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BRWM - The Evidence Supporting our Investment Philosophy.

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Presentation on theme: "BRWM - The Evidence Supporting our Investment Philosophy."— Presentation transcript:

1 BRWM - The Evidence Supporting our Investment Philosophy

2 5000.1 1. Diversification I.The Impact of Volatility II.Growth of Wealth III.The Randomness of Returns IV.Balanced Strategies: Allocations V.Balanced Strategies: Historical Returns VI.Equity Returns of Developed Markets VII.World Market Capitalisation

3 The Impact of Volatility Year 1 Return Year 2 Return Average Return Compound Return Value at End of Year 2 Portfolio #150%-50%0%-13.4%£75,000 Portfolio #210%-10%0%-0.5%£99,000 Impact on a Hypothetical £100,000 Portfolio For illustrative purposes only. 5010.2

4 Growth of Wealth 5015.2 £10 £100 £1,000 £10,000 £2,943 Dimensional UK Value Index £472 FTSE All-Share Index £52 UK One Month Treasury Bills £19 UK Retail Price Index £2,529 Dimensional UK Small Cap Index For the fifty-four years from 1956 to 2009, the compound annual growth rate of return was 15.94% for the Value Index, 15.62% for the Small Cap Index, 12.08% for the Large Cap Index, 7.60% for T-Bills, and 5.64% for Inflation (RPI). Value Index,1955-December 1993: data provided by the London Business School; 1994-present simulated by Dimensional from Bloomberg securities data. Small Cap Index,1970-June 1981: Hoare Govett Smaller Companies Index; July 1981-December 1993 simulated by Dimensional from StyleResearch securities data; 1994-present simulated by Dimensional from Bloomberg securities data. Large Cap Index is the FTSE All-Share Index published with the permission of FTSE. T-Bills, 1955-1974: UK Three-Month T-Bills provided by the London Share Price Database; 1975-present: UK One-Month T-Bills provided by the Financial Times. Inflation is the UK Retail Price Index provided by the Office for National Statistics. This material has been distributed by Dimensional Fund Advisors Ltd., which is authorised and regulated by the Financial Services Authority. Past performance is not a guarantee of future results. This material is directed exclusively at professional customers as defined by the FSA. Indices are not available for direct investment; therefore, their performance does not reflect the expenses associated with the management of an actual portfolio. 2009

5 MSCI data copyright MSCI 2009, all rights reserved. FTSE data published with the permission of FTSE. Dimensional index data simulated by Dimensional from Bloomberg and StyleResearch securities data. This material has been distributed by Dimensional Fund Advisors Ltd., which is authorised and regulated by the Financial Services Authority. Past performance is no guarantee of future results. The Randomness of Returns In British Pounds 5020.4 199519961997199819992000200120022003200420052006200720082009 23.7918.9624.2523.7371.4118.465.043.9542.7024.7350.1426.9937.494.44 59.35 21.7517.0123.5413.7754.3310.030.19-15.0340.7222.8830.1724.987.33-16.55 52.02 21.6616.6821.9613.1930.886.00-0.45-17.0840.5318.3227.2416.755.76-21.91 34.86 20.906.0319.857.3830.161.16-2.68-22.6739.9817.4426.8616.505.32-25.28 30.12 18.704.808.355.7924.210.02-2.75-25.2434.2713.5126.1610.113.89-29.93 26.65 9.401.326.791.1323.36-5.91-10.23-25.3220.8612.8422.457.200.80-35.08 21.62 6.61-3.843.92-4.7021.50-6.36-13.28-25.9019.836.4322.044.85-6.96-42.80 15.27 -4.34-4.12-7.89-26.165.30-24.96-14.96-28.093.674.534.824.39-8.94-49.56 0.53 199519961997199819992000200120022003200420052006200720082009 UK One-Month Treasury Bills6.616.036.797.385.306.005.043.953.674.534.824.855.764.440.53 FTSE All-Share Index23.7916.6823.5413.7724.21-5.91-13.28-22.6720.8612.8422.0416.755.32-29.9330.12 Dimensional UK Small Cap Index18.7017.018.35-4.7054.330.02-10.23-25.3240.7222.8826.8624.98-6.96-42.8052.02 Dimensional UK Value Index21.6618.9624.251.1321.5010.03-0.45-25.2439.9824.7327.2426.99-8.94-49.5634.86 MSCI World ex UK Index (gross div.)21.751.3219.8523.7330.16-6.36-14.96-28.0919.836.4322.454.397.33-16.5515.27 Dimensional International ex UK Small Index9.40-3.843.925.7930.881.16-2.75-17.0842.7018.3230.177.203.89-21.9126.65 Dimensional International ex UK Value Index20.904.8021.9613.1923.3618.46-2.68-25.9034.2713.5126.1610.110.80-25.2821.62 MSCI Emerging Markets Index (gross div.)-4.34-4.12-7.89-26.1671.41-24.960.19-15.0340.5317.4450.1416.5037.49-35.0859.35 Highest Return Lowest Return

6 FTSE All-Share Index20.00%16.00%12.00%8.00%4.00% – Dimensional UK Value Index15.00%12.00%9.00%6.00%3.00% – Dimensional UK Small Cap Index15.00%12.00%9.00%6.00%3.00% – MSCI World ex UK Index15.00%12.00%9.00%6.00%3.00% – Dimensional International ex UK Value Index15.00%12.00%9.00%6.00%3.00% – Dimensional International ex UK Small Index10.00%8.00%6.00%4.00%2.00% – MSCI Emerging Markets Index (gross div.)10.00%8.00%6.00%4.00%2.00% – UK One-Month Treasury Bills–20.00%40.00%60.00%80.00% 100.00% Total100.00% FTSE published with the permission of FTSE. MSCI data copyright MSCI 2009, all rights reserved. Dimensional index data simulated by Dimensional from Bloomberg and StyleResearch securities data; not available for direct investment. This material has been distributed by Dimensional Fund Advisors Ltd., which is authorised and regulated by the Financial Services Authority. Past performance is no guarantee of future results. Balanced Strategies: Allocations In British Pounds Fixed20/8040/6060/4080/20Equity Model Portfolios 5030.3

7 19931994199519961997199819992000200120022003200420052006200720082009 38.584.9816.988.1514.927.1233.405.744.783.6931.9415.7027.2114.985.505.1832.30 31.373.5614.857.7413.367.0727.374.512.55-2.0625.9213.3722.4612.915.03-3.9025.79 24.462.0912.717.2911.736.8421.523.240.19-7.6920.0511.0717.8310.834.62-11.6219.31 17.840.5910.596.8110.046.4115.851.94-2.27-13.1914.348.7813.298.754.13-19.0012.88 11.51-0.958.466.308.315.7710.360.59-4.84-18.558.806.528.876.663.61-26.026.53 5.46-2.526.355.766.524.925.04-0.79-7.50-23.773.414.274.564.583.05-32.670.28 19931994199519961997199819992000200120022003200420052006200720082009 Annualised Return Annual Standard Deviation Equity 38.58-2.5216.988.1514.924.9233.40-0.79-7.50-23.7731.9415.7027.2114.983.05-32.6732.308.4019.98 80/20 31.37-0.9514.857.7413.365.7727.370.59-4.84-18.5525.9213.3722.4612.913.61-26.0225.797.9115.93 60/40 24.460.5912.717.2911.736.4121.521.94-2.27-13.1920.0511.0717.8310.834.13-19.0019.317.3011.91 40/60 17.842.0910.596.8110.046.8415.853.240.19-7.6914.348.7813.298.754.62-11.6212.886.587.93 20/80 11.513.568.466.308.317.0710.364.512.55-2.068.806.528.876.665.03-3.906.535.754.05 Fixed 5.464.986.355.766.527.125.045.744.783.693.414.274.564.585.505.180.284.881.53 Standard deviation is a statistical measure of risk where past performance is used to determine the range of possible future performance. Generally speaking, the higher the standard deviation, the greater the risk. Assumes all strategies have been rebalanced monthly. All balanced strategies information is based on returns of indices with model/back-tested allocations. The returns were achieved with the benefit of hindsight and do not represent actual investment strategies. The model’s returns reflect hypothetical fund manager fees. There are limitations inherent in model allocations. In particular, model returns may not reflect the impact that economic and market factors may have had on the adviser’s decision making if the adviser were managing actual client money. This material has been distributed by Dimensional Fund Advisors Ltd., which is authorised and regulated by the Financial Services Authority. Past performance is no guarantee of future results. Lowest Return Highest Return 5040.3 Fixed20/8040/6060/4080/20Equity Balanced Strategies: Historical Returns In British Pounds

