TRADE EXECUTION AND SETTLEMENT REPORT

INTECH Investment Management LLC

For U.S. Strategies

As of December 31, 2015

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Summary INTECH generated orders for over 733 million shares in 2015,

representing $40 billion in market value.

Based on independent analysis performed by ITG, INTECH’s trading costs have historically been lower than the median versus other large-cap investment management firms.

INTECH is consistently affirming 100% of U.S. trades on a trade date + 1 basis, facilitating a smooth settlement process.

Contents Overview 3 Introduction 4 Trading Cost Overview 6 Trading Cost Components 8 Market Impact 10 Trading Cost Comparison 12 Trade Settlement 14

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Overview The CFA Institute Trade Management Guidelines define best execution as “the trading process investment management firms apply that seeks to maximize the value of a client’s portfolio within the client’s stated investment objectives and constraints.” This definition recognizes that among other things best execution “has aspects that may be measured and analyzed over time on an ex post basis” but is “interwoven into complicated, repetitive, and continuing practices and relationships.”

INTECH’s trade management practices seek to maximize the value of client portfolios through a trading process that is completely transparent. This transparency is achieved through the use of a proprietary trading system that captures and measures the total cost of trading. INTECH’s practices attempt to remove all conflicts of interest between parties involved in the trading process, and reward order flow using quantifiable, objective metrics. By aligning the interests of all parties involved in the trade process, INTECH is able to focus solely on seeking best execution for its clients.

INTECH continually invests in personnel and technology in an effort to improve our capability to deliver superior results. INTECH’s focus and commitment to the trading and settlement process aims to directly benefit our clients in the form of low trading costs and high affirmation rates.

A copy of the CFA Institute Trade Management Guidelines may be obtained at www.cfainstitute.org/ethics/codes/trade/pages/index.aspx

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Introduction INTECH is a global investment management company with a record of mathematically driven equity investing spanning over 25 years. Headquartered in West Palm Beach, Florida, with a research facility in Princeton, New Jersey, and an international division headquartered in London, England, the firm’s unique investment process is based on the mathematical foundation of Stochastic Portfolio Theory. INTECH has managed institutional portfolios since 1987 and has $47.6 billion under management in large-cap equities as of December 31, 2015.

INTECH offers equity investors a highly disciplined, mathematical investment strategy that seeks long-term returns in excess of a target benchmark, while attempting to reduce the risk of significant underperformance relative to that benchmark. INTECH does not manage a strategy based on exploiting inefficiencies in the market by attempting to predict alpha, but rather capitalizes on the natural volatility of stock prices in order to build a potentially more efficient portfolio than the benchmark.

INTECH’s active strategies are based on a mathematical theory that is the result of research conducted by E. Robert Fernholz, Ph.D, and published in the 1982 paper, “Stochastic Portfolio Theory and Stock Market Equilibrium,” a copy of which is available on our website at www.intechjanus.com. Dr. Fernholz, INTECH’s founder, sought to demonstrate that by overweighting stocks with high relative volatility and low correlation to one another, it is possible to construct a portfolio with the potential to generate excess returns above a target benchmark over the long term, while limiting relative risk. His portfolio theory employing stochastic calculus became the basis for INTECH’s mathematical investment approach.

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Integral to INTECH’s investment strategy has been the development of a proprietary trading and portfolio management system. This system manages all INTECH products including U.S., global, non-U.S. and emerging markets. This system provides INTECH with a powerful and robust platform that automates the entire investment process, producing a paperless, straight-through processing application. Specifically, the trading system includes:

All the mathematical algorithms, trading rules and data interfaces necessary to implement INTECH’s investment strategies

All programs and interfaces necessary to electronically communicate with parties involved in the trade execution and settlement process

Developed entirely in-house on an open-source operating system, the trading system provides INTECH with a robust, reliable solution. Disaster recovery services including backup trading facilities in the Princeton office ensure a high level of business continuity.

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Trading Cost Overview

Trading Costs by Year*

* Source: INTECH. Represents re-balancing trading costs for U.S. strategies only. Trading costs measured as the difference between the decision and execution price of the stock, plus commission costs. Data reflects past performance, which is no guarantee of future results.

