2. Index Tracking Team
Patrick Mamathuba
Head of Beta Quants
Franchise and Portfolio
Manager
BCom(Hons), CFA
24 years of experience
Leonard Jordaan
Head of Distribution
BCom(Hons)(Economics),
CFP
10 years of experience
Teboho Tsotetsi
Portfolio Manager
Quants Analyst
MSc(Quantitative Risk
Management)
11 years of experience
Ryan Basdeo
Trading and Management
of ETF Portfolio
BCom(Taxation), Registered
Security Trader
10 years of experience
Ann Sebastian
Quants Analyst
BSc(Hons)(Advanced
Mathematics of Finance)
4 years of experience

3. Agenda
Len Jordaan
Head of Distribution for STANLIB Index Trackers
Presentation: Evolution of Index Investing
Teboho Tsotetsi
Assistant Portfolio Manager and Quants Analyst
Presentation: Multi-Factor Portfolios
Benjamin Simonds
Client Portfolio Manager
Presentation: Alternative Beta Strategies

4. Evolution of Index Investing

5. Evolution of Index Investing
Market Cap Beta
(Traditional
Index)

6. Evolution of Index Investing
Smart BetaMarket Cap Beta
(Traditional
Index)

7. Smart Beta vs SWIX
Cumulative Returns
Time
Smart beta SWIX
Source: illustration

8. Evolution of Index Investing
Smart BetaMarket Cap Beta
(Traditional
Index)
Multi-Factor
Models

9. Evolution of Index Investing
Smart BetaMarket Cap Beta
(Traditional
Index)
Multi-Factor
Models
Alternative
Beta Strategies

10. Reasons why Smart Beta Index Funds are Popular
Availability of index funds in
most risk factors
No active funds available for
many factors
The outcome can be customised to specific clients requirement and it is very important to
have a thorough understanding of the client, to give the best solution for them
Why rules based investing is
popular is because of the cost
Index funds generally cheaper
The predictability of all rules
based investing
Construction methodology of
index is cast in stone

11. Break-away Sessions
Room
Indication

13. Agenda
WHY SMART BETA HOW TO USE
SMART BETA
INGREDIENTS FOR
SMART BETA
PRACTICAL
EXAMPLES

14. WHY SMART BETA HOW TO USE
SMART BETA
INGREDIENTS FOR
SMART BETA
PRACTICAL
EXAMPLES

15. Why Should You Consider Smart Beta
➜ Seeks to improve returns, reduce risk and enhance diversification
➜ Smart beta has been part of active funds
➜ Most active managers use screening tools that employ factors
used in the creation of smart betas
➜ Blackrock study: 35% of the active risk of international equity
portfolios is accounted for by smart beta
➜ Smart betas can now be sourced easily through passively managed
strategies at lower fees
➜ The push for passive in the new retirement reforms
➜ Smart beta provides excess return at lower fees
WHY SMART BETA
INGREDIENTS FOR
SMART BETA
HOW TO USE
SMART BETA
PRACTICAL
EXAMPLES

16. WHY SMART BETA HOW TO USE
SMART BETA
INGREDIENTS FOR
SMART BETA
PRACTICAL
EXAMPLES

17. Ingredients for a Good Smart Beta Product
➜ Strong performance and persistency over time
WHY SMART BETA
INGREDIENTS FOR
SMART BETA
HOW TO USE
SMART BETA
PRACTICAL
EXAMPLES

18. Strong performance and persistency (Last 15 years)
WHY SMART BETA
INGREDIENTS FOR
SMART BETA
HOW TO USE
SMART BETA
PRACTICAL
EXAMPLES
Value Growth and Quality Momentum Size Low Volatility
Information coefficient 0.03 0.05 0.06 -0.02 0.05
Relative return 2% 4% 5% -3% 6%
Hit rate 53% 61% 62% 42% 58%

19. Ingredients for a Good Smart Beta Product
➜ Strong performance and persistency over time
➜ Good economic intuition
➜ Reward for systematic risk
➜ Exploiting behavioral biases
WHY SMART BETA
INGREDIENTS FOR
SMART BETA
HOW TO USE
SMART BETA
PRACTICAL
EXAMPLES

20. Ingredients for a Good Smart Beta Product
➜ Strong performance and persistency over time
➜ Good economic intuition
➜ Reward for systematic risk
➜ Exploiting behavioral biases
➜ Diversification benefits
WHY SMART BETA
INGREDIENTS FOR
SMART BETA
HOW TO USE
SMART BETA
PRACTICAL
EXAMPLES

21. Diversification
-0.6
-0.4
-0.2
0
0.2
0.4
0.6
0.8
Jun-03
Feb-04
Oct-04
Jun-05
Feb-06
Oct-06
Jun-07
Feb-08
Oct-08
Jun-09
Feb-10
Oct-10
Jun-11
Feb-12
Oct-12
Jun-13
Feb-14
Oct-14
Jun-15
Feb-16
1 year relative returns
Momentum Value Growth & Quality
Source: Factset