8 Equity Returns of Developed Markets Annual Return (%) In British Pounds 1985198619871988198919901991199219931994199519961997199819992000200120022003200420052006200720082009 Austria 121.51 Spain 115.61 Japan 12.41 Belg. 59.93 Austria 130.17 UK -8.22 H.K. 54.07 H.K. 63.51 H.K. 121.68 Norway 16.88 Switz. 45.41 Spain 26.64 Switz. 50.29 Belg. 65.90 Sing. 105.39 Switz. 14.43 Austral. 4.35 Austria 5.36 Austria 42.11 Austria 59.93 Can. 43.18 Spain 31.24 H.K. 38.89 Japan -1.85 Norway 66.52 Germ. 65.12 Italy 103.02 Spain 7.62 Den. 58.99 Germ. 65.12 H.K. -9.15 Austral. 37.72 Switz. 44.90 Sing. 71.85 Japan 14.87 US 38.38 Sweden 24.07 Italy 41.18 Italy 50.84 Sweden 85.15 Can. 13.91 Austria -3.15 Austral. -10.82 Spain 40.02 Belg. 33.83 Japan 40.07 Sing. 28.91 Germ. 32.99 Switz. -3.62 Austral. 57.05 Italy 85.78 Japan 94.35 UK 6.17 Sweden 54.43 Norway 64.27 Austria -11.51 US 34.03 US 31.50 Switz. 49.12 Sweden 11.93 Sweden 34.59 H.K. 20.32 Den. 40.17 Spain 48.24 Japan 66.38 Den. 11.87 Belg. -8.56 Norway -16.16 Germ. 39.14 Norway 29.04 Austria 39.09 Norway 27.52 Norway 29.27 US -13.44 Sing. 54.85 Switz. 64.97 Belg. 73.86 Can. -10.46 Norway 48.26 Den. 62.45 Norway -16.24 Sing. 28.74 Sing. 31.37 Norway 45.31 Neth. 5.66 Spain 31.00 Norway 16.32 US 38.96 France 39.97 H.K. 64.29 Norway 7.16 Spain -9.01 Italy -16.23 Sweden 39.14 Sweden 27.07 Den. 38.93 Sweden 25.99 Can. 27.44 Spain -17.64 Sweden 46.13 France 45.95 France 73.83 Den. -10.99 France 43.53 Sing. 60.61 Den. -17.54 France 21.42 France 27.06 Sweden 40.17 Italy 5.52 Neth. 28.87 Can. 16.24 Spain 30.69 US 28.70 Can. 58.35 Italy 6.71 Norway -9.92 Japan -18.91 Can. 38.61 Italy 25.53 Norway 38.66 Den. 21.94 Sing. 26.25 France -21.35 H.K. 42.56 Belg. 41.60 Sweden 61.40 Austral. -14.13 Austral. 42.01 France 53.67 US -19.41 Neth. 21.40 Neth. 26.43 Germ. 38.81 Belg. 2.38 Belg. 27.01 Neth. 15.30 Germ. 29.80 Germ. 28.01 Norway 35.62 Neth. 3.69 US -10.09 Switz. -18.92 Den. 36.94 Den. 21.98 Switz. 29.82 Belg. 20.08 Belg. 36.66 Can. -24.45 Belg. 40.19 Norway 35.19 H.K. 52.14 Belg. -15.22 Japan 40.95 Neth. 53.27 Neth. -19.44 Den. 20.10 Belg. 21.79 Neth. 38.40 Sing. 0.93 H.K. 23.68 UK 15.23 Neth. 28.95 Switz. 22.17 France 33.13 France 3.46 UK -11.81 Sing. -19.60 Austral. 34.84 Austral. 24.53 Austral. 29.47 Austria 19.98 Den. 23.54 Germ. -24.95 Can. 39.03 Den. 28.52 Sing. 41.50 Neth. -15.85 Sing. 38.84 Sweden 48.80 Switz. -21.96 UK 19.55 UK 19.06 Austral. 38.30 Austral. -0.30 UK 22.36 US 11.44 UK 27.75 Neth. 21.86 US 25.57 Austral. -2.63 Den. -12.57 Can. -21.55 Norway 25.35 Spain 20.22 Sing. 27.63 Germ. 19.49 Spain 21.92 Sing. -27.00 Spain 27.72 Neth. 27.98 Austral. 38.68 Norway -16.95 H.K. 33.37 US 46.75 Germ. -24.58 Switz. 19.27 Germ. 10.89 Den. 35.88 Germ. Den. 19.85 Den. 10.14 Belg. 18.32 UK 16.52 Germ. 23.63 UK -4.35 H.K. -16.47 Belg. -23.13 Italy 24.27 H.K. 16.53 Neth. 27.05 France 18.17 Neth. 18.61 Den. -27.29 UK 27.56 Sweden 25.83 Neth. 37.16 US -19.11 Germ. 25.57 Switz. 42.45 Belg. -25.92 Spain 19.14 Austria 10.45 Spain 32.76 Den. -1.85 Can. 19.37 France 9.58 Sweden 17.66 Sweden 12.70 Austral. 21.14 Austria -4.82 Can. -18.36 UK -23.37 France 23.93 Sing. 14.00 Sweden 23.09 Italy 16.42 France 11.38 Neth. -28.20 Austria 27.47 Spain 24.06 Germ. 31.86 Sing. -19.59 Can. 21.88 Can. 40.31 Sing. -26.51 Sweden 17.91 Austral. 10.20 Italy 31.50 Switz. -2.06 Germ. 17.46 Austral. 5.32 Can. 17.52 Den. 7.78 UK 15.81 US -5.86 Switz. -19.30 Spain -23.43 Japan 22.21 Can. 13.95 Germ. 22.66 Neth. 15.45 UK 6.59 UK -28.37 Neth. 26.63 UK 22.71 Austria 31.33 Austria -19.64 US 19.33 UK 37.65 Can. -27.58 Belg. 17.22 Can. 8.60 Austria 31.05 US -4.33 France 15.15 Germ. 2.69 France 16.63 Austral. 4.90 Den. 15.44 H.K. -7.82 Neth. -20.07 Den. -24.11 Belg. 18.99 UK 11.49 France 22.62 Austral. 14.99 Italy 4.32 Sweden -30.48 Den. 21.57 H.K. 21.62 Switz. 29.99 Sweden -19.82 Neth. 18.87 Italy 34.79 Spain -28.30 Can. 14.46 Sweden 5.76 Japan 28.35 UK -6.93 Austral. 12.19 Italy 1.80 Norway 10.71 Japan 3.87 Neth. 10.08 Germ. -8.74 France -20.32 H.K. -25.69 UK 18.04 France 10.48 Belg. 21.69 UK 14.77 US 3.71 Italy -30.64 France 17.35 Japan 14.68 UK 23.74 H.K. -24.63 Spain 18.22 Belg. 32.40 France -28.30 Japan 12.23 Japan -2.91 UK 27.30 Can. -8.27 Sing. 7.44 Belg. 1.30 Austria 5.84 Austria -0.77 Spain 7.87 Spain -9.02 Germ. -20.35 Neth. -28.44 H.K. 16.85 Germ. 8.32 H.K. 20.96 H.K. 14.54 Switz. 3.57 Austral. -31.61 Italy 12.67 US 5.10 US 13.33 Switz. -28.83 Italy 16.05 Spain 23.88 Austral. -31.37 Germ. 11.45 Spain -3.43 Belg. 26.37 Spain -9.96 Norway 6.98 Austria -5.50 Austral. -6.68 H.K. -3.98 Italy 2.72 Belg. -10.09 Sing. -21.41 France -28.76 Switz. 16.05 Japan 8.03 UK 19.80 Switz. 11.95 Austria 0.50 H.K. -32.35 US 12.39 Austral. -4.14 Can. 7.14 France -32.26 Switz. 10.54 Austral. 23.36 Italy -32.76 Italy 1.15 Italy -3.86 France 23.70 France -10.31 Italy 1.96 Switz. -7.53 H.K. -20.07 Can. -7.16 Switz. -7.53 Sweden -14.88 Italy -24.67 US -30.48 US 15.47 Switz. 7.19 US 17.33 Can. 3.52 Sweden -1.03 Norway -50.42 Switz. 11.55 Can. -7.75 Den. -1.32 Italy -38.14 UK 10.29 H.K. 22.34 Sweden -34.26 Austria -9.56 Norway -3.97 Can. 20.31 Austria -11.35 Japan 1.61 Sing. -15.80 Japan -20.47 Sing. -13.83 Austria -6.39 Sing. -21.85 Sweden -25.26 Sweden -37.17 Sing. 15.30 Neth. 4.65 Spain 16.51 US 0.77 Belg. -4.32 Belg. -53.53 Germ. 11.41 Sing. -37.61 Norway -5.00 Germ. -40.85 Austria 4.27 Japan 14.82 Japan -46.84 Norway -12.93 Den. -11.32 US 11.67 H.K. -32.76 Austria -3.87 Japan -23.87 Sing. -27.12 Norway -30.83 Belg. -11.70 Japan -22.32 Japan -27.56 Germ. -39.61 Neth. 10.43 US 2.69 Italy 13.71 Japan -6.64 Japan -5.80 Austria -56.20 Japan -5.42 Highest Return Lowest Return Source: MSCI developed markets country indices (net dividends) with at least twenty-five years of data. MSCI data copyright MSCI 2009, all rights reserved. This material has been distributed by Dimensional Fund Advisors Ltd., which is authorised and regulated by the Financial Services Authority. Past performance is no guarantee of future results. 5050.3

