018 k 2019 k 2020 k Absa AM Money Market 12.29% 13 9.19% 13 7.46% 11

4INVESTMENT CONSULTING I WEALTH MANAGEMENT I TREASURY SOLUTIONS

Long Short Equity ScoreCard & Long Short FoF ScoreCard

Mid & Small Cap Equity ScoreCard

BEE Equity ScoreCard

Unconstrained Equity ScoreCard

Money Market ScoreCard

Enhanced Cash ScoreCard

Bond ScoreCard

Flexible Fixed Interest ScoreCard

Credit Bond ScoreCard

Inflation Linked Bond ScoreCard

Listed Property ScoreCard

Passive SWIX ScoreCard

Quantitative Equity ScoreCard

LOCAL SPECIALIST ASSET CLASS

Constrained Equity ScoreCard

Equity ALSI ScoreCard

RI Fixed Interest ScoreCard

RI Balanced ScoreCard

RI Equity ScoreCard

RESPONSIBLE INVESTMENT

LOCAL BALANCED

Domestic Balanced ScoreCard

Guaranteed Fund ScoreCard

Domestic Absolute Return ScoreCard

We are your compass to navigate through

the investment world.

WANT MORE SCORECARDS?

Page 5: GRAYSWAN SUMMARY SCORECARDS · Portfolio 2008 k 2009 k 2010 k 2011 k 2012 k 2013 k 2014 k 2015 k 2016 k 2017 k 2018 k 2019 k 2020 k Absa AM Money Market 12.29% 13 9.19% 13 7.46% 11

5INVESTMENT CONSULTING I WEALTH MANAGEMENT I TREASURY SOLUTIONS

We are your compass to navigate through

the investment world.

MORE SCORECARDS

Offshore Passive Equity DM ScoreCard

Offshore Passive Equity EM ScoreCard

Offshore Passive Equity ACWI ScoreCard

Medical Aid Money Market ScoreCard

Medical Aid Absolute Return ScoreCard

Shariah Balanced ScoreCard

Shariah Equity ScoreCard

Global Absolute Return ScoreCard

Global Balanced ScoreCard

LOCAL MEDICAL AID

Offshore China Equity ScoreCard

Offshore Listed Property ScoreCard

Offshore Emerging Markets Equity ScoreCard

MULTI-MANAGER

Multi-Manager Money Market ScoreCard

SHARIAH

GLOBAL BALANCED

OFFSHORE SPECIALIST

Offshore Equity ScoreCard

Offshore Africa Equity ScoreCard

Offshore Balanced ScoreCard

CONSOLIDATED

GraySwan Risk Profile ScoreCard

Multi-Manager Equity ScoreCard

Multi-Manager Balanced ScoreCard

Page 6: GRAYSWAN SUMMARY SCORECARDS · Portfolio 2008 k 2009 k 2010 k 2011 k 2012 k 2013 k 2014 k 2015 k 2016 k 2017 k 2018 k 2019 k 2020 k Absa AM Money Market 12.29% 13 9.19% 13 7.46% 11

05 06 07 08

TABLE OF CONTENTS

SA MONEY MARKET FUNDS

SA ENHANCED CASH FUNDS

SA BOND FUNDS SA LISTED PROPERTY FUNDS

Page 8 Page 15 Page 22 Page 29

SA CONSTRAINEDCAPPED SWIX & SWIX EQUITY FUNDS

Page 36 Page 58

SA UNCONSTRAINED EQUITY FUNDS

SA CONSTRAINED CAPPED SWIXEQUITY FUNDS

Page 44

SA CONSTRAINED SWIX EQUITY FUNDS

Page 51

See page 81 for the GraySwan Rating MethodologySee page 82 for general notes

Page 7: GRAYSWAN SUMMARY SCORECARDS · Portfolio 2008 k 2009 k 2010 k 2011 k 2012 k 2013 k 2014 k 2015 k 2016 k 2017 k 2018 k 2019 k 2020 k Absa AM Money Market 12.29% 13 9.19% 13 7.46% 11

09 10

TABLE OF CONTENTS

AFRICA EQUITY EX SOUTH AFRICA FUNDS

SA GLOBAL BALANCED FUNDS

Page 67 Page 74

See page 81 for the GraySwan Rating MethodologySee page 82 for general notes

Page 8: GRAYSWAN SUMMARY SCORECARDS · Portfolio 2008 k 2009 k 2010 k 2011 k 2012 k 2013 k 2014 k 2015 k 2016 k 2017 k 2018 k 2019 k 2020 k Absa AM Money Market 12.29% 13 9.19% 13 7.46% 11

S A M O N E Y M A R K E T F U N D S

01

We always count.

- GraySwan motto

Page 9: GRAYSWAN SUMMARY SCORECARDS · Portfolio 2008 k 2009 k 2010 k 2011 k 2012 k 2013 k 2014 k 2015 k 2016 k 2017 k 2018 k 2019 k 2020 k Absa AM Money Market 12.29% 13 9.19% 13 7.46% 11

INVESTMENT CONSULTING I WEALTH MANAGEMENT I TREASURY SOLUTIONS 9

3 YEAR PERFORMANCE

0% 1% 2% 3% 4% 5% 6% 7% 8% 9% 10%

STeFI Call

OMIG MacroSolutions (Profile Banker)

STeFI 3 Month

STeFI

Prudential Money Market

STANLIB Corporate Money Market

Nedgroup Corporate Money Market

Absa AM Money Market

STANLIB Money Market

Ashburton Money Market

Nedgroup Money Market

Futuregrowth 90 Day Core Money Market

Mean

SIM Moderate Cash

Prescient Money Market

Momentum Investments Money Market

Coronation Strategic Cash

Aluwani Core Money Market

Cadiz Money Market

Taquanta Pooled Cash

3 YEAR ANNUALISED RETURN

Page 10: GRAYSWAN SUMMARY SCORECARDS · Portfolio 2008 k 2009 k 2010 k 2011 k 2012 k 2013 k 2014 k 2015 k 2016 k 2017 k 2018 k 2019 k 2020 k Absa AM Money Market 12.29% 13 9.19% 13 7.46% 11

INVESTMENT CONSULTING I WEALTH MANAGEMENT I TREASURY SOLUTIONS 10

5 YEAR PERFORMANCE

0% 1% 2% 3% 4% 5% 6% 7% 8% 9%

STeFI Call

OMIG MacroSolutions (Profile Banker)

STeFI 3 Month

STeFI

STANLIB Corporate Money Market

Nedgroup Corporate Money Market

Ashburton Money Market

Nedgroup Money Market

STANLIB Money Market

Absa AM Money Market

Prudential Money Market

Futuregrowth 90 Day Core Money Market

Mean

SIM Moderate Cash

Prescient Money Market

Momentum Investments Money Market

Aluwani Core Money Market

Coronation Strategic Cash

Cadiz Money Market

Taquanta Pooled Cash

5 YEAR ANNUALISED RETURN

Page 11: GRAYSWAN SUMMARY SCORECARDS · Portfolio 2008 k 2009 k 2010 k 2011 k 2012 k 2013 k 2014 k 2015 k 2016 k 2017 k 2018 k 2019 k 2020 k Absa AM Money Market 12.29% 13 9.19% 13 7.46% 11

INVESTMENT CONSULTING I WEALTH MANAGEMENT I TREASURY SOLUTIONS 11

ABSOLUTE PERFORMANCE

PortfolioSwan Star

Rating3

Months Ran

k

YTD

Ran

k 1Year R

ank 2

Year Ran

k 3Year R

ank 5

Year Ran

k 8Year R

ank 10

Year Ran

k 12Year R

ank

Absa AM Money Market ✪✪ 2.04% 2 2.04% 2 8.06% 7 7.98% 11 8.02% 12 7.94% 10 7.15% 13 7.02% 12 7.11% 12

Aluwani Core Money Market ✪✪✪✪ 1.98% 5 1.98% 5 8.27% 4 8.34% 4 8.51% 3 8.35% 4 7.59% 4 7.45% 4 7.60% 4

Ashburton Money Market ✪✪✪ 1.84% 14 1.84% 14 8.00% 10 8.00% 9 8.06% 10 7.91% 13

Cadiz Money Market ✪✪✪✪ 2.36% 1 2.36% 1 8.37% 2 8.51% 2 8.71% 2 8.42% 2 7.59% 5 7.35% 5 7.48% 5

Coronation Strategic Cash ✪✪✪✪✪ 1.98% 6 1.98% 6 8.32% 3 8.44% 3 8.49% 4 8.37% 3 7.78% 2 7.74% 2 7.84% 2

Futuregrowth 90 Day Core Money Market ✪✪✪ 2.03% 3 2.03% 3 8.10% 5 8.08% 6 8.14% 8 8.00% 8 7.26% 8 7.09% 9 7.23% 9

Momentum Investments Money Market ✪✪✪✪ 1.90% 8 1.90% 8 8.04% 9 8.03% 8 8.30% 5 8.33% 5 7.64% 3 7.56% 3 7.69% 3

Nedgroup Corporate Money Market ✪✪✪ 1.85% 13 1.85% 13 7.88% 13 7.93% 13 8.01% 13 7.87% 14

Nedgroup Money Market ✪✪✪ 1.86% 12 1.86% 12 7.95% 12 7.99% 10 8.07% 9 7.93% 12 7.23% 9 7.10% 8 7.25% 8

OMIG MacroSolutions (Profile Banker) ✪ 1.50% 16 1.50% 16 6.51% 16 6.55% 16 6.67% 16 6.65% 16 6.10% 14 6.02% 14 6.15% 14

Prescient Money Market ✪✪✪ 1.88% 11 1.88% 11 8.04% 8 8.13% 5 8.21% 6 8.05% 6 7.33% 6 7.21% 6 7.35% 6

Prudential Money Market ✪ 1.82% 15 1.82% 15 7.81% 15 7.82% 15 7.98% 15 7.98% 9 7.15% 12 6.98% 13 7.10% 13

SIM Moderate Cash ✪✪✪ 1.95% 7 1.95% 7 8.08% 6 8.06% 7 8.16% 7 8.05% 7 7.32% 7 7.16% 7 7.26% 7

STANLIB Corporate Money Market ✪✪ 1.89% 9 1.89% 9 7.84% 14 7.88% 14 7.99% 14 7.86% 15 7.15% 11 7.04% 11 7.19% 11

STANLIB Money Market ✪✪ 1.89% 10 1.89% 10 7.96% 11 7.94% 12 8.05% 11 7.94% 11 7.20% 10 7.08% 10 7.21% 10

Taquanta Pooled Cash ✪✪✪✪✪ 2.02% 4 2.02% 4 8.55% 1 8.71% 1 8.99% 1 8.72% 1 7.91% 1 7.80% 1 7.90% 1

STeFI 1.69% 1.69% 7.21% 7.24% 7.31% 7.22% 6.61% 6.51% 6.66%

Top Quartile 1.99% 1.99% 8.14% 8.18% 8.35% 8.33% 7.59% 7.43% 7.57%

Mean 1.92% 1.92% 7.99% 8.02% 8.15% 8.02% 7.31% 7.18% 7.31%

Median 1.90% 1.90% 8.04% 8.02% 8.11% 7.99% 7.29% 7.13% 7.25%

Bottom Quartile 1.86% 1.86% 7.93% 7.93% 8.02% 7.92% 7.16% 7.05% 7.20%

STeFI 3 Month 1.61% 1.61% 6.83% 6.88% 6.95% 6.86% 6.30% 6.21% 6.34%

STeFI Call 1.55% 1.55% 6.57% 6.57% 6.66% 6.58% 6.04% 5.95% 6.08%

Page 12: GRAYSWAN SUMMARY SCORECARDS · Portfolio 2008 k 2009 k 2010 k 2011 k 2012 k 2013 k 2014 k 2015 k 2016 k 2017 k 2018 k 2019 k 2020 k Absa AM Money Market 12.29% 13 9.19% 13 7.46% 11

INVESTMENT CONSULTING I WEALTH MANAGEMENT I TREASURY SOLUTIONS 12

ABSOLUTE CALENDAR YEAR PERFORMANCE

Portfolio 2008

Ran

k

2009

Ran

k

2010

Ran

k

2011

Ran

k

2012

Ran

k

2013

Ran

k

2014

Ran

k

2015

Ran

k

2016

Ran

k

2017

Ran

k

2018

Ran

k

2019

Ran

k

2020

Ran

k

Absa AM Money Market 12.29% 13 9.19% 13 7.46% 11 6.08% 9 5.86% 11 5.52% 12 5.94% 14 6.94% 9 8.29% 7 8.17% 15 7.89% 14 7.97% 12 2.04% 2

Aluwani Core Money Market 12.70% 6 10.09% 2 7.81% 4 6.54% 4 6.31% 4 5.99% 5 6.49% 4 7.23% 5 8.54% 5 8.91% 3 8.52% 4 8.34% 2 1.98% 5

Ashburton Money Market 6.94% 10 8.06% 14 8.20% 14 7.99% 10 8.13% 6 1.84% 14

Cadiz Money Market 12.84% 4 9.73% 7 7.53% 8 5.96% 11 5.84% 12 6.28% 3 6.13% 12 7.65% 1 8.15% 11 8.48% 5 9.11% 1 8.15% 5 2.36% 1

Coronation Strategic Cash 13.23% 1 9.72% 8 8.40% 1 7.35% 1 6.70% 2 6.78% 1 6.82% 1 7.32% 4 8.56% 4 8.72% 4 8.67% 3 8.32% 3 1.98% 6

Futuregrowth 90 Day Core MM 12.95% 2 9.66% 9 7.46% 10 5.95% 12 5.90% 8 5.78% 6 6.28% 7 6.87% 13 8.23% 8 8.36% 8 8.06% 8 8.03% 10 2.03% 3

Momentum Investments MM 12.74% 5 10.08% 3 8.02% 3 6.87% 3 6.58% 3 6.19% 4 6.67% 2 7.37% 3 8.86% 2 8.95% 2 8.26% 5 8.07% 8 1.90% 8

Nedgroup Corporate Money Market 5.50% 14 6.19% 11 6.91% 11 8.02% 15 8.27% 10 7.98% 11 7.97% 13 1.85% 13

Nedgroup Money Market 12.68% 7 9.73% 6 7.65% 6 6.00% 10 5.97% 7 5.70% 9 6.38% 5 7.00% 8 8.10% 13 8.24% 13 8.03% 9 8.05% 9 1.86% 12

OMIG MacroSol. (Profile Banker) 12.05% 14 8.46% 14 6.37% 14 5.40% 14 5.16% 14 4.82% 15 5.54% 15 5.87% 16 7.04% 16 6.98% 16 6.57% 16 6.68% 16 1.50% 16

Prescient Money Market 12.55% 10 10.13% 1 7.72% 5 6.28% 5 6.03% 6 5.65% 10 6.56% 3 7.02% 7 8.22% 9 8.38% 6 8.23% 6 8.18% 4 1.88% 11

Prudential Money Market 12.44% 11 9.44% 11 7.20% 13 5.89% 13 5.71% 13 5.51% 13 6.06% 13 6.51% 15 8.90% 1 8.27% 11 7.89% 15 7.91% 14 1.82% 15

SIM Moderate Cash 12.68% 8 9.28% 12 7.42% 12 6.11% 7 6.08% 5 5.74% 7 6.37% 6 7.06% 6 8.31% 6 8.36% 7 8.09% 7 8.10% 7 1.95% 7

STANLIB Corporate Money Market 12.66% 9 9.77% 5 7.55% 7 6.10% 8 5.90% 9 5.63% 11 6.28% 8 6.81% 14 8.10% 12 8.24% 12 7.94% 13 7.90% 15 1.89% 9

STANLIB Money Market 12.39% 12 9.63% 10 7.51% 9 6.14% 6 5.87% 10 5.71% 8 6.22% 10 6.88% 12 8.21% 10 8.33% 9 7.95% 12 8.02% 11 1.89% 10

Taquanta Pooled Cash 12.87% 3 9.85% 4 8.09% 2 7.03% 2 6.92% 1 6.50% 2 6.23% 9 7.55% 2 8.72% 3 9.34% 1 9.02% 2 8.73% 1 2.02% 4

STeFI 11.70% 9.13% 6.93% 5.73% 5.54% 5.19% 5.91% 6.47% 7.39% 7.54% 7.25% 7.29% 1.69%

Top Quartile 12.81% 9.83% 7.79% 6.48% 6.25% 6.09% 6.44% 7.25% 8.54% 8.54% 8.32% 8.16% 1.99%

Mean 12.65% 9.63% 7.59% 6.26% 6.06% 5.82% 6.28% 6.99% 8.27% 8.39% 8.14% 8.03% 1.92%

Median 12.68% 9.73% 7.54% 6.11% 5.94% 5.71% 6.28% 6.97% 8.22% 8.34% 8.05% 8.06% 1.90%

Bottom Quartile 12.46% 9.49% 7.46% 5.97% 5.87% 5.58% 6.16% 6.87% 8.10% 8.24% 7.95% 7.97% 1.86%

STeFI 3 Month 11.71% 8.64% 6.58% 5.48% 5.34% 5.03% 5.65% 6.08% 7.05% 7.15% 6.92% 6.92% 1.61%

STeFI Call 11.34% 8.36% 6.26% 5.29% 5.11% 4.79% 5.42% 5.79% 6.84% 6.88% 6.57% 6.64% 1.55%

Page 13: GRAYSWAN SUMMARY SCORECARDS · Portfolio 2008 k 2009 k 2010 k 2011 k 2012 k 2013 k 2014 k 2015 k 2016 k 2017 k 2018 k 2019 k 2020 k Absa AM Money Market 12.29% 13 9.19% 13 7.46% 11

INVESTMENT CONSULTING I WEALTH MANAGEMENT I TREASURY SOLUTIONS 13

3 YEAR ANNUALISED VOLATILITY & RETURN

Absa AM Money Market

Aluwani Core Money Market

Ashburton Money Market

Cadiz Money Market

Coronation Strategic Cash

Futuregrowth 90 Day Core Money Market

Momentum Investments Money Market

Nedgroup Corporate Money Market

Nedgroup Money Market

OMIG MacroSolutions (Profile Banker)

Prescient Money Market

Prudential Money Market

SIM Moderate Cash

STANLIB Corporate Money Market

STANLIB Money Market

Taquanta Pooled Cash

STeFI

STeFI 3 Month

STeFI Call

6.50%

6.75%

7.00%

7.25%

7.50%

7.75%

8.00%

8.25%

8.50%

8.75%

9.00%

0.050% 0.075% 0.100% 0.125% 0.150% 0.175% 0.200% 0.225% 0.250% 0.275% 0.300% 0.325% 0.350%

AN

NU

ALI

SED

RET

UR

N

ANNUALISED STANDARD DEVIATION

Page 14: GRAYSWAN SUMMARY SCORECARDS · Portfolio 2008 k 2009 k 2010 k 2011 k 2012 k 2013 k 2014 k 2015 k 2016 k 2017 k 2018 k 2019 k 2020 k Absa AM Money Market 12.29% 13 9.19% 13 7.46% 11

INVESTMENT CONSULTING I WEALTH MANAGEMENT I TREASURY SOLUTIONS 14

5 YEAR ANNUALISED VOLATILITY & RETURN

Absa AM Money Market

Aluwani Core Money Market

Ashburton Money Market

Cadiz Money MarketCoronation Strategic Cash

Futuregrowth 90 Day Core Money Market

Momentum Investments Money Market

Nedgroup Corporate Money Market

Nedgroup Money Market

OMIG MacroSolutions (Profile Banker)

Prescient Money Market

Prudential Money Market

SIM Moderate Cash

STANLIB Corporate Money MarketSTANLIB Money Market

Taquanta Pooled Cash

STeFI

STeFI 3 Month

STeFI Call

6.50%

6.75%

7.00%

7.25%

7.50%

7.75%

8.00%

8.25%

8.50%

8.75%

0.100% 0.125% 0.150% 0.175% 0.200% 0.225% 0.250% 0.275% 0.300% 0.325%

AN

NU

ALI

SED

RET

UR

N

ANNUALISED STANDARD DEVIATION

Page 15: GRAYSWAN SUMMARY SCORECARDS · Portfolio 2008 k 2009 k 2010 k 2011 k 2012 k 2013 k 2014 k 2015 k 2016 k 2017 k 2018 k 2019 k 2020 k Absa AM Money Market 12.29% 13 9.19% 13 7.46% 11

02

S A E N H A N C E D C A S HF U N D S

In investing, experience is not only the best teacher, it’s the only teacher.

