THREADNEEDLE SPECIALIST INVESTMENT FUNDS ICVC

THREADNEEDLESPECIALIST INVESTMENT FUNDS ICVC

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UNAUDITED INTERIM REPORT AND FINANCIAL STATEMENTSTHREADNEEDLE SPECIALIST INVESTMENT FUNDS ICVCOCTOBER 2015

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Threadneedle Specialist Investment Funds ICVC Unaudited Interim Report and Financial Statements October 2015

Contents

Company Information* .............................................................. 2

Director’s Report* ...................................................................... 3

UK Mid 250 Fund......................................................................... 4 – 5

UK Extended Alpha Fund .......................................................... 6 – 7

UK Equity Alpha Income Fund.................................................. 8 – 9

UK Absolute Alpha Fund ........................................................... 10 – 11

Absolute Return Bond Fund ..................................................... 12 – 13

Target Return Fund .................................................................... 14 – 15

Pan European Focus Fund ........................................................ 16 – 17

Pan European Equity Dividend Fund ....................................... 18 – 19

American Extended Alpha Fund .............................................. 20 – 21

China Opportunities Fund ......................................................... 22 – 23

Global Emerging Markets Equity Fund ................................... 24 – 25

Emerging Market Local Fund ................................................... 26 – 27

Global Extended Alpha Fund .................................................... 28 – 29

Global Equity Income Fund ....................................................... 30 – 32

Global Opportunities Bond Fund.............................................. 33 – 34

Portfolio Statements*:

UK Mid 250 Fund......................................................................... 35

UK Extended Alpha Fund .......................................................... 36 – 37

UK Equity Alpha Income Fund.................................................. 38

UK Absolute Alpha Fund ........................................................... 39 – 40

Absolute Return Bond Fund ..................................................... 41 – 44

Target Return Fund .................................................................... 45 – 47

Pan European Focus Fund ....................................................... 48 – 49

Pan European Equity Dividend Fund ....................................... 50 – 51

American Extended Alpha Fund .............................................. 52 – 53

China Opportunities Fund ......................................................... 54 – 55

Global Emerging Markets Equity Fund ................................... 56 – 59

Emerging Market Local Fund ................................................... 60 – 63

Global Extended Alpha Fund .................................................... 64 – 66

Global Equity Income Fund ....................................................... 67 – 69

Global Opportunities Bond Fund.............................................. 70 – 76

Comparative Tables* ................................................................. 77 – 84

Performance Summary* ........................................................... 85 – 86

Ongoing Charges Figure Summary* ....................................... 87 – 88

Risk and Reward Profiles* ...................................................... 89 – 91

Shares Issued and Redeemed Summary* ............................. 92

Total Purchases and Sales* .................................................... 93

Further Information*.................................................................. 94 – 95

Directory*.................................................................................... 96 – 97

Important Information* ............................................................. 98 – 99

*These pages, together with the investment reports of the individual funds comprise the Authorised Corporate Directors Report.

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CompanyThreadneedle Specialist Investment Funds ICVC (the Company) Registered Number IC000232

Registered OfficeCannon Place, 78 Cannon Street, London EC4N 6AG

DirectorThere is a sole director, the Authorised Corporate Director (the ACD), which is Threadneedle Investment Services Limited.

Company Information

Board of Directors of the ACDChairman and Chief ExecutiveC D Fleming

Other DirectorsT N Gillbanks D Jordison N J Ring (Resigned from the Board 24 June 2015) A Roughead

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The ACD, Threadneedle Investment Services Limited, has pleasure in presenting the Interim Report and Financial Statements for Threadneedle Specialist Investment Funds ICVC for the 6 months to 31 October 2015.

We hope that you find the report informative. Should you require any further information regarding any aspect of your investment, or about other Columbia Threadneedle products, we would be pleased to help. Alternatively, you may find it helpful to visit columbiathreadneedle.com for further information about Columbia Threadneedle.

Thank you for your continued support.

Campbell Fleming Director

DIRECTOR’S STATEMENTWe hereby certify the Interim Report and Financial Statements for each of the funds listed on page 1 (contents page) on behalf of the Directors of Threadneedle Investment Services Limited.

T N Gillbanks D Jordison

15 December 2015

Director’s Report

Threadneedle UK Mid 250 Fund

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Investment ReportInvestment ObjectiveThe investment objective of the UK Mid 250 Fund is to achieve capital growth from a portfolio of UK ‘mid cap’ equities.

Investment PolicyThe ACD’s investment policy is to invest the assets of the Fund primarily in a selection of medium sized companies which are constituents of the FTSE 250 (ex Investment Trusts) Index. If the ACD considers it desirable, it may also invest in companies which are not included in that index, and may hold cash and/or money market instruments.

Performance of Net Accumulation Class 1 Shares*Over the six months to 31 October 2015, the published share price of the Threadneedle UK Mid 250 Fund has risen from 214.28p to 221.76p.

For comparison, using noon prices, the performance of the Class 1 share class was +3.49% and +3.79% for the Class 2 share class compared to a return of -3.86% for the Morningstar UK Unit Trusts/OEICs - (IA) UK All Companies Peer Group (on a bid to bid basis, with income reinvested for a UK basic rate taxpayer).

For information purposes, using global close prices, the total return of the FTSE Mid 250 (ex Investment Trusts) Index was -0.43%.

Market Overview and Portfolio ActivityThe period under review proved challenging for UK equities, which declined overall. However, due to their relative focus on the domestic economy, companies in the FTSE 250 fared considerably better. Encouraging signs surrounding the broader UK economy – including falling unemployment, solid GDP-growth figures and improving consumer sentiment – frequently stood in contrast to a global picture blighted by a sharp drop in oil prices, geopolitical tensions and an economic slowdown in China. The Bank of England maintained interest rates at their record lows throughout the period. With slower demand from emerging markets, and consumer inflation dragged down to near zero by lower food, fuel and clothing prices, markets are not expecting a rise in UK interest rates before the latter half of 2016.

During the period, we continued to see opportunities in the market. We opened new positions in companies including Senior (engineering and manufacturing), Cobham (aerospace) and BTG (healthcare). We are positive on the aerospace sector and Cobham offered an attractive valuation. BTG’s management has shown impressive financial discipline, and we feel the company’s business model has strong growth potential and should be very cash generative. On the sales side, we exited positions including CSR (wireless technology), Ultra Electronics (defence and aerospace) and Booker Group (wholesale). We sold CSR following its takeover by US

chipmaker Qualcomm, and we preferred Cobham’s valuation to that of Ultra Electronics within the sector. Via our stock selection, the fund significantly increased its exposure to industrials, while reducing its holdings in technology stocks.

The outlook for UK equities continues to be positive but the picture remains somewhat mixed overall: exporters are suffering both from a strong pound and from weakening demand from emerging markets, the US and Europe. Domestic UK companies are still receiving a boost from improvements in job creation and salaries, and a benign inflationary and interest-rate environment. In addition, the benefits from strong sterling and low oil prices are still coming through and pricing pressure is important against a danger of deflation in some areas of the market.

We are watching the valuations of exporters for an opportunity to invest in good-quality companies that are suffering from short-term drops in profits, although we think valuations will continue to fall in the next couple of quarters. We will patiently wait for an opportunity to invest.

STATEMENT OF TOTAL RETURN for the accounting period 1 May 2015 to 31 October 2015

2015 2014 £000 £000

IncomeNet capital gains/(losses) 2,798 (936)Revenue 1,453 1,488

Expenses (668) (683)

Net revenue before taxation 785 805Taxation (23) (34)

Net revenue after taxation 762 771

Total return before distributions 3,560 (165)Distributions (56) (74)

Change in net assets attributable to shareholders from investment activities 3,504 (239)

BALANCE SHEETas at 31 October 2015

April2015 2015

£000 £000 Assets:Fixed assets:

Investments 109,307 102,386

Current assets:Debtors 1,320 3,764Cash and bank balances 1,780 3,579

Total assets 112,407 109,729

Liabilities:Creditors:

Other creditors (2,126) (5,362)

Total liabilities (2,126) (5,362)

Net assets attributable to shareholders 110,281 104,367

STATEMENT OF CHANGE IN NET ASSETS ATTRIBUTABLE TO SHAREHOLDERSfor the accounting period 1 May 2015 to 31 October 2015

2015 2014 £000 £000

Opening net assets attributable to shareholders 104,367 136,645Amounts receivable on the issue of shares 38,039 6,860Amounts payable on the cancellation of shares (35,809) (41,791)

2,230 (34,931)Dilution adjustment 180 43Stamp duty reserve tax – (8)Change in net assets attributable to shareholders from investment activities (see statement of total return above) 3,504 (239)

Closing net assets attributable to shareholders 110,281 101,510

The comparatives used within the Statement of Change in Net Assets Attributable to Shareholders are for the corresponding period of the previous year. Therefore the opening net assets attributable to shareholders for the current year are at 30 April 2015 whilst the figure disclosed in the comparatives’ closing net assets attributable to shareholders is at 31 October 2014.

1 ACCOUNTING POLICIES(1) Basis of accounting

The interim financial statements have been prepared on the historical cost basis, as modified by the revaluation of investments, in compliance with FRS 102 and in accordance with the SORP. This is the first set of financial statements to be prepared for the fund under the 2014 SORP however the impact is minimal for an interim reporting period and limited to presentational amendments to the Statement of Total Return, Statement of Change in Net Assets Attributable to Shareholders and the Balance Sheet. These presentational amendments have no impact on the total return or the net assets attributable to shareholders in either the current or preceding year. The full disclosures under the new SORP will first be presented for the annual financial statements prepared for the year to 30 April 2016. Unless otherwise stated all other accounting policies applied are consistent with those of the annual financial statements for the year ended 30 April 2015 and are described in those financial statements.

(2) Basis of valuation of investments The investments of the fund are valued at fair market prices at close of business of the accounting period (UK time). Investments are stated at their fair value which generally is the bid valuation of each security.

Notes to the financial statementsfor the accounting period 1 May 2015 to 31 October 2015

*In pound Sterling and against UK peer group.Please refer to pages 77 to 84 for comparative tables.


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Notes to the financial statements(continued)

These bid values are sourced from independent pricing sources; to the extent that an independent pricing source is not available then quotes are obtained from a broker. Where the ACD deems that these valuations are unrepresentative of a fair valuation of the security, a fair valuation adjustment is applied based upon the ACD’s opinion of fair value.

(3) Exchange rates Assets and liabilities expressed in foreign currencies at the end of the accounting period are translated into sterling at the exchange rates ruling at close of business (UK time). Transactions denominated in a foreign currency are translated into sterling at the exchange rates ruling at the date of the transaction.

(4) Distribution policyCorporation tax relief is applicable only where the transfer of the benefit is between the revenue and capital property of at least two different share classes of the fund. Previously, corporation tax relief could apply between the revenue and capital property of the same share class of the fund.

(5) NotesIn accordance with the guidelines of the SORP the fund has taken advantage of the facility not to provide further notes to the financial statements.

Threadneedle UK Extended Alpha Fund

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Investment ReportInvestment Objective The investment objective of the UK Extended Alpha Fund is to achieve above average capital growth from a concentrated portfolio of UK equities.

Investment PolicyThe ACD’s investment policy is to actively manage an exposure primarily to a concentrated portfolio of UK equities, i.e. equities of companies domiciled in the UK, or which have significant UK operations, by investing directly or indirectly in such securities. This approach means that the ACD has the flexibility to take significant stock and sector positions which may lead to increased levels of volatility. If the ACD considers it desirable it may further invest up to one third of the assets of the Fund in markets outside the United Kingdom. The Fund’s exposure may be gained through long and short positions.

The ACD may take long and short positions through the use of derivatives and forward transactions. In addition in order to gain long exposure, the ACD may invest in equities, collective investment schemes including exchange traded funds and/or related indices. If the ACD considers it desirable, it may hold a substantial proportion or all of the Fund in cash and/or other securities (including fixed interest securities and money market instruments).

Performance of Net Accumulation Class 1 Shares*Over the six months to 31 October 2015, the published share price of limited issue shares in the Threadneedle UK Extended Alpha Fund has fallen from 384.36p to 374.77p.

For comparison, using noon prices, the performance of the Class 1 share class was -2.50% and -2.33% for the Class 2 share class compared to a return of -3.86% for the Morningstar UK Unit Trusts/OEICs – (IA) UK All Companies Peer Group (on a bid to bid basis, with income reinvested for a UK basic rate taxpayer).

For information purposes, using global close prices, the total return of the FTSE All-Share Index was -5.69%.

Market Overview and Portfolio ActivityThe period under review proved challenging for UK equities, which declined overall. Over the course of the six months, the major factors affecting UK equities, along with other world markets, included a sharp drop in oil prices, the Greek debt crisis, an economic slowdown in China, and the effects of a strong pound and weakening overseas demand on British exporters. On the positive side, a boom in Mergers and Acquisitions (M&A) activity, powered largely by low interest rates, provided support to equities. Despite encouraging signs surrounding the broader UK economy – including falling unemployment, solid GDP-growth figures and growing consumer confidence – the Bank of England maintained interest rates at their record lows throughout the period. With reduced demand from emerging markets, and consumer inflation dragged down to near zero by lower food, fuel and clothing prices, markets are not expecting a rise in UK interest rates before the end of 2016.

In terms of portfolio activity, there were no major changes to the sector positioning, with the fund remaining most overweight in consumer discretionary and most underweight in financials

and energy. We added long positions in a number of attractively valued stocks, including pub operator Greene King and RSA Insurance. We take a positive view on the synergies that could arise from Greene King’s acquisition of rival Spirit Pub Company, while RSA’s self-help programme is being executed well and the company could become a takeover target in a sector where consolidation is a major theme. In terms of sales, we exited companies including HSBC (banking) and Amlin (insurance). Highlights from the short book included opening a position in an aggressive “single price-point retailer”, which has recently issued equity to acquire a competitor that is barely profitable. We also reinitiated a short position in a UK food retailer, believing that the structural pressures on the industry are still intense and this sector is also likely to be further pressured by the implementation of the national living wage. We closed and reduced two very successful short positions, one in a mining company and the other in a no-frills telecoms firm whose share price has halved and hit our price target following a cyber-attack.

The current economic backdrop in the UK is benign, although the substantial current-account deficit gives cause for concern. The market may also be unsettled by further volatility in China, and speculation regarding interest-rate rises in the UK and the US. In this more challenging environment, we remain positive on UK equities and will continue to focus on successful stock selection. The M&A boom remains intact and we expect the portfolio to benefit from this trend. Heightened volatility in equity markets is providing us with attractive investment opportunities.


2015 2014£000 £000

IncomeNet capital (losses)/gains (2,200) 188Revenue 1,436 985†

Expenses (667) (389)Interest payable and similar charges (238) (121)†

Net revenue before taxation 531 475

Taxation – (1)

Net revenue after taxation 531 474

Total return before distributions (1,669) 662Distributions 56 107

Change in net assets attributable to shareholders from investment activities (1,613) 769


April2015 2015£000 £000

Assets:Fixed assets:


Current assets:Debtors 1,097 1,559

Cash and bank balances 4,334 5,281

Total assets 75,534 68,881

Liabilities:

Investment liabilities – (79)

Creditors:Other creditors (490) (771)

Total liabilities (490) (850)



2015 2014 £000 £000


8,572 10,992Dilution adjustment 54 107Change in net assets attributable to shareholders from investment activities (see statement of total return above) (1,613) 769


The comparatives used within the Statement of Change in Net Assets Attributable to shareholders are for the corresponding period of the previous year. Therefore the opening net assets attributable to shareholders for the current year are at 30 April 2015 whilst the figure disclosed in the comparatives’ closing net assets attributable to shareholders is at 31 October 2014.





*In pound Sterling and against UK peer group. †The prior period comparatives have been re-stated to meet the requirements of the Statement of Recommended Practice for Authorised Funds (SORP) issued by the Investment Management Association in May 2014.Please refer to pages 77 to 84 for comparative tables.


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(4) DerivativesAny capital gains/losses are included within net capital (losses)/gains. Revenue on derivatives is included within revenue in the statement of total return. Expense on derivatives is included within interest payable and similar charges in the statement of total return.



Threadneedle UK Equity Alpha Income Fund

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Investment ReportInvestment ObjectiveThe investment objective of the UK Equity Alpha Income Fund is to achieve a reasonable and growing income with the prospects of capital growth from a concentrated portfolio of UK equities.

Investment PolicyThe ACD’s investment policy is to invest the assets of the Fund in a concentrated portfolio of predominantly UK equities. The Alpha Income investment approach is a highly focused management style, which gives the ACD the flexibility to take significant stock and sector positions, which may lead to increased levels of volatility. The portfolio will consist primarily of equities of companies domiciled in the UK, or which have significant UK operations.

Performance of Net Income Class 1 Shares*Over the six months to 31 October 2015, the published share price of the Threadneedle UK Equity Alpha Income Fund has fallen from 68.31p to 64.33p.

For comparison, using noon prices, the performance of the Class 1 share class was -3.72% and -3.45% for the Class 2 share class compared to a return of -2.12% for the Morningstar UK Unit Trusts/OEICS – (IA) UK Equity Income Peer Group (on a bid to bid basis, with income reinvested for a UK basic rate taxpayer).

For information purposes, using global close prices, the total return of the FTSE All-Share Index was -5.69%.


In terms of portfolio activity, we opened positions in companies including Close Brothers (financial services) and a contrarian position in RSA Insurance; the insurer’s self-help programme is being executed well and the company could become a takeover target in a sector where consolidation is a major theme. We increased our exposure to companies such as Smiths Group

(engineering), Standard Life (insurance and investment) and Centrica (utilities) on weakness. Also over the period, we reduced our holdings in Wolseley (plumbing supplies), National Grid (utilities), Kier Group (construction) and DS Smith (packaging). There were no major changes to the sector positioning, with the fund retaining overweights in utilities and industrials, and underweights in financials and consumer discretionary.

