Highly Recommended Recommended Approved Not Rated Redeem Product Assessment Report data as at 31 Oct 2019 Robeco Global DM Multi-Factor Equities Alpha Fund (AUD Hedged) Rating issued on 27 Nov 2019

VIEWPOINT The Fund offers investors an exposure to global equities that is driven by a combination of three return factors - Value, Momentum and Quality. The Fund is managed by Robeco's Factor Investing team that employs a quantitative investment approach, utilising a number of proprietary models based on its own academic findings. Zenith believes the Fund's systematic investment process to be highly robust. Based in Rotterdam, Netherlands, Robeco is a fully owned subsidiary of ORIX Corporation. Robeco is a global asset management firm that manages investment strategies across multiple asset classes and consists of both fundamental and quantitatively driven investment teams. As at 30 September 2019, Robeco had approximately $A 322 billion in funds under management. The Fund is directly managed by Joop Huij, Simon Lansdorp, Daniel Haesen and Viorel Roscovan. The four portfolio managers function as each other’s backup and are primarily responsible for Robeco’s factor investing equity strategies. Huij and Lansdorp have managed factor investing equity strategies since inception in 2014, while Haesen joined the team in 2016. Further portfolio management support is provided by 12 portfolio managers from the broader quantitative equities team. The portfolio managers are supported by 11 members of the research team who specialise in quantitative equities. The quantitative equities research team’s primary responsibility is the development and enhancement of the firm’s quantitative models and tools. Zenith believes that the team is well qualified and that the size and structure of the team have been conducive to implementing model and process enhancements in a timely manner. Robeco seeks to systematically and efficiently capture three factors: Value, Momentum and Quality. Based on Robeco’s own research, these stocks tend to generate higher risk-adjusted returns. Robeco's stock selection model captures the three factors by incorporating three equal- APIR Code weighted factor sleeves within the Fund. Within each sleeve, 80% of the model’s focus is on ETL6318AU enhancing that factor, whilst the remaining 20% is focused on maintaining all three targeted factors at the overall portfolio level. Robeco's research has shown that it can provide higher factor Asset / Sub-Asset Class exposure through this approach rather than through a pure integrated strategy. In addition, Robeco believes that this approach allows for factor momentum to be implemented and for reporting on International Shares individual sleeves. Global (Hedged) A proprietary portfolio construction algorithm is used to maximise the Fund’s exposure to the top- Investment Style ranked stocks of each factor sleeve, typically the top 5% of the universe, while reducing portfolio turnover by selling stocks when they fall to the bottom 50% of the rankings during each rebalance Neutral period. The portfolio construction algorithm is run on a monthly basis, or more frequently if Investment Objective necessary, and is subject to stock, sector and country constraints to ensure sufficient diversification within the Fund. Zenith believes Robeco's portfolio construction model is logical and ensures a To outperform the MSCI World Index, net diversified and repeatable portfolio outcome. dividends reinvested, in AUD Hedged by 2% to 3% p.a. over a full business cycle. FUND FACTS Zenith Assigned Benchmark ● Typically holds approximately 450 stocks ● Expected portfolio turnover of approximately 50% p.a. MSCI World ex Aust $A (Hgd) ● Currency hedged exposure Net Returns (% p.a.) 1 yr 6 mth 3 mth ABSOLUTE RISK (SECTOR) RELATIVE RISK (FUND WITHIN SECTOR) Fund 4.08 -0.59 1.29 Benchmark 11.47 2.75 2.05 VERY HIGH Geared Median 10.72 2.45 1.33 HIGH Active - Benchmark Unaware Income (% p.a.) MODERATE Active - Benchmark Aware Income Total LOW Index - Enhanced/Fundamental FY to 30 Jun 2019 0.00 -1.94 VERY LOW Index

Fees (% p.a., Incl. GST) INCOME DISTRIBUTIONS PER INVESTMENT TIMEFRAME Management Cost: 0.65% Performance Fee: N/A MONTH QUARTER 6 MONTH ANNUM 1-2 YRS 3-4 YRS 5-6 YRS 7+ YRS

Zenith charges a fee to the Product Issuer to produce this report. www.zenithpartners.com.au For further information please refer to the Disclaimer & Disclosure at the end of this report. ZENITH PARTNERS PTY LTD Robeco Global DM Multi-Factor Equities Alpha Fund (AUD Hedged)