22. Diversification
WHY SMART BETA
INGREDIENTS FOR
SMART BETA
HOW TO USE
SMART BETA
PRACTICAL
EXAMPLES
Sentiment Value Growth Momentum Size Low Vol
Active
fund 1
Active
fund 2
Active
fund 3
Active
fund 4
Sentiment
1.00
Value
-0.54 1.00
Growth
0.03 0.28 1.00
Momentum
0.78 -0.61 0.13 1.00
Size
0.32 -0.41 0.04 0.38 1.00
Low Vol
0.04 0.26 0.28 0.03 -0.34 1.00
Active fund
1
-0.07 -0.12 -0.18 -0.21 -0.18 0.26 1.00
Active fund
2
-0.18 0.20 0.13 -0.23 -0.53 0.37 0.22 1.00
Active fund
3
-0.38 0.26 -0.37 -0.63 -0.43 -0.11 0.36 0.21 1.00
Active fund
4
-0.19 0.21 -0.04 -0.28 -0.34 0.22 0.29 0.41 0.45 1.00
Low correlations
amongst factors
Negative correlated
with active fund
mostly
Source: Factset and STANLIB Quants Research

23. Ingredients for a Good Smart Beta Product
➜ Strong performance and persistency over time
➜ Good economic intuition
➜ Reward for systematic risk
➜ Exploiting behavioral biases
➜ Diversification benefits
➜ Sector neutrality
➜ Not overly concentrated in any sector
➜ Improves risk adjusted returns
WHY SMART BETA
INGREDIENTS FOR
SMART BETA
HOW TO USE
SMART BETA
PRACTICAL
EXAMPLES

24. 0.00
0.20
0.40
0.60
0.80
1.00
1.20
Value Growth &
Quality
Momentum Size Volatility
Sharpe ratio
Non Sector Neutral Sector Neutral
A general pick up in sharpe ratios as a result of declines in volatility
Benefits of Sector Neutrality
WHY SMART BETA
INGREDIENTS FOR
SMART BETA
HOW TO USE
SMART BETA
PRACTICAL
EXAMPLES
Source: STANLIB Quants Research

25. WHY SMART BETA HOW TO USE
SMART BETA
INGREDIENTS FOR
SMART BETA
PRACTICAL
EXAMPLES

26. How to use Smart Beta
WHY SMART BETA
INGREDIENTS FOR
SMART BETA
HOW TO USE
SMART BETA
PRACTICAL
EXAMPLES
➜ Buy and hold an individual smart beta product
➜ Factors are highly cyclical thus require long investment horizon
➜ Long investment horizon required vs. performance measurement period
which is typically 3-5 years
➜ Employ factor timing techniques
➜ Very challenging - factor performance affected by a variety of
unpredictable factors
➜ Create solutions
➜ Factors perform differently at different times
➜ Combining them results in more consistent and stable performance
➜ Blends well with market cap beta and active funds

27. WHY SMART BETA INGREDIENTS FOR
SMART BETA
HOW TO USE
SMART BETA
PRACTICAL
EXAMPLES

28. Creating Solutions
WHY SMART BETA
INGREDIENTS FOR
SMART BETA
HOW TO USE
SMART BETA
PRACTICAL
EXAMPLES
➜ Practical example
➜ Creating a portfolio to achieve outperformance of
at least 2% relative to SWIX within a TE of 4%

29. Active fund 3
Active fund 2
Active fund 4
Active fund 1
-2.5%
-1.5%
-0.5%
0.5%
1.5%
2.5%
3.5%
4.5%
0.0% 2.0% 4.0% 6.0% 8.0% 10.0% 12.0% 14.0% 16.0%
Alpha
Tracking error
Alpha vs. TE (last 10 years)
Creating Solutions
WHY SMART BETA
INGREDIENTS FOR
SMART BETA
HOW TO USE
SMART BETA
PRACTICAL
EXAMPLES
Source: Morningstar

30. Value
Growth &
Quality
Momentum
Active fund 3
Low Vol
Active fund 2
Active fund 4
Active fund 1
-2.5%
-1.5%
-0.5%
0.5%
1.5%
2.5%
3.5%
4.5%
0.0% 2.0% 4.0% 6.0% 8.0% 10.0% 12.0% 14.0% 16.0%
Alpha
Tracking error
Alpha vs. TE (last 10 years)
Creating Solutions
WHY SMART BETA
INGREDIENTS FOR
SMART BETA
HOW TO USE
SMART BETA
PRACTICAL
EXAMPLES
Source: Morningstar and Factset

31. Value
Growth & Quality
Momentum
Active fund 3
Low Vol
Active fund 2
Active fund 4
Active fund 1
-2.5%
-1.5%
-0.5%
0.5%
1.5%
2.5%
3.5%
4.5%
0.0% 2.0% 4.0% 6.0% 8.0% 10.0% 12.0% 14.0% 16.0%
Alpha
Tracking error
Alpha vs. TE (last 10 years)
Creating Solutions
WHY SMART BETA
INGREDIENTS FOR
SMART BETA
HOW TO USE
SMART BETA
PRACTICAL
EXAMPLES
Source: Morningstar and Factset

32. Value
Growth & Quality
Momentum
Active fund 3
Low Vol
Active fund 2
Active fund 4
Active fund 1
-2.5%
-1.5%
-0.5%
0.5%
1.5%
2.5%
3.5%
4.5%
0.0% 2.0% 4.0% 6.0% 8.0% 10.0% 12.0% 14.0% 16.0%
Alpha
Tracking error
Alpha vs. TE (last 10 years)
Creating Solutions
Growth &
Quality
21%
Moment
um
46%
Active
fund 1
33%
WHY SMART BETA
INGREDIENTS FOR
SMART BETA
HOW TO USE
SMART BETA
PRACTICAL
EXAMPLES
Source: Morningstar and Factset