- Charles D. Ellis

Page 16: GRAYSWAN SUMMARY SCORECARDS · Portfolio 2008 k 2009 k 2010 k 2011 k 2012 k 2013 k 2014 k 2015 k 2016 k 2017 k 2018 k 2019 k 2020 k Absa AM Money Market 12.29% 13 9.19% 13 7.46% 11

INVESTMENT CONSULTING I WEALTH MANAGEMENT I TREASURY SOLUTIONS 16

3 YEAR PERFORMANCE

0% 1% 2% 3% 4% 5% 6% 7% 8% 9% 10%

STeFI Call

STeFI 3 Month

STeFI

Prudential High Interest

Futuregrowth Enhanced 180 day MM

Argon Enhanced Money Market

Ninety One Money

Nedgroup Core Income

SIM Cash Enhanced

Coronation Institutional Cash

Ninety One Stable Money

Balondolozi Cash

Mean

Momentum Investments Enhanced Yield

Aluwani Cash Plus

Ashburton Cash Plus

STANLIB Enhanced Yield

Taquanta Core Cash

3 YEAR ANNUALISED RETURN

Page 17: GRAYSWAN SUMMARY SCORECARDS · Portfolio 2008 k 2009 k 2010 k 2011 k 2012 k 2013 k 2014 k 2015 k 2016 k 2017 k 2018 k 2019 k 2020 k Absa AM Money Market 12.29% 13 9.19% 13 7.46% 11

INVESTMENT CONSULTING I WEALTH MANAGEMENT I TREASURY SOLUTIONS 17

5 YEAR PERFORMANCE

0% 1% 2% 3% 4% 5% 6% 7% 8% 9% 10%

STeFI Call

STeFI 3 Month

STeFI

Futuregrowth Enhanced 180 day MM

Argon Enhanced Money Market

Prudential High Interest

Ninety One Money

Ninety One Stable Money

Coronation Institutional Cash

Nedgroup Core Income

Mean

Momentum Investments Enhanced Yield

SIM Cash Enhanced

Aluwani Cash Plus

STANLIB Enhanced Yield

Taquanta Core Cash

5 YEAR ANNUALISED RETURN

Page 18: GRAYSWAN SUMMARY SCORECARDS · Portfolio 2008 k 2009 k 2010 k 2011 k 2012 k 2013 k 2014 k 2015 k 2016 k 2017 k 2018 k 2019 k 2020 k Absa AM Money Market 12.29% 13 9.19% 13 7.46% 11

INVESTMENT CONSULTING I WEALTH MANAGEMENT I TREASURY SOLUTIONS 18

ABSOLUTE PERFORMANCE

PortfolioSwan Star

Rating3

Months Ran

k

YTD

Ran

k 1Year R

ank 2

Year Ran

k 3Year R

ank 5

Year Ran

k 8Year R

ank 10

Year Ran

k 12Year R

ank

Aluwani Cash Plus ✪✪✪✪ 1.93% 12 1.93% 12 8.42% 9 8.60% 4 8.80% 4 8.66% 3 7.90% 3 7.78% 2 8.32% 4

Argon Enhanced Money Market ✪✪ 2.21% 1 2.21% 1 8.50% 7 8.33% 12 8.49% 12 8.31% 11 7.56% 10 7.35% 10 7.86% 11

Ashburton Cash Plus ✪✪✪ 1.69% 15 1.69% 15 8.31% 13 8.64% 2 8.81% 3

Balondolozi Cash ✪ 2.04% 6 2.04% 6 8.64% 2 8.47% 10 8.67% 6

Coronation Institutional Cash ✪✪✪✪ 1.98% 8 1.98% 8 8.35% 11 8.50% 7 8.63% 8 8.44% 7 7.71% 6 7.60% 7 8.10% 8

Futuregrowth Enhanced 180 day MM ✪✪ 2.04% 5 2.04% 5 8.35% 10 8.30% 13 8.38% 13 8.27% 12 7.47% 12 7.30% 11 7.94% 10

Momentum Investments Enhanced Yield ✪✪✪✪✪ 1.96% 10 1.96% 10 8.52% 5 8.56% 5 8.71% 5 8.56% 5 7.87% 4 7.78% 3 8.33% 3

Nedgroup Core Income ✪✪✪✪ 2.00% 7 2.00% 7 8.46% 8 8.50% 8 8.62% 10 8.46% 6 7.71% 7 7.64% 5 8.20% 5

Ninety One Money ✪✪✪ 2.08% 3 2.08% 3 8.56% 3 8.55% 6 8.58% 11 8.35% 9 7.62% 8 7.56% 8 8.15% 6

Ninety One Stable Money ✪ 2.09% 2 2.09% 2 8.54% 4 8.49% 9 8.64% 7 8.39% 8 7.50% 11 7.40% 9 7.96% 9

OM Institutional Short-term Interest - 1.97% 9 1.97% 9 8.34% 12

Prudential High Interest ✪✪ 1.81% 13 1.81% 13 8.10% 15 8.21% 14 8.37% 14 8.34% 10 7.58% 9

SIM Cash Enhanced ✪✪✪ 1.74% 14 1.74% 14 8.23% 14 8.35% 11 8.62% 9 8.58% 4 7.81% 5 7.61% 6 8.12% 7

STANLIB Enhanced Yield ✪✪✪ 1.95% 11 1.95% 11 8.50% 6 8.63% 3 8.91% 2 8.77% 2 7.94% 2 7.78% 4 8.33% 2

Taquanta Core Cash ✪✪✪✪✪ 2.08% 4 2.08% 4 8.88% 1 9.04% 1 9.33% 1 9.00% 1 8.15% 1 8.00% 1 8.49% 1

STeFI 1.69% 1.69% 7.21% 7.24% 7.31% 7.22% 6.61% 6.51% 7.08%

Top Quartile 2.06% 2.06% 8.53% 8.59% 8.78% 8.60% 7.88% 7.78% 8.32%

Mean 1.97% 1.97% 8.45% 8.51% 8.68% 8.51% 7.73% 7.62% 8.16%

Median 1.98% 1.98% 8.46% 8.50% 8.64% 8.45% 7.71% 7.61% 8.15%

Bottom Quartile 1.94% 1.94% 8.34% 8.38% 8.59% 8.35% 7.57% 7.48% 8.03%

STeFI 3 Month 1.61% 1.61% 6.83% 6.88% 6.95% 6.86% 6.30% 6.21% 6.77%

STeFI Call 1.55% 1.55% 6.57% 6.57% 6.66% 6.58% 6.04% 5.95% 6.51%

Page 19: GRAYSWAN SUMMARY SCORECARDS · Portfolio 2008 k 2009 k 2010 k 2011 k 2012 k 2013 k 2014 k 2015 k 2016 k 2017 k 2018 k 2019 k 2020 k Absa AM Money Market 12.29% 13 9.19% 13 7.46% 11

INVESTMENT CONSULTING I WEALTH MANAGEMENT I TREASURY SOLUTIONS 19

ABSOLUTE CALENDAR YEAR PERFORMANCE

Portfolio 2008

Ran

k

2009

Ran

k

2010

Ran

k

2011

Ran

k

2012

Ran

k

2013

Ran

k

2014

Ran

k

2015

Ran

k

2016

Ran

k

2017

Ran

k

2018

Ran

k

2019

Ran

k

2020

Ran

k

Aluwani Cash Plus 12.83% 7 10.04% 4 8.03% 6 7.04% 3 6.78% 3 6.42% 4 6.67% 3 7.37% 5 8.89% 5 9.25% 2 8.99% 3 8.64% 4 1.93% 12

Argon Enhanced Money Market 12.09% 11 9.83% 8 7.23% 11 6.08% 12 6.60% 6 5.88% 10 6.32% 9 6.93% 11 8.78% 6 8.83% 12 8.20% 14 8.31% 14 2.21% 1

Ashburton Cash Plus 5.40% 14 8.99% 7 9.03% 2 8.86% 3 1.69% 15

Balondolozi Cash 8.72% 7 8.90% 10 8.52% 10 8.60% 6 2.04% 6

Coronation Institutional Cash 12.94% 4 9.15% 11 7.61% 10 7.00% 4 6.57% 7 5.97% 9 6.89% 1 7.62% 2 8.23% 13 8.96% 8 8.69% 6 8.48% 11 1.98% 8

Futuregrowth Enh. 180 day MM 13.22% 1 9.89% 7 7.73% 8 6.15% 11 6.25% 12 5.67% 12 6.36% 8 7.14% 8 8.60% 10 8.64% 13 8.27% 13 8.34% 12 2.04% 5

Momentum Investments Enh. Yield 12.79% 9 10.14% 2 8.25% 2 7.09% 2 6.92% 2 6.46% 3 6.71% 2 7.47% 4 8.66% 8 9.21% 3 8.65% 7 8.64% 5 1.96% 10

Nedgroup Core Income 12.89% 5 9.98% 6 8.30% 1 6.93% 5 6.71% 4 6.34% 6 6.28% 10 7.50% 3 8.60% 9 8.84% 11 8.56% 9 8.56% 8 2.00% 7

Ninety One Money 13.12% 2 10.01% 5 8.24% 3 6.89% 6 6.71% 5 6.25% 7 6.25% 11 7.14% 7 8.48% 11 8.61% 14 8.59% 8 8.56% 9 2.08% 3

Ninety One Stable Money 12.24% 10 10.05% 3 7.83% 7 6.65% 8 6.36% 11 5.82% 11 5.91% 12 7.07% 9 8.43% 12 8.96% 9 8.48% 11 8.53% 10 2.09% 2

OM Institutional Short-term Int. 8.04% 15 1.97% 9

Prudential High Interest 6.54% 9 6.44% 10 6.08% 8 6.39% 6 6.67% 12 9.16% 3 9.01% 6 8.36% 12 8.32% 13 1.81% 13

SIM Cash Enhanced 12.80% 8 9.50% 10 7.62% 9 6.46% 10 6.55% 8 6.36% 5 6.53% 4 7.31% 6 9.26% 2 9.08% 5 8.71% 5 8.59% 7 1.74% 14

STANLIB Enhanced Yield 12.87% 6 10.23% 1 8.06% 4 6.77% 7 6.51% 9 6.64% 2 6.46% 5 7.04% 10 9.56% 1 9.11% 4 8.96% 4 8.90% 2 1.95% 11

Taquanta Core Cash 13.01% 3 9.77% 9 8.06% 5 7.12% 1 7.06% 1 6.74% 1 6.36% 7 7.65% 1 8.98% 4 9.69% 1 9.25% 1 9.19% 1 2.08% 4

STeFI 11.70% 9.13% 6.93% 5.73% 5.54% 5.19% 5.91% 6.47% 7.39% 7.54% 7.25% 7.29% 1.69%

Top Quartile 12.97% 10.05% 8.15% 7.01% 6.73% 6.43% 6.56% 7.48% 8.96% 9.10% 8.90% 8.64% 2.06%

Mean 12.80% 9.87% 7.91% 6.73% 6.62% 6.22% 6.43% 7.24% 8.55% 9.01% 8.66% 8.57% 1.97%

Median 12.87% 9.98% 8.03% 6.83% 6.59% 6.29% 6.38% 7.23% 8.69% 8.97% 8.62% 8.56% 1.98%

Bottom Quartile 12.80% 9.80% 7.67% 6.52% 6.49% 5.95% 6.31% 7.06% 8.51% 8.85% 8.49% 8.41% 1.94%

STeFI 3 Month 11.71% 8.64% 6.58% 5.48% 5.34% 5.03% 5.65% 6.08% 7.05% 7.15% 6.92% 6.92% 1.61%

STeFI Call 11.34% 8.36% 6.26% 5.29% 5.11% 4.79% 5.42% 5.79% 6.84% 6.88% 6.57% 6.64% 1.55%

Page 20: GRAYSWAN SUMMARY SCORECARDS · Portfolio 2008 k 2009 k 2010 k 2011 k 2012 k 2013 k 2014 k 2015 k 2016 k 2017 k 2018 k 2019 k 2020 k Absa AM Money Market 12.29% 13 9.19% 13 7.46% 11

INVESTMENT CONSULTING I WEALTH MANAGEMENT I TREASURY SOLUTIONS 20

Aluwani Cash Plus

Argon Enhanced Money Market

Ashburton Cash Plus

Balondolozi Cash

Coronation Institutional Cash

Futuregrowth Enhanced 180 day MM

Momentum Investments Enhanced Yield

Nedgroup Core Income

Ninety One Money

Ninety One Stable Money

Prudential High Interest

SIM Cash Enhanced

STANLIB Enhanced Yield

Taquanta Core Cash

8.25%

8.50%

8.75%

9.00%

9.25%

9.50%

0.100% 0.125% 0.150% 0.175% 0.200% 0.225% 0.250% 0.275% 0.300%

AN

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ANNUALISED STANDARD DEVIATION

3 YEAR ANNUALISED VOLATILITY & RETURN

*excluding benchmarks

Page 21: GRAYSWAN SUMMARY SCORECARDS · Portfolio 2008 k 2009 k 2010 k 2011 k 2012 k 2013 k 2014 k 2015 k 2016 k 2017 k 2018 k 2019 k 2020 k Absa AM Money Market 12.29% 13 9.19% 13 7.46% 11

INVESTMENT CONSULTING I WEALTH MANAGEMENT I TREASURY SOLUTIONS 21

Aluwani Cash Plus

Argon Enhanced Money Market

Coronation Institutional Cash

Futuregrowth Enhanced 180 day MM

Momentum Investments Enhanced Yield

Nedgroup Core Income

Ninety One Money

Ninety One Stable Money

Prudential High Interest

SIM Cash Enhanced

STANLIB Enhanced Yield

Taquanta Core Cash

8.2%

8.3%

8.4%

8.5%

8.6%

8.7%

8.8%

8.9%

9.0%

9.1%

0.150% 0.175% 0.200% 0.225% 0.250% 0.275% 0.300% 0.325% 0.350% 0.375% 0.400%

AN

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ANNUALISED STANDARD DEVIATION

5 YEAR ANNUALISED VOLATILITY & RETURN

*excluding benchmarks

Page 22: GRAYSWAN SUMMARY SCORECARDS · Portfolio 2008 k 2009 k 2010 k 2011 k 2012 k 2013 k 2014 k 2015 k 2016 k 2017 k 2018 k 2019 k 2020 k Absa AM Money Market 12.29% 13 9.19% 13 7.46% 11

03

S A B O N D F U N D S

We provide premium and tailor-made investment advisory services.

- GraySwan

Page 23: GRAYSWAN SUMMARY SCORECARDS · Portfolio 2008 k 2009 k 2010 k 2011 k 2012 k 2013 k 2014 k 2015 k 2016 k 2017 k 2018 k 2019 k 2020 k Absa AM Money Market 12.29% 13 9.19% 13 7.46% 11

INVESTMENT CONSULTING I WEALTH MANAGEMENT I TREASURY SOLUTIONS 23

3 YEAR PERFORMANCE

-5% -4% -3% -2% -1% 0% 1% 2% 3% 4% 5% 6% 7% 8%

BEASSA Inflation Linked

Coronation Strategic Bond

Cadiz Houseview Bond

Prescient Bond Quantplus

Prudential Yield Enhanced Bonds

Ninety One Flexible Bond

ALBI

Futuregrowth Active Bond

Prescient Bond Quant

Momentum Investments Bond

SIM Institutional Total Return Bond

Coronation Active Bond

Aluwani Active Bond

Prowess Corporate Bond

Futuregrowth Core Bond

Mean

Ashburton Bond

Argon SA Bond

Futuregrowth Infrastructure & Development Bond

Balondolozi Bond

Ninety One Triple Alpha

STANLIB Core Bond

Futuregrowth Yield Enhanced Bond

Absa AM Bond

Vunani Domestic Active Bond

Abax Bond

STeFI

Ninety One Corporate Bond

3 YEAR ANNUALISED RETURN

Page 24: GRAYSWAN SUMMARY SCORECARDS · Portfolio 2008 k 2009 k 2010 k 2011 k 2012 k 2013 k 2014 k 2015 k 2016 k 2017 k 2018 k 2019 k 2020 k Absa AM Money Market 12.29% 13 9.19% 13 7.46% 11

INVESTMENT CONSULTING I WEALTH MANAGEMENT I TREASURY SOLUTIONS 24

5 YEAR PERFORMANCE

-1% 0% 1% 2% 3% 4% 5% 6% 7% 8%

BEASSA Inflation Linked

Cadiz Houseview Bond

Coronation Strategic Bond

ALBI

Futuregrowth Active Bond

SIM Institutional Total Return Bond

Momentum Investments Bond

Prudential Yield Enhanced Bonds

Prescient Bond Quant

Futuregrowth Core Bond

Ninety One Flexible Bond

Aluwani Active Bond

Prescient Bond Quantplus

Prowess Corporate Bond

Coronation Active Bond

Ashburton Bond

Mean

Argon SA Bond

Futuregrowth Infrastructure & Development Bond

Ninety One Triple Alpha

Vunani Domestic Active Bond

STANLIB Core Bond

Futuregrowth Yield Enhanced Bond

Absa AM Bond

Balondolozi Bond

Abax Bond

STeFI

Ninety One Corporate Bond

5 YEAR ANNUALISED RETURN

Page 25: GRAYSWAN SUMMARY SCORECARDS · Portfolio 2008 k 2009 k 2010 k 2011 k 2012 k 2013 k 2014 k 2015 k 2016 k 2017 k 2018 k 2019 k 2020 k Absa AM Money Market 12.29% 13 9.19% 13 7.46% 11

INVESTMENT CONSULTING I WEALTH MANAGEMENT I TREASURY SOLUTIONS 25

ABSOLUTE PERFORMANCE

PortfolioSwan Star

Rating3

Months Ran

k

YTD

Ran

k 1Year R

ank 2

Year Ran

k 3Year R

ank 5

Year Ran

k 8Year R

ank 10

Year Ran

k 12Year R

ank

Abax Bond ✪✪✪✪✪ -7.50% 1 -7.50% 1 -1.11% 2 2.25% 2 7.04% 2 7.18% 2

Absa AM Bond ✪✪✪✪ -8.71% 8 -8.71% 8 -1.94% 5 1.43% 5 6.61% 4 6.84% 4 7.68% 6 8.27% 7 8.48% 18

Aluwani Active Bond ✪✪✪ -8.77% 9 -8.77% 9 -2.99% 12 0.49% 13 5.68% 14 5.69% 15 7.15% 11 8.05% 12 8.88% 8

Argon SA Bond ✪✪✪ -10.19% 20 -10.19% 20 -3.65% 17 0.87% 10 6.04% 10 6.16% 10 7.89% 4 8.17% 9 8.63% 16

Ashburton Bond ✪✪✪ -9.37% 16 -9.37% 16 -3.07% 13 0.59% 12 5.89% 11 5.98% 11

Balondolozi Bond ✪✪✪✪ -8.78% 10 -8.78% 10 -2.35% 7 1.24% 7 6.14% 8 6.85% 3

Cadiz Houseview Bond ✪ -11.40% 23 -11.40% 23 -5.79% 23 -1.06% 23 3.73% 23 4.47% 24 6.39% 21 7.40% 21 8.21% 20

Coronation Active Bond ✪✪✪ -9.13% 13 -9.13% 13 -3.83% 20 -0.04% 20 5.60% 15 5.85% 12 7.51% 8 8.42% 6 8.98% 6

Coronation Strategic Bond ✪ -11.87% 24 -11.87% 24 -7.39% 24 -2.36% 24 3.63% 24 4.64% 23 6.92% 19 7.95% 16 8.72% 11

Futuregrowth Active Bond ✪✪ -9.09% 12 -9.09% 12 -3.32% 14 0.29% 17 5.31% 19 5.29% 22 7.09% 12 7.98% 14 8.66% 14

Futuregrowth Core Bond ✪✪✪ -8.49% 6 -8.49% 6 -2.53% 8 0.80% 11 5.76% 12 5.61% 17 7.24% 10 8.07% 11 8.70% 12

Futuregrowth Infrastructure & Dev. Bond ✪✪✪✪ -10.21% 21 -10.21% 21 -3.79% 19 0.45% 15 6.09% 9 6.36% 9 8.46% 2 9.54% 2 10.11% 2

Futuregrowth Yield Enhanced Bond ✪✪✪✪✪ -9.20% 15 -9.20% 15 -2.63% 10 1.26% 6 6.50% 5 6.71% 5 8.68% 1 9.64% 1 10.20% 1

Momentum Investments Bond ✪✪ -8.82% 11 -8.82% 11 -2.65% 11 0.48% 14 5.46% 17 5.50% 20 7.04% 15 7.95% 15 8.79% 9

Ninety One Corporate Bond ✪✪✪✪✪ -8.32% 3 -8.32% 3 -1.07% 1 2.30% 1 7.44% 1 7.63% 1 8.21% 3 9.26% 3 10.04% 3

Ninety One Flexible Bond ✪ -10.47% 22 -10.47% 22 -4.42% 21 -0.53% 22 5.25% 20 5.63% 16 7.04% 16 7.88% 17 8.64% 15

Ninety One Triple Alpha ✪✪✪ -8.46% 5 -8.46% 5 -2.00% 6 1.16% 8 6.33% 7 6.38% 8 7.39% 9 8.27% 8 8.96% 7

Prescient Bond Quant ✪✪ -9.18% 14 -9.18% 14 -3.44% 15 -0.01% 18 5.37% 18 5.60% 18 6.95% 18 7.76% 18 8.46% 19

Prescient Bond Quantplus ✪✪✪ -9.73% 18 -9.73% 18 -5.31% 22 -0.03% 19 4.96% 22 5.72% 14 6.96% 17 7.67% 19 8.54% 17

Prowess Corporate Bond ✪✪✪ -8.49% 7 -8.49% 7 -2.57% 9 1.55% 4 5.73% 13 5.79% 13 6.83% 20 7.64% 20

Prudential Yield Enhanced Bonds ✪✪ -9.39% 17 -9.39% 17 -3.70% 18 -0.10% 21 5.23% 21 5.55% 19 7.04% 14 8.16% 10 8.78% 10

SIM Institutional Total Return Bond ✪✪ -9.75% 19 -9.75% 19 -3.52% 16 0.33% 16 5.54% 16 5.46% 21 7.05% 13 8.02% 13 8.67% 13

STANLIB Core Bond ✪✪✪✪ -7.98% 2 -7.98% 2 -1.79% 4 0.99% 9 6.35% 6 6.43% 6 7.61% 7 8.48% 5 9.04% 5

Vunani Domestic Active Bond ✪✪✪✪ -8.35% 4 -8.35% 4 -1.61% 3 1.69% 3 6.69% 3 6.41% 7 7.71% 5 8.53% 4 9.20% 4

ALBI -8.72% -8.72% -2.99% 0.18% 5.27% 5.18% 6.58% 7.40% 8.00%

Top Quartile -8.49% -8.49% -2.26% 1.24% 6.34% 6.42% 7.68% 8.42% 8.99%

Mean -9.24% -9.24% -3.19% 0.59% 5.77% 5.99% 7.37% 8.24% 8.93%

Median -9.11% -9.11% -3.03% 0.54% 5.74% 5.82% 7.15% 8.07% 8.75%

Bottom Quartile -9.73% -9.73% -3.72% -0.01% 5.36% 5.59% 7.04% 7.95% 8.64%

BEASSA Inflation Linked -16.82% -16.82% -15.23% -9.75% -4.25% -0.85% 2.83% 4.89% 5.35%

STeFI 1.69% 1.69% 7.21% 7.24% 7.31% 7.22% 6.61% 6.51% 7.08%

Page 26: GRAYSWAN SUMMARY SCORECARDS · Portfolio 2008 k 2009 k 2010 k 2011 k 2012 k 2013 k 2014 k 2015 k 2016 k 2017 k 2018 k 2019 k 2020 k Absa AM Money Market 12.29% 13 9.19% 13 7.46% 11

INVESTMENT CONSULTING I WEALTH MANAGEMENT I TREASURY SOLUTIONS 26

ABSOLUTE CALENDAR YEAR PERFORMANCE

Portfolio 2008

Ran

k

2009

Ran

k

2010

Ran

k

2011

Ran

k

2012

Ran

k

2013

Ran

k

2014

Ran

k

2015

Ran

k

2016

Ran

k

2017

Ran

k

2018

Ran

k

2019

Ran

k

2020

Ran

k

Abax Bond -1.51% 7 17.49% 2 11.91% 4 10.06% 1 11.02% 12 -7.50% 1

Absa AM Bond 14.91% 20 -0.61% 19 14.45% 20 9.13% 17 15.76% 18 0.71% 21 10.26% 10 -1.14% 6 16.63% 9 12.41% 2 8.51% 11 11.99% 3 -8.71% 8

Aluwani Active Bond 18.60% 2 1.33% 6 16.41% 8 9.63% 12 17.21% 10 1.38% 19 10.18% 11 -3.52% 22 16.28% 14 11.09% 16 8.44% 12 10.39% 18 -8.77% 9

Argon SA Bond 16.98% 19 -1.04% 21 13.81% 21 6.83% 21 18.54% 3 2.68% 6 11.08% 5 -2.46% 12 16.37% 13 11.73% 8 9.30% 4 12.09% 2 -10.19% 20

Ashburton Bond 10.12% 13 -2.47% 13 15.81% 19 11.27% 13 8.77% 8 11.21% 8 -9.37% 16

Balondolozi Bond 7.96% 22 -0.82% 4 17.49% 3 12.31% 3 8.53% 10 10.81% 14 -8.78% 10

Cadiz Houseview Bond 17.79% 11 0.72% 11 16.07% 15 8.99% 20 17.15% 13 1.93% 13 9.97% 14 -2.52% 14 15.47% 23 8.95% 24 6.85% 24 10.71% 15 -11.40% 23

Coronation Active Bond 17.78% 12 0.00% 15 16.12% 14 9.85% 6 17.66% 6 2.30% 10 11.33% 4 -2.98% 15 16.65% 8 11.55% 10 8.60% 9 9.86% 22 -9.13% 13

Coronation Strategic Bond 18.54% 5 1.14% 8 16.34% 10 9.70% 9 18.25% 4 2.75% 5 11.68% 3 -2.33% 11 16.12% 16 11.07% 17 7.07% 23 9.03% 23 -11.87% 24

Futuregrowth Active Bond 18.49% 6 -0.13% 16 16.14% 13 9.69% 10 17.21% 9 2.42% 9 10.50% 7 -3.46% 20 15.61% 22 10.62% 23 8.06% 17 10.21% 21 -9.09% 12