Year Shares (Mill)

Market Value ($ Mill)

Average Order Size in Shares

Average Order Size as a % of ADV

Cost in basis points

2006 2,477 104,394 18,000 3.5 18

2007 3,005 136,840 23,000 3.2 18

2008 2,740 98,521 22,400 2.0 26

2009 3,205 85,130 28,800 3.5 26

2010 2,511 82,641 25,000 2.9 19

2011 1,912 74,463 21,300 2.9 20

2012 1,684 71,049 19,700 3.2 17

2013 1,601 72,261 17,600 2.8 16

2014 1,032 56,739 15,300 2.9 17

2015 733 40,155 11,600 2.0 16

2006 2007 2008 2009 2010 2011 2012 2013 2014 2015

18 18

26

26

19

20

17 16 1716

0

10

20

30

40

Bas

is P

oint

s

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While trading costs are influenced by a number of factors, the two most important determinants have historically been order size as a percentage of an average day’s volume (ADV) and the level of market volatility. The analysis below shows the strong correlation between these two items and INTECH’s realized trading costs.

2015 Trading Costs by % of ADV*

Trading Costs vs. Market Volatility*

* Source: INTECH. Represents re-balancing trading costs for U.S. strategies only. Trading costs measured as the differ- ence between the decision and execution price of the stock, plus commission costs. S&P 500 Index Volatility is the annualized standard deviation of daily returns by quarter. Data reflects past performance, which is no guarantee of future results.

% of ADV % value traded

Cost in basis points

>10% 2% 41

5-10% 7% 29

2-5% 23% 19

1-2% 21% 17

<1% 47% 10

Total 100% 16

0%

10%

20%

30%

40%

50%

60%

70%

0

10

20

30

40

50

60

70

2006 2007 2008 2009 2010 2011 2012 2013 2014 2015

INTECH U.S. Trading Cost S&P 500 Index Volatility

INTE

CH U

.S. Q

uart

erly

Tra

ding

Cos

ts in

bps

Annualized S&P 500 Index Volatility by Q

uarter in %

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*Source: INTECH. See note on page 6. **Source: ITG. See note on page 11.

Trading Cost Components INTECH’s trading costs can be decomposed as:

Commissions Explicit fee paid for brokerage. Market Impact Difference between the decision and execution price.

Trading Cost Components*

Commissions

Based on the most recent analysis performed by ITG, INTECH’s average commission cost ranks in the 49th percentile of its large-cap investment manager peer group.** INTECH has been able to negotiate a favorable commission structure by building long-term, mutually beneficial relationships with its brokers.

13 14

21 22

14 1512 11 12 11

54555 5 5 5 55

0

10

20

30

40

2006 2007 2008 2009 2010 2011 2012 2013 2014 2015

Basi

s Po

ints

Market Impact Commissions

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Electronic interfaces are established and maintained with each broker to provide a secure, reliable and efficient method of exchanging trade information. These interfaces reduce errors and save considerable time and resources for all parties involved in the transaction.

Secondly, INTECH attempts to balance having too many brokerage relationships resulting in unprofitable and immaterial business to the broker, with having too few brokers resulting in insufficient coverage and diversification. INTECH’s intent is to maintain approximately a dozen relationships, with the majority of the order flow directed to the top six brokers.

2015 Brokerage Allocation by Market Value Traded*

INTECH does not participate in soft dollar or directed commission arrangements. By allocating brokerage based on objective and quantifiable benchmarks INTECH is able to focus solely on seeking best execution.

35%37%

28%

Top Three

Next Three

Remainder

*Source: INTECH. See note on page 6

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Market Impact The combination of INTECH’s mathematical investment process and an objective methodology for allocating brokerage has helped minimize market impact costs.

INTECH’s methodology for allocating brokerage begins by measuring market impact cost as the difference between the decision and execution price of the stock. Decision price is defined as the market price of the stock at the time the decision was made to buy or sell. Integration of a real-time price feed into the trading system allows INTECH to capture the current market price of stocks and instantaneously calculate the trades necessary to rebalance the portfolios to their target weights.

Orders are generated and reviewed for reasonableness prior to release. Once reviewed, an electronic interface is initiated with the brokers and the order is regenerated using updated prices. The real-time price at that moment is captured as the decision price. All orders are then pre-allocated and simultaneously released to the brokers for execution, ensuring all clients are treated equitably. Brokers are given complete discretion as to the timing of the execution, with the stipulation that the entire order be completed by the close of the market.