33. How to use Smart Beta
WHY SMART BETA
INGREDIENTS FOR
SMART BETA
HOW TO USE
SMART BETA
PRACTICAL
EXAMPLES
➜ Buy and hold an individual smart beta product
➜ Factors are highly cyclical thus require long investment horizon
➜ Long investment horizon vs. performance measurement period
➜ Employ factor timing techniques
➜ Very challenging - factor performance affected by a variety of
unpredictable factors
➜ Create solutions
➜ Factors perform differently at different times
➜ Results in more consistent and stable performance
➜ Blend with Market cap beta and Active funds
➜ Risk management / complementing a portfolio
➜ Hedging of unwanted or unintentional risk

34. Risk Management /Complementing a Portfolio
Example: Hedging of Risk in a Portfolio (last 3 years data)
WHY SMART BETA
INGREDIENTS FOR
SMART BETA
HOW TO USE
SMART BETA
PRACTICAL
EXAMPLES
-0.4
-0.2
0
0.2
0.4
0.6
0.8
Value
Growth
MomentumSize
Low Volatility
Source: Morningstar, Factset and STANLIB Quants Research

35. Risk Management /Complementing a Portfolio
Example: Hedging of Risk in a Portfolio (last 3 years data)
WHY SMART BETA
INGREDIENTS FOR
SMART BETA
HOW TO USE
SMART BETA
PRACTICAL
EXAMPLES
-0.4
-0.2
0
0.2
0.4
0.6
0.8
Value
Growth
MomentumSize
Low Volatility
Active fundSource: Morningstar, Factset and STANLIB Quants Research

36. Risk Management /Complementing a Portfolio
Example: Hedging of Risk in a Portfolio (last 3 years data)
WHY SMART BETA
INGREDIENTS FOR
SMART BETA
HOW TO USE
SMART BETA
PRACTICAL
EXAMPLES
-0.4
-0.2
0
0.2
0.4
0.6
0.8
Value
Growth
MomentumSize
Low Volatility
SWIX Active fundSource: Morningstar, Factset and STANLIB Quants Research

37. Risk Management /Complementing a Portfolio
Example: Hedging of Risk in a Portfolio (last 3 years data)
WHY SMART BETA
INGREDIENTS FOR
SMART BETA
HOW TO USE
SMART BETA
PRACTICAL
EXAMPLES
-0.4
-0.2
0
0.2
0.4
0.6
0.8
Value
Growth
MomentumSize
Low Volatility
SWIX Active fund
Overweight
Value
Underweight
Momentum
Underweight
Growth
Source: Morningstar, Factset and STANLIB Quants Research

38. Risk Management /Complementing a Portfolio
Example: Hedging of Risk in a Portfolio (last 3 years data)
WHY SMART BETA
INGREDIENTS FOR
SMART BETA
HOW TO USE
SMART BETA
PRACTICAL
EXAMPLES
-0.4
-0.2
0
0.2
0.4
0.6
0.8
Value
Growth
MomentumSize
Low Volatility
SWIX Active fund Active fund + 25% Momentum
3 year stats Active Fund
Active Fund +
25% Momentum
Annualised return 7.33% 10.41%
Volatility 12.05% 11.04%
Sharpe ratio 0.11 0.40
Source: Morningstar, Factset and STANLIB Quants Research

39. Example of Client Solution
STANLIB’s Multi-factor Model Excluding Value
1.Client Need
To identify the dominant risk factor in their portfolio (actively managed) and diversify away from it
without changing current managers.
2.Resultant Factor Weights 3. Resultant Portfolio Predictive Ability
Forecasting
ability
Hit rate
Quintile
spread
(Q1 - Q5)
Min required 0.04 50% 0.50%
4 Factor
MFM
0.08 64% 1.18%
3 Factor
MFM
0.08 60% 1.30%
Growth and
Quality,
40%
Sentiment,
40%
Price
Momentum
, 20%
WHY SMART BETA
INGREDIENTS FOR
SMART BETA
HOW TO USE
SMART BETA
PRACTICAL
EXAMPLES
Source: FactsetSource: STANLIB Quants Research

40. Example of Client Solution
Value Managers vs SWIX
WHY SMART BETA
INGREDIENTS FOR
SMART BETA
HOW TO USE
SMART BETA
PRACTICAL
EXAMPLES
-15%
-10%
-5%
0%
5%
10%
15%
Jul-06
Nov-06
Mar-07
Jul-07
Nov-07
Mar-08
Jul-08
Nov-08
Mar-09
Jul-09
Nov-09
Mar-10
Jul-10
Nov-10
Mar-11
Jul-11
Nov-11
Mar-12
Jul-12
Nov-12
Mar-13
Jul-13
Nov-13
Mar-14
Jul-14
Nov-14
1 Year Relative Return
Avg Value Manager -SWIX
Source: Morningstar

