Fund Performance Watchlist

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Fund Performance Watchlist

October 2021

Investments I royallondon.com

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Pension fund

performance vs.

benchmark

The following tables show the performance of the Royal London Unit Linked Pension funds which are currently underperforming. Each fund’s performance is shown against its benchmark: a gauge against which the performance of the fund can be measured. The benchmark is usually an index, for example the FTSE All Share Index which tracks the performance of UK shares. A fund may also be benchmarked against the sector average: the average performance of all pension funds within a sector.

Every quarter, Royal London gauges how each fund has performed against its listed benchmark. If the fund outperforms its benchmark over 1, 3 and 5 years, that fund is given a Green rating. If a fund underperforms over one of the periods above, it's given an Amber rating. A Red rating would be given to a fund

underperforming over two or more of these periods. This document show every fund which is currently rated Red along with the number of continuous quarters each fund has received this rating.

Where a fund invests in a number of different geographical areas or asset types, a composite benchmark may be used. This is when a mixture of indices have been used as a performance gauge. The mix between these indices will usually reflect the

expected asset allocation of the fund.

Further information on any of the benchmarks used can be found on our fund factsheets at royallondon.com/pensions/investment-options/fund-prices/

and individual fund commentary is available on request.

The figures in this document have been calculated net of the Fund Management Charge.

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IMPORTANT NOTES Page 3 Source: Lipper, bid to bid, as at 30.09.21, Royal London, as at 30.09.21. All performance figures, including the figures shown for the growth in the benchmarks, have been calculated net of the Fund Management Charge. The Compound Annual Growth Rate (C.A.G.R.) is a measure of the investment returns, on a given fund, over the specified period. It allows for the impact of compounding of investment returns, which is particularly important where returns vary from one year to the next. Past performance is not a guide to the future. Prices can fall as well as rise meaning you may not get back the value of your original investment. Investment returns may fluctuate and are not guaranteed.

Note: The benchmarks used in this document include data from FTSE International Limited (“FTSE”) © FTSE 2021. “FTSE®” is a trade mark of the London Stock Exchange Group companies and is used by FTSE International Limited under licence. All rights in the FTSE indices and/or FTSE ratings vest in FTSE and/or its licensors. Neither FTSE nor its licensors accept any liability for any errors or omissions in the FTSE indices and/or FTSE ratings or underlying data. No further distribution of FTSE Data is permitted without FTSE’s express written consent.

Total Expense Ratio (TER), covering calendar year 2020. The TER is a measure of the overall cost of a fund to the investor. It includes any audit, custodian, registration or compliance fees paid out of the fund’s assets plus the Fund Management Charge. It does not include the costs of buying and selling securities, which would still be paid if investing directly in securities instead of through an investment fund. TERs are reviewed regularly and may be subject to change.

The performances of the indicated benchmarks have been calculated using prices for the last pricing date previous to that shown (i.e. to compare our fund price movements for the period to 30.09.21 we have used benchmark prices to 29.09.21). This calculation allows a more accurate comparison between the fund and its benchmark, due to a one-day delay in the pricing of the external funds in question.

Tracker funds, also known as passive funds, aim to perform in line with a market index such as the FTSE All Share index. They do this by investing in either all (full replication) or a representation (partial replication) of the index constituents. Tracker funds tend to be low cost as this replication is generally done automatically and does not require the same level of research as active management.

As part of our ongoing review process a change of underlying investment occurred for this fund. Please visit royallondon.com/pensions/investment- options/fund-changes/ for further information.

Actively managed funds aim to outperform the market index by employing fund managers and research teams to make tactical decisions on which stocks or sectors to invest in. They tend to have higher charges than tracker funds in line with the extra resource required to run these funds. It should be remembered that a higher charge does not guarantee better returns.

The performances of the indicated benchmarks have been calculated using prices for the last pricing date two days prior to that shown (i.e. to compare our fund price movements for the period to 30.09.21 we have used benchmark prices to 28.09.21). This calculation allows a more accurate comparison between the fund and its benchmark, due to a two-day delay in the pricing of the external funds in question.