9 Equity Returns of Developed Markets Annual Return (%) 1985198619871988198919901991199219931994199519961997199819992000200120022003200420052006200720082009 -4.1438.68-14.1342.0123.36-31.3737.7210.2038.30-0.3012.195.32-6.684.9021.14-2.634.35-10.8234.8421.5329.4714.9926.23-31.6157.05 121.5131.33-19.644.72130.17-11.51-9.5610.4531.05-11.35-3.87-5.50-5.84-0.77-6.39-4.82-3.155.3642.1159.9339.0919.980.50-56.2027.47 41.6073.86-15.2259.9332.40-25.9217.2221.7926.372.3827.011.3018.3265.90-11.70-10.09-8.56-23.1318.9933.8321.6920.08-4.32-53.5340.19 -7.757.14-10.4621.8840.31-27.5814.468.6020.31-8.2719.3716.2417.52-7.1658.3513.91-18.36-21.5538.6113.9543.183.5227.44-24.4539.03 28.52-1.32-10.9958.9962.45-17.5420.10-11.3235.88-1.8519.8510.1440.177.7815.4411.87-12.57-24.1136.9421.9838.9321.9423.54-27.2921.57 45.9513.83-32.2643.5353.67-28.3021.4227.0623.70-10.3115.159.5816.6339.9733.133.46-20.32-28.7623.9310.4822.6218.1711.38-21.3517.35 88.6031.86-40.8525.5765.12-24.5811.4510.8938.8117.462.6929.8028.0123.63-8.74-20.35-39.6139.148.3222.6619.4932.99-24.9511.41 21.6252.14-24.6333.3722.34-9.1554.0763.51121.68-32.7623.6820.32-20.07-3.9864.29-7.82-16.47-25.6916.8516.5320.9614.5438.89-32.3542.56 85.78103.02-38.1416.0534.79-32.761.15-3.8631.505.521.961.8041.1850.842.726.71-24.67-16.2324.2725.5313.7116.424.32-30.6412.67 14.6894.3512.4140.9514.82-46.8412.23-2.9128.3514.871.61-23.59-20.473.8766.38-22.32-27.56-18.9122.218.0340.07-6.64-5.80-1.85-5.42 27.9837.16-15.8518.8753.27-19.4421.4026.4338.405.6628.8715.3028.9521.8610.083.69-20.07-28.4410.434.6527.0515.4518.61-28.2026.63 35.19-5.00-16.9548.2664.27-16.24-12.93-3.9745.3116.886.9816.3210.71-30.8335.627.16-9.92-16.1625.3529.0438.6627.5229.27-50.4266.52 -37.6141.50-19.5938.8460.61-26.5128.7431.3771.850.937.44-15.80-27.12-13.83105.39-21.85-21.41-19.6015.3014.0027.6328.9126.25-27.0054.85 24.06115.617.6218.2223.88-28.3019.14-3.4332.76-9.9631.0026.6430.6948.247.97-9.02-9.01-23.4340.0220.2216.5131.2421.92-17.6427.72 25.8361.40-19.8254.4348.80-34.2617.915.7640.1711.9334.5924.0717.6612.7085.15-14.88-25.26-37.1739.1427.0723.0925.99-1.03-30.4846.13 64.9729.99-28.8310.5442.45-21.9619.2744.9049.12-2.06-45.41-7.5350.2922.17-4.2514.43-19.30-18.9216.057.1929.8211.953.57-3.6211.55 22.7123.746.1710.2937.56-8.2219.5519.0627.30-6.9322.3615.2327.7516.5215.81-4.35-11.81-23.3718.0411.4919.8014.776.59-28.3727.56 5.1013.33-19.1119.3346.75-19.4134.0331.5011.67-4.3338.3811.4438.9628.7025.57-5.76-10.09-30.4815.472.6917.330.773.71-13.4412.39 Australia Austria Belgium Canada Denmark France Germany Hong Kong Italy Japan Netherlands Norway Singapore Spain Sweden Switzerland United Kingdom United States Source: MSCI developed markets country indices (net dividends) with at least twenty-five years of data. MSCI data copyright MSCI 2009, all rights reserved. This material has been distributed by Dimensional Fund Advisors Ltd., which is authorised and regulated by the Financial Services Authority. Past performance is no guarantee of future results. Boxed Return is the highest return for the year. 5050.3

10 Where Dimensional Invests: Developed Markets Emerging Markets Not Invested In British pounds. Map reflects countries in the MSCI All Country World IMI Index, and MSCI Frontier Markets Index. Market cap data is free-float adjusted. MSCI data copyright MSCI 2010, all rights reserved. Many small nations not displayed. Totals may not equal 100% due to rounding. Dimensional makes case-by-case determinations about the suitability of investing in each emerging market, making considerations that include local market accessibility, government stability and property rights before making investments. For educational purposes; should not be used as investment advice. 1. An example large cap stock provided for comparison. United States7,509 United Kingdom1,528 Japan1,504 Canada745 France736 Australia600 Germany558 Switzerland519 China405 Brazil359 SCALE TOP 20 NATIONS BY MARKET CAPITALISATION (£ BILLIONS) Spain306 South Korea292 Taiwan287 Italy243 Sweden195 Netherlands189 India183 Hong Kong166 South Africa162 Russia131 World Market Capitalisation £17.7 Trillion as at December 31, 2009 5060.3

11 2. Market Efficiency 5100.2 I.Warren E. Buffett II.Efficient Markets Hypothesis III.UK Equity Fund Returns IV.Actively Managed Funds: Non-Survivorship and Underperformance

12 Warren E. Buffett Chairman and CEO, Berkshire Hathaway, Inc. Warren E. Buffet, Chairman’s Letter, Berkshire Hathaway Corp. 1996 Annual Report, February 28, 1997. Available in www.berkshirehathaway.com/annual.html (accessed May 21, 2007)www.berkshirehathaway.com/annual.html “Most investors, both institutional and individual, will find that the best way to own common stocks is through an index fund that charges minimal fees.” 5110.1

13 Efficient Markets Hypothesis Eugene F. Fama, University of Chicago The Hypothesis States: Current prices incorporate all available information and expectations. Current prices are the best approximation of intrinsic value. Price changes are due to unforeseen events. “Mispricings” do occur but not in predictable patterns that can lead to consistent outperformance. Implications Active management strategies cannot consistently add value through security selection and market timing. Passive investment strategies reward investors with capital market returns. Eugene F. Fama, “Efficient Capital Markets: A Review of Theory and Empirical Work,” Journal of Finance 25, no. 2 (May 1970): 383-417. Eugene F. Fama, “Foundations of Finance,” Journal of Finance 32, no. 3 (June 1977): 961-64. 5120.1

14 UK Equity Fund Returns January 1990-December 2009 Source: Morningstar data provided by Morningstar Inc. Includes all Morningstar UK Equity funds with twenty-year returns, distinct portfolios only, as of 31 December 2009. FTSE data published with the permission of FTSE. Dimensional index data simulated by Dimensional from Bloomberg and StyleResearch securities data; not available for direct investment. This material has been distributed by Dimensional Fund Advisors Ltd., which is authorised and regulated by the Financial Services Authority. Past performance is no guarantee of future results. Annualised Compound Return (%) Dimensional UK Value Index8.96 FTSE All-Share Index8.06 Dimensional UK Small Cap Index7.78 Morningstar Fund Average7.67 Number of Funds Annualised Compound Return (%) 5130.3

15 Non-Surviving Equity Funds Actively Managed US Equity Funds 2005-2009 Data provided by CRSP Survivor-Bias-Free US Mutual Fund Database. Sample includes mutual funds existing as of 12/2004. Returns analyzed for the five-year period from 2005- 2009. Multiple share classes are aggregated to fund level. Index funds, inverse funds, and leveraged funds are excluded. A benchmark is a standard against which the performance of an individual security or group of securities is measured. It is usually based on published indexes of securities of the same or similar class. However customized ones maybe used to suit a particular investment strategy. Past performance is not a guarantee of future results. Values change frequently, and past performance may not be repeated. There is always the risk that an investor may lose money. Total Universe of 2,231 Funds in 2005 Percentage of Cumulative Non-Survivors On average, 7.0% of the actively managed equity fund universe disappeared each year. During 2005, 6.8% of the fund universe disappeared. By the fifth year, 30.4% of the fund universe (677 funds) had disappeared. Reasons for non-survival likely include closure due to poor investment results. Non-Surviving Equity Funds Actively Managed US Equity Funds 2005-2009 5140.2

16 Data provided by CRSP Survivor-Bias-Free US Mutual Fund Database. Sample includes mutual funds existing as of 12/2004. Returns analyzed for the five-year period from 2005-2009. Multiple share classes are aggregated to fund level. Index funds, inverse funds, and leveraged funds are excluded. A benchmark is a standard against which the performance of an individual security or group of securities is measured. It is usually based on published indexes of securities of the same or similar class. However customized ones maybe used to suit a particular investment strategy. Past performance is not a guarantee of future results. Values change frequently, and past performance may not be repeated. There is always the risk that an investor may lose money. Equity funds that beat their category benchmark consistently. Few Consistent Equity Fund Winners Actively Managed US Equity Funds 2005-2009 Equity funds did not outperform their respective category benchmark in most years or over the entire five-year period. Nearly half (46.8%) of actively managed US equity funds outperformed their benchmark in 2005. Five years later, only 1.0% of the initial funds (23 out of 2,231) had outperformed the benchmark every year. Few Consistent Equity Fund Winners Actively Managed US Equity Funds 2005-2009 5140.2

17 Non-Surviving Bond Funds Actively Managed US Bond Funds 2005-2009 Data provided by CRSP Survivor-Bias-Free US Mutual Fund Database. Sample includes mutual funds existing as of 12/2004. Returns analyzed for the five-year period from 2005-2009. Multiple share classes are aggregated to fund level. Index funds, inverse funds, and leveraged funds are excluded. A benchmark is a standard against which the performance of an individual security or group of securities is measured. It is usually based on published indexes of securities of the same or similar class. However customized ones maybe used to suit a particular investment strategy. Past performance is not a guarantee of future results. Values change frequently, and past performance may not be repeated. There is always the risk that an investor may lose money. Total Universe of 911 Funds in 2005 Percentage of Cumulative Non-Survivors On average, 6.5% of the actively managed bond fund universe disappeared each year. During 2005, 7.8% of the funds had disappeared. By the fifth year, 28.5% of the fund universe (260 funds) had disappeared. Poor investment results is one likely reason for non-survivorship. Non-Surviving Bond Funds Actively Managed US Bond Funds 2005-2009 5140.2