recommended that investors adopt a longer time frame when APPLICATIONS OF INVESTMENT investing in international equities. It is also recommended that SECTOR CHARACTERISTICS investments in international equities are blended with domestic equities and other asset classes such as fixed income to International equities offer Australian investors the ability to improve portfolio diversification. access a broader opportunity set, with the potential to invest in sectors not represented or not well represented in the Given the quantitative, style neutral nature of the Fund, Zenith Australian market. Given international markets are not perfectly believes the Fund could be used as a standalone exposure to correlated with the Australian market, International equities international equities. However, the Fund is expected to blend also afford portfolio diversification benefits. well with fundamental managers utilising a range of investment approaches, including those with value and growth style The Zenith “International Shares – Global (Hedged)” sector characteristics. consists of long-only funds that invest in global equity markets. The sector incorporates both benchmark aware and The Fund’s portfolio turnover is expected to be approximately benchmark unaware strategies that focus predominantly on 50% p.a., which Zenith considers to be moderate. Given this larger capitalisation stocks. The sector is one of the most expected level of turnover, the Fund's returns are expected to competitive fields in the investment landscape, based on the be delivered via both capital appreciation in the unit price and number of managers and strategies available to investors. the realisation of capital gains in income distributions. In Although global equities have disappointed over the past addition, realised capital gains are likely to be eligible for the decade in terms of absolute performance, Zenith believes capital gains tax discount. As such, holding all else equal, this active management, particularly those less benchmark could be beneficial for investors on higher marginal tax rates, unaware managers, have the ability to add significant alpha although the Fund may be more appealing to investors who are above a passive index over the longer-term. nil/low tax payers or high marginal tax rate payers who invest through tax-effective vehicles such as a superannuation fund. Zenith benchmarks all funds in this sector against the MSCI World Index ex-Australia (Hedged), which corresponds with the benchmark employed by the majority of funds in this space. RISKS OF THE INVESTMENT The index is market-capitalisation weighted, resulting in those SECTOR RISKS companies with the largest market capitalisations receiving the The broad risks of investing in global equities include: heaviest weightings. The index consists of approximately 1,650 securities listed in 22 developed markets (Austria, Belgium, MARKET DOWNTURN: The biggest risk for all global equities Canada, Denmark, Finland, France, Germany, Hong Kong, based products is a significant downturn across global equities Ireland, Israel, Italy, Japan, Netherlands, New Zealand, markets, which could lead to periods of negative performance. Norway, Portugal, Singapore, Spain, Sweden, Switzerland, the This risk can be significantly reduced by investors adopting a United Kingdom, and the United States) with the United States medium to long-term (7+ years) investment time frame. currently representing approximately 63% of the index; Japan and the United Kingdom being the next largest constituents, REGULATORY RISK: The ASIC Regulatory Guide 97 with approximately 8% and 5% respectively. Although the ‘Disclosing Fees and Costs in PDSs and Periodic Statements' index excludes emerging and frontier markets, many funds came into effect on 1 October 2017 and seeks to establish a retain the mandate flexibility to invest in emerging markets. common framework for disclosing fees with respect to registered managed investment schemes issued to retail The global share market, as represented by the MSCI World investors. Index ex-Australia, is far more diverse, in terms of sector exposures, than the Australian market. Although the financials In January 2019, ASIC released a Consultative Paper (CP), sector represents the largest sector index weight, many sectors seeking feedback with respect to proposed changes to the not well represented in the Australian market, such as existing fee and cost disclosure regime. The consultation information technology and healthcare, are well represented in period ended in April 2019, with ASIC now collating feedback the global index, each with approximately a 17% and 13% and structuring its final recommendations. weighting respectively. Despite the market capitalisation In its current form, RG97 does not impact the actual costs (or weighting methodology, the top 10 index stocks represents net returns) on existing investments. Rather, the guide is approximately 13% of the weighting of the index, reflecting the focused on providing increased transparency with respect to larger universe and less top heavy nature of the universe. the costs of management. Given this, it is feasible that under The Hedged classification indicates that funds in this universe RG97, investors become more sensitive to the costs charged are currency hedged, resulting in their returns being unaffected and seek lower cost alternatives, potentially leading to fund by fluctuations in the Australian Dollar (AUD) versus other outflows. global currencies. FUND RISKS PORTFOLIO APPLICATIONS Zenith has identified the following key risks of the Fund. International equities provide investors with broad exposure to Although Zenith believes the risks noted are all significant, we industries and countries. With such a broad universe, it is have listed them in order of importance. In addition, we have expected that managers can deliver superior returns to more not intended to highlight all possible risks. conservative asset classes. However, the expectation of INVESTMENT MODEL RISK: Quantitative investment greater returns comes with increased volatility, especially when approaches typically perform better in "normal" market currency movements are considered. Therefore, it is environments, where mean reversion and momentum factors