41. Example of Client Solution
3 Factor model (Backtest) vs SWIX
WHY SMART BETA
INGREDIENTS FOR
SMART BETA
HOW TO USE
SMART BETA
PRACTICAL
EXAMPLES
-15%
-10%
-5%
0%
5%
10%
15%
20%
25%
Jul-06
Oct-06
Jan-07
Apr-07
Jul-07
Oct-07
Jan-08
Apr-08
Jul-08
Oct-08
Jan-09
Apr-09
Jul-09
Oct-09
Jan-10
Apr-10
Jul-10
Oct-10
Jan-11
Apr-11
Jul-11
Oct-11
Jan-12
Apr-12
Jul-12
Oct-12
Jan-13
Apr-13
Jul-13
Oct-13
Jan-14
Apr-14
Jul-14
Oct-14
Jan-15
1 Year Relative Return
3 Factor Model - SWIX Avg Value Manager -SWIX
Source: Morningstar and STANLIB Quants Research

42. In Conclusion
➜ Seeks to improve returns, reduce risk and
enhance diversification
➜ Performance and persistency
➜ Diversification
➜ Single factor strategies
➜ Multifactor strategies
➜ Blending with active funds
➜ Hedging out unwanted risk
WHY SMART BETA
HOW TO USE SMART BETA PRACTICAL EXAMPLES
INGREDIENTS FOR SMART BETA

44. 1450316
Columbia Alternative Beta Strategy
Columbia Threadneedle Investments is the global brand name of the Columbia and
Threadneedle group of companies. Columbia Management Investment Advisers, LLC is an
investment adviser registered with the U.S. Securities and Exchange Commission. For
purposes of compliance with the Global Investment Performance Standards (GIPS®), Columbia
Management Investment Advisers, LLC has defined the institutional Firm as Columbia
Management Investments, an operating division of Columbia Management Investment
Advisers, LLC that offers investment management and related services to institutional clients.
All values are expressed in U.S. dollars unless otherwise noted.
For Institutional Use Only. This material may only be used in one-on-one presentations with consultants and institutional separate account
prospects. Not for public distribution.
Benjamin Simonds

45. For institutional use only. © 2016 Columbia Management Investment Advisers, LLC. All Rights Reserved.
Ameriprise Financial Inc.
Overview of business lines
Source: Ameriprise Financial Inc. as of December 31, 2015, unless otherwise stated.
Asset management
businesses
Financial advisory
business
Insurance &
annuities businesses
Ameriprise Trust
Company
46

46. For institutional use only. © 2016 Columbia Management Investment Advisers, LLC. All Rights Reserved.
Assets Under Management
AUM includes all assets managed on a discretionary or non-discretionary basis by the entities in the Columbia and Threadneedle group of companies, which includes multiple separate and distinct GIPS-compliant
firms that use the global brand name Columbia Threadneedle Investments. Due to intercompany sub-advisory relationships, certain assets under management are included under more than one firm.
.
Columbia Management Investments (GIPS Firm)
Threadneedle Asset Management (GIPS Firm)
Total assets (US$B)
$322.8
AUM by asset class (US$ billion) AUM by product type (US$ billion)
US$472.6 billion in assets under management as of December 31, 2015
Columbia Threadneedle Investments total assets
$141.3
GIPS Firm assets under management
Fixed Income
$192.0
40%
Equity
$248.8
53%
Alternatives
$31.8
7%
Retail
products
$278.6
59%
Institutional
products
$194.0
41%
47

47. For institutional use only. © 2016 Columbia Management Investment Advisers, LLC. All Rights Reserved.
*Member of Investment Risk Management, which is an independent team reporting directly to the CEO of Columbia Threadneedle.
For staff that joined the firm as part of an acquisition, tenure includes time with legacy firms. Certain team members may be employees of affiliates.
Blue box indicates team resources supporting the Alternative Beta Strategy.
48
William Landes, Ph.D.
Deputy Head of Investment Solutions
Head of Alternative Investments
Joined firm in 2014
Started in industry 1985
Jeffrey Knight, CFA
Global Head of Investment Solutions
Co-Head of Global Asset Allocation
Joined firm in 2013
Started in industry 1987
Toby Nangle (UK)
Portfolio Manager
Co-Head of Global Asset Allocation
Joined firm in 2012
Started in industry 1997
Robert Webb (UK)
Portfolio Construction Specialist
Joined firm in 2008
Started in industry 2008
Alex Lyle (UK)
Head of Managed Funds
Joined firm in 1994
Started in industry 1980
Marie Schofield, CFA
Senior Portfolio Manager
Chief Economist
Joined firm in 1990
Started in industry 1975
Anwiti Bahuguna, Ph.D
Senior Portfolio Manager
Joined firm in 2002
Started in industry 1998
Fred Copper, CFA
Senior Portfolio Manager
Joined firm in 2005
Started in industry 1990
Beth Vanney, CFA
Portfolio Manager
Joined firm in 1999
Started in industry 1990
Orhan Imer, Ph.D., CFA
Senior Portfolio Manager
Joined firm in 2007
Started in industry 2005
Marc Khalamayzer, CFA
Portfolio Manager
Joined firm in 2014
Started in industry 2006
Andrew Gruet
Research Analyst
Joined firm in 2013
Started in industry 2013
Dan Boncarosky, CFA
Portfolio Manager
Joined firm in 2008
Started in industry 2008
Maya Bhandari (UK)
Multi-Asset Investment
Specialist
Joined firm in 2014
Started in industry 2003
Kent Peterson, Ph.D.
Senior Portfolio Manager
Joined firm in 2006
Started in industry 1999
Brian Virginia
Senior Portfolio Manager
Joined firm in 2010
Started in industry 1996
Drew Gleckler
Quantitative Analyst
Joined firm in 2011
Started in industry 1997
Corey Lorenzen
Quantitative Analyst
Joined firm in 2012
Started in industry 2012
Alex Wilkinson, CFA, CAIA
Research Analyst
Joined firm in 2006
Started in industry 2006Adam Scully-Power
Client Portfolio Manager
Joined firm in 1996
Started in industry 1996
Vincent Poon, CFA
Quantitative Analyst
Joined firm in 2011
Started in industry 2006
Joshua Kutin, CFA
Senior Portfolio Manager
Joined firm in 2015
Joined industry 1998
Maria Garrahan
Research Analyst
Joined firm in 2015
Started in industry 2013
Benjamin Simonds, CAIA
Client Portfolio Manager
Joined firm in 2015
Started in industry 1998
Rajeev Kapur (UK)
Portfolio Construction Specialist
Joined firm in 2009
Joined industry 2004
Martin Truszkowski
Manager Research
Joined firm in 2015
Started in industry 2004
Luis Roman*
Investment Risk Management
Joined firm in 2014
Started in industry 2000
Global Asset Allocation and Alternative Beta Strategy Resources

