Clear, Straightforward and Intuitive

Dynamic Diversified Fund | Product Profile

SSGA’s Dynamic Diversified Fund:

• Liquid diversified growth fund targeting cash +4% per annum• Significantly reduces volatility with market-responsive dynamic asset allocation • Significant shifts in asset allocation via expertly managed in-house index funds• Asset mix is actively optimised throughout the life of the investment• Combines the best of active and passive

THE RIGHT ASSETS AT THE RIGHT TIME

TRULY DYNAMIC INVESTINGThe Dynamic Diversified Fund (DDF) uses proven market-aware intelligence and portfolio management expertise to dynamically change asset allocations to target an optimised balance of risk and reward in a complete, easy to implement package.

Our DDF offers investors an innovative, cost-efficient and liquid strategy that targets both growth and capital preservation. Passive, liquid underlying components allow us to remain nimble, allowing for quick and decisive shifts to ensure we run the most optimal asset allocation mix for the prevailing risk environment.

Combines the Best of Active and PassiveSchemes often face a somewhat binary choice: either invest 100% passively in equities, with low fees, but little protection from volatility, or choose an actively managed diversified growth solution to achieve smoother returns but at considerably higher fees.

The DDF excels by offering a blend of the best of these strategies — providing dynamic asset allocation combined with cost-effective indexed investing. This innovation brings down overall costs while also providing a more favourable risk/return profile.

Compelling Advantages

Diversified Uses a comprehensive asset mix to achieve effective diversification.

Forward-looking and Dynamic Our proprietary Market Regime Indicator identifies prevailing market conditions providing conviction for our portfolio managers to adjust asset allocations to participate in rising markets and protect in falling markets.

Managed by an Experienced Team 70+ members across 7 locations, managing tactical asset allocation portfolios for over 20 years

Ongoing Oversight Vested in the hands of an experienced asset allocator, entrusted with more than £200 billion of client assets

Cost-effective DDF uses passive funds in efficient markets to keep costs low, allowing for active shifts in asset allocation at a price that isn’t detrimental to overall performance.

DYNAMIC GLOBAL MULTI-ASSET ALLOCATION

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The Right Assets at the Right Time

3State Street Global Advisors

Introducing the Market Regime IndicatorA key factor for investment success is to have the right asset allocation, and to have it at the right time.

Growth assets, such as equities, provide better returns in favourable environments but considerably worse returns in stressed markets. In fact, more volatile market periods have tended to provide worse risk-adjusted returns than less volatile market periods. So, our design objective was to vary portfolio risk in accordance with market volatility.

With volatility a key success factor, we developed an objective, forward-looking measure of expected market volatility — the Market Regime Indicator (MRI). This metric can be thought of as a risk barometer. It identifies when risk is rising, and so caution is required, or when markets are expected to be calmer, at which time we can comfortably add more growth-seeking assets.

The MRI uses forward-looking signals of market sentiment across equity, currency and credit markets to determine the market environment and therefore the likely performance of asset classes.

Growth Plus Our innovative dynamic asset allocation seeks to increase exposure to growth assets ahead of rising markets and to limit falls by switching into more defensive assets when appropriate.

Downside Protection PotentialAdding an allocation of DDF could significantly enhance the risk/return profile of a more traditional investment portfolio. The DDF proactively seeks to ensure that the portfolio has better-managed exposure to risky assets — dynamically switching out of risk assets when other asset allocations make a more compelling investment prospect. Consequently, falls in value are reduced in severity and occur less frequently.

The Team Decide the Final Asset AllocationWith the market environment identified the team further refines the optimum assets to invest in using long-term return forecasts for over 50 different asset classes.

The team’s insights into the expected returns for different asset classes coupled with the signals from the MRI guide the fund’s asset investments — into proportions that have been optimised for the prevailing market environment.

The team is multi-skilled well-resourced. For example, SSGA's chief economist sits within the team. And, it's not just market inputs that are considered — a specialist politics and policy team ensure that macro-events and global policy are factored into the allocation process.

This sequence of optimised allocation guidance from the MRI and further finessing by our investment experts can lead to strong allocations that are accurately matched to the prevalent market and risk environment.

...Using Diversified Building BlocksThe fund splits its investment universe into three key asset types and allocates between them in proportions that best suit the prevailing market environment.

With Minimised Transaction CostsWe gain exposure to individual asset classes efficiently by using a range of underlying passive building blocks. These include exchange-traded funds (ETFs), futures and other low-cost and liquid investment vehicles aimed at minimizing transaction costs.