18 Data provided by CRSP Survivor-Bias-Free US Mutual Fund Database. Sample includes mutual funds existing as of 12/2004. Returns analyzed for the five-year period from 2005-2009. Multiple share classes are aggregated to fund level. Index funds, inverse funds, and leveraged funds are excluded. A benchmark is a standard against which the performance of an individual security or group of securities is measured. It is usually based on published indexes of securities of the same or similar class. However customized ones maybe used to suit a particular investment strategy. Past performance is not a guarantee of future results. Values change frequently, and past performance may not be repeated. There is always the risk that an investor may lose money. Surviving bond funds that beat their category benchmark consistently. Few Consistent Bond Fund Winners Actively Managed US Bond Funds 2005-2009 Even among survivors, few actively managed bond funds outperformed their category benchmark in most years or over the entire period. About four out of ten actively managed bond funds beat the benchmark in 2005. Five years later, less than 1% of the surviving funds had beat the benchmark every year. Few Consistent Bond Fund Winners Actively Managed US Bond Funds 2005-2009 5140.2

19 3. Risk/Return 5200.1 I.Capital Asset Pricing Model II.Fama-French Three Factor Model III.Size and Value Effects Are Strong around the World IV.Risk Factors Have Periods of Under- and Over-Performance V.Precision in Portfolios VI.Does It Pay to Extend Maturities? VII.Distribution of US Market Returns

20 Capital Asset Pricing Model William Sharpe: Nobel Prize in Economics, 1990 Total Equity Risk Unsystematic Specific to firm or industry (lawsuit, fraud, etc.). Diversifiable. No compensation. Systematic Marketwide, affects all firms (war, recession, inflation, etc.). Non-diversifiable. Investor compensation. Measured by beta. Company Risk Industry Risk Market Risk Unsystematic Systematic Beta measures volatility relative to the total market. A beta higher than the market’s beta of 1 implies more volatility, and a beta lower than the market’s implies less volatility. 5210.1

21 Over 70% of the variation in returns is due to risk factor exposure. Source: Dimensional study (2002) of 44 institutional equity pension plans with US $452 billion total assets. Factor analysis run over various time periods, averaging nine years. Total assets based on total plan dollar amounts as of year end 2001. Average explanatory power (R 2 ) is for the Fama/French equity benchmark universe. 70% Structured Exposure to Market Factor 30% Stock Picking, Market Timing, and Noise SINGLE-FACTOR MODEL (CAPITAL ASSET PRICING MODEL) R(t) - RF(t) = a + b[RM(t) - RF(t)] + e(t) sensitivity to market [market return minus T-bills] random error e(t) ++= average expected return [minus T-bills] average excess return Capital Asset Pricing Model 5210.1

22 Over 96% of the variation in returns is due to risk factor exposure. After fees, traditional management typically reduces returns. Source: Dimensional study (2002) of 44 institutional equity pension plans with $452 billion total assets. Factor analysis run over various time periods, averaging nine years. Total assets based on total plan dollar amounts as of year-end 2001. Average explanatory power (R 2 ) is for the Fama/French equity benchmark universe. sensitivity to market [market return minus T-bills] sensitivity to size [small stocks minus big stocks] sensitivity to BtM [value stocks minus growth] random error e(t) ++++= average expected return [minus T-bills] average excess return THE MODEL TELLS THE DIFFERENCE BETWEEN INVESTING AND SPECULATING Priced Risk Positive expected return. Systematic. Economic. Long-term. Investing. Unpriced Risk Noise. Random. Short-term. Speculating. 96% Structured Exposure to Factors. 4% Stock Picking and Market Timing Market. Size. Value/Growth. Fama-French Three Factor Model 5212.1

23 Value stocks are above the 30th percentile in book-to-market ratio. Growth stocks are below the 70th percentile in book-to-market ratio. Simulations are free-float weighted both within each country and across all countries. UK and Europe data provided by London Business School/StyleResearch. US value and growth data provided by Fama/French. This material has been distributed by Dimensional Fund Advisors Ltd., which is authorised and regulated by the Financial Services Authority. Past performance is no guarantee of future results. Size and Value Effects Are Strong around the World Annual Index Data Percent per Annum in £ 5220.3 Annualised Compound Returns (%) Standard Deviation (%) UK Large Value UK Large Market UK Large Growth UK Small Value UK Small Market UK Small Growth Europe Large Value Europe Large Market Europe Large Growth Europe Small Value Europe Small Market Europe Small Growth US Large Value S&P 500 Index US Large Growth US Small Value CRSP 6-10 Index US Small Growth Emg. Markets Value Emg. Markets “Market” Emg. Markets Growth UK Large Capitalisation Stocks (£) 1956-2009 UK Small Capitalisation Stocks (£) 1956-2009 Europe ex UK Large Capitalisation Stocks (€) 1981-2009 Europe ex UK Small Capitalisation Stocks (€) 1981-2009 US Large Capitalisation Stocks ($) 1927-2009 US Small Capitalisation Stocks ($) 1927-2009 Emerging Markets Capitalisation Stocks ($) 1989-2009 32.0828.6026.2931.8130.3430.8327.2223.2925.7626.1024.8027.5127.1720.6322.0635.3031.0934.2043.0437.2935.70

24 Risk Factors Have Periods of Under- and Over-Performance 1957-2009 In GBP 5230.3 Our source of share price and listing information was the London Share Price Database (LSPD) maintained at the London Business School. The master index of this database covers all listed stocks in the UK market since 1957. We selected stocks officially listed on the LSE and excluded foreign companies and investment trusts. To choose the value sectors we rank the universe by book-to-market and approximately the top 30% is the value universe. The small sectors we rank the universe by market capitalisation and approximately the bottom 10% is the small universe. Copyright © 2003 Elroy Dimson, Stefan Nagel and Garrett Quigley. UK research data provided by the London School of Business. From year to year, stocks with high book-to-market ratios and smaller market caps do not always produce higher returns. Over longer time periods, the size and value premiums are more prevalent. Investors that maintained disciplined size and value exposure were ultimately rewarded. Percent per Year Size Premium Value Premium Percent per Year 2009

25 Precision in Portfolios Traditionally, “products” have been classified into rigid and sometimes arbitrary categories. Style boxes force crude strategic allocation. Three-Factor Model Traditional Consulting Style Box Value BlendGrowth Large Mid Small Large “The Market” Small GrowthValue Using the three-factor model, the total portfolio is measured by factors that determine risk and expected return. Freedom from brittle definitions allows precisely tuned portfolios. 5240.1

26 Does It Pay to Extend Maturities? 1900-2000 Not all investors define risk as standard deviation. Some investors may seek to hedge long-term bonds. Historically, longer maturity instruments have higher standard deviations and have not provided consistently greater returns. UK Bills US Bonds UK Bonds US Bills US Equities UK Equities 15 10 5 0 5 1520 25 Standard Deviation (%) 5250.2 BillsBondsEquities UKUSUKUSUKUS Annualised Compound Returns (%)5.104.006.005.3011.60 Annualised Standard Deviation (%)3.802.8012.008.2021.7019.90 Dimson, Elroy, Paul Marsh and Mike Staunton, Millennium Book II: 101 Years of Investment Returns (ABN AMRO and London Business School, 2001). This publication defines the data used for the above chart and matrix as follows: UK Bills are UK One-Month Treasury Bills (FTSE). UK Bonds are the ABN AMRO Bond Index. UK Equities are the ABN AMRO/LBS Equity Index. US Bills are commercial bills 1900-1918 and One-Month US Treasury Bills (Ibbotson) 1919-2000. US Bonds are government bonds 1900-1918, the Federal Reserve Bond Index 10-15 Years 1919- 1925, Long-Term Government Bonds (Ibbotson) 1926-1998, and the JP Morgan US Government Bond Index 1999-2000. US Equities are Schwert’s Index Series 1900-1925, CRSP 1-10 Deciles Index 1926-1970, and the Dow Jones Wilshire 5000 Index 1971-2000. Return (%)

27 1949 20.2 1951 20.7 1963 21.0 1982 21.0 19701944 0.021.3 19531996 0.721.4 196019931983 1.211.122.0 198720041979 1.712.022.6 1948195919981997 2.112.724.331.4 1939195219552003 2.913.425.231.6 1947196819991985 3.614.125.332.2 197319661934196519761936 -18.1-8.74.314.526.832.3 192919321984200619611980 -14.6-8.74.515.526.932.8 200019402007194219381927 -11.4-7.15.816.028.133.4 200119902005196419431991 -11.1-6.06.216.128.434.7 196919461978197119671995 -10.9-5.97.516.128.736.8 19301962197719561986200919451935 -28.5-10.2-4.38.316.228.838.144.3 200819741957198119261972198919751958 -36.7-27.0-10.1-3.69.216.828.938.845.0 19311937200219411994199219881950192819541933 -43.5-34.7-21.1-10.0-0.19.818.029.638.950.057.1 -50% to -40%-40% to -30%-30% to -20%-20% to -10%-10% to 0%0% to 10%10% to 20%20% to 30%30% to 40%40% to 50%50% to 60% Annual Return Range CRSP data provided by the Center for Research in Security Prices, University of Chicago. The CRSP 1-10 Index measures the performance of the total US stock market, which it defines as the aggregate capitalization of all securities listed on the NYSE, AMEX, and NASDAQ exchanges. Indices are not available for direct investment; therefore, their performance does not reflect the expenses associated with the management of an actual portfolio. Past performance is not a guarantee of future results. Positive Years:62 (74%) Negative Years:22 (26%) In 2008, the US stock market experienced its second worst performance year since 1926. In 2009, US market performance was in the top quartile of historical calendar year returns. Distribution of US Market Returns CRSP 1-10 Index Returns by Year 1926-2009 5251.1

28 4. Long-Term Discipline 5300.1 I.The Importance of Long-Term Discipline II.The Stock Market’s Reaction III.Performance of the FTSE All-Share Index IV.Comparison of Market Returns, Fund Returns and Investor Returns V.UK Value vs. UK Market VI.UK Small vs. UK Market VII.UK One-Month T-Bills vs. UK Market VIII.Subsequent Performance of Top Equity Managers IX.Bull and Bear Markets