48. For institutional use only. © 2016 Columbia Management Investment Advisers, LLC. All Rights Reserved.
Alternative Beta Overview

49. For institutional use only. © 2016 Columbia Management Investment Advisers, LLC. All Rights Reserved.
 Over the past 50+ years, the industry’s understanding of sources of portfolio returns has evolved, and it has become evident that many strategies that
were once believed to be alpha were misunderstood.
 One of the key learnings was that a main component of portfolio return was simple long-only market exposure (i.e., beta). In other words, some of the
returns that the industry previously thought of as alpha were actually beta, and were achievable through exposure to traditional indices (e.g., S&P
500).
 More recently, the industry identified additional systematic market exposures (i.e., more betas) that demonstrate persistent positive returns over time.
 Like traditional beta, these betas (smart betas and alternative betas) are systematic exposures embedded in markets. Unlike traditional beta, these
betas may be accessed through alternative investing techniques:
 Smart Beta: A long-only, rules-based approach that uses fundamental factors (e.g., lowest P/B ratio stocks) to construct an index or portfolio
 Alternative Beta: Applies rules-based long / short trading strategies to various asset classes, favoring and disfavoring certain investments, to
capture positive returns associated with each risk premium
50
ALPHA
TRADITIONAL BETA
ALTERNATIVE /
SMART BETAALPHA
ALPHA
BETA
1920s- 1960s 1970s-1980s 1990s - present
The Framework for Understanding Sources of Portfolio Returns has Evolved

50. For institutional use only. © 2016 Columbia Management Investment Advisers, LLC. All Rights Reserved.
ALPHA
TRADITIONAL
BETA
ALTERNATIVE
BETA
 Manager skill
 Style
 Momentum
 Value
 Carry
 Curve
 Volatility
 Equity
 Credit
 Commodities
 Rates
 Currency
Higher cost and
elusive
Source: Columbia Management Investment Advisers, LLC.
51
Lower cost and
harder to
replicate
Low cost and
prevalent
The Framework of Understanding Portfolio Return has Evolved

51. For institutional use only. © 2016 Columbia Management Investment Advisers, LLC. All Rights Reserved.
 Alternative betas represent payoffs associated with the systematic risks imbedded in capital markets
and are driven by:
 Academically-supported forms of risk premia ( e.g., value, momentum, etc.)
 Investor-based behavioral biases, industry needs, structures and constraints (e.g., short volatility,
commodity curve)
 Alternative betas are systematically constructed to capture returns from structure (style, liquidity,
momentum, carry, curve, volatility, etc.) and asset classes (equity, fixed income, commodities, currency,
credit)
 Accessed via total return swaps or direct trading
 Alternative betas have minimal market directionality, and are less correlated with traditional markets,
making them good portfolio diversification tools
 The recognition of alternative betas has existed for some time in academic literature and has recently
entered the mainstream of general portfolio applications
52
What are Alternative Betas?

52. For institutional use only. © 2016 Columbia Management Investment Advisers, LLC. All Rights Reserved. 5353
Traditional Beta Index Smart Beta Index Alternative Beta Index
What is it
capturing?
 Traditional passive long-only
market exposure
 Non-traditional risk premia that can
be captured via rules-based long-
only index weighting
methodologies (that depart from
traditional market-cap weightings)
 Non-traditional risk premia that can
be captured via rules-based long /
short trading strategies
How is it
constructed?
 Traditional indices are market-cap
weighted
 By weighting an index based on
fundamental factors that are
associated with positive returns
over time (e.g., low P/E or low
P/B)
 Either through direct long / short
trading of futures, forwards, or
other derivatives, or through
indices offered by counterparties
via total return swaps (TRS)
What is the
benefit?
 Provides broad, cost-efficient,
exposure to an asset class
 Provides broad, cost-efficient,
exposure to an asset class, and
potentially adds additional sources
of return by weighting portfolios
differently than a traditional index
 Provides an additional source of
return that is largely uncorrelated to
traditional betas and smart betas,
because of the market neutral
nature of its long / short investment
strategies
Example  Russell 1000 Index  MSCI Enhanced Value Index (from
the family of MSCI Factor Indexes)
 Deutsche Bank Equity Sector
Neutral Value Index (accessed via
a Total Return Swap)
Comparing Traditional Beta, Smart Beta and Alternative Beta Indices