The current economic backdrop in the UK is benign, although the substantial current-account deficit gives cause for concern. The market may also be unsettled by further volatility in China, and speculation regarding interest-rate rises in the UK and the US. In this more challenging environment, we remain positive on UK equities and will continue to focus on successful stock selection. The M&A boom remains intact and we expect the portfolio to benefit from this trend. Heightened volatility in equity markets could provide us with attractive investment opportunities.



2015 2014 £000 £000

IncomeNet capital losses (46,551) (17,457)Revenue 19,278 15,998

Expenses (4,948) (4,442)Interest payable and similar charges – (2)Net revenue before taxation 14,330 11,554Taxation – –

Net revenue after taxation 14,330 11,554

Total return before distributions (32,221) (5,903)

Distributions (18,918) (15,676)

Change in net assets attributable to shareholders from investment activities (51,139) (21,579)


2015 2014 £000 £000


52,877 95,733Stamp duty reserve tax – (10)Change in net assets attributable to shareholders from investment activities (see statement of total return above) (51,139) (21,579)




April2015 2015




Total assets 920,292 916,034


Distribution payable (19,703) (20,201)Other creditors (3,953) (935)



DISTRIBUTION TABLEfor the accounting period 1 May 2015 to 31 October 2015

Dividend distribution in pence per share

Class 1 SharesNet incomeDistribution Period

Net Revenue Equalisation

Distribution Payable

Distribution Paid

2015 2014Group 101/05/15 to 31/10/15 1.3683 − 1.3683 1.3155 Group 201/05/15 to 31/10/15 0.8031 0.5652 1.3683 1.3155 Total distributions in the period 1.3683 1.3155




Distribution Paid



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DISTRIBUTION TABLE(continued)

Class X SharesNet incomeDistribution Period



2015 Group 101/05/15 to 31/10/15 2.2020 − 2.2020 Group 201/05/15 to 31/10/15 2.2020 − 2.2020 Total distributions in the period 2.2020

Class Z SharesNet incomeDistribution Period



Distribution Paid

2015 2014Group 101/05/15 to 31/10/15 2.8380 – 2.8380 2.7071 Group 201/05/15 to 31/10/15 1.3845 1.4535 2.8380 2.7071 Total distributions in the period 2.8380 2.7071

Group 2: shares purchased during a distribution period.




(2) Basis of valuation of investments The investments of the fund are valued at fair market prices at close of business of the accounting period (UK time). Investments are stated at their fair value which generally is the bid valuation of each security. These bid values are sourced from independent pricing sources; to the extent that an independent pricing source is not available then quotes are obtained from a broker. Where the ACD deems that these valuations are unrepresentative of a fair valuation of the security, a fair valuation adjustment is applied based upon the ACD’s opinion of fair value.




Threadneedle Specialist Investment Funds ICVC Unaudited Interim Report and Financial Statements October 2015 Threadneedle Specialist Investment Funds ICVC Unaudited Interim Report and Financial Statements October 2015

Threadneedle UK Absolute Alpha Fund

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Investment ReportInvestment ObjectiveThe investment objective of the UK Absolute Alpha Fund is to achieve an absolute return, irrespective of market conditions, over the long term and a positive return over a 12 month period.

There is a risk to capital, and there is no guarantee that such a return will be achieved within 12 months, or any other timescale.

Investment PolicyThe ACD’s investment policy is to principally invest in: equity securities, or equity related derivatives, of corporate issuers headquartered in the United Kingdom (or corporate issuers who exercise a predominant part of their activity in the United Kingdom) fixed interest securities, cash, or money market instruments. If the ACD considers it desirable, the ACD may invest in securities and derivatives related to corporate issuers headquartered outside the United Kingdom. The Fund’s exposure to any equities may be gained through long and short positions.

The ACD may take long and short positions through the use of derivatives and forward transactions. In addition in order to gain long exposure the ACD may invest in equities, collective investment schemes including exchange traded funds and/or related indices.

Performance of Net Accumulation Class 1 Shares*Over the six months to 31 October 2015, the published share price of the Threadneedle UK Absolute Alpha Fund has risen from 132.50p to 135.81p.

For comparison, using noon prices, the performance of the Class 1 share class was +2.50% and +2.74% for the Class 2 share class compared to a return of -0.33% for the Morningstar UK Unit Trusts/OEICS – (IA) UK Absolute Return Peer Group (on a bid to bid basis, with income reinvested for a UK basic rate taxpayer).

For information purposes, the UK LIBOR 3 Month returned +0.29%.


In terms of portfolio activity, we increased our holdings in consumer sectors, in light of the strong domestic economy, while further increasing our relative underweight in energy. We added long positions in a number of attractively valued stocks,

including GlaxoSmithKline (pharmaceuticals), Diageo (beverages) and Breedon Aggregates. GlaxoSmithKline remains an attractive income investment with a 6% dividend yield and a stable growth outlook. Relative to its peers, Diageo has a better portfolio and preferred geographical mix, with a dominant presence across most developed markets as well as in India. We also exited a number of positions, including Amlin (insurance), Pearson (educational services) and HSBC (banking). Highlights from the short book included reducing two successful positions: a mining company and a no-frills telecoms firm. We also initiated several new short positions. We reinstated a short position in a FTSE 100-listed gold miner, as we feel the shares are likely to derate as the gold price reacts negatively to rising US interest-rate expectations. We also shorted a global recruitment consultancy that seems very fully valued and vulnerable to a slowing global economy. The fund’s exposure reflects the conviction in our holdings rather than any particularly strong bias to equity markets. Exposure remains concentrated in the less volatile sectors of the market, where we see good opportunities for total shareholder returns (ie, from a combination of capital appreciation and cash distribution).

The current economic backdrop in the UK is benign, although the substantial current-account deficit gives cause for concern. The market may also be unsettled by further volatility in China, and speculation regarding interest-rate rises in the UK and the US. In this more challenging environment, we remain positive on UK equities and will continue to focus on successful stock selection. The M&A boom remains intact and we expect the portfolio to benefit from this trend. Heightened volatility in equity markets is providing us with attractive investment opportunities.



2015 2014 £000 £000

IncomeNet capital gains 14,619 4,923Revenue 2,975 2,623†

Expenses (5,950) (2,773)Interest payable and similar charges (942) (1,825)†

Net expenses before taxation (3,917) (1,975)Taxation – –

Net expenses after taxation (3,917) (1,975)

Total return before distributions 10,702 2,948Distributions 39 2

Change in net assets attributable to shareholders from investment activities 10,741 2,950


2015 2014 £000 £000


258,006 (38,239)Dilution adjustment 254 117Stamp duty reserve tax – (12)Change in net assets attributable to shareholders from investment activities (see statement of total return above) 10,741 2,950




April 2015 2015 £000 £000




Total assets 655,896 387,195

Liabilities:Investment liabilities – (2,426)Creditors:

Distribution payable – (55)









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Threadneedle Absolute Return Bond Fund

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Investment ReportInvestment ObjectiveThe investment objective of the Absolute Return Fund is to achieve a total positive return over a 12 month period in all market conditions. There is a risk to capital, and there is no guarantee that such a return will be achieved within 12 months, or any other timescale.

Investment PolicyThe ACD’s investment policy is to invest the assets of the Fund so as to gain exposure to global bond and currency markets. The ACD will invest primarily in derivatives, cash and near cash, fixed interest securities, index linked securities, money market instruments and deposits. At times the portfolio may be concentrated in any one or a combination of such assets. The ACD may take long and short positions through derivatives in such issues.

Performance of Net Accumulation Class 1 Shares*Over the six months to 31 October 2015, the published share price of the Threadneedle Absolute Return Bond Fund has fallen from 65.04p to 62.04p.

Using noon prices, the performance of the Class 1 share class was -4.61% and -4.28% for the Class 2 share class compared to a return of -0.33% for the Morningstar UK Unit Trusts/OEICS – (IA) Absolute Return Peer Group (on a bid

to bid basis, with income reinvested for a UK basic rate taxpayer).

For information purposes, the LIBOR 3 Month Deposit Rate returned +0.29%.

Market Overview and Portfolio ActivityThroughout the period, we held a broadly neutral position on the US dollar and traded it more on the short side, in contrast to our positive medium-term view on the dollar’s prospects. Our tactical bias to sell dollars was driven by our concerns about overstretched valuations and our view that cyclical economic momentum in the US was not supportive of policy divergence.

At the start of the period, we held a long position on the euro against the dollar, which proved beneficial as signs of reflation appeared in the eurozone, sending both the currency and bond yields sharply higher. Throughout the rest of the period, we traded emerging-market currencies on the long side as valuations appeared to have repriced to reflect the risks posed by tighter policy from the US Federal Reserve (Fed) and the fall in commodity prices. However, late in the summer, as concerns over the growth outlook for China mounted, commodity prices moved to new lows along with emerging-market currencies, resulting in a material drag on performance. The release of more dovish

comments from the Fed in October, however, pushed back the expected timing of interest-rate rises in the US and provided a temporary boost to emerging-market currencies relative to the dollar.

We broadly held short positions on government bonds as we felt that medium-term valuations were not attractive and that there was an increased likelihood of a move away from emergency monetary policy in the US. Short positions were broadly expressed at the front end of the US yield curve, which would benefit from markets pricing in a tightening of policy. However, the disinflationary impacts of the fall in commodity prices and prior dollar strength saw investors and the Federal Open Market Committee pare back their expectations for policy tightening, to the detriment of the fund’s position.

Over the period, we maintained a short bias towards European high-yield bonds, where valuations remained supported more by policy than fundamentals. As investors reappraised the prospects for global growth, broader risk assets, including high-yield debt, came under pressure, which aided the fund’s performance.

STATEMENT OF TOTAL RETURNfor the accounting period 1 May 2015 to 31 October 2015

2015 2014 £000 £000

IncomeNet capital (losses)/gains (9,508) 4,611Revenue 1,998 3,299†

Expenses (1,239) (1,407)Interest payable and similar charges (2,076) (3,831)† Net expenses before taxation (1,317) (1,939)

Taxation – –

Net expenses after taxation (1,317) (1,939)

Total return (10,825) 2,672

Change in net assets attributable to shareholders from investment activities (10,825) 2,672


April2015 2015




Total assets 216,671 247,078

Liabilities:Investment liabilities (2,165) (8,037)

Creditors:Bank overdrafts (834) (573)Other creditors (381) (4,045)





2015 2014 £000 £000


(10,359) (19,899)Dilution adjustment 52 37Change in net assets attributable to shareholders from investment activities (see statement of total return above) (10,825) 2,672








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Threadneedle Target Return Fund

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Investment ReportInvestment Objective The investment objective of the Target Return Fund is to achieve a total positive return in Euros over a 12 month period in all market conditions. There is a risk to capital, and there is no guarantee that such a return will be achieved within 12 months, or any other timescale.

Investment PolicyThe ACD’s investment policy is to invest the assets of the Fund to gain exposure to global bond and currency markets. The ACD will invest in derivatives, cash and near cash, fixed interest securities, index linked securities, money market instruments and deposits. At times the portfolio may be concentrated in any one or a combination of such assets. The ACD may take long and short positions through derivatives in such issues. Where securities are non-euro denominated they may be hedged into Euros on a Portfolio Currency level.

Performance of Gross Accumulation Class 1 Shares*Over the six months to 31 October 2015, the published share price of the Threadneedle Target Return Fund has fallen from 1.2372 to 1.1773 Euros.

The performance of the Class 1 gross accumulation share class was -4.84% and -4.64% for the Class 2 gross accumulation share class, in EUR terms.

For information purposes, the Euribor 3 Month Deposit Rate returned -0.01%.

Market Overview and Portfolio ActivityThroughout the period, we held a broadly neutral position on the US dollar and traded it more on the short side, in contrast to our positive medium-term view on the dollar’s prospects. Our tactical bias to sell dollars was driven by our concerns about overstretched valuations and our view that cyclical economic momentum in the US was not supportive of policy divergence.

At the start of the period, we held a long position on the euro against the dollar, which proved beneficial as signs of reflation appeared in the eurozone, sending both the currency and bond yields sharply higher. Throughout the rest of the period, we traded emerging-market currencies on the long side as valuations appeared to have repriced to reflect the risks posed by tighter policy from the US Federal Reserve (Fed) and the fall in commodity prices. However, late in the summer, as concerns over the growth outlook for China mounted, commodity prices moved to new lows along with emerging-market currencies, resulting in a material drag on performance. The release of more dovish comments from the Fed in October, however, pushed back the expected timing of interest-rate rises in the US and provided a temporary boost to emerging-market currencies relative to the dollar.

We broadly held short positions on government bonds as we felt that medium-term valuations were not attractive and that there was an increased likelihood of a move away from emergency monetary policy in the US. Short positions were broadly expressed at the front end of the US yield curve, which would benefit from markets pricing in a tightening of policy. However, the disinflationary impacts of the fall in commodity prices and prior dollar strength saw investors and the Federal Open Market Committee pare back their expectations for policy tightening, to the detriment of the fund’s position.

Over the period, we maintained a short bias towards European high-yield bonds, where valuations remained supported more by policy than fundamentals. As investors reappraised the prospects for global growth, broader risk assets, including high-yield debt, came under pressure, which aided the fund’s performance.


2015 2014£000 £000

IncomeNet capital losses (1,051) (1,173)Revenue 131 418†


Net expenses before taxation (199) (279)

Taxation – –Net expenses after taxation (199) (279)

Total return (1,250) (1,452)



April2015 2015£000 £000



Current assets:Debtors 1,004 928Cash and bank balances 1,177 2,499


Liabilities:Investment liabilities (183) (704)Creditors:

Bank overdrafts (31) –

Other creditors (122) (541)

Total liabilities (336) (1,245)



2015 2014£000 £000


(300) (14,805)Dilution adjustment 10 24Change in net assets attributable to shareholders from investment activities (see statement of total return above) (1,250) (1,452)




Interest distribution in pence per share

Class 1 SharesNet accumulation

There is no distribution for the accounting period 1 May 2015 to 31 October 2015, as expenses exceed revenue (2014: Nil).Class 1 SharesGross accumulation

There is no distribution for the accounting period 1 May 2015 to 31 October 2015, as expenses exceed revenue (2014: Nil).Class 1 CHF Hedged SharesGross accumulation

There is no distribution for the accounting period 1 May 2015 to 31 October 2015, as expenses exceed revenue (2014: Nil).Class 1 USD Hedged SharesGross accumulation

There is no distribution for the accounting period 1 May 2015 to 31 October 2015, as expenses exceed revenue (2014: Nil).Class 2 SharesGross income

There is no distribution for the accounting period 1 May 2015 to 31 October 2015, as expenses exceed revenue (2014: Nil).



15


Class 2 SharesGross accumulation

There is no distribution for the accounting period 1 May 2015 to 31 October 2015, as expenses exceed revenue (2014: Nil).Class X SharesGross accumulation

There is no distribution for the accounting period 1 May 2015 to 31 October 2015, as expenses exceed revenue (2014: Nil).Class Z SharesNet accumulation

There is no distribution for the accounting period 1 May 2015 to 31 October 2015, as expenses exceed revenue (2014: Nil).Class Z SharesGross accumulation

There is no distribution for the accounting period 1 May 2015 to 31 October 2015, as expenses exceed revenue (2014: Nil).





(4) DerivativesAny capital gains/losses are included within net capital losses. Revenue on derivatives is included within revenue in the statement of total return. Expense on derivatives is included within interest payable and similar charges in the statement of total return.





Threadneedle Pan European Focus Fund

16



2015 2014£000 £000

IncomeNet capital losses (1,802) (2,822)Revenue 1,133 831

Expenses (545) (512)Interest payable and similar charges (2) –Net revenue before taxation 586 319

Taxation (23) (58)Net revenue after taxation 563 261

Total return before distributions (1,239) (2,561)Distributions 39 (40)



April2015 2015£000 £000


Investments 89,968 80,957Current assets:

Debtors 2,231 1,958

Cash and bank balances 325 4,480



Other creditors (276) (2,828)



Investment ReportInvestment Objective The investment objective of the Pan European Focus Fund is to achieve above average capital growth.

Investment PolicyThe ACD’s investment policy is to actively manage a concentrated portfolio of primarily European equities including UK Equities with the ability to hold cash and/or money market securities in order to enable the pursuit of the Fund’s investment objective. This approach means that the ACD has the flexibility to take significant stock and sector positions, which may lead to increased levels of volatility. The portfolio will primarily consist of equities of companies domiciled in Europe including the UK or which have a significant part of their economic activities in Europe and/or the UK. Where securities are non-euro denominated they may be hedged into Euros. If the ACD considers it desirable it may hold a substantial proportion or all of the Funds in cash and/or money market instruments.

Performance of Net Accumulation Class 1 Shares*Over the six months to 31 October 2015, the published share price of the Threadneedle Pan European Focus Fund has fallen from 217.09p to 214.21p in sterling terms and from 2.9920 to 2.9846 Euros.For comparison, using noon prices, the sterling performance of the Class 1 share class was -1.33% and -1.04% for the Class 2 share class compared to a return of -3.59% for the Morningstar UK Unit Trusts/OEICs – (IA) Europe Including UK Peer Group (on a bid to bid basis, with income reinvested for a UK basic rate taxpayer).

For information purposes, using global close prices, the total return of the MSCI Europe Index was -6.13%.

