BAILLIE GIFFORD - WordPress.com · 2015-06-30 · Performance Report for the quarter ended 30 June...

BAILLIE GIFFORD

Scottish Parliamentary Pension Scheme

Report for the quarter ended 30 June 2015

Contents

01 Valuation

02 Baillie Gifford Managed Pension Fund

17 Baillie Gifford Diversified Growth Pension Fund

26 Governance

36 Trading

39 Transactions

42 Fund Reconciliation

Contacts

Eleanor McKee [email protected] Tel: +44 (0)131 275 2748

Lindsey Knight [email protected] Tel: +44 (0)131 275 2780

Steven Murray (Investment Accountant) [email protected] Tel: +44 (0)131 275 2339

Online Reporting

You can access all your reports and other up-to-date portfolio information via our secure client extranet site https://clients.bailliegifford.com

© CNES, 2010 DISTRIBUTION SPOT IMAGE/SCIENCE PHOTO LIBRARY Poyang, China's largest freshwater lake, has been decreasing because of drought and construction of the Three Gorges Dam.

https://clients.bailliegifford.com/

Valuation and Performance Summary Report for the quarter ended 30 June 2015 01

Valuation

31 March 2015 (GBP)

30 June 2015 (GBP)

Baillie Gifford Managed Pension Fund 38,594,333 37,618,032

Baillie Gifford Diversified Growth Pension Fund 17,020,377 17,407,556

Total 55,614,710 55,025,588

Performance to 30 June 2015 (%)

Fund Net Benchmark

Baillie Gifford Managed Pension Fund

Five Years (p.a.) 10.9 9.1

Three Years (p.a.) 11.7 10.3

One Year 7.0 6.4

Quarter -2.5 -3.2

Baillie Gifford Diversified Growth Pension Fund

Five Years (p.a.) 6.6 0.5

Three Years (p.a.) 6.1 0.5

One Year 4.8 0.5

Quarter -0.7 0.1

Executive Summary Report for the quarter ended 30 June 2015 02


Performance to 30 June (%)

Fund Gross

Fund Net

†

Benchmark*

Five Years (p.a.) 11.4 10.9 9.1

Three Years (p.a.) 12.2 11.7 10.3

One Year 7.5 7.0 6.4

Quarter -2.4 -2.5 -3.2

†Net of pooled fund’s standard management charge.

*Estimated figures, with the last 12 months’ benchmark based on eleven months

of actual CAPS Pooled Fund Median and one month weighted Index estimate

Source: StatPro

Events in Greece, along with uncertainty about interest rates in America and growth in China, have contributed to weaker markets in the recent past

Investors may well remain nervous until these issues are resolved, but our broader perspective and focus on company fundamentals offers a more encouraging outlook

Our performance has been broadly in line over the past 12 months, but remains positive over the longer term

Performance Report for the quarter ended 30 June 2015 03


Performance Objective

To outperform the CAPS median Balanced Pooled Fund by 1.0 - 1.5% p.a. gross over rolling 3 year periods.

Performance

This table indicates the absolute and relative performance of the portfolio together with benchmark returns.

Fund Net (%) Benchmark* (%) Difference (%)

Five Years (p.a.) 10.9 9.1 1.8

Three Years (p.a.) 11.7 10.3 1.4

One Year 7.0 6.4 0.7

Quarter -2.5 -3.2 0.7

*Estimated figures, with the last 12 months’ benchmark based on eleven months of actual CAPS Pooled Fund Median and one month weighted Index estimate

Stock Selection Contribution by Asset Class (%)

Three Years (p.a.) One Year

Source: StatPro

Returns by Asset Class

Three Years (p.a.) One Year

Fund (%) Benchmark (%)

North America 16.4 16.4

Europe (ex UK) 16.4 15.0

UK 14.9 11.0

Developed Asia Pacific 14.3 10.5

Emerging Markets 6.3 5.0

Total Bonds -0.2 1.6

Total 11.7 10.3

Fund (%) Benchmark (%)

Developed Asia Pacific 21.2 10.3

North America 12.3 15.1

UK 8.3 2.6

Emerging Markets 3.8 6.7

Europe (ex UK) 1.9 1.4

Total Bonds -3.3 5.5

Total 7.0 6.4

Source: StatPro

-0.2

0.0

0.1

0.2

0.3

1.2

-0.5 0 0.5 1 1.5

Total Bonds

North America

Emerging Markets

Europe (ex UK)

Developed Asia Pacific

UK

-0.9

-0.4

-0.2

0.1

0.9

2.0

-2 -1 0 1 2 3

Total Bonds

North America

Emerging Markets

Europe (ex UK)


UK



Top and Bottom Ten Contributors Three Years (p.a.)

Asset Name Ave Fund Weight (%)

Benchmark (%)

% Relative Impact

Ashtead 1.3 0.1 0.4

St. James's Place 1.3 0.1 0.3

Royal Dutch Shell 0.9 3.0 0.2

Investor 1.0 0.0 0.2

Anglo American 0.0 0.4 0.1

Hargreaves Lansdown 0.9 0.0 0.1

Hexpol AB 0.5 0.0 0.1

Rightmove 0.8 0.0 0.1

Ryanair 0.5 0.0 0.1

GlaxoSmithKline 0.0 1.6 0.1

Enquest 0.5 0.0 -0.2

Lloyds Banking Group 0.0 0.7 -0.1

BT Group 0.0 0.6 -0.1

Shire Pharmaceuticals 0.0 0.4 -0.1

Vodafone 0.0 1.7 -0.1

Aggreko 0.5 0.1 -0.1

Apache Corp 0.4 0.0 -0.1

Jeronimo Martins 0.3 0.0 -0.1

Petrofac 0.5 0.1 -0.1

Premier Oil 0.3 0.0 -0.1

Source: StatPro

One Year

Asset Name Ave Fund Weight (%)

Benchmark (%)

% Relative Impact

Royal Dutch Shell 0.8 2.7 0.6

Rightmove 0.9 0.0 0.4

BP 0.0 1.6 0.4

H K Exchanges & Clearing 0.4 0.1 0.3

Ashtead 1.5 0.1 0.3

Marketaxess Holdings 0.5 0.0 0.3

GlaxoSmithKline 0.0 1.3 0.2

St. James's Place 1.5 0.1 0.2

Intermediate Capital Group 0.7 0.0 0.2

Markel 0.9 0.0 0.2

Enquest 0.3 0.0 -0.5

DistributionNOW 0.4 0.0 -0.2

Apple 0.0 0.6 -0.2

Total 0.8 0.3 -0.2

GBL 0.9 0.0 -0.2

Weir Group 0.5 0.1 -0.2

Vodafone 0.0 1.1 -0.2

Apache Corp 0.3 0.0 -0.2

Premier Oil 0.2 0.0 -0.2

EOG Resources 0.6 0.0 -0.2

Portfolio and Benchmark Returns Over Three Years

Source: StatPro

90

100

110

120

130

140

150

Jun 12 Dec 12 Jun 13 Dec 13 Jun 14 Dec 14 Jun 15

Fund Net Benchmark

Portfolio Overview Report for the quarter ended 30 June 2015 05


Top Twenty Equity Holdings

Asset Name Description of Business % of Portfolio

St. James's Place UK wealth manager 1.6

Prudential Life insurer 1.4

Ashtead Equipment rental 1.2

Rightmove UK online property portal 1.1

Svenska Handelsbanken Banking 1.1

Hargreaves Lansdown UK retail investment platform 1.0

British American Tobacco Tobacco company 1.0

Markel Markets and underwrites speciality insurance products 1.0

Nestle Food and beverage producer 1.0

BG Group Oil exploration and production company 1.0

Legal & General Life insurer 0.9

Bunzl Distributor of consumable products 0.9

eBay Internet auction and payment 0.9

Inchcape Car wholesaling and retailing 0.8

Investor Swedish industrial holdings company 0.8

Michael Page Support Services 0.8

Unilever Consumer goods manufacturer 0.8

Travis Perkins Builders merchant 0.8

Intermediate Capital Group Finance Company 0.8

Burberry Luxury goods retailer 0.7

Total 19.5

Asset Allocation Positions* (%) Equity Portfolio Industry Positions (%)

* Measured relative to the benchmark excluding Alternatives

-6.6

-3.9

-2.7

-2.2

-1.9

-0.6

0.9

2.0

6.7

8.4

-10 -5 0 5 10

Health Care

Telecommunications

Utilities

Basic Materials

Oil & Gas

Consumer Goods

Technology

Consumer Services

Financials

Industrials

-2.0

-1.7

-0.5

-0.4

0.7

1.6

2.3

-3 -2 -1 0 1 2 3


Fixed Income

North America

UK

Cash and Deposits

Europe (ex UK)

Emerging Markets

Risk Report for the quarter ended 30 June 2015 06


Our approach to risk is influenced by our belief that risk is a complex concept which cannot be reduced to a single statistic

Consequently, this page contains a selection, but by no means all, of the metrics we use to help monitor and control the risk exposures in the portfolio - some of which are there to help ensure we are taking sufficient risk to meet your investment objective

Predicted Tracking Error 1.8% Ten Largest Contributors to Stock Specific Risk

Tracking Error Split Name % Active Weight

% of Stock Specific Risk

Ashtead Group 1.1 5.1

St. James’s Place 1.5 4.3

TripAdvisor 0.6 3.9

Hargreaves Lansdown 1.0 3.6

Rightmove 1.1 3.3

Facebook 0.4 1.9

eBay 0.8 1.6

Hexpol 0.7 1.6

Barclays -0.7 1.5

Vodafone -1.0 1.5

1 Stock Specific 53%

2 Themes (Industry and Style)

47%

Source: APT/Baillie Gifford. Tracking error is the standard deviation of returns

relative to benchmark and is sometimes called relative risk. Tracking error indicates how far performance might differ from the benchmark under certain

assumptions. A higher number indicates a greater potential difference between

fund and benchmark returns under these assumptions.

APT risk models are used to generate the predicted tracking error shown and to

split between themes and stock specific risk. APT also identifies the stock positions which add most specific risk to the portfolio. APT is a third party system

which computes tracking error based on the past 3.5 years of asset return data.

Active Share (%) Rolling One Year Turnover (%)

Active Share – This is a measure of how actively managed the equity in your

portfolio is. “Active Share” ranges from 0% to 100%. If the fund is exactly in line with the benchmark then “Active Share” will be 0%. If the fund has no commonality

with the benchmark then “Active Share” will be 100%. Active Share is calculated

by taking 100 minus “Common Money” (the % of the portfolio that overlaps with the index). For the calculation of “Common Money”, for each stock the smaller of

either the portfolio or benchmark weight is taken, and these numbers are then

summed.