Please refer to terms relating to the Page 2 of 10 www.zenithpartners.com.au provision of research at the end of the document ZENITH PARTNERS PTY LTD Robeco Global DM Multi-Factor Equities Alpha Fund (AUD Hedged)

tend to produce stronger results. The historical nature of some ● Robeco Boston Partners quantitative inputs results in an inability to react quickly to ● Transtrend changing markets. Robeco continually explores, researches ● Canara Robeco and tests new factors to enhance the investment process. Robeco has been operating in the asset management industry Investors should be aware that, as with all funds, there may be since 1929, when a group of seven leading Rotterdam periods in which the process experiences difficulties and businessmen launched a business club named Rotterdamsche consequently the Fund underperforms. Beleggings Consortium. The consortium became a separate LONGEVITY RISK: Managed funds that fail to attract funds legal entity and launched its first global equity mutual fund in under management (FUM) to a scalable level run the risk of 1933. A global fixed income fund was launched in 1974. being unviable to maintain over the longer term and could be In 1991, Robeco and the Rabobank Group began a strategic wound up. The risks associated around a fund wind up are alliance that led to Rabobank becoming the sole owner of principally that of timing, forcing a crystallisation of tax Robeco in February 2001. consequences to investors, which may not be suitable (particularly if purchasing on margin). As at 30 September In July 2013, ORIX Corporation (ORIX), an integrated financial 2019, FUM in the Fund remained low at approximately $A 28 services group based in Tokyo, acquired 90% of the equity in million. Robeco from Rabobank with the aim of building up its global asset management business. ORIX is committed to providing CAPACITY/LIQUIDITY RISK: Excessive levels of FUM can Robeco with the ability to operate independently, with no inhibit a manager's ability to trade portfolio positions effectively, proposed changes to its existing processes or staff. In 2016, limiting outperformance potential. Robeco has indicated a ORIX acquired the remaining shares of Robeco. capacity limit of $A 75 billion for the strategy at this time. Robeco will continue to monitor the appropriate capacity level In October 2016, Robeco was restructured from an operating for the impact of changing market conditions. Robeco company to a financial holding company. The result of this was managed approximately $A 24.4 billion in its factor investing that each underlying funds management business within equity strategies as at 30 September 2019 and as such, Zenith Robeco became responsible for their respective day-to-day does not believe this is a significant risk. management, whilst directly reporting to ORIX. Zenith believes the change has not had a material impact on any existing However, Zenith notes that there has been a large quantum of investment processes or investment staff. FUM deployed in Factor strategies over the last five years. While it is difficult to forecast the potential impact on the Fund, As at 30 September 2019, Robeco had approximately $A 322 Zenith will continue to monitor for any decay in the risk premia, billion in funds under management. and ultimately the performance of the Fund. As at the same date, Robeco managed approximately $A 24.4 KEY PERSON RISK: In Zenith's opinion, key person risk is not billion within its Multi-Factor Equities strategies with a major concern for Robeco in the short-term. Given the approximately $A 28 million in the Fund. quantitatively-driven nature of the investment process, there is not an over-reliance on any particular individual on a day-to- INVESTMENT PERSONNEL day basis. However, given the integral roles Joop Huij and David Blitz (Head of Quantitative Equity Research) have Name Title Tenure played in the development of the Fund’s strategy, a loss of Joop Huij Portfolio Manager 12 Yr(s) either of them has the potential to negatively impact future improvements and enhancements to the investment process. Simon Lansdorp Portfolio Manager 10 Yr(s)

BUSINESS RISK: Zenith is comfortable that Robeco’s parent Daniel Haesen Portfolio Manager 16 Yr(s) group, ORIX Group, has committed to permitting Robeco to operate on an autonomous basis, therefore preserving its Viorel Roscovan Portfolio Manager 4 Yr(s) culture, operation processes and personnel. However, there is Head of Quantitative a risk that this could change over time and if this was to occur, David Blitz Equity Research 24 Yr(s) it would warrant an immediate review of Zenith’s rating on the The Fund is managed by Joop Huij, Simon Lansdorp, Daniel Fund. Haesen and Viorel Roscovan. The four portfolio managers function as each other’s backup and are primarily responsible QUALITATIVE DUE DILIGENCE for Robeco’s factor investing equity strategies. There are six ORGANISATION broad strategies within Robeco’s suite of factor investing equity strategies which include Value, Momentum, Quality, Multi- Based in Rotterdam, Netherlands, Robeco is a global asset Factor Equity, Factor Indexes and Bespoke Factor Solutions. management firm that manages investment strategies across multiple asset classes including equities, fixed income, private Huij joined Robeco in 2007 and is both the Head of Factor equity and managed futures. Management of Robeco's Investing Equities and Head of Factor Indexing Research. He investment strategies are the responsibility of its underlying has extensive experience in quantitative research, authoring funds management businesses, specifically: and publishing various academic research works. In addition, he is a part-time Associate Professor of Finance at Rotterdam ● Robeco School of Management. Lansdorp joined Robeco in 2009 and ● Robeco SAM has researched and built factor-based strategies throughout his ● Harbor Capital Advisors career. Huij and Lansdorp have managed the strategy since its