Market Overview and Portfolio ActivityThis was a volatile period for European equities. Although there were some positive economic and corporate developments, equity markets were unsettled by events in Greece and China. Defensive and risk assets shifted in and out of favour. UK growth remained relatively strong, the eurozone purchasing managers’ index ended the period firmly in expansionary territory, and corporate results were broadly encouraging, particularly for domestically focused companies. Mergers and Acquisitions (M&A) activity was also supportive. Market volatility increased as concerns grew over Greece’s escalating financial crisis and the country’s potential exit from the euro. However, in an apparent endorsement of the stringent economic reforms associated with Greece’s bailout package, the left-wing Syriza party was returned to power in September’s general election.China’s economic slowdown also dominated markets as investors assessed the possible repercussions for global growth. Potential interest-rate rises in the US and the UK were delayed, and the European Central Bank signalled that its quantitative-easing (QE) stimulus programme may need to be extended if global economic conditions deteriorate further. The portfolio’s returns were ahead of the benchmark index, boosted by favourable stock selection. Geographical and sector positioning also added value. New holdings included Novartis; after a period of restructuring, the group is now a much more cohesive business focused on pharmaceuticals

(with a leading oncology franchise), eyecare and generics/biosimilars. We took advantage of share-price strength to sell several positions including Vinci, a French construction and concession business.QE, lower energy prices, euro weakness and loosening credit conditions are all enhancing the trading environment for European companies. There are now signs of improvement in several eurozone economies, and we anticipate that domestic European earnings will continue to contribute strongly to overall corporate profitability. On the international front, we are monitoring the economic outlook for China, and evaluating the potential impact on European exporters and global growth. Investors will also focus on Greece’s ability to implement economic reforms and on Spain’s general election, which is being held against a backdrop of mounting support for the Catalan independence movement. In the UK, the possibility of interest-rate increases and the forthcoming EU-membership referendum will attract attention. Geopolitical tensions, including the strained relations between Europe and Russia, may cause additional volatility.Many companies in Europe (outside the financial sector) have strong balance sheets and cashflows, leading to the likelihood of further dividend growth, cash returns and M&A activity. We continue to favour companies with robust earnings prospects and pricing power. Heightened volatility in equity markets is providing us with attractive investment opportunities.






2015 2014£000 £000


8,852 (8,022)Dilution adjustment 29 6Change in net assets attributable to shareholders from investment activities (see statement of total return above) (1,200) (2,601)





17







Threadneedle Pan European Equity Dividend Fund

18



2015 2014£000 £000

IncomeNet capital losses (2,862) (4,969)Revenue 1,056 1,849

Expenses (490) (386)Interest payable and similar charges (1) –Net revenue before taxation 565 1,463

Taxation (54) (119)Net revenue after taxation 511 1,344

Total return before distributions (2,351) (3,625)

Distributions (953) (1,677)



April2015 2015£000 £000


Investments 67,411 65,176Current assets:

Debtors 1,780 1,029

Cash and bank balances 727 3,965


Liabilities:

Investment liabilities (2) –Creditors:

Distribution payable (623) (857)

Other creditors (218) (3,703)



Investment ReportInvestment Objective The investment objective of the Pan European Equity Dividend Fund is to achieve a growing income combined with prospects for capital growth from a portfolio of Pan European equities.

Investment PolicyThe ACD’s investment policy is to invest the assets of the Fund primarily in the equities of companies domiciled in Continental Europe and the UK or with significant Continental European and UK activities.The ACD will look to invest in companies that exhibit a high potential for paying above average dividends.If the ACD considers it desirable it may further invest up to one third of the total assets of the Fund in other securities (including fixed interest securities, other equities, money market securities, cash and near cash).

Performance of Net Income Class 1 Shares*Over the six months to 31 October 2015, the published share price of the Threadneedle Pan European Equity Dividend Fund has fallen from 86.09p to 81.62p in sterling terms and from 1.1865 to 1.1371Euros.For comparison, using noon prices, the performance of the Class 1 share class was -3.18% and -2.90% for the Class 2 share class compared to a return of -3.59% for the Morningstar UK Unit Trusts/OEICS – (IA) Europe Including UK Peer Group (on a bid to bid basis, with income reinvested for a UK basic rate taxpayer).

For information purposes, using global close prices, the total return of the MSCI Europe Index was -6.13%.

Market Overview and Portfolio ActivityThis was a volatile period for European equities. Although there were some positive economic and corporate developments, equity markets were unsettled by events in Greece and China. Defensive and risk assets shifted in and out of favour. UK growth remained relatively strong, the eurozone purchasing managers’ index ended the period firmly in expansionary territory, and corporate results were broadly encouraging, particularly for domestically focused companies. Mergers and Acquisitions (M&A) activity was also supportive. Market volatility increased as concerns grew over Greece’s escalating financial crisis and the country’s potential exit from the euro. However, in an apparent endorsement of the stringent economic reforms associated with Greece’s bailout package, the left-wing Syriza party was returned to power in September’s general election.China’s economic slowdown also dominated markets as investors assessed the possible repercussions for global growth. Potential interest-rate rises in the US and the UK were delayed, and the European Central Bank signalled that its quantitative-easing (QE) stimulus programme may need to be extended if global economic conditions deteriorate further. The portfolio’s returns were ahead of the benchmark index, boosted by favourable stock selection. Geographical and sector positioning also added value. New holdings included

Akzo Nobel; the company has a strong portfolio of paint brands, including Dulux. The sector benefits from good repeat business, and the trend is towards high-cost single-coat paints as this saves labour costs. We took advantage of share-price strength to sell several positions including UK insurer Amlin, following a takeover bid.QE, lower energy prices, euro weakness and loosening credit conditions are all enhancing the trading environment for European companies. There are now signs of improvement in several eurozone economies, and we anticipate that domestic European earnings will continue to contribute strongly to overall corporate profitability. On the international front, we are monitoring the economic outlook for China, and evaluating the potential impact on European exporters and global growth. Investors will also focus on Greece’s ability to implement economic reforms and on Spain’s general election, which is being held against a backdrop of mounting support for the Catalan independence movement. In the UK, the possibility of interest-rate increases and the forthcoming EU-membership referendum will attract attention. Geopolitical tensions, including the strained relations between Europe and Russia, may cause additional volatility.Many companies in Europe (outside the financial sector) have strong balance sheets and cashflows, leading to the likelihood of further dividend growth, cash returns and M&A activity. We continue to favour companies with robust earnings prospects and pricing power. Heightened volatility in equity markets is providing us with attractive investment opportunities.


2015 2014£000 £000


6,352 (45,069)Dilution adjustment 24 134Compensation – (1)Change in net assets attributable to shareholders from investment activities (see statement of total return above) (3,304) (5,302)

Retained distribution on accumulation shares 393 237




Dividend distribution in pence per share




Distribution Paid

2015 2014 Group 101/05/15 to 31/10/15 1.1804 – 1.1804 1.3669 Group 201/05/15 to 31/10/15 0.1925 0.9879 1.1804 1.3669 Total distributions in the period 1.1804 1.3669

Class 1 SharesNet accumulationDistribution Period


Net Revenue Accumulated


2015 2014 Group 101/05/15 to 31/10/15 1.7105 − 1.7105 2.0430

Group 201/05/15 to 31/10/15 0.5381 1.1724 1.7105 2.0430 Total distributions in the period 1.7105 2.0430



19





Distribution Paid

2015 2014 Group 101/05/15 to 31/10/15 1.2706 − 1.2706 1.5614 Group 201/05/15 to 31/10/15 0.4525 0.8181 1.2706 1.5614 Total distributions in the period 1.2706 1.5614

Class 2 SharesNet accumulationDistribution Period




2015 2014 Group 101/05/15 to 31/10/15 1.8692 − 1.8692 2.2066


Class X SharesNet incomeDistribution Period



Distribution Paid


Class X SharesNet accumulationDistributionPeriod




2015 2014Group 101/05/15 to 31/10/15 1.6100 − 1.6100 1.8590

Group 201/05/15 to 31/10/15 1.6100 − 1.6100 1.8590 Total distributions in the period 1.6100 1.8590

Class Z SharesNet incomeDistributionPeriod



Distribution Paid

2015 2014 Group 101/05/15 to 31/10/15 1.8276 − 1.8276 2.2538 Group 201/05/15 to 31/10/15 0.6930 1.1346 1.8276 2.2538 Total distributions in the period 1.8276 2.2538

Class Z SharesNet accumulationDistributionPeriod




2015 2014Group 101/05/15 to 31/10/15 1.5782 − 1.5782 0.0486











Threadneedle American Extended Alpha Fund

20


Investment ReportInvestment Objective The investment objective of the American Extended Alpha Fund is to achieve above average capital growth.

Investment PolicyThe ACD’s investment policy is to actively manage an exposure primarily to equities of companies which are domiciled in North America or which have significant North American operations, by investing directly or indirectly in such securities.

If the ACD considers it desirable it may further invest up to one third of the total assets of the Fund in markets other than in North America. Exposure to North American and other markets may be gained through both long and short positions.

The ACD may invest in equities, derivatives, forward transactions and collective investment schemes. The ACD may also invest in other securities (including fixed interest securities and money market securities), deposits and cash.

In order to gain short exposure the ACD will invest in derivatives. The ACD may also invest in derivatives to gain long exposure.

Performance of Net Accumulation Class 1 Shares*Over the six months to 31 October 2015, the published share price of the Threadneedle American Extended Alpha Fund has risen from 232.19p to 242.35p.

For comparison, on a total return basis using noon prices, the performance of the Class 1 share class was +4.38% and +4.81% for the Class 2 share class compared to a return of -1.01% for the Morningstar UK Unit Trusts/OEICS – (IA) North America Peer Group (on a bid to bid basis, with income reinvested for a UK basic rate taxpayer).

For information purposes, using global close prices, the total return of the S&P 500 Composite Index was +0.27%.

Market Overview and Portfolio ActivityUS equities fell during the period under review, amid a challenging environment for global equity markets. International factors weighed on stocks for much of the period, including the plunging oil price and stock-market turmoil in China, along with weakening demand both there and in emerging markets more generally. Exporters were further hurt by a resurgent dollar, which strengthened on the back of the US’s relative economic resilience and the growing prospect of the Federal Reserve (Fed) raising interest rates for the first time since 2006. Though the chances of a hike had seemed to be diminishing toward the end of the period, with the Fed citing inflationary pressures and weak global demand, more hawkish comments in October put a rate rise firmly back in play this year. Evidence also mounted of a divergence between the robust domestic economy and the more challenging global environment.

Over the period, stock-level decision led us to reduce exposure to defensive sectors, where valuations have become stretched, and to add to cyclical holdings. New long positions over the period included Biogen, General Electric, Blackstone and SunEdison. Biogen’s drug pipeline offers significant potential, particularly its new treatment for Alzheimer’s. General Electric should unlock shareholder value as it divests non-core businesses and focuses on its key industrial operations. We sold long positions in Skyworks, Priceline and Zimmer Bionet. We also reduced the number of holdings in the short book.

Fundamentally, we believe that the domestic US economy is still robust. There is ongoing strength in the labour market, and the housing market should continue to recover as a loosening of tight lending standards allows pent-up demand to translate into rising rates of household formation. The slide in oil prices should continue to boost disposable incomes, especially for lower and middle-income consumers. US equity valuations still look reasonable relative to history and cheap relative to bonds, and we recognise that periods of lower inflation have tended to command higher valuation multiples. We see a positive long-term outlook driven by demographic and technological advantages, and believe that patient investors will continue to profit from US equities.


2015 2014£000 £000

IncomeNet capital gains 6,828 78,542Revenue 1,771 6,591†

Expenses (1,391) (5,186)Interest payable and similar charges (615) (3,522)†

Net expenses before taxation (235) (2,117)

Taxation (37) (540)

Net expenses after taxation (272) (2,657)

Total return before distributions 6,556 75,885Distributions (19) (10)

Change in net assets attributable to shareholders from investment activities 6,537 75,875


April2015 2015£000 £000




Total assets 214,424 257,730

Liabilities:

Investment liabilities (102) (35)

Creditors:Bank overdrafts (487) –





2015 2014 £000 £000


(50,616) (24,038)Dilution adjustment 15 574Change in net assets attributable to shareholders from investment activities (see statement of total return above) 6,537 75,875







*In pound Sterling and against UK peer group. †The prior period comparatives have been re-stated to meet the requirements of the Statement of Recommended Practice for Authorised Funds (SORP) issued by the Investment Management Association in May 2014. Please refer to pages 77 to 84 for comparative tables.


21





(4) DerivativesAny capital gains/losses are included within net capital gains. Revenue on derivatives is included within revenue in the statement of total return. Expense on derivatives is included within interest payable and similar charges in the statement of total return.



Threadneedle China Opportunities Fund

22



2015 2014£000 £000

IncomeNet capital (losses)/gains (35,334) 11,521Revenue 3,087 1,759

Expenses (724) (518)

Net revenue before taxation 2,363 1,241Taxation (241) (121)

Net revenue after taxation 2,122 1,120Total return (33,212) 12,641



April2015 2015£000 £000



Current assets:Debtors 971 1,724Cash and bank balances 925 892



Other creditors (1,046) (343)

Total liabilities (1,046) (343)


Investment ReportInvestment Objective The investment objective of the China Opportunities Fund is to achieve long-term capital growth.

Investment PolicyThe ACD’s investment policy is to invest the assets of the Fund primarily in equities and equity related securities of Chinese companies. These are defined as companies domiciled in and/or whose significant activities are in the Peoples Republic of China.

If the ACD considers it desirable, it may further invest up to one third of the total assets of the Fund in derivatives, forward transactions and other securities (including fixed interest, other equities, money market securities and cash).

In exceptional circumstances and on a temporary basis, the ACD may hold a substantial proportion of the Fund in cash and/or money market instruments.

Performance of Net Accumulation Class 1 Shares*Over the six months to 31 October 2015, the published share price of the Threadneedle China Opportunities Fund has fallen from 289.20p to 224.85p.

For comparison, using noon prices, the performance of the Class 1 share class was -22.25% and -22.02% for the Class 2 share class compared to a return of -18.64% for the Morningstar UK Unit Trusts/OEICS – (IA) China – Greater China Peer Group (on a bid to bid basis, with income reinvested for a UK basic rate taxpayer).

For information purposes, using global close prices, the total return of the MSCI China Index was -23.60%.

Market Overview and Portfolio ActivityFollowing a particularly strong performance earlier in the year, Chinese equities dropped back sharply over the six months under review, falling in excess of 20% in sterling terms. In mid-June, Chinese markets fell heavily amid concerns over stretched valuations, a clampdown on margin trading and the drain on liquidity from the large number of IPOs (initial public offerings). The China Securities Regulatory Commission suspended IPOs in mid-July, but the equity markets continued to fall as de-leveraging kicked in and concerns increased over the appreciable slowdown in the Chinese economy. In early August, the People’s Bank of China (PBoC) announced the surprise devaluation of the yuan, ostensibly to facilitate the inclusion of the yuan in the IMF Special Drawing Rights, but this prompted currency volatility and further stock market weakness. The Chinese authorities responded with increased fiscal spending in the form of new infrastructure projects and the PBoC announced further cuts in interest rates and banks’ reserve requirements, while also providing liquidity to help stabilise the market.

During September, China’s equity markets stabilised and October saw a useful rally, helped by the release of a Q3 GDP growth rate of 6.9% that did not surprise on the downside. The Chinese currency stabilised after the volatility in August and recent data on vehicle sales, retail sales and the service sector has been encouraging. In addition, the all-important property

market is showing signs of recovery, helped by some supportive policy initiatives.

Over the summer, we reduced the fund’s exposure to smaller companies, as these bore the brunt of the selling pressure. Examples included the sales of Bitauto and GOME. The fund’s defensive stance was strengthened by reducing the exposure to more economically sensitive sectors and adding to defensive areas such as consumer staples and healthcare. Notably, we reduced the positions in banks, small property developers and brokers. Also, as part of our more defensive strategy, we added to China Mobile following better-than expected results.

New positions were added in Anta, a leading domestic sportswear company whose sales are seeing healthy growth, and Shenzhou International, one of China’s leading textile exporters. The fund also established a position in China Resources Land, one of the country’s largest property developers. In October, it participated in the new issue of China Reinsurance, the only domestic reinsurance group in China.

Recent measures from the authorities serve to highlight their determination to re-orient China’s economy away from exports towards more domestically driven growth. Chinese consumers are enjoying higher disposable incomes on the back of rising real wages, which should support domestic consumption. At current levels, Chinese equities are trading on undemanding valuations, and the fund will continue to seek out attractively valued companies with good earnings visibility.


2015 2014£000 £000


(31,116) 13,371Dilution adjustment 181 107Change in net assets attributable to shareholders from investment activities (see statement of total return above) (33,212) 12,641









23







Threadneedle Global Emerging Markets Equity Fund

24


Investment ReportInvestment ObjectiveThe investment objective of the Global Emerging Markets Equity Fund is to achieve long-term capital growth.

Investment PolicyThe ACD’s investment policy is to invest the assets of the Fund primarily in equities of Emerging Markets companies. These are defined as companies domiciled in and/or whose significant activities are in Emerging Market countries. Emerging Market countries are those characterised as developing or emerging by the World Bank, the United Nations or the MSCI Emerging Markets Free Index.

If the ACD considers it desirable, it may further invest up to one third of the total assets of the Fund in other securities (including fixed interest securities, other equities and money market securities).

In addition, the ACD may use derivatives and forward transactions for purposes that are limited to efficient portfolio management.

Performance of Net Accumulation Class 1 Shares*Over the six months to 31 October 2015, the published share price of the Threadneedle Global Emerging Markets Equity Fund has fallen from 96.18p to 79.48p.

For comparison, using noon prices, the performance of the Class 1 share class was -17.36% and -17.13% for the Class 2 share class compared to a return of -15.67% for the Morningstar UK Unit Trusts/OEICS – (IA) Global Emerging Markets Peer Group

(on a bid to bid basis, with income reinvested for a UK basic rate taxpayer).

For information purposes, using global close prices, the total return of the MSCI Emerging Markets Index was -17.96%.