Futuregrowth Core Bond 17.64% 14 -0.27% 18 16.39% 9 9.35% 15 17.30% 8 2.14% 11 10.32% 8 -3.56% 23 15.78% 21 11.06% 18 8.21% 16 10.47% 17 -8.49% 6

Futuregrowth Infr. & Dev. Bond 18.31% 7 1.57% 5 18.91% 1 11.38% 2 19.64% 1 3.67% 1 12.80% 2 -0.71% 2 16.63% 10 11.76% 7 9.20% 5 11.25% 7 -10.21% 21

Futuregrowth Yield Enhanced Bond 18.69% 1 1.06% 9 18.44% 3 11.29% 3 19.58% 2 3.29% 2 12.81% 1 -0.82% 3 16.98% 5 11.88% 5 9.53% 3 11.43% 5 -9.20% 15

Momentum Investments Bond 18.55% 4 1.33% 7 16.33% 11 9.59% 13 17.17% 11 1.34% 20 10.28% 9 -3.51% 21 16.00% 17 10.78% 21 7.65% 22 10.92% 13 -8.82% 11

Ninety One Corporate Bond 17.80% 10 2.63% 2 18.70% 2 11.56% 1 17.16% 12 3.21% 3 7.02% 23 -0.20% 1 17.13% 4 12.53% 1 10.00% 2 12.50% 1 -8.32% 3

Ninety One Flexible Bond 18.58% 3 0.40% 13 16.03% 16 9.09% 18 16.05% 17 1.95% 12 9.75% 16 -1.87% 9 15.79% 20 11.43% 11 7.93% 20 11.20% 9 -10.47% 22

Ninety One Triple Alpha 18.05% 8 0.60% 12 16.48% 7 9.82% 7 16.49% 16 1.90% 14 8.82% 21 -2.00% 10 15.99% 18 11.40% 12 8.79% 7 11.33% 6 -8.46% 5

Prescient Bond Quant 17.34% 17 0.96% 10 15.39% 17 9.48% 14 15.56% 19 1.59% 18 10.13% 12 -3.08% 17 16.13% 15 11.15% 15 7.95% 19 10.33% 20 -9.18% 14

Prescient Bond Quantplus 17.59% 16 3.58% 1 14.88% 19 9.17% 16 13.53% 21 3.01% 4 9.68% 17 -1.63% 8 16.37% 12 11.81% 6 8.35% 15 8.84% 24 -9.73% 18

Prowess Corporate Bond 2.28% 4 15.34% 18 9.02% 19 14.15% 20 2.49% 7 9.03% 20 -1.09% 5 13.50% 24 10.93% 19 8.00% 18 10.58% 16 -8.49% 7

Prudential Yield Enhanced Bonds 17.60% 15 0.03% 14 17.30% 4 10.56% 5 17.15% 14 1.77% 15 9.87% 15 -2.99% 16 16.52% 11 10.64% 22 7.93% 21 10.39% 19 -9.39% 17

SIM Institutional Total Return Bond 17.72% 13 -0.78% 20 16.82% 5 9.67% 11 16.69% 15 1.70% 16 10.66% 6 -4.28% 24 16.73% 7 10.84% 20 8.37% 14 11.19% 10 -9.75% 19

STANLIB Core Bond 17.02% 18 -0.19% 17 16.27% 12 10.61% 4 17.77% 5 1.62% 17 9.61% 19 -3.26% 19 17.51% 1 11.64% 9 8.40% 13 11.12% 11 -7.98% 2

Vunani Domestic Active Bond 17.82% 9 2.33% 3 16.72% 6 9.73% 8 17.59% 7 2.44% 8 9.68% 18 -3.26% 18 16.93% 6 11.17% 14 9.20% 6 11.98% 4 -8.35% 4

ALBI 16.97% -0.99% 14.96% 8.82% 15.99% 0.64% 10.15% -3.93% 15.45% 10.22% 7.69% 10.32% -8.72%

Top Quartile 18.50% 1.33% 16.72% 9.85% 17.66% 2.68% 10.58% -1.41% 16.78% 11.77% 8.89% 11.27% -8.49%

Mean 17.79% 0.81% 16.35% 9.72% 17.03% 2.20% 10.15% -2.31% 16.33% 11.33% 8.49% 10.87% -9.24%

Median 17.79% 0.72% 16.33% 9.67% 17.17% 2.14% 10.13% -2.47% 16.37% 11.34% 8.42% 10.97% -9.11%

Bottom Quartile 17.60% -0.13% 16.03% 9.17% 16.49% 1.70% 9.68% -3.26% 15.94% 11.03% 7.99% 10.39% -9.73%

BEASSA Inflation Linked 13.62% 7.66% 10.97% 13.05% 19.37% 0.79% 11.15% 3.68% 6.27% 2.93% -0.43% 2.25% -16.82%

STeFI 11.70% 9.13% 6.93% 5.73% 5.54% 5.19% 5.91% 6.47% 7.39% 7.54% 7.25% 7.29% 1.69%

Page 27: GRAYSWAN SUMMARY SCORECARDS · Portfolio 2008 k 2009 k 2010 k 2011 k 2012 k 2013 k 2014 k 2015 k 2016 k 2017 k 2018 k 2019 k 2020 k Absa AM Money Market 12.29% 13 9.19% 13 7.46% 11

INVESTMENT CONSULTING I WEALTH MANAGEMENT I TREASURY SOLUTIONS 27

3 YEAR ANNUALISED VOLATILITY & RETURN

*excluding STeFI and BEASSA Inflation Linked benchmarks

Abax Bond

Absa AM Bond

Aluwani Active Bond

Argon SA Bond

Ashburton Bond

Balondolozi Bond

Coronation Active Bond

Futuregrowth Active Bond

Futuregrowth Core Bond

Futuregrowth Infrastructure & Development Bond

Futuregrowth Yield Enhanced Bond

Momentum Investments Bond

Ninety One Corporate Bond

Ninety One Flexible Bond

Ninety One Triple Alpha

Prescient Bond Quant

Prescient Bond Quantplus

Prowess Corporate Bond

Prudential Yield Enhanced Bonds

SIM Institutional Total Return Bond

STANLIB Core Bond

Vunani Domestic Active Bond

ALBI

4.5%

5.0%

5.5%

6.0%

6.5%

7.0%

7.5%

7.50% 7.75% 8.00% 8.25% 8.50% 8.75% 9.00% 9.25% 9.50%

AN

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ANNUALISED STANDARD DEVIATION

Page 28: GRAYSWAN SUMMARY SCORECARDS · Portfolio 2008 k 2009 k 2010 k 2011 k 2012 k 2013 k 2014 k 2015 k 2016 k 2017 k 2018 k 2019 k 2020 k Absa AM Money Market 12.29% 13 9.19% 13 7.46% 11

INVESTMENT CONSULTING I WEALTH MANAGEMENT I TREASURY SOLUTIONS 28

Abax Bond

Absa AM Bond

Aluwani Active Bond

Argon SA Bond

Ashburton Bond

Balondolozi Bond

Cadiz Houseview Bond

Coronation Active Bond

Coronation Strategic Bond

Futuregrowth Active Bond

Futuregrowth Core Bond

Futuregrowth Infrastructure & Development Bond

Futuregrowth Yield Enhanced Bond

Momentum Investments Bond

Ninety One Corporate Bond

Ninety One Flexible Bond

Ninety One Triple Alpha

Prescient Bond QuantPrescient Bond QuantplusProwess Corporate Bond

Prudential Yield Enhanced Bonds

SIM Institutional Total Return Bond

Vunani Domestic Active Bond

ALBI

STANLIB Core Bond

4%

5%

6%

7%

8%

6.5% 7.0% 7.5% 8.0% 8.5% 9.0% 9.5% 10.0%

AN

NU

ALI

SED

RET

UR

N

ANNUALISED STANDARD DEVIATION

5 YEAR ANNUALISED VOLATILITY & RETURN

*excluding STeFI and BEASSA Inflation Linked benchmarks

Page 29: GRAYSWAN SUMMARY SCORECARDS · Portfolio 2008 k 2009 k 2010 k 2011 k 2012 k 2013 k 2014 k 2015 k 2016 k 2017 k 2018 k 2019 k 2020 k Absa AM Money Market 12.29% 13 9.19% 13 7.46% 11

04

S A L I S T E D P R O P E R T YF U N D S

Consult with wise men, let their wisdom protect thy treasure from unsafe investments.

- George S. Classen

Page 30: GRAYSWAN SUMMARY SCORECARDS · Portfolio 2008 k 2009 k 2010 k 2011 k 2012 k 2013 k 2014 k 2015 k 2016 k 2017 k 2018 k 2019 k 2020 k Absa AM Money Market 12.29% 13 9.19% 13 7.46% 11

INVESTMENT CONSULTING I WEALTH MANAGEMENT I TREASURY SOLUTIONS 30

3 YEAR PERFORMANCE

-30% -28% -26% -24% -22% -20% -18% -16% -14% -12% -10% -8% -6% -4% -2% 0%

Nedgroup Investments Property

ALPI

Prudential SA Property

SIM Property

STANLIB Property Income

SAPY

Satrix Property Index

Prescient Property

Ninety One Property Equity

Mean

Coronation Property Equity

Catalyst SA Property

Momentum Investments Property

Old Mutual SA Listed Property Index

Metope Listed Property

Absa AM Domestic Property

Old Mutual SA Quoted Property

Sesfikile SA Listed Property

JSE SWIX

3 YEAR ANNUALISED RETURN

Page 31: GRAYSWAN SUMMARY SCORECARDS · Portfolio 2008 k 2009 k 2010 k 2011 k 2012 k 2013 k 2014 k 2015 k 2016 k 2017 k 2018 k 2019 k 2020 k Absa AM Money Market 12.29% 13 9.19% 13 7.46% 11

INVESTMENT CONSULTING I WEALTH MANAGEMENT I TREASURY SOLUTIONS 31

5 YEAR PERFORMANCE

-18% -16% -14% -12% -10% -8% -6% -4% -2% 0%

Nedgroup Investments Property

ALPI

SAPY

Satrix Property Index

Prudential SA Property

SIM Property

Prescient Property

STANLIB Property Income

Ninety One Property Equity

Old Mutual SA Listed Property Index

Coronation Property Equity

Momentum Investments Property

Mean

Catalyst SA Property

Metope Listed Property

Old Mutual SA Quoted Property

Sesfikile SA Listed Property

Absa AM Domestic Property

JSE SWIX

5 YEAR ANNUALISED RETURN

Page 32: GRAYSWAN SUMMARY SCORECARDS · Portfolio 2008 k 2009 k 2010 k 2011 k 2012 k 2013 k 2014 k 2015 k 2016 k 2017 k 2018 k 2019 k 2020 k Absa AM Money Market 12.29% 13 9.19% 13 7.46% 11

INVESTMENT CONSULTING I WEALTH MANAGEMENT I TREASURY SOLUTIONS 32

ABSOLUTE PERFORMANCE

PortfolioSwan Star

Rating3

Months Ran

k

YTD

Ran

k 1Year R

ank 2

Year Ran

k 3Year R

ank 5

Year Ran

k 8Year R

ank 10

Year Ran

k 12Year R

ank

Absa AM Domestic Property ✪✪✪✪✪ -40.70% 1 -40.70% 1 -38.33% 1 -19.40% 1 -18.78% 3 -7.62% 1 6.12% 1

Catalyst SA Property ✪✪✪✪ -47.62% 9 -47.62% 9 -47.90% 11 -28.94% 7 -21.63% 7 -11.38% 5 1.45% 5 4.33% 3 6.17% 3

Coronation Property Equity ✪✪✪ -48.52% 14 -48.52% 14 -49.17% 14 -30.73% 13 -21.79% 8 -12.20% 7 0.99% 6 4.22% 4 6.10% 4

Metope Listed Property ✪✪✪✪ -46.25% 6 -46.25% 6 -45.64% 5 -26.49% 3 -21.29% 4 -11.32% 4 1.84% 4 5.08% 2 6.95% 2

Momentum Investments Property ✪✪✪ -47.05% 7 -47.05% 7 -46.92% 6 -28.26% 6 -21.54% 6 -12.00% 6 0.31% 9 3.37% 7 5.06% 8

Nedgroup Investments Property ✪ -42.68% 3 -42.68% 3 -51.09% 15 -39.80% 15 -29.47% 15 -16.17% 15 -2.31% 14

Ninety One Property Equity ✪✪✪ -48.53% 15 -48.53% 15 -49.13% 13 -31.70% 14 -22.64% 9 -12.73% 9 0.45% 7 3.73% 5 5.48% 7

Old Mutual SA Listed Property Index ✪✪✪ -47.75% 10 -47.75% 10 -47.61% 9 -29.72% 9 -21.44% 5 -12.21% 8 0.34% 8

Old Mutual SA Quoted Property ✪✪✪✪ -43.59% 4 -43.59% 4 -43.10% 3 -26.91% 4 -18.66% 2 -9.68% 3 2.33% 3 5.26% 1 7.11% 1

Prescient Property ✪✪ -47.86% 12 -47.86% 12 -47.60% 8 -29.68% 8 -22.80% 10 -12.88% 11 -0.09% 11 2.23% 10 4.47% 9

Prudential SA Property ✪✪ -47.55% 8 -47.55% 8 -47.62% 10 -30.35% 11 -23.48% 14 -13.13% 13 -0.15% 12 3.31% 8 5.53% 6

Satrix Property Index ✪✪ -47.76% 11 -47.76% 11 -47.59% 7 -29.78% 10 -22.92% 11 -13.30% 14

Sesfikile SA Listed Property ✪✪✪✪✪ -42.02% 2 -42.02% 2 -40.88% 2 -25.46% 2 -16.97% 1 -8.33% 2 3.90% 2

SIM Property ✪ -48.23% 13 -48.23% 13 -48.54% 12 -30.52% 12 -23.18% 13 -13.12% 12 -0.49% 13 2.44% 9 3.93% 10

STANLIB Property Income ✪✪✪ -46.10% 5 -46.10% 5 -45.54% 4 -27.48% 5 -23.04% 12 -12.74% 10 0.12% 10 3.62% 6 5.92% 5

SAPY -48.15% -48.15% -47.91% -29.91% -23.00% -13.50% -0.63% 2.82% 4.89%

Top Quartile -44.85% -44.85% -45.59% -27.20% -21.37% -11.35% 1.74% 4.30% 6.15%

Mean -46.15% -46.15% -46.44% -29.01% -21.98% -11.92% 1.06% 3.76% 5.67%

Median -47.55% -47.55% -47.60% -29.68% -21.79% -12.21% 0.40% 3.67% 5.72%

Bottom Quartile -47.81% -47.81% -48.22% -30.44% -22.98% -13.00% -0.04% 3.33% 5.17%

ALPI -48.07% -48.07% -48.92% -31.06% -23.88% -14.81% -1.20% 1.92% 3.03%

JSE SWIX -19.34% -19.34% -16.82% -8.60% -2.95% -0.96% 6.89% 8.18% 7.41%

Page 33: GRAYSWAN SUMMARY SCORECARDS · Portfolio 2008 k 2009 k 2010 k 2011 k 2012 k 2013 k 2014 k 2015 k 2016 k 2017 k 2018 k 2019 k 2020 k Absa AM Money Market 12.29% 13 9.19% 13 7.46% 11

INVESTMENT CONSULTING I WEALTH MANAGEMENT I TREASURY SOLUTIONS 33

ABSOLUTE CALENDAR YEAR PERFORMANCE

Portfolio 2008

Ran

k

2009

Ran

k

2010

Ran

k

2011

Ran

k

2012

Ran

k

2013

Ran

k

2014

Ran

k

2015

Ran

k

2016

Ran

k

2017

Ran

k

2018

Ran

k

2019

Ran

k

2020

Ran

k

Absa AM Domestic Property 35.57% 8 11.27% 3 42.30% 1 30.40% 1 11.72% 4 29.20% 1 -29.55% 15 2.81% 3 -40.70% 1

Catalyst SA Property -4.26% 7 15.95% 3 27.84% 7 7.92% 10 35.53% 9 9.88% 7 29.39% 3 16.00% 3 10.84% 6 18.58% 5 -22.23% 6 1.26% 10 -47.62% 9

Coronation Property Equity -2.90% 5 16.34% 2 28.46% 6 10.24% 3 38.84% 1 12.87% 2 27.17% 11 10.11% 10 9.60% 11 15.71% 12 -18.76% 3 0.53% 13 -48.52% 14

Investec Property Equity -0.87% 2 11.72% 10 28.99% 5 8.23% 8 38.54% 2 9.86% 8 28.43% 6 14.04% 6 6.83% 14 18.44% 6 -23.25% 7 1.01% 11 -46.25% 6

Metope Listed Property -2.91% 6 14.84% 8 31.41% 1 8.46% 7 38.29% 3 11.24% 5 30.07% 2 15.52% 4 9.96% 10 20.62% 2 -24.62% 10 1.77% 8 -47.05% 7

Momentum Investments Prop. -9.06% 10 15.68% 4 22.80% 9 10.25% 2 37.22% 4 8.02% 14 26.03% 14 11.78% 7 8.30% 13 19.87% 4 -24.00% 9 2.08% 5 -42.68% 3

Nedgroup Investments Property 12.34% 1 36.84% 6 11.24% 4 25.72% 15 8.15% 14 16.43% 1 -0.56% 15 -16.98% 1 -21.36% 15 -48.53% 15

Old Mutual SA Listed Prop. Index 8.58% 13 26.93% 12 9.39% 12 10.26% 8 17.27% 8 -21.11% 5 1.69% 9 -47.75% 10

Old Mutual SA Quoted Property -5.22% 8 15.33% 5 29.37% 4 8.99% 6 35.38% 10 9.69% 10 28.65% 5 17.70% 2 5.04% 15 15.09% 14 -17.48% 2 2.86% 2 -43.59% 4

Prescient Property 3.32% 1 13.21% 9 16.63% 10 8.06% 9 30.78% 13 9.63% 11 27.97% 8 11.47% 8 9.53% 12 17.37% 7 -25.20% 12 1.98% 6 -47.86% 12

Prudential SA Property -2.20% 3 15.25% 7 30.57% 2 9.72% 5 34.81% 11 10.04% 6 27.34% 10 10.82% 9 11.17% 5 15.29% 13 -25.16% 11 0.86% 12 -47.55% 8

Satrix Property Index 8.01% 15 26.34% 13 8.98% 13 10.04% 9 17.01% 9 -25.39% 13 1.78% 7 -47.76% 11

Sesfikile SA Listed Property 36.85% 5 13.09% 1 29.17% 4 14.91% 5 10.38% 7 19.99% 3 -19.38% 4 3.90% 1 -42.02% 2

SIM Property -8.48% 9 15.31% 6 24.32% 8 6.97% 11 32.21% 12 9.83% 9 27.53% 9 7.87% 15 11.88% 3 16.01% 10 -23.36% 8 0.23% 14 -48.23% 13

STANLIB Property Income -2.70% 4 17.38% 1 29.40% 3 9.76% 4 36.16% 7 9.47% 12 27.99% 7 9.71% 11 12.46% 2 15.93% 11 -27.21% 14 2.26% 4 -46.10% 5

SAPY -4.47% 14.07% 29.62% 8.93% 35.88% 8.39% 26.64% 7.99% 10.20% 17.15% -25.26% 1.92% -48.15%

Top Quartile -2.32% 15.88% 29.39% 10.00% 37.22% 11.24% 28.91% 15.22% 11.44% 19.23% -20.25% 2.17% -44.85%

Mean -3.53% 15.10% 26.98% 9.18% 35.93% 10.18% 28.74% 13.12% 10.30% 17.06% -22.91% 0.24% -46.15%

Median -2.91% 15.32% 28.72% 8.99% 36.16% 9.86% 27.97% 11.47% 10.26% 17.27% -23.36% 1.77% -47.55%

Bottom Quartile -4.98% 14.94% 25.20% 8.15% 35.38% 9.55% 27.05% 9.55% 9.57% 15.82% -25.18% 0.94% -47.81%

ALPI -11.27% 13.39% 24.73% 7.11% 35.45% 13.19% 25.96% 13.76% -0.39% 14.60% -24.98% -0.40% -48.07%

JSE SWIX -21.67% 29.91% 20.86% 4.26% 29.09% 20.71% 15.42% 3.62% 4.13% 21.21% -11.67% 9.32% -19.34%

Page 34: GRAYSWAN SUMMARY SCORECARDS · Portfolio 2008 k 2009 k 2010 k 2011 k 2012 k 2013 k 2014 k 2015 k 2016 k 2017 k 2018 k 2019 k 2020 k Absa AM Money Market 12.29% 13 9.19% 13 7.46% 11

INVESTMENT CONSULTING I WEALTH MANAGEMENT I TREASURY SOLUTIONS 34

Absa AM Domestic Property

Catalyst SA PropertyCoronation Property Equity

Metope Listed Property

Momentum Investments Property

Nedgroup Investments Property

Ninety One Property Equity

Old Mutual SA Listed Property Index

Old Mutual SA Quoted Property

Prescient Property

Prudential SA Property

Satrix Property Index

Sesfikile SA Listed Property

SIM PropertySTANLIB Property Income SAPY

ALPI

-30%

-28%

-26%

-24%

-22%

-20%

-18%

-16%

22.0% 22.5% 23.0% 23.5% 24.0% 24.5% 25.0% 25.5% 26.0% 26.5% 27.0%

AN

NU

ALI

SED

RET

UR

N

ANNUALISED STANDARD DEVIATION

3 YEAR ANNUALISED VOLATILITY & RETURN

*excluding JSE SWIX benchmark

Page 35: GRAYSWAN SUMMARY SCORECARDS · Portfolio 2008 k 2009 k 2010 k 2011 k 2012 k 2013 k 2014 k 2015 k 2016 k 2017 k 2018 k 2019 k 2020 k Absa AM Money Market 12.29% 13 9.19% 13 7.46% 11

INVESTMENT CONSULTING I WEALTH MANAGEMENT I TREASURY SOLUTIONS 35

5 YEAR ANNUALISED VOLATILITY & RETURN

Absa AM Domestic Property

Catalyst SA Property

Coronation Property Equity

Metope Listed Property

Momentum Investments Property

Nedgroup Investments Property

Ninety One Property Equity

Old Mutual SA Listed Property Index

Old Mutual SA Quoted Property

Prescient Property

Prudential SA Property

Satrix Property Index

Sesfikile SA Listed Property

SIM Property

STANLIB Property Income

SAPY

ALPI

-18%

-16%

-14%

-12%

-10%

-8%

-6%

18.5% 19.0% 19.5% 20.0% 20.5% 21.0% 21.5% 22.0%

AN

NU

ALI

SED

RET

UR

N

ANNUALISED STANDARD DEVIATION

Page 36: GRAYSWAN SUMMARY SCORECARDS · Portfolio 2008 k 2009 k 2010 k 2011 k 2012 k 2013 k 2014 k 2015 k 2016 k 2017 k 2018 k 2019 k 2020 k Absa AM Money Market 12.29% 13 9.19% 13 7.46% 11

05

S A C O N S T R A I N E D C A P P E D S W I X & S W I X E Q U I T Y F U N D S

To invest with success, you must be a long-term investor.