Please refer to terms relating to the Page 3 of 10 www.zenithpartners.com.au provision of research at the end of the document ZENITH PARTNERS PTY LTD Robeco Global DM Multi-Factor Equities Alpha Fund (AUD Hedged)

inception in 2015. Haesen joined the team in 2016 and business cycle, with a similar level of risk to its benchmark, as Roscovan became a portfolio manager in 2018. Zenith notes measured by Standard Deviation. that Huij and Lansdorp have been intimately involved in the Robeco’s overall philosophy is based on the belief that market development of Robeco’s factor investing strategies and we inefficiencies exist and can be exploited through prudent active gain confidence in Robeco's successful long-term track record management. managing quantitative strategies. The Fund seeks to achieve its objective by systematically and The portfolio managers’ key responsibilities are: efficiently capturing three factors: ● Implementation of the firm’s proprietary portfolio ● Value construction model ● Momentum ● Monitoring portfolio positions ● Quality ● Managing the Fund’s risk exposure and conducting research to improve the Fund’s processes Over the long term, stocks exhibiting these factors have historically generated higher risk-adjusted returns compared to Further portfolio management support is provided by 12 the market. The identification of these anomalies is built upon portfolio managers from within Robeco's Conservative Equities research conducted by Robeco and renowned academics such and Core Quant Equities teams. The portfolio managers are as Black, Jensen, Scholes and Fama. Robeco believes all supported by nine members of the research team who three factors have an equal chance of producing excess specialise in quantitative equities. The quantitative equities returns over the long term and that the factors are likely to research team is lead by David Blitz who is highly experienced persist due to the collective behavioural biases of market in quantitative equities research and started his career at participants. Robeco in 1995. Blitz has authored and published various academic research work and is a guest lecturer at several Robeco's Factor Investing team employs a number of universities. The quantitative equities research team's primary proprietary quantitative models, aiming to avoid taking responsibility is the development and enhancement of the unrewarded risks when capturing factor premiums. For firm’s quantitative models and tools. Zenith believes that the example, Robeco has developed distress risk techniques to team is well qualified and that the size and structure of the enhance their value factor and reversal risk techniques to team have been conducive to implementing model and process enhance their momentum factor. enhancements in a timely manner. Zenith believes this approach allows the Fund to diversify its Both the portfolio managers and the quantitative equities return drivers (factors) and ensures there is no reliance on one research team are supported by inputs from Robeco’s team of particular factor to drive excess returns. fundamental analysts where required. Examples of pertinent events could be exogenous shocks to the market or corporate Although the Fund has a limited performance history, Zenith actions where the fundamental team’s specialist knowledge notes that the underlying strategy has a performance track can add value to the Fund. record dating back to September 2015. Since the strategy's inception, it has not achieved its investment objectives, Zenith notes that both the portfolio managers and quantitative however, it has outperformed the benchmark. equities research team have been relatively stable over time. SECURITY SELECTION Investment team members' compensation consists of a The investable universe for the Fund comprises all constituents competitive salary and a discretionary bonus that reflects of the S&P Broad Market Index and MSCI Broad Market performance. The bonus is dependent upon the individual and Indices. A liquidity screen is applied to ensure stocks have at team contribution to the long-term outperformance of their least EUR 2 million of average daily volume and a minimum respective managed portfolios, in addition to the profitability of market capitalisation of EUR 500 million. Robeco. A limited group of individuals are also entitled to participate in Robeco Cash Appreciation Rights (CARs), which The Fund may also invest in stocks that are not part of the are equity-like instruments that are linked to the profitability of MSCI Broad Market Indices in order to increase the breadth of the firm. The payout of these instruments occurs in two equal opportunities. These off-benchmark positions are limited to increments after three and five years, subject to the individual's 20% of the Fund and are subject to minimum liquidity ongoing employment with Robeco. Whilst Zenith believes the requirements. This results in a total investable universe of CARs program serves to assist in mitigating key person risk, approximately 4,000 stocks. we would prefer greater transparency with regards to staff The Fund’s stock selection model captures the targeted factors eligibility. by incorporating three equal-weighted sleeves within the Overall, Zenith believes the portfolio managers are well portfolio, one per factor. Within each sleeve, 80% of the supported by an experienced and dedicated quantitative model’s focus is on enhancing the factor in question, whilst the research team. Furthermore, Zenith believes Robeco’s culture remaining 20% is focused on maintaining all targeted factors at of encouraging academic pursuits outside of work is a key the overall portfolio level. Robeco's research has shown that it factor in its ability to attract and retain talent. can provide higher factor exposure through this approach rather than through a pure integrated strategy. In addition, INVESTMENT OBJECTIVE, PHILOSOPHY AND Robeco believes that this approach allows for factor PROCESS momentum to be implemented and for reporting on individual The Fund aims to outperform the MSCI World Index (Hedged) sleeves. $A, net dividends reinvested, by 2% p.a. to 3% p.a. over a full