53. For institutional use only. © 2016 Columbia Management Investment Advisers, LLC. All Rights Reserved. 54
Source: Columbia Management Investment Advisers, LLC.
 Market-neutral in structure
 Available as indices and accessible via swaps or rules-based trades
 Additional betas available within and outside asset classes shown below
Equity Fixed Income Credit Currency Commodity
Momentum Momentum Momentum Momentum Momentum
Implied v. Realized
Volatility
Implied v. Realized
Volatility
Implied v. Realized
Volatility
Implied v. Realized
Volatility
Carry Carry Carry Carry
Curve Curve Curve
Value Value Value
Beta
Size
Quality
Liquidity Liquidity Liquidity
Alpha Strategies
Alternative Betas are Available Across Multiple Asset Classes and Styles

54. For institutional use only. © 2016 Columbia Management Investment Advisers, LLC. All Rights Reserved.
 As previously discussed, risk premia can be captured through direct trading strategies or it can be
captured through use of a TRS, where, for a fee, a counterparty will employ the trading strategies
55
Alternative Beta Seeks to benefit from the persistent observation that … Creates a swap that…
Momentum Securities that have done well (or poorly) tend to continue on that trajectory for some specified
period
 Buys highest momentum securities
 Short sells lowest momentum securities
Implied vs. Realized Volatility Investors who need to hedge a position tend to overpay for that protection  Short sells implied volatility
 Buys realized volatility
Carry Higher yielding issues tend to outperform lower yielding issues  Buys higher yielding securities
 Short sells lower yielding securities
Curve The long end of the curve tends to outperform the shorter end of the curve  Buys long end of the curve
 Short sells end of the curve
Value Less expensive securities tend to outperform more expensive securities  Buys cheapest securities
 Short sells most expensive securities
Beta Lower beta stocks tend to outperform higher beta stocks  Buys lower beta stocks
 Short sells higher beta stocks
Size Smaller-cap stocks tend to outperform larger cap stocks  Buys smaller cap stocks
 Short sells larger cap stocks
Quality Higher quality stocks tend to outperform lower quality stocks  Buys higher quality stocks
 Short sells lower quality stocks
Liquidity Certain investors have a time-driven structural need to put money to work or re-balancing
positions
 Combines long and short position to take advantage
of structural anomaly
Alpha Strategies Taking advantage of high conviction trades from HF investors (based upon SEC 13F filings)  Buys stocks representing highest concentration by
HF investors
 Short sells stocks representing highest concentration
by HF investor
Alternative Beta Strategies use Rules-based Systematic Trading to Capture Risk
Premia

55. For institutional use only. © 2016 Columbia Management Investment Advisers, LLC. All Rights Reserved.
Alternative Beta Strategies use Systematic Trading Rules to Capture Risk Premia
Equity Fixed Income Currency
Value  Buy cheapest 20% of stocks
ranked on price-to-book
 Sell most expensive 20% of
stocks ranked price-to-book
 Buy government bonds
whose real rates are above
historical average
 Sell government bonds
whose real rates are below
historical average
 Buy currencies that are
undervalued according to
purchasing power parity
 Sell currencies that are
overvalued according to
purchasing power parity
Momentum  Buy top 20% of stocks
ranked on 12-month returns
 Sell bottom 20% of stocks
ranked on 12-month returns
 Buy government bonds
ranked highest based on 12-
month returns
 Sell government bonds
ranked lowest based on 12-
month returns
 Buy currencies ranked
highest based on 12-month
returns
 Sell currencies ranked
lowest based on 12-month
returns
Carry  Buy government bonds with
steepest yield curves
 Sell government bonds with
flattest yield curves
 Buy currencies ranked
highest based on local
short-term interest rates
 Sell currencies ranked
lowest based on local
short-term interest rates
56
Sample provided for illustrative purposes only.

