FRR 2016 ANNUAL REPORT16

Performance of the strategic allocation indices in 2016

-5%

0%

5%

10%

15%

20%

25%

15 .9

U S

S m

al l c

ap e

qu it

ie s

15 .7

U S

H ig

h Yi

el d

C or

po ra

te b

on ds

14 .5

E m

er gi

ng M

ar ke

ts E

qu it

ie s

11 .6

E m

er gi

ng M

ar ke

ts g

ov er

nm en

t bo

nd s

10 .3

U S

L ar

ge &

M id

c ap

e qu

it ie

s

9. 1

E ur

o H

ig h

Yi el

d C

or po

ra te

b on

ds

8. 9

F ra

nc e

La rg

e &

M id

c ap

e qu

it ie

s

7. 2

F ra

nc e

S m

al l &

M id

c ap

e qu

it ie

s

6. 9

A si

a ex

J ap

an e

qu it

ie s

4. 8

E ur

o La

rg e

& M

id c

ap e

qu it

ie s

4. 7

E ur

o In

ve st

m en

t G

ra de

C or

po ra

te b

on ds

4. 5

E ur

op e

S m

al l c

ap e

qu it

ie s

4. 3

R E

IT s

2. 5

U S

In ve

st m

en t

G ra

de C

or po

ra te

b on

ds

1. 8

F ra

nc e

G ov

er nm

en t

bo nd

s

0. 5

U S

G ov

er nm

en t

bo nd

s

-1 .4

J ap

an e

qu it

ie s

10 .7

N or

th A

m er

ic a

La rg

e &

M id

c ap

e qu

it ie

s

20 .2

C om

m od

it ie

s

Source: Index providers (FTSE Russell, MSCI, Barclays Capital, JPMorgan) via Spirris.

former (+10.7%) as well as eurozone (+4.8%) and Japanese (-1.4%) equities, i.e. in the oppo- site order to 2015. Equities were the main driver of performance over the year, contribut- ing 2.3%.

Higher yielding assets (high yield bonds, emerging market bonds) also enjoyed an exceptional year, appreciating by 13.9% and 11.6% respectively, largely owing to the drop in risk premiums. Together, they added 1.22% to overall performance.

Both types of assets contributed positively to performance in 2016: 1.3% for hedging assets and 3.7% for performance assets.