29 The Importance of Long-Term Discipline For illustrative purposes only. UK One-Month T-Bills provided by Datastream; prior to January 1975, UK Three-Month T-Bills provided by London Share Price Database. FTSE data published with the permission of FTSE. This material has been distributed by Dimensional Fund Advisors Ltd. which is authorised and regulated by the Financial Services Authority. Past performance is no guarantee of future results. 5310.3 Annualised Compound Returns (%)2/1955-12/20091/1960-12/19741/1975-12/2009 FTSE All-Share Index12.031.2516.08 UK One-Month Treasury Bills7.546.408.48

30 The Stock Market’s Reaction As Measured by the Dow Jones Industrial Average DateEvent First Trading Session ResponseSubsequent Market Behaviour Prior Day CloseCloseChange Percent Change One Month Six MonthsOne Year 11 September 2001World Trade Center towers destroyed9,605.518,920.70-684.81-7.13%-3.66%11.12%-8.71% 16 January 1991US launches bombing attack on Iraq2,508.912,623.51114.604.57%16.97%18.93%29.52% 2 August 1990Iraq invades Kuwait2,899.262,864.60-34.66-1.20%-8.74%-4.67%4.95% 30 March 1981President Reagan shot by John Hinckley Jr.994.78992.16-2.62-0.26%1.95%-14.33%-16.90% 9 August 1974President Nixon resigns784.89777.30-7.59-0.97%-14.71%-8.87%5.98% 22 November 1963President Kennedy assassinated in Dallas732.64711.48-21.16-2.89%6.57%15.37%24.99% 22 October 1962Cuban missile crisis568.60558.06-10.54-1.85%15.55%27.41%33.89% 24 September 1955President Eisenhower heart attack487.44455.55-31.89-6.54%0.04%12.48%5.72% 25 June 1950North Korea invades South Korea224.30213.90-10.40-4.64%-4.49%7.34%15.13% 7 December 1941Japan attacks Pearl Harbor, Hawaii115.90112.52-3.38-2.92%-0.86%-6.19%2.88% Dow Jones data provided by Dow Jones Indexes. This material has been distributed by Dimensional Fund Advisors Ltd., which is authorised and regulated by the Financial Services Authority. Past performance is no guarantee of future results. 5320.1

31 FTSE data published with the permission of FTSE. Long-Term Govt. Bonds are the Citigroup World Government Bond Index UK 1-30+ Years, copyright 2009 by Citigroup. This material has been distributed by Dimensional Fund Advisors Ltd., which is authorised and regulated by the Financial Services Authority. Past performance is no guarantee of future results. Growth of £1,000 Annualised Compound Return One-Month T-Bills 7.03% Missed 25 Best Days 4.41% Missed 15 Best Days 6.17% Missed 5 Best Days 8.30% Missed 1 Best Day 9.60% Total Period 10.00% Long-Term Govt. Bonds 8.70% Performance of the FTSE All-Share Index January 1986-December 2009 5330.3

32 US study in US dollars. Estimated Equity Fund Investor Return calculation based on a comparison of time-weighted returns with the dollar-weighted returns earned by the fund investors for 600 general equity funds during 1983-2003. Source: John C. Bogle, “The Mutual Fund Industry 60 Years Later: For Better or Worse,” Financial Analysts Journal 61, no. 1 (2005): 15-24. UK study in GBP sterling. Source: Lukas Schneider, An Examination of the Difference Between UK Fund Returns and UK Fund Investors’ Returns, July 2007. US: 1983-2003 MeasureAnnual ReturnGrowth of $1 Stock Market Return13.00%$11.50 Average Equity Fund Return10.30%$7.10 Estimated Equity Fund Investor Return7.90%$4.57 UK: 1992-2003 MeasureAnnual ReturnGrowth of £1 FTSE All Share8.99%£2.81 Average Fund6.93%£2.23 Average Fund Investor4.91%£1.78 Comparison of Market Returns, Fund Returns, and Investor Returns 5331.1

33 Source: UK Market is the FTSE All-Share Index. FTSE data published with the permission of FTSE. UK Value simulated by Dimensional from Bloomberg securities data, prior to 1994 data provided by London Business School. This material has been distributed by Dimensional Fund Advisors Ltd which is authorised and regulated by the Financial Services Authority. Past performance is no guarantee of future results. Rolling Time Periods1 Year3 Years5 Years10 Years15 Years20 Years30 Years40 Years Number of Periods 643619595535475415295175 Periods UK Value > UK Market 452498514528472415295175 UK Value vs. UK Market Monthly: July 1955-December 2009 5340.4 Percentage of All Rolling Periods Where UK Value Outperformed UK Market

34 Source: UK Small simulated by Dimensional from StyleResearch securities data; prior to July 1981, Hoare Govett Smaller Companies Index, provided by the London School of Business. UK Market is the FTSE All-Share Index. FTSE data published with the permission of FTSE. This material has been distributed by Dimensional Fund Advisors Ltd., which is authorised and regulated by the Financial Services Authority. Past performance is no guarantee of future results. Percentage of All Rolling Periods Where UK Small Outperformed UK Market Rolling Time Periods1 Year3 Years5 Years10 Years15 Years20 Years30 Years40 Years Number of Periods647623599539479419299179 Periods UK Small > UK Market425435440417376323298179 UK Small vs. UK Market Monthly: March 1955-December 2009 5350.3

35 Source: UK One-Month T-Bills provided by Datastream; prior to January 1975, UK Three-Month T-Bills. UK Market is the FTSE All-Share Index. FTSE data published with the permission of FTSE. This material has been distributed by Dimensional Fund Advisors Ltd., which is authorised and regulated by the Financial Services Authority. Past performance is no guarantee of future results. Percentage of All Rolling Periods Where UK Market Outperformed UK One-Month T-Bills Rolling Time Periods1 Year3 Years5 Years10 Years15 Years20 Years30 Years40 Years Number of Periods648624600540480420300180 Periods UK Market > UK One-Month T-Bills403440451486461420300180 UK One-Month T-Bills vs. UK Market Monthly: February 1955-December 2009 5360.3

36 Subsequent Period January 1985-December 1989January 1990-December 1994 Fund Name RankQuartile Rank Average Annual Total ReturnRankQuartile Rank Average Annual Total Return Ignis Balanced Growth Inc1137.703837.71 Fidelity Special Situations2133.055036.21 M&G Recovery A Acc3128.6113110.79 Premier UK Thematic A4123.905112.28 Premier Castlefield UK Alpha General Acc5123.406642.58 Fidelity Growth + Income6122.796144.80 Allianz RCM UK Equity C7122.272528.61 Aviva Investors UK Income & Gr SC18122.213128.01 Family Charities Ethical Tr Inc9121.7114110.41 CF Canlife Growth10220.683637.83 Schroder UK Equity Inc11220.019111.44 F&C Stewardship Growth 1 Inc12219.904436.59 TU British Trust Inc13219.722828.57 L&G (Barclays) 500 Inc14219.033937.08 Reliance British Life A/I15218.944236.74 SLTM UK Equity General Inc16218.903228.01 M&G UK Select A Acc17218.8112110.81 Scottish Mutual UK Equity Acc18218.775445.73 Scottish Widows UK Select Gr C19318.736044.83 Henderson UK Equity A20318.564636.31 SWIP UK Advantage A Inc21318.093028.08 Santander N&P UK Growth22317.955146.18 M&G UK Growth A Acc23317.872928.53 Lincoln Growth Trust24317.363737.79 Aviva Investors UK Equity SC125317.091118.84 Threadneedle UK Overseas Earnings IN Inc26316.774037.00 Pru UK Growth Trust Inc A27316.506344.07 CF Canlife General Inc28416.184936.24 Threadneedle UK Inst Inst Net GBP29416.022029.07 SWIP UK Opportunities A30415.465945.21 Top 30 Funds Average Return20.577.88 All Funds Average Return19.707.99 FTSE All-Share Index20.229.68 Number of Funds3568 Number of Top 30 Funds > FTSE All-Share Index106 Number of All Funds > FTSE All Share Index1016 Do Winners Repeat? Subsequent Performance of Top Thirty Funds Five-Year Period: January 1985-December 1989 5370.3 Source: Morningstar Direct (IMA UK All Companies sector, only funds with five year history used, in GBP, net returns). Source and copyright ©1996-2008 Morningstar Limited. All rights therein are reserved, (http://www.funds.morningstar.com). This material has been distributed by Dimensional Fund Advisors Ltd., which is authorised and regulated by the Financial Services Authority. Past performance is no guarantee of future results.