Rolling One Year Turnover is calculated as the lesser of the sum of all equity

purchases and the sum of all equity sales in each month divided by the month end market value, summed over 12 months. Turnover is a measure of average

investment horizon, the lower the turnover the longer the average investment

horizon.

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2

List of Holdings Report for the quarter ended 30 June 2015 07 Baillie Gifford Managed Pension Fund

Asset Name Fund %

Equities

UK

Baillie Gifford British Smaller Cos Fund C Accum 1.62

St. James's Place 1.61

Prudential 1.37

Ashtead 1.22

Rightmove 1.15

Hargreaves Lansdown 1.01

British American Tobacco 0.99

BG Group 0.95

Legal & General 0.91

Bunzl 0.90

Inchcape 0.83

Michael Page 0.80

Unilever 0.78

Travis Perkins 0.77

Intermediate Capital Group 0.76

Burberry 0.75

ARM Holdings 0.72

Jupiter Fund Management 0.67

United Business Media 0.66

IG Group 0.65

Rolls-Royce 0.64

Carnival 0.64

SABMiller 0.64

Rio Tinto 0.62

Standard Chartered 0.61

Bellway 0.61

Spirax-Sarco 0.60

Bodycote 0.56

Amlin 0.55

Johnson Matthey 0.55

Royal Dutch Shell B Shares 0.54

HSBC 0.54

Wood Group 0.52

Pearson 0.52

Scottish & Southern Energy 0.52

Ultra Electronics Hdg. 0.50

BHP Billiton 0.48

Hiscox plc 0.45

Hansteen Holdings 0.44

Capita 0.44

Halma 0.41

Asset Name Fund %

Meggitt 0.41

Vectura Group Plc 0.41

Jardine Lloyd Thompson 0.41

Weir 0.35

Victrex 0.34

Petrofac 0.31

Just Retirement Group 0.27

Auto Trader Group 0.25

Enquest 0.20

Imagination Technologies 0.15

Premier Oil 0.13

Royal Dutch Shell A(Lse) 0.09

Rolls Royce C Shares 0.01

Total UK 33.82

North America

Markel 0.99

eBay 0.87

Berkshire Hathaway B 0.71

Amazon.com 0.67

TripAdvisor 0.64

M&T Bank 0.64

First Republic Bank 0.64

MarketAxess Holdings 0.60

Danaher 0.58

Facebook 0.57

TD Ameritrade Holding Corp 0.56

Mastercard 0.54

US Bancorp 0.54

Martin Marietta Materials 0.53

Waters 0.52

Watsco Inc 0.51

Harley-Davidson 0.50

CH Robinson 0.49

Google 0.47

UPS 0.46

Google Inc Class C 0.46

American Express 0.44

EOG Resources 0.44

Pepsico 0.41

DistributionNOW 0.40

Colgate-Palmolive 0.34

Oracle 0.33


Asset Name Fund %

Xilinx 0.31

Moody's 0.29

Qualcomm 0.27

Apache 0.26

Etsy 0.21

Monsanto 0.17

Seattle Genetics 0.14

HEICO 0.14

Fairfax Financial Holdings 0.14

Total North America 16.77

Europe (ex UK)

Svenska Handelsbanken 1.12

Nestle 0.97

Investor 0.81

Hexpol AB 0.72

GBL 0.71

Carlsberg 0.64

Atlas Copco B 0.64

EXOR 0.62

Total 0.61

Jyske Bank 0.54

Dia 0.48

Schindler 0.47

L'Oreal 0.43

Coca Cola HBC (CDI) 0.43

Mettler-Toledo 0.43

Ryanair 0.43

Konecranes 0.41

Deutsche Boerse 0.38

Volvo 0.38

Kinnevik 0.38

Elringklinger 0.36

Colruyt 0.36

Alfa Laval 0.33

Sofina 0.33

Carl Zeiss Meditec 0.31

CF Alba 0.29

Titan Cement 0.26

Total Europe (ex UK) 13.87


BG Japanese Smaller Companies Fund 1.31

Asset Name Fund %

Hong Kong Exchanges & Clearing 0.46

BOC Hong Kong 0.42

MS&AD Insurance 0.42

SMC 0.41

Shimano 0.40

United Overseas Bank 0.39

Shiseido 0.37

Aristocrat Leisure 0.36

Yamaha Motor 0.36

Rakuten 0.32

Bridgestone 0.32

James Hardie Industries 0.32

NTT 0.31

FANUC 0.30

Japan Exchange Group 0.29

Japan Tobacco 0.27

Treasury Wine Estates 0.26

Kakaku.com 0.26

BHP Billiton (Aus. listing) 0.24

Olympus 0.22

Fast Retailing 0.21

Jardine Matheson 0.20

Komatsu 0.20

Advantest Corp 0.20

Hang Lung Properties 0.19

Brambles 0.19

Cochlear 0.18

CNOOC 0.16

Sca Property Group Reit S 0.16

Nissan Motor 0.16

Denso 0.13

Makita Corporation 0.11

Asahi Group Holdings 0.11

Sugi Holdings 0.10

Mesoblast 0.10

Sinotruk Hong Kong Ltd 0.09

Galaxy Entertainment Group 0.07

Sands China 0.07

Sarine Technologies 0.06

South32 0.02

Total Developed Asia Pacific 10.73

Emerging Markets


Asset Name Fund %

BG Emerging Markets Growth Fund 5.81

BG Emerging Markets Leading Companies Fund 0.45

Total Emerging Markets 6.26

Total Equities 81.45

Fixed Income

UK Bonds

BG Active Cash Plus Fund 2.49

BG Investment Grade Bond Fund 0.39

Total UK Bonds 2.88

Overseas Bonds

BG Emerging Markets Bond Fund 2.73

BG Global Credit Fund 2.55

BG Global Bond Fund 1.76

Total Overseas Bonds 7.05

Total Fixed Income 9.93

Other Cash 8.62

Total Fund 100.00

Transaction Notes Report for the quarter ended 30 June 2015 10


New Purchases

Stock Name Transaction Rationale

Advantest Corp Advantest is a potential beneficiary of the "Internet of Things", a theme we are increasingly interested in. It sells machines that are used to test semiconductor chips. This has been a difficult industry in which to make adequate profits for at least a decade. However, there are a number of reasons to expect a better result in the future. Advanced semiconductors will continue to be tested to ensure proper function and this requires the use of relatively complex equipment. Many new types of device, such as those for cars or medical applications, will probably require new testing methods which will bring opportunities for Advantest. In addition, after years of mergers and acquisitions, this chip testing equipment industry is dominated by two suppliers, Advantest and its American competitor Teradyne. We think that this concentrated industry structure bodes well for future profitability, although it may be several years before it has an effect.

Asahi Group Holdings Ltd Asahi Group Holdings has a large share of the Japanese beer market and Asahi is a leading global beer brand. The top Japanese brewers have good competitive positions based on strong brands and high barriers to entry. Although overall Japanese beer volumes are falling we believe Asahi Breweries will be able to grow its earnings through efficiency improvements and exposure to the Chinese market (via a stake in Tingyi Beverages which has leading market positions in tea, fruit juice and water as well as its stake in Tsingtao Brewery). The business is extremely cash generative and management are returning increasing amounts of cash to shareholders. Given this attractive combination of features we decided to take a holding.

Capita Group Capita is the UK's largest outsourcing company. Around half of the business serves the public sector, mostly local authorities. The business is broadly based with services ranging from benefit collection, payroll and pension administration to recruitment and property management. Capita has a strong market position, reflecting its breadth of experience and scale. The private sector is less developed but catching up rapidly, particularly in financial services, and again Capita has developed a strong position in this area. We believe that the company can grow its earnings at a rate greater than the market.

CH Robinson CH Robinson is the leading truck brokerage in the United States, acting as a middleman between manufacturers and retailers and thousands of small trucking companies. CH Robinson sits above the assets and consolidates demand and supply in two very fragmented markets. The business requires little capital investments leading to very high returns and strong cash flows, making growth highly profitable. Following a number of years of revenue growth and margin expansion, CH Robinson has seen growth slow and margins contract in recent years against a backdrop of weakening shipper demand and carrier over-capacity. We believe this is cyclical, rather than secular, and growth in the shipping broker market will pick up as demand returns and capacity tightens. Recent weakness in the share price has given us an opportunity to take a position in this leading third party logistics provider.

Denso Denso is a Toyota group company, manufacturing a wide range of car parts and components, such as air conditioning, power train, safety and electronic equipment. As well as supplying Toyota, it derives around half of sales from outside the group. We believe that Denso will benefit from steady growth in demand driven by improved vehicle efficiency and rising emissions standards. We believe that its bargaining power over its customers will improve with consolidation of the car parts market, the increased electrification of cars, and modularisation of components. We do not think this positive future is fully reflected in the share price and have therefore taken a holding.

Etsy Etsy is an online marketplace that focuses on craft, handmade and vintage goods. It has a leading position in what we think will be a growing market. The barriers to small batch manufacturing are being broken down with new technology changing the economics of making bespoke products. At the same time, there is growing demand for goods that are unique, that are responsibly sourced or locally made by artisans who are more socially aware. Although it is early days for this business, we think it has tremendous potential and have taken a small holding.

Makita Corporation Makita is a Japanese manufacturer of power tools. We believe that it has a solid competitive position based on its scale, the strength of its brand and its comprehensive sales and maintenance network. We expect its end markets to continue to improve and believe that these favourable prospects are not fully reflected in the share price.



Olympus Corp Olympus is a Japanese medical equipment business. It also makes cameras and other industrial instruments. The medical business continues to perform very well and we believe the outlook remains very favourable for this division. Olympus' cameras division has been more problematic, but we believe that management is now seriously addressing the problems it faces here. The overall capital position is improving and there are hopes that Olympus will soon return to paying a dividend so we decided to take a holding.



Notable Additions


Elringklinger ElringKlinger is a leading manufacturer of cylinder head gaskets and other technologically sophisticated products for car and truck engines. It has a dominant share in a series of attractive niche markets and generates good levels of profitability. Just as important as its current strong competitive position is the culture of the company, which has allowed it to focus both on engineering excellence and profitable business development - an unusual combination among German family-owned businesses like this one. This gives us confidence not just in ElringKlinger's growth over the next few years, but well into the future. We have therefore added to the holding.

Galaxy Entertainment Group Following the recent purchase of an initial holding in Galaxy Entertainment Group, we continued to build up a more meaningful position.

MS&AD Insurance MS&AD is a large Japanese insurance company. Following a phase of market consolidation in the past, the top three players now control over 90% of the market. We believe that this oligopolistic industry structure, along with evidence of an improving rate cycle, will mean that MS&AD will see significant improvement in the profitability of its insurance business over the coming years. MS&AD also has substantial holdings in a portfolio of Japanese equities that we believe will contribute to long-term book value appreciation. With shares trading well below book value, we believe that these attractions are not adequately factored into the share price. Therefore, we added to your holding.