Executions are returned using the same electronic interface, at which time the trading system ensures average pricing across client accounts, then calculates and stores the market impact cost of each trade. Each month, brokers are ranked based on their six-month and one-year moving average total trading costs, as well as on their three-month moving average affirmation rates. Order flow for the subsequent month is then allocated on a graduated scale based solely on these objective rankings.

INTECH’s methodology for allocating brokerage not only provides complete transparency and objectivity, but also creates a competitive environment whereby brokers earn their order flow.

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INTECH 25th percentile Median 75th percentile

10,000 8,000 16,000 32,000

INTECH 25th percentile Median 75th percentile

2% 3% 9% 18%

INTECH’s investment process also contributes to minimizing market impact in that it requires only incremental trading of very liquid, large capitalization stocks. An analysis of INTECH’s average order size in shares and as a percent of the stock’s average daily volume (ADV) illustrates this point.

The following two exhibits demonstrate that INTECH’s orders are diminutive in absolute terms and compare favorably versus other large-cap investment management firms. Although trading more in dollar terms than 84% of its peer group, INTECH’s average order size in shares and as a percent of the average daily volume (ADV) rank below the median.*

Average Order Size (shares)*

Average Order Size as a Percent of ADV*

* Source: ITG. Results based on a one year analysis as of September 30, 2015 versus a large-cap peer group of 38 managers encompassing approximately $381 billion in market value traded. Number of managers and trade values for other periods are different and available upon request. Additional information about ITG can be obtained from its website at www.itg.com. Data reflects past performance, which is no guarantee of future results.

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Trading Cost Comparison INTECH’s commitment to trade execution has resulted in trading costs that are lower than other large-cap investment management firms.

INTECH hired ITG, a leading trade cost consultant, to perform a trading cost comparison with its peers. ITG’s methodology for evaluating trading cost is similar to the one used by INTECH, measuring impact cost as the difference between the price at which the broker receives the order and the execution price. This methodology, known as total implementation shortfall, analyzes the change in market price due to supply/demand imbalances caused by the presence of the order.

As the following analysis shows, INTECH’s total trading costs are lower than the median large-cap investment management firm.

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Total Trading Cost vs. Peer Group (Annual)*

2011 2012 2013 2014 2015**

5th Percentile 72 62 84 49 62

25th Percentile 43 41 44 39 42

Median 27 24 27 26 23

75th Percentile 12 11 12 11 11

95th Percentile 0 -4 -6 0 2

INTECH 14 13 13 13 12

Percent Rank 72% 70% 70% 69% 71%

-30

0

30

60

90

120

150

Ba

sis

Poi

nts

* Source: ITG. See note on page 11. Costs include market impact plus commissions. Results based on quarterly analysis. Additional information about ITG can be obtained from its website at www.itg.com. Data reflects past performance, which is no guarantee of future results. ** 2015 results represent the one year period ended September 30, 2015.

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Trade Settlement INTECH’s trading system also augments the trade settlement process. By employing electronic interfaces with its brokers as well as Omgeo (formerly The Depository Trust Company), INTECH has created a fully automated straight-through processing system. For example, during the month of December 2015 this system assisted INTECH in consistently affirming 100% of over 24,000 trades on a trade date + 1 basis.

To reach these affirmation levels, INTECH has engineered the trading system to interface directly with Omgeo. At the close of each trading day, relational edits within the trading system ensure all orders have been filled completely and correctly. The trading system then electronically delivers trade details to Omgeo in the form of a Notice of Execution/Institutional Instruction (NOEII).

At fifteen minute intervals, Omgeo attempts to match the NOEII received from INTECH to the corresponding confirm originated by the broker. If all relevant data matches, the trade is automatically affirmed on trade date. Exception items are reviewed by INTECH on the morning of T+1 and generally resolved by noon that day.

This in-house technology, which was first developed and implemented in 2000, has allowed INTECH to achieve affirmation rates better than the industry average.

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Affirmation Rates vs. Industry

Affirmation rates obtained from the Omgeo ID Trade Input/Affirmation Analysis Report for December 2015.

100%100%99%91%90%

65%

0%

20%

40%

60%

80%

100%

Trade date T+1 T+2

INTECH Industry

INTECH Investment Management LLC CityPlace Tower 525 Okeechobee Boulevard, Suite 1800 West Palm Beach, FL 33401 561-775-1100 Fax 561-775-1168 www.intechjanus.com

C-0116-1567 01-30-17

INTECH is a subsidiary of Janus Capital Group Inc.