- John Clifton Bogle

Page 37: GRAYSWAN SUMMARY SCORECARDS · Portfolio 2008 k 2009 k 2010 k 2011 k 2012 k 2013 k 2014 k 2015 k 2016 k 2017 k 2018 k 2019 k 2020 k Absa AM Money Market 12.29% 13 9.19% 13 7.46% 11

INVESTMENT CONSULTING I WEALTH MANAGEMENT I TREASURY SOLUTIONS 37

CONSTRAINED EQUITY BENCHMARKS

Portfolio Current Benchmark Month of Benchmark Change Benchmark Prior to Change

Absa AM Core Equity SWIX - -

Aeon Active Equity SWIX - -

Afena Capital Moderate Equity Capped SWIX Capped SWIX - -

Aluwani Equity SWIX - -

Aluwani Capped SWIX Equity Capped SWIX - -

Aluwani SWIX Equity SWIX - -

Argon SA Equity SWIX - -

Benguela SA Equity Capped SWIX - -

Benguela SA Equity SWIX - -

Coronation Core Equity Capped SWIX - -

Coronation Core Equity SWIX - -

Mergence ESG Equity SWIX - -

Mergence Capped SWIX Capped SWIX - -

Mergence SWIX SWIX - -

Mianzo Active Equity SWIX - -

Mianzo Enhanced Equity Capped SWIX March 2018 SWIX

Old Mutual Fundamental Equity Capped SWIX October 2017 SWIX

OMIG Double Alpha SWIX 40 SWIX - -

OMIG Managed Alpha Equity Capped SWIX July 2017 SWIX

OMIG Premium Equity Capped SWIX July 2017 SWIX

Prescient Core Equity SWIX - -

Prudential Core Equity Capped SWIX January 2017 SWIX

Sentio General Equity Capped SWIX - -

Sentio General Equity SWIX - -

SIM Moderate Equity SWIX - -

STANLIB Core Equity SWIX - -

STANLIB Multi Factor Equity Capped SWIX October 2017 SWIX

Truffle Institutional Equity SWIX - -

Vunani Domestic Active Equity Capped SWIX - -

Page 38: GRAYSWAN SUMMARY SCORECARDS · Portfolio 2008 k 2009 k 2010 k 2011 k 2012 k 2013 k 2014 k 2015 k 2016 k 2017 k 2018 k 2019 k 2020 k Absa AM Money Market 12.29% 13 9.19% 13 7.46% 11

INVESTMENT CONSULTING I WEALTH MANAGEMENT I TREASURY SOLUTIONS 38

1 YEAR PERFORMANCE

-32% -30% -28% -26% -24% -22% -20% -18% -16% -14% -12% -10% -8% -6% -4% -2% 0%

Afena Capital Moderate Equity Capped SWIX

Prudential Core Equity

Mianzo Active Equity

Old Mutual Fundamental Equity

Mergence Capped SWIX

Mianzo Enhanced Equity

Sentio General Equity (Capped SWIX)

STANLIB Core Equity

JSE Capped SWIX

Absa AM Core Equity

Benguela SA Equity (Capped SWIX)

Vunani Domestic Active Equity

OMIG Managed Alpha Equity

Mergence SWIX

Mean

Mergence ESG Equity

Aluwani Capped SWIX Equity

Coronation Core Equity (Capped SWIX)

Argon SA Equity

Sentio General Equity (SWIX)

JSE SWIX

OMIG Premium Equity

Prescient Core Equity

SIM Moderate Equity

STANLIB Multi Factor Equity

Aluwani SWIX Equity

Aeon Active Equity

OMIG Double Alpha SWIX40

Coronation Core Equity (SWIX)

Benguela SA Equity (SWIX)

JSE ALSI

Truffle Institutional Equity

Aluwani Equity

1 YEAR RETURN

Page 39: GRAYSWAN SUMMARY SCORECARDS · Portfolio 2008 k 2009 k 2010 k 2011 k 2012 k 2013 k 2014 k 2015 k 2016 k 2017 k 2018 k 2019 k 2020 k Absa AM Money Market 12.29% 13 9.19% 13 7.46% 11

INVESTMENT CONSULTING I WEALTH MANAGEMENT I TREASURY SOLUTIONS 39

2 YEAR PERFORMANCE

-18% -16% -14% -12% -10% -8% -6% -4% -2% 0%

Afena Capital Moderate Equity Capped SWIX

Mianzo Active Equity

Prudential Core Equity

Sentio General Equity (Capped SWIX)

Mergence Capped SWIX

OMIG Managed Alpha Equity

Mianzo Enhanced Equity

Benguela SA Equity (Capped SWIX)

Old Mutual Fundamental Equity

JSE Capped SWIX

Vunani Domestic Active Equity

STANLIB Core Equity

Aluwani Capped SWIX Equity

Coronation Core Equity (Capped SWIX)

Absa AM Core Equity

Mergence ESG Equity

Mean

Mergence SWIX

Sentio General Equity (SWIX)

STANLIB Multi Factor Equity

JSE SWIX

Benguela SA Equity (SWIX)

Prescient Core Equity

Aeon Active Equity

OMIG Premium Equity

Aluwani SWIX Equity

Argon SA Equity

Coronation Core Equity (SWIX)

SIM Moderate Equity

OMIG Double Alpha SWIX40

Aluwani Equity

JSE ALSI

Truffle Institutional Equity

2 YEAR ANNUALISED RETURN

Page 40: GRAYSWAN SUMMARY SCORECARDS · Portfolio 2008 k 2009 k 2010 k 2011 k 2012 k 2013 k 2014 k 2015 k 2016 k 2017 k 2018 k 2019 k 2020 k Absa AM Money Market 12.29% 13 9.19% 13 7.46% 11

INVESTMENT CONSULTING I WEALTH MANAGEMENT I TREASURY SOLUTIONS 40

ABSOLUTE PERFORMANCE

Portfolio Benchmark3

Months Ran

k

YTD

Ran

k 1Year R

ank 2

Year Ran

k 3Year R

ank 5

Year Ran

k 8Year R

ank 10

Year Ran

k 12Year R

ank

Absa AM Core Equity SWIX -26.90% 24 -26.90% 24 -24.03% 21 -12.64% 16 -7.24% 21 -1.80% 11

Aeon Active Equity SWIX -20.63% 3 -20.63% 3 -19.31% 6 -10.00% 9 -3.08% 5 -0.49% 3 7.74% 1 8.67% 4

Afena Capital Mod. Equity Capped SWIX Capped SWIX -28.83% 28 -28.83% 28 -30.84% 29 -16.38% 29 -9.35% 26

Aluwani Equity SWIX -17.32% 1 -17.32% 1 -15.34% 1 -7.61% 2 -0.75% 1 0.22% 1 7.36% 3 8.66% 5 8.17% 2

Aluwani Capped SWIX Equity Capped SWIX -24.24% 17 -24.24% 17 -22.23% 15 -12.92% 18 -5.05% 14

Aluwani SWIX Equity SWIX -21.41% 6 -21.41% 6 -19.37% 7 -9.48% 7 -2.08% 3 -0.90% 6

Argon SA Equity SWIX -24.94% 19 -24.94% 19 -22.03% 13 -9.42% 6 -3.75% 7 -1.57% 10 6.99% 6 7.70% 9 7.35% 4

Benguela SA Equity Capped SWIX -23.17% 13 -23.17% 13 -23.30% 20 -14.55% 22 -6.80% 19

Benguela SA Equity SWIX -18.97% 2 -18.97% 2 -18.45% 3 -10.28% 11 -3.77% 8

Coronation Core Equity Capped SWIX -24.60% 18 -24.60% 18 -22.20% 14 -12.84% 17

Coronation Core Equity SWIX -21.30% 5 -21.30% 5 -18.45% 4 -9.40% 5 -3.41% 6 -1.11% 7 7.19% 4 8.72% 3 9.15% 1

Mergence ESG Equity SWIX -22.17% 8 -22.17% 8 -22.27% 16 -12.25% 15 -6.30% 16 -3.25% 16 5.72% 13

Mergence Capped SWIX Capped SWIX -26.51% 23 -26.51% 23 -26.52% 25 -15.22% 25 -8.56% 24

Mergence SWIX SWIX -23.05% 11 -23.05% 11 -22.98% 17 -11.91% 14 -5.85% 15 -2.27% 14 6.46% 9 7.44% 11 6.78% 6

Mianzo Active Equity SWIX -29.29% 29 -29.29% 29 -27.54% 27 -16.34% 28 -8.90% 25 -4.63% 19 3.76% 14

Mianzo Enhanced Equity Capped SWIX -27.31% 25 -27.31% 25 -25.43% 24 -14.60% 23 -7.01% 20 -3.55% 17

Old Mutual Fundamental Equity Capped SWIX -28.08% 26 -28.08% 26 -26.78% 26 -14.31% 21

OMIG Double Alpha SWIX 40 SWIX -20.79% 4 -20.79% 4 -18.53% 5 -9.29% 3 -2.49% 4 -0.71% 4 7.63% 2 8.99% 2

OMIG Managed Alpha Equity Capped SWIX -25.11% 20 -25.11% 20 -23.11% 18 -14.74% 24 -8.20% 23 -3.78% 18 5.88% 12 7.47% 10 6.96% 5

OMIG Premium Equity Capped SWIX -23.84% 16 -23.84% 16 -20.66% 11 -9.58% 8 -4.41% 12 -0.77% 5 6.82% 8 9.10% 1

Prescient Core Equity SWIX -22.97% 10 -22.97% 10 -20.25% 10 -10.25% 10 -4.05% 11 -1.44% 9

Prudential Core Equity Capped SWIX -28.41% 27 -28.41% 27 -29.88% 28 -15.44% 27 -6.79% 18 -2.67% 15 6.45% 10 8.09% 7 8.00% 3

Sentio General Equity Capped SWIX -25.53% 21 -25.53% 21 -25.11% 23 -15.37% 26 -6.49% 17

Sentio General Equity SWIX -21.68% 7 -21.68% 7 -21.59% 12 -11.89% 13 -4.76% 13 -2.23% 12 6.87% 7 7.91% 8

SIM Moderate Equity SWIX -23.08% 12 -23.08% 12 -19.68% 9 -9.31% 4 -3.82% 9 -1.25% 8 7.07% 5 8.40% 6

STANLIB Core Equity SWIX -23.62% 14 -23.62% 14 -25.11% 22 -13.80% 19 -7.34% 22 -5.33% 20 3.13% 15 5.47% 13 4.34% 8

STANLIB Multi Factor Equity Capped SWIX -22.75% 9 -22.75% 9 -19.55% 8 -10.92% 12 -4.02% 10 -2.24% 13 5.96% 11 7.36% 12 6.76% 7

Truffle Institutional Equity SWIX -23.69% 15 -23.69% 15 -18.02% 2 -5.97% 1 -1.97% 2 -0.16% 2

Vunani Domestic Active Equity Capped SWIX -25.77% 22 -25.77% 22 -23.15% 19 -13.99% 20

JSE SWIX -23.28% -23.28% -20.88% -10.86% -4.56% -1.94% 6.23% 7.64% 6.96%

Top Quartile -22.17% -22.17% -19.55% -9.58% -3.76% -0.87% 7.13% 8.67% 8.04%

Mean -24.00% -24.00% -22.47% -12.09% -5.24% -2.00% 6.33% 8.00% 7.19%

Median -23.69% -23.69% -22.23% -12.25% -4.90% -1.69% 6.82% 8.09% 7.15%

Bottom Quartile -25.77% -25.77% -25.11% -14.55% -6.96% -2.81% 5.92% 7.47% 6.78%

JSE ALSI -21.38% -21.38% -18.42% -7.43% -2.07% -0.13% 6.79% 7.68% 6.62%

JSE Capped SWIX -26.58% -26.58% -24.53% -14.24% -7.38% -3.81% 4.94%

Page 41: GRAYSWAN SUMMARY SCORECARDS · Portfolio 2008 k 2009 k 2010 k 2011 k 2012 k 2013 k 2014 k 2015 k 2016 k 2017 k 2018 k 2019 k 2020 k Absa AM Money Market 12.29% 13 9.19% 13 7.46% 11

INVESTMENT CONSULTING I WEALTH MANAGEMENT I TREASURY SOLUTIONS 41

ABSOLUTE CALENDAR YEAR PERFORMANCE

Portfolio4, Benchmark 2008

Ran

k

2009

Ran

k

2010

Ran

k

2011

Ran

k

2012

Ran

k

2013

Ran

k

2014

Ran

k

2015

Ran

k

2016

Ran

k

2017

Ran

k

2018

Ran

k

2019

Ran

k

2020

Ran

k

Absa AM Core Equity SWIX 10.04% 2 2.14% 12 22.18% 6 -10.53% 17 10.23% 5 -26.90% 24

Aeon Active Equity SWIX 27.82% 7 20.64% 6 3.18% 14 27.14% 13 28.22% 2 13.50% 14 7.13% 8 1.87% 14 25.79% 1 -11.46% 25 8.96% 12 -20.63% 3

Afena Capital Mod. Eq. CSWIX Capped SWIX -9.01% 6 3.46% 27 -28.83% 28

Aluwani Equity SWIX -19.81% 4 31.29% 3 19.32% 9 5.91% 6 27.88% 11 21.58% 12 13.59% 13 9.65% 4 -1.68% 19 24.35% 3 -10.48% 16 9.46% 9 -17.32% 1

Aluwani Capped SWIX Equity Capped SWIX 18.73% 13 -9.86% 13 7.87% 14 -24.24% 17

Aluwani SWIX Equity SWIX 8.94% 5 -2.19% 20 23.42% 4 -9.60% 10 9.92% 8 -21.41% 6

Argon SA Equity SWIX -21.45% 6 27.39% 10 18.64% 11 0.89% 15 26.00% 15 25.26% 8 16.22% 3 9.81% 3 0.36% 17 17.45% 14 -7.24% 3 11.66% 3 -24.94% 19

Benguela SA Equity (CSWIX) Capped SWIX -9.77% 12 3.15% 28 -23.17% 13

Benguela SA Equity (SWIX) SWIX 6.17% 3 19.70% 11 -10.92% 21 6.28% 18 -18.97% 2

Coronation Core Equity Capped SWIX -10.93% 22 8.90% 13 -24.60% 18

Coronation Core Equity SWIX -13.36% 1 33.31% 1 24.74% 1 5.58% 7 28.28% 9 29.00% 1 12.25% 15 0.34% 17 5.55% 6 21.94% 7 -11.81% 28 11.64% 4 -21.30% 5

Mergence ESG Equity SWIX 4.53% 10 31.02% 6 21.55% 13 16.79% 2 5.22% 13 3.02% 11 15.57% 20 -11.18% 24 4.67% 24 -22.17% 8

Mergence Capped SWIX Capped SWIX -9.65% 11 3.70% 26 -26.51% 23

Mergence SWIX SWIX -18.89% 3 30.73% 4 14.44% 12 6.22% 4 26.87% 14 25.45% 7 14.61% 10 7.31% 7 4.66% 9 17.07% 16 -10.71% 19 6.01% 20 -23.05% 11

Mianzo Active Equity SWIX 3.69% 11 28.19% 10 27.52% 4 11.56% 16 -4.02% 20 9.45% 1 16.26% 17 -8.62% 5 4.52% 25 -29.29% 29

Mianzo Enhanced Equity Capped SWIX 14.38% 12 -1.61% 19 7.91% 2 20.45% 10 -10.17% 14 6.12% 19 -27.31% 25

Old Mutual Fundamental Eqty Capped SWIX -9.58% 9 7.63% 15 -28.08% 26

OMIG Double Alpha SWIX40 SWIX 20.54% 7 6.02% 5 31.27% 4 23.80% 10 15.19% 6 6.64% 10 0.87% 15 25.47% 2 -11.74% 27 9.29% 10 -20.79% 4

OMIG Managed Alpha Equity Capped SWIX -21.40% 5 27.54% 8 22.72% 2 3.58% 12 33.53% 2 24.91% 9 15.69% 5 8.78% 6 2.07% 13 16.16% 18 -13.80% 29 7.01% 17 -25.11% 20

OMIG Premium Equity Capped SWIX 18.98% 10 12.21% 1 31.73% 3 17.97% 16 14.79% 9 6.12% 11 5.70% 5 17.43% 15 -7.52% 4 9.97% 7 -23.84% 16

Prescient Core Equity SWIX 4.25% 14 4.63% 10 21.62% 9 -11.53% 26 10.02% 6 -22.97% 10

Prudential Core Equity Capped SWIX -16.06% 2 27.49% 9 20.42% 8 6.67% 2 30.01% 8 28.06% 3 15.11% 7 5.82% 12 5.86% 4 23.19% 5 -9.42% 7 4.92% 23 -28.41% 27

Sentio General Equity (CSWIX) Capped SWIX -10.40% 15 5.77% 21 -25.53% 21

Sentio General Equity (SWIX) SWIX 4.55% 9 31.05% 5 23.02% 11 15.97% 4 6.70% 9 4.70% 8 16.04% 19 -11.12% 23 7.39% 16 -21.68% 7

SIM Moderate Equity SWIX 33.07% 2 21.88% 4 4.62% 8 27.46% 12 26.84% 5 14.49% 11 3.42% 15 5.30% 7 19.58% 12 -10.82% 20 12.48% 2 -23.08% 12

STANLIB Core Equity SWIX -29.62% 8 28.54% 6 22.68% 3 6.45% 3 35.68% 1 18.64% 15 10.09% 17 -0.37% 18 -0.07% 18 13.41% 22 -10.54% 18 2.60% 29 -23.62% 14

STANLIB Multi Factor Equity Capped SWIX -21.55% 7 29.81% 5 20.95% 5 3.34% 13 30.85% 7 18.89% 14 15.09% 8 2.69% 16 0.66% 16 21.66% 8 -9.57% 8 9.20% 11 -22.75% 9

Truffle Institutional Equity SWIX 26.57% 6 17.84% 1 15.05% 1 -2.39% 21 13.79% 21 -2.61% 1 15.48% 1 -23.69% 15

Vunani Domestic Active Equity Capped SWIX -6.02% 2 5.22% 22 -25.77% 22

JSE SWIX -21.67% 29.91% 20.86% 4.26% 29.09% 20.71% 15.42% 3.62% 4.13% 21.21% -11.67% 9.32% -23.28%

Top Quartile -18.18% 31.15% 22.08% 6.12% 31.16% 27.01% 15.69% 8.82% 5.55% 22.12% -9.57% 9.92% -22.17%

Mean -20.27% 29.70% 20.50% 5.16% 29.80% 24.21% 14.54% 5.60% 3.07% 19.60% -9.88% 7.71% -24.00%

Median -20.61% 29.17% 20.59% 4.62% 30.01% 25.08% 14.79% 6.38% 3.02% 19.64% -10.40% 7.63% -23.69%

Bottom Quartile -21.47% 27.61% 19.23% 3.64% 27.67% 21.57% 13.59% 3.24% 0.66% 16.46% -10.93% 5.22% -25.77%

JSE ALSI -23.23% 32.13% 18.98% 2.57% 26.68% 21.43% 10.88% 5.13% 2.63% 20.95% -8.53% 12.05% -21.38%

JSE Capped SWIX 29.09% 20.71% 15.42% 2.78% 5.16% 16.49% -10.94% 6.75% -26.58%

Page 42: GRAYSWAN SUMMARY SCORECARDS · Portfolio 2008 k 2009 k 2010 k 2011 k 2012 k 2013 k 2014 k 2015 k 2016 k 2017 k 2018 k 2019 k 2020 k Absa AM Money Market 12.29% 13 9.19% 13 7.46% 11

INVESTMENT CONSULTING I WEALTH MANAGEMENT I TREASURY SOLUTIONS 42

1 YEAR ANNUALISED VOLATILITY & RETURN

Absa AM Core Equity

Aeon Active Equity

Afena Capital Mod. Equity Capped SWIX

Aluwani Equity

Aluwani Capped SWIX Equity

Aluwani SWIX Equity

Argon SA Equity

Benguela SA Equity (Capped SWIX)

Benguela SA Equity (SWIX)

Coronation Core Equity (Capped SWIX)

Coronation Core Equity (SWIX)

Mergence ESG Equity

Mergence Capped SWIX

Mergence SWIX

Mianzo Active Equity

Mianzo Enhanced Equity

Old Mutual Fundamental Equity

OMIG Double Alpha SWIX40

OMIG Managed Alpha Equity

OMIG Premium EquityPrescient Core Equity

Prudential Core Equity

Sentio General Equity (Capped SWIX)

Sentio General Equity (SWIX)

SIM Moderate Equity

STANLIB Core Equity

STANLIB Multi Factor Equity

Truffle Institutional Equity

Vunani Domestic Active Equity

JSE SWIX

JSE ALSI

JSE Capped SWIX

-32%

-30%

-28%

-26%

-24%

-22%

-20%

-18%

-16%

-14%

16.5% 17.0% 17.5% 18.0% 18.5% 19.0% 19.5% 20.0% 20.5% 21.0% 21.5% 22.0% 22.5% 23.0%

AN

NU

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SED

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ANNUALISED STANDARD DEVIATION

Page 43: GRAYSWAN SUMMARY SCORECARDS · Portfolio 2008 k 2009 k 2010 k 2011 k 2012 k 2013 k 2014 k 2015 k 2016 k 2017 k 2018 k 2019 k 2020 k Absa AM Money Market 12.29% 13 9.19% 13 7.46% 11

INVESTMENT CONSULTING I WEALTH MANAGEMENT I TREASURY SOLUTIONS 43

2 YEAR ANNUALISED VOLATILITY & RETURN

Absa AM Core Equity

Aeon Active Equity

Afena Capital Moderate Equity Capped SWIX

Aluwani Equity

Aluwani Capped SWIX Equity

Aluwani SWIX Equity

Argon SA Equity

Benguela SA Equity (Capped SWIX)

Benguela SA Equity (SWIX)

Coronation Core Equity (Capped SWIX)

Coronation Core Equity (SWIX)

Mergence ESG Equity

Mergence Capped SWIX

Mergence SWIX

Mianzo Enhanced EquityOld Mutual Fundamental Equity

OMIG Double Alpha SWIX40

OMIG Managed Alpha Equity

OMIG Premium Equity

Prescient Core Equity

Prudential Core Equity

Sentio General Equity (SWIX)

SIM Moderate Equity

STANLIB Core Equity

STANLIB Multi Factor Equity

Truffle Institutional Equity

Vunani Domestic Active Equity

JSE SWIX

JSE ALSI

JSE Capped SWIX

Sentio General Equity (Capped SWIX)

Mianzo Active Equity

-18%

-16%

-14%

-12%

-10%

-8%

-6%

-4%

14.0% 14.5% 15.0% 15.5% 16.0% 16.5% 17.0% 17.5% 18.0% 18.5%

AN

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ANNUALISED STANDARD DEVIATION

Page 44: GRAYSWAN SUMMARY SCORECARDS · Portfolio 2008 k 2009 k 2010 k 2011 k 2012 k 2013 k 2014 k 2015 k 2016 k 2017 k 2018 k 2019 k 2020 k Absa AM Money Market 12.29% 13 9.19% 13 7.46% 11

06

S A C O N S T R A I N E D C A P P E D S W I XE Q U I T Y F U N D S

The essence of investment management is the management of risks, not the management of returns.