Please refer to terms relating to the Page 4 of 10 www.zenithpartners.com.au provision of research at the end of the document ZENITH PARTNERS PTY LTD Robeco Global DM Multi-Factor Equities Alpha Fund (AUD Hedged)

The three factors are: ● The portfolio is optimised based on the latest set of rankings from fund flows. For example, when inflows are received, ● Value: Lower-priced "value" stocks have higher expected they are used to purchase top-ranked stocks, whilst lower- returns than higher-priced "growth" stocks ranked stocks are sold in the event of outflows. In both ● Momentum: Recent winner stocks will continue to instances, the portfolio is optimised and fewer changes are outperform, while recent loser stocks will continue to required for the next rebalance cycle. perform poorly The portfolio construction algorithm is run on a monthly basis ● Quality: High-quality stocks outperform low-quality stocks and is subject to stock, sector and country constraints in order and the market as a whole to ensure sufficient diversification within the Fund. Robeco recognises four factors, however, the Low Volatility factor has not been incorporated within this strategy due to the The Fund is required to have equal or superior environmental, return focused nature of the fund. Zenith notes that exposure to social and governance (ESG) scores, as measured by Robeco's Low Volatility factor can be achieved via its RobecoSAM, relative to the benchmark and is rebalanced with Conservative Equities strategies. this in mind. In September 2018, Robeco further enhanced the ESG requirements of the Fund with each of the environmental, The underlying factors considered by the model are monitored social and governance factor scores required to be superior to regularly by the investment team to ensure they are relevant. the benchmark, rather than just the overall ESG score. Whilst Additional factors that have the potential to enhance the Zenith believes this initiative is positive over the longer-term, effectiveness of the model are also constantly researched. there is currently insufficient evidence to conclude that ESG factors add value to the Fund from a performance perspective. The stock selection model, within each factor sleeve, ranks each stock based on the scoring outcome. The ranking Within each factor sleeve, a stock is allocated a target active process is conducted across regions, countries and sectors. weight of 0.6% subject to stock liquidity. Each stock is limited Zenith believes Robeco's investment approach is logical and to a maximum absolute weight of 2%. implemented in a consistent and robust manner. Due to Robeco's preference to use cashflows to rebalance the PORTFOLIO CONSTRUCTION portfolio, Zenith notes that a group of smaller positions may The portfolio construction process draws strongly from the arise. Portfolio turnover, whilst not targeted, is expected to be stock selection output and in particular, the stock rankings list. approximately 50% p.a. A new stock rankings list is generated daily (for all three-factor Robeco implements a quarterly factor allocation check, sleeves) and is subject to sanity checks, both by the allowing the weights of each factor sleeve to drift between quantitative equities research team and the portfolio managers, 30.0% and 36.7%, from their starting points of 33.3%. This particularly with regard to stocks that exhibit a large ranking range allows the portfolio to benefit from factor momentum and change relative to the previous week. also limits portfolio turnover. In addition, the current portfolio and investment universe are The suggested portfolio is reviewed by the portfolio managers, screened for stocks that are affected by other factors. with all proposed transactions needing to be verified by two Examples include stocks that are subject to corporate actions, portfolio managers. After a pre-trade compliance check in the or a situation of major litigation or regulatory risk. trading system on client guidelines and restrictions, trades are A proprietary portfolio construction algorithm is used to executed by Robeco’s Trading Desk. maximise the Fund’s exposure to the top-ranked stocks for To ensure efficiency in implementation, traders employ each factor sleeve, typically the top 20% of the universe. This proprietary algorithms that help to minimise costs and market results in the Fund holding approximately 200 stocks per impact. In fact, the vast majority of Robeco's trades are sleeve and approximately 450 stocks at the overall portfolio executed passively, incurring less market impact and costs. level, due to stocks having attractive characteristics on Overall, Zenith is positive on Robeco's execution capabilities. multiples factors. The portfolio construction algorithm is run on a monthly basis to rebalance. However, the portfolio managers Although Robeco's investment process is systematic, the may decide to take action intra-month if they deem it necessary portfolio managers reserve the right to exercise judgement (for example, due to significant cash inflows or outflows, or to when executing the strategy. The portfolio managers may reduce unintended risks). deviate from the systematic buy/sell discipline if there is a reason to believe that the output is not suitable for current Robeco has the scope to sell stocks that fall to the bottom 50% market conditions. Although Zenith typically views qualitative of the rankings during each rebalance period where sufficiently overriding of systematic strategies unfavourably, our attractive stocks are identified at the top of the rankings. After a reservations are somewhat mitigated by the fact that Robeco stock has been sold, the sale proceeds are used to purchase draws upon the insights of fundamental analysts and top-ranked stocks, subject to portfolio constraints. Whilst this economists from the broader Robeco investment team. In may result in slightly increased portfolio turnover, it is expected addition, Robeco will only override the system in an attempt to to improve the portfolio's risk-return profile. Zenith views this reduce risk rather than to generate additional returns. flexibility to be a positive for the Fund. The Fund's overall currency exposure is hedged back to The rebalancing process results in the following benefits to the Australian Dollars. Fund: Zenith believes Robeco's portfolio construction model is logical ● Fewer transactions and therefore lower trading costs and ensures a diversified and repeatable portfolio outcome.