Qualcomm We continue to build the position in Qualcomm.

Rolls-Royce We are taking advantage of recent share price weakness to add to the fund's holding in the jet engine supplier Rolls-Royce, which we believe has excellent long term growth prospects.

Sands China Following the recent purchase of an initial holding in Sands China, we continued to build up a more meaningful position.

Sarine Technologies Following the recent purchase of an initial holding in Sarine Technologies, we continued to build up a more meaningful position.

TD Ameritrade Holding Corp TD Ameritrade is an online brokerage firm that provides securities brokerage and other financial services to investors, traders and independent registered investment advisors. While the company has continued to grow its earnings potential at healthy rates during the downturn, actual earnings have been hurt by the low interest rate environment that has suppressed the yields on its interest-sensitive assets. We believe the potential normalisation in interest rates will have a geared effect on income, and that this is not factored into current valuations. We have therefore added to the fund's holding.

Waters Waters makes instruments that are used in laboratories to separate and characterise complex mixtures of chemicals. It sells to a range of markets such as biopharmaceutical research, food testing, and manufacturing quality control. The cyclically soft demand backdrop driven by pressures on US academic budgets, consolidation in the pharmaceutical sector, and slowing Chinese growth have hurt the company's top line in the last two years. However, we think these pressures could reverse over the next three to five years. In addition, there are strong underlying structural drivers of demand driven by innovation in the biotech space, so we have added to a small holding.

Watsco Inc Watsco is a distributor of air conditioning, heating, and refrigeration equipment. Its primary markets are across the US Sunbelt, where it is the leader in a very fragmented market. Local scale is important in this market due to the high fixed costs of operating distribution centres and fleets of vans. We think the margins are in a structural upward trend driven by consolidation and market share gains, and have added to a small holding.



Complete Sales


Aggreko We sold the position in the temporary power company Aggreko. Recent performance has been rather dull as growth has been curtailed by reduced demand. This is partly explained by some weakness in emerging economies which is likely to prove temporary, although there are also long-term threats to demand for temporary power. Competitive activity is also a factor and with a new management team in place we think there are more attractive opportunities elsewhere.

Genomic Health Genomic Health has developed two genomic-based clinical diagnostic tests for breast and prostate cancer. We are disappointed by how quickly the breast cancer franchise has matured and by the lack of any meaningful innovation from the company. We are also concerned with a new breed of competitors who are trying to develop comprehensive genomic profile tests that will look at all types of cancers. This was a small holding so we decided to move on.

Johnson & Johnson The business and the stock have performed well over the past few years and after reviewing the future growth opportunity we felt that there were better areas for capital within the portfolio.

South 32 Lon We have sold this small holding which was spun out of BHP Billiton. We do not see any particular attractions in the commodities it produces and see no reason to make it up to a meaningful holding size.

Trade Me Trade Me is a New Zealand based business with operations in e-commerce and online classifieds. We have growing concerns about the competitive position of its e-commerce business, particularly for new goods, and its real estate business. Together these make us less optimistic about the growth prospects of Trade Me over the next 5 years.

Trend Micro Trend Micro is a leading maker of anti-virus computer and internet security software. This is a highly profitable business, with gross margins above 80% and operating margins typically in the high 20% range. However, we see Trend's business facing increasing challenges. Operating systems have more built in protection to their platforms and fewer customers are willing to pay for anti-malware. We do see opportunities for Trend to grow its business in Cloud based applications, but here also it is unclear how models will develop and how great its edge is. With growth stagnating, we decided to sell the holding to fund better opportunities elsewhere.



Notable Reductions


Aristocrat Leisure Aristocrat makes slot machines for casinos. The share price has been strong in recent months in anticipation of stronger orders for slot machines, as the US economy and the casino industry recovers. We believe the market valuation now more closely reflects our assessment of the underlying value of the franchise. This, together with growing concerns about the new entrants in the industry has led us to reduce your holding in the company.

Atlas Copco B We made a small reduction to your holding to fund ideas elsewhere in the portfolio.

Deutsche Boerse After a strong rally in the shares since the lows of last autumn, we trimmed the holding in Deutsche Boerse in order to redeploy the cash elsewhere in the portfolio.

Fairfax Financial Holdings Fairfax is a Canadian insurer of commercial and reinsurance risk. We have reduced the position given the recent strong share price performance.

GBL We slightly reduced the holding in GBL to help raise cash in the portfolio.

Hong Kong Exchanges & Clearing

Following an extreme surge in the share price over the last month we decided to reduce your holding in Hong Kong Exchange. This was caused by excitement over the increasing South bound trading volumes via the new Shanghai - Hong Kong Connect programme. While the greater China opportunity has always been part of the investment case for HK Exchange we felt the shares had moved too far too fast and felt a reduction was sensible.

Investor B Investor is a Swedish holding company. We continue to admire the company, its culture, and its investment philosophy. However, the shares have performed strongly and the discount to NAV has narrowed to historically low levels - in part, we think, reflecting the general rise in equity market valuations. We have therefore trimmed the holding.

Ryanair Holdings We trimmed the holding in Ryanair slightly to help raise cash for the portfolio.

Sca Property Group Reit S SCA Properties has seen strong share price performance along with many other high yielding investments. From the current valuation it is more difficult to see how the shares can outperform Developed Asian equity markets over long periods of time. We are therefore reducing the holding.

Holdings Update Report for the quarter ended 30 June 2015 15 Baillie Gifford Managed Pension Fund

Fund Name Update

Baillie Gifford Emerging Markets Bond Fund

The past quarter has seen emerging bond yields rise and currencies weaken against sterling, producing negative absolute returns. Concerns over Greece intensified towards the end of the quarter and much uncertainty remains on its political and economic future. Fears around potential interest rate rises in the US have weighed on emerging markets. Relative performance was ahead of the benchmark during the quarter, with Serbian bonds contributing positively as yields fell significantly. Underweight positions in the Thai baht and New Zealand dollar also helped performance. In terms of portfolio positioning, we increased the size of the underweight in the Turkish lira during the quarter given rising political risk. We also opened an underweight position in the Indonesian rupiah, with a corresponding overweight in the Philippine peso, based on the divergent path of growth in each country. An overweight position was taken in Swedish krone, as growth is robust, particularly in light of the improving situation in Europe following the start of QE - an overweight in Hungarian forint was opened for similar reasons. The divergent policy outlook in the US and Europe underpins our overweight and underweight position in the US dollar and the euro respectively, while we moved the Japanese yen underweight to overweight during the quarter as we believe it has weakened too far. We made few changes to interest rate positioning, adding to Serbian bonds while reducing the underweight exposure to South African rates - we do retain an underweight to South Africa through currency positioning, reflecting its persistent current account deficit.

Baillie Gifford Worldwide Global Credit Fund

Government bond yields rose over the quarter as the UK and US markets prepared for rate increases. Furthermore, the additional yield on corporate bonds rose slightly over the quarter as investors became wary of riskier assets in the face of a potential Greek exit from the euro. We continue to find a diverse range of exciting companies in our preferred credit rating bands - BBB and BB. New holdings included Ziggo, a Dutch broadband provider, Mowhawk, a major supplier of all types of flooring, Bed, Bath & Beyond, the largest home furnishing retailer in the US and Grifols, a specialty biopharmaceutical company (headquartered in Spain) that develops, makes and distributes plasma derivative products. We also invested in a new euro issue from Sealed Air, a US listed company whose founders invented bubble wrap in the 1950s. Today Sealed Air provides food packaging and cleaning products. The company is cash generative and has a strong history of de-leveraging. This debut euro issue provided an opportunity for extra yield compared to the US dollar issue. We exited your position in Avangardco, the Ukrainian egg producer, as further depreciation of the Ukrainian currency has negated the company's efforts to boost exports and weather the economic impact of Russia's excursions into Ukraine. We also sold your holding in Isolux, the Spanish infrastructure business, following a meeting with company. Isolux has consistently disappointed in terms of both cash flow generation and debt reduction and it now seems unlikely that the business will increase its creditworthiness over time.

Holdings Update Report for the quarter ended 30 June 2015 16 Baillie Gifford Managed Pension Fund

Fund Name Update

Baillie Gifford Global Bond Fund; and Baillie Gifford Worldwide Active Cash Plus Fund

Gilt yields rose over the period following a notable sell-off in German bunds, fears around potential interest rate rises in the US and higher inflation data. Concerns over Greece intensified towards the end of the quarter and much uncertainty remains on its political and economic future. Absolute returns were negative while relative performance was ahead of benchmark over the quarter with the underweight currency position in New Zealand being the key positive contributor. In interest rate positioning, the fund's duration was increased relative to benchmark. A new overweight position was taken in Colombia, where we expect to see a reduction in the risk premium given fiscal prudence, while the underweight in Australia was closed following a period of outperformance. Weak Asian export growth and poor long-term demographics led to us increasing the bullish position in South Korea. In contrast, we maintain underweight positions in the US and Mexico given an improving economic outlook and the expectation of an interest rate hike by the Federal Reserve. The fund remains positioned to benefit from lower rates in New Zealand and Norway, and the Brazilian inflation-linked bond was retained given attractive real interest rates. The divergent policy outlook in the US and Europe underpins our overweight and underweight position in the US dollar and euro respectively, while the Japanese yen underweight was closed during the quarter as we believe it has weakened far enough. Over the period, we increased the size of the underweight in the Turkish lira given rising political risk. We also opened an underweight position in the Indonesian rupiah, with a corresponding overweight in the Philippine peso, based on the divergent path of growth in each country. An overweight position was taken in the Swedish krone, as growth is robust, particularly in light of the improving economic situation in Europe following the start of QE. An overweight in the Polish zloty was opened for similar reasons while the bullish position in Romania was closed given fiscal deterioration. Overweight positions were also retained in Mexico, India and the Czech Republic as were underweight positions in New Zealand, Thailand, Peru and South Africa.

Baillie Gifford Investment Grade Bond Fund

Returns on investment grade bonds were negative this quarter as government bond yields rose as the market prepared for rate increases. Furthermore, the additional yield on corporate bonds rose slightly over the quarter as investors became wary of riskier assets in the face of a potential Greek exit from the euro. Few changes were made to your Fund during the quarter. We took a holding in Glencore, the global commodity producer, following a weakening in the price of their bonds. Falls in commodity prices have caused sentiment towards mining companies to weaken. We felt that this lower price did not reflect the fundamental resilience of Glencore's business model, which combines production with a diverse logistics-led commodity marketing operation. We invested in Whitbread, a UK business better known for its two main brands, Costa Coffee and Premier Inn. We expect a continuation of strong past performance as the business increases its market share in the UK hotel industry, and invested at an attractive yield. Virgin Money was a new addition to your Fund. A 'challenger bank', Virgin Money has grown on the back of their acquisition of the higher quality assets of Northern Rock after poorer quality assets were contained within a so-called 'bad bank'. The company has a strong intermediary mortgage business and, in contrast with the precariously leveraged balance sheet under Northern Rock, is well capitalised and well funded. These new ideas in your Fund were funded by reductions to your holdings in John Lewis and University of Cambridge, following periods of strong performance.