Market Overview and Portfolio ActivityThe period under review proved particularly challenging for emerging-market equities. Markets retreated in the wake of sharp falls in commodity prices, the appreciable slowdown in the Chinese economy and continuing uncertainty over when the Federal Reserve (Fed) will begin to raise US interest rates. Speculation regarding a US rate hike persisted throughout the period, fuelling additional capital outflows from the asset class and further depressing emerging-market currencies. Many of these currencies were already under pressure from lower commodity prices, which have reduced the export earnings of resource-rich economies. In the event, the Federal Reserve left interest rates on hold at its September policy meeting. Emerging-market equities ended the period on a brighter note, staging a sharp relief rally in October following some more dovish comments from the major central banks.China is the world’s biggest importer of commodities and the slowdown in the Chinese economy has exerted a major influence on other emerging markets. In August, the Chinese authorities announced a surprise devaluation of the yuan to support China’s economy, but this further unsettled global equity markets and exacerbated the weakness in other Asian currencies. Renewed weakness in the oil price particularly affected oil-exporting nations such as Russia, Colombia and Malaysia. The

Brazilian market was also particularly weak due to the country’s sharp economic slowdown and internal political troubles. Within Latin America we prefer the prospects for Mexico over Brazil, and we initiated a new holding in food retailer Wal-Mart de Mexico. The company has seen strong sales growth and we remain positive on the outlook for Mexican domestic consumption. Also in Mexico, we participated in the initial public offering for auto-parts manufacturer Tenedora Nemak, which is well positioned to benefit from continued strength in autos demand from the US and Europe. Another country we currently favour is India, where we established new holdings in Asian Paints and the personal care company, Dabur. Key sales included Brazilian bank Itau Unibanco, given our concerns over the deterioration in Brazil’s economy. We also sold out of Korean bank Hana Financial, as slowing economic activity in Korea is likely to delay any rise in interest rates which will continue to put pressure on the bank’s profitability. In China, we reduced the position in internet-service portal Tencent, as we were able to identify better opportunities in the internet space.Despite the challenges facing emerging-market economies, it is encouraging to see that investors are increasingly differentiating between those countries which should see improving fundamentals such as India, and those whose fiscal and current account positions still need to see some improvement. We continue to seek out quality companies for the portfolio, many of which were sold down indiscriminately during the recent market weakness.



2015 2014 £000 £000


Expenses (1,434) (1,316)Interest payable and similar charges – (1)

Net revenue before taxation 2,411 1,086Taxation (389) (245)

Net revenue after taxation 2,022 841Total return (55,433) 17,352



April2015 2015





Total assets 215,000 318,870

Liabilities:Investment liabilities – (6)Creditors:





2015 2014 £000 £000


(45,084) 93,366Dilution adjustment 402 363Change in net assets attributable to shareholders from investment activities (see statement of total return above) (55,433) 17,352








25







Threadneedle Emerging Market Local Fund

26



2015 2014 £000 £000

IncomeNet capital losses (3,699) (317)Revenue 834 1,112†


Net revenue before taxation 651 863Taxation – –

Net revenue after taxation 651 863Total return before distributions (3,048) 546

Distributions (776) (1,017)

Change in net assets attributable to shareholders from investment activities (3,824) (471)


2015 2014 £000 £000


(1,387) (1,593)Dilution adjustment 6 39Change in net assets attributable to shareholders from investment activities (see statement of total return above) (3,824) (471)Retained distribution on accumulation shares 676 854




April2015 2015



Current assets:

Debtors 786 1,350Cash and bank balances 1,894 2,965


Liabilities:Investment liabilities (798) (1,788)Creditors:

Bank overdrafts (173) (216)Distribution payable (72) (85)†

Other creditors (79) (1,756)†






Gross Revenue

Income Tax



Distribution Paid

2015 2014 Group 101/05/15 to 31/10/15 2.5586 0.5117 2.0469 − 2.0469 2.7904 Group 201/05/15 to 31/10/15 0.7226 0.1445 0.5781 1.4688 2.0469 2.7904 Total distributions in the period 2.0469 2.7904

Class 1 SharesGross accumulationDistribution Period

Gross revenue Equalisation

Gross Revenue Accumulated


2015 2014Group 101/05/15 to 31/10/15 3.6542 − 3.6542 4.7168 Group 201/05/15 to 31/10/15 − 3.6542 3.6542 4.7168 Total distributions in the period 3.6542 4.7168

Investment ReportInvestment Objective The investment objective of the Emerging Market Local Fund is to achieve a total return primarily by way of income with some capital growth.

Investment PolicyThe ACD’s investment policy is to actively manage an exposure primarily to emerging market local currencies and debt securities issued by governments in Emerging Markets and/or companies which are domiciled or have significant operations in an Emerging Market. Those debt securities may be denominated in any currency, but at least two-thirds of the Fund will be invested in securities denominated in the local emerging market currency. Emerging markets countries are those characterised as developing or emerging by the MSCI Emerging Markets Index or those not listed in the OECD country list. If the ACD considers it desirable the Fund may gain exposure of up to one third of the total assets of the Fund to non-emerging market currencies and non-emerging market government/corporate debt securities.The ACD will utilise the following investments to obtain the Funds exposure: government bonds, treasury bills, corporate bonds, cash or near cash, securitised notes, foreign exchange forward transactions, swaps (including but not limited to cross currency interest rate and credit default swaps) and other types of derivative. At times the portfolio may be concentrated in any one or a combination of such assets.

Performance of Net Income Class 1 Shares*Over the six months to 31 October 2015, the published share price of Class 1 shares in the Threadneedle Emerging Market Local Fund has fallen from 89.66p to 76.74p.For comparison, using noon prices, the performance of the Class 1 share class was -12.48%. The performance of the Class 1 gross accumulation share class was -11.38% and -11.00% for the Class 2 gross accumulation share class.For information purposes, using global close prices, the total return of the JPM GBI-EM Global Diversified Index was -10.46%.

Market Overview and Portfolio ActivityEmerging-market debt declined over the six months under review. Local-currency bonds were hindered by a strong US dollar, commodity-price weakness and fears of a slowdown in China. The other key concern for markets was the much-anticipated rise in US interest rates, particularly for emerging economies given their significant US-dollar-denominated debt.In China, the government implemented a number of measures to boost growth, including interest-rate cuts and devaluing the yuan. Chinese woes led to oil and other commodity prices falling sharply during the summer, putting pressure on the currencies of commodity-exporting nations. Emerging markets, led by China, performed more strongly in October, as the Fed released dovish comments pushing back interest-rate expectations, and China implemented further rate cuts.At the start of the period, we reduced risk in the portfolio as we became increasingly concerned about the global operating

environment, amid a sharp repricing in core rates and the fundamental story in emerging-markets looking shaky. By the end of the summer, we were broadly short emerging-market currencies, amid expectations of pressure from a Fed rate hike and weakening emerging-market sentiment, and this positioning was additive to performance.As local rates sold off, we favoured hard-currency debt, seeing specific opportunities with attractively priced deals in the primary markets. We participated in cheaply priced new issues from Egypt, Gabon and the Province of Buenos Aires, as we favoured hard-currency exposure over local in the stronger-dollar environment. Brazil had a challenging six months, amid a deteriorating fiscal position, political uncertainty and a credit-downgrading to junk status. Weak energy prices reduced government revenues, widening the fiscal deficit. The situation was exacerbated by President Rousseff allegedly flattering these figures by borrowing from state-owned banks, leading to calls for her impeachment. Over the period, we increased our Brazilian ‘steepener’ on the view that the negative news was likely to result in a sharp steepening of the yield curve. Amid increased political uncertainty in Turkey, we also reduced our exposure to Turkish local bonds, fearing a market sell-off in light of the continued depreciation of the lira. Turkey’s AK party lost its majority for the first time in 13 years, causing significant political uncertainty and resulting in a snap election being called for November. Geopolitical tensions also flared up during the period and domestic violence with the Kurds started again.



27



Class 2 SharesGross accumulationDistribution Period

Gross Revenue Equalisation




Class X SharesGross incomeDistribution Period



Distribution Paid


Class X SharesGross accumulationDistribution Period




2015 2014Group 101/05/15 to 31/10/15 5.1000 − 5.1000 6.4610 Group 201/05/15 to 31/10/15 5.1000 − 5.1000 6.4610 Total distributions in the period 5.1000 6.4610

Class Z SharesNet incomeDistribution Period

Gross Revenue

Income Tax



DistributionPaid

2015 2014Group 101/05/15 to 31/10/15 2.2371 0.4474 1.7897 − 1.7897 2.4511 Group 201/05/15 to 31/10/15 0.7035 0.1407 0.5628 1.2269 1.7897 2.4511 Total distributions in the period 1.7897 2.4511

Class Z SharesGross accumulationDistribution Period














Threadneedle Global Extended Alpha Fund

28


Investment ReportInvestment ObjectiveThe investment objective of the Global Extended Alpha Fund is to achieve long term capital growth.

Investment PolicyThe ACD’s investment policy is to actively manage an exposure by investing directly or indirectly into equity securities worldwide, including companies located in developed and emerging markets. Exposure to these markets may be gained through both long and short positions.

The ACD may invest in equities, derivatives, forward transactions and collective investment schemes. The ACD may also invest in other securities (including fixed interest securities and money market securities), deposits and cash.

In order to gain short exposure the ACD will invest in derivatives. The ACD may also invest in derivatives to gain long exposure.

Performance of Net Accumulation Class 1 Shares*Over the six months to 31 October 2015, the published share price of Class 1 shares in the Threadneedle Global Extended Alpha Fund has risen from 198.44p to 201.98p.

For comparison, using noon prices, the performance of the Class 1 share class was +1.78% and +1.84% for the Class 2 share class compared to a return of -4.23% for the

Morningstar UK Unit Trusts/OEICS – (IA) Global Growth Peer Group (on a bid to bid basis, with income reinvested for a UK basic rate taxpayer).

Market Overview and Portfolio ActivityGlobal equities fell during the period under review, buffeted by falling oil prices and a general weakening of demand across emerging markets. In China, a combination of overstretched equity valuations and ongoing economic disappointment triggered a global sell-off in equities, and prompted broader questions about the health of China’s economy. The difficulties in emerging markets were cited as a reason for the US Federal Reserve (Fed) keeping rates on hold in September. US markets fared relatively better over the period, helped by stronger-than-expected third-quarter earnings and solid job-creation figures. In October, actual and mooted stimulus measures from the Chinese and eurozone central banks gave a boost to equities, and unexpectedly hawkish noises from the Fed suggested an interest-rate hike this year was firmly back in play.

New long positions over the period included Royal Dutch Shell (oil & gas) and Zimmer Biomet (medical equipment). We opened a position in Shell to reduce our underweight position in energy. Within the sector we prefer defensive supermajors with strong balance sheets and cashflows, which can be used to acquire distressed assets. Zimmer

Biomet controls significant market share and has good growth opportunities. We also topped up holdings in Mitsui Fudosan (real estate) and Pfizer (pharmaceuticals). Among key sales over the period, we exited our holding in Sumco, which manufactures silicon wafers, and in Ping An Insurance, taking profits in a stock that had contributed strongly to the portfolio over the previous 12 months. We sold off investment bank Nomura, as we sought to reduce capital-market risk. We also reduced the number of holdings in the short book.

Our economic forecasts suggest that the US economy should continue to lead growth in the developed world. At the same time, Japan and Europe should benefit from stimulus measures, while China and emerging economies face slowing growth and structural challenges. Within the long book, we continue to favour secular-growth companies and high-quality franchises, which we see as attractive in an environment of heightened macro-economic and political risks.



2015 2014 £000 £000

IncomeNet capital gains 2,386 4,766Revenue 698 606†

Expenses (1,961) (363)Interest payable and similar charges (278) (361)†

Net expenses before taxation (1,541) (118)Taxation (56) (45)

Net expenses after taxation (1,597) (163)

Total return 789 4,603

Change in net assets attributable to shareholders from investment activities 789 4,603


2015 2014 £000 £000


18,232 11,506Dilution adjustment 12 7Change in net assets attributable to shareholders from investment activities (see statement of total return above) 789 4,603


The comparatives used within the Statement of Change in Net Assets Attributable to Shareholders are for the corresponding period of the previous year.Therefore the opening net assets attributable to shareholders for the current year are at 30 April 2015 whilst the figure disclosed in the comparatives’ closing net assets attributable to shareholders is at 31 October 2014.


April2015 2015





Liabilities:

Derivative liabilities – (366)Creditors:

Bank overdrafts (3) –

Other creditors (3,790) (738)








29




(4) DerivativesAny capital gains/losses are included within net capital gains. Revenue on derivatives is included within revenue in the statement of total return. Expense on derivatives is included within interest payable and similar charges in the statement of total return.




Threadneedle Global Equity Income Fund

30


Investment ReportInvestment Objective The investment objective of the Global Equity Income Fund is to achieve a high and growing income over the long term combined with prospects for capital growth.

Investment PolicyThe ACD’s investment policy is to invest no less than two-thirds of the gross assets of the Fund in global equities. Income will be in the form of dividend distribution. If the ACD considers it desirable it may further invest up to one third of the total assets of the Fund in derivatives, forward transactions and other securities (including fixed interest securities and money market securities) deposits and cash.

Performance of Net Income Class 1 Shares*Over the six months to 31 October 2015, the published share price of Class 1 shares in the Threadneedle Global Equity Income Fund has fallen from 118.03p to 111.68p.For comparison, using noon prices, the performance of the Class 1 share class was -3.20% and -2.92% for the Class 2 share class compared to a return of -4.23% for the Morningstar UK Unit Trusts/OEICS – (IA) Global Growth Peer Group (on a bid to bid basis, with income reinvested for a UK basic rate taxpayer).

For information purposes, using global close prices, the total return of the MSCI AC World Free Index was -4.98%.Market Overview and Portfolio ActivityGlobal equities fell during the period under review, buffeted by falling oil prices and a general weakening of demand across emerging markets. In China, a combination of overstretched equity valuations and ongoing economic disappointment triggered a global sell-off in equities, and prompted broader questions about the health of China’s economy. The difficulties in emerging markets were cited as a reason for the US Federal Reserve (Fed) keeping rates on hold in September. US markets fared relatively better over the period, helped by stronger-than-expected third-quarter earnings and solid job-creation figures. In October, actual and mooted stimulus measures from the Chinese and eurozone central banks gave a boost to equities, and unexpectedly hawkish noises from the Fed suggested an interest-rate hike this year was firmly back in play.Over the course of the reporting period, the main regional adjustments within the portfolio were a reduction in our exposure to emerging markets, and an increased position in the US. At the sector level, the fund continues to be most overweight in the consumer sectors, and most underweight in technology, energy and healthcare.

Key activity over the period included opening new positions in companies such as Microsoft (technology), Coca-Cola (beverages), Givaudan (fragrances and flavours) and Paychex (payroll services). The fall in Microsoft’s share price offered an attractive entry point; the technology giant stands to benefit from an increased focus on cloud-related technology. While offering an attractive dividend yield, Coca-Cola also has a renewed focus on product differentiation and pricing. Givaudan is the dominant player in the fragrances industry, generating high returns and deploying capital well. We exited companies such as Kraft (foods), Syngenta (agribusiness) and Lorillard (tobacco).Our economic forecasts suggest that the US economy should continue to lead growth in the developed world. At the same time, Japan and Europe should benefit from stimulus measures, while China and emerging economies face slowing growth and structural challenges. Within our opportunity set, we continue to favour dividend stocks with attractive growth characteristics, but have been slightly reducing exposure to economically sensitive stocks in favour of more defensive holdings.