The Fund Volatility figure shown is the annualised standard deviation of the monthly returns on the fund over a three-year time period to 30.09.21. Standard deviation is a measure of the spread of monthly returns around the average (mean) return. A higher volatility figure indicates that the fund has produced a wider range of returns over the three-year period while a fund with a lower volatility figure has been more stable.

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GOVERNMENT & CORPORATE BOND

Fund Total Fund Fund 30.09.20 30.09.19 30.09.18 30.09.17 30.09.16 Quarters

Fund Name Note Management Expense Management Volatility 30.09.21 30.09.20 30.09.19 30.09.18 30.09.17 On

Charge Ratio u Style v w 1 year 1 year 1 year 1 year 1 year Watchlist

Government & Corporate Bonds_22RLP/Baillie Gifford High Yield Bond 4 1.30% 1.32% Active 11.49 6.67 -0.59 5.71 1.07 8.66 3.88 4.24 6.61 N/A 2

BofA Merrill Lynch European Currency High Yield Index 8.80 -1.40 4.87 0.73 7.25 3.99 3.98 7.03 N/A

Difference -2.13 0.81 0.84 0.34 1.41 -0.11 0.26 -0.42 N/A

Government & Corporate Bonds_28RLP/Invesco Corporate Bond 1.50% 1.50% Active 4.72 0.88 4.11 5.66 -0.28 1.18 3.53 2.29 5.08 N/A 28

IA £ Corporate Bond Sector Average 1.30 4.20 9.04 0.13 0.80 4.79 3.04 5.59 N/A

Difference -0.42 -0.09 -3.38 -0.41 0.38 -1.26 -0.75 -0.51 N/A

Government & Corporate Bonds_29RLP/Invesco Global Bond 1.62% 1.62% Active 5.92 -2.36 2.12 6.78 -2.13 0.08 2.11 0.84 2.55 N/A 3

IA Global Bonds Sector Average -0.82 1.91 8.48 0.46 1.12 3.11 2.18 3.98 N/A

Difference -1.54 0.21 -1.70 -2.59 -1.04 -1.00 -1.34 -1.43 N/A

Government & Corporate Bonds_32RLP/M&G Corporate Bond 1.60% 1.60% Active 6.96 0.99 1.88 8.73 -0.61 0.00 3.81 2.14 4.61 N/A 2

IA £ Corporate Bond Sector Average 1.30 4.20 9.04 0.13 0.80 4.79 3.04 5.59 N/A

Difference -0.31 -2.32 -0.31 -0.74 -0.80 -0.98 -0.90 -0.98 N/A

Government & Corporate Bonds_33RLP/M&G Global High Yield Bond 1.63% 1.63% Active 9.64 7.79 -2.21 4.77 -0.61 6.96 3.36 3.26 5.67 N/A 6

IA £ High Yield Sector Average 10.90 -0.47 4.70 1.11 7.48 4.93 4.66 6.84 N/A

Difference -3.11 -1.74 0.07 -1.72 -0.52 -1.57 -1.40 -1.17 N/A

MIXED ASSET

Charge Ratio u Style v w ^{1 year} ^{1 year} ^{1 year} ^{1 year} ^{1 year} ^Watchlist

Mixed Asset_22RLP/7IM AAP Balanced 1.45% 1.61% Active 8.95 11.41 -1.12 1.90 1.55 4.70 3.93 3.60 N/A N/A 3

IA Mixed Investment (20-60% Shares) Sector Average 12.56 -1.27 4.21 2.71 6.22 5.01 4.78 N/A N/A

Difference -1.15 0.15 -2.31 -1.16 -1.52 -1.08 -1.18 N/A N/A

Mixed Asset_23RLP/7IM AAP Moderately Adventurous 1.45% 1.61% Active 11.54 15.94 -2.53 1.69 3.73 8.05 4.74 5.19 N/A N/A 25

IA Mixed Investment (40-85% Shares) Sector Average 16.85 -0.30 4.28 5.39 9.38 6.69 6.96 N/A N/A

Difference -0.91 -2.23 -2.59 -1.66 -1.33 -1.95 -1.77 N/A N/A

Mixed Asset_24RLP/7IM AAP Moderately Cautious 1.45% 1.64% Active 6.36 6.09 0.17 2.16 -0.26 1.40 2.77 1.89 N/A N/A 2

