GEM LTQ* Equity Portfolio Tracking Error = 6%*** Turnover = 40% P.A

GLOBAL GEM LTQ* equity portfolio Tracking error = 6%*** Turnover = 40% p.a. buy, 40% p.a. sell Min stocks = 80 June rebalance Positions = 0.5-6% The portfolio outperformed the benchmark in May, after three consecutive Liquidity = $5m / day** months of underperformance. It is now 1.2% behind benchmark for the year, Return (%) ‘13 ‘14 ‘15 ’16ytd 05’16 and 3.0% ahead since inception in 2014. Portfolio 0.1 4.3 -18.4 0.8 -1.8 SWIX -5.0 -4.6 -18.4 2.0 -3.7 South Africa dominates the list of underperforming stocks, after the local Excess 5.1 8.9 0 -1.2 1.9 currency lost another 10% against the USD over the month. Despite this, it Portfolios are rebalanced monthly. remains our largest country overweight. We continue to prefer consumer Returns are in USD, before costs. discretionary over staples, and have a large position in IT, which is offset by *LTQ = Low turnover quant. underweights in energy, industrials, telcos and utilities. ** Reduces the investable universe by ca. 25% ***Since this is an ‘ideas portfolio’, risk and turnover parameters are reasonably high. Largest positions However, the LTQ process leans itself equally well LARGAN PRECISION CO., LTD. Information Technology Taiwan 6.0% to lower risk, lower turnover portfolios. TATA CONSULTANCY SERVICES LTDInformation Technology India 6.0% TAIWAN SEMICONDUCTOR MFG. CO.,Information LTD. Technology Taiwan 5.9% Source: Bloomberg, Macquarie Research, June 2016 MONDI LTD Materials South Africa 5.4% CHINA CONST BK Financials China 5.3% PEGATRON CORPORATION Information Technology Taiwan 5.0% Inside BANK OF CHINA LTD Financials China 4.9% MR PRICE GROUP Consumer Discretionary South Africa 4.1% TENCENT HLDGS LTD Information Technology China 3.4% Portfolio attributes 2 HCL TECHNOLOGIES Information Technology India 2.8% INFOSYS LTD Information Technology India 2.7% March performance 3 TRUWORTHS INTERNAT Consumer Discretionary South Africa 2.6% DUBAI ISLAMIC BANK Financials Uae 2.1% GEM equity portfolio 4 MMC NORILSK NICKEL Materials Russia 1.9% BIDVEST GROUP Industrials South Africa 1.8% Sector and country exposure 5 New positions LTQ screens 6 DELTA ELECTRONICS Information Technology Thailand 0.5% Appendices 17 LIBERTY HLDGS Financials South Africa 0.5% 1. Investment process 17 Stocks sold FIRST GULF BANK Financials Uae -0.6% 2. The factor list 18 MARICO LTD Consumer Staples India -0.5% Source: Bloomberg, Axioma, Macquarie Research, June 2016 Analyst(s) George Brits +27 11 583 2223 [email protected] Josiah Rudolph, FRM +27 11 583 2210 [email protected] 1 June 2016 Macquarie Equities South Africa (Pty) Ltd Please refer to page 20 for important disclosures and analyst certification, or on our website www.macquarie.com/research/disclosures. Macquarie Research GEM LTQ* equity portfolio Portfolio attributes Fig 1 Portfolio attributes