2015 2014£000 £000


Expenses (7,170) (7,029)Interest payable and similar charges (2) (1)

Net revenue before taxation 26,475 27,662Taxation (3,581) (3,486)

Net revenue after taxation 22,894 24,176Total return before distributions (63,232) 26,333

Distributions (29,115) (29,956)



April2015 2015£000 £000


Investments 1,470,045 1,550,010



Total assets 1,509,247 1,609,591

Liabilities:Investment liabilities (86) –

Creditors:

Distribution payable (8,056) (11,786)



Net assets attributable to shareholders 1,494,850 1,595,012


2015 2014£000 £000

Opening net assets attributable to shareholders 1,595,012 1,354,451Amounts receivable on the issue of shares 148,391 229,143Amounts payable on the cancellation of shares (166,678) (222,911)Amounts payable on inspecie transfers – (23,121)

(18,287) (16,889)Dilution adjustment 109 109Stamp duty reserve tax – (37)Change in net assets attributable to shareholders from investment activities (see statement of total return above) (92,347) (3,623)

Retained distribution on accumulation shares 10,363 11,993

Closing net assets attributable to shareholders 1,494,850 1,346,004



Dividend distribution in pence per shareClass 1 SharesNet income

Distribution Period


Distribution Paid/Payable

Distribution Paid

2015 2014Group 101/05/15 to 31/07/15 1.1842 − 1.1842 1.3878 01/08/15 to 31/10/15 0.9206 − 0.9206 0.9679 Group 201/05/15 to 31/07/15 0.4158 0.7684 1.1842 1.3878 01/08/15 to 31/10/15 0.2095 0.7111 0.9206 0.9679 Total distributions in the period 2.1048 2.3557


31


Class 1 SharesMonthly net income

Distribution Period



2015

Group 101/05/15 to 31/05/15 0.4657 − 0.4657 01/06/15 to 30/06/15 0.4143 − 0.4143 01/07/15 to 31/07/15 0.1443 − 0.1443 01/08/15 to 31/08/15 0.3290 − 0.3290 01/09/15 to 30/09/15 0.3689 − 0.3689 01/10/15 to 31/10/15 0.1021 − 0.1021 Group 201/05/15 to 31/05/15 0.4657 − 0.4657 01/06/15 to 30/06/15 0.4043 0.0100 0.4143 01/07/15 to 31/07/15 0.1043 0.0400 0.1443 01/08/15 to 31/08/15 0.2590 0.0700 0.3290 01/09/15 to 30/09/15 0.0474 0.3215 0.3689 01/10/15 to 31/10/15 0.0231 0.0790 0.1021 Total distributions in the period 1.8243

Class 1 SGD Hedged SharesNet income

Distribution Period



Distribution Paid

2015 2014Group 101/05/15 to 31/07/15 1.0049 − 1.0049 1.2629 01/08/15 to 31/10/15 0.7453 − 0.7453 0.8754 Group 201/05/15 to 31/07/15 − 1.0049 1.0049 1.2629 01/08/15 to 31/10/15 − 0.7453 0.7453 0.8754 Total distributions in the period 1.7502 2.1383

Class 1 AUD Hedged SharesMonthly net income

Distribution Period



2015Group 101/05/15 to 31/05/15 0.4596 − 0.4596 01/06/15 to 30/06/15 0.4088 − 0.4088 01/07/15 to 31/07/15 0.1409 − 0.1409 01/08/15 to 31/08/15 0.3120 − 0.3120 01/09/15 to 30/09/15 0.3350 − 0.3350 01/10/15 to 31/10/15 0.1014 − 0.1014 Group 201/05/15 to 31/05/15 0.4596 − 0.4596 01/06/15 to 30/06/15 0.3788 0.0300 0.4088 01/07/15 to 31/07/15 − 0.1409 0.1409 01/08/15 to 31/08/15 0.3120 − 0.3120 01/09/15 to 30/09/15 − 0.3350 0.3350 01/10/15 to 31/10/15 0.1014 − 0.1014 Total distributions in the period 1.7577

Class 1 SGD Hedged SharesMonthly net income

Distribution Period



2015Group 101/05/15 to 31/05/15 0.4505 − 0.4505 01/06/15 to 30/06/15 0.4175 − 0.4175 01/07/15 to 31/07/15 0.1457 − 0.1457 01/08/15 to 31/08/15 0.3229 − 0.3229 01/09/15 to 30/09/15 0.3550 − 0.3550 01/10/15 to 31/10/15 0.1065 − 0.1065 Group 201/05/15 to 31/05/15 − 0.4505 0.4505 01/06/15 to 30/06/15 − 0.4175 0.4175 01/07/15 to 31/07/15 − 0.1457 0.1457 01/08/15 to 31/08/15 0.3229 − 0.3229 01/09/15 to 30/09/15 − 0.3550 0.3550 01/10/15 to 31/10/15 0.1065 − 0.1065 Total distributions in the period 1.7981


Distribution Period




2015 2014Group 101/05/15 to 31/07/15 1.7050 − 1.7050 1.9190 01/08/15 to 31/10/15 1.3399 − 1.3399 1.3560 Group 201/05/15 to 31/07/15 0.6034 1.1016 1.7050 1.9190 01/08/15 to 31/10/15 0.4571 0.8828 1.3399 1.3560 Total distributions in the period 3.0449 3.2750


Class 1 CHF Hedged SharesNet accumulation*

Distribution Net Net Revenue Period Revenue Equalisation Accumulated

2015

Group 101/05/15 to 31/07/15 0.5332 − 0.5332 01/08/15 to 31/10/15 0.7739 − 0.7739 Group 201/05/15 to 31/07/15 0.5332 − 0.5332 01/08/15 to 31/10/15 0.7739 − 0.7739 Total distributions in the period 1.3071

Class 1 SGD Hedged SharesNet accumulation

Distribution Net Net Revenue Net Revenue Period Revenue Equalisation Accumulated Accumulated

2015 2014

Group 101/05/15 to 31/07/15 1.0696 − 1.0696 1.2896 01/08/15 to 31/10/15 0.8007 − 0.8007 0.9047 Group 201/05/15 to 31/07/15 0.0004 1.0692 1.0696 1.2896 01/08/15 to 31/10/15 − 0.8007 0.8007 0.9047 Total distributions in the period 1.8703 2.1943

Class 2 SharesNet income

Distribution Net Distribution Distribution Period Revenue Equalisation Paid/Payable Paid

2015 2014

Group 101/05/15 to 31/07/15 1.2467 − 1.2467 1.4481 01/08/15 to 31/10/15 0.9813 − 0.9813 1.0142 Group 201/05/15 to 31/07/15 0.2589 0.9878 1.2467 1.4481 01/08/15 to 31/10/15 0.0742 0.9071 0.9813 1.0142 Total distributions in the period 2.2280 2.4623

Class 2 EUR Hedged SharesNet income


2015 2014

Group 101/05/15 to 31/07/15 0.8843 − 0.8843 0.7200 01/08/15 to 31/10/15 0.7024 − 0.7024 0.8710 Group 201/05/15 to 31/07/15 0.8843 − 0.8843 0.7200 01/08/15 to 31/10/15 0.7024 − 0.7024 0.8710 Total distributions in the period 1.5867 1.5910



2015 2014


Class X SharesNet income


2015 2014


Class X SharesNet accumulation


2015 2014



32



Class Z SharesNet income


2015 2014


Class Z SGD Hedged SharesNet income


2015 2014


Class Z SharesNet accumulation


2015 2014


Class Z CHF Hedged SharesNet accumulation**

Distribution Net Net Revenue Period Revenue Equalisation Accumulated

2015

Group 101/05/15 to 31/07/15 0.5333 − 0.5333 01/08/15 to 31/10/15 0.7754 − 0.7754 Group 201/05/15 to 31/07/15 0.5333 − 0.5333 01/08/15 to 31/10/15 0.7754 − 0.7754 Total distributions in the period 1.3087

Class Z SGD Hedged SharesNet accumulation


2015 2014


Group 2: shares purchased during a distribution period. *Class 1 CHF Hedged – Net accumulation shares commenced 3 June 2015. **Class Z CHF Hedged – Net accumulation shares commenced 3 June 2015.








Threadneedle Global Opportunities Bond Fund*

33


Investment ReportInvestment ObjectiveThe Global Opportunities Bond Fund seeks to achieve a total positive return over a 12 month period in all market conditions. There is a risk to capital, and there is no guarantee that such a return will be achieved within 12 months, or any other timescale.

Investment PolicyThe ACD’s investment policy is to primarily invest the assets of the Fund so as to gain exposure to government and non-government fixed income and floating rate securities either directly or indirectly through derivatives. This includes developed and emerging market government bonds; Investment Grade, Non-Investment Grade and unrated corporate and government bonds; asset-backed transferable securities. In addition, when determined by the ACD to be appropriate, money market instruments, cash and near cash. At times the Fund may be concentrated in any one or a combination of these types of assets. The Fund may take long positions, and short positions through derivatives, in such assets.

Performance of Net Income Class 1 Shares**Over the six months to 31 October 2015, the published share price of Class 1 shares in the Threadneedle Global Opportunities Bond Fund has fallen from 100.59p to 95.94p.

For comparison, using noon prices, the performance of the Class 1 share class was -4.62% compared to a return of -0.33% for the Morningstar UK Unit Trusts/OEICS – (IA) Absolute Return Peer Group (on a bid to bid basis, with income reinvested for a UK basic rate taxpayer).

For information purposes, using global close prices, the total return of the Citigroup GBP 1 Month Eurodeposit was +0.25%.

Market Overview and Portfolio ActivityFixed-income market performance has been mixed over the past six months. The period has witnessed volatility related to the Greek debt crisis, commodity weakness, global growth concerns and Chinese stock market volatility. August, in particular, was a difficult month for risk assets. US high yield underperformed European markets, principally because of its significantly greater exposure to energy-related issuers. Oil fell sharply as commodity weakness also impacted resource-based countries and companies.

Corporate bond returns were limited over the six months under review. The period was volatile due to a combination of the Greek debt crisis, ongoing commodity weakness and Chinese stock market turbulence which meant risk assets sold off in August. Both core government bond yields and credit markets experienced significant volatility over the period under review.

Meanwhile, the Bank of England’s Monetary Policy Committee voted to keep interest rates unchanged, but comments emerged from committee members indicating that interest-rate hikes could be on the cards. In late August, it was reported that UK exports rose by 3.9% during the second quarter.

The performance of the Global Opportunities Bond Fund has been poor over the period Performance from duration management was slightly negative. The portfolio contained a number of relative value positions, but with an overall short duration bias. This bias hurt returns as US yields fell during September.

The performance of our active currency management was also negative over this period. In August, the surprise devaluation of the Chinese renminbi had a knock-on effect on EM and Asian currencies; our overweight position in the Mexican peso and New Zealand dollar versus the euro was the most significant detractor. October was also a poor month for the currency strategy. The fund was positioned for a further deterioration in economic conditions, having a short US dollar position against the yen and euro. Relatively benign economic data early in the month along with a more dovish stance by the ECB pushed the euro down versus the US dollar, this hurt performance.

In asset allocation, we reduced our exposure to credit early on in the year, so we were not significantly affected by widening credit spreads over the summer months. However, our small net positive exposure to credit did detract from returns.

Security selection was broadly flat over the period. The key detractors over the period were our positions in long maturity US pipeline and energy related issues. This was broadly offset by positive security selection elsewhere in the portfolio. We have been very selective in the names we have added to the portfolio. We expect that security selection will reassert itself as a consistent, long-term, positive contributor to returns.

*The Fund was launched on 24 February 2015. **In pound Sterling and against UK peer group.

Please refer to pages 77 to 84 for comparative tables.


2015 £000

IncomeNet capital losses (5,545)Revenue 2,008

Expenses (454) Interest payable and similar charges (1,615)Net expenses before taxation (61) Taxation –

Net expenses after taxation (61)

Total return before distributions (5,606)

Distributions 4

Change in net assets attributable to shareholders from investment activities (5,602)


2015 £000

Opening net assets attributable to shareholders 110,373Amounts receivable on the issue of shares 19,298Amounts payable on the cancellation of shares (2,261)

17,037Dilution adjustment 28Change in net assets attributable to shareholders from investment activities (see statement of total return above) (5,602)

Closing net assets attributable to shareholders 121,836


April2015 2015




Total assets 129,003 118,039

Liabilities:Investment liabilities (2,884) (4,185)Creditors:

Bank overdrafts (2,041) (875)Distribution payable – (2)Other creditors (2,242) (2,604)





Class 1 SharesNet income

There is no distribution for the accounting period 1 May 2015 to 31 October 2015, as expenses exceed revenue.Class 1 SharesNet accumulation

There is no distribution for the accounting period 1 May 2015 to 31 October 2015, as expenses exceed revenue.Class 1 SharesGross accumulation shares*

There is no distribution for the accounting period 1 May 2015 to 31 October 2015, as expenses exceed revenue.Class X SharesGross accumulationDistribution Period



2015 Group 101/05/15 to 31/10/15 0.3229 − 0.3229 Group 201/05/15 to 31/10/15 0.3229 − 0.3229 Total distributions in the period 0.3229

34


Threadneedle Global Opportunities Bond Fund


Class Z SharesNet income

There is no distribution for the accounting period 1 May 2015 to 31 October 2015, as expenses exceed revenue.Class Z SharesNet accumulation

There is no distribution for the accounting period 1 May 2015 to 31 October 2015, as expenses exceed revenue.Class Z SharesGross income

There is no distribution for the accounting period 1 May 2015 to 31 October 2015, as expenses exceed revenue.Class Z SharesGross accumulation

There is no distribution for the accounting period 1 May 2015 to 31 October 2015, as expenses exceed revenue.Group 2: shares purchased during a distribution period. *Class 1 – Gross Accumulation Shares commenced 28 October 2015.









35


Portfolio Statementas at 31 October 2015

Holding Investment Value

£000

% ofNet Asset

Value Holding Investment Value

£000

% ofNet Asset

Value


OIL & GAS 0.00% (0.09%)Oil Equipment, Services & Distribution 0.00% (0.09%)Total Oil & Gas – –

BASIC MATERIALS 2.99% (1.63%)Chemicals 2.99% (1.63%)

178,180 Victrex 3,295 2.99 Total Basic Materials 3,295 2.99

INDUSTRIALS 31.11% (29.73%)Construction & Materials 5.03% (4.15%)

182,841 Keller Group 1,491 1.35 68,590 Kier Group 945 0.86

1,208,898 Tyman 3,107 2.82

Aerospace & Defence 3.53% (2.50%)839,204 Cobham 2,327 2.11 692,187 Senior 1,566 1.42

General Industrials 1.02% (2.39%)173,115 RPC Group 1,126 1.02

Electronic & Electrical Equipment 1.41% (4.09%)203,972 Halma 1,557 1.41

Industrial Engineering 1.77% (0.00%)732,057 Melrose Industries 1,948 1.77

Support Services 18.35% (16.60%)297,327 Ashtead Group 2,973 2.69 283,481 Berendsen 2,906 2.63 49,771 DCC 2,591 2.35

442,674 Howden Joinery Group 2,052 1.86 241,800 Michael Page International 1,195 1.08 789,440 †Optimal Payments 2,400 2.18 167,803 PayPoint 1,661 1.51

2,556,347 Rentokil Initial 3,947 3.58 37,281 WS Atkins 514 0.47

Total Industrials 34,306 31.11

CONSUMER GOODS 9.70% (10.41%)Beverages 2.16% (1.71%)

1,263,655 Stock Spirits Group 2,388 2.16

Household Goods & Home Construction 5.47% (6.59%)93,267 Bellway 2,421 2.19

480,125 Crest Nicholson Holdings 2,609 2.37 66,716 Galliford Try 999 0.91

Personal Goods 2.07% (2.11%)75,390 Ted Baker 2,282 2.07

Total Consumer Goods 10,699 9.70

HEALTH CARE 2.90% (1.14%)Pharmaceuticals & Biotechnology 2.90% (1.14%)

359,336 BTG 1,984 1.80 193,066 †Clinigen Group 1,216 1.10

Total Health Care 3,200 2.90

CONSUMER SERVICES 27.66% (26.81%)Food & Drug Retailers 0.00% (1.84%)

General Retailers 9.24% (9.09%)815,000 DFS Furniture 2,630 2.38

1,789,425 Home Retail Group 2,010 1.82 674,426 N Brown Group 2,528 2.29

1,049,746 Pets at Home Group 3,029 2.75

Media 3.74% (3.65%)177,818 Euromoney Institutional Investor 1,687 1.53 729,798 Moneysupermarket.com Group 2,438 2.21

Travel & Leisure 14.68% (12.23%)100,382 Betfair Group 3,239 2.94 535,990 Greene King 4,304 3.90 844,671 Rank Group 2,336 2.12 251,913 Restaurant Group 1,806 1.64 933,370 SSP Group 2,811 2.55

1,370,376 Thomas Cook Group 1,683 1.53 Total Consumer Services 30,501 27.66

FINANCIALS 20.80% (21.69%)Banks 3.35% (3.45%)

525,000 Shawbrook Group 1,781 1.62 492,620 Virgin Money Holdings UK 1,910 1.73

Life Insurance 1.08% (1.76%)123,070 St James’s Place 1,186 1.08

Real Estate Investment & Services 2.87% (2.08%)825,000 †Market Tech Holdings 1,617 1.47 168,392 Savills 1,542 1.40

Real Estate Investment Trusts 4.70% (4.59%)70,312 Derwent London 2,728 2.47

1,455,593 Londonmetric Property 2,463 2.23

Financial Services 8.80% (9.81%)143,942 Close Brothers Group 2,107 1.91 433,415 Intermediate Capital Group 2,451 2.22 798,832 IP Group 1,900 1.72 279,851 Jupiter Fund Management 1,262 1.14 88,247 Rathbone Brothers 1,991 1.81

Total Financials 22,938 20.80

TECHNOLOGY 3.96% (6.60%)Software & Computer Services 3.96% (2.00%)

100,745 AVEVA Group 2,069 1.88 183,458 Micro Focus International 2,299 2.08

Technology Hardware & Equipment 0.00% (4.60%)

Total Technology 4,368 3.96

Total value of investments 109,307 99.12

Net other assets (1.90%) 974 0.88

Net assets 110,281 100.00

April 2015 comparatives in brackets. †Alternative Investment Market.