37 Subsequent Period January 1990-December 1994 January 1995-December 1999 Fund NameRankQuartile Rank Average Annual Total ReturnRankQuartile Rank Average Annual Total Return Aviva Investors UK Equity SC11118.842131.07 Artemis Capital2115.524128.89 IP UK Growth Acc3113.8077416.08 Newton Income GBP4113.5831220.38 Fidelity UK Growth6112.2832220.34 Premier UK Thematic A5112.2859317.98 Martin Currie IF UK Growth A7111.9678415.98 Investec UK Special Situations A Acc Net8111.8869416.99 Schroder UK Equity Inc9111.4436219.85 Old Mutual UK Select Eq Acc10111.1521121.76 CIS UK Growth11110.8427221.09 M&G UK Select A Acc12110.8184412.57 M&G Recovery A Acc13110.7981413.89 Family Charities Ethical Tr Inc14110.4112123.41 Jupiter UK Growth fund15110.1611123.56 NFU UK Growth A1619.7850319.19 Aviva Investors UK Idx Tracking SC11719.6339219.66 UBS UK Equity Exempt1829.63874 – F&C FTSE All-Share Tracker 1 Inc1929.1034220.16 Threadneedle UK Inst Inst Net GBP2029.0749319.29 Standard Life UK Equity Growth R2128.8919122.43 Thornhill Cap Trust2228.6818122.44 Premier Alpha Growth A2328.6641219.64 Investec UK Blue Chip A Acc Net2428.6260317.91 Allianz RCM UK Equity C2528.6110123.74 Royal London UK Growth2628.6113123.22 Insight Inv UK Discretionary A2728.5814123.04 TU British Trust Inc2828.5738219.69 M&G UK Growth A Acc2928.5353318.86 SWIP UK Advantage A Inc3028.0844219.58 Top 30 Funds Average Return 10.6320.44 All Funds Average Return 7.9919.79 FTSE All-Share Index 9.6820.32 Number of Funds 6886 Number of Top 30 Funds > FTSE All Share Index 1613 Number of All Funds > FTSE All Share Index 1632 Do Winners Repeat? Subsequent Performance of Top Thirty Funds Five-Year Period: January 1990-December 1994 5370.3 Source: Morningstar Direct (IMA UK All Companies sector, only funds with five year history used, in GBP, net returns). Source and copyright ©1996-2008 Morningstar Limited. All rights therein are reserved, (http://www.funds.morningstar.com). This material has been distributed by Dimensional Fund Advisors Ltd which is authorised and regulated by the Financial Services Authority. Past performance is no guarantee of future results.

38 Subsequent Period January 1995-December 1999January 2000-December 2004 Fund NameRankQuartile Rank Average Annual Total ReturnRankQuartile Rank Average Annual Total Return Jupiter UK Alpha1133.211083-4.32 Aviva Investors UK Equity SC12131.07833-3.41 Allianz RCM UK Mid Cap A3129.861344-5.24 Artemis Capital4128.892910.21 Allianz RCM UK Growth A5126.451594-6.67 Liontrust First Growth6125.37933-3.77 Family Asset Trust7125.041324-5.17 Sovereign Ethical Inc8124.831053-4.27 New Star UK Strategic Capital9123.99321-0.11 Allianz RCM UK Equity C10123.741374-5.27 Jupiter UK Growth fund11123.562510.53 Family Charities Ethical Tr Inc12123.411554-6.53 Royal London UK Growth13123.221183-4.66 Insight Inv UK Discretionary A14123.04532-1.98 Baring UK Growth15122.891424-5.82 JPMorgan Premier Equity Growth A Acc16122.68762-3.09 Aviva Investors UK Growth SC1 Acc17122.571133-4.42 Thornhill Cap Trust18122.441304-5.11 Standard Life UK Equity Growth R19122.43632-2.45 Smith & Williamson UK Equity Gr Trust20121.921464-5.91 Old Mutual UK Select Eq Acc21121.761244-4.82 BlackRock UK Special Situations A Acc22121.38915.93 Rensburg UK Blue Chip Growth23221.36361-0.46 Cavendish Opportunities Retail25221.21717.74 F&C UK Equity 124221.21873-3.47 Aberdeen UK Opportunities A Inc26221.181524-6.13 CIS UK Growth27221.091003-4.04 Ignis Balanced Growth Inc28220.991314-5.16 Fidelity Special Situations29220.664113.41 Fidelity Growth + Income30220.42331-0.13 Top 30 Funds Average Return 23.73 -2.49 All Funds Average Return 19.79 -2.35 FTSE All-Share Return 20.32 -2.96 Number of Funds 86 162 Number of Top 30 Funds > FTSE All-Share 30 10 Number of All funds > FTSE All share 32 71 Do Winners Repeat? Subsequent Performance of Top Thirty Funds Five-Year Period: January 1995-December 1999 Source: Morningstar Direct (IMA UK All Companies sector, only funds with five year history used, in GBP, net returns). Source and copyright ©1996-2008 Morningstar Limited. All rights therein are reserved, (http://www.funds.morningstar.com). This material has been distributed by Dimensional Fund Advisors Ltd., which is authorised and regulated by the Financial Services Authority. Past performance is no guarantee of future results. 5370.3

39 Subsequent Period January 2000-December 2004January 2005-December 2009 Fund NameRankQuartile Rank Average Annual Total ReturnRankQuartile Rank Average Annual Total Return Rathbone Recovery Fd Acc1116.682254-7.12 GAM UK Diversified Acc2114.1611836.45 Saracen Growth Beta3113.663619.1 Fidelity Special Situations4113.4114110.31 Schroder UK Mid 250 Acc5110.525928.17 IP UK Growth Acc617.8517045.3 Cavendish Opportunities Retail717.7421043.61 MFM Bowland816.2716935.32 BlackRock UK Special Situations A Acc915.932119.88 Investec UK Special Situations A Acc Net1015.922919.5 Artemis UK Growth fund1114.9318244.81 CF Walker Crips Uk Growth Inc1213.78110.8 Rensburg UK Mid Cap Growth1312.521115.47 HSBC FTSE 250 Index Retail Acc1411.992219.87 BlackRock UK A Acc1511.975618.29 Ecclesiastical UK Equity Growth A1611.7515135.89 Lazard UK Alpha Retail Inc1711.4814635.95 Mirabaud Mir GB Income1811.226627.91 Insight Inv UK Dynamic Mgd A1911.1514036.04 Fidelity UK Aggressive2011.143919.06 Ecclesiastical Amity UK A2111.0516235.46 M&G Recovery A Acc2210.865112.35 GLG UK Growth Instl2310.8520543.93 Newton Income GBP2410.816228.05 Jupiter UK Growth fund2510.534218.98 Jupiter Environmental Income Acc2610.4915035.9 Investec UK Alpha A Acc Net2710.397827.34 HSBC UK Growth & Income Retail Acc2810.2615535.73 Artemis Capital2910.2118744.62 Martin Currie IF UK Growth A301020344.1 Top 30 Funds Average Return 4.31 7.04 All Funds Average Return -2.35 6.70 FTSE All-Share Return -2.96 6.47 Number of Funds 162 225 Number of Top 30 Funds > FTSE All-Share 30 15 Number of All funds > FTSE All share 71 117 Do Winners Repeat? Subsequent Performance of Top Thirty Funds Five-Year Period: January 2000-December 2004 Source: Morningstar Direct (IMA UK All Companies sector, only funds with five year history used, in GBP, net returns). Source and copyright ©1996-2008 Morningstar Limited. All rights therein are reserved, (http://www.funds.morningstar.com). This material has been distributed by Dimensional Fund Advisors Ltd., which is authorised and regulated by the Financial Services Authority. Past performance is no guarantee of future results.

40 Bull and Bear Markets FTSE All-Share Index (GBP) February 1955-March 2010 Average Duration: Bull Market: 23 Months Bear Market: 10 Months FTSE data published with the permission of FTSE. Bull and bear markets are defined in hindsight using cumulative monthly returns. A bear market: (1) begins with a negative monthly return, (2) must achieve a cumulative return less than or equal to -10%, and (3) ends at the most negative cumulative return prior to achieving a positive cumulative return. All data points that are not considered part of a bear market are designated as a bull market. This material has been distributed by Dimensional Fund Advisors Ltd., which is authorised and regulated by the Financial Services Authority. Past performance is no guarantee of future results. Months = Duration of Bull/Bear Market % = Total Return for the Bull/Bear Market 6 mos. 14% 7 mos. 29% 38 months 172% 26 mos. 38% 12 mos. 25% 27 months 122% 23 months 103% 6 months 126% 11 mos. 98% 14 mos. 54% 20 mos. 61% 31 months 120% 40 months 191% 25 mos. 67% 29 months 57 months 135% 29 months -43% 4 months -16% 23 months 43% 47 months 123% 5 months -15% 3 mos. -15% 9 mos. -17% 2 mos. -34% 1 mos. -10% 1 mos. -16% 8 mos. -14% 5 mos. -12% 9 mos. -27% 31 mos. -66% 16 mos. -30% 4 mos. -18% 9 mos. -11% 15 mos. -22% 8 mos. -21% 16 mos. -18% 20 mos. 48% 17 mos. 68% 5380.4 6 mos. 43% 2 mos. -13% 1955 1960196519701975198019851990199520002005 2010 March 2010 -7% Feb 2009 -41%

41 Bull and Bear Markets MSCI Europe Index, Net Dividends (DEM/EUR) Monthly Returns: January 1970-March 2010 Average Duration: Bull Market: 31 Months Bear Market: 12 Months MSCI Europe Index: 1970-1998, denominated in deutsche marks; 1999-present, denominated in euros. MSCI data copyright MSCI 2008, all rights reserved. Bull and bear markets are defined in hindsight using cumulative monthly returns. A bear market: (1) begins with a negative monthly return, (2) must achieve a cumulative return less than or equal to -10%, and (3) ends at the most negative cumulative return prior to achieving a positive cumulative return. All data points that are not considered part of a bear market are designated as a bull market. This material has been distributed by Dimensional Fund Advisors Ltd., which is authorised and regulated by the Financial Services Authority. Past performance is no guarantee of future results. Months = Duration of Bull/Bear Market % = Total Return for the Bull/Bear Market 13 months 59% 9 months -28% 5 months -15% 27 months 38% 54 months 87% 4 months 19% 16 mos. 59% 5 months -18% 21 months 70% 2 months -31% 40 months 188% 23 months 71% 50 months 146% 2 months -21% 2 mos. -11% 14 months -19% 3 mos. -22% 20 mos. 35% 8 mos. 14% 28 months -50% 72 months 268% 1970 1972197419761978198019821984198619881990199219941996199820002002200420062008 2010 31 months -53% 34 months 5380.4 March 2010 -28% Feb 2009 -54%