- Benjamin Graham

Page 45: GRAYSWAN SUMMARY SCORECARDS · Portfolio 2008 k 2009 k 2010 k 2011 k 2012 k 2013 k 2014 k 2015 k 2016 k 2017 k 2018 k 2019 k 2020 k Absa AM Money Market 12.29% 13 9.19% 13 7.46% 11

INVESTMENT CONSULTING I WEALTH MANAGEMENT I TREASURY SOLUTIONS 45

1 YEAR PERFORMANCE

-32% -30% -28% -26% -24% -22% -20% -18% -16% -14% -12% -10% -8% -6% -4% -2% 0%

Afena Capital Moderate Equity Capped SWIX

Prudential Core Equity

Old Mutual Fundamental Equity

Mergence Capped SWIX

Mianzo Enhanced Equity

Sentio General Equity (Capped SWIX)

JSE Capped SWIX

Mean

Benguela SA Equity (Capped SWIX)

Vunani Domestic Active Equity

OMIG Managed Alpha Equity

Aluwani Capped SWIX Equity

Coronation Core Equity (Capped SWIX)

JSE SWIX

OMIG Premium Equity

STANLIB Multi Factor Equity

JSE ALSI

1 YEAR RETURN

Page 46: GRAYSWAN SUMMARY SCORECARDS · Portfolio 2008 k 2009 k 2010 k 2011 k 2012 k 2013 k 2014 k 2015 k 2016 k 2017 k 2018 k 2019 k 2020 k Absa AM Money Market 12.29% 13 9.19% 13 7.46% 11

INVESTMENT CONSULTING I WEALTH MANAGEMENT I TREASURY SOLUTIONS 46

2 YEAR PERFORMANCE

-18% -16% -14% -12% -10% -8% -6% -4% -2% 0%

Afena Capital Moderate Equity Capped SWIX

Prudential Core Equity

Sentio General Equity (Capped SWIX)

Mergence Capped SWIX

OMIG Managed Alpha Equity

Mianzo Enhanced Equity

Benguela SA Equity (Capped SWIX)

Old Mutual Fundamental Equity

JSE Capped SWIX

Vunani Domestic Active Equity

Mean

Aluwani Capped SWIX Equity

Coronation Core Equity (Capped SWIX)

STANLIB Multi Factor Equity

JSE SWIX

OMIG Premium Equity

JSE ALSI

2 YEAR ANNUALISED RETURN

Page 47: GRAYSWAN SUMMARY SCORECARDS · Portfolio 2008 k 2009 k 2010 k 2011 k 2012 k 2013 k 2014 k 2015 k 2016 k 2017 k 2018 k 2019 k 2020 k Absa AM Money Market 12.29% 13 9.19% 13 7.46% 11

INVESTMENT CONSULTING I WEALTH MANAGEMENT I TREASURY SOLUTIONS 47

ABSOLUTE PERFORMANCE

PortfolioSwan Star

Rating3

Months Ran

k

YTD

Ran

k 1Year R

ank 2

Year Ran

k 3Year R

ank 5

Year Ran

k 8Year R

ank 10

Year Ran

k 12Year R

ank

Afena Capital Moderate Equity CSWIX ✪✪ -28.83% 13 -28.83% 13 -30.84% 13 -16.38% 13 -9.35% 6

Aluwani Capped SWIX Equity ✪✪✪✪✪ -24.24% 4 -24.24% 4 -22.23% 4 -12.92% 4 -5.05% 1

Benguela SA Equity (Capped SWIX) ✪✪✪ -23.17% 2 -23.17% 2 -23.30% 7 -14.55% 7 -6.80% 4

Coronation Core Equity (Capped SWIX) - -24.60% 5 -24.60% 5 -22.20% 3 -12.84% 3

Mergence Capped SWIX ✪ -26.51% 9 -26.51% 9 -26.52% 10 -15.22% 10 -8.56% 5

Mianzo Enhanced Equity - -27.31% 10 -27.31% 10 -25.44% 9 -14.61% 8

Old Mutual Fundamental Equity - -28.08% 11 -28.08% 11 -26.78% 11 -14.31% 6

OMIG Managed Alpha Equity - -25.11% 6 -25.11% 6 -23.11% 5 -14.74% 9

OMIG Premium Equity - -23.84% 3 -23.84% 3 -20.66% 2 -9.58% 1

Prudential Core Equity ✪✪✪✪ -28.41% 12 -28.41% 12 -29.88% 12 -15.44% 12 -6.79% 3

Sentio General Equity (Capped SWIX) ✪✪✪ -25.53% 7 -25.53% 7 -25.11% 8 -15.37% 11 -6.49% 2

STANLIB Multi Factor Equity - -22.75% 1 -22.75% 1 -19.55% 1 -10.92% 2

Vunani Domestic Active Equity - -25.77% 8 -25.77% 8 -23.15% 6 -13.99% 5

JSE Capped SWIX -26.58% -26.58% -24.53% -14.24% -7.38% -3.81% 4.94%

Top Quartile -24.24% -24.24% -22.23% -12.92% -6.57%

Mean -25.70% -25.70% -24.52% -13.91% -7.17%

Median -25.53% -25.53% -23.30% -14.55% -6.80%

Bottom Quartile -27.31% -27.31% -26.52% -15.22% -8.12%

JSE ALSI -21.38% -21.38% -18.42% -7.43% -2.07% -0.13% 6.79% 7.68% 6.62%

JSE SWIX -23.28% -23.28% -20.88% -10.86% -4.56% -1.94% 6.23% 7.64% 6.96%

Page 48: GRAYSWAN SUMMARY SCORECARDS · Portfolio 2008 k 2009 k 2010 k 2011 k 2012 k 2013 k 2014 k 2015 k 2016 k 2017 k 2018 k 2019 k 2020 k Absa AM Money Market 12.29% 13 9.19% 13 7.46% 11

INVESTMENT CONSULTING I WEALTH MANAGEMENT I TREASURY SOLUTIONS 48

ABSOLUTE CALENDAR YEAR PERFORMANCE

Portfolio 2010

Ran

k

2011

Ran

k

2012

Ran

k

2013

Ran

k

2014

Ran

k

2015

Ran

k

2016

Ran

k

2017

Ran

k

2018

Ran

k

2019

Ran

k

2020

Ran

k

Afena Capital Moderate Equity Capped SWIX -9.01% 3 3.46% 12 -28.83% 13

Aluwani Capped SWIX Equity 18.73% 2 -9.86% 9 7.87% 4 -24.24% 4

Benguela SA Equity -9.77% 8 3.15% 13 -23.17% 2

Coronation Core Equity (Capped SWIX) -10.93% 11 8.90% 3 -24.60% 5

Mergence Capped SWIX -9.65% 7 3.71% 11 -26.51% 9

Mianzo Enhanced Equity 6.10% 7 -27.31% 10

Old Mutual Fundamental Equity -9.58% 6 7.63% 5 -28.08% 11

OMIG Managed Alpha Equity -13.80% 12 7.01% 6 -25.11% 6

OMIG Premium Equity -7.52% 2 9.97% 1 -23.84% 3

Prudential Core Equity 23.19% 1 -9.42% 4 4.92% 10 -28.41% 12

Sentio General Equity -10.40% 10 5.77% 8 -25.53% 7

STANLIB Multi Factor Equity -9.57% 5 9.20% 2 -22.75% 1

Vunani Domestic Active Equity -6.02% 1 5.22% 9 -25.77% 8

JSE Capped SWIX 29.09% 20.71% 15.42% 2.78% 5.16% 16.49% -10.94% 6.75% -26.58%

Top Quartile 22.08% -9.31% 7.87% -24.24%

Mean 20.96% -9.63% 6.38% -25.70%

Median 20.96% -9.62% 6.10% -25.53%

Bottom Quartile 19.85% -9.99% 4.92% -27.31%

JSE ALSI 18.98% 2.57% 26.68% 21.43% 10.88% 5.13% 2.63% 20.95% -8.53% 12.05% -21.38%

JSE SWIX 20.86% 4.26% 29.09% 20.71% 15.42% 3.62% 4.13% 21.21% -11.67% 9.32% -23.28%

Page 49: GRAYSWAN SUMMARY SCORECARDS · Portfolio 2008 k 2009 k 2010 k 2011 k 2012 k 2013 k 2014 k 2015 k 2016 k 2017 k 2018 k 2019 k 2020 k Absa AM Money Market 12.29% 13 9.19% 13 7.46% 11

INVESTMENT CONSULTING I WEALTH MANAGEMENT I TREASURY SOLUTIONS 49

Afena Capital Moderate Equity Capped SWIX

Aluwani Capped SWIX Equity

Benguela SA Equity (Capped SWIX)

Coronation Core Equity (Capped SWIX)

Mergence Capped SWIX

Mianzo Enhanced Equity

Old Mutual Fundamental Equity

OMIG Managed Alpha Equity

OMIG Premium Equity

Prudential Core Equity

Sentio General Equity (Capped SWIX)

STANLIB Multi Factor Equity

Vunani Domestic Active Equity

JSE Capped SWIX

JSE ALSI

JSE SWIX

-32%

-30%

-28%

-26%

-24%

-22%

-20%

-18%

18.0% 18.5% 19.0% 19.5% 20.0% 20.5% 21.0% 21.5% 22.0% 22.5% 23.0%

AN

NU

ALI

SED

RET

UR

N

ANNUALISED STANDARD DEVIATION

1 YEAR ANNUALISED VOLATILITY & RETURN

Page 50: GRAYSWAN SUMMARY SCORECARDS · Portfolio 2008 k 2009 k 2010 k 2011 k 2012 k 2013 k 2014 k 2015 k 2016 k 2017 k 2018 k 2019 k 2020 k Absa AM Money Market 12.29% 13 9.19% 13 7.46% 11

INVESTMENT CONSULTING I WEALTH MANAGEMENT I TREASURY SOLUTIONS 50

Afena Capital Moderate Equity Capped SWIX

Aluwani Capped SWIX Equity

Benguela SA Equity (Capped SWIX)

Coronation Core Equity (Capped SWIX)

Mergence Capped SWIX

Mianzo Enhanced Equity Old Mutual Fundamental Equity

OMIG Managed Alpha Equity

OMIG Premium Equity

Prudential Core EquitySentio General Equity (Capped SWIX)

STANLIB Multi Factor Equity

Vunani Domestic Active Equity

JSE Capped SWIX

JSE SWIX

-17%

-16%

-15%

-14%

-13%

-12%

-11%

-10%

-9%

14.5% 15.0% 15.5% 16.0% 16.5% 17.0% 17.5% 18.0% 18.5%

AN

NU

ALI

SED

RET

UR

N

ANNUALISED STANDARD DEVIATION

2 YEAR ANNUALISED VOLATILITY & RETURN

*excluding JSE ALSI benchmark

Page 51: GRAYSWAN SUMMARY SCORECARDS · Portfolio 2008 k 2009 k 2010 k 2011 k 2012 k 2013 k 2014 k 2015 k 2016 k 2017 k 2018 k 2019 k 2020 k Absa AM Money Market 12.29% 13 9.19% 13 7.46% 11

07

S A C O N S T R A I N E D S W I XE Q U I T Y F U N D S

It is not in the stars to hold our destiny but in ourselves.

- William Shakespeare

Page 52: GRAYSWAN SUMMARY SCORECARDS · Portfolio 2008 k 2009 k 2010 k 2011 k 2012 k 2013 k 2014 k 2015 k 2016 k 2017 k 2018 k 2019 k 2020 k Absa AM Money Market 12.29% 13 9.19% 13 7.46% 11

INVESTMENT CONSULTING I WEALTH MANAGEMENT I TREASURY SOLUTIONS 52

3 YEAR PERFORMANCE

-9% -8% -7% -6% -5% -4% -3% -2% -1% 0%

Mianzo Active Equity

JSE Capped SWIX

STANLIB Core Equity

Absa AM Core Equity

Mergence ESG Equity

Mergence SWIX

Sentio General Equity (SWIX)

JSE SWIX

Mean

Prescient Core Equity

SIM Moderate Equity

Benguela SA Equity (SWIX)

Argon SA Equity

Coronation Core Equity (SWIX)

Aeon Active Equity

OMIG Double Alpha SWIX40

Aluwani SWIX Equity

JSE ALSI

Truffle Institutional Equity

Aluwani Equity

3 YEAR ANNUALISED RETURN

Page 53: GRAYSWAN SUMMARY SCORECARDS · Portfolio 2008 k 2009 k 2010 k 2011 k 2012 k 2013 k 2014 k 2015 k 2016 k 2017 k 2018 k 2019 k 2020 k Absa AM Money Market 12.29% 13 9.19% 13 7.46% 11

INVESTMENT CONSULTING I WEALTH MANAGEMENT I TREASURY SOLUTIONS 53

5 YEAR PERFORMANCE

-5.5% -5.0% -4.5% -4.0% -3.5% -3.0% -2.5% -2.0% -1.5% -1.0% -0.5% 0.0% 0.5%

STANLIB Core Equity

Mianzo Active Equity

JSE Capped SWIX

Mergence ESG Equity

Mergence SWIX

Sentio General Equity (SWIX)

JSE SWIX

Absa AM Core Equity

Mean

Argon SA Equity

Prescient Core Equity

SIM Moderate Equity

Coronation Core Equity (SWIX)

Aluwani SWIX Equity

OMIG Double Alpha SWIX40

Aeon Active Equity

Truffle Institutional Equity

JSE ALSI

Aluwani Equity

5 YEAR ANNUALISED RETURN

Page 54: GRAYSWAN SUMMARY SCORECARDS · Portfolio 2008 k 2009 k 2010 k 2011 k 2012 k 2013 k 2014 k 2015 k 2016 k 2017 k 2018 k 2019 k 2020 k Absa AM Money Market 12.29% 13 9.19% 13 7.46% 11

INVESTMENT CONSULTING I WEALTH MANAGEMENT I TREASURY SOLUTIONS 54

ABSOLUTE PERFORMANCE

Portfolio Swan Star

Rating3

Months Ran

k

YTD

Ran

k 1Year R

ank 2

Year Ran

k 3Year R

ank 5

Year Ran

k 8Year R

ank 10

Year Ran

k 12Year R

ank

Absa AM Core Equity ✪✪✪ -26.90% 15 -26.90% 15 -24.03% 14 -12.64% 14 -7.24% 14 -1.80% 10

Aeon Active Equity ✪✪✪✪✪ -20.63% 3 -20.63% 3 -19.31% 6 -10.00% 8 -3.08% 5 -0.49% 3 7.74% 1 8.67% 3

Aluwani Equity ✪✪✪✪ -17.32% 1 -17.32% 1 -15.34% 1 -7.61% 2 -0.75% 1 0.22% 1 7.36% 3 8.66% 4 8.17% 2

Aluwani SWIX Equity ✪✪✪ -21.41% 6 -21.41% 6 -19.37% 7 -9.48% 7 -2.08% 3 -0.90% 5

Argon SA Equity ✪✪✪ -24.94% 14 -24.94% 14 -22.03% 11 -9.42% 6 -3.75% 7 -1.57% 9 6.99% 6 7.70% 7 7.35% 3

Benguela SA Equity (SWIX) ✪✪ -18.97% 2 -18.97% 2 -18.45% 3 -10.28% 10 -3.77% 8

Coronation Core Equity (SWIX) ✪✪✪✪ -21.30% 5 -21.30% 5 -18.45% 4 -9.40% 5 -3.41% 6 -1.11% 6 7.19% 4 8.72% 2 9.15% 1

Mergence ESG Equity ✪✪ -22.17% 8 -22.17% 8 -22.27% 12 -12.25% 13 -6.30% 13 -3.25% 13 5.72% 9

Mergence SWIX ✪✪ -23.05% 10 -23.05% 10 -22.98% 13 -11.91% 12 -5.85% 12 -2.27% 12 6.46% 8 7.44% 8 6.78% 4

Mianzo Active Equity ✪ -29.29% 16 -29.29% 16 -27.59% 16 -16.36% 16 -8.92% 16 -4.64% 14 3.75% 10

OMIG Double Alpha SWIX40 ✪✪✪✪✪ -20.79% 4 -20.79% 4 -18.53% 5 -9.29% 3 -2.49% 4 -0.71% 4 7.63% 2 8.99% 1

Prescient Core Equity ✪✪✪ -22.97% 9 -22.97% 9 -20.25% 9 -10.25% 9 -4.05% 10 -1.44% 8

Sentio General Equity (SWIX) ✪✪✪ -21.68% 7 -21.68% 7 -21.59% 10 -11.89% 11 -4.76% 11 -2.23% 11 6.87% 7 7.91% 6

SIM Moderate Equity ✪✪✪ -23.08% 11 -23.08% 11 -19.68% 8 -9.31% 4 -3.82% 9 -1.25% 7 7.07% 5 8.40% 5

STANLIB Core Equity ✪ -23.62% 12 -23.62% 12 -25.11% 15 -13.80% 15 -7.34% 15 -5.33% 15 3.13% 11 5.47% 9 4.34% 5

Truffle Institutional Equity ✪✪✪✪ -23.69% 13 -23.69% 13 -18.02% 2 -5.97% 1 -1.97% 2 -0.16% 2

JSE SWIX -23.28% -23.28% -20.88% -10.86% -4.56% -1.94% 6.23% 7.64% 6.96%

Top Quartile -21.18% -21.18% -18.51% -9.37% -2.93% -0.80% 7.27% 8.67% 8.17%

Mean -22.61% -22.61% -20.81% -10.62% -4.35% -1.80% 6.35% 7.99% 7.16%

Median -22.57% -22.57% -19.96% -10.12% -3.79% -1.44% 6.99% 8.40% 7.35%

Bottom Quartile -23.63% -23.63% -22.45% -12.00% -5.96% -2.25% 6.09% 7.70% 6.78%

JSE ALSI -21.38% -21.38% -18.42% -7.43% -2.07% -0.13% 6.79% 7.68% 6.62%

JSE Capped SWIX -26.58% -26.58% -24.53% -14.24% -7.38% -3.81% 4.94%

Page 55: GRAYSWAN SUMMARY SCORECARDS · Portfolio 2008 k 2009 k 2010 k 2011 k 2012 k 2013 k 2014 k 2015 k 2016 k 2017 k 2018 k 2019 k 2020 k Absa AM Money Market 12.29% 13 9.19% 13 7.46% 11

INVESTMENT CONSULTING I WEALTH MANAGEMENT I TREASURY SOLUTIONS 55

ABSOLUTE CALENDAR YEAR PERFORMANCE

Portfolio 2008

Ran

k

2009

Ran

k

2010

Ran

k

2011

Ran

k

2012

Ran

k

2013

Ran

k

2014

Ran

k

2015

Ran

k

2016

Ran

k

2017

Ran

k

2018

Ran

k

2019

Ran

k

2020

Ran

k

Absa AM Core Equity 10.04% 2 2.14% 9 22.18% 5 -10.53% 6 10.23% 5 -26.90% 15

Aeon Active Equity 27.82% 6 20.64% 4 3.18% 10 27.14% 9 28.22% 2 13.50% 9 7.13% 7 1.87% 10 25.79% 1 -11.46% 13 8.96% 10 -20.63% 3

Aluwani Equity -19.81% 3 31.29% 3 19.32% 6 5.91% 4 27.88% 7 21.58% 10 13.59% 8 9.65% 4 -1.68% 14 24.35% 3 -10.48% 5 9.46% 8 -17.32% 1

Aluwani SWIX Equity 8.94% 5 -2.19% 15 23.42% 4 -9.60% 4 9.92% 7 -21.41% 6

Argon SA Equity -21.45% 4 27.39% 7 18.64% 7 0.89% 11 26.00% 11 25.26% 7 16.22% 3 9.81% 3 0.36% 12 17.45% 10 -7.24% 2 11.66% 3 -24.94% 14

Benguela SA Equity (SWIX) 6.17% 2 19.70% 8 -10.92% 10 6.28% 12 -18.97% 2

Coronation Core Equity (SWIX) -13.36% 1 33.31% 1 24.74% 1 5.58% 5 28.28% 5 29.00% 1 12.25% 10 0.34% 13 5.55% 3 21.94% 6 -11.81% 16 11.64% 4 -21.30% 5

Mergence ESG Equity 4.53% 8 31.02% 4 21.55% 11 16.79% 2 5.22% 10 3.02% 8 15.57% 14 -11.18% 12 4.67% 14 -22.17% 8

Mergence SWIX -18.89% 2 30.73% 4 14.44% 8 6.22% 2 26.87% 10 25.45% 6 14.61% 6 7.31% 6 4.66% 6 17.07% 11 -10.71% 8 6.01% 13 -23.05% 10

Mianzo Active Equity 3.69% 9 28.19% 6 27.52% 3 11.56% 11 -4.02% 15 9.45% 1 16.26% 12 -8.62% 3 4.45% 15 -29.29% 16

OMIG Double Alpha SWIX40 20.54% 5 6.02% 3 31.27% 2 23.80% 8 15.19% 5 6.64% 9 0.87% 11 25.47% 2 -11.74% 15 9.29% 9 -20.79% 4

Prescient Core Equity 4.25% 11 4.63% 7 21.62% 7 -11.53% 14 10.02% 6 -22.97% 9

Sentio General Equity (SWIX) 4.55% 7 31.05% 3 23.02% 9 15.97% 4 6.70% 8 4.70% 5 16.04% 13 -11.12% 11 7.39% 11 -21.68% 7

SIM Moderate Equity 33.07% 2 21.88% 3 4.62% 6 27.46% 8 26.84% 4 14.49% 7 3.42% 12 5.30% 4 19.58% 9 -10.82% 9 12.48% 2 -23.08% 11

STANLIB Core Equity -29.62% 5 28.54% 5 22.68% 2 6.45% 1 35.68% 1 18.64% 12 10.09% 12 -0.37% 14 -0.07% 13 13.41% 16 -10.54% 7 2.60% 16 -23.62% 12

Truffle Institutional Equity 26.57% 5 17.84% 1 15.05% 1 -2.39% 16 13.79% 15 -2.61% 1 15.48% 1 -23.69% 13

JSE SWIX -21.67% 29.91% 20.86% 4.26% 29.09% 20.71% 15.42% 3.62% 4.13% 21.21% -11.67% 9.32% -23.28%

Top Quartile -18.89% 32.18% 22.08% 5.96% 31.04% 27.01% 16.03% 9.29% 4.85% 22.49% -10.26% 10.59% -21.18%

Mean -20.62% 30.31% 20.36% 4.70% 29.17% 24.79% 14.34% 6.01% 2.65% 19.60% -10.06% 8.79% -22.61%

Median -19.81% 30.73% 20.59% 4.62% 28.19% 25.35% 14.55% 6.70% 2.58% 19.64% -10.77% 9.38% -22.57%

Bottom Quartile -21.45% 28.18% 19.15% 4.11% 27.30% 22.66% 13.19% 3.83% 0.26% 16.20% -11.25% 6.22% -23.63%

JSE ALSI -23.23% 32.13% 18.98% 2.57% 26.68% 21.43% 10.88% 5.13% 2.63% 20.95% -8.53% 12.05% -21.38%

JSE Capped SWIX 29.09% 20.71% 15.42% 2.78% 5.16% 16.49% -10.94% 6.75% -26.58%

Page 56: GRAYSWAN SUMMARY SCORECARDS · Portfolio 2008 k 2009 k 2010 k 2011 k 2012 k 2013 k 2014 k 2015 k 2016 k 2017 k 2018 k 2019 k 2020 k Absa AM Money Market 12.29% 13 9.19% 13 7.46% 11

INVESTMENT CONSULTING I WEALTH MANAGEMENT I TREASURY SOLUTIONS 56

3 YEAR ANNUALISED VOLATILITY & RETURN

Absa AM Core Equity

Aeon Active Equity

Aluwani Equity

Aluwani SWIX Equity

Argon SA EquityBenguela SA Equity (SWIX)

Coronation Core Equity (SWIX)

Mergence ESG Equity

Mergence SWIX

Mianzo Active Equity

OMIG Double Alpha SWIX40

Prescient Core Equity

Sentio General Equity (SWIX)

SIM Moderate Equity

STANLIB Core Equity

Truffle Institutional Equity

JSE SWIX

JSE ALSI

JSE Capped SWIX

-9%

-8%

-7%

-6%

-5%

-4%

-3%

-2%

-1%

0%

13.50% 13.75% 14.00% 14.25% 14.50% 14.75% 15.00% 15.25% 15.50% 15.75% 16.00%

AN

NU

ALI

SED

RET

UR

N

ANNUALISED STANDARD DEVIATION

Page 57: GRAYSWAN SUMMARY SCORECARDS · Portfolio 2008 k 2009 k 2010 k 2011 k 2012 k 2013 k 2014 k 2015 k 2016 k 2017 k 2018 k 2019 k 2020 k Absa AM Money Market 12.29% 13 9.19% 13 7.46% 11

INVESTMENT CONSULTING I WEALTH MANAGEMENT I TREASURY SOLUTIONS 57

5 YEAR ANNUALISED VOLATILITY & RETURN

Absa AM Core Equity

Aeon Active Equity

Aluwani Equity

Aluwani SWIX Equity

Argon SA Equity

Coronation Core Equity (SWIX)

Mergence ESG Equity

Mergence SWIX

Mianzo Active Equity

OMIG Double Alpha SWIX40

Prescient Core Equity

Sentio General Equity (SWIX)

SIM Moderate Equity

STANLIB Core Equity

Truffle Institutional Equity

JSE SWIX

JSE ALSI

JSE Capped SWIX

-6%

-5%

-4%

-3%

-2%

-1%

0%

1%

12.50% 12.75% 13.00% 13.25% 13.50% 13.75% 14.00% 14.25% 14.50%

AN

NU

ALI

SED

RET

UR

N

ANNUALISED STANDARD DEVIATION

Page 58: GRAYSWAN SUMMARY SCORECARDS · Portfolio 2008 k 2009 k 2010 k 2011 k 2012 k 2013 k 2014 k 2015 k 2016 k 2017 k 2018 k 2019 k 2020 k Absa AM Money Market 12.29% 13 9.19% 13 7.46% 11

08

S A U N C O N S T R A I N E DE Q U I T Y F U N D S

...everything should be made as simple as possible, but not simpler.