£000

% ofNet Asset


£000

% ofNet Asset

Value

36




OIL & GAS 7.08% (9.56%)Oil & Gas Producers 5.29% (5.99%)

174,724 BG Group 1,794 2.39 128,078 Royal Dutch Shell B Shares 2,177 2.90

Oil Equipment, Services & Distribution 1.79% (3.57%)82,782 Hunting 298 0.40

175,121 John Wood Group 1,045 1.39 Total Oil & Gas 5,314 7.08


65,526 Johnson Matthey 1,692 2.26

Mining 3.55% (4.12%)113,045 Rio Tinto 2,666 3.55

Total Basic Materials 4,358 5.81


672,343 †Breedon Aggregates 370 0.49

Aerospace & Defence 1.64% (2.42%)46,266 BAE Systems 204 0.27

13,882,195 Rolls-Royce ‘C’ Shares – –149,754 Rolls-Royce Holdings 1,030 1.37

General Industrials 1.10% (1.62%)85,512 Smiths Group 822 1.10

Industrial Engineering 2.10% (1.25%)67,778 IMI 646 0.86

349,222 Melrose Industries 929 1.24

Support Services 7.59% (7.50%)26,757 Aggreko 245 0.33 79,208 Berendsen 812 1.08

346,983 G4S 841 1.12 242,496 Howden Joinery Group 1,124 1.50 521,240 Rentokil Initial 805 1.07 48,942 Wolseley 1,867 2.49


CONSUMER GOODS 22.23% (20.44%)Automobiles & Parts 2.69% (2.59%)

702,359 GKN 2,016 2.69

Beverages 2.93% (2.48%)117,072 Diageo 2,199 2.93

Household Goods & Home Construction 5.89% (5.41%)351,026 Crest Nicholson Holdings 1,908 2.54 39,605 Reckitt Benckiser Group 2,512 3.35

Personal Goods 2.87% (2.56%)57,323 Burberry Group 761 1.01 48,122 Unilever 1,392 1.86

Tobacco 7.85% (7.40%)78,627 British American Tobacco 3,034 4.04 81,835 Imperial Tobacco Group 2,860 3.81


HEALTH CARE 7.54% (7.21%)Health Care Equipment & Services 2.36% (2.45%)

159,866 Smith & Nephew 1,773 2.36

Pharmaceuticals & Biotechnology 5.18% (4.76%)48,941 AstraZeneca 2,031 2.71

131,813 GlaxoSmithKline 1,852 2.47 Total Health Care 5,656 7.54

CONSUMER SERVICES 14.35% (12.17%)General Retailers 2.23% (2.74%)

209,550 Inchcape 1,674 2.23

Media 5.42% (5.67%)357,237 Informa 2,027 2.70 53,449 Pearson 460 0.61

108,812 WPP 1,586 2.11

Travel & Leisure 6.70% (3.76%)34,675 Carnival 1,254 1.67

149,118 Compass Group 1,667 2.22 91,849 Greene King 738 0.98 18,000 InterContinental Hotels Group 468 0.63 28,117 J D Wetherspoon 218 0.29

163,668 Merlin Entertainments 679 0.91 Total Consumer Services 10,771 14.35

TELECOMMUNICATIONS 3.93% (3.58%)Fixed Line Telecommunications 3.93% (3.58%)

635,481 BT Group 2,949 3.93 Total Telecommunications 2,949 3.93

UTILITIES 1.25% (1.13%)Gas, Water & Multiutilities 1.25% (1.13%)

115,493 Pennon Group 937 1.25 Total Utilities 937 1.25


615,485 Barclays 1,428 1.90 86,106 Standard Chartered 621 0.83

Nonlife Insurance 0.93% (1.11%)165,317 RSA Insurance Group 696 0.93

Life Insurance 6.45% (5.05%)242,806 Legal & General Group 635 0.85 174,866 Prudential 2,655 3.54 160,382 St James’s Place 1,545 2.06

Real Estate Investment Trusts 1.12% (1.09%)21,663 Derwent London 840 1.12

Financial Services 3.08% (2.88%)10,882 Intermediate Capital Group 62 0.08 88,657 London Stock Exchange Group 2,255 3.00


TECHNOLOGY 3.52% (2.89%)Software & Computer Services 2.88% (2.89%)

141,011 FDM Group Holdings IPO 811 1.08 247,529 Sage Group 1,348 1.80

37


£000

% ofNet Asset

Value



Portfolio Statement(continued)

TECHNOLOGY 3.52% (2.89%) (continued)Technology Hardware & Equipment 0.64% (0.00%)

47,079 ARM Holdings 483 0.64 Total Technology 2,642 3.52

DERIVATIVES 0.48% (–0.12%)Portfolio Swap 0.48% (–0.12%)UBS - Portfolio Swap 362 0.48 Total Derivatives 362 0.48


Net other assets (8.92%) 4,941 6.58 Net assets 75,044 100.00



£000

% ofNet Asset


£000

% ofNet Asset

Value

38





2,584,374 Royal Dutch Shell B Shares 43,921 4.90 Total Oil & Gas 43,921 4.90


648,591 Kier Group 8,931 1.00

Aerospace & Defence 8.23% (8.66%)10,605,047 BAE Systems 46,683 5.21 9,755,011 Cobham 27,051 3.02

General Industrials 5.60% (5.23%)6,426,583 DS Smith 24,858 2.77 2,646,187 Smiths Group 25,430 2.83

Industrial Engineering 0.60% (0.00%)1,222,802 Castings 5,383 0.60

Support Services 6.87% (8.52%)13,042,371 Electrocomponents 26,750 2.98 15,177,181 Rentokil Initial 23,434 2.61

300,000 Wolseley 11,445 1.28 Total Industrials 199,965 22.30

CONSUMER GOODS 11.28% (10.66%)Personal Goods 4.32% (4.27%)

1,338,514 Unilever 38,723 4.32

Tobacco 6.96% (6.39%)1,786,454 Imperial Tobacco Group 62,437 6.96


HEALTH CARE 11.41% (10.92%)Pharmaceuticals & Biotechnology 11.41% (10.92%)

1,169,303 AstraZeneca 48,520 5.41 3,825,524 GlaxoSmithKline 53,749 6.00


CONSUMER SERVICES 15.28% (16.09%)Food & Drug Retailers 2.43% (2.51%)

12,939,184 WM Morrison Supermarkets 21,802 2.43

General Retailers 3.50% (3.19%)6,126,966 Marks & Spencer Group 31,401 3.50

Media 6.46% (7.94%)3,306,241 Pearson 28,483 3.18 2,537,447 Relx 29,460 3.28

Travel & Leisure 2.89% (2.45%)7,491,586 Stagecoach Group 25,906 2.89

Total Consumer Services 137,052 15.28


5,285,989 BT Group 24,532 2.74 Total Telecommunications 24,532 2.74

UTILITIES 10.21% (11.49%)Gas, Water & Multiutilities 10.21% (11.49%)

17,107,149 Centrica 38,679 4.32 3,085,516 National Grid 28,535 3.18 2,997,923 Pennon Group 24,313 2.71

Total Utilities 91,527 10.21

FINANCIALS 20.32% (16.39%)Nonlife Insurance 3.00% (0.00%)

6,390,326 RSA Insurance Group 26,890 3.00

Life Insurance 10.33% (9.24%)2,315,000 Chesnara 7,547 0.84

17,121,736 Legal & General Group 44,756 4.99 1,549,574 Phoenix Group Holdings 13,249 1.48 6,426,355 Standard Life 27,048 3.02

Real Estate Investment Trusts 3.19% (3.13%)16,935,937 Londonmetric Property 28,656 3.19

Financial Services 3.80% (4.02%)4,633,654 3i Group 23,215 2.59

742,064 Close Brothers Group 10,864 1.21 Total Financials 182,225 20.32

TECHNOLOGY 1.72% (2.05%)Technology Hardware & Equipment 1.72% (2.05%)

21,006,553 Spirent Communications 15,440 1.72 Total Technology 15,440 1.72


Net other (liabilities)/assets (0.11%) (1,455) (0.16)

Net assets 896,636 100.00

April 2015 comparatives in brackets.

39





£000

% ofNet Asset


£000

% ofNet Asset

Value


839,453 BG Group 8,617 1.33 455,435 Royal Dutch Shell B Shares 7,740 1.19

Oil Equipment, Services & Distribution 0.51% (1.31%)552,897 John Wood Group 3,301 0.51

Total Oil & Gas 19,658 3.03


375,537 Johnson Matthey 9,700 1.50

Mining 0.87% (1.42%)240,579 Rio Tinto 5,674 0.87

Total Basic Materials 15,374 2.37


8,219,161 †Breedon Aggregates 4,521 0.70

Aerospace & Defence 0.08% (0.53%)119,542 BAE Systems 526 0.08

General Industrials 0.46% (1.69%)769,130 DS Smith 2,975 0.46

Industrial Engineering 0.51% (0.68%)1,239,459 Melrose Industries 3,298 0.51

Support Services 1.80% (1.67%)2,517,507 Howden Joinery Group 11,671 1.80


CONSUMER GOODS 7.13% (4.66%)Automobiles & Parts 0.48% (0.00%)

1,086,459 GKN 3,119 0.48


Household Goods & Home Construction 3.08% (3.16%)1,993,419 Crest Nicholson Holdings 10,834 1.67

144,239 Reckitt Benckiser Group 9,149 1.41

Tobacco 1.97% (1.50%)330,759 British American Tobacco 12,764 1.97


HEALTH CARE 5.86% (3.03%)Health Care Equipment & Services 2.31% (1.56%)

1,349,222 Smith & Nephew 14,963 2.31

Pharmaceuticals & Biotechnology 3.55% (1.47%)292,655 AstraZeneca 12,144 1.87 775,413 GlaxoSmithKline 10,895 1.68


CONSUMER SERVICES 16.34% (12.56%)General Retailers 1.66% (0.89%)

1,343,324 Inchcape 10,733 1.66

Media 5.05% (4.51%)140,760 Informa 799 0.12

2,243,228 ITV 5,660 0.87 810,672 Relx 9,412 1.45

1,420,167 UBM 7,264 1.12 662,049 WPP 9,653 1.49

Travel & Leisure 9.63% (7.16%)867,393 Compass Group 9,697 1.50

1,307,177 Greene King 10,497 1.62 532,766 InterContinental Hotels Group 13,847 2.14

2,001,270 Merlin Entertainments 8,299 1.28 2,900,088 Stagecoach Group 10,028 1.55

828,170 TUI 10,004 1.54 Total Consumer Services 105,893 16.34


3,311,847 BT Group 15,370 2.37 Total Telecommunications 15,370 2.37


Nonlife Insurance 1.00% (1.23%)1,537,039 RSA Insurance Group 6,468 1.00

Life Insurance 6.81% (6.08%)6,572,098 Legal & General Group 17,179 2.65 1,041,759 Prudential 15,819 2.44 1,157,830 St James’s Place 11,156 1.72

Financial Services 3.86% (3.57%)1,972,374 Intermediate Capital Group 11,154 1.72

428,912 London Stock Exchange Group 10,911 1.68 2,972,154 Sherborne Investors Guernsey B 2,987 0.46


DERIVATIVES –0.69% (–0.25%)Futures and Options –0.75% (–0.39%)

(2,136) UBS FTSE 100 Future Expiring December 2015 (4,859) (0.75)

Forward Foreign Exchange Contracts -0.05% (0.39%)Sell GBP 9,892 Buy CHF 14,880 J.P. Morgan – – Sell GBP 2,865,574 Buy CHF 4,310,827 J.P. Morgan (22) – Sell GBP 932,981 Buy EUR 1,292,777 J.P. Morgan (4) – Sell GBP 1,253,717 Buy EUR 1,743,132 J.P. Morgan (2) – Sell GBP 7,187 Buy EUR 10,000 J.P. Morgan – – Sell GBP 9,808 Buy EUR 13,637 J.P. Morgan – – Sell GBP 135,289 Buy EUR 187,462 J.P. Morgan (1) – Sell GBP 1,561,045 Buy EUR 2,172,170 J.P. Morgan (1) –

40




£000

% ofNet Asset

Value


DERIVATIVES –0.69% (–0.25%) (continued)Sell GBP 2,148 Buy EUR 2,990 J.P. Morgan – – Sell GBP 214,515,793 Buy EUR 298,256,742 J.P. Morgan (322) (0.05)Sell GBP 411,587 Buy EUR 568,273 J.P. Morgan (3) – Sell EUR 16,106,779 Buy GBP 11,575,523 J.P. Morgan 9 – Sell EUR 18,932 Buy GBP 13,663 J.P. Morgan – – Sell EUR 69 Buy GBP 50 J.P. Morgan – – Sell GBP 172,538 Buy USD 264,985 J.P. Morgan – –

Portfolio Swap 0.11% (-0.25%)UBS - Portfolio Swap 714 0.11 Total Derivatives (4,491) (0.69)




ANALYSIS OF UNDERLYING EXPOSURE FUTURES AND OPTIONS

Value £000

UBS FTSE 100 Future Expiring December 2015 (135,524)Total net exposure (135,524)

41


£000

% ofNet Asset


£000

% ofNet Asset

Value




AUSTRALIA 0.56% (4.47%)AAA 0.51% (0.04%)

GBP 1,100,000 *Firstmac Bond Trust FRN 25/11/2044 1,100 0.51

Aaa 0.05% (2.11%)GBP 100,000 *National Australia Bank FRN

12/08/2016 100 0.05

A– 0.00% (2.32%)

Total Australia 1,200 0.56

BELGIUM 2.01% (0.00%)A 2.01% (0.00%)

GBP 4,000,000 Anheuser-Busch InBev 6.5% 23/06/2017 4,282 2.01 Total Belgium 4,282 2.01

DENMARK 0.00% (1.87%)A 0.00% (1.87%)Total Denmark – –

FRANCE 5.55% (2.77%)Aa1 0.00% (0.05%)

Aa2 0.06% (0.00%)GBP 122,000 Caisse d’Amortissement de la Dette

Sociale 2.25% 07/12/2015 122 0.06

AA– 1.99% (0.00%)GBP 1,500,000 Total Capital 3.875% 14/12/2018 1,597 0.75 GBP 2,500,000 Total Capital 4.25% 08/12/2017 2,641 1.24

A+ 1.35% (0.75%)GBP 1,115,000 BNP Paribas 3.5% 07/12/2016 1,139 0.53 GBP 1,750,000 *BNP Paribas FRN 16/05/2016 1,753 0.82

A 0.98% (1.97%)GBP 2,000,000 *BPCE FRN 06/03/2017 2,005 0.94 GBP 100,000 Societe Generale 3.875% 17/12/2015 100 0.04

BBB 1.17% (0.00%)GBP 2,500,000 RCI Banque 2.125% 06/10/2017 2,490 1.17

Total France 11,847 5.55

GERMANY 3.07% (1.53%)AA– 0.04% (0.04%)

GBP 91,000 *State of North Rhine-Westphalia FRN 23/05/2016 91 0.04

A– 3.03% (1.49%)GBP 3,500,000 Daimler 1.25% 01/12/2017 3,456 1.62 GBP 3,000,000 Daimler 1.75% 08/11/2017 2,994 1.41

Total Germany 6,541 3.07

ITALY 3.74% (4.63%)Baa2u 2.92% (1.72%)

EUR 3,325,000 Italy Buoni Poliennali Del Tesoro 2.35% 15/09/2019 2,895 1.36


BB+ 0.82% (0.76%)GBP 1,750,000 Telecom Italia 5.625% 29/12/2015 1,759 0.82

Not Rated 0.00% (2.15%)

Total Italy 7,984 3.74

JAPAN 0.00% (1.02%)A1 0.00% (1.02%)Total Japan – –

JERSEY 1.37% (1.35%)A– 0.00% (1.35%)

BBB 1.37% (0.00%)GBP 2,750,000 WPP 6% 04/04/2017 2,911 1.37

Total Jersey 2,911 1.37

MEXICO 1.78% (1.66%)BBB+ 1.78% (1.66%)

USD 5,500,000 Petroleos Mexicanos 5.75% 01/03/2018 3,785 1.78 Total Mexico 3,785 1.78

NETHERLANDS 4.49% (11.36%)AA+ 0.08% (0.07%)

GBP 52,000 Nederlandse Waterschapsbank 2.125% 07/09/2016 53 0.02

GBP 117,000 *Nederlandse Waterschapsbank FRN 25/01/2016 117 0.06

A+ 1.45% (2.56%)GBP 3,000,000 Cooperatieve Centrale Raiffeisen-

Boerenleenbank 3.25% 01/11/2017 3,098 1.45

A 0.00% (7.08%)

A2 1.19% (0.00%)GBP 2,500,000 ABN AMRO Bank 2.25% 11/09/2017 2,528 1.19

A– 1.63% (1.51%)GBP 3,356,000 British American Tobacco Holdings

5.5% 15/09/2016 3,470 1.63

BBB+ 0.14% (0.14%)GBP 300,000 Akzo Nobel 8% 06/04/2016 308 0.14

Total Netherlands 9,574 4.49

NEW ZEALAND 9.39% (6.31%)AA+ 5.71% (3.09%)

NZD 25,000,000 New Zealand Government Bond 4.5% 15/04/2027 12,173 5.71 AA– 3.68% (3.22%)

GBP 4,000,000 *ASB Finance London FRN 13/03/2017 4,005 1.88 GBP 850,000 *BNZ International Funding London

FRN 29/01/2016 850 0.40 GBP 3,000,000 *Westpac Securities FRN 03/10/2017 2,997 1.40

Total New Zealand 20,025 9.39



£000

% ofNet Asset


£000

% ofNet Asset

Value

42



NORWAY 1.41% (3.51%)Aaa 1.41% (0.00%)

GBP 3,000,000 *Nordea Eiendom FRN 11/09/2017 2,997 1.41

BBB– 0.00% (3.51%)

Total Norway 2,997 1.41

PERU 0.00% (0.11%)BBB+ 0.00% (0.11%)Total Peru – –

PORTUGAL 1.49% (0.00%)Ba1 1.49% (0.00%)

EUR 4,400,000 Portugal Obrigacoes do Tesouro OT 2.2% 17/10/2022 3,175 1.49 Total Portugal 3,175 1.49

REPUBLIC OF IRELAND 5.00% (1.42%)AA+ 5.00% (1.42%)

GBP 2,500,000 GE Capital UK Funding 2.375% 19/12/2018 2,538 1.19

GBP 7,662,000 GE Capital UK Funding 4.125% 28/09/2017 8,005 3.75

GBP 123,000 *GE Capital UK Funding FRN 09/05/2016 123 0.06 Total Republic of Ireland 10,666 5.00

SOUTH KOREA 2.26% (2.07%)AA– 2.26% (0.00%)

GBP 3,800,000 Export-Import Bank of Korea 2% 07/12/2017 3,822 1.79

USD 650,000 Export-Import Bank of Korea 2.88% 17/09/2018 432 0.20

USD 875,000 Korea Midland Power 2.75% 11/02/2019 575 0.27

A+ 0.00% (2.07%)

Total South Korea 4,829 2.26

SPAIN 5.69% (2.83%)A– 1.41% (0.00%)

GBP 3,000,000 Santander International Debt 3.16% 01/12/2015 3,004 1.41

BBB+ 3.28% (1.29%)USD 5,250,000 Instituto de Credito Oficial 5%

14/11/2016 3,518 1.65 EUR 4,675,000 Spain Government Bond 2.15%

31/10/2025 3,489 1.63

BBB 1.00% (1.54%)GBP 2,000,000 Telefonica Emisiones 5.375%

02/02/2018 2,133 1.00 Total Spain 12,144 5.69

SWEDEN 0.00% (2.92%)AA– 0.00% (2.92%)Total Sweden – –

SWITZERLAND 1.17% (1.07%)A 1.17% (1.07%)