Portfolio Attributes Portfolio Market Beta 0.89 1.00 Trailing PE 10.2 14.5 Forward PE 9.9 11.9 Earnings growth 10% 18% Earnings revisions -0.05 -0.13 Dividend yield 4.0% 2.7% ROE 27% 16% ROIC 21% 11% Net income margin 20% 15% Operational leverage 0.53 0.80 Active Style Exposures Earnings Quality Value Growth Capital Mom Risk Source: Bloomberg, Macquarie Research, June 2016 1 June 2016 2 Macquarie Research GEM LTQ* equity portfolio March performance Fig 2 Performance Global emerging markets equity portfolio -1.8% INDEX -3.7% EXCESS 1.9% Best performing stocks Hold Return NETEASE INC-ADR Information Technology China 0.9% 27.0% ADVANCED SEMICONDUCTOR ENGR Information Technology Taiwan 0.5% 20.6% LARGAN PRECISION CO LTD Information Technology Taiwan 4.9% 18.9% AAC TECHNOLOGIES HOLDINGS IN Information Technology China 0.5% 16.4% ASIAN PAINTS LTD Materials India 0.5% 12.5% MOSCOW EXCHANGE MICEX-RTS PJ Financials Russia 0.5% 12.1% TENCENT HOLDINGS LTD Information Technology China 3.1% 9.2% CATCHER TECHNOLOGY CO LTD Information Technology Taiwan 0.5% 8.4% NEW ORIENTAL EDUCATIO-SP ADR Consumer Discretionary China 0.6% 7.9% VANGUARD INTERNATIONAL SEMI Information Technology Taiwan 0.5% 7.3% HERO MOTOCORP LTD Consumer Discretionary India 0.7% 5.8% BAJAJ AUTO LTD Consumer Discretionary India 0.8% 4.0% Worst performing stocks Hold Return ANTA SPORTS PRODUCTS LTD Consumer Discretionary China 0.9% -15.0% ITAU UNIBANCO HOLDING S-PREF Financials Brazil 0.5% -15.1% GAZPROM PAO Energy Russia 0.7% -15.3% BANCO BRADESCO SA-PREF Financials Brazil 2.3% -15.5% FIRSTRAND LTD Financials South Africa 2.1% -15.6% RMB HOLDINGS LTD Financials South Africa 1.3% -17.3% WOOLWORTHS HOLDINGS LTD Consumer Discretionary South Africa 0.5% -17.5% SANLAM LTD Financials South Africa 0.6% -18.0% NETCARE LTD Health Care South Africa 0.6% -18.1% TRUWORTHS INTERNATIONAL LTD Consumer Discretionary South Africa 3.1% -19.6% MTN GROUP LTD Telecommunication Services South Africa 0.5% -25.3% BANCO DO BRASIL S.A. Financials Brazil 0.9% -28.0% Source: Bloomberg, Macquarie Research, April 2016 Fig 3 Monthly volatility of excess performance 10% 8% 6% 4% 2% 0% -2% -4% GEM alpha -6% -8% MSCI GEM -10% 8 9 10 11 12 1'15 2 3 4 5 6 7 8 9 10 11 12 1'16 2 3 4 5 Source: Bloomberg, Macquarie Research, June 2016 Fig 4 Monthly cumulative performance 140 130 120 110 100 90 80 70 60 LTQ GEM portfolio (alpha since inception = 3% p.a. over 29 months) 50 MSCI GEM 40 7'14 8 9 10 11 12 1'15 2 3 4 5 6 7 8 9 10 11 12 1'16 2 3 4 5 Source: Bloomberg, Macquarie Research, June 2016 1 June 2016 3 Macquarie Research GEM LTQ* equity portfolio Fig 5 GEM equity portfolio PRICE FINANCIAL QUALITY VALUATION RATING Quant score Factors Mkt Cap -6 -5 -4 -3 -2 -1 Country Name DY Risk Now ROIC Value (m$) CFROI WACC Analyst Currency ADV (m$) ADV Op Margin Op PE Trailing Price (local) Price (local) 3m% PE 12m Fwd Momentum 12m%(local) up