- Einstein

Page 59: GRAYSWAN SUMMARY SCORECARDS · Portfolio 2008 k 2009 k 2010 k 2011 k 2012 k 2013 k 2014 k 2015 k 2016 k 2017 k 2018 k 2019 k 2020 k Absa AM Money Market 12.29% 13 9.19% 13 7.46% 11

INVESTMENT CONSULTING I WEALTH MANAGEMENT I TREASURY SOLUTIONS 59

3 YEAR PERFORMANCE

-20% -18% -16% -14% -12% -10% -8% -6% -4% -2% 0% 2%

PSG SA EquitySteyn Capital Equity Prescient

Cannon ALSI InstitutionalPerpetua Domestic Equity

Afena Capital Unconstrained EquityFirst Avenue Focused EquityAllan Gray Domestic Equity

Denker SA EquityNinety One Value

Anchor EquityFoord Domestic Equity

First Avenue General EquityFoord Domestic Equity SWIX

JSE Capped SWIXMazi Capital Equity SWIX

Visio SWIXMean

Prudential Select EquityAbax Equity

ClucasGray Equity PrescientLaurium Equity Prescient Unit Trust

Ashburton SA EquityBateleur Long Only Equity

Ninety One EquityCoronation Aggressive Equity

JSE SWIXElement Equity

Coronation Houseview EquityAylett Institutional Domestic Equity

Vunani Core EquityOasis Specialist Domestic Equity

Kagiso Managed EquityMatrix Novare Equity

Absa AM Value EquitySIM Aggressive Equity

JSE ALSIFairtree Equity Prescient

Rezco Equity

3 YEAR ANNUALISED RETURN

Page 60: GRAYSWAN SUMMARY SCORECARDS · Portfolio 2008 k 2009 k 2010 k 2011 k 2012 k 2013 k 2014 k 2015 k 2016 k 2017 k 2018 k 2019 k 2020 k Absa AM Money Market 12.29% 13 9.19% 13 7.46% 11

INVESTMENT CONSULTING I WEALTH MANAGEMENT I TREASURY SOLUTIONS 60

5 YEAR PERFORMANCE

-11% -10% -9% -8% -7% -6% -5% -4% -3% -2% -1% 0% 1% 2% 3% 4%

PSG SA Equity

Steyn Capital Equity Prescient

Perpetua Domestic Equity

Cannon ALSI Institutional

Denker SA Equity

Anchor Equity

First Avenue Focused Equity

Foord Domestic Equity

First Avenue General Equity

Foord Domestic Equity SWIX

Afena Capital Unconstrained Equity

Visio SWIX

JSE Capped SWIX

Mazi Capital Equity SWIX

Abax Equity

Laurium Equity Prescient Unit Trust

Mean

Allan Gray Domestic Equity

Prudential Select Equity

ClucasGray Equity Prescient

Ashburton SA Equity

Absa AM Value Equity

JSE SWIX

Coronation Houseview Equity

Bateleur Long Only Equity

Ninety One Equity

Oasis Specialist Domestic Equity

Coronation Aggressive Equity

Vunani Core Equity

Kagiso Managed Equity

Element Equity

Ninety One Value

JSE ALSI

Aylett Institutional Domestic Equity

SIM Aggressive Equity

Fairtree Equity Prescient

Rezco Equity

5 YEAR ANNUALISED RETURN

Page 61: GRAYSWAN SUMMARY SCORECARDS · Portfolio 2008 k 2009 k 2010 k 2011 k 2012 k 2013 k 2014 k 2015 k 2016 k 2017 k 2018 k 2019 k 2020 k Absa AM Money Market 12.29% 13 9.19% 13 7.46% 11

INVESTMENT CONSULTING I WEALTH MANAGEMENT I TREASURY SOLUTIONS 61

ABSOLUTE PERFORMANCE (1 of 2)

PortfolioSwan Star

Rating3

Months Ran

k

YTD

Ran

k 1Year R

ank 2

Year Ran

k 3Year R

ank 5

Year Ran

k 8Year R

ank 10

Year Ran

k 12Year R

ank

Abax Equity ✪✪✪ -24.60% 15 -24.60% 15 -24.70% 22 -14.54% 23 -6.61% 18 -3.22% 20 6.10% 9 7.92% 7 7.11% 13

Absa AM Value Equity ✪✪✪ -23.82% 13 -23.82% 13 -19.21% 6 -8.21% 6 -3.58% 4 -2.06% 14 4.73% 17 6.74% 14 8.11% 8

Afena Capital Unconstrained Equity ✪✪ -27.17% 22 -27.17% 22 -30.42% 30 -15.90% 29 -9.71% 30 -4.35% 23 1.19% 23

Allan Gray Domestic Equity ✪✪✪ -30.98% 31 -30.98% 31 -32.00% 32 -16.70% 30 -9.66% 28 -2.81% 18 5.19% 14 7.03% 13 7.22% 12

Anchor Equity ✪ -24.03% 14 -24.03% 14 -25.80% 25 -12.74% 21 -9.28% 25 -5.32% 28

Ashburton SA Equity ✪✪✪ -20.65% 5 -20.65% 5 -19.99% 8 -10.32% 13 -5.09% 15 -2.27% 15

Aylett Institutional Domestic Equity ✪✪✪✪✪ -26.26% 21 -26.26% 21 -23.08% 20 -11.72% 19 -4.37% 9 0.14% 4 6.50% 6 7.80% 9 9.39% 2

Bateleur Long Only Equity ✪✪✪ -21.64% 9 -21.64% 9 -19.88% 7 -10.58% 15 -5.05% 14 -1.58% 12

Cannon ALSI Institutional ✪ -28.85% 25 -28.85% 25 -31.87% 31 -18.52% 32 -12.56% 32 -5.99% 30 -2.24% 26 0.16% 20 0.54% 20

ClucasGray Equity Prescient ✪✪✪✪ -30.32% 29 -30.32% 29 -29.84% 29 -15.60% 27 -6.28% 17 -2.48% 16 5.76% 12

Coronation Aggressive Equity ✪✪✪✪ -22.81% 11 -22.81% 11 -17.82% 4 -9.08% 8 -4.75% 12 -1.32% 9 5.90% 11 7.86% 8 8.86% 5

Coronation Houseview Equity ✪✪✪✪ -20.72% 6 -20.72% 6 -16.75% 2 -8.74% 7 -4.54% 10 -1.65% 13 6.87% 5 8.33% 4 8.81% 6

Denker SA Equity ✪✪ -24.92% 17 -24.92% 17 -23.58% 21 -11.49% 17 -9.37% 27 -5.58% 29 1.95% 22 3.86% 17 5.09% 17

Element Equity ✪✪ -25.10% 18 -25.10% 18 -22.64% 18 -9.21% 9 -4.56% 11 -0.61% 6 0.70% 25 2.31% 19 3.01% 19

Fairtree Equity Prescient ✪✪✪✪✪ -30.62% 30 -30.62% 30 -21.91% 17 -5.81% 4 -1.96% 2 1.35% 2 10.16% 2

First Avenue Focused Equity ✪✪ -20.07% 4 -20.07% 4 -20.37% 13 -15.67% 28 -9.71% 29 -5.09% 27 3.90% 20

First Avenue General Equity ✪✪ -20.82% 7 -20.82% 7 -20.21% 10 -14.56% 24 -8.82% 23 -4.83% 25 3.87% 21

JSE SWIX -23.28% -23.28% -20.88% -10.86% -4.56% -1.94% 6.23% 7.64% 6.96%

Top Quartile -21.82% -21.82% -20.16% -9.22% -4.41% -1.32% 6.15% 8.18% 8.82%

Mean -25.62% -25.62% -23.54% -12.12% -6.88% -2.88% 5.06% 7.03% 7.31%

Median -25.01% -25.01% -22.27% -11.50% -6.44% -2.49% 5.44% 7.58% 7.72%

Bottom Quartile -29.36% -29.36% -26.00% -15.32% -9.32% -4.83% 4.06% 6.52% 6.48%

JSE ALSI -21.38% -21.38% -18.42% -7.43% -2.07% -0.13% 6.79% 7.68% 6.62%

JSE Capped SWIX -26.58% -26.58% -24.53% -14.24% -7.38% -3.81% 4.94%

Page 62: GRAYSWAN SUMMARY SCORECARDS · Portfolio 2008 k 2009 k 2010 k 2011 k 2012 k 2013 k 2014 k 2015 k 2016 k 2017 k 2018 k 2019 k 2020 k Absa AM Money Market 12.29% 13 9.19% 13 7.46% 11

INVESTMENT CONSULTING I WEALTH MANAGEMENT I TREASURY SOLUTIONS 62 62

ABSOLUTE PERFORMANCE (2 of 2)

PortfolioSwan Star

Rating3

Months Ran

k

YTD

Ran

k 1Year R

ank 2

Year Ran

k 3Year R

ank 5

Year Ran

k 8Year R

ank 10

Year Ran

k 12Year R

ank

Foord Domestic Equity ✪✪✪ -21.53% 8 -21.53% 8 -20.15% 9 -11.51% 18 -8.94% 24 -5.09% 26 4.84% 16 7.41% 12 7.85% 10

Foord Domestic Equity SWIX ✪✪✪ -18.89% 2 -18.89% 2 -17.73% 3 -10.17% 12 -7.99% 22 -4.44% 24 5.17% 15 7.60% 10 8.03% 9

Kagiso Managed Equity ✪✪✪ -30.08% 27 -30.08% 27 -20.81% 14 -5.71% 3 -3.76% 6 -0.68% 7 4.65% 18 6.55% 15 6.75% 14

Laurium Equity Prescient Unit Trust ✪✪✪ -27.97% 23 -27.97% 23 -26.06% 26 -14.80% 25 -5.15% 16 -3.17% 19

Matrix Novare Equity ✪✪✪✪ -25.23% 19 -25.23% 19 -22.66% 19 -9.77% 11 -3.67% 5

Mazi Capital Equity SWIX ✪✪✪✪ -24.69% 16 -24.69% 16 -25.80% 24 -14.48% 22 -7.33% 21 -3.65% 21 6.06% 10 9.00% 2 9.37% 3

Ninety One Equity ✪✪✪ -25.38% 20 -25.38% 20 -21.26% 15 -10.46% 14 -4.76% 13 -1.58% 11 7.39% 3 8.32% 5 6.60% 15

Ninety One Value ✪✪ -35.04% 33 -35.04% 33 -25.04% 23 -6.65% 5 -9.33% 26 -0.58% 5 1.11% 24 2.97% 18 5.01% 18

Oasis Specialist Domestic Equity ✪✪✪ -19.33% 3 -19.33% 3 -18.10% 5 -9.26% 10 -3.83% 7 -1.39% 10 4.55% 19 6.43% 16 6.11% 16

Perpetua Domestic Equity ✪✪ -30.13% 28 -30.13% 28 -29.07% 28 -18.39% 31 -11.36% 31 -6.09% 31

Prudential Select Equity ✪✪✪✪ -28.28% 24 -28.28% 24 -28.94% 27 -15.49% 26 -6.68% 19 -2.49% 17 6.10% 8 7.56% 11 7.60% 11

PSG SA Equity ✪ -38.43% 34 -38.43% 34 -43.38% 34 -29.76% 34 -19.09% 34 -10.07% 33

Rezco Equity ✪✪✪✪✪ -14.95% 1 -14.95% 1 -6.03% 1 -0.16% 1 1.74% 1 3.29% 1 12.36% 1 15.98% 1 13.61% 1

SIM Aggressive Equity ✪✪✪✪ -29.54% 26 -29.54% 26 -20.36% 12 -4.23% 2 -2.31% 3 0.88% 3 6.89% 4 8.13% 6 8.15% 7

Steyn Capital Equity Prescient ✪ -32.53% 32 -32.53% 32 -33.05% 33 -18.62% 33 -14.42% 33 -7.17% 32

Visio SWIX ✪✪✪ -22.35% 10 -22.35% 10 -21.67% 16 -12.57% 20 -7.08% 20 -4.04% 22 5.70% 13 8.66% 3 9.00% 4

Vunani Core Equity ✪✪✪✪✪ -23.49% 12 -23.49% 12 -20.34% 11 -10.72% 16 -3.99% 8 -1.20% 8 6.16% 7

JSE SWIX -23.28% -23.28% -20.88% -10.86% -4.56% -1.94% 6.23% 7.64% 6.96%

Top Quartile -21.82% -21.82% -20.16% -9.22% -4.41% -1.32% 6.15% 8.18% 8.82%

Mean -25.62% -25.62% -23.54% -12.12% -6.88% -2.88% 5.06% 7.03% 7.31%

Median -25.01% -25.01% -22.27% -11.50% -6.44% -2.49% 5.44% 7.58% 7.72%

Bottom Quartile -29.36% -29.36% -26.00% -15.32% -9.32% -4.83% 4.06% 6.52% 6.48%

JSE ALSI -21.38% -21.38% -18.42% -7.43% -2.07% -0.13% 6.79% 7.68% 6.62%

JSE Capped SWIX -26.58% -26.58% -24.53% -14.24% -7.38% -3.81% 4.94%

Page 63: GRAYSWAN SUMMARY SCORECARDS · Portfolio 2008 k 2009 k 2010 k 2011 k 2012 k 2013 k 2014 k 2015 k 2016 k 2017 k 2018 k 2019 k 2020 k Absa AM Money Market 12.29% 13 9.19% 13 7.46% 11

INVESTMENT CONSULTING I WEALTH MANAGEMENT I TREASURY SOLUTIONS 63

ABSOLUTE CALENDAR YEAR PERFORMANCE (1 of 2)

Portfolio 2008

Ran

k

2009

Ran

k

2010

Ran

k

2011

Ran

k

2012

Ran

k

2013

Ran

k

2014

Ran

k

2015

Ran

k

2016

Ran

k

2017

Ran

k

2018

Ran

k

2019

Ran

k

2020

Ran

k

Abax Equity -21.58% 18 28.71% 15 20.81% 15 8.91% 5 27.06% 11 28.04% 5 14.77% 10 11.01% 7 -0.97% 29 18.32% 7 -11.09% 26 5.28% 22 -24.60% 15

Absa AM Value Equity -2.72% 1 30.97% 12 24.39% 9 6.29% 10 24.02% 16 18.72% 21 12.39% 20 -3.24% 23 6.09% 18 13.95% 17 -8.24% 19 14.47% 7 -23.82% 13

Afena Capital Unconstrained Equity 2.72% 18 20.02% 21 17.05% 24 1.80% 29 -14.58% 31 24.76% 3 11.42% 24 -9.90% 24 2.73% 30 -27.17% 22

Allan Gray Domestic Equity -11.93% 3 25.67% 19 20.17% 17 9.00% 4 19.58% 22 24.51% 14 15.92% 7 5.23% 15 13.51% 11 14.44% 15 -7.60% 16 3.79% 27 -30.98% 31

Anchor Equity 19.24% 3 16.09% 1 -2.71% 32 2.91% 31 -6.68% 12 2.16% 31 -24.03% 14

Ashburton SA Equity 13.13% 18 3.82% 16 3.13% 23 12.99% 21 -7.86% 18 4.64% 24 -20.65% 5

Aylett Institutional Domestic Equity -8.70% 2 35.91% 3 22.04% 13 5.62% 11 20.50% 18 23.83% 15 14.41% 13 -2.18% 22 18.32% 7 13.40% 19 -2.14% 2 8.92% 13 -26.26% 21

Bateleur Long Only Equity 26.92% 7 20.29% 1 13.44% 4 2.15% 26 14.18% 16 -9.05% 22 8.45% 14 -21.64% 9

Cannon ALSI Institutional -26.55% 20 35.40% 4 18.69% 18 -1.71% 21 12.76% 23 15.24% 26 -2.13% 31 -10.84% 27 21.16% 6 -0.56% 32 -6.25% 10 0.01% 33 -28.85% 25

ClucasGray Equity Prescient 26.23% 12 23.14% 16 13.89% 16 1.53% 19 10.13% 15 18.40% 6 -4.23% 7 6.68% 18 -30.32% 29

Coronation Aggressive Equity -15.08% 6 36.73% 1 27.92% 3 5.05% 12 25.82% 14 30.91% 3 7.06% 28 -8.84% 25 15.98% 9 15.96% 11 -11.84% 27 15.77% 6 -22.81% 11

Coronation Houseview Equity -16.50% 11 35.11% 5 25.81% 6 3.50% 16 27.60% 9 32.52% 2 10.11% 24 0.10% 20 6.83% 17 15.74% 12 -12.46% 30 13.95% 8 -20.72% 6

Denker SA Equity -17.48% 13 32.02% 8 23.05% 10 1.55% 19 21.45% 17 18.02% 22 10.70% 22 -11.71% 28 17.09% 8 -1.69% 33 -3.62% 5 6.85% 17 -24.92% 17

Element Equity -12.38% 4 26.68% 17 14.76% 19 3.96% 15 11.16% 24 2.16% 27 1.14% 30 -16.14% 32 21.57% 4 15.50% 13 -2.60% 4 9.58% 11 -25.10% 18

Fairtree Equity Prescient 31.72% 7 24.93% 13 20.07% 2 8.42% 11 10.71% 14 21.47% 2 -4.00% 6 21.98% 4 -30.62% 30

First Avenue Focused Equity 20.78% 19 14.28% 14 12.86% 5 -4.14% 34 16.94% 8 -20.01% 34 2.03% 32 -20.07% 4

First Avenue General Equity 31.19% 8 20.21% 20 13.85% 17 9.52% 10 -2.68% 31 14.65% 14 -16.49% 33 3.03% 28 -20.82% 7

JSE SWIX -21.67% 29.91% 20.86% 4.26% 29.09% 20.71% 15.42% 3.62% 4.13% 21.21% -11.67% 9.32% -23.28%

Top Quartile -14.57% 33.93% 25.82% 8.10% 31.72% 26.81% 15.75% 10.59% 15.74% 16.15% -5.99% 12.03% -21.82%

Mean -16.57% 31.10% 23.29% 6.41% 25.57% 22.36% 12.52% 1.22% 9.77% 12.55% -8.32% 8.67% -25.62%

Median -16.47% 31.30% 22.95% 5.62% 26.15% 24.17% 13.89% 2.92% 6.46% 13.95% -7.73% 6.76% -25.01%

Bottom Quartile -19.15% 28.32% 20.71% 3.50% 20.17% 18.55% 10.32% -8.84% 2.23% 10.32% -10.95% 3.84% -29.36%

JSE ALSI -23.23% 32.13% 18.98% 2.57% 26.68% 21.43% 10.88% 5.13% 2.63% 20.95% -8.53% 12.05% -21.38%

JSE Capped SWIX 29.09% 20.71% 15.42% 2.78% 5.16% 16.49% -10.94% 6.75% -26.58%

Page 64: GRAYSWAN SUMMARY SCORECARDS · Portfolio 2008 k 2009 k 2010 k 2011 k 2012 k 2013 k 2014 k 2015 k 2016 k 2017 k 2018 k 2019 k 2020 k Absa AM Money Market 12.29% 13 9.19% 13 7.46% 11

INVESTMENT CONSULTING I WEALTH MANAGEMENT I TREASURY SOLUTIONS 64

ABSOLUTE CALENDAR YEAR PERFORMANCE (2 of 2)

Portfolio 2008

Ran

k

2009

Ran

k

2010

Ran

k

2011

Ran

k

2012

Ran

k

2013

Ran

k

2014

Ran

k

2015

Ran

k

2016

Ran

k

2017

Ran

k

2018

Ran

k

2019

Ran

k

2020

Ran

k

Foord Domestic Equity -15.96% 8 31.21% 11 25.83% 5 8.10% 6 32.47% 4 28.49% 4 16.05% 6 2.90% 18 3.11% 24 5.39% 30 -12.22% 28 5.95% 19 -21.53% 8

Foord Domestic Equity SWIX -15.96% 7 31.39% 10 25.71% 7 7.83% 7 32.27% 5 27.86% 6 15.65% 9 2.92% 17 3.28% 22 5.51% 29 -12.23% 29 5.68% 20 -18.89% 2

Kagiso Managed Equity -20.27% 16 36.24% 2 22.51% 12 4.64% 14 20.17% 19 25.11% 12 7.67% 27 -8.71% 24 10.81% 13 16.20% 9 -6.36% 11 24.59% 3 -30.08% 27

Laurium Equity Prescient UT 10.59% 9 -3.67% 33 19.44% 4 -5.90% 9 8.37% 15 -27.97% 23

Matrix Novare Equity 8.02% 16 21.16% 3 -7.60% 17 11.49% 10 -25.23% 19

Mazi Capital Equity SWIX -16.44% 10 31.51% 9 28.81% 2 12.44% 3 36.69% 3 26.12% 9 14.49% 12 12.50% 6 -2.54% 30 18.55% 5 -13.24% 31 5.37% 21 -24.69% 16

Ninety One Equity -25.10% 19 26.48% 18 14.60% 20 6.51% 9 25.14% 15 22.44% 17 17.72% 5 15.26% 2 2.47% 25 13.21% 20 -7.01% 15 12.21% 9 -25.38% 20

Ninety One Value -13.04% 5 32.04% 7 25.00% 8 1.48% 20 3.03% 25 -0.29% 28 13.09% 19 -18.81% 33 53.50% 1 -4.04% 34 -4.85% 8 28.48% 1 -35.04% 33