Please refer to terms relating to the Page 5 of 10 www.zenithpartners.com.au provision of research at the end of the document ZENITH PARTNERS PTY LTD Robeco Global DM Multi-Factor Equities Alpha Fund (AUD Hedged)

RISK MANAGEMENT INVESTMENT FEES Portfolio Constraints Description The sector average management cost (in the table below) is Individual Stock Weight (%) max: 2% based on the average management cost of all flagship International Shares - Global (Hedged) funds surveyed by Active Region Weight (%) -10% to 10% Zenith.

Active Country Weight (%) -10% to 10% A management cost of 0.65% p.a. applies to this Fund, with no associated performance fee. Active Sub-Sector Weight (%) -10% to 10% Overall, Zenith believes the Fund's fee structure is attractive Non-Index Stocks Exposure (%) max: 20% relative to peers, given its stated objectives. However, there is insufficient performance data at this stage to conduct Expected Portfolio Turnover (% p.a.) 50% p.a. meaningful analysis on whether the fees paid are justified. Controversial Weapons, Controversial Behaviour, There is also a 0.15%/0.13% buy/sell spread applicable to all ESG Constraints - Excluded Sectors Controversial Countries, applications and redemptions. Palm Oil Production (The fees mentioned above are reflective of the flagship The table above highlights the portfolio constraints version only and may differ when the product is accessed implemented by Robeco to assist in managing stock through an alternate investment vehicle such as a platform.) weightings and allocations by country and sector.

Risk management is an integral part of the Fund’s investment Sector Average process and is addressed in a number of ways. Due to the Fees Type Fund (Wholesale Funds) quantitative nature of the investment process, risk management is logically incorporated into both the security Management Cost 0.65% p.a. 0.95% p.a. selection and portfolio construction phases. Description RiskMetrics and other external risk management systems are Performance Fee N/A used to monitor portfolio risk and stock, sector and country weightings are measured and monitored to ensure consistency Buy Spread Sell Spread with the model’s desired exposures and that there are no unintended biases. Buy / Sell Spread 0.13% 0.10% Robeco also utilises Charles River as a compliance tool, monitoring pre and post-trading to actual trade execution to ensure compliance with mandated requirements. The portfolio is hedged with reference to portfolio weights by Robeco's Operational Portfolio Management team. Robeco reviews the hedging position of the portfolio on a daily basis, attempting to remain close to fully hedged. Decisions to trade are based on the deviation of the current position from the theoretical fully hedged position as well as the size of the trade. Robeco will aim to hedge all currencies with sufficient liquidity. Zenith believes that Robeco's approach to risk management is sound and is complemented by a comprehensive suite of risk monitoring systems. Environmental, Social and Governance (ESG) The Fund's ESG mandate constraints are outlined in the table above. During the course of 2015, Robeco integrated ESG factors into the Fund. Robeco introduced a requirement where the Fund must have superior ESG characteristics to the benchmark, as measured by RobecoSAM. In September 2018, Robeco further enhanced the ESG requirements of the Fund with each of the environmental, social and governance factor scores required to be superior to the benchmark, rather than just the overall ESG score. Zenith believes that this analysis of a company's operations is crucial on a forward basis, given that a company's performance with regards to ESG considerations is increasingly being reflected in the company's share price. Overall, Zenith views Robeco's approach to ESG positively.

Please refer to terms relating to the Page 6 of 10 www.zenithpartners.com.au provision of research at the end of the document ZENITH PARTNERS PTY LTD Robeco Global DM Multi-Factor Equities Alpha Fund (AUD Hedged)

PERFORMANCE ANALYSIS Report data: 31 Oct 2019, product inception: Jun 2018 Monthly Performance History (%, net of fees) BENCHMARK JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC FUND YTD YTD 2019 7.70 2.49 -0.50 2.75 -7.90 5.84 0.69 -4.04 3.54 1.95 12.19 20.15 2018 -0.08 2.15 1.70 0.29 -7.77 1.07 -8.21 -10.92 -8.48 Benchmark: MSCI World ex Aust $A (Hgd) Growth of $10,000 ABSOLUTE PERFORMANCE ANALYSIS