Executive Summary Report for the quarter ended 30 June 2015 17


Performance to 30 June (%) Summary Risk Statistics (%)

Fund Gross

Fund Net

†

Base Rate +3.5%

Five Years (p.a.) 7.2 6.6 4.0

Three Years (p.a.) 6.8 6.1 4.0

One Year 5.5 4.8 4.0

Quarter -0.6 -0.7 1.0

Delivered Volatility 4.3

Annualised volatility, calculated over 5 years to the end of the reporting quarter

Source: Baillie Gifford

†Net of pooled fund’s standard management charge.

The Fund’s objective is to outperform the UK base rate by at least 3.5% p.a. (net

of fees) over rolling five year periods with an annualised volatility of less than 10%. Source: StatPro, Baillie Gifford

Asset class returns were mixed over the quarter. Further economic progress in the US and Europe was offset by weakening data from China, whilst market concerns escalated towards the end of the quarter due to Greece's missed IMF payment

German ten-year government bond yields moved significantly wider over the period as markets digested stronger economic numbers. This improving economic data continues to fuel speculation as to when, and by how much, the US might raise interest rates

European equity markets gave back some of their gains as Greece moved closer to default. Chinese markets also retraced much of their performance on increasing concerns on local property and debt markets. However, both markets remain positive year-to-date



Performance Objective

To outperform the UK base rate by at least 3.5% per annum (net of fees) over rolling five year periods with an annualised volatility of less than 10%.

Performance

This table indicates the net performance of the Fund together with the UK Base Rate and the UK Base Rate +3.5%.

Fund Net (%) Base Rate (%) Base Rate (%) +3.5%

Five Years (p.a.) 6.6 0.5 4.0

Three Years (p.a.) 6.1 0.5 4.0

One Year 4.8 0.5 4.0

Quarter -0.7 0.1 1.0

Source: StatPro, Baillie Gifford

Fund, UK Base Rate and UK Base Rate +3.5% Returns Since Launch of the Fund*

*31 December 2008

Source: StatPro, Baillie Gifford. All figures are total returns in sterling from 31/12/08, net of fees.

Summary Risk Statistics (%)

Delivered Volatility 4.3

Annualised volatility, calculated over 5 years to the end of the reporting quarter Source: Baillie Gifford

80

130

180

230

Dec 08 Jun 09 Dec 09 Jun 10 Dec 10 Jun 11 Dec 11 Jun 12 Dec 12 Jun 13 Dec 13 Jun 14 Dec 14 Jun 15

Fund (Net) UK Base Rate +3.5% p.a. UK Base Rate



Contributions to Performance

Quarter to 30 June 2015

Asset Class

Ave.

Weight %

0.1 18.2 1.5 4.7 13.0 0.0 9.3 0.6 4.3 6.2 10.0 3.0 16.4 8.2 4.6 100.0

Return % 0.2 0.6 4.2 1.1 0.3 -1.5 0.2 -0.9 -1.4 -1.0 -0.8 -2.5 -1.0 -3.6 -7.6 -0.6

One Year to 30 June 2015

Asset Class

Ave.

Weight %

19.1 -0.1 8.0 2.5 13.2 4.9 4.5 6.9 1.4 1.9 7.1 0.6 12.7 12.0 5.2 100.0

Return % 8.9 1.4 8.3 28.4 2.2 6.5 4.5 2.1 6.2 7.0 0.2 1.4 -0.9 -4.2 -9.3 5.5

Source: Statpro/Baillie Gifford, gross of fees in sterling. Totals may not sum due to rounding

0.2

0.1 0.1

0.0 0.0 0.0 0.0 0.0 -0.1 -0.1

-0.1 -0.1

-0.2

-0.3

-0.3 -0.6

-0.8

-0.6

-0.4

-0.2

0

0.2

0.4

0.6

Active C

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Lis

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Eq

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Pri

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Eq

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Insura

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1.9

1.4

0.7

0.6 0.4

0.3 0.2

0.2 0.2 0.1 0.0 0.0 0.0 -0.2 -0.3

5.5

0

1

2

3

4

5

6

7

Lis

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Eq

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Ab

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Portfolio Overview Report for the quarter ended 30 June 2015 20 Baillie Gifford Diversified Growth Pension Fund

Asset Allocation at Quarter End

(%)

1 Listed Equities* 21.1

2 Private Equity 1.5

3 Property 4.1

4 High Yield Credit 17.3

5 Investment Grade Bonds 6.0

6 Structured Finance 13.3

7 Commodities 4.2

8 Emerging Market Bonds 9.6

9 Infrastructure 4.2

10 Government Bonds* 0.0

11 Absolute Return 8.1

12 Insurance Linked 4.5

13 Special Opportunities 0.4

14 Active Currency+ 0.5

15 Cash and Equivalents 5.0

Total 100.0

Total may not sum due to rounding

Changes in Asset Allocation Since Launch of the Fund** (%)

* Exchange traded futures are used either to gain exposure to asset classes (with all such ‘long’ positions fully backed by cash and therefore shown at their exposure

weight) or to hedge existing investments against adverse market movements (with all such ‘short’ positions shown at their net unrealised profit or loss). As at 30 June 2015, the allocation to listed equities includes a long position in European dividend futures (equivalent to 3.5% of Fund), and a short position in S&P 500 Index futures

(equivalent to 3.0% of Fund) as a hedge against a fall in equity markets. As at 30 June 2015, the allocation to government bonds includes short positions in US 10

Year Treasury futures (equivalent to 2.4% of Fund) and Euro-Bobl futures (equivalent to 3.0% of Fund) as hedges against portfolio exposure to interest rate risk.

** 30th

December 2008 + The number shown against active currency reflects the net unrealised profit or loss of open positions in the Fund as at 30

th June 2015.

++ Includes net active currency position

1

2

3

4

5 6

7

8

9

11

12

15

0

10

20

30

40

50

60

70

80

90

100

Jan 09 Jul 09 Jan 10 Jul 10 Jan 11 Jul 11 Jan 12 Jul 12 Jan 13 Jul 13 Jan 14 Jul 14 Jan 15

%

Cash and Equivalents

Special Opportunities

Insurance Linked

Absolute Return

Government Bonds*

Infrastructure Bonds

Infrastructure

Emerging Market Bonds

Commodities

Structured Finance

Investment Grade Bonds

High Yield Credit

Property

Private Equity

Listed Equities*

++

Risk Report for the quarter ended 30 June 2015 21


Summary Risk Statistics (%)

Predicted Volatility 6.2

Source: Baillie Gifford, Moody’s Analytics UK Limited

Market sentiment and short-term trading activity continues to be heavily influenced by the actions of central banks, most notably the Federal Reserve which defines the path of US domestic monetary policy

Concerns over a possible Greek default, and the country leaving the Eurozone, captured a lot of attention in late June. The probability of the UK leaving the European Union has also increased and may cause concerns for local markets from here

The Diversified Growth Fund remains broadly diversified. We added to European assets (property, dividend futures and high yield) but remain cautious on potential interest rate rises, opting to hedge much of the interest rate risk on our euro and US dollar credit exposure

Risk Attribution

Source: Moody’s Analytics UK Limited, Baillie Gifford & Co


* As at 30 June 2015, the allocation to listed equities includes a long position in European dividend futures (equivalent to 3.5% of Fund), and a

short position in S&P 500 Index futures (equivalent to 3.0% of Fund) as a hedge against a fall in equity markets. The allocation to government bonds includes short positions in US 10 Year Treasury futures (equivalent to 2.4% of Fund) and Euro-Bobl futures (equivalent to 3.0% of Fund)

as hedges against portfolio exposure to interest rate risk.

Predicted volatility is based on a snapshot of the Diversified Growth portfolio at the end of the quarter, and provides a one-year prediction of the volatility of returns. The risk model uses long and short-term volatility and correlation data to arrive at a view of the one-year volatility for each asset class, as well as the correlation between each asset class. The Diversified Growth portfolio’s holdings can then be mapped onto these estimates. The results are a prediction of portfolio volatility and detailed risk attribution, the latter of which shows the contribution to overall volatility from each asset class.

6.2

16.9

0

2

4

6

8

10

12

14

16

18

Diversified Growth Global Equities

Listed Equities* 51.8%

Private Equity 5.4%

Property 4.6%

High Yield Credit 6.3%

Investment Grade Bonds 0.5%

Structured Finance 12.3%

Special Opportunities 0.7%

Commodities 0.8%

Emerging Market Bonds 9.3%

Infrastructure 5.1%

Government Bonds* -1%

Absolute Return 3.8%

Insurance Linked 0.3%

Active Currency -0.1%

Cash 0%

List of Holdings Report for the quarter ended 30 June 2015 22 Baillie Gifford Diversified Growth Pension Fund

