TRADE EXECUTION AND SETTLEMENT REPORT

INTECH Investment Management LLC

As of December 31, 2016

2

Overview

The CFA Institute Trade Management Guidelines define best execution

as “the trading process investment management firms apply that

seeks to maximize the value of a client’s portfolio within the client’s

stated investment objectives and constraints.” This definition

recognizes that, among other things, best execution “has aspects that

may be measured and analyzed over time on an ex post basis” but is

“interwoven into complicated, repetitive, and continuing practices and

relationships.”

INTECH’s trade management practices seek to maximize the value of

client portfolios through a trading process that is completely

transparent. This transparency is achieved through the use of a

proprietary trading system that captures and measures the total cost of

trading. INTECH’s practices attempt to remove all conflicts of interest

between parties involved in the trading process, and reward order flow

using quantifiable, objective metrics. By aligning the interests of all

parties involved in the trade process, INTECH is able to focus solely on

seeking best execution for its clients.

INTECH continually invests in personnel and technology in an effort to

improve our capability to deliver superior results. INTECH’s focus and

commitment to the trading and settlement process aims to directly

benefit our clients in the form of low trading costs and high affirmation

rates.

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

trade/pages/index.aspx

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Integral to INTECH’s investment strategy has been the development of

a proprietary trading and portfolio management system. This system

manages all INTECH products including U.S., global, non-U.S. and

emerging markets. This system provides INTECH with a powerful and

robust platform that automates the entire investment process,

producing a paperless, straight-through processing application.

Specifically, the trading system includes:

All the trading rules and data interfaces necessary to implement

INTECH’s investment strategies

All programs and interfaces necessary to electronically

communicate with parties involved in the trade execution and

settlement process

Developed entirely in-house on an open-source operating system, the

trading system provides INTECH with a robust, reliable solution.

Disaster recovery services including backup trading facilities in the

Princeton office ensure a high level of business continuity.

Contents

Trading Cost Overview 4

Trading Cost Components 6

Trading Cost Comparison 12

Repatriation of Dividend Income 15

4

Trading Cost Overview

Trading Costs by Year for All Strategies*

Year Total Shares Total Value

$ Traded

Average

Order Size

as a % of

ADV

Total

Average

Cost

2010 2,985M $88,803M 2.9% 19 bps

2011 2,483M $83,523M 2.9% 21 bps

2012 2,364M $81,257M 3.1% 17 bps

2013 2,436M $84,442M 2.7% 17 bps

2014 2,586M $80,541M 3.0% 19 bps

2015 2,855M $68,038M 2.6% 21 bps

2016 2,621M $67,648M 3.4% 23 bps

2010 2011 2012 2013 2014 2015 2016

19

21

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*Source: INTECH. Represents rebalancing trading cost for equity or FX on indicated INTECH strategies. Trading costs

are measured as the difference between the decision and execution price of the equity or currency. Data reflects

past performance, which is no guarantee of future results.

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2016 Trading Cost by Strategy*

2016 Trading Cost by Equity Domicile Region*

Strategy $ Traded Cost % Traded

U.S.-Only $35,866M 15 bps 53%

Global Developed $26,783M 33 bps 40%

Global All Country $4,991M 29 bps 7%

All Others $8M 24 bps <1%

Total $67,648M 100% 23 bps

Region $ Traded Cost % Traded

U.S. $52,657M 19 bps 78%

Europe/Middle East $8,418M 33 bps 13%

Asia Pacific $3,990M 41 bps 6%

Canada $1,611M 66 bps 2%

Emerging Markets $971M 41 bps 1%

Total $67,648M 100% 23 bps

*Source: INTECH. See note on page 4.

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Trading Cost Components

INTECH’s trading costs can be decomposed as:

Commissions

- Explicit fee paid for brokerage.

Market Impact

- Difference between the decision and execution price, in

the account’s base currency.

- Includes cost of trading equities and FX, if applicable.

Trading Cost Components*

455555545

21 2214 16

12 12 14 16 19

0

10

20

30

40

201620152014201320122011201020092008

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Commissions Market Impact

*Source: INTECH. See note on page 4.

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Commissions

Based on the most recent analysis performed by ITG, INTECH’s average

commission cost ranks in the 70th percentile in its all developed

markets investment manager peer group.* INTECH has been able to

negotiate a favorable commission structure by building long-term,

mutually beneficial relationships with its brokers.

First, electronic interfaces are established and maintained with each

broker to provide a reliable, efficient method of exchanging trade

information. These interfaces reduce errors and save considerable

time and resources for all parties involved in the transaction.

Secondly, INTECH attempts to balance having too many brokerage

relationships resulting in unprofitable and immaterial business to the

broker, with having too few brokers resulting in insufficient coverage

and diversification. INTECH’s intent is to maintain approximately a

dozen active relationships, with the majority of the order flow directed

to the top brokers.