IA Mixed Investment (0-35% Shares) Sector Average 6.17 0.15 4.98 1.25 3.42 3.73 3.17 N/A N/A

Difference -0.08 0.02 -2.82 -1.51 -2.02 -0.96 -1.28 N/A N/A

Mixed Asset_33RLP/Jupiter Merlin Balanced Portfolio 4 1.70% 2.51% Active 11.73 14.00 -2.28 6.26 7.50 6.93 5.78 6.35 7.96 N/A 4

IA Mixed Investment (40-85% Shares) Sector Average 16.92 -0.35 4.45 5.71 8.66 6.74 6.92 8.15 N/A

Difference -2.92 -1.93 1.81 1.79 -1.73 -0.96 -0.57 -0.19 N/A

Mixed Asset_35RLP/Jupiter Merlin Income Portfolio 4 1.70% 2.41% Active 9.25 9.95 -1.61 5.82 2.99 4.58 4.60 4.28 5.37 N/A 5

IA Mixed Investment (20-60% Shares) Sector Average 12.63 -1.30 4.29 2.91 5.88 5.04 4.78 6.06 N/A

Difference -2.68 -0.31 1.53 0.08 -1.30 -0.44 -0.50 -0.69 N/A

UK EQUITY #REF!

Charge Ratio u Style v w ^{1 year} ^{1 year} ^{1 year} ^{1 year} ^{1 year} Watchlist

UK Equity_13RLP/Invesco High Income 1.87% 1.87% Active 21.13 25.09 -28.11 -10.25 -0.12 4.64 -6.89 -3.35 N/A N/A 17

FTSE All Share Index 25.74 -18.00 0.95 4.08 10.05 1.34 3.58 N/A N/A

Difference -0.65 -10.11 -11.20 -4.20 -5.41 -8.23 -6.93 N/A N/A

UK Equity_20RLP UK Equity Specialist (Baillie Gifford UK Equity Alpha) 4 5 1.50% 1.51% Active 21.68 5.05 3.13 -2.98 -0.06 6.33 1.67 2.24 6.43 4.69 2

FTSE All Share Index 25.98 -17.81 0.95 5.51 9.23 1.48 3.79 6.43 4.08

Difference -20.93 20.94 -3.93 -5.57 -2.90 0.19 -1.55 0.00 0.61

UK Equity_23RLP UK Income Specialist (Fidelity Moneybuilder Dividend) 5 1.30% 1.47% Active 14.36 19.80 -13.23 0.96 -0.48 3.36 1.62 1.54 6.43 5.07 3

FTSE 350 Higher Yield Index 35.00 -29.34 -1.01 4.44 8.97 -1.89 1.45 4.91 2.46

Difference -15.20 16.11 1.97 -4.92 -5.61 3.51 0.09 1.52 2.61

Fund Details Percentage Change Compound Annual Growth Rate (%)

Past performance is not a guide to the future. Prices can fall as well as rise meaning you may not get back the value of your original investment. Investment returns may fluctuate and are not guaranteed.

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US EQUITY Page 5

US Equity_3RLP/FTF Royce US Smaller Companies 1.70% 1.87% Active 24.66 39.78 -8.72 -0.61 13.72 16.11 8.24 10.86 11.39 N/A 2

Russell 2000 Index 39.21 -5.93 -5.21 16.56 14.93 7.47 10.70 14.32 N/A

Difference 0.57 -2.79 4.60 -2.84 1.18 0.77 0.16 -2.93 N/A

US Equity_5RLP/Schroder US Mid Cap 1.70% 1.86% Active 19.63 34.14 -9.33 6.68 11.45 11.20 9.06 9.96 14.50 N/A 6

Russell 2500 Index 36.71 -4.21 -0.17 17.53 12.13 9.33 11.49 14.96 N/A

Difference -2.57 -5.12 6.85 -6.08 -0.93 -0.27 -1.53 -0.46 N/A

EUROPEAN EQUITY

European Equity_4RLP Europe Core Plus (Fidelity European Blended) 1.70% 1.87% Active 15.70 14.64 4.26 2.64 4.25 18.78 7.04 8.72 10.45 6.60 3