GBP 2,500,000 *Credit Suisse FRN 15/07/2016 2,498 1.17 Total Switzerland 2,498 1.17

UNITED KINGDOM 29.53% (33.45%)AAA 1.69% (1.05%)

GBP 2,000,000 *Abbey National Treasury Services London FRN 05/04/2017 2,040 0.96

GBP 250,000 *Arkle Master Issuer FRN 17/05/2060 83 0.04 GBP 700,000 Barclays Bank 1.5% 04/04/2017 706 0.33 GBP 764,000 *Lanark Master Issuer FRN 22/12/2054 776 0.36

Aaa 0.06% (0.07%)GBP 200,000 *Brass No 1 FRN 16/12/2048 40 0.02 GBP 100,000 *Friary No 1 FRN 21/10/2043 48 0.02 GBP 118,000 *Gosforth Funding 2012-2 FRN

18/11/2049 38 0.02

Aa1 0.00% (4.84%)

Aa1u 2.63% (2.99%)GBP 4,750,000 United Kingdom Gilt 3.5% 22/01/2045 5,605 2.63

AA 1.46% (1.36%)GBP 3,000,000 Scotland Gas Networks 4.75%

21/02/2017 3,120 1.46

AA– 0.00% (1.35%)

A+ 0.97% (2.31%)GBP 2,000,000 Motability Operations Group 5.25%

28/09/2016 2,069 0.97

A 2.45% (8.12%)GBP 5,000,000 Abbey National Treasury Services

4.125% 14/09/2017 5,223 2.45

A2 0.58% (0.21%)GBP 1,220,900 Places for People Capital Markets 5%

27/12/2016 1,244 0.58

A– 3.11% (2.07%)GBP 4,738,000 Hutchison Ports UK Finance 6.75%

07/12/2015 4,760 2.23 GBP 1,752,000 National Grid Gas 6% 07/06/2017 1,877 0.88

BBB+ 6.35% (0.91%)GBP 50,000 Centrica 5.5% 24/10/2016 52 0.03 GBP 3,300,000 Royal Bank of Scotland 6% 17/05/2017 3,502 1.64 GBP 5,000,000 Severn Trent Utilities Finance 6%

22/01/2018 5,443 2.55 GBP 4,250,000 Vodafone Group 5.375% 05/12/2017 4,535 2.13

BBB 7.80% (5.86%)GBP 5,000,000 British Telecommunications 8.5%

07/12/2016 5,363 2.52 GBP 8,350,000 Imperial Tobacco Finance 5.5%

22/11/2016 8,663 4.06 GBP 2,500,000 InterContinental Hotels Group 6%

09/12/2016 2,608 1.22


43


£000

% ofNet Asset


£000

% ofNet Asset

Value



UNITED KINGDOM 29.53% (33.45%) (continued)Baa2 2.43% (2.28%)

GBP 5,000,000 BUPA Finance 7.5% 04/07/2016 5,190 2.43

Not Rated 0.00% (0.03%)

Total United Kingdom 62,985 29.53

UNITED STATES OF AMERICA 11.07% (7.42%)Aaa 1.97% (0.00%)

USD 7,310,000 United States Treasury Inflation Indexed Bonds 0.75% 15/02/2045 4,217 1.97

AA– 0.34% (0.32%)GBP 700,000 Toyota Motor Credit 4% 07/12/2017 736 0.34

A+ 2.33% (2.13%)GBP 5,000,000 *BMW US Capital FRN 06/02/2017 4,972 2.33

A 0.63% (0.00%)GBP 1,300,000 JPMorgan Chase 4.25% 25/01/2017 1,341 0.63

A– 1.97% (3.25%)GBP 104,000 Goldman Sachs Group 5.25%

15/12/2015 104 0.05 GBP 150,000 *JPMorgan Chase 6.125% FRN

30/05/2017 148 0.07 USD 3,400,000 Morgan Stanley 4.75% 22/03/2017 2,300 1.08 AUD 3,500,000 Morgan Stanley 7.63% 03/03/2016 1,641 0.77

BBB+ 2.56% (1.46%)GBP 5,150,000 AT&T 5.875% 28/04/2017 5,455 2.56

BBB 1.27% (0.26%)GBP 2,550,000 Ahold Finance USA 6.5% 14/03/2017 2,704 1.27

Total United States of America 23,618 11.07

DERIVATIVES –0.15% (0.22%)Credit Default Swaps –0.19% (–1.22%)

USD (58,300,000) HSBC Japan Government Credit Default Swap Buy Protection 20/12/2016 Spread 100 (395) (0.19)

Futures and Options –0.05% (–0.81%)EUR (201) UBS Euro-Bund Put Option Expiring

November 2015 Strike 155 (33) (0.02)EUR 201 UBS Euro-Bund Put Option Expiring

November 2015 Strike 156 57 0.03 USD 821 UBS US 2 Year Note Put Option

Expiring November 2015 Strike 109.25 100 0.05 EUR (459) UBS EURO Bund Future Expiring

December 2015 (191) (0.09)EUR 108 UBS EURO Buxl 30 Year Future

Expiring December 2015 (24) (0.01)EUR (703) UBS EURO Schatz Future Expiring

December 2015 12 0.01 EUR 256 UBS EURO-Bobl Future Expiring

December 2015 (29) (0.01)USD (64) UBS US Ultra Bond Future Expiring

December 2015 51 0.02 USD 321 UBS US 5 Year Note Future Expiring

December 2015 (138) (0.06)

USD 1,326 UBS 90 Day EURO Future Expiring December 2016 (322) (0.15)

USD (1,326) UBS 90 Day EURO Future Expiring December 2017 381 0.18

Forward Foreign Exchange Contracts 0.09% (2.25%)Sell USD 79,048,656 Buy AUD 110,910,209 Goldman Sachs (204) (0.10)Sell USD 98,085,581 Buy CAD 129,776,062 Citigroup 345 0.16 Sell EUR 115,848,117 Buy GBP 83,847,785 Citigroup 659 0.31 Sell EUR 29,658,452 Buy JPY 3,940,106,976 J.P. Morgan 15 0.01 Sell USD 32,559,821 Buy MXN 538,534,951 Barclays (90) (0.04)Sell USD 96,001,043 Buy NOK 818,514,496 HSBC (165) (0.08)Sell NZD 174,084,987 Buy USD 116,851,501 HSBC (342) (0.16)Sell NZD 19,416,732 Buy USD 12,962,994 Goldman Sachs (84) (0.04)Sell SEK 277,768,854 Buy USD 32,901,599 Citigroup 177 0.08 Sell GBP 30,368,732 Buy USD 46,432,567 Citigroup (116) (0.05)Sell JPY 7,605,394,968 Buy USD 63,211,834 J.P. Morgan 49 0.02 Sell SEK 83,506,812 Buy USD 9,760,914 Barclays (32) (0.02)Total Derivatives (319) (0.15)


Net other assets (8.01%) 22,549 10.57

Net assets 213,291 100.00

April 2015 comparatives in brackets. *Variable rate bonds.

ANALYSIS OF INVESTMENTS BY ASSET CLASS

Value £000

% ofInvestment

Fixed interest 164,280 86.13 Floating rate notes 26,781 14.04 Derivatives (319) (0.17)Total value of investments 190,742 100.00


44



ANALYSIS OF INVESTMENTS BY CREDIT RATINGSValue

£000AAA 4,705 Aaa 7,440 AA+ 23,009 Aa1u 5,605 AA 3,120 Aa2 122 AA– 17,746 A+ 13,031 A 15,449 A2 3,772 A– 23,754 BBB+ 30,087 BBB 26,872 Baa2 5,190 Baa2u 6,225 BB+ 1,759 Ba1 3,175 Derivatives (319)Total value of investments 190,742


Value £000

UBS Euro-Bund Put Option Expiring November 2015 Strike 155 (10)UBS Euro-Bund Put Option Expiring November 2015 Strike 156 58 UBS US 2 Year Note Put Option Expiring November 2015 Strike 109.25 100 UBS EURO Bund Future Expiring December 2015 (51,776)UBS EURO Buxl 30 Year Future Expiring December 2015 12,228 UBS EURO Schatz Future Expiring December 2015 (56,253)UBS EURO-Bobl Future Expiring December 2015 23,784 UBS US Ultra Bond Future Expiring December 2015 (6,628)UBS US 5 Year Note Future Expiring December 2015 25,047 UBS 90 Day EURO Future Expiring December 2016 213,789 UBS 90 Day EURO Future Expiring December 2017 (212,623)Total net exposure (52,284)

45


£000

% ofNet Asset


£000

% ofNet Asset

Value




CANADA 0.00% (4.70%)BBB 0.00% (4.70%)Total Canada – –

CAYMAN ISLANDS 1.75% (5.83%)A– 1.75% (5.83%)

EUR 400,000 Hutchison Whampoa Finance 4.75% 14/11/2016 299 1.75 Total Cayman Islands 299 1.75

DENMARK 0.00% (4.05%)A 0.00% (4.05%)Total Denmark – –

FRANCE 3.35% (1.96%)AA– 1.80% (0.00%)

EUR 400,000 Total Capital 4.7% EMTN 06/2017 307 1.80

A 0.00% (1.96%)

BBB+ 1.55% (0.00%)EUR 350,000 France Telecom 4.75% 21/02/17 265 1.55

Total France 572 3.35

ITALY 12.76% (12.72%)A– 4.56% (0.00%)

EUR 1,000,000 ENI 4.875% 11/10/2017 777 4.56

Baa2u 3.02% (7.79%)EUR 275,000 Italy Buoni Poliennali Del Tesoro

2.35% 15/09/2019 239 1.40 EUR 290,000 Italy Buoni Poliennali Del Tesoro

3.1% 15/09/26 276 1.62

Not Rated 5.18% (4.93%)EUR 1,200,000 Banca Monte dei Paschi di Siena

3.5% 20/03/2017 884 5.18 Total Italy 2,176 12.76

JAPAN 0.00% (1.30%)A1 0.00% (1.30%)Total Japan – –

LUXEMBOURG 4.46% (0.00%)BBB 4.46% (0.00%)

EUR 1,000,000 Enel Finance International 4.125% 12/07/2017 760 4.46 Total Luxembourg 760 4.46

MEXICO 3.31% (3.13%)BBB+ 3.31% (3.13%)

USD 820,000 Petroleos Mexicanos 5.75% 01/03/2018 564 3.31 Total Mexico 564 3.31

NETHERLANDS 11.05% (19.15%)A 0.00% (6.27%)

BBB+ 6.73% (6.43%)EUR 1,500,000 Deutsche Telekom International

Finance 6% 20/01/2017 1,147 6.73

BBB 4.32% (0.00%)EUR 1,000,000 Conti Gummi Finance 2.5%

20/03/2017 736 4.32

BBB– 0.00% (2.30%)

Not Rated 0.00% (4.15%)


NEW ZEALAND 6.00% (3.15%)AA+ 6.00% (3.15%)

NZD 2,100,000 New Zealand Government Bond 4.5% 15/04/2027 1,023 6.00 Total New Zealand 1,023 6.00

NORWAY 0.00% (5.32%)BBB– 0.00% (5.32%)Total Norway – –

PERU 0.00% (0.71%)BBB+ 0.00% (0.71%)Total Peru – –

PORTUGAL 1.61% (0.00%)Ba1 1.61% (0.00%)

EUR 380,000 Portugal Obrigacoes do Tesouro OT 2.2% 17/10/2022 274 1.61 Total Portugal 274 1.61

REPUBLIC OF IRELAND 0.00% (1.96%)A 0.00% (1.96%)Total Republic of Ireland – –

SOUTH KOREA 4.87% (4.56%)AA– 4.87% (0.00%)

USD 275,000 Export-Import Bank of Korea 2.88% 17/09/2018 183 1.07

EUR 610,000 Export-Import Bank of Korea 4.625% 20/02/2017 460 2.70

USD 286,000 Korea Midland Power 2.75% 11/02/2019 188 1.10

A+ 0.00% (4.56%)

Total South Korea 831 4.87

SPAIN 8.56% (2.30%)BBB+ 4.14% (0.00%)

USD 625,000 Instituto de Credito Oficial 5% 14/11/2016 419 2.46

EUR 383,000 Spain Government Bond 2.15% 31/10/2025 286 1.68

BBB 4.42% (2.30%)EUR 1,000,000 Gas Natural Capital 4.125%

24/04/2017 754 4.42 Total Spain 1,459 8.56

SWEDEN 0.00% (1.98%)A– 0.00% (1.98%)Total Sweden – –



£000

% ofNet Asset

Value

46




£000

% ofNet Asset

Value

UNITED KINGDOM 22.40% (6.88%)AAA 0.00% (1.43%)

Aa1u 2.77% (0.00%)GBP 400,000 United Kingdom Gilt 3.5% 22/01/2045 472 2.77

A+ 7.90% (0.00%)EUR 250,000 Glaxosmithkline 5.625% 13/12/2017 199 1.17 EUR 1,500,000 Motability Operations Group 3.75%

29/11/2017 1,148 6.73

A 4.32% (0.00%)EUR 1,000,000 Abbey National Treasury 1.75%

15/01/2018 736 4.32

A– 1.59% (0.00%)EUR 350,000 BAT International Finance 5.375%

EMTN 29/6/2017 271 1.59

BBB– 5.82% (5.45%)EUR 1,375,000 Royal Bank of Scotland Group 1.5%

28/11/2016 993 5.82 Total United Kingdom 3,819 22.40


USD 620,000 United States Treasury Inflation Indexed Bonds 0.75% 15/02/2045 358 2.10

A– 6.34% (4.30%)EUR 250,000 Bank of America 4.75% 03/04/2017 190 1.11 EUR 250,000 Citigroup 4.375% 30/01/2017 188 1.10 AUD 1,500,000 Morgan Stanley 7.63% 03/03/2016 704 4.13


DERIVATIVES –0.46% (0.47%)Credit Default Swaps –0.26% (–1.36%)

USD (6,500,000) HSBC Japan Government Credit Default Swap Buy Protection 20/12/2016 Spread 100 (44) (0.26)

Futures and Options -0.08% (-0.80%)EUR (16) UBS Euro-Bund Option Expiring



Expiring November 2015 Strike 109.25 8 0.05

EUR (38) UBS EURO Bund Future Expiring December 2015 (17) (0.10)

EUR 9 UBS EURO Buxl 30 Year Future Expiring December 2015 (2) (0.01)

EUR (57) UBS EURO Schatz Future Expiring December 2015 1 0.01

EUR 21 UBS EURO-Bobl Future Expiring December 2015 (2) (0.01)

USD (5) UBS US Ultra Bond Future Expiring December 2015 4 0.02

USD 26 UBS US 5 Year Note Future Expiring December 2015 (11) (0.08)

USD 112 UBS 90 Day EURO Future Expiring December 2016 (27) (0.16)

USD (112) UBS 90 Day EURO Future Expiring December 2017 32 0.19

Forward Foreign Exchange Contracts –0.12% (2.63%)Sell USD 5,551,710 Buy AUD 7,789,396 Goldman Sachs (14) (0.08)Sell USD 7,996,168 Buy CAD 10,579,651 Citigroup 28 0.16 Sell EUR 10,216 Buy CHF 11,054 J.P. Morgan – – Sell USD 25 Buy EUR 22 J.P. Morgan – – Sell GBP 692,664 Buy EUR 957,028 Lloyds (6) (0.03)Sell EUR 2,393,763 Buy JPY 318,009,891 J.P. Morgan 1 0.01 Sell USD 2,666,733 Buy MXN 44,107,397 Barclays (7) (0.04)Sell USD 7,101,904 Buy NOK 60,551,548 HSBC (12) (0.07)Sell NZD 1,563,177 Buy USD 1,043,608 Goldman Sachs (7) (0.04)Sell EUR 1,201,520 Buy USD 1,330,282 Citigroup 4 0.02 Sell EUR 158 Buy USD 175 J.P. Morgan – – Sell SEK 23,153,058 Buy USD 2,742,470 Citigroup 15 0.09 Sell JPY 618,758,557 Buy USD 5,142,779 J.P. Morgan 4 0.02 Sell EUR 49 Buy USD 54 J.P. Morgan – – Sell EUR 67 Buy USD 74 J.P. Morgan – – Sell SEK 6,722,857 Buy USD 785,819 Barclays (3) (0.01)Sell EUR 779,923 Buy USD 861,624 J.P. Morgan 1 0.01 Sell NZD 14,280,762 Buy USD 9,585,712 HSBC (28) (0.16)Total Derivatives (80) (0.46)


Net other assets (15.53%) 2,028 11.90

Net assets 17,048 100.00



Value £000

% ofInvestment

Fixed interest 15,100 100.53 Derivatives (80) (0.53)Total value of investments 15,020 100.00


47




£000Aaa 358 AA+ 1,023 Aa1u 472 AA– 1,138 A+ 1,347 A 736 A– 2,429 BBB+ 2,681 BBB 2,250 Baa2u 515 BBB– 993 Ba1 274 Not Rated 884 Derivatives (80)Total value of investments 15,020


Value £000

UBS Euro-Bund Put Option Expiring November 2015 Strike 155 (1)UBS Euro-Bund Put Option Expiring November 2015 Strike 156 5 UBS US 2 Year Note Put Option Expiring November 2015 Strike 109.25 8 UBS EURO Bund Future Expiring December 2015 (4,286)UBS EURO Buxl 30 Year Future Expiring December 2015 1,019 UBS EURO Schatz Future Expiring December 2015 (4,561)UBS EURO-Bobl Future Expiring December 2015 1,951 UBS US Ultra Bond Future Expiring December 2015 (518)UBS US 5 Year Note Future Expiring December 2015 2,029 UBS 90 Day EURO Future Expiring December 2016 18,058 UBS 90 Day EURO Future Expiring December 2017 (17,959)Total net exposure (4,255)