INTECH does not participate in soft dollar or directed commission

arrangements. By allocating brokerage based on objective and

quantifiable benchmarks INTECH is able to focus solely on seeking

best execution.

Market Impact

INTECH’s methodology for measuring market impact cost is to analyze

the difference between the decision and execution price of the order.

This methodology is designed to capture all components of the cost of

the trade: equity, commission, and FX (if necessary).

Decision price is defined as the market price of the stock at the time

the decision was made to buy or sell. INTECH’s trading system uses the

decision price to calculate the orders necessary to rebalance the

portfolios to their target weights.

*Source: ITG. See note on page 9.

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Market Impact (cont’d)

Orders are generated and reviewed for reasonableness prior to

release. Once reviewed, an electronic interface is initiated with the

brokers and the order is electronically transmitted. All orders are

released simultaneously, pre-allocated across client accounts, and

include the decision price of each stock. For non-US stocks, the

decision price is comprised of a local equity price and that day’s

London End of Day FX rate to convert that price into the account base

currency. Therefore, both the local price of the equity trade and the FX

rate for each order become the benchmarks for measuring the trading

cost of the executions.

Generally, brokers are given complete discretion as to the timing of the

executions, with the stipulation that the entire order be completed in a

single trading day. For global/international orders, brokers are also

directed to execute the FX transactions necessary to settle the equity

trades. INTECH requires its brokers to execute one net FX transaction

per account, per currency, per settlement date.

Executions are reported back to INTECH in an electronic format similar

to the order file. Brokers allocate equity trades across accounts with

the average executed price expressed in the local currency, and, where

necessary, the average FX rate executed to settle the trades. INTECH

ensures that each order was properly allocated, including a verification

that the equity and FX executions were average priced across all

accounts, ensuring all clients are treated equally.

The execution price is then compared to the original order price for

purposes of calculating market impact. That cost can then be

decomposed into both the cost of the equity and the FX trades on

global orders.

The process INTECH uses to measure and monitor the quality of

executions is intended to not only be transparent and objective, but

also to align the interests of INTECH's clients and its brokers. The

measured total trading cost, which includes market impact,

commissions, and FX, is used as the basis for allocating future order

flow among brokers. Since INTECH does not participate in soft dollar or

directed commission arrangements, brokers are motivated to focus

solely on minimizing the execution cost of every trade.

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INTECH’s investment process also contributes to minimizing market

impact in that it requires only incremental trading of very liquid, large

capitalization stocks. An analysis of INTECH’s average order size in

shares and as a percent of the stock’s average daily volume (ADV)

illustrates this point.

Average Order Size (in USD) for All Developed Markets*

% of Average Daily Volume for All Developed Markets*

2016 Trading Costs by % of ADV**

INTECH 25th Percentile Median 75th Percentile

3% 15% 65% 123%

INTECH 25th Percentile Median 75th Percentile

$613,000 371,000 658,000 1,009,000

* Source: ITG. Results based on one-year period ending December 31, 2016. Most recent results based on analysis

versus an all developed markets peer group of 35 investment management firms, encompassing a total trade

value of USD 838 billion. Number of managers and trade values for other periods are different and available upon

request. Additional information about ITG can be obtained from its website at www.itg.com.

** Source: INTECH. See note on page 4.

Data reflects past performance, which is no guarantee of future results.

% of ADV % Traded Cost

>8% 10% 44 bps

4-8% 15% 33 bps

2-4% 20% 25 bps

1-2% 20% 21 bps

<1% 35% 13 bps

Total 100% 23 bps

10

Trade Reconciliation, Affirmation, and Settlement

INTECH's proprietary trading system also augments and automates the

trade settlement process by connecting electronically with all

interested parties in the trading and settlement process. By automating

this reconciliation, INTECH has designed a straight-through processing

system that dramatically reduces the possibility of unaffirmed trades or

other disagreements in trade instructions that may cause trade breaks.

Once trade executions are complete and trade reports have been

electronically received from each broker, the trading system verifies

that all orders have been filled completely and correctly. Relational

edits within the system ensure that each broker correctly calculated

the fees, taxes, levies, and commissions for each individual equity

transaction. INTECH has established a consensus with its brokers on

these calculations, including details about rates, rounding rules, and

settlement conventions for each market where INTECH trades. Global

portfolios have additional checks to verify all details of net FX trades for

each currency, side, and settlement date. This clear and automated

process for computing and verifying trade details empowers INTECH to

tie out both equity and FX trades to the nearest penny in every local

currency with zero tolerance for error.

After completing this verification process, the trading system

electronically generates trade instruction files that will be delivered to

brokers, custodial banks, and central clearing facilities (such as

OMGEO/DTC in the U.S.). These instructions are matched against

broker confirms and affirmed on trade date if all data matches. Any

exceptions are reviewed by INTECH on the morning of T+1 and

generally resolved by noon that day.