42 Bull and Bear Markets MCSI World Index, Net Dividends (USD) Monthly Returns: January 1970-March 2010 Months = Duration of Bull/Bear Market % = Total Return for the Bull/Bear Market Average Duration: Bull Market: 36 Months Bear Market: 11 Months 1970 1972197419761978198019821984198619881990199219941996199820002002200420062008 2010 9 mos. 44% 6 months -19% 33 months 75% 18 months -41% 53 months 72% 3 mos. -11% 8 mos. 36% 19 mos. 56% 20 mos. 60% 1 mos. -11% 37 months 214% 20 months -19% 25 months 50% 4 months -10% 3 months -20% 93 months 193% 9 months -24% 61 months 149% 29 months 2 mos. -14% 30 months -47% MSCI data copyright MSCI 2008, all rights reserved. Bull and bear markets are defined in hindsight using cumulative monthly returns. A bear market: (1) begins with a negative monthly return, (2) must achieve a cumulative return less than or equal to -10%, and (3) ends at the most negative cumulative return prior to achieving a positive cumulative return. All data points which are not considered part of a bear market are designated as a bull market. This material has been distributed by Dimensional Fund Advisors Ltd., which is authorised and regulated by the Financial Services Authority. Past performance is no guarantee of future results. 5380.4 March 2010 -25% Feb 2009 -54%

43 5. Investment Considerations 5400.2 I.Investment Considerations II.Equity Fund Expenses III.Fees Matter IV.The Limits of Fund Rating Services

44 Investment Considerations 5410.1 Reduce expenses. Diversify systematically. Minimise taxes and turnover. Think long term. Apply discipline. Hold low-cost funds. Maintain asset allocation.

45 Equity Fund Expenses “After costs, the return on the average actively managed dollar will be less than the return on the average passively managed dollar for any time period.” —William F. Sharpe, 1990 Nobel Laureate William F. Sharpe, “The Arithmetic of Active Management,” Financial Analysts Journal 47, no. 1 (January/February 1991): 7-9. Data source: Lipper UK Fund Charges, January 2010; Dimensional OEIC TERs per Report and Accounts, December 2009, audited; Dimensional UCIT TERs per Report and Accounts, November 2009, audited. This material has been distributed by Dimensional Fund Advisors Ltd., which is authorised and regulated by the Financial Services Authority. Past performance is no guarantee of future results. UK Equity UK Equity Fund Expense RatiosGlobal Equity Fund Expense Ratios UK Index Tracking Equity Dimensional UK Equity Global EquityGlobal Index Tracking Equity Dimensional International Equity 5420.3

46 Fees Matter £4,983,951 £3,745,318 £2,806,794 £ 1,000,000 £2,000,000 £3,000,000 £4,000,000 £5,000,000 1 Year3 Years5 Years 10 Years20 Years 30 Years Time 1% Fee 2% Fee 3% Fee British Pounds Assumed 6.5% Annualised Return over 30 Years Fees matter. Over long time periods, high management fees and related expenses can be a significant drag on wealth creation. Passive investments generally maintain lower fees than the average actively managed investment by minimising trading costs and eliminating the costs of researching stocks. For illustrative purposes only. 5430.1

47 Fund AFund BFund CFund D Morningstar (Dec 2000) Forbes (Dec 2000)CAA+D US News & World Report (Dec 2000)34501093 Wall Street Journal (Jan 2001)ECAB BusinessWeek (Jan 2001)ANo RatingB+C Funds A, B, C and D are actual funds. They are not identified because the purpose of this illustration is to emphasise that ratings, by themselves, do not provide enough information to make a sound investment decision. Morningstar: Five stars is highest rating; one star is lowest rating. US News & World Report: 100 is highest rating; 1 is lowest rating. The Limits of Fund Rating Services 5440.1

48 6. Investment Theory 5500.1 I.Innovations in Finance II.Fixed Interest Investing

49 Innovations in Finance The Birth of Index Funds John McQuown, Wells Fargo Bank, 1971; Rex Sinquefield, American National Bank, 1973 Banks develop the first passive S&P 500 Index funds. Efficient Markets Hypothesis Eugene F. Fama, University of Chicago Extensive research on stock price patterns. Develops Efficient Markets Hypothesis, which asserts that prices reflect values and information accurately and quickly. It is difficult if not impossible to capture returns in excess of market returns without taking greater than market levels of risk. Investors cannot identify superior stocks using fundamental information or price patterns. Single-Factor Asset Pricing Risk/Return Model William Sharpe Nobel Prize in Economics, 1990 Capital Asset Pricing Model: Theoretical model defines risk as volatility relative to market. A stock’s cost of capital (the investor’s expected return) is proportional to the stock’s risk relative to the entire stock universe. Theoretical model for evaluating the risk and expected return of securities and portfolios. The Role of Stocks James Tobin Nobel Prize in Economics, 1981 Separation Theorem: 1. Form portfolio of risky assets. 2. Temper risk by lending and borrowing. Shifts focus from security selection to portfolio structure. “Liquidity Preference as Behavior Toward Risk,” Review of Economic Studies, February 1958. Conventional Wisdom circa 1950 “Once you attain competency, diversification is undesirable. One or two, or at most three or four, securities should be bought. Competent investors will never be satisfied beating the averages by a few small percentage points.” Gerald M. Loeb, The Battle for Investment Survival, 1935 Analyse securities one by one. Focus on picking winners. Concentrate holdings to maximise returns. Broad diversification is considered undesirable. Diversification and Portfolio Risk Harry Markowitz Nobel Prize in Economics, 1990 Diversification reduces risk. Assets evaluated not by individual characteristics but by their effect on a portfolio. An optimal portfolio can be constructed to maximise return for a given standard deviation. Investments and Capital Structure Merton Miller and Franco Modigliani Nobel Prizes in Economics, 1990 and 1985 Theorem relating corporate finance to returns. A firm’s value is unrelated to its dividend policy. Dividend policy is an unreliable guide for stock selection. Behaviour of Securities Prices Paul Samuelson, MIT Nobel Prize in Economics, 1970 Market prices are the best estimates of value. Price changes follow random patterns. Future share prices are unpredictable. “Proof That Properly Anticipated Prices Fluctuate Randomly,” Industrial Management Review, Spring 1965. First Major Study of Manager Performance Michael Jensen, 1965 A.G. Becker Corporation, 1968 First studies of mutual funds (Jensen) and of institutional plans (A.G. Becker Corp.) indicate active managers underperform indices. Becker Corp. gives rise to consulting industry with creation of “Green Book” performance tables comparing results to benchmarks. Options Pricing Model Fischer Black, University of Chicago; Myron Scholes, University of Chicago; Robert Merton, Harvard University Nobel Prize in Economics, 1997 The development of the Options Pricing Model allows new ways to segment, quantify and manage risk. The model spurs the development of a market for alternative investments. 5510.2

50 Innovations in Finance Nobel Prize Recognises Modern Finance Economists who shaped the way we invest are recognised, emphasising the role of science in finance. William Sharpe for the Capital Asset Pricing Model. Harry Markowitz for portfolio theory. Merton Miller for work on the effect of firms’ capital structure and dividend policy on their prices. Variable Maturity Strategy Implemented Eugene F. Fama With no prediction of interest rates, Eugene Fama develops a method of shifting maturities that identifies optimal positions on the fixed interest yield curve. “The Information in the Term Structure,” Journal of Financial Economics 13, no. 4 (December 1984): 509-28. Multifactor Asset Pricing Model and Value Effect Eugene Fama and Kenneth French, University of Chicago Improves on the single-factor asset pricing model (CAPM). Identifies market, size, and “value” factors in returns. Develops the three-factor asset pricing model, an invaluable asset allocation and portfolio analysis tool. “Common Risk Factors in the Returns on Stocks and Bonds,” Journal of Financial Economics 33, no. 1 (February 1993): 3-56. Database of Securities Prices since 1926 Roger Ibbotson and Rex Sinquefield, Stocks, Bonds, Bills, and Inflation An extensive returns database for multiple asset classes is first developed and will become one of the most widely used investment databases. The first extensive, empirical basis for making asset allocation decisions changes the way investors build portfolios. A Major Plan First Commits to Indexing New York Telephone Company invests $40 million in an S&P 500 Index fund. The first major plan to index. Helps launch the era of indexed investing. “Fund spokesmen are quick to point out you can’t buy the market averages. It’s time the public could.” Burton G. Malkiel, A Random Walk Down Wall Street, 1973 ed. International Size Effect Steven L. Heston, K. Geert Rouwenhorst and Roberto E. Wessels Find evidence of higher average returns to small companies in twelve international markets. “The Structure of International Stock Returns and the Integration of Capital Markets,” Journal of Empirical Finance 2, no. 3 (September 1995): 173-97. The Size Effect Rolf Banz, University of Chicago Analyzed NYSE stocks, 1926-1975. Finds that, in the long term, small companies have higher expected returns than large companies and behave differently. Integrated Equity Eugene F. Fama and Kenneth R. French Increasing exposure to small and value companies relative to their market weights and integrating the portfolio across the full range of securities may reduce the turnover and transaction costs normally associated with forming an asset allocation from multiple components. “Migration” CRSP Working Paper No. 614, February 2007). 5510.2

51 Fixed Interest Investing One aspect of fixed interest’s role in a portfolio is to reduce volatility. This may be accomplished by employing: Shorter maturities with lower equity correlations. High-quality issues. A global approach that hedges all currencies. 5520.1

52 7. Limitations of Indexing 5600.1 I.Tracking an Index Can Be Costly II.The Effect of Index Reconstitution on Stock Prices