Defensive Assets

CASH SHORT-DATED GOVERNMENT BONDS IMPLIED VOLATILITY

Moderate Assets

GOVT BONDS LONG DATEDCREDIT

Growth Assets

COMMODITIES EQUITIESEM BONDSCONVERTIBLE BONDSHIGH YIELD BONDS INFRASTRUCTURE PROPERTY

The Right Diversification MattersIn unfavourable market environments defensive assets generally provide positive returns. But it would be a mistake to rely solely upon portfolio diversification for protection (as some lesser funds do) — because in stressed markets most assets tend to fall in lockstep so correlations rise sharply and diversification tends to be an unreliable downside protection tool. However, in normal and favourable market regimes diversification does work and we take advantage of it in our portfolio allocation.

Sophisticated Risk ManagementThe fund benefits from sophisticated risk management analysis and makes selective use of low-cost options strategies and volatility futures for added downside risk management when required.

Our dynamic risk budgeting — proactively raising or reducing risk levels according to market conditions — ensures controlled, enhanced asset mixes that can translate to downside risk management as well as investment performance.

Expert Guidance from the MRIUsing three broad inputs helps maximise the efficiency and reach of the MRI. For example, the MRI picked up currency volatility pre-Brexit allowing us to de-risk even before warning signs appeared in the equity space.

The MRI continuously monitors market conditions and risk indicators and allows us to proactively switch out of non-optimal assets into better-performing ones when the market environment dictates. This optimises the asset allocation to help ensure a smoother investment journey.

When the MRI indicates that markets are moving towards crisis, the portfolio management team review and move out of higher risk asset classes and into more defensive assets; in more normal times the allocation is reversed.

In our experience, crises have developed in different asset classes before more generally affecting the market. For most portfolios, the largest losses in downturns occur in equities, so capturing information about developing crises before this affects other assets is important.

PERFORMANCE AND DOWNSIDE PROTECTION POTENTIAL UNDER ALL MARKET CONDITIONS

3 RESULTSTracking of Target Return Since Inception

July2013

May2014

May2015

May 2016

May2017

120

100

80

140

— Cash +4%— SSGA MPF Strategic Diversified Fund

Dynamic Downside Protection at Work (%)

-16

-12

-8

-4

July2013

July2014

Jun2015

Jun2016

May2017

-20

0

— Balanced Index (SSGA MPF Balanced Index Sub-Fund)

— Global Equity(FTSE World TR GBP Index)

— SSGA MPF Dynamic Diversified Fund

MaximumDDF Downside

MaximumBalanced Downside

MaximumEquity Downside

Indicative weights for illustration purposes only.

Asset mix changes dynamically to suit the market regime.

More growth assets when it’s safe.

More defensive assets when it’s not.

Growth Moderate DefensiveDMG

Equity Volatility

Currency Volatility

Credit Spreads

2 OPTIMISE THE ASSET MIX1 DETERMINE MARKET REGIME

Model Optimising

Total Asset Allocation Refinements From Team

G

G

G

MG

G

M

M

M

M

D

D

D

D

EUPHORIA

LOW RISK AVERSION

NORMAL

HIGH RISK AVERSION

CRISIS

ASSET ALLOCATION IS KEY

Source: SSGA, as of 31 May 2017. Please see back page for performance notes.

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The Right Assets at the Right Time

• Investor sentiment drives asset class performance.• Detailed analysis enables us to capture major changes

in investor sentiment at an early stage.• We can exploit these signals about investor

sentiment on a consistent basis by responding swiftly and efficiently.

State Street Global Advisors has a strong track record of using the MRI to guide asset allocation in our strategies. We manage many billions of pounds in active asset allocation and absolute return strategies using these market-proven techniques.

The Dynamic Diversified Fund is managed by our Investment Solutions Group, a 70+ strong team of investment specialists across investment centres in Boston, London, Hong Kong, Paris, Sydney, Dublin and Tokyo. Team members have an average of 16 years’ experience and can draw on the expertise of more than 400 investment professionals as well as SSGA’s risk and compliance specialists.

This experienced team manages over £73 billion* in tactical asset allocation strategies, both benchmark-oriented and absolute return, across a growing range of innovative multi-asset benchmark-relative and absolute return strategies.

OUR PHILOSOPHY OUR TEAM

Dynamic Asset Allocation

Absolute Return Focus

Sophisticated Risk Management & Drawdown Limitation

Established Track Record

Long Only and Unleveraged

Experienced Team Using a Disciplined Framework

* Source SSGA, as at 31 May 2017

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The Right Assets at the Right Time

© 2017 State Street Corporation. All Rights Reserved.ID9500-EUMKT-5307 Exp. Date: 30 June 2018

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Past performance is not a guarantee of future results.

Related to performance on Page 5: The performance figures contained herein are provided on a gross of fees basis and do not reflect the deduction of advisory or other fees which could reduce the return. The performance includes the reinvestment of dividends and other corporate earnings and is calculated in pounds sterling.

Index returns reflect capital gains and losses, income, and the reinvestment of dividends.

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