This in-house technology, which was first developed and implemented

in 2000, has allowed INTECH to achieve affirmation rates better than

the industry average. For example, during the month of December

2016 this system assisted INTECH in consistently affirming 100% of

over 13,000 domestic trades on a T+1 basis. While international

securities do not have a single clearing house or affirmation engine

analogous to OMGEO/DTC, INTECH's rigorous reconciliation process

addresses the majority of potential issues before they have the chance

to cause any settlement problems. In December of 2016, INTECH

matched its brokers on every detail of over 11,000 global trades on a

trade date basis, ultimately resulting in a successful settlement rate of

over 99.9%.

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Affirmation Rates vs. Industry (December 2016)

100%100%100%

91%90%

69%

0%

20%

40%

60%

80%

100%

Trade Date T+1 T+2

INTECH Industry

Affirmation rates obtained from the Omgeo ID Trade Input/Affirmation Analysis Report for December 2016.

12

Trading Cost Comparison

INTECH’s commitment to trade execution has resulted in trading costs

that are lower than other large-cap investment management firms.

INTECH hired ITG, a leading trade cost consultant, to perform a trading

cost comparison with its peers. ITG’s methodology for evaluating

trading cost is similar to the one used by INTECH, measuring impact

cost as the difference between the price at which the broker receives

the order and the execution price. This methodology, known as total

implementation shortfall, analyzes the change in market price due to

supply/demand imbalances caused by the presence of the order.

As the following analysis shows, INTECH’s total trading costs are lower

than the median large-cap investment management firm.

Total Trading Cost vs. Peer Group - U.S.*

* Source: ITG. Most recent results based on analysis versus a large-cap peer group of 35 managers encompassing

a trade value of USD 552 billion. Number of managers and trade values for other periods are available upon request.

2012 2013 2014 2015 2016

5th Percentile 62 84 49 74 91

25th Percentile 41 44 39 41 51

Median 24 27 26 23 40

75th Percentile 11 12 11 8 17

95th Percentile -4 -6 0 1 4

INTECH 13 13 13 12 15

Percent Rank 70% 70% 69% 66% 83%

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*Source: ITG. Most recent results based on analysis versus a ACWI ex U.S. peer group of 35 managers

encompassing a trade value of USD 378 billion. Number of managers and trade values for other periods are

available upon request. Number of managers and trade values for other periods are available upon request.

Total Trading Cost vs. Peer Group - All Countries ex U.S.*

2012 2013 2014 2015 2016

5th Percentile 93 123 85 109 85

25th Percentile 67 65 60 64 51

Median 48 46 40 52 38

75th Percentile 27 27 19 25 17

95th Percentile -25 -2 -23 5 5

INTECH 19 22 21 22 27

Percent Rank 83% 79% 67% 78% 62%

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*Source: INTECH. See note on page 4.

FX Trading to Facilitate Equity Settlement

Typically, INTECH manages the FX trading necessary to settle equity

trades made during the implementation process, leaving no residual

local currency balances. Brokers trading global equities are instructed

to perform one net FX trade per account, per currency, per settlement

date to/from the local currency of the equity trades to the account’s

base currency. Because of the netting by currency, and the fact that

the U.S. represents a large portion of most global portfolios, the total

value of FX is significantly smaller than the equivalent global equity

trades.

2016 Notional Value Traded*

Pair % of Total Notional (USD

Equivalent)

EUR/USD 19% $1,405M

USD/DKK 17% $1,216M

GBP/USD 10% $720M

USD/JPY 9% $631M

USD/CAD 8% $596M

All Others 37% $2,726M

Total 100% $7,293M

15

Repatriation of Dividend Income

INTECH now offers a solution to those clients who desire for their

manager, and not their custodian, to administer the FX trading

necessary to repatriate local currency balances to the base currency of

the account.

Foreign currency balances can also accumulate due to corporate

action events such as dividends. If explicitly directed by the client,

INTECH will manage the currency trading necessary to convert local

currency balances to the base currency of the account on a periodic,

aggregate basis.

For such accounts, INTECH monitors the local currency balances on a

daily basis, and determines if such balances have reached a level

necessitating an FX trade. De minimis thresholds for each account will

be initially established and regularly monitored for appropriateness.

Thresholds will be determined based on the strategy and base currency

of the account, as well as any applicable custodial charges.

INTECH will execute the FX transactions through its existing

international brokerage relationships, utilizing existing systems and

procedures in place.

FX transactions to repatriate dividend income will be executed at the

London end of day FX rate (EOD). The EOD rate is widely recognized as

the benchmark for calculating daily performance of global indexes, is

easily verifiable and encompasses plenty of liquidity.

INTECH Investment Management LLC

CityPlace Tower

525 Okeechobee Boulevard, Suite 1800

West Palm Beach, FL 33401

561-775-1100 Fax 561-775-1168

intechinvestments.com

C-0217-1740 01-30-18

INTECH is a Janus Henderson Group company