Oasis Specialist Domestic Equity -18.60% 14 24.89% 20 20.92% 14 7.18% 8 26.15% 13 16.55% 25 10.52% 23 -9.49% 26 15.02% 10 11.80% 22 -6.91% 13 7.39% 16 -19.33% 3

Perpetua Domestic Equity 17.68% 23 9.43% 25 -13.15% 30 21.32% 5 8.60% 27 -10.52% 25 2.91% 29 -30.13% 28

Prudential Select Equity -16.97% 12 29.95% 14 20.42% 16 4.74% 13 27.41% 10 26.77% 8 14.53% 11 6.23% 14 5.09% 19 23.06% 1 -8.90% 21 4.87% 23 -28.28% 24

PSG SA Equity 15.86% 8 -12.43% 29 32.36% 2 10.02% 26 -9.43% 23 -12.01% 34 -38.43% 34

Rezco Equity -18.78% 15 27.16% 16 33.63% 1 20.58% 1 48.13% 1 35.49% 1 18.09% 4 10.86% 8 0.69% 27 11.22% 25 -1.06% 1 16.56% 5 -14.95% 1

SIM Aggressive Equity -21.03% 17 33.53% 6 22.85% 11 3.48% 17 20.04% 20 25.61% 10 10.95% 21 -1.97% 21 13.19% 12 13.95% 18 -2.59% 3 25.89% 2 -29.54% 26

Steyn Capital Equity Prescient 14.75% 3 4.42% 20 6.95% 28 -14.48% 32 3.96% 25 -32.53% 32

Visio SWIX -16.34% 9 30.31% 13 27.88% 4 12.74% 2 36.92% 2 25.34% 11 14.07% 15 6.85% 13 -0.27% 28 11.59% 23 -8.48% 20 3.80% 26 -22.35% 10

Vunani Core Equity 31.80% 6 21.88% 18 9.19% 26 7.60% 12 4.38% 21 16.00% 10 -6.99% 14 9.03% 12 -23.49% 12

JSE SWIX -21.67% 29.91% 20.86% 4.26% 29.09% 20.71% 15.42% 3.62% 4.13% 21.21% -11.67% 9.32% -23.28%

Top Quartile -14.57% 33.93% 25.82% 8.10% 31.72% 26.81% 15.75% 10.59% 15.74% 16.15% -5.99% 12.03% -21.82%

Mean -16.57% 31.10% 23.29% 6.41% 25.57% 22.36% 12.52% 1.22% 9.77% 12.55% -8.32% 8.67% -25.62%

Median -16.47% 31.30% 22.95% 5.62% 26.15% 24.17% 13.89% 2.92% 6.46% 13.95% -7.73% 6.76% -25.01%

Bottom Quartile -19.15% 28.32% 20.71% 3.50% 20.17% 18.55% 10.32% -8.84% 2.23% 10.32% -10.95% 3.84% -29.36%

JSE ALSI -23.23% 32.13% 18.98% 2.57% 26.68% 21.43% 10.88% 5.13% 2.63% 20.95% -8.53% 12.05% -21.38%

JSE Capped SWIX 29.09% 20.71% 15.42% 2.78% 5.16% 16.49% -10.94% 6.75% -26.58%

Page 65: GRAYSWAN SUMMARY SCORECARDS · Portfolio 2008 k 2009 k 2010 k 2011 k 2012 k 2013 k 2014 k 2015 k 2016 k 2017 k 2018 k 2019 k 2020 k Absa AM Money Market 12.29% 13 9.19% 13 7.46% 11

INVESTMENT CONSULTING I WEALTH MANAGEMENT I TREASURY SOLUTIONS 65

3 YEAR ANNUALISED VOLATILITY & RETURN

Abax Equity

Absa AM Value Equity

Afena Capital Unconstrained EquityAllan Gray Domestic Equity

Anchor Equity

Ashburton SA Equity

Aylett Institutional Domestic Equity

Bateleur Long Only Equity

Cannon ALSI Institutional

ClucasGray Equity PrescientCoronation Aggressive Equity

Coronation Houseview Equity

Denker SA Equity

Element Equity

Fairtree Equity Prescient

First Avenue Focused Equity

First Avenue General EquityFoord Domestic Equity

Foord Domestic Equity SWIX

Kagiso Managed Equity

Laurium Equity Prescient Unit Trust

Matrix Novare Equity

Mazi Capital Equity SWIX

Ninety One Equity

Ninety One Value

Oasis Specialist Domestic Equity

Perpetua Domestic Equity

Prudential Select Equity

PSG SA Equity

Rezco Equity

SIM Aggressive Equity

Steyn Capital Equity Prescient

Visio SWIX

Vunani Core Equity

JSE SWIX

JSE ALSI

JSE Capped SWIX

-20%

-18%

-16%

-14%

-12%

-10%

-8%

-6%

-4%

-2%

0%

2%

11% 12% 13% 14% 15% 16% 17% 18% 19% 20% 21% 22%

AN

NU

ALI

SED

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UR

N

ANNUALISED STANDARD DEVIATION

Page 66: GRAYSWAN SUMMARY SCORECARDS · Portfolio 2008 k 2009 k 2010 k 2011 k 2012 k 2013 k 2014 k 2015 k 2016 k 2017 k 2018 k 2019 k 2020 k Absa AM Money Market 12.29% 13 9.19% 13 7.46% 11

INVESTMENT CONSULTING I WEALTH MANAGEMENT I TREASURY SOLUTIONS 66

5 YEAR ANNUALISED VOLATILITY & RETURN

Abax Equity

Absa AM Value Equity

Afena Capital Unconstrained Equity

Allan Gray Domestic Equity

Anchor Equity

Ashburton SA Equity

Aylett Institutional Domestic Equity

Bateleur Long Only Equity

Cannon ALSI Institutional

ClucasGray Equity Prescient

Coronation Aggressive Equity

Coronation Houseview Equity

Denker SA Equity

Element Equity

Fairtree Equity Prescient

First Avenue Focused EquityFirst Avenue General Equity

Foord Domestic Equity

Foord Domestic Equity SWIX

Kagiso Managed Equity

Laurium Equity Prescient Unit Trust

Ninety One Equity

Ninety One Value

Oasis Specialist Domestic Equity

Perpetua Domestic Equity

Prudential Select Equity

PSG SA Equity

Rezco Equity

SIM Aggressive Equity

Steyn Capital Equity Prescient

Visio SWIX

Vunani Core Equity

JSE SWIX

JSE ALSI

JSE Capped SWIX Mazi Capital Equity SWIX

-12%

-10%

-8%

-6%

-4%

-2%

0%

2%

4%

8% 10% 12% 14% 16% 18% 20% 22% 24%

AN

NU

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ANNUALISED STANDARD DEVIATION

Page 67: GRAYSWAN SUMMARY SCORECARDS · Portfolio 2008 k 2009 k 2010 k 2011 k 2012 k 2013 k 2014 k 2015 k 2016 k 2017 k 2018 k 2019 k 2020 k Absa AM Money Market 12.29% 13 9.19% 13 7.46% 11

09

A F R I C A E Q U I T Y E XS O U T H A F R I C A F U N D S

Quality is the best business plan.

- John Lasseter

Page 68: GRAYSWAN SUMMARY SCORECARDS · Portfolio 2008 k 2009 k 2010 k 2011 k 2012 k 2013 k 2014 k 2015 k 2016 k 2017 k 2018 k 2019 k 2020 k Absa AM Money Market 12.29% 13 9.19% 13 7.46% 11

INVESTMENT CONSULTING I WEALTH MANAGEMENT I TREASURY SOLUTIONS 68

3 YEAR PERFORMANCE

-18% -16% -14% -12% -10% -8% -6% -4% -2% 0% 2% 4%

Sustainable Capital Africa Alpha

Sanlam African Frontier Markets

Prudential Africa Equity SICAV

Rudiarius BCI Africa Equity

All Seasons Africa

Aluwani Africa Equity

Coronation Africa Frontiers

Ashmore Africa

Mean

MSCI Africa ex SA Index

Ninety One Africa

Absa Africa Equity

MSCI Emerging Markets

Allan Gray Africa Equity ex ZA

Steyn Capital Africa

Laurium Limpopo Africa Equity

Gondo Visio Metsi Fund

MSCI World

Old Mutual African Frontiers

3 YEAR ANNUALISED RETURN

Page 69: GRAYSWAN SUMMARY SCORECARDS · Portfolio 2008 k 2009 k 2010 k 2011 k 2012 k 2013 k 2014 k 2015 k 2016 k 2017 k 2018 k 2019 k 2020 k Absa AM Money Market 12.29% 13 9.19% 13 7.46% 11

INVESTMENT CONSULTING I WEALTH MANAGEMENT I TREASURY SOLUTIONS 69

5 YEAR PERFORMANCE

-11% -10% -9% -8% -7% -6% -5% -4% -3% -2% -1% 0% 1% 2% 3% 4%

Rudiarius BCI Africa Equity

Aluwani Africa Equity

Ninety One Africa

All Seasons Africa

Sustainable Capital Africa Alpha

Ashmore Africa

Sanlam African Frontier Markets

Gondo Visio Metsi Fund

Coronation Africa Frontiers

Mean

Prudential Africa Equity SICAV

MSCI Africa ex SA Index

Allan Gray Africa Equity ex ZA

Absa Africa Equity

Steyn Capital Africa

Old Mutual African Frontiers

Laurium Limpopo Africa Equity

MSCI Emerging Markets

MSCI World

5 YEAR ANNUALISED RETURN

Page 70: GRAYSWAN SUMMARY SCORECARDS · Portfolio 2008 k 2009 k 2010 k 2011 k 2012 k 2013 k 2014 k 2015 k 2016 k 2017 k 2018 k 2019 k 2020 k Absa AM Money Market 12.29% 13 9.19% 13 7.46% 11

INVESTMENT CONSULTING I WEALTH MANAGEMENT I TREASURY SOLUTIONS 70

ABSOLUTE PERFORMANCE

PortfolioSwan Star

Rating3

Months Ran

k

YTD

Ran

k 1Year R

ank 2

Year Ran

k 3Year R

ank 5

Year Ran

k 8Year R

ank 10

Year Ran

k 12Year R

ank

Absa Africa Equity ✪✪✪ -24.55% 4 -24.55% 4 -24.74% 6 -16.34% 3 -2.02% 6 -6.59% 4

All Seasons Africa ✪✪ -25.85% 9 -25.85% 9 -29.11% 10 -22.47% 11 -4.76% 11 -9.31% 12 -3.49% 8 -4.27% 6

Allan Gray Africa Equity ex ZA ✪✪✪✪ -21.88% 3 -21.88% 3 -31.78% 11 -22.23% 10 -1.19% 5 -6.60% 5 -2.19% 6

Aluwani Africa Equity ✪✪ -30.16% 14 -30.16% 14 -33.62% 14 -23.35% 12 -4.55% 10 -10.61% 14 -3.63% 9 -3.04% 4

Ashmore Africa ✪✪✪ -25.07% 6 -25.07% 6 -24.43% 4 -19.00% 6 -4.20% 8 -8.62% 10 -1.38% 4 -1.32% 2 -2.92% 1

Coronation Africa Frontiers ✪✪✪✪ -25.14% 7 -25.14% 7 -33.47% 13 -21.73% 8 -4.22% 9 -7.51% 7 -0.22% 3 -0.35% 1

Gondo Visio Metsi Fund ✪✪✪ -25.94% 10 -25.94% 10 -21.65% 3 -15.34% 2 1.55% 2 -7.73% 8 -2.57% 7 -2.49% 3

Laurium Limpopo Africa Equity ✪✪✪✪ -25.67% 8 -25.67% 8 -24.82% 7 -17.43% 5 1.43% 3 -0.98% 1

Ninety One Africa ✪ -16.19% 1 -16.19% 1 -19.08% 1 -16.50% 4 -2.60% 7 -9.90% 13 -4.85% 10 -5.32% 7 -7.60% 2

Old Mutual African Frontiers ✪✪✪✪✪ -24.70% 5 -24.70% 5 -21.47% 2 -12.79% 1 2.27% 1 -2.71% 2 1.92% 2

Prudential Africa Equity SICAV ✪✪✪ -29.80% 13 -29.80% 13 -26.13% 8 -22.03% 9 -5.22% 13 -7.29% 6

Rudiarius BCI Africa Equity ✪ -26.15% 11 -26.15% 11 -24.48% 5 -20.84% 7 -5.06% 12 -10.92% 15

Sanlam African Frontier Markets ✪✪✪ -28.39% 12 -28.39% 12 -32.05% 12 -23.94% 13 -5.67% 14 -8.26% 9 -1.55% 5 -3.29% 5

Steyn Capital Africa ✪✪✪✪✪ -19.89% 2 -19.89% 2 -28.35% 9 -24.04% 14 -0.43% 4 -5.74% 3 2.73% 1

Sustainable Capital Africa Alpha ✪✪ -33.55% 15 -33.55% 15 -36.11% 15 -28.65% 15 -16.80% 15 -8.69% 11 -5.20% 11

MSCI Africa ex SA Index -27.68% -27.68% -19.98% -17.23% -3.36% -7.09% -1.46% -2.83% -6.53%

Top Quartile -24.63% -24.63% -24.46% -16.96% -0.81% -6.60% -0.80% -1.91% -4.09%

Mean -25.53% -25.53% -27.42% -20.44% -3.43% -7.43% -1.86% -2.87% -5.26%

Median -25.67% -25.67% -26.13% -21.73% -4.20% -7.73% -2.19% -3.04% -5.26%

Bottom Quartile -27.27% -27.27% -31.91% -22.91% -4.91% -9.00% -3.56% -3.78% -6.43%

MSCI Emerging Markets -23.60% -23.60% -17.69% -12.70% -1.62% -0.37% -0.11% 0.68% 0.22%

MSCI World -21.05% -21.05% -10.39% -3.46% 1.92% 3.25% 6.51% 6.57% 4.28%

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INVESTMENT CONSULTING I WEALTH MANAGEMENT I TREASURY SOLUTIONS 71

ABSOLUTE CALENDAR YEAR PERFORMANCE

Portfolio 2008

Ran

k

2009

Ran

k

2010

Ran

k

2011

Ran

k

2012

Ran

k

2013

Ran

k

2014

Ran

k

2015

Ran

k

2016

Ran

k

2017

Ran

k

2018

Ran

k

2019

Ran

k

2020

Ran

k

Absa Africa Equity -19.74% 5 -11.97% 9 24.62% 13 -4.81% 3 9.17% 5 -24.55% 4

All Seasons Africa 2.05% 4 15.05% 6 -25.06% 5 28.46% 8 19.96% 10 -7.48% 10 -26.87% 13 -11.33% 8 34.99% 6 -10.75% 9 -0.65% 11 -25.85% 9

Allan Gray Africa Equity ex ZA 36.46% 3 19.97% 9 -7.67% 11 -32.59% 14 -6.37% 5 52.85% 2 -5.23% 4 -9.10% 14 -21.88% 3

Aluwani Africa Equity 22.97% 3 -15.27% 1 23.06% 10 21.42% 5 -6.19% 8 -22.32% 6 -21.47% 14 37.35% 5 -12.39% 11 7.34% 6 -30.16% 14

Ashmore Africa -44.63% 1 35.96% 1 22.54% 4 -18.46% 3 28.32% 9 25.35% 2 -1.88% 4 -19.41% 4 -18.84% 12 25.43% 12 -6.82% 5 6.38% 7 -25.07% 6

Coronation Africa Frontiers 25.11% 2 24.54% 2 -16.44% 2 29.29% 7 22.60% 4 3.27% 3 -25.73% 10 -6.31% 4 34.88% 7 -1.61% 1 -7.00% 13 -25.14% 7

Gondo Visio Metsi Fund 20.14% 5 -18.82% 4 30.10% 6 17.02% 12 -6.35% 9 -25.91% 12 -17.35% 11 25.45% 11 -9.07% 7 20.43% 1 -25.94% 10

Laurium Limpopo Africa Equity 6.30% 1 -11.88% 1 -5.66% 3 47.84% 3 -7.65% 6 10.24% 3 -25.67% 8

Ninety One Africa -49.46% 2 24.21% 3 32.18% 1 -30.99% 7 33.76% 4 21.02% 7 -16.95% 13 -25.86% 11 -25.18% 15 30.42% 9 -10.83% 10 3.31% 9 -16.19% 1

Old Mutual African Frontiers -28.61% 6 32.67% 5 19.70% 11 -3.54% 5 -17.15% 2 -10.01% 7 33.68% 8 -2.39% 2 14.61% 2 -24.70% 5

Prudential Africa Equity SICAV 20.64% 8 -5.63% 6 -17.84% 3 -5.22% 2 28.99% 10 -10.13% 8 5.56% 8 -29.80% 13

Rudiarius BCI Africa Equity -24.54% 9 -18.87% 13 21.50% 14 -12.47% 13 9.54% 4 -26.15% 11

Sanlam African Frontier Markets -31.32% 8 41.02% 2 23.94% 3 -5.78% 7 -23.98% 8 -8.51% 6 44.49% 4 -12.45% 12 -2.56% 12 -28.39% 12

Steyn Capital Africa 44.49% 1 28.13% 1 6.05% 2 -22.85% 7 -12.67% 10 66.01% 1 -13.53% 14 -10.05% 15 -19.89% 2

Sustainable Capital Africa Alpha 21.30% 6 -16.45% 12 -42.98% 15 49.72% 1 15.77% 15 -20.30% 15 1.37% 10 -33.55% 15

MSCI Africa ex SA Index -46.79% 7.12% 17.72% -30.51% 41.12% 18.31% -5.76% -19.52% -7.91% 22.31% -12.95% 16.65% -27.68%

Top Quartile -45.84% 27.83% 24.15% -17.96% 35.79% 22.94% -1.88% -19.58% -6.34% 40.92% -6.03% 9.36% -24.63%

Mean -47.05% 21.83% 22.90% -23.12% 32.76% 21.75% -4.79% -23.98% -8.67% 34.95% -9.36% 3.91% -25.53%

Median -47.05% 24.66% 22.76% -21.94% 31.38% 21.16% -5.78% -23.98% -11.33% 33.68% -10.13% 5.56% -25.67%

Bottom Quartile -48.26% 18.67% 20.74% -29.21% 28.67% 19.96% -7.48% -25.88% -18.10% 25.44% -12.42% -1.61% -27.27%

MSCI Emerging Markets -53.33% 78.51% 18.88% -18.42% 18.22% -2.60% -2.19% -14.92% 11.19% 37.28% -14.58% 18.44% -23.60%

MSCI World -40.71% 29.99% 11.76% -5.54% 15.83% 26.68% 4.94% -0.87% 7.51% 22.40% -8.71% 27.67% -21.05%

Page 72: GRAYSWAN SUMMARY SCORECARDS · Portfolio 2008 k 2009 k 2010 k 2011 k 2012 k 2013 k 2014 k 2015 k 2016 k 2017 k 2018 k 2019 k 2020 k Absa AM Money Market 12.29% 13 9.19% 13 7.46% 11

INVESTMENT CONSULTING I WEALTH MANAGEMENT I TREASURY SOLUTIONS 72

3 YEAR ANNUALISED VOLATILITY & RETURN

Absa Africa Equity

All Seasons Africa

Allan Gray Africa Equity ex ZA

Aluwani Africa EquityAshmore Africa Coronation Africa Frontiers

Gondo Visio Metsi FundLaurium Limpopo Africa Equity

Ninety One Africa

Old Mutual African Frontiers

Prudential Africa Equity SICAV

Rudiarius BCI Africa Equity Sanlam African Frontier Markets

Steyn Capital Africa

Sustainable Capital Africa Alpha

MSCI Africa ex SA Index

MSCI Emerging Markets

MSCI World

-20%

-16%

-12%

-8%

-4%

0%

4%

12% 13% 14% 15% 16% 17% 18% 19% 20% 21% 22% 23%

AN

NU

ALI

SED

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Page 73: GRAYSWAN SUMMARY SCORECARDS · Portfolio 2008 k 2009 k 2010 k 2011 k 2012 k 2013 k 2014 k 2015 k 2016 k 2017 k 2018 k 2019 k 2020 k Absa AM Money Market 12.29% 13 9.19% 13 7.46% 11

INVESTMENT CONSULTING I WEALTH MANAGEMENT I TREASURY SOLUTIONS 73

Absa Africa Equity

All Seasons Africa

Allan Gray Africa Equity ex ZA

Aluwani Africa Equity

Ashmore Africa

Coronation Africa FrontiersGondo Visio Metsi Fund

Laurium Limpopo Africa Equity

Ninety One Africa

Old Mutual African Frontiers

Prudential Africa Equity SICAV

Rudiarius BCI Africa Equity

Sanlam African Frontier Markets

Steyn Capital Africa

Sustainable Capital Africa Alpha

MSCI Africa ex SA Index

MSCI Emerging Markets

-12%

-10%

-8%

-6%

-4%

-2%

0%

14% 15% 16% 17% 18% 19% 20% 21% 22% 23% 24%

AN

NU

ALI

SED

RET

UR

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ANNUALISED STANDARD DEVIATION

5 YEAR ANNUALISED VOLATILITY & RETURN

*excluding MSCI World benchmark

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10

S A G L O B A L B A L A N C E DF U N D S

The only source of knowledge is experience.