rev's(4wks) up MQ outperform MQ Normalised ROE Normalised outp. consensus Normalised ROA Normalised down rev's(4wks) down MQ underperform MQ consensus underp. consensus Consumer Discretionary TAIWAN CHENG SHIN RUBBER IND CO LTD 6 731 20.8 TWD 68 17% 1% 16 15 8 9 24 8 16 14 4 2 8 0.5% INDIA HERO MOTOCORP LTD 9 151 20.0 INR 3092 18% 16% 14 43 27 37 56 13 20 1 0.7% INDIA BAJAJ AUTO LTD 11 171 11.0 INR 2605 18% 16% 20 31 23 25 51 12 20 18 4 4 q 0.9% CHINA NEW ORIENTAL EDUCATIO-SP ADR 6 630 77.6 USD 42 31% 80% 12 18 11 13 1971 8 30 22 1 r p 0.5% SOUTH KOREA COWAY CO LTD 7 046 13.4 KRW 109000 12% 25% 20 35 20 28 42 7 22 21 3 1 r 0.7% SOUTH AFRICA WOOLWORTHS HOLDINGS LTD 5 568 18.5 ZAr 8362 3% -6% 11 26 9 16 22 11 19 16 3 1 2 0.5% SOUTH AFRICA TRUWORTHS INTERNATIONAL LTD 2 597 12.0 ZAr 9392 8% 18% 21 35 20 20 36 11 14 12 5 3 2.6% SOUTH AFRICA MR PRICE GROUP LTD 3 182 12.2 ZAr 18560 9% -17% 18 55 33 52 91 12 19 17 3 4.1% TAIWAN ECLAT TEXTILE COMPANY LTD 2 830 24.0 TWD 343 -16% -25% 19 33 23 25 45 9 22 19 2 19 r q 0.9% CHINA ANTA SPORTS PRODUCTS LTD 5 422 18.0 HKD 17 3% -3% 24 25 17 20 63 7 17 14 4 1 3 r p 0.8% TAIWAN FENG TAY ENTERPRISE CO LTD 2 497 8.2 TWD 137 -25% -12% 10 34 16 24 51 8 19 16 3 5 q 0.5% CHINA SHENZHOU INTERNATIONAL GROUP 7 023 19.8 HKD 39 -1% 8% 23 19 14 15 21 6 20 16 3 1 r p 0.7% CHINA BELLE INTERNATIONAL HOLDINGS 4 864 15.6 HKD 4 -14% -55% 14 16 12 12 30 9 11 9 10 13 5 p 0.5% Consumer Staples SOUTH AFRICA SPAR GROUP LIMITED/THE 2 379 11.2 ZAr 20183 9% 12% 3 49 9 23 47 11 23 18 3 3 3 0.6% MEXICO GRUMA S.A.B.-B 6 203 13.9 MXN 265 -9% 34% 13 30 12 18 19 10 21 20 1 0.6% PHILIPPINES UNIVERSAL ROBINA CORP 9 300 10.3 PHP 199 0% 2% 16 22 13 16 34 9 30 28 2 5 3 0.5% SOUTH KOREA OTTOGI CORPORATION 2 471 6.3 KRW 857000 -25% 19% 7 13 8 9 15 11 24 23 1 2 r 0.5% INDIA HINDUSTAN UNILEVER LTD 27 349 25.8 INR 853 3% -1% 17 103 28 94 -253 11 45 38 2 8 2 p 0.5% SOUTH KOREA AMOREPACIFIC CORP 20 506 32.5 KRW 418500 14% 8% 16 18 13 17 25 14 45 32 0 1 1 r 0.7% Energy RUSSIA SURGUTNEFTEGAS-PREFERENCE 4 755 16.3 RUB 41 -5% 33% 24 24 21 6 10 24 2 10 20 1 2 0.7% TURKEY TUPRAS-TURKIYE PETROL RAFINE 5 634 40.0 TRY 66 -5% 11% 9 33 10 21 14 7 7 10 11 0.5% INDIA BHARAT PETROLEUM CORP LTD 10 575 19.4 INR 986 25% 20% 6 32 9 15 53 11 9 10 4 3 10 r p 0.6% RUSSIA GAZPROM PAO 51 166 79.2 RUB 145 2% 9% 20 8 5 5 16 17 4 4 5 3 3 0.6% Financials UAE DUBAI ISLAMIC BANK 6 728 5.8 AED 5 -7% -12% 57 27 2 10 9 7 7 8 1 2.1% CHINA IND & COMM BK OF CHINA-H 223 842 128.8 HKD 4 5% -36% 53 14 1 8 5 5 5 8 2 1 r p 0.6% CHINA CHINA CONSTRUCTION BANK-H 161 836 166.1 HKD 5 8% -33% 49 15 1 9 4 5 5 8 2 2 r p 5.3% EGYPT COMMERCIAL INTERNATIONAL BAN 5 575 12.2 EGP 43 32% -3% 58 33 3 32 24 10 8 2 1 1 0.6% SOUTH AFRICA STANDARD BANK GROUP LTD 12 778 41.7 ZAr 12404 14% -19% 32 15 1 10 10 9 9 5 1 1 p 0.5% BRAZIL BANCO DO BRASIL S.A.

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