Return Incpt. 1 yr 6 mth 3 mth

Fund (% p.a.) -0.05 4.08 -0.59 1.29

Benchmark (% p.a.) 6.93 11.47 2.75 2.05

Median (% p.a.) 5.44 10.72 2.45 1.33

Ranking within Sector Incpt. 1 yr 6 mth 3 mth

Fund Ranking 35 / 37 39 / 39 36 / 39 21 / 39

Quartile 4th 4th 4th 3rd

Standard Deviation Incpt. 1 yr 6 mth 3 mth

Fund (% p.a.) 15.48 16.40 16.10 11.31

Monthly Histogram Benchmark (% p.a.) 14.27 14.93 12.89 6.76

Median (% p.a.) 12.98 13.90 12.02 6.77

Downside Deviation Incpt. 1 yr 6 mth 3 mth

Fund (% p.a.) 10.59 10.53 10.49 6.60

Benchmark (% p.a.) 9.39 9.33 7.65 3.34

Median (% p.a.) 7.75 8.28 6.95 3.39

Risk/Return Incpt. 1 yr 6 mth 3 mth

Sharpe Ratio - Fund -0.12 0.15 -0.08 0.09

Sortino Ratio - Fund -0.17 0.23 -0.12 0.16

All commentary below is as at 31 October 2019. Minimum and Maximum Returns (% p.a.) The Fund aims to outperform the MSCI World Index (Hedged) $A, net dividends reinvested, by 2% p.a. to 3% p.a. over a full business cycle, with a similar level of risk to its benchmark, as measured by Standard Deviation. Given the Fund's inception in May 2018, it is too early to draw any meaningful conclusions regarding the Fund's performance. However, Zenith notes that the underlying strategy has a performance track record dating back to September 2015. Since the strategy's inception, it has not achieved its investment objective, however, it has outperformed the benchmark.

Please refer to terms relating to the Page 7 of 10 www.zenithpartners.com.au provision of research at the end of the document ZENITH PARTNERS PTY LTD Robeco Global DM Multi-Factor Equities Alpha Fund (AUD Hedged)

RELATIVE PERFORMANCE ANALYSIS

Alpha Statistics Incpt. 1 yr 6 mth 3 mth

Excess Return (% p.a.) -6.98 -7.39 -3.34 -0.76

% Monthly Excess (All Mkts) 29.41 33.33 33.33 66.67

% Monthly Excess (Up Mkts) 30.77 33.33 50.00 100.00

% Monthly Excess (Down Mkts) 25.00 33.33 0.00 0.00

Beta Statistics Incpt. 1 yr 6 mth 3 mth

Beta 1.06 1.07 1.23 1.66

R-Squared 0.96 0.96 0.97 0.99 All commentary below is as at 31 October 2019.

Tracking Error (% p.a.) 3.13 3.58 3.96 4.64 Given the Fund's inception in May 2018, it is too early to draw any meaningful conclusions regarding the Fund's performance. Correlation 0.98 0.98 0.99 0.99 INCOME/GROWTH ANALYSIS Risk/Return Incpt. 1 yr 6 mth 3 mth Income / Growth Returns Income Growth Total Information Ratio -2.23 -2.07 -0.84 -0.16 FY to 30 Jun 2019 0.00% -1.94% -1.94% All commentary below is as at 31 October 2019. The Fund does not target specific income levels. Zenith seeks to identify funds that can outperform in over 50% of months in all market conditions, as we believe this Where applicable, the Fund will distribute income semi- represents consistency of manager skill. annually. Given the Fund's inception in May 2018, it is too early to draw The Fund’s portfolio turnover is expected to be approximately any meaningful conclusions regarding the Fund's performance. 50% p.a., which Zenith considers to be moderate. Given this expected level of turnover, the Fund's returns are expected to DRAWDOWN ANALYSIS be delivered via both capital appreciation in the unit price and Drawdown analysis assesses the relative riskiness of a Fund the realisation of capital gains in income distributions. In versus the benchmark, in reference to capital preservation. The addition, realised capital gains are likely to be eligible for the maximum Drawdown is recorded as the percentage decline in capital gains tax discount. As such, holding all else equal, this the value of a portfolio from peak to trough (before a new peak could be beneficial for investors on higher marginal tax rates, is achieved). All Drawdown analysis is calculated commencing although the Fund may be more appealing to investors who are from the inception date of the Fund in question, and Drawdown nil/low tax payers or high marginal tax rate payers who invest analysis for the Fund and benchmark(s) are calculated through tax-effective vehicles such as a superannuation fund. independently. That is, the largest drawdown for the Fund and benchmark(s) will not always refer to the same time period. REPORT CERTIFICATION Date of issue: 27 Nov 2019 Drawdown Analysis Fund Benchmark Role Analyst Title Max Drawdown (%) -14.44 -13.60 Author Adele O'Shannassy Investment Analyst Months in Max Drawdown 3 3 Sector Lead Quan Nguyen Head of Equities Months to Recover - 4 Authoriser Bronwen Moncrieff Head of Research