56. For institutional use only. © 2016 Columbia Management Investment Advisers, LLC. All Rights Reserved.
Low Correlations Make Alternative Betas Powerful Diversifiers
Source: Columbia Management Investment Advisers. March 31, 2003 - December 31, 2015. Percentages shown indicate correlations among risk premia and correlations of risk premia
to the MSCI World Index and Citi WGBI Index. Please see appendix for alternative beta correlation sources.
57
 Average pair-wise correlation:
5%
EQMomentum
EQValue
EQQuality
EQLowBeta
EQTurnoftheMonth
SPXImpliedv.Realized
FXValue
FXCarry
FXMonthEndRebalancing
FXMomentum
FXImpliedv.Realized
FICarry
FIDurationExtension
IRValue
IRMomentum
IRImpliedv.Realized
CreditCarry
COMMODMomentum
COMMODCarry
COMMODCurve
MSSmartInvestAlpha
MSCIWorldIndexUSD
CitiWGBIUSD
EQ Momentum 100%
EQ Value -51% 100%
EQ Quality -17% -19% 100%
EQ Low Beta 30% -9% -7% 100%
EQ Turn of the Month 10% -1% -9% 6% 100%
SPX Implied v. Realized 17% 7% -17% 29% 36% 100%
FX Value -20% 4% -2% -18% -4% -14% 100%
FX Carry 8% 25% -18% 29% 24% 32% 1% 100%
FX Month End Rebalancing -15% 23% -1% 2% -6% -2% 8% 8% 100%
FX Momentum 23% -6% 8% 18% 13% -4% -11% 18% 13% 100%
FX Implied v. Realized -3% 8% 0% 12% 39% 26% -9% 20% 6% 9% 100%
FI Carry -13% 11% 4% -19% 3% 4% 3% 5% 9% 13% -9% 100%
FI Duration Extension 13% 2% -6% 6% -13% 3% -4% 6% -11% -1% 9% 0% 100%
IR Value -3% -3% 3% -6% -8% -21% 5% -18% -10% -10% 1% -18% 9% 100%
IR Momentum -2% -5% 10% 2% -7% -10% 7% -14% -7% 11% 17% -6% 26% 33% 100%
IR Implied v. Realized 8% 11% -4% 26% 32% 23% -7% 21% -2% 12% 27% -4% 6% -6% 9% 100%
Credit Carry 7% 22% -19% 24% -4% 37% -22% 22% 8% -1% 7% 3% 16% -14% -15% 5% 100%
COMMOD Momentum 30% -11% 0% 13% 10% 10% -5% -11% -5% 10% -2% -2% 2% 8% 8% 7% 7% 100%
COMMOD Carry 1% 11% -9% 5% 2% 15% -10% -4% -2% -7% 1% -2% 0% -1% -9% -1% 0% 33% 100%
COMMOD Curve 17% 10% -13% 6% 8% 11% -14% 20% 0% 18% -3% 6% 16% 5% 5% 14% 2% 17% 16% 100%
MS SmartInvest Alpha 22% 5% -28% -4% 11% 30% -2% 18% -10% 0% -1% 5% 7% 1% 6% 15% 9% 5% 16% 19% 100%
MSCI World Index USD 21% 30% -44% 42% 21% 53% -36% 52% -3% 3% 13% -3% 15% -19% -19% 22% 53% 8% 15% 22% 24% 100%
Citi WGBI USD -3% 16% -3% 15% -10% 2% -31% 3% 1% 27% 10% 3% 24% 5% 37% 2% 8% 5% 3% 21% -4% 27% 100%

57. For institutional use only. © 2016 Columbia Management Investment Advisers, LLC. All Rights Reserved. 58
Application Potential Benefit
Multi Strategy Hedge Fund
Replacement
 Exposure to risk premia that drive much of traditional hedge fund
performance
 Lower costs, greater liquidity and transparency than traditional hedge
fund structures
Alpha – Beta separation  Efficient and liquid exposure to alternative market betas at low cost
 Allows manager selection process to be focused on true alpha / skill
managers
Completion portfolio to an existing
hedge fund allocation
 Addresses gaps and concentrations in existing factor exposures
 Provides a more balanced / diversified overall portfolio that can adapt
as market regimes change
Complementary portfolio to a
traditional multi asset portfolio
 Introduces alternative risk premia to a portfolio of traditional market
betas
 May provide greater diversification and reduce market draw down
during periods of high asset market correlations
Alternative Beta can be Used for Different Client Solutions

58. For institutional use only. © 2016 Columbia Management Investment Advisers, LLC. All Rights Reserved.
Columbia Alternative Beta Strategy
Alternative Strategies Investment Risk. Alternative Strategies may fail to achieve their desired performance, market or other exposure, or their returns
(or lack thereof) may be more correlated with the broad equity and/or fixed income/debt markets than was anticipated, and investors may lose money.
Derivatives Risk/Swaps Risk. Swaps could result in losses if the underlying asset or reference does not perform as anticipated. The value of swaps
may move in unexpected ways and may result in unlimited losses for the portfolio. Swaps may be leveraged (creating leverage risk) and are subject to
counterparty risk, hedging risk, pricing risk and liquidity risk.

59. For institutional use only. © 2016 Columbia Management Investment Advisers, LLC. All Rights Reserved.
Objective and approach
 A multi-strategy alternative beta portfolio that manages exposures to the systematic risk premia that are embedded in capital markets
 A portfolio of systematically-constructed indices designed to capture returns from structure (style, liquidity, momentum, carry,
curve, volatility, etc.) and asset classes (equity, fixed income, commodities, currency, credit)
 Lower cost than many traditional hedge funds
 Daily liquidity
 Ability to manage to customized volatility target
 Can be structured as a multi-asset class, single asset class (i.e. equity only) or a completion portfolio
60
ALPHA TRADITIONAL
BETA
ALTERNATIVE
BETA
ALPHA
Columbia Threadneedle
approach
Why Columbia Threadneedle Investments for Alternative Betas
 Portfolio management team resides within the 20-person global asset
allocation team, providing the foundation for an active “macro” approach to
alternative beta management
 Research team dedicated to analyzing alternative beta algorithms and factor
exposures, providing the foundation for a “micro” approach to alternative beta
management
 Proprietary risk parity approach to portfolio construction
 Position level detail and risk management tools via Blackrock Aladdin and
internal proprietary reporting tools
Overview

