When they shouted to him and asked him where his mum was, he told them she and Lili were sleeping, jurors heard.
A neighbour then helped them break into the semidetached house, using a hammer to smash a glass pane in the porch door.
The women ran upstairs where they found Stephanie's partly naked body, with the knife still in her from the final wound Marsh inflicted. Next to her was Lili's body, covered by a duvet. Marsh's
bloody handprint was on the wall and a book entitled How to Lose a Husband and Gain a Life was lying on the pillow.
Marsh was arrested three days later in Fareham town centre, after walking there from Totton.
While he admitted the killings, Marsh had claimed 'voices' in his head had made him commit the terrible crimes. As a result, he denied murder.
The court was told that Marsh claims he was suffering from an abnormality that comes from psychosis which "substantially impaired his responsibility".
However, the jury today decided that Marsh was guilty of the murders.
Anthony Marsh guilty of murdering Stephanie Bellinger and baby Lili in Totton
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