FTSE Europe ex UK Index 19.99 -1.33 4.56 0.29 20.64 7.37 8.41 9.70 5.67

Difference -5.35 5.59 -1.92 3.96 -1.86 -0.33 0.31 0.75 0.93

European Equity_6RLP/Jupiter European Special Situations 1.70% 1.94% Active 15.62 15.81 5.95 1.77 -2.45 18.58 7.68 7.63 N/A N/A 3

FTSE World Europe ex UK Index 19.99 -1.33 4.56 0.29 20.64 7.37 8.41 N/A N/A

Difference -4.18 7.28 -2.79 -2.74 -2.06 0.31 -0.78 N/A N/A

ASIAN EQUITY

Asian Equity_9

RLP Japan Core Plus (Baillie Gifford Japanese Income Growth)

4 5 1.57% 1.58% Active 13.59 11.24 -4.10 -3.99 9.15 12.04 0.80 4.60 8.05 5.40 18

Topix Index 11.46 2.12 0.26 10.04 9.04 4.49 6.49 8.42 4.64

Difference -0.22 -6.22 -4.25 -0.89 3.00 -3.69 -1.89 -0.37 0.76

GLOBAL EQUITY

Global Equity_15RLP/First State Global Listed Infrastructure 1.70% 1.74% Active 13.43 10.33 -13.66 26.35 -3.14 9.66 6.37 5.03 N/A N/A 5

FTSE Global Core Infrastructure 50/50 10.02 -13.41 23.31 2.28 7.55 5.51 5.26 N/A N/A

Difference 0.31 -0.25 3.04 -5.42 2.11 0.86 -0.23 N/A N/A

Global Equity_21RLP/Jupiter Merlin Worldwide Portfolio 4 1.70% 2.72% Active 14.54 15.91 0.26 7.53 10.58 8.49 7.71 8.43 9.00 N/A 8

IA Global Sector Average 23.76 6.82 6.64 12.04 13.73 12.09 12.42 12.83 N/A

Difference -7.85 -6.56 0.89 -1.46 -5.24 -4.38 -3.99 -3.83 N/A

Global Equity_25RLP/BNY Mellon Global Income 1.70% 1.82% Active 15.44 18.60 -8.75 12.12 9.83 6.90 6.65 7.33 10.75 N/A 8

FTSE World Index 21.91 3.46 6.11 12.23 13.48 10.19 11.25 12.49 N/A

Difference -3.31 -12.21 6.01 -2.40 -6.58 -3.54 -3.92 -1.74 N/A

Global Equity_26RLP/Sarasin Food & Agriculture Opportunities 1.70% 1.94% Active 17.93 13.32 -5.00 5.33 14.49 14.20 4.27 8.19 N/A N/A 2

Not Available

Difference N/A N/A N/A N/A N/A N/A N/A N/A N/A

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Benchmark performance figures unavailable

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EMERGING MARKETS EQUITY Page 6

Emerging Market Equity_4RLP Emerging Markets Specialist (Fidelity Emerging Markets) 5 1.70% 1.92% Active 14.21 7.05 -14.67 -0.96 -0.05 7.96 -3.28 -0.48 4.45 N/A 11

MSCI Emerging Markets Index 11.67 3.83 2.24 0.60 16.88 5.83 6.86 6.08 N/A

Difference -4.62 -18.50 -3.20 -0.65 -8.92 -9.11 -7.34 -1.63 N/A

Emerging Market Equity_7RLP/Henderson China Opportunities 1.70% 1.91% Active 19.15 -11.24 21.88 0.36 4.09 24.51 2.78 7.07 10.51 N/A 2

MSCI Zhong Hua Index -9.67 18.67 0.72 0.21 22.36 2.58 5.77 8.73 N/A

Difference -1.57 3.21 -0.36 3.88 2.15 0.20 1.30 1.78 N/A

SPECIALIST

Specialist_8RLP/JPMorgan Global Macro 1.58% 1.66% Active 3.44 5.46 1.95 -2.44 -1.43 1.63 1.60 0.99 1.72 N/A 3

ICE 1M LIBOR GBP -1.52 -1.14 -0.84 -1.08 -1.31 -1.17 -1.18 -1.11 N/A

Difference 6.98 3.09 -1.60 -0.35 2.94 2.77 2.17 2.83 N/A

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Pension Performance October 2021 (IB v1a) October 2021