60. For institutional use only. © 2016 Columbia Management Investment Advisers, LLC. All Rights Reserved.
Step 4Step 2
 Research alternative
beta universe
 Build strategic
portfolio using risk
parity and risk
targeting techniques
 Portfolio
implementation and
risk management
Step 3
 Tactically adjust alt
beta exposures
61
Building a Portfolio of Alternative Betas
Step 1

61. For institutional use only. © 2016 Columbia Management Investment Advisers, LLC. All Rights Reserved. 62
Sources
 Internal
 External
• Dedicated analyst coverage by asset
class
• Analyst responsible for maintaining,
understanding and ranking available
investable alt beta universe for the
assigned asset class
• Research considers
- Back test
- Rule books
- Construction algorithm
- Costs/fees
- Transparency/complexity
- Performance v. peers
Criteria
 Academically-verified or reflective of investor-
based behavioral bias
 Persistent, long-term performance across
varying asset classes and market
environments
 Long history of transparent and verifiable data
• Analysis of risk/return drivers
 Rigorous and robust analytical underpinning
• Formal documentation demonstrating
understanding of risk premia and universe
 Accessible/liquid
 Low counterparty risk
 The team employs a robust research process to establish a set of ranked portfolio candidates
■ Seek capital efficient/cost effective alternative betas that have historically demonstrated persistent
return and portfolio diversification ability
Alt Beta Universe
125-150 screened
candidate structures
> 400 Alt Beta structures
25-40 ranked portfolio
candidates
30-40 portfolio alt
betas
Research and Define the Alternative Beta Universe

62. For institutional use only. © 2016 Columbia Management Investment Advisers, LLC. All Rights Reserved. 63
Liquid risk premia
from
recommended
universe
(25-40)
Risk parity
portfolio
 Strategic
portfolio
constructed
using equal
risk weights
Risk targeting
 Asset class
weights
adjusted to
account for
idiosyncratic
risks
Equity style
rotation
 Proprietary
equity risk
premia rotation
model
adjustments
Tactical positioning
 Discretionary macro
shifts applied in high
conviction scenarios
 Opportunistic trades
 Rebalance target
portfolio weights
Unlevered
portfolio
levered to
target
volatility
based on
client return
and volatility
expectations
Final
portfolio
Tactical adjustment
example:
Investment team
determines implied vs.
realized volatility rates
have widened
presenting an
investment opportunity
Equity style rotation
example:
Investment team elects
to underweight equity
momentum and
redeploy capital to
equity value
Risk targeting
example:
Tilt weights towards
equity and away from
FX Carry
There is no guarantee that return and volatility expectations will be met.
Stages of Portfolio Construction – An Active Process

63. For institutional use only. © 2016 Columbia Management Investment Advisers, LLC. All Rights Reserved.
 Full position/security level transparency to underlying holdings of alternative beta indices
 Comprehensive risk analytics platform using BlackRock Aladdin allowing the team to manage:
 Factor risk exposures
 Scenario and stress testing
 Attribution
 Risk analytics platform allows for detailed modelling of drivers of alt beta exposures and incorporates
VAR and scenario analysis
 Portfolio monitoring by independent risk management team
 Strategy trades executed on a regular basis
 Pre- and post-trade compliance provided via BlackRock Aladdin in concert with our risk and
compliance teams
 Rigorous counterparty credit approval process for the swaps portfolio
6464
Risk Management and Portfolio Implementation

64. For institutional use only. © 2016 Columbia Management Investment Advisers, LLC. All Rights Reserved.
Columbia Alternative Beta Strategy
Excerpted Composite Performance (%)
Source: Columbia Management Investments. Past performance does not guarantee future results The performance includes the reinvestment of dividends and other earnings and is calculated in U.S.
dollars. Please see the composite presentation and disclosure in the Appendix for more information, including the impact of fees. The volatility-adjusted benchmark return is intended to show the
benchmark and the strategy on an equal-volatility basis. The strategy is managed at a 7.5% volatility and to show returns of the benchmark at an equivalent volatility level, we calculated the rolling 36-month
standard deviation of the benchmark, and determined the multiplier required to establish a 7.5% standard deviation. This multiplier was subsequently applied to the monthly returns of the benchmark.
65
2015 2016
Sep Oct Nov Dec Jan Feb Mar YTD Sept-
Mar
Columbia Alt Beta Strategy
(Gross)
-0.03 -0.03 2.97 0.10 1.93
1.31 1.48 4.79 7.94
HFRX Global Hedge Fund Index -2.07 1.46 -0.72 -1.33 -2.76 -0.32 1.24 -1.87 -4.49
HFRX Global Hedge Fund Index
7.5% volatility-adjusted return
-4.41 3.06 -1.50 -2.71 -5.39 -0.63 2.39 -3.73 -9.12
 September 1, 2015 forward is representative of the manner in which the strategy is currently managed
including enhancements to portfolio construction introduced in the fourth quarter of 2015. The alternative beta track
record was developed as a sleeve within a US mutual fund product.
Please see GIPS Track Record section for full track record beginning January 31, 2015 and composite disclosures.