Asset Name Fund %

Listed Equities*

Baillie Gifford Global Alpha Growth Fund C Acc 5.6

Baillie Gifford Global Income Growth Fund C Acc 4.9

BG Worldwide Japanese Fund C GBP Acc 2.8

Baillie Gifford Pacific Fund C Accum 2.0

Baillie Gifford LTGG Fund C Accum 1.9

Euro Stoxx 50 Index Dividend Futures 17 0.8





Fondul Proprietatea GDR 0.4



Damille Investments II 0.0

S&P 500 Index Future Sep 15 (Short) 0.0

Total Listed Equities 21.1

Private Equity

Graphite Enterprise Trust 0.3

NB Private Equity Partners 0.3

Electra Private Equity 0.3

HarbourVest Global Private Equity 0.3

Better Capital 0.2

JZ Capital Partners 0.1

Better Capital 2012 0.1

Dunedin Enterprise Investment Trust 0.1

Total Private Equity 1.5

Property

Land Securities 0.6

Hammerson 0.5

Tritax Big Box REIT 0.5

LondonMetric Property 0.4

British Land 0.3

UK Commercial Property Trust 0.3

Deutsche Annington Immobilien 0.2

Deutsche Wohnen 0.2

Gecina 0.2

Target Healthcare REIT 0.1

Ediston Property Investment Company 0.1

Hibernia 0.1

Icade 0.1

Asset Name Fund %

LEG Immobilien 0.1

Beni Stabili REIT 0.1

Japan Residential Investment Company 0.1

Cofinimmo 0.1

Vastned Retail 0.1

Alstria Office 0.0

Terra Catalyst Fund 0.0

Axiare Patrimonio Socimi REIT 0.0

Immobiliare 0.0

Invista 9% 2016 Pref 0.0

Total Property 4.1

High Yield Credit

Baillie Gifford High Yield Bond Fund C Gross Acc 7.2

Credit Suisse Nova (Lux) Global Senior Loan Fund 1.5

Henderson Secured Loans Fund 1.5

NB Global Floating Rate Income Fund 1.0

NN (L) Flex Senior Loans 0.8

Invesco Senior Income Trust 0.4

NB Distressed Debt Investment Fund EL 0.3

Nuveen Floating Rate Income Fund 0.3

Eaton Vance Floating Rate Income Trust 0.3

Voya Prime Rate Trust 0.2

BlackRock Floating Rate Income Trust 0.2

CVC Credit Partners European Opportunities GBP 0.2

Pioneer Floating Rate Trust 0.2

Nuveen Senior Income Fund 0.1

Apollo Senior Floating Rate Fund 0.1

Eaton Vance Senior Income Trust 0.1

CVC Credit Partners European Opportunities EUR 0.1

T-Mobile USA 6.542% 2020 0.1

MEG Energy 6.375% 2023 0.1

Atwood Oceanics Inc 6.5% 2020 0.1

Community Health Systems 7.125% 2020 0.1

Arcelormittal 5.25% 2020 0.1

Tenet Healthcare 8% 2020 0.1

Unitymedia Hessen 5.5% 2023 0.1

Valeant Pharmaceuticals 7.5% 2021 144A 0.1

APX Group Inc 6.375% 2019 0.1

Navient 5.5% 2019 0.1

Schaeffler Finance 4.75% 2021 0.1

Citgo Petroleum 6.25% 2022 144A 0.1

Avaya 7% 2019 144A 0.1


Asset Name Fund %

Icahn Enterprises 4.875% 2019 0.1

Time Inc 5.75% 2022 0.1

Terex Corp 6% 2021 0.1

Commerzbank 8.125% 2023 0.1

Clear Channel Worldwide 7.625% 2020 0.1

MGM Resorts 7.75% 2022 0.1

Reynolds Group 5.75% 2020 0.1

Rite Aid 9.25% 2020 0.1

Post Holdings 6.75% 2021 0.1

Pacific Drilling 5.375% 2020 0.1

Alcoa 5.72% 2019 0.1

Linn Energy 8.625% 2020 0.1

Windstream Corporation 7.75% 2021 0.1

First Trust Senior Floating Rate 0.1

Frontier Communications 7.625% 2024 0.1

Sequoia Economic Infrastructure Income Fund 0.1

Peabody Energy Group 6% 2018 0.1

DPL 7.25% 2021 0.0

Genon Energy Inc 7.785% 2017 0.0

HarbourVest Senior Loans Europe 0.0

Total High Yield Credit 17.3

Investment Grade Bonds

BG Worldwide Global Credit Fund C USD Acc 6.0

Total Investment Grade Bonds 6.0

Structured Finance

Galene Fund 3.8

Metreta Fund 3.0

Julius Baer Multibond ABS Fund 2.6

Credit Suisse Lux Global Securitized Bond Fund USD

1.0

Sorrento Park CLO A-1 0.4

German Residential Funding 2013-1 D 0.3

TwentyFour Income Fund 0.2

Babson CLO 2014-2 A1 0.2

Carlyle CLO 2014-3 A-1A 0.2

Annington PIK 13% 2023 0.2

Phoenix Park 1X A1 0.2

St Pauls CLO V A 0.2

Granite 2007-1 3M2 0.2

Blackstone/GSO Loan Financing Fund 0.2

Carador Income Fund 0.1

German Residential Funding 2013-1 E 0.1

Asset Name Fund %

Phoenix Park 1X A2 0.1

Sorrento Park CLO A-2 0.1

Taberna 2005-1A A1A 0.1

St Pauls CLO V B 0.0

Babson CLO 2014-2 B1 0.0

Carlyle CLO 2014-3 A-2A 0.0

Total Structured Finance 13.3

Commodities

Source Physical Gold P-ETC 1.9

ETFS Physical Palladium 0.8

Source Physical Palladium P-ETC 0.6

Source Physical Platinum P-ETC 0.5

ETFS Physical Platinum 0.4

Total Commodities 4.2

Emerging Market Bonds

Baillie Gifford Emerging Mkts Bond Fd C Gross Acc 7.2

Brazil CPI Linked 6% 15/08/2050 0.9

Mexico IL 4% 15/11/2040 0.7



Colombia 7.5% 26/08/2026 0.2

Colombia 7% 04/05/2022 0.1

Total Emerging Market Bonds 9.6

Infrastructure

3i Infrastructure 0.7

EDP Renovaveis 0.6

Greencoat UK Wind 0.5

Renewables Infrastructure Group 0.4

NextEnergy Solar Fund 0.3

National Grid 0.3

OHL México 0.3

John Laing Environmental Assets Group 0.3

Foresight Solar Fund 0.3

Bluefield Solar Income Fund 0.2

Terna 0.2

Snam Rete Gas 0.2

Total Infrastructure 4.2


Government Bonds**

US 10yr Note Future Sep 15 (Short) 0.0

Euro-Bobl Future Sep 15 (Short) 0.0

Total Government Bonds 0.0

Absolute Return

Allianz Merger Arbitrage Strategy 2.9

Aspect Diversified Trends Fund 2.1

Amundi Volatility World Equities 1.0

Ferox Salar Convertible Absolute Return Fund 0.9

Winton Futures Fund 0.5

MS Broadmark Tactical Plus UCITS Fund 0.5

Boussard & Gavaudan 0.2

Total Absolute Return 8.1

Insurance Linked

Everglades Re 2014-1 A 0.8

Tar Heel Re 2013-1 A 0.6

Merna Re 2015-1 0.4

Everglades Re 2013-1 A 0.4

Alamo Re 2014-1 A 0.4

Lakeside Re III A 0.4

Embarcadero Re 2012-2 A 0.4

Tradewynd Re 2014-1 3B 0.3

CatCo Reinsurance Opportunity Fund 0.2

Blue Capital Reinsurance Holdings Fund 0.1


Blue Capital Global Reinsurance Fund 0.1

Vitality Re VI 2015-1 A 0.1

MultiCat Mexico 2012-1 B 0.1

Skyline Re 2014-1 A 0.1


Tradewynd Re 2014-1 3A 0.0

K1 Life Settlement 0.0

Total Insurance Linked 4.5

Special Opportunities

DP Aircraft I 0.2

Juridica Investments 0.1

Doric Nimrod Air Two 0.1

Total Special Opportunities 0.4

Active Currency+

Total Active Currency 0.5

Cash and Equivalents

Cash and UK T-Bills 3.2

BG Worldwide Active Cash Plus Fund C GBP Acc 1.8

Total Cash and Equivalents 5.0

Total 100.0


Exchange traded futures are used either to gain exposure to asset classes (with

all such ‘long’ positions fully backed by cash and therefore shown at their

exposure weight) or to hedge existing investments against adverse market movements (with all such ‘short’ positions shown at their net unrealised profit or

loss).

* As at 30 June 2015, the allocation to listed equities includes a long position in European dividend futures (equivalent to 3.5% of Fund), and a short position in

S&P 500 Index futures (equivalent to 3.0% of Fund) as a hedge against a fall in

equity markets. ** As at 30 June 2015, the allocation to government bonds includes short

positions in US 10 Year Treasury futures (equivalent to 2.4% of Fund) and Euro-

Bobl futures (equivalent to 3.0% of Fund) as hedges against portfolio exposure to interest rate risk. + The number shown against active currency reflects the net unrealised profit or

loss of open positions in the Fund as at 30 June 2015

Holdings Update Report for the quarter ended 30 June 2015 25 Baillie Gifford Diversified Growth Pension Fund

Fund Name Update

Baillie Gifford Diversified Growth Fund

Recent changes to the portfolio have included a modest addition to European high yield bonds and property markets, as well as to European equity dividend futures. We explicitly hedged out the interest rate risk exposure that comes with European high yield bonds by opening a short position in a German five-year government bond future, thus isolating the spread component of the position which we believe is the most interesting part of the investment case. We also reduced the Fund's short Australian dollar exposure over the quarter. We had seen this position as offering protection to the portfolio against further Chinese weakness. As this has come to pass, the Australian dollar has moved closer to its fair value, and so we have reduced the size of the position. Lastly, we made changes to the instruments held within our insurance linked securities, high yield credit and structured finance allocations. The increased allocation to European property followed a reduction in Real Estate Investment Trust (REIT) valuations, with most falling from their first quarter highs by at least 10%, to trade around their book value. As such, we invested 2% of the Fund in a basket of 12 names, which provide exposure to a diverse mix of properties (office, retail and other), primarily in central Europe. These REIT's have only moderate leverage and offer a net initial yield of around 6%. We see this yield as being particularly attractive relative to European government yields of below 1%, especially given a fairly healthy economic backdrop in Germany. On a similar note, we increased the Fund's European high yield bond exposure, investing another 3% in the Baillie Gifford High Yield Bond Fund. Credit spreads in Europe are attractive at around 4%, which is close to their historical average spread. However, the current default environment remains benign and the quality of covenants in new issues has improved of late, giving us more confidence in the attraction of these bonds priced at current spread levels. Lastly in Europe, we made a small addition (1%) to our dividend futures exposure. Markets continue to price a 3% annual fall in the level of dividends that will be paid by Europe's leading companies, as defined by the Euro Stoxx 50 index. Our latest analysis suggests that, whilst some companies may choose, or be forced, to cut their dividends, the overall level of dividends is more likely to continue to rise by a few percentage points a year, meaning that these contracts remain attractively priced. Away from Europe, we reduced our interests in the Apollo Senior Floating Rate Trust, a US loan fund; Burford Capital, a UK litigation finance fund held within our special opportunities asset class; and East Lane Re V and Lakeside Re III A, two insurance linked securities covering earthquake and hurricane risks in US, all of these on valuation grounds. Additions over the quarter included the Credit Suisse (Lux) Global Securitized Bond Fund, which we believe complements and improves our existing holdings in highly-rated senior structured finance; and DP Aircraft I, a fund which owns and leases Boeing 787 aircraft.

Governance Summary Report for the quarter ended 30 June 2015 26

Voting Activity

Votes Cast in Favour

Companies 138

Resolutions 1825

Votes Cast Against

Companies 51

Resolutions 88

Votes Abstained/Withheld

Companies 7

Resolutions 9

The focus on climate change and the transition to a low carbon economy is intensifying

During the quarter, we attended key policy events in Paris in the run up to the international climate negotiations and supported important industry research

More work is under way, looking at the risks and opportunities arising from climate change for the companies within our portfolios

Company Engagement

Engagement Type Company

Corporate Governance Standard Chartered PLC

Environmental/Social BHP Billiton Limited, EOG Resources, Inc., Rio Tinto plc, TOTAL S.A.