48





£000

% ofNet Asset


£000

% ofNet Asset

Value

BELGIUM 4.71% (4.95%) Beverages 4.71% (4.33%)

55,829 Anheuser-Busch InBev 4,341 4.71

Pharmaceuticals & Biotechnology 0.00% (0.62%)

Total Belgium 4,341 4.71

DENMARK 3.81% (8.32%)Personal Goods 0.00% (3.55%)

Health Care Equipment & Services 0.00% (0.78%)

Pharmaceuticals & Biotechnology 3.81% (3.99%)101,768 Novo Nordisk 3,517 3.81

Total Denmark 3,517 3.81

FINLAND 0.00% (2.78%)Industrial Engineering 0.00% (1.86%)


Total Finland – –

FRANCE 8.04% (30.11%)Construction & Materials 0.00% (5.02%)

Aerospace & Defence 0.00% (1.41%)

Electronic & Electrical Equipment 0.97% (2.52%)24,980 Legrand 892 0.97

Industrial Transportation 0.00% (4.49%)

Support Services 0.00% (2.55%)

Beverages 1.04% (0.00%)12,485 Pernod Ricard 957 1.04

Personal Goods 0.96% (5.03%)3,550 Hermes International 889 0.96

Media 0.00% (8.38%)

Nonlife Insurance 1.96% (0.00%)103,921 AXA 1,807 1.96

Software & Computer Services 0.00% (0.71%)

Technology Hardware & Equipment 3.11% (0.00%)37,402 Ingenico Group 2,869 3.11


GERMANY 8.75% (9.05%)Chemicals 3.57% (7.07%)

38,226 Bayer 3,295 3.57

Health Care Equipment & Services 5.18% (0.00%)81,582 Fresenius Medical Care 4,774 5.18

Media 0.00% (1.98%)


ITALY 10.36% (4.90%)Media 2.35% (1.67%)

656,618 RAI Way 2,165 2.35

Mobile Telecommunications 3.50% (0.00%)958,585 Infrastructure Wireless Italia 3,232 3.50

Banks 1.77% (0.98%)720,737 Intesa Sanpaolo 1,632 1.77

Technology Hardware & Equipment 2.74% (2.25%)64,379 Ei Towers 2,533 2.74


NETHERLANDS 0.49% (2.99%)Media 0.49% (0.00%)

40,469 Relx 450 0.49

Banks 0.00% (1.04%)


Total Netherlands 450 0.49

REPUBLIC OF IRELAND 5.70% (5.85%)Construction & Materials 1.91% (3.88%)

99,303 CRH 1,767 1.91

Travel & Leisure 3.79% (0.00%)362,477 Ryanair Holdings 3,495 3.79 371,772 *Ryanair Holdings B Shares – –

Life Insurance 0.00% (1.97%)

Total Republic of Ireland 5,262 5.70

SPAIN 11.53% (3.45%)Construction & Materials 4.73% (3.45%)

265,971 Ferrovial 4,366 4.73

Support Services 2.13% (0.00%)70,769 Amadeus IT Group 1,962 2.13

Mobile Telecommunications 4.67% (0.00%)381,857 Cellnex Telecom 4,307 4.67

Total Spain 10,635 11.53

SWEDEN 0.00% (0.79%)Banks 0.00% (0.79%)

Total Sweden – –

SWITZERLAND 15.47% (7.92%)Construction & Materials 1.66% (1.87%)

718 Sika 1,529 1.66

Food Producers 0.00% (5.00%)

Pharmaceuticals & Biotechnology 9.15% (0.00%)70,193 Novartis 4,143 4.49 24,375 Roche 4,296 4.66

Banks 4.66% (1.05%)331,273 UBS Group 4,302 4.66

Total Switzerland 14,270 15.47



£000

% ofNet Asset

Value

49



UNITED KINGDOM 28.67% (14.62%)Support Services 0.00% (4.75%)


Household Goods & Home Construction 3.86% (0.00%)56,185 Reckitt Benckiser Group 3,564 3.86

Personal Goods 3.38% (4.88%)107,623 Unilever 3,113 3.38

Tobacco 4.05% (0.00%)106,774 Imperial Tobacco Group 3,732 4.05

Health Care Equipment & Services 2.43% (0.00%)202,208 Smith & Nephew 2,242 2.43

Fixed Line Telecommunications 5.26% (0.00%)1,045,814 BT Group 4,854 5.26

Life Insurance 4.92% (0.95%)298,961 Prudential 4,540 4.92

Financial Services 0.00% (2.02%)






*The value has been recognised as a capital gain and included within Net capital losses.

50





£000

% ofNet Asset


£000

% ofNet Asset

Value

BELGIUM 5.87% (6.50%)Industrial Transportation 2.46% (2.91%)

104,346 bpost 1,699 2.46

Beverages 3.41% (3.59%)30,263 Anheuser-Busch InBev 2,353 3.41

Total Belgium 4,052 5.87

FINLAND 6.73% (7.15%)Industrial Engineering 1.90% (1.95%)

47,201 Kone 1,310 1.90

Nonlife Insurance 2.84% (3.00%)61,748 Sampo 1,964 2.84

Technology Hardware & Equipment 1.99% (2.20%)283,554 Nokia 1,372 1.99

Total Finland 4,646 6.73

FRANCE 3.58% (2.11%)Industrial Transportation 1.86% (2.11%)

140,692 Groupe Eurotunnel 1,282 1.86

Media 1.72% (0.00%)28,243 Publicis Groupe 1,191 1.72



25,569 Bayer 2,204 3.19

Automobiles & Parts 3.07% (1.94%)37,679 Daimler 2,120 3.07

Personal Goods 2.11% (0.00%)21,831 Hugo Boss 1,455 2.11

Media 0.00% (2.93%)

Travel & Leisure 2.51% (2.38%)144,017 TUI 1,734 2.51

Nonlife Insurance 2.59% (3.04%)15,762 Allianz 1,789 2.59


ITALY 3.40% (3.07%)Food & Drug Retailers 1.44% (0.00%)

75,846 MARR 998 1.44

Mobile Telecommunications 0.56% (0.00%)114,674 Infrastructure Wireless Italia 387 0.56

Gas, Water & Multiutilities 1.40% (3.07%)287,081 Snam Rete Gas 967 1.40


JERSEY 1.96% (0.00%)Media 1.96% (0.00%)

264,822 UBM 1,355 1.96

Total Jersey 1,355 1.96

NETHERLANDS 5.95% (2.92%)Chemicals 2.79% (0.00%)

41,877 Akzo Nobel 1,930 2.79

Media 3.16% (2.92%)196,183 Relx 2,181 3.16



123,152 Ferrovial 2,022 2.92


Mobile Telecommunications 0.80% (0.00%)48,813 Cellnex Telecom 551 0.80

Electricity 2.93% (2.94%)139,722 Endesa 2,023 2.93


SWEDEN 4.98% (8.30%)Tobacco 0.00% (2.47%)

Banks 4.98% (5.83%)245,305 Nordea Bank 1,767 2.56 188,935 Svenska Handelsbanken 1,674 2.42

Total Sweden 3,441 4.98

SWITZERLAND 18.67% (20.01%)Chemicals 3.58% (2.97%)

1,643 Givaudan 1,908 2.76 2,582 Syngenta 564 0.82

Food Producers 3.63% (3.94%)50,539 Nestle 2,508 3.63

Pharmaceuticals & Biotechnology 8.83% (9.85%)50,251 Novartis 2,966 4.29 17,773 Roche 3,132 4.54

Banks 2.63% (3.25%)139,773 UBS Group 1,815 2.63


UNITED KINGDOM 26.33% (27.17%)Oil & Gas Producers 2.58% (3.18%)

105,484 Royal Dutch Shell A Shares 1,783 2.58

Aerospace & Defence 2.28% (2.58%)358,038 BAE Systems 1,576 2.28




194,853 GlaxoSmithKline 2,738 3.96



£000

% ofNet Asset

Value

51



UNITED KINGDOM 26.33% (27.17%) (continued)Media 1.93% (2.65%)

155,208 Pearson 1,337 1.93

Fixed Line Telecommunications 3.42% (3.56%)508,993 BT Group 2,362 3.42

Nonlife Insurance 0.00% (2.42%)

Life Insurance 3.00% (2.74%)792,173 Legal & General Group 2,071 3.00


DERIVATIVES 0.00% (0.00%)Forward Foreign Exchange Contracts 0.00% (0.00%)Sell GBP 310,101 Buy EUR 429,000 Lloyds (2) –

Total Derivatives (2) –





£000

% ofNet Asset


£000

% ofNet Asset

Value

52




BERMUDA 1.39% (1.27%)Financial Services 1.39% (1.27%)

149,824 Markit 2,954 1.39 Total Bermuda 2,954 1.39

NETHERLANDS 1.36% (1.28%)Automobiles & Parts 0.00% (0.00%)

1 Ferrari – –

Technology Hardware & Equipment 1.36% (1.28%)56,849 NXP Semiconductors 2,883 1.36


REPUBLIC OF IRELAND 1.88% (4.34%)General Industrials 0.00% (1.16%)

Industrial Engineering 0.53% (1.26%)29,421 Ingersoll-Rand 1,129 0.53

Health Care Equipment & Services 0.72% (1.02%)31,726 Medtronic 1,519 0.72

Pharmaceuticals & Biotechnology 0.63% (0.90%)28,559 Alkermes 1,329 0.63


UNITED KINGDOM 1.16% (2.38%)Media 0.40% (0.66%)

29,463 Liberty Global A Shares 849 0.40

Nonlife Insurance 0.76% (1.72%)26,759 Aon 1,617 0.76


UNITED STATES OF AMERICA 62.69% (68.31%)Oil & Gas Producers 3.28% (4.17%)

65,380 Anadarko Petroleum 2,832 1.34 57,959 Cabot Oil & Gas 815 0.38 12,616 Concho Resources 946 0.45 16,561 EOG Resources 921 0.43 17,956 Occidental Petroleum 867 0.41 10,102 Phillips 66 583 0.27

Oil Equipment, Services & Distribution 1.43% (2.72%)23,823 Cameron International 1,049 0.49 42,714 Halliburton 1,061 0.50 38,062 National Oilwell Varco 927 0.44

Chemicals 0.00% (1.17%)

Aerospace & Defence 1.18% (0.73%)9,721 Boeing 932 0.44

11,096 Lockheed Martin 1,579 0.74

General Industrials 2.10% (1.20%)13,416 3M 1,366 0.64

165,113 General Electric 3,092 1.46

Electronic & Electrical Equipment 1.03% (1.53%)61,984 Amphenol 2,175 1.03


Support Services 0.64% (1.36%)16,848 Towers Watson & Co 1,347 0.64

Beverages 2.06% (1.51%)45,626 Coca-Cola 1,251 0.59 21,195 Constellation Brands 1,849 0.87 22,289 Molson Coors Brewing 1,272 0.60

Household Goods & Home Construction 0.53% (0.00%)14,323 Clorox 1,131 0.53

Personal Goods 2.85% (2.91%)71,222 NIKE 6,041 2.85

Health Care Equipment & Services 3.42% (4.44%)21,043 Align Technology 892 0.42 51,556 Express Scripts 2,883 1.36 45,573 UnitedHealth Group 3,476 1.64

Pharmaceuticals & Biotechnology 5.52% (5.47%)20,923 Biogen 3,935 1.85 77,401 Bristol-Myers Squibb 3,305 1.56 33,721 Celgene 2,680 1.26 22,411 Vertex Pharmaceuticals 1,809 0.85

Food & Drug Retailers 0.95% (0.81%)31,673 CVS Health 2,025 0.95

General Retailers 5.43% (6.20%)13,156 Amazon.com 5,332 2.51 19,538 Costco Wholesale 2,000 0.94 52,392 Home Depot 4,194 1.98

Media 1.59% (2.49%)45,935 Walt Disney 3,381 1.59

Travel & Leisure 1.13% (2.14%)14,391 Panera Bread 1,653 0.78 30,515 Spirit Airlines 733 0.35

Electricity 0.50% (0.00%)26,868 Edison International 1,053 0.50

Banks 2.06% (3.84%)105,016 JPMorgan Chase 4,368 2.06

Nonlife Insurance 3.08% (2.43%)74,267 Berkshire Hathaway 6,543 3.08

Life Insurance 0.63% (0.00%)25,057 Prudential Financial 1,338 0.63

Real Estate Investment Trusts 1.63% (0.00%)9,654 AvalonBay Communities 1,092 0.52

68,827 Kimco Realty 1,192 0.56 8,892 Simon Property Group 1,160 0.55

Financial Services 8.56% (6.25%)32,052 Blackstone Group 686 0.32 35,577 CME Group 2,176 1.03 15,144 Equifax 1,045 0.49 97,842 MasterCard Class A 6,273 2.96

158,721 Visa ‘A’ Shares 7,974 3.76


53


£000

% ofNet Asset

Value



UNITED STATES OF AMERICA 62.69% (68.31%) (continued)Software & Computer Services 9.79% (7.06%)

26,987 Alphabet Class A 12,883 6.07 65,140 Facebook 4,301 2.03 40,226 Microsoft 1,371 0.65 43,678 Salesforce.com 2,198 1.04

Technology Hardware & Equipment 3.30% (8.51%)26,861 Analog Devices 1,045 0.49 54,926 Apple 4,250 2.00 26,910 Cavium 1,236 0.58

104,795 SunEdison 495 0.23 Total United States of America 133,013 62.69

DERIVATIVES 0.52% (0.03%)Futures and Options –0.05% (0.00%)

USD (33) UBS S&P 500 Index E-mini Future Expiring December 2015 (95) (0.05)

Forward Foreign Exchange Contracts 0.00% (0.04%)Sell USD 2,428,682 Buy EUR 2,198,390 J.P. Morgan (4) – Sell USD 551,459 Buy EUR 498,180 J.P. Morgan (1) – Sell USD 379,400 Buy GBP 248,000 Bank of Scotland 1 – Sell EUR 305,786 Buy USD 337,130 J.P. Morgan – – Sell EUR 421,734 Buy USD 462,416 J.P. Morgan (2) –

Portfolio Swap 0.57% (–0.01%)Merrill Lynch - Portfolio Swap 1,210 0.57Total Derivatives 1,109 0.52


Net other assets (22.39%) 65,777 31.00

Net assets 212,179 100.00



Value £000

UBS S&P 500 Index E-mini Future Expiring December 2015 (2,242)Total net exposure (2,242)

54





£000

% ofNet Asset


£000

% ofNet Asset

Value

BERMUDA 2.52% (3.80%)Oil Equipment, Services & Distribution 1.09% (0.64%)

1,014,000 China Gas Holdings 1,045 1.09

Industrial Transportation 0.48% (0.48%)147,500 Orient Overseas International 456 0.48

Pharmaceuticals & Biotechnology 0.45% (1.56%)3,303,000 Sihuan Pharmaceutical Holdings

Group (suspended) 425 0.45

General Retailers 0.00% (0.76%)

Real Estate Investment & Services 0.50% (0.00%)98,500 Hong Kong Land Holdings 478 0.50

Technology Hardware & Equipment 0.00% (0.36%)Total Bermuda 2,404 2.52

BRITISH VIRGIN ISLANDS 0.69% (0.70%)Electronic & Electrical Equipment 0.69% (0.70%)

47,304 Hollysys Automation Technologies 654 0.69 Total British Virgin Islands 654 0.69

CAYMAN ISLANDS 22.25% (18.50%)Construction & Materials 1.05% (0.38%)

1,014,000 China State Construction International Holdings 1,000 1.05

Electronic & Electrical Equipment 0.00% (0.59%)

Food Producers 1.00% (0.95%)758,000 China Mengniu Dairy 950 1.00

Personal Goods 1.49% (0.58%)978,000 Cosmo Lady China Holdings 629 0.66 249,000 Shenzhou International Group Holdings 794 0.83

Pharmaceuticals & Biotechnology 0.55% (0.69%)652,000 Sino Biopharmaceutical 527 0.55

General Retailers 3.55% (3.25%)24,689 Alibaba Group ADR 1,339 1.40 43,324 JD.com ADR 775 0.81 96,385 Vipshop Holdings ADR 1,281 1.34

Media 0.00% (0.27%)

Travel & Leisure 0.42% (0.29%)874,000 NagaCorp 401 0.42

Real Estate Investment & Services 1.58% (0.61%)888,000 China Resources Land 1,502 1.58

Software & Computer Services 12.61% (10.89%)11,174 Baidu ADR 1,356 1.42

149,315 Baozun 831 0.87 1,554,000 Kingdee International Software Group 416 0.44

771,900 Tencent Holdings 9,429 9.88 Total Cayman Islands 21,230 22.25

CHINA 41.04% (46.59%)Oil & Gas Producers 4.15% (4.46%)

4,490,000 China Petroleum & Chemical 2,078 2.18 3,726,000 PetroChina 1,883 1.97

Construction & Materials 1.43% (2.36%)1,631,000 Beijing Urban Construction Design &

Development Group 647 0.68 740,500 China Railway Construction 720 0.75

Electronic & Electrical Equipment 0.00% (0.54%)

Industrial Engineering 1.20% (1.59%)271,500 Zhuzhou CSR Times Electric 1,147 1.20

Industrial Transportation 0.60% (1.50%)1,622,000 Sinotrans 575 0.60

Automobiles & Parts 2.23% (3.64%)1,312,799 AviChina Industry & Technology 695 0.73

632,600 Chongqing Changan Automobile 758 0.80 841,500 Great Wall Motor 665 0.70

Electricity 0.00% (0.53%)

Banks 17.41% (17.27%)17,910,000 Bank of China 5,477 5.74 15,278,000 China Construction Bank 7,174 7.52 9,620,000 Industrial & Commercial Bank of China 3,