53 Tracking an Index Can Be Costly Tracking an index may result in significant trading costs. Index replication requires executing with pre-specified transactions, stocks, amounts and trade dates. Timing lag between reconstitution announcement and effective date enables non-indexers to buy additions and sell deletions before tracking-sensitive investors, when prices are often more attractive. 5610.1

54 The Effect of Index Reconstitution on Stock Prices For illustrative purposes only. S&P 500 data source: Anthony Lynch and Richard Mendenhall, “New Evidence on Stock Price Effects Associated with Changes in the S&P 500 Index,” Journal of Business 70, no. 3 (July 1997): 351- 83. MSCI EAFE Index data provided by Rajesh Chakrabarti, Wei Huang, Narayanan Jayaraman and Jinsoo Lee, “Price and Volume Effects of Changes in MSCI Indices: Nature and Causes,” Journal of Banking and Finance 29, no. 5 (May 2005): 1237-64. FTSE 100 Index data provided by Brian Moore, “The Impact of Changes in the FTSE 100 Index.” FTSE-100 Index S&P 500 Index MSCI EAFE Index One-Day Return after Announcement (%)0.33.23.4 Run-Up to Effective Date (%)4.73.84.5 Decay after Effective Date (%)-2.4-2.1-2.6 AnnouncementEffective Price Time Stocks rise on announcement of inclusion. Index funds are forced to buy high on effective date. Buying and selling to track index changes reduces tracking error but generates transaction costs. 5620.1

55 This material has been distributed by Dimensional Fund Advisors Ltd., registered address 7 Down Street, London W1J 7AJ, Company Number 02569601, which is authorised and regulated by the Financial Services Authority - Firm Reference No.150100. It is provided for information purposes and intended for your use only and does not constitute an invitation or offer to subscribe for or purchase any of the products or services mentioned. The information provided is not intended to provide a sufficient basis on which to make an investment decision. Information and opinions presented in this material have been obtained or derived from sources believed by Dimensional Fund Advisors Ltd. to be reliable, but Dimensional Fund Advisors Ltd makes no representation as to their accuracy or completeness. Dimensional Fund Advisors Ltd. accepts no liability for loss arising from the use of this material. This material is directed exclusively at persons who are experienced or existing investors in the products described in this document, who are professional customers as defined by the rules of the Financial Services Authority or are otherwise eligible under these rules. It is not intended for retail customers and such persons should not rely on this material. Moreover, any investment or service to which this material may relate, will not be made available to such retail customers. Indices are not available for direct investment. Their performance does not reflect the expenses associated with the management of an actual portfolio. Past performance is no guarantee of future results. Client Presentation 5700.1

56 The Basic Institutional Portfolio Monthly: 1988-2009 Passively Invested Portfolio 1 Annualised Compound Return (%) Annualised Standard Deviation (%) Portfolio 19.3611.60 Citigroup UK Govt. Bond Index 1-30+ Years (hedged) FTSE All-Share Index Portfolio 140%60% On average, portfolios of institutional investors are about 60% stocks and 40% bonds. Data sourced internally at Dimensional Fund Advisors from Dimensional’s Returns Program 2.0. This material has been distributed by Dimensional Fund Advisors Ltd., which is authorised and regulated by the Financial Services Authority. Past performance is no guarantee of future results. 5710.3

57 Does It Pay to Extend Maturities? 1900-2000 Not all investors define risk as standard deviation. Some investors may seek to hedge long-term bonds. Historically, longer maturity instruments have higher standard deviations and have not provided consistently greater returns. UK Bills US Bonds UK Bonds US Bills US Equities UK Equities 15 10 5 0 5 1520 25 Standard Deviation (%) 5720.1 BillsBondsEquities UKUSUKUSUKUS Annualised Compound Returns (%)5.104.006.005.3011.60 Annualised Standard Deviation (%)3.802.8012.008.2021.7019.90 Dimson, Elroy, Paul Marsh and Mike Staunton, Millennium Book II: 101 Years of Investment Returns (ABN AMRO and London Business School, 2001). This publication defines the data used for the above chart and matrix as follows: UK Bills are UK One-Month Treasury Bills (FTSE). UK Bonds are the ABN AMRO Bond Index. UK Equities are the ABN AMRO/LBS Equity Index. US Bills are commercial bills 1900-1918 and One-Month US Treasury Bills (Ibbotson) 1919-2000. US Bonds are government bonds 1900-1918, the Federal Reserve Bond Index 10-15 Years 1919- 1925, Long-Term Government Bonds (Ibbotson) 1926-1998, and the JP Morgan US Government Bond Index 1999-2000. US Equities are Schwert’s Index Series 1900-1925, CRSP 1-10 Deciles Index 1926-1970, and the Dow Jones Wilshire 5000 Index 1971-2000. Return (%)

58 The Basic Institutional Portfolio Monthly: 1988-2009 Portfolio 2 Annualised Compound Return (%) Annualised Standard Deviation (%) Portfolio 1 9.3611.60 Portfolio 2 9.7711.34 Citigroup UK Govt. Bond Index 1-30+ Years (hedged) FTSE All-Share Index Global Short-Dated Bonds Portfolio 140%60% Portfolio 260%40% Data sourced internally at Dimensional Fund Advisors from Dimensional’s Returns Program 2.0. This material has been distributed by Dimensional Fund Advisors Ltd., which is authorised and regulated by the Financial Services Authority. Past performance is no guarantee of future results. 5730.3

59 Where Dimensional Invests: Developed Markets Emerging Markets Not Invested In British pounds. Map reflects countries in the MSCI All Country World IMI Index, and MSCI Frontier Markets Index. Market cap data is free-float adjusted. MSCI data copyright MSCI 2010, all rights reserved. Many small nations not displayed. Totals may not equal 100% due to rounding. Dimensional makes case-by-case determinations about the suitability of investing in each emerging market, making considerations that include local market accessibility, government stability and property rights before making investments. For educational purposes; should not be used as investment advice. 1. An example large cap stock provided for comparison. United States7,509 United Kingdom1,528 Japan1,504 Canada745 France736 Australia600 Germany558 Switzerland519 China405 Brazil359 SCALE TOP 20 NATIONS BY MARKET CAPITALIZATION (£ BILLIONS) Spain306 South Korea292 Taiwan287 Italy243 Sweden195 Netherlands189 India183 Hong Kong166 South Africa162 Russia131 World Market Capitalisation £17.7 Trillion as at December 31, 2009 5735.3

60 A Diversified Portfolio Monthly: 1988-2009 Portfolio 3 Annualised Compound Return (%) Annualised Standard Deviation (%) Portfolio 1 9.3611.60 Portfolio 2 9.7711.34 Portfolio 3 10.1612.44 Citigroup UK Govt. Bond Index 1-30+ Years (hedged) FTSE All-Share Index Global Short-Dated Bonds MSCI World ex UK Index Emerging Markets Companies Portfolio 140%60% Portfolio 260%40% Portfolio 325%40%25%10% Data sourced internally at Dimensional Fund Advisors from Dimensional’s Returns Program. 2.0. This material has been distributed by Dimensional Fund Advisors Ltd., which is authorised and regulated by the Financial Services Authority. Past performance is no guarantee of future results. 5750.3

61 Value stocks are above the 30th percentile in book-to-market ratio. Growth stocks are below the 70th percentile in book-to-market ratio. Simulations are free-float weighted both within each country and across all countries. UK and Europe data provided by London Business School/StyleResearch. US value and growth data provided by Fama/French. This material has been distributed by Dimensional Fund Advisors Ltd., which is authorised and regulated by the Financial Services Authority. Past performance is no guarantee of future results. Size and Value Effects Are Strong around the World Annual Index Data Percent per Annum in £ UK Large Value UK Large Market UK Large Growth UK Small Value UK Small Market UK Small Growth Europe Large Value Europe Large Market Europe Large Growth Europe Small Value Europe Small Market Europe Small Growth US Large Value S&P 500 Index US Large Growth US Small Value CRSP 6-10 Index US Small Growth Emg. Markets Value Emg. Markets “Market” Emg. Markets Growth UK Large Capitalisation Stocks (£) 1956-2009 UK Small Capitalisation Stocks (£) 1956-2009 Europe ex UK Large Capitalisation Stocks (€) 1981-2009 Europe ex UK Small Capitalisation Stocks (€) 1981-2009 US Large Capitalisation Stocks ($) 1927-2009 US Small Capitalisation Stocks ($) 1927-2009 Emerging Markets Capitalisation Stocks ($) 1989-2009 32.0828.6026.2931.8130.3430.8327.2223.2925.7626.1024.8027.5127.1720.6322.0635.3031.0934.2043.0437.2935.70 Annualised Compound Returns (%) Standard Deviation (%) 5760.3

62 Data sourced internally at Dimensional Fund Advisors from Dimensional’s Returns Program 2.0. This material has been distributed by Dimensional Fund Advisors Ltd., which is authorised and regulated by the Financial Services Authority. Past performance is no guarantee of future results. A Diversified Portfolio Monthly: 1988-2009 Portfolio 4 Annualised Compound Return (%) Annualised Standard Deviation (%) Portfolio 1 9.3611.60 Portfolio 2 9.7711.34 Portfolio 3 10.1612.44 Portfolio 4 10.7413.04 Citigroup UK Govt. Bond Index 1-30+ Years (hedged) FTSE All-Share Index Global Short-Dated Bonds MSCI World ex UK Index Emerging Markets Companies UK Value Companies UK Small Companies International Value Companies International Small Companies Portfolio 140%60% Portfolio 260%40% Portfolio 325%40%25%10% Portfolio 410%40%10% 7.5% 5770.3


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