AGM or EGM Proposals Apache Corp., Aspect Ucits Funds Plc, Carador Income Fund Plc, Coca-Cola HBC AG, Corporacion Financiera Alba S.A., Distribuidora Internacional de Alimentacion S.A., EOG Resources, Inc., Facebook Inc., First Republic Bank, Genomic Health Inc., Google Inc., Hammerson plc, Hexpol AB (Publ), JZ Capital Partners Limited, Jupiter Fund Management Plc, L'Oreal SA, Mettler-Toledo International Inc., OHL Mexico SAB De CV, U.S. Bancorp

Executive Remuneration ARM Holdings plc, Burberry Group plc, EnQuest PLC

Notes on company engagements highlighted in blue can be found in this report. Notes on other company

engagements are available on request.


In our 2014/15 annual governance review, we commented on the importance of climate change and the low carbon economy as key themes for the years ahead. While we appreciate that clients will have a range of views on climate change, it is clear that global policy, regulation and sentiment are all moving in a similar direction, and this momentum will continue to build as we move towards the important global climate change negotiations in Paris at the end of the year. To help reinforce our own commitment to addressing these themes, we strengthened our team resources in this area at the start of the year. It seems sensible, therefore, to use this quarter's letter to provide a brief overview of some of the work we are undertaking.

Our focus this quarter was largely on generating a good basis from which to move into a more detailed research and engagement programme. Key strategic research activities looking at climate change, stranded assets and divestment are currently being amalgamated into a white paper which will set out how we are starting to think about climate change and our overall approach to addressing the risks and opportunities associated with it. We look forward to sharing this with you in due course.

In May, we attended the two-day Business and Climate Summit in Paris. This event brought together 1,700 business leaders to discuss potential climate impacts on business in advance of the 21st Conference of Parties of the United Nations Framework Convention on Climate Change (the UNFCCC COP21). CEOs of

leading businesses from all sectors were joined by prominent politicians from around the world, including the French President, François Hollande. The summit sought to promote a progressive response from policymakers, calling on them to:

introduce robust and effective carbon pricing mechanisms on all emissions – including the elimination of fossil fuel subsidies

establish an alliance between businesses and governments leading to the integration of climate policies into the mainstream economy

leverage public funds and private sector finance to de-risk investment towards low-carbon assets, especially in developing countries

This Business and Climate Summit was followed directly by Climate Finance Day, during which the French Government took the opportunity to announce plans for mandatory portfolio carbon footprint disclosure for French institutional investors. Of most relevance for asset management was the discussion on fossil fuel divestment. Here, the message accorded well with our own approach, with a preference to stimulate an orderly transition over the next 20–30 years underpinned by engagement. The general consensus was that divestment only has a place where engagement has demonstrated that the companies cannot and will not change, or at a project level where the company's allocation of capital (e.g. to high cost high carbon projects) is not in investors’ best


interests, thereby moving away from carbon risk rather than entire sectors of the economy. We have been working with a number of clients over the quarter to discuss divestment pressures.

More recently, June saw the launch of Mercer’s report ‘Investing in a Time of Climate Change’, which we contributed to as one of 18 global research partners and only two asset managers. The report made it clear that for all future scenarios evaluated, changes in returns could be seen when adding the effects of climate change policy, low carbon technology, changes in natural resource availability and climate impacts to investment calculations.

Developed market equities showed the potential for loss of returns without active management of carbon risk in all scenarios, whereas potential opportunities could be seen for emerging market equities supported by a strong decarbonisation scenario. A more detailed summary of the report and its key findings will be provided in our white paper and the full public report is available on the Mercer website

1. Collaborating on a project such as this

has added to our research efforts and provided a useful framework for climate change discussions with investee companies.

Our work plan for the next 12 months will comprise broad portfolio footprint analysis alongside more detailed company level work. In conjunction and collaboration with our investment managers, we will focus initially on the following carbon-intensive sectors: metals & mining; oil & gas; chemicals; and, agriculture. The company level analysis will seek to understand exposures, opportunities and governance capabilities to address climate change and the transition to a low carbon economy. Engagement with companies in these sectors has begun but we think that this will be the start of many more conversations on carbon in the years ahead.

Our research and engagement efforts seek to provide important insights into company resilience and maximisation of opportunities over the coming years, which we expect to be characterised by regulatory and consumer demand changes. Already we are seeing companies offer greater numbers of goods and services designed for a carbon constrained world, and we expect to see more as our work continues. We look forward to updating you as this work progresses over the coming quarters.

1 http://www.mercer.com/content/mercer/global/all/en/insights/focus/invest-in-

climate-change-study-2015.html.

http://www.mercer.com/content/mercer/global/all/en/insights/focus/invest-in-climate-change-study-2015.html

http://www.mercer.com/content/mercer/global/all/en/insights/focus/invest-in-climate-change-study-2015.html

Governance Engagement Report for the quarter ended 30 June 2015 29

Company Engagement Report

BHP Billiton Limited We had a conference call with the company's Head of Health, Safety and Environment and Senior Governance Manager. It was a high level overview ahead of the AGM. It was clear that the company was concerned about the recent increase in fatalities and that detailed investigations had been initiated. We discussed its approach to climate change but this was a fairly superficial conversation that discussed policy rather than actions. The demerger of the business South 32 means the company has removed some of the "dirtier" aspects of the business. We are keen to understand more on the outcomes of the investigations into the fatalities and on the fossil fuel activities, including how the company's scenario-based approach to climate change planning is working in practice and influencing future strategies. The role of the board in these conversations will also be interesting.

EOG Resources, Inc. We took the opportunity to ask questions around climate change strategy during an investor update meeting with EOG Resources. It was clear that the company's main drivers were operational cost reductions rather than emissions. The time taken to drill a well has come down and the expectation is that the energy required will therefore also have reduced. EOG reported a 99% emissions and gas capture from its drilling operations. It is clear that this company has not thought deeply about the risks and opportunities that the debates around fossil fuels present. Conversations will continue.

Rio Tinto plc Following a review of companies' exposures to different forms of fossil fuels, specifically our attempt to identify those with exposure to more carbon intensive fuels, we had a call with Rio Tinto. We were looking to establish the percentage revenue generated from thermal (rather than metallurgical) coal. This figure was not disclosed in the Annual Report. It is relevant if trying to clearly understand a company's future exposure to, and risk from, potential carbon regulation and taxes. We were the first to request this disclosure. For reference, less than 5% of the company's revenue is currently generated from thermal coal. Engagement with all companies with exposure to the carbon debate is ongoing.

Standard Chartered PLC Following the announcement earlier this year that there would be substantial governance changes at the executive and non-executive level of the company, we spoke to the new CEO, Bill Winters and the chairman Sir John Peace. Three topics were covered: people and culture, capital strength, and the focus between the retail and investment banks. These are very early days for the new executive management team and we look forward to continuing the dialogue.

TOTAL S.A. Total is a global energy company although until recently it was described as a global oil and gas company. This change of emphasis illustrates an awareness of the current lively debates around the world about the future of fossil fuels, energy efficiency and renewable energies. Total is also developing its solar and biomass research and development capabilities. We had difficulty identifying the percentage revenue the company generates from tar sands, a fossil fuel with high carbon intensity. Our conversations with all oil, gas and mining companies are continuing; they focus on attitude to energy efficiency, awareness of the climate change debate, health & safety, and the focus of future investment activities.

Voting Report for the quarter ended 30 June 2015 30

Votes Cast in Favour

Company Meeting Details Resolution(s) Voting Rationale

Amazon.com Annual 10/06/15

3 We supported a shareholder resolution requesting the introduction of proxy access as we believe it is in shareholders' best interests.

Apache Annual 14/05/15

8 We supported a shareholder resolution to introduce proxy access as we believe it will improve the company's governance provisions.

eBay Annual 01/05/15

6 We supported a shareholder resolution requesting the introduction of proxy access as we believe it is in shareholders' best interests.

EXOR OGM 29/05/15

2.B.1 Italian governance allows shareholders to submit 'slates' of directors for election at the AGM. We voted in favour of the 'slate' where the majority of directors currently sit on the board, although this is a non-controversial election and directors from both 'slates' will be appointed. We therefore no voted the other 'slate'.

EXOR OGM 29/05/15

2.C.1 Italian governance allows shareholders to submit 'slates' of internal auditors for election at the AGM. We voted in favour of the 'slate' where the majority of internal auditors currently sit on the statutory auditors' board and opposed the second 'slate'. This is routine and non-contentious.

Google Annual 03/06/15

6 We supported a shareholder resolution requesting the adoption of a majority voting standard for director elections as we believe it is in shareholders best interests.

Pepsico Annual 06/05/15

5 We supported a shareholder resolution to amend the vesting schedule of equity awards upon a change in control as we believe it is consistent with best practice and aligned with shareholders.

Royal Dutch Shell A(Lse) AGM 19/05/15

21 We supported a shareholder resolution on climate change as we believe it is in the best interests of the company and its shareholders.

Royal Dutch Shell B Shares AGM 19/05/15

21 We supported a shareholder resolution on climate change as we believe it is in the best interests of the company and its shareholders.

UPS Annual 07/05/15

5 We supported a shareholder resolution to eliminate the company's dual share structure in favour of a one-share, one-vote format.