- Einstein

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INVESTMENT CONSULTING I WEALTH MANAGEMENT I TREASURY SOLUTIONS 75

3 YEAR PERFORMANCE

-8% -6% -4% -2% 0% 2% 4% 6% 8% 10%

PSG Balanced

JSE SWIX

Cadiz Global Balanced

Coronation Managed

Abax Balanced

Kagiso Balanced

OMIG MacroSolutions (Edge28)

Prescient Absolute Balanced

Prudential Balanced

Allan Gray Global Balanced Life

Allan Gray Global Balanced Segregated

OMIG MacroSolutions Balanced

ClucasGray Equilibrium

Absa AM Global Balanced

SIM Global Unique

Oasis Global Full Discretion

Coronation Full Discretion

Mean

GraySwan Global Balanced Peer Group Avg

Balondolozi Active Balanced

Foord Global Balanced

Ninety One Segregated Full Discretion

Prescient Balanced

Ninety One Balanced

STANLIB Full Discretion

Rezco Value Trend (Balanced)

Ninety One Managed

Rezco Managed Plus

CPI + 5%

3 YEAR ANNUALISED RETURN

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INVESTMENT CONSULTING I WEALTH MANAGEMENT I TREASURY SOLUTIONS 76

5 YEAR PERFORMANCE

-2% -1% 0% 1% 2% 3% 4% 5% 6% 7% 8% 9% 10% 11%

JSE SWIX

PSG Balanced

Prescient Absolute Balanced

OMIG MacroSolutions (Edge28)

Cadiz Global Balanced

Kagiso Balanced

OMIG MacroSolutions Balanced

Coronation Managed

Absa AM Global Balanced

Oasis Global Full Discretion

Abax Balanced

SIM Global Unique

Prudential Balanced

ClucasGray Equilibrium

Coronation Full Discretion

STANLIB Full Discretion

Foord Global Balanced

Mean

GraySwan Global Balanced Peer Group Avg

Prescient Balanced

Balondolozi Active Balanced

Ninety One Segregated Full Discretion

Ninety One Balanced

Allan Gray Global Balanced Segregated

Allan Gray Global Balanced Life

Rezco Value Trend (Balanced)

Rezco Managed Plus

Ninety One Managed

CPI + 5%

5 YEAR ANNUALISED RETURN

Page 77: GRAYSWAN SUMMARY SCORECARDS · Portfolio 2008 k 2009 k 2010 k 2011 k 2012 k 2013 k 2014 k 2015 k 2016 k 2017 k 2018 k 2019 k 2020 k Absa AM Money Market 12.29% 13 9.19% 13 7.46% 11

INVESTMENT CONSULTING I WEALTH MANAGEMENT I TREASURY SOLUTIONS 77

ABSOLUTE PERFORMANCE

PortfolioSwan Star

Rating3

Months Ran

k

YTD

Ran

k 1Year R

ank 2

Year Ran

k 3Year R

ank 5

Year Ran

k 8Year R

ank 10

Year Ran

k 12Year R

ank

Abax Balanced ✪✪✪ -21.25% 24 -21.25% 24 -16.14% 23 -4.04% 19 -1.14% 22 2.20% 16 8.24% 12

Absa AM Global Balanced ✪✪ -14.79% 15 -14.79% 15 -11.81% 13 -2.36% 13 0.01% 13 1.94% 18 6.82% 18 8.22% 16

Allan Gray Global Balanced Life ✪✪✪✪ -12.61% 9 -12.61% 9 -11.96% 14 -3.06% 16 -0.28% 17 3.76% 4 8.45% 8 9.34% 8 8.97% 8

Allan Gray Global Balanced Segregated ✪✪✪ -12.99% 11 -12.99% 11 -12.10% 15 -3.03% 15 -0.19% 16 3.74% 5 8.38% 10 9.23% 10 8.88% 9

Balondolozi Active Balanced ✪✪✪ -14.72% 14 -14.72% 14 -12.10% 16 -1.15% 9 1.10% 9 2.94% 8

Cadiz Global Balanced ✪ -17.29% 19 -17.29% 19 -14.61% 19 -2.57% 14 -1.64% 24 1.20% 22 5.64% 20 6.79% 18

ClucasGray Equilibrium ✪✪✪ -19.47% 22 -19.47% 22 -16.46% 24 -5.18% 23 -0.11% 14 2.35% 13

Coronation Full Discretion ✪✪✪✪ -14.35% 13 -14.35% 13 -9.98% 11 -1.91% 11 0.67% 10 2.66% 12 9.04% 6 9.85% 4 9.84% 4

Coronation Managed ✪✪✪ -16.90% 18 -16.90% 18 -12.85% 17 -4.31% 20 -1.63% 23 1.72% 19 8.43% 9 9.60% 7 9.86% 3

Foord Global Balanced ✪✪✪ -8.04% 4 -8.04% 4 -3.31% 4 1.89% 4 1.67% 8 2.74% 10 8.62% 7 9.84% 5 9.36% 7

Kagiso Balanced ✪ -24.15% 25 -24.15% 25 -16.49% 25 -3.26% 17 -1.10% 21 1.22% 21 4.47% 22 5.91% 19 6.57% 17

Mergence Global Balanced - -9.35% 5 -9.35% 5 -4.36% 5

Ninety One Balanced ✪✪✪✪ -12.05% 8 -12.05% 8 -7.54% 8 -0.70% 6 2.16% 5 3.35% 6 9.59% 4 9.92% 3 9.59% 5

Ninety One Managed ✪✪✪✪✪ 0.51% 3 0.51% 3 8.17% 3 8.42% 3 8.90% 2 9.13% 1 12.29% 3 12.58% 2 10.38% 2

Ninety One Segregated Full Discretion ✪✪✪✪ -12.77% 10 -12.77% 10 -8.08% 9 -1.07% 7 1.98% 7 3.30% 7 9.34% 5 9.73% 6 9.40% 6

Oasis Global Full Discretion ✪✪ -10.90% 7 -10.90% 7 -7.51% 7 -1.08% 8 0.60% 11 2.13% 17 7.88% 15 8.43% 14 7.29% 16

OMIG MacroSolutions (Edge28) ✪✪ -18.48% 21 -18.48% 21 -14.62% 20 -5.37% 24 -1.08% 20 1.09% 23 7.89% 14 8.56% 12 8.06% 11

OMIG MacroSolutions Balanced ✪✪ -16.21% 17 -16.21% 17 -13.13% 18 -3.94% 18 -0.13% 15 1.68% 20 7.43% 17 8.24% 15 7.66% 13

Prescient Absolute Balanced ✪ -19.88% 23 -19.88% 23 -14.97% 21 -4.70% 22 -1.03% 19 -0.44% 24 4.68% 21 5.39% 20 5.29% 18

Prescient Balanced ✪✪✪✪ -14.23% 12 -14.23% 12 -8.80% 10 -1.93% 12 2.02% 6 2.89% 9

Prudential Balanced ✪✪✪ -17.73% 20 -17.73% 20 -15.10% 22 -4.47% 21 -0.40% 18 2.29% 14 8.35% 11 9.19% 11 8.82% 10

PSG Balanced ✪✪ -25.19% 26 -25.19% 26 -26.80% 26 -14.13% 25 -7.54% 25 -1.16% 25 6.08% 19 7.74% 17 7.53% 15

Rezco Managed Plus ✪✪✪✪✪ 3.14% 1 3.14% 1 14.04% 1 13.04% 1 8.93% 1 7.12% 2 12.40% 1

Rezco Value Trend (Balanced) ✪✪✪✪✪ 2.65% 2 2.65% 2 12.00% 2 11.59% 2 8.26% 3 6.88% 3 12.33% 2 13.72% 1 12.52% 1

SIM Global Unique ✪✪✪ -15.60% 16 -15.60% 16 -10.49% 12 -1.90% 10 0.08% 12 2.24% 15 7.62% 16 8.52% 13 7.85% 12

STANLIB Full Discretion ✪✪✪ -9.52% 6 -9.52% 6 -4.81% 6 1.61% 5 2.49% 4 2.72% 11 8.12% 13 9.27% 9 7.55% 14

GraySwan Global Balanced Peer Group Avg -13.68% -13.68% -9.45% -1.30% 0.98% 2.81% 8.15% 9.03% 8.56%

Top Quartile -11.19% -11.19% -7.52% -1.07% 1.98% 3.30% 8.93% 9.76% 9.54%

Mean -13.55% -13.55% -9.22% -1.34% 0.90% 2.79% 8.28% 9.00% 8.63%

Median -14.54% -14.54% -11.89% -2.36% 0.01% 2.35% 8.30% 9.21% 8.85%

Bottom Quartile -17.62% -17.62% -14.62% -4.04% -1.03% 1.72% 7.48% 8.24% 7.58%

CPI + 5% 2.74% 2.74% 9.86% 9.57% 9.45% 10.46% 10.47% 10.40% 10.75%

JSE SWIX -23.28% -23.28% -20.88% -10.86% -4.56% -1.94% 6.23% 7.64% 6.96%

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INVESTMENT CONSULTING I WEALTH MANAGEMENT I TREASURY SOLUTIONS 78

ABSOLUTE CALENDAR YEAR PERFORMANCE

Portfolio 2008

Ran

k

2009

Ran

k

2010

Ran

k

2011

Ran

k

2012

Ran

k

2013

Ran

k

2014

Ran

k

2015

Ran

k

2016

Ran

k

2017

Ran

k

2018

Ran

k

2019

Ran

k

2020

Ran

k

Abax Balanced 23.56% 6 17.14% 19 16.91% 1 6.28% 20 11.64% 3 9.07% 20 0.83% 5 14.67% 5 -21.25% 24

Absa AM Global Balanced 8.38% 11 20.01% 16 16.70% 20 11.57% 11 8.41% 15 3.70% 14 11.26% 19 -1.18% 12 8.16% 23 -14.79% 15

Allan Gray Global Balanced Life -1.38% 4 15.95% 15 11.84% 17 13.06% 2 15.43% 19 25.33% 6 10.27% 18 12.93% 7 7.78% 5 11.87% 18 -1.78% 15 6.20% 25 -12.61% 9

Allan Gray Global Balanced Segr. -1.06% 3 15.62% 16 11.68% 18 12.63% 3 15.14% 20 25.05% 7 10.29% 17 12.77% 8 7.51% 6 11.94% 17 -1.40% 13 6.51% 24 -12.99% 11

Balondolozi Active Balanced 6.50% 18 5.23% 11 11.98% 16 3.11% 1 9.09% 22 -14.72% 14

Cadiz Global Balanced 20.33% 10 15.91% 8 4.35% 20 21.55% 10 18.69% 18 3.18% 22 4.90% 24 5.86% 10 12.06% 15 -3.09% 19 11.04% 16 -17.29% 19

ClucasGray Equilibrium 13.29% 6 5.96% 9 12.78% 12 2.19% 2 9.71% 19 -19.47% 22

Coronation Full Discretion -8.29% 7 25.13% 5 17.76% 3 8.21% 12 21.72% 8 28.88% 4 12.10% 9 8.88% 12 3.44% 15 14.13% 6 -4.92% 24 14.50% 6 -14.35% 13

Coronation Managed -7.56% 6 25.89% 4 19.41% 1 9.05% 7 24.00% 5 30.10% 3 11.22% 13 5.09% 23 7.96% 4 12.54% 13 -6.50% 25 13.99% 7 -16.90% 18

Foord Global Balanced -5.62% 5 17.93% 13 17.16% 6 11.42% 4 25.57% 2 24.03% 10 11.00% 14 10.51% 10 0.53% 21 7.76% 22 -3.10% 20 12.24% 11 -8.04% 4

Kagiso Balanced -9.12% 9 26.83% 1 17.45% 4 5.66% 19 14.81% 21 15.21% 21 7.28% 21 -9.09% 25 12.92% 2 15.46% 3 -0.79% 8 18.28% 2 -24.15% 25

Mergence Global Balanced 11.43% 14 -9.35% 5

Ninety One Balanced -10.96% 10 26.23% 2 14.09% 12 7.73% 13 20.60% 13 24.07% 9 13.35% 3 15.80% 4 1.21% 20 13.48% 9 -0.64% 7 11.21% 15 -12.05% 8

Ninety One Managed -14.85% 16 21.33% 7 12.81% 15 8.79% 8 21.66% 9 23.45% 12 9.16% 20 19.30% 2 4.79% 12 13.78% 7 0.50% 6 14.82% 4 0.51% 3

Ninety One Segr. Full Discretion -11.49% 12 26.17% 3 14.53% 10 7.59% 15 20.66% 12 22.33% 14 13.27% 5 15.41% 5 1.68% 19 13.77% 8 -0.88% 9 11.59% 13 -12.77% 10

Oasis Global Full Discretion -14.39% 15 15.60% 17 11.95% 16 8.56% 9 21.49% 11 22.80% 13 12.91% 6 5.74% 22 4.43% 13 6.63% 25 -0.89% 10 9.80% 18 -10.90% 7

OMIG MacroSolutions (Edge28) -11.76% 13 20.69% 9 14.17% 11 6.63% 17 20.44% 14 23.73% 11 14.98% 2 10.78% 9 3.04% 17 15.73% 2 -3.66% 22 9.51% 20 -18.48% 21

OMIG MacroSolutions Balanced -12.02% 14 19.03% 12 14.03% 13 7.57% 16 19.99% 17 20.89% 17 12.14% 7 8.52% 14 3.40% 16 14.29% 5 -1.70% 14 9.28% 21 -16.21% 17

Prescient Absolute Balanced 0.74% 2 8.76% 19 10.31% 19 6.51% 18 12.88% 22 12.63% 22 10.88% 16 6.07% 21 -1.35% 23 13.44% 10 -2.48% 17 12.42% 10 -19.88% 23

Prescient Balanced 9.09% 11 2.32% 18 18.16% 1 -3.32% 21 11.71% 12 -14.23% 12

Prudential Balanced -8.70% 8 19.99% 11 15.99% 7 8.39% 10 22.68% 7 24.83% 8 11.67% 10 8.83% 13 6.60% 7 14.49% 4 -2.36% 16 10.49% 17 -17.73% 20

PSG Balanced -11.11% 11 21.38% 6 17.25% 5 10.14% 5 15.61% 18 28.31% 5 13.35% 4 6.80% 17 14.54% 1 12.94% 11 -2.82% 18 -0.14% 26 -25.19% 26

Rezco Managed Plus 24.88% 3 31.28% 1 12.13% 8 20.23% 1 -5.85% 25 7.04% 24 0.92% 4 18.29% 1 3.14% 1

Rezco Value Trend (Balanced) 6.86% 1 11.64% 18 14.01% 14 15.48% 1 32.65% 1 30.10% 2 11.00% 15 18.12% 3 -4.39% 24 7.25% 23 1.61% 3 15.68% 3 2.65% 2

SIM Global Unique -15.43% 17 20.96% 8 15.31% 9 7.66% 14 20.20% 15 21.61% 16 11.33% 12 6.44% 19 6.15% 8 12.37% 14 -3.89% 23 13.68% 8 -15.60% 16

STANLIB Full Discretion -21.19% 18 17.78% 14 18.03% 2 9.34% 6 24.62% 4 22.30% 15 9.69% 19 8.17% 16 0.42% 22 8.64% 21 -0.95% 11 12.44% 9 -9.52% 6

GraySwan Global Bal. Peer Group -8.98% 20.03% 14.72% 8.89% 20.24% 22.88% 10.83% 8.46% 4.74% 12.11% -1.52% 11.40% -13.68%

Top Quartile -6.10% 23.26% 17.21% 9.54% 23.34% 25.26% 12.72% 12.93% 6.60% 13.78% -0.64% 13.91% -11.19%

Mean -8.74% 19.85% 14.93% 8.86% 20.92% 23.16% 11.35% 9.59% 4.38% 12.11% -1.49% 11.41% -13.55%

Median -10.04% 20.33% 14.53% 8.38% 21.07% 23.59% 11.45% 8.83% 4.43% 12.54% -1.40% 11.51% -14.54%

Bottom Quartile -11.95% 16.86% 13.41% 7.59% 19.99% 21.07% 10.44% 6.44% 1.68% 11.26% -3.09% 9.56% -17.62%

CPI + 5% 16.79% 11.21% 8.66% 11.49% 10.89% 10.58% 11.09% 10.00% 11.94% 9.85% 10.44% 8.74% 2.74%

JSE SWIX -21.67% 29.91% 20.86% 4.26% 29.09% 20.71% 15.42% 3.62% 4.13% 21.21% -11.67% 9.32% -23.28%

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INVESTMENT CONSULTING I WEALTH MANAGEMENT I TREASURY SOLUTIONS 79

3 YEAR ANNUALISED VOLATILITY & RETURN

*excluding CPI+5% and JSE SWIX benchmarks

Abax Balanced

Absa AM Global Balanced

Allan Gray Global Balanced LifeAllan Gray Global Balanced Segregated

Balondolozi Active Balanced

Cadiz Global Balanced

ClucasGray EquilibriumCoronation Full Discretion

Coronation Managed

Foord Global Balanced

Kagiso Balanced

Ninety One Balanced

Ninety One Managed

Ninety One Segregated Full Discretion

Oasis Global Full Discretion

OMIG MacroSolutions (Edge28)

OMIG MacroSolutions Balanced

Prescient Absolute Balanced

Prescient Balanced

Prudential Balanced

PSG Balanced

Rezco Managed Plus

Rezco Value Trend (Balanced)

SIM Global Unique

STANLIB Full Discretion

GraySwan Global Balanced Peer Group Avg

-8%

-6%

-4%

-2%

0%

2%

4%

6%

8%

10%

7% 8% 9% 10% 11% 12% 13% 14%

AN

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RET

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N

ANNUALISED STANDARD DEVIATION

Page 80: GRAYSWAN SUMMARY SCORECARDS · Portfolio 2008 k 2009 k 2010 k 2011 k 2012 k 2013 k 2014 k 2015 k 2016 k 2017 k 2018 k 2019 k 2020 k Absa AM Money Market 12.29% 13 9.19% 13 7.46% 11

INVESTMENT CONSULTING I WEALTH MANAGEMENT I TREASURY SOLUTIONS 80

5 YEAR ANNUALISED VOLATILITY & RETURN

*excluding CPI+5% and JSE SWIX benchmarks

Abax Balanced

Absa AM Global Balanced

Allan Gray Global Balanced LifeAllan Gray Global Balanced Segregated

Balondolozi Active Balanced

Cadiz Global Balanced

ClucasGray EquilibriumCoronation Full Discretion

Coronation Managed

Foord Global Balanced

Kagiso Balanced

Ninety One Balanced

Ninety One Managed

Ninety One Segregated Full Discretion

Oasis Global Full Discretion

OMIG MacroSolutions (Edge28)

OMIG MacroSolutions Balanced

Prescient Absolute Balanced

Prescient Balanced

Prudential Balanced

PSG Balanced

Rezco Value Trend (Balanced)

SIM Global Unique

STANLIB Full Discretion

GraySwan Global Balanced Peer Group Avg

Rezco Managed Plus

-2%

0%

2%

4%

6%

8%

10%

6% 7% 8% 9% 10% 11% 12% 13%

AN

NU

ALI

SED

RET

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ANNUALISED STANDARD DEVIATION

Page 81: GRAYSWAN SUMMARY SCORECARDS · Portfolio 2008 k 2009 k 2010 k 2011 k 2012 k 2013 k 2014 k 2015 k 2016 k 2017 k 2018 k 2019 k 2020 k Absa AM Money Market 12.29% 13 9.19% 13 7.46% 11

INVESTMENT CONSULTING I WEALTH MANAGEMENT I TREASURY SOLUTIONS 81

The GraySwan Ratingmethodology is based on a

proprietary quantitative analyses methodology which

GraySwan has developed to assess all the funds included in

each ScoreCard universe.

TAKE NOTE

Disclaimer: The information does not constitute financial advice as contemplated in terms of the Financial Advisory and Intermediary Services Act. Use or rely on this information at your own risk. Independent professional financial advice should always be sought before making an investment decision.Gray Swan Financial Services (Pty) Ltd (Reg No: 2010/009813/07) is an authorised Financial Services Provider (FSP No: 42290).

Such ratings forms part of our investment manager selection processand is an initial screening tool of potential funds for further qualitativeassessment.

Funds are scored according to their risk-adjusted performance and relative performance consistency over the long (>10 years), medium (>5 years) and short term.

Funds are then ranked and awarded a Swan (“Sleep Well At Night”) star rating as follows:

• Top 10% of funds 5 stars• Percentiles 67.5 to 90 4 stars• Middle 35% of funds 3 stars• Percentiles 10 to 32.5 2 stars• Bottom 10% of funds 1 star

Only funds with track records longer than 36 months are provided with a rating.

✪✪✪✪✪

✪✪✪✪

✪✪✪

✪✪✪

Page 82: GRAYSWAN SUMMARY SCORECARDS · Portfolio 2008 k 2009 k 2010 k 2011 k 2012 k 2013 k 2014 k 2015 k 2016 k 2017 k 2018 k 2019 k 2020 k Absa AM Money Market 12.29% 13 9.19% 13 7.46% 11

INVESTMENT CONSULTING I WEALTH MANAGEMENT I TREASURY SOLUTIONS 82

• All performance calculations in excess of 12 months are annualised. • All relative performance statistics are to the indicated benchmark. • Performance numbers for South African funds are gross of fees. • Performance numbers for Offshore funds are net of fees.• Performance for South African funds are noted in ZAR. • Performance for Offshore funds are noted in USD. • Usually funds with AUM in excess of R100 million and a track record

longer than 12 months may be included in the GraySwan ScoreCards.• Colour legend for performance numbers:

• Blue: top 25% of funds• Black: middle 50% of funds• Red: bottom 25% of funds.

“The essence of investment management

is the management of risks, not the management of returns.”

- Benjamin Graham

TAKE NOTE

Page 83: GRAYSWAN SUMMARY SCORECARDS · Portfolio 2008 k 2009 k 2010 k 2011 k 2012 k 2013 k 2014 k 2015 k 2016 k 2017 k 2018 k 2019 k 2020 k Absa AM Money Market 12.29% 13 9.19% 13 7.46% 11

83INVESTMENT CONSULTING I WEALTH MANAGEMENT I TREASURY SOLUTIONS

As with our motto ALWAYS COUNT

we test and verify everything, only thereafter do we trust.

The GraySwan ScoreCards as well as our other range of quantitativereports form part of our initial quantitative screening of the universe ofinstitutional investment managers / products / mandates. As part of ourongoing investment manager monitoring and research we maintain aproprietary local and offshore performance database of more than 1000institutional mandates/products which we monitor across more than 30different peer group surveys. In addition, we also monitor the universe ofmore than 1000 retail unit trust mandates/products not only for ourprivate clients but also for potential investment by our institutionalclients.

We produce summary GraySwan ScoreCards for public consumption butalso produce detailed (30 pager) ScoreCards exclusively for our clients.These detailed reports measure all major risk and performance statisticsover multiple time frames and compare such to individual benchmarks,industry benchmarks and relative to each other. By dissecting allquantitative aspects, we provide our clients with the most comprehensiveand transparent investment manager surveys in the South Africaninvestment industry. We aim to truly compare “apples with apples” andprovide objective and fair results to our clients. We always count, then wetest, we verify and only then do we trust.

We use an evidence-based analytical approach empower us to identifyinvestable opportunities for our clients after which we proceed withrigorous qualitative research and on site due diligence.

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84INVESTMENT CONSULTING I WEALTH MANAGEMENT I TREASURY SOLUTIONS

Fund Composite Reports

Fact Sheet Reports

Asset Allocation Reports

Asset Class Composite Reports

Investment Manager Reports

Investment Manager Hit Rate Reports

Fund & Manager Attribution Reports

Transaction Cost Analysis Reports

Securities Lending Income Reports

Costs & Fees Reports

Pre & Post Trade Transition Reports

Market Summary Reports

Regulation 28 Compliance Reports

Regulation 30 Compliance Reports

We produce a unique and comprehensive range of reports

that provides in-depth and transparent analyses of

investments opportunities and decisions.

Contact us for objective and value-add insights.

GRAYSWAN REPORTS

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85INVESTMENT CONSULTING I WEALTH MANAGEMENT I TREASURY SOLUTIONS

DISCLAIMERThe GraySwan ScoreCards provide backward looking insight of the universe of institutional investment products and mandates. Users should seekappropriate professional advice from their investment advisors before taking any action in reliance on any information provided. All data is factualand is provided for informational purposes. The data is obtained from the investment managers and should be reliable. No guarantee,representation or warranty is given by GraySwan, and no responsibility or liability, contingent or otherwise, as to its quality, accuracy, timeliness,availability and completeness of the data and information provided. Past performance is no guarantee for future performance. This information isnot advice as defined and contemplated in the Financial Advisory and Intermediary Services Act, 37 of 2002, as amended. GraySwan shall not beliable for any actions taken by any person based on the correctness of this information.

The core of our investment team has been working together for more than 13 years. Our collective investment experience exceeds a 150 yearsof advising to and managing most of the largest institutional client’s assets in South Africa.

CONTACT US

www.grayswan.co.za I 021 852 9092 (CT) I 011 431 0141 (JHB)

GREGOIRE THERONHead of Manager Research

[email protected]

DAVID GOOSENInvestment Analyst

[email protected]

SAREL LOUWInvestment Analyst

[email protected]

Page 86: GRAYSWAN SUMMARY SCORECARDS · Portfolio 2008 k 2009 k 2010 k 2011 k 2012 k 2013 k 2014 k 2015 k 2016 k 2017 k 2018 k 2019 k 2020 k Absa AM Money Market 12.29% 13 9.19% 13 7.46% 11

UN PRI is an international investor initiativesponsored by the UN and based on six principles forresponsible investments. The aim is to helpinvestors actively to incorporate environmental,social and governance issues into their investments.


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