Worst Drawdowns Fund Benchmark ASSOCIATIONS & RELATIONSHIPS 1 -14.44 -13.60 ASIC Regulatory Guide RG79.164 requires Research Houses to disclose certain associations or relationships that they may 2 -0.08 -5.98 have with a product issuer. As at the date this report was issued, an associated entity of either the Issuer or Investment 3 -2.05 Manager relevant to this report is; or has been, a subscriber to 4 Zenith's investment research services within the past 12 months. Conflict management arrangements are in place 5 where Zenith provides research services to financial advisory businesses who provide financial planning services to investors and are also associated entities of product issuers. This is in

Please refer to terms relating to the Page 8 of 10 www.zenithpartners.com.au provision of research at the end of the document ZENITH PARTNERS PTY LTD Robeco Global DM Multi-Factor Equities Alpha Fund (AUD Hedged)

accordance with Zenith's Conflict of Interests Policy. RATING HISTORY

As At Rating

27 Nov 2019 Recommended

28 Nov 2018 Recommended

8 May 2018 Recommended

2 Feb 2018 Not Rated - Screened Out

Last 5 years only displayed. Longer histories available on request.

Please refer to terms relating to the Page 9 of 10 www.zenithpartners.com.au provision of research at the end of the document ZENITH PARTNERS PTY LTD Robeco Global DM Multi-Factor Equities Alpha Fund (AUD Hedged)

DISCLAIMER AND DISCLOSURE

Zenith Investment Partners (ABN 27 103 132 672) is the holder of Australian Financial Services Licence 226872 and is authorised to provide general financial product advice. This Product Assessment Report (report) has been prepared by Zenith exclusively for Zenith clients and should not be relied on by any other person. Any advice or rating contained in this report is limited to General Advice for Wholesale clients only, based solely on the assessment of the investment merits of the financial product. This report is current as at the date of issue until it is updated, replaced or withdrawn and is subject to change at any time without notice in line with Zenith’s regulatory guidelines. Zenith clients are advised to check the currency of reports and ratings via Zenith’s website for updates. Any advice contained in this report has been prepared without taking into account the objectives, financial situation or needs of any specific person who may read it. It is not a specific recommendation to purchase, sell or hold the relevant product(s). Investors should seek their own independent financial advice, obtain a copy of, and consider any relevant PDS or offer document and consider the appropriateness of this advice in light of their own objectives prior to making any investment decision. Zenith charges an upfront flat fee to the Product Issuer, Fund Manager or other related party to produce research on funds that conform to Zeniths Research Methodology. Zenith’s fee and Analyst remuneration are not linked to the rating outcome in any way. Views expressed in Zenith reports accurately reflect the personal, professional, reasonable opinion of the Analyst who has prepared the report. Zenith may also receive a fee for other non-research related services such as subscription fees for Zenith’s research services and/or for the provision of investment consultancy services. Conflicts management arrangements are in place where Zenith provides research services to financial advisory businesses who provide financial planning services to investors and are also associated entities of the product issuers, with any such conflicts of interest disclosed within reports as appropriate. Full details regarding such arrangements are outlined in Zenith’s Conflicts of Interest Policy www.zenithpartners.com.au/ConflictsOfInterestPolicy Zenith’s research process seeks to identify investment managers considered to be the ‘best of breed’ through a comprehensive, multi-dimensional selection process. Zenith utilises both quantitative and qualitative factors in its ratings models. Models maximise commonality across different asset classes while retaining flexibility for specialist asset classes and strategies. The selection process is rigorous in both its qualitative and quantitative analysis and each component is equally weighted. Zenith does not manage any proprietary assets and as such Zenith is able to choose investment managers with absolute independence and objectivity. More detailed information regarding Zenith’s research process, coverage and ratings is available on Zenith’s website www.zenithpartners.com.au/ResearchMethodology This report is subject to copyright and may not be reproduced, modified or distributed without the consent of the copyright owner. The information contained in this report has been prepared in good faith and is believed to be reliable at the time it was prepared, however, no representation, warranty or undertaking is given or made in relation to the accuracy or completeness of the information presented in this report. Except for any liability which cannot be excluded, Zenith does not accept any liability, whether direct or indirect arising from the use of information contained in this report. Past performance is not an indication of future performance. Full details regarding the methodology, ratings definitions and regulatory compliance are available at www.zenithpartners.com.au/RegulatoryGuidelines © 2019 Zenith Investment Partners. All rights reserved. Zenith has charged Robeco a fee to produce this report.

Please refer to terms relating to the Page 10 of 10 www.zenithpartners.com.au provision of research at the end of the document ZENITH PARTNERS PTY LTD