UPS Annual 07/05/15

6 We supported a shareholder resolution requesting the adoption of an anti tax gross-up policy.


Companies Voting Rationale

ARM Holdings, Aggreko, Alfa Laval, Amazon.com, American Express, Amlin, Apache, Apollo Senior Floating Rate Fund, Atlas Copco B, BG Group, BG Worldwide Active Cash Plus Fund C GBP Acc, BG Worldwide Global Credit Fund C USD Acc, BG Worldwide Japanese Fund C GBP Acc, BHP Billiton, BHP Billiton (Aus. listing), BOC Hong Kong, Berkshire Hathaway B, Blackstone/GSO Loan Financing Fund, Blue Capital Global Reinsurance Fund, Blue Capital Reinsurance Holdings Fund, Bodycote, British American Tobacco, Bunzl, Burford Capital, CF Alba, CNOOC, Carador Income Fund, Carnival, Coca Cola HBC (CDI), Colgate-Palmolive, DP Aircraft I, Damille Investments II, Danaher, Deutsche Boerse, Dia, DistributionNOW, Dunedin Enterprise Investment Trust, EDP Renovaveis, EOG Resources, EXOR, Elringklinger, Enquest, FANUC, Facebook, Fairfax Financial Holdings, Ferox Salar Convertible Absolute Return Fund, First Republic Bank, Fondul Proprietatea, Foresight Solar Fund, GBL, Galaxy Entertainment Group, Genomic Health, Google, Graphite Enterprise Trust, Greencoat UK Wind, HSBC, Hammerson, Hang Lung Properties, Hansteen Holdings, Harley-Davidson, Hexpol AB, Hiscox plc, Hong Kong Exchanges & Clearing, Inchcape, Investor, JZ Capital Partners, Japan Exchange Group, Japan Residential Investment Company, Jardine Lloyd Thompson, Jardine Matheson, Johnson & Johnson, Jupiter Fund Management, Juridica Investments, Kakaku.com, Kinnevik, Komatsu, L'Oreal, Legal & General, M&T Bank, MS Broadmark Tactical Plus UCITS Fund, MS&AD Insurance, Markel, MarketAxess Holdings, Martin Marietta Materials, Mastercard, Meggitt, Mettler-Toledo, Michael Page, Moody's, NB Distressed Debt Investment Fund EL, NB Global Floating Rate Income Fund, NTT, Nestle, NextEnergy Solar Fund, Nissan Motor, OHL México, Pearson, Pepsico, Petrofac, Premier Oil, Prudential, Renewables Infrastructure Group, Rightmove, Rio Tinto, Rolls-Royce, Royal Dutch Shell A(Lse), Royal Dutch Shell B Shares, SMC, Sands China, Sarine Technologies, Seattle Genetics, Shiseido, Sinotruk Hong Kong Ltd, Snam Rete Gas, Sofina, Spirax-Sarco, St. James's Place, Standard Chartered, Sugi Holdings, Terna, Titan Cement, Total, Travis Perkins, TripAdvisor, Tritax Big Box REIT, UK Commercial Property Trust, UPS, US Bancorp, Ultra Electronics Hdg., Unilever, United Business Media, United Overseas Bank, Volvo, Waters, Watsco Inc, Weir, Wood Group, eBay

We voted in favour of routine proposals at the aforementioned meeting(s).

Votes Cast Against


Amazon.com Annual 10/06/15

4-6 We opposed three shareholder resolutions as they were overly prescriptive and of limited benefit to shareholders.

American Express Annual 11/05/15

4 We opposed a shareholder resolution regarding workforce diversity as we believe the company has suitable policies already in place.


5 We opposed a shareholder resolution on data security as it is overly prescriptive.




7 We opposed a shareholder resolution on political lobbying as it is overly prescriptive.


8 We opposed a shareholder resolution requesting an independent chairman as we are satisfied with the current level of independence and oversight on the board.

BOC Hong Kong AGM 16/06/15

5, 7 We opposed two resolutions which sought authority to issue equity because the potential dilution levels are not in the interests of shareholders.

Burford Capital AGM 05/05/15

7 We opposed the proposal that gave the company the right to issue an additional third of its issued share capital via a rights issue under Section 551 of the Companies Act 2006. We do not believe that it is in our clients' best interests to forego the right to vote on a large rights issue at an EGM.

Carnival AGM 14/04/15

13, 14 We opposed two resolutions regarding the executive's remuneration as several aspects are not in line with best practice.

CNOOC AGM 21/05/15

B.2, B.3 We opposed two resolutions which sought authority to issue equity because the potential dilution levels are not in the interests of shareholders.

Coca Cola HBC (CDI) AGM 23/06/15

6 We opposed the executive remuneration report due to a lack of performance conditions under the long-term incentive plan.

Danaher Annual 07/05/15

4 We opposed a shareholder resolution which requested a report on political contributions which is overly prescriptive and of minimal benefit to shareholders.


7 We opposed a shareholder proposal regarding gender pay as we believe that it is overly prescriptive and we are satisfied with the company's current policies and practices.

EOG Resources Annual 30/04/15

4 We opposed a shareholder resolution requesting proxy access as the company already has committed to introduce this policy ahead of next year's AGM.

EOG Resources Annual 30/04/15

5 We opposed a shareholder resolution requesting the production of an emissions report as we believe it is overly prescriptive.

EXOR OGM 29/05/15

2.C.2 Italian governance allows shareholders to submit 'slates' of internal auditors for election at the AGM. We voted in favour of the 'slate' where the majority of internal auditors currently sit on the statutory auditors' board and opposed the second 'slate'. This is routine and non-contentious.

Facebook Annual 11/06/15

3 We opposed the Equity Incentive Plan as it enables repricing which we do not believe is aligned with shareholders.

Facebook Annual 11/06/15

4-6 We opposed three shareholder resolutions which were overly prescriptive.

Galaxy Entertainment Group AGM 16/06/15

4.2, 4.3 We opposed two resolutions which sought authority to issue equity because the potential dilution levels are not in the interests of shareholders.



Genomic Health Annual 11/06/15

2 We opposed the amendments to the Equity Incentive Plan as it includes a repricing provision which we do not believe is appropriate or aligned with shareholders' best interests.

Genomic Health Annual 11/06/15

3 We opposed the executive compensation as awards granted during the year include a repricing provision which we do not believe is appropriate or aligned with shareholders' best interests.


3 We opposed the amendments to the Equity Incentive Plan as it allows repricing which we do not believe is aligned with shareholders.


4, 5, 7, 8 We opposed four shareholder resolutions which were overly prescriptive.

Hang Lung Properties AGM 29/04/15


HSBC AGM 24/04/15

2 We opposed the executive remuneration report due to the inclusion of allowances which we do not believe are aligned with shareholders.

Investor AGM 12/05/15

18.A, 18.B, 18.D

We opposed three shareholder proposals because they are not in shareholders current best interests.

Investor AGM 12/05/15

18.C We opposed a shareholder proposal which was too prescriptive.

Johnson & Johnson Annual 23/04/15

4-6 We opposed three shareholder proposals which were too prescriptive.

JZ Capital Partners EGM 19/06/15

1, 2 We opposed two related party transactions as we do not believe they are in shareholders' best interests.

Kinnevik AGM 18/05/15

21.A-21.F We opposed six shareholder proposals which were too prescriptive.

Komatsu AGM 24/06/15

5 We opposed the bonus payments proposal due to the request including outsiders. We believe this does not promote alignment with shareholders.

Komatsu AGM 24/06/15

6 We opposed the Directors Deep Discount Stock Option Plan given the plan exercise period begins before retirement.

MarketAxess Holdings Annual 04/06/15

3 We opposed the resolution to ratify the executive compensation; performance conditions are lacking.

Mettler-Toledo Annual 07/05/15

4 We opposed the executive compensation policy due to a lack of performance conditions.

Moody's Annual 14/04/15

4 We opposed the executives' compensation as we do not believe the vesting conditions attached to the Long-Term Incentive Plan are appropriate.


4 We opposed a shareholder proposal requesting the establishment of a Sustainability Committee as we believe it is too prescriptive.


6 We opposed a shareholder proposal regarding pesticide control as we believe it is too prescriptive.

Sands China AGM 17/06/15




Snam Rete Gas OGM 29/04/15

3 We opposed the company's new long-term incentive plan as we have concerns over the alignment between pay and performance.

UPS Annual 07/05/15

4 We opposed a shareholder resolution on political lobbying as it was overly prescriptive.

US Bancorp Annual 21/04/15

5 We opposed a shareholder resolution requesting the Board elect an independent chairman as we are satisfied with the current level of board independence.


Total We opposed a shareholder proposal which is too prescriptive.

Pepsico, US Bancorp We opposed the executive compensation policy as we do not believe the performance conditions are sufficiently stretching

Johnson & Johnson We opposed the executive compensation policy due to a lack of disclosure

Nissan Motor, SMC, Shiseido We opposed the low dividend payment as we believe the company's capital strategy is not in the interests of shareholders.

ARM Holdings, Amlin, Bodycote, British American Tobacco, HSBC, Hammerson, Hiscox plc, Jupiter Fund Management, Pearson, Premier Oil, Rio Tinto, Rolls-Royce, Standard Chartered, Travis Perkins, United Business Media, Wood Group

We opposed the proposal that gave the company the right to issue up to two-thirds of its issued share capital via a rights issue under Section 551 of the Companies Act 2006. We do not believe that it is in our clients' best interests to forego the right to vote on a large rights issue at an EGM.

Sarine Technologies, United Overseas Bank We opposed the resolution which sought authority to issue equity because the potential dilution levels are not in the interests of shareholders.

Votes Abstained



6 We abstained on a shareholder resolution to introduce the right to act by written consent as we believe it will be of minimal benefit to shareholders.

Apache Annual 14/05/15

6 We abstained on the executive compensation policy because despite recent improvements to management's pay we had concerns over the size of the retirement package to the outgoing Chief Executive.


5 We abstained on a shareholder resolution as we believe it would have minimal benefits for shareholders.

L'Oreal MIX 22/04/15

E.8 We decided to abstain on the resolution which sought authority to issue equity because the potential dilution levels are not in the interests of shareholders.

Nestle AGM 16/04/15

1.2 We abstained on the company's remuneration report as certain aspects are not in line with best practice.

Petrofac AGM 14/05/15

7 We abstained on the re-election of an INED who resigned from the board following a job offer from a competitor.

Standard Chartered AGM 06/05/15

15 We abstained on the re-election the Chair of the Remuneration committee. She is leaving the board at the end of the year.




18 This resolution was removed from the AGM agenda.


3 We abstained on the resolution to approve the remuneration report. We acknowledge that positive amendments have been made but further improvements are required before we can support the remuneration report.

Votes Withheld We did not withhold on any resolutions during the period.

Votes Not Cast


Kraft Foods Group We did not vote due to selling out of the stock before the meeting date.

Fees and Expenses Report for the quarter ended 30 June 2015 36

Some of the information on this page is confidential and is therefore not for public disclosure

Annual Expenses (%) Trading Expenses (%)

Investment Management

Fee

Other Expenses

Total Expense

Ratio

Stamp Duty and Other

Taxes

Broker Commissions

Total Expenses inc Direct

Trading Costs


0.65 0.23 0.88 0.01 0.02 0.91

Baillie Gifford Managed Pension Fund 0.45 0.02 0.47 0.02 0.02 0.51

You are invested in the Baillie Gifford Pooled Funds listed above. The Investment Management of the Funds has been delegated

to Baillie Gifford & Co.

Costs are disclosed as a % of the Fund on a historical rolling 12 month basis.

Investment Management Fees represent the standard annual investment management fee for each of the Pooled Funds listed

and may not represent the fee actually paid by you. Please refer to your Policy Terms or Management Agreement.

Other expenses will include custody charges unless separate provision is made for custody fee payment in your Policy Terms or

Management Agreement. Where the Fund is a sub-fund of an OEIC (Open Ended Investment Company) or invests in underlying

OEIC sub-funds, it will also include expenses such as depositary fees, registration fees and audit fees.

Trading Expenses (stamp duty, other taxes and broker commission) arise when buying or selling stocks in the market. Buying or

selling of stocks may result from: individual stock considerations, portfolio changes due to broader implementation of Baillie

Gifford’s investment policy and from both investment inflows and outflows from the Fund. When the Fund buys or sells

investments in response to investment inflows and outflows the trading expenses are passed onto the incoming/outgoing

investor through the pricing mechanism by means of a dilution adjustment.

Therefore, it is important to note that the above costs represent the costs of all trading undertaken by the Pooled Funds listed

and do not reflect costs associated with investments or disinvestments that you may have undertaken during the period.

The Total Expense Ratio of the Baillie Gifford Diversified Growth Pension Fund is calculated by including the underlying

expenses of the Fund and all open-ended fund investments, the management charges made by Baillie Gifford and the

management charges of other open-ended funds. The Fund's investments change from time to time and so the figure quoted is

an estimate based on the latest available data and asset allocation. Investments are also made in closed ended listed

companies, none of which are managed by BG & Co; the underlying management expenses of these companies are not

included in the above figure.

Equity Trading Analysis Report for the quarter ended 30 June 2015 37

Some of the information on this page is confidential and is therefore not for public disclosure

Comparative Analysis

Fund Average Commission Rate Firm-Wide Comparator Average Commission Rate

Managed Pension Fund 0.06% Global 0.06%

UK Equity Pension Fund 0.07% UK 0.06%

Diversified Growth Fund 0.07% Global 0.06%

Japanese Smaller Companies Fund 0.04% Japan 0.05%

Emerging Markets Growth Fund 0.14% Emerging Markets 0.11%

Emerging Markets Leading Companies Fund 0.10% Emerging Markets 0.11%

British Smaller Companies Fund 0.08% UK 0.06%

Global Income Growth Fund 0.07% Global 0.06%

Global Alpha Growth Fund 0.06% Global 0.06%

Worldwide Japanese Fund 0.05% Japan 0.05%

Pacific Fund 0.10% Pacific (ex Japan) 0.06%

Long Term Global Growth Fund 0.04% Global 0.06%

Baillie Gifford Pooled Funds gain exposure to equity and bond markets in a number of different ways. Some invest directly, some invest in other Pooled Funds

(underlying funds) and some hold a combination of these. Where your Scheme invests in Pooled Funds which have direct investments we have shown an analysis of the commission rates paid by those Pooled Funds. Where your scheme invests in Pooled Funds which have exposure to any underlying funds, we have shown an

analysis of the commission rates paid by each of the underlying funds. For comparison purposes, we have also shown the average commission rate for similar asset

classes across the firm. This should provide a meaningful breakdown of the commission costs borne by your fund. If further detail is required, full analysis of commission expenditure for any Baillie Gifford Pooled Fund to which you have exposure is available on request.

IA Disclosure Report for the quarter ended 30 June 2015 38

IA Pension Fund Disclosure Code

(Third Edition) The Pension Fund Disclosure Code was first adopted in May 2002 and was drawn up by a Joint Working Party of

Members of the Investment Association (IA) and the National Association of Pension Funds (NAPF). The purpose of the Code is to promote accountability of fund managers to their clients through increased transparency and to assist

clients in their understanding of the charges and costs levied on the fund assets for which they have responsibility.

Under the Code, fund managers are required to provide clients with information on how they make choices between trading counterparties and trading venues, more detailed information on how the resulting commission spend is built up, and what services are met out of commission spend, in particular such execution and research services as are permitted by the Financial Conduct Authority (FCA). It also provides a comparison of client specific information on

costs and trading with similar firm-wide information.

Although the Code was initially drawn up with pension funds in mind, we provide the disclosures for all our clients in

compliance with relevant regulatory requirements.

There are two distinct types of disclosure required by the Code:-

Level 1 requires disclosure of Baillie Gifford’s policies, processes and procedures in relation to the management of trading costs incurred on behalf of clients. This disclosure is provided annually to clients and is called the “Trading

Procedures and Control Processes” document. This document is also available on request.

Level 2 requires client specific information to be provided and is contained within this quarterly report. Level 2 aims to provide comprehensive, clear and standardised disclosure of information from which clients and their advisers can compare and monitor trading costs incurred during the fund management process and the services received in exchange for these commissions.

We have included disclosure of transactions and commissions for Equities, Bonds, Currencies and Derivatives, where relevant.

Broker Commission This page gives information by geographic region on the commission paid by the fund on all commission bearing

transactions in directly held equities.

Equity Trading Analysis and

Commissions

The trading and commissions analysis on the previous pages represents trading and commissions incurred by the fund over the quarter. Portfolio transactions are analysed by counterparty and type of trade. Transactions listed under “Other Rates” include programme trades, direct market access or algorithmic trades where commission rates may be lower. Commissions have been shown by counterparty where the fund holds stocks directly. Commissions paid have been analysed by the service purchased (execution or research) in compliance with the enhanced code. Where the fund gains exposure to equities via Open Ended Investment Companies (OEICs), transactions and commission analysis have been provided at the total fund level. A full disaggregation by counterparty for each of these funds is available on request. Where relevant, the proportion of commissions paid under directed or recapture arrangements

is also shown.

The fund’s analysis of transactions, commissions paid and the commission split is compared with Baillie Gifford’s total transactions, commissions paid and the commission split across all trading in the same asset classes. The fund’s average commission rate is compared with Baillie Gifford’s average commission rate across all trading in the same asset classes. A similar analysis for OEIC holdings is shown, at the total fund level.

Non-Equity Trading Analysis

The trading report for bonds shows trading volume by the fund over the quarter, analysed by counterparty. As all trades are executed on a net basis, no commission figures are available. Where derivative transactions are permitted, and executed, these are analysed by counterparty (executing broker) and show market value, underlying exposure and (execution) commission. Where the fund gains exposure to bonds via OEICs, transaction volume by

counterparty, is available for each of these funds on request.

All foreign exchange activity, for the entire portfolio is analysed by counterparty, distinguishing between spot and forward transactions. As all trades are executed on a net basis, no commission figures are available. Where the fund gains exposure to markets via OEICs, currency transaction volume by counterparty, is available for each of these

funds on request.

Income and Costs Summary This shows costs deducted from the fund on an actual basis. Fund management fees and VAT are included during the period when the invoice is raised. Custody costs are included when the sum is debited from the funds managed by Baillie Gifford.

Any holdings of in-house pooled funds are shown together with their total expenses on a rolling yearly basis, expressed as a percentage of fund value. Expenses include broker commission on transactions dealt within the fund, bank charges, audit, registrar, depository and Regulatory fees. Any tax paid by the fund is not included. For A and B

class OEIC shares investment management fees are also included.

A dilution levy may also be charged on OEIC purchases and sales in the case of large transactions.

If the portfolio has a holding in a stock that is not covered by the code, such as third party funds or investment trusts,

this is also shown.

Summary Transaction Listing Report for the quarter ended 30 June 2015 39

Proceeds

(GBP)

Book Cost

(GBP)

Profit/Loss

(GBP)

Total Purchases 518,409

Accrued Interest 0

518,409

Total Sales 0 0 0

Accrued Interest 0

0 0 0

Total Net Investment/Disinvestment 518,409

Net Accrued Interest 0

Total 518,409

Transaction Listing Report for the quarter ended 30 June 2015 40

Trade Date Settlement Date

Asset Name Sedol Code

Quantity Price

Proceeds (GBP)

Book Cost (GBP)

Profit/Loss (GBP)

Quantity Balance

Book Cost Balance

(GBP)

Diversified Growth

Other

UK

Purchases

15/04/15 15/04/15

Baillie Gifford Diversified Growth Pension Fund B3CRJ02

87,921.221 GBP 1.96

172,686 8,869,912.435 14,915,016

28/04/15 28/04/15


3,757.624 GBP 1.94

7,300 8,873,670.059 14,922,316

13/05/15 13/05/15


91,403.927 GBP 1.93

176,199 8,965,073.986 15,098,515

11/06/15 11/06/15


83,452.930 GBP 1.94

162,224 9,048,526.916 15,260,739

Total Purchases 518,409

Total Net Investment/Disinvestment UK 518,409

Total Net Investment/Disinvestment Other 518,409

Total Net Investment/Disinvestment Diversified Growth 518,409

Total 518,409

Valuation Report for the quarter ended 30 June 2015 41

Asset Name Nominal Holding

Market Price

Book Cost (GBP)

Market Value (GBP)

Fund (%)

Pension Funds

Baillie Gifford Managed Pension Fund 4,757,801.303 GBP 7.91 17,233,485 37,618,032 68.4

Total Pension Funds 17,233,485 37,618,032 68.4

Diversified Growth


9,048,526.916 GBP 1.92 15,260,739 17,407,556 31.6

Total Diversified Growth 15,260,739 17,407,556 31.6

Total 32,494,224 55,025,588 100.0

Valuation of securities Holdings in Baillie Gifford Pooled Funds are valued at month end using a single price which reflects closing prices of the underlying assets in the funds. This month end price may differ from the price used for buying and selling units in the funds which is calculated daily at 10am and uses intra-day prices. This provides a consistent basis for reporting.

Fund Reconciliation Report for the quarter ended 30 June 2015 42

Market Value 31 March 2015

(GBP)

Net Investment/ Disinvestment

(GBP)

Capital Gain/Loss

(GBP)

Market Value 30 June 2015

(GBP)

Pension Funds

Baillie Gifford Managed Pension Fund 38,594,333 0 -976,301 37,618,032

Total Pension Funds 38,594,333 0 -976,301 37,618,032

Diversified Growth


17,020,377 518,409 -131,230 17,407,556

Total Diversified Growth 17,020,377 518,409 -131,230 17,407,556

Total 55,614,710 518,409 -1,107,531 55,025,588

(GBP) Book Cost (GBP)

Market Value (GBP)

As at 31 March 2015

Pension Funds 17,233,485.03 38,594,332.61

Diversified Growth 14,742,330.33 17,020,377.17

31,975,815.36 55,614,709.78

Income

Management Fee Rebate 7,299.56

7,299.56

Net Total Income and Charges 7,299.56 7,299.56

Change in Market Value of Investments 0.00 -1,107,531.05

Cash transferred to/from Portfolio 511,109.57 511,109.57

As at 30 June 2015 32,494,224.49 55,025,587.86

Of which:

Pension Funds 17,233,485.03 37,618,031.78

Diversified Growth 15,260,739.46 17,407,556.08

Total 32,494,224.49 55,025,587.86

Cash Transfer Detail

Date Amount (GBP)

April 2015 172,686.07

May 2015 176,199.35

June 2015 162,224.15

511,109.57

BAILLIE GIFFORD - WordPress.com · 2015-06-30 · Performance Report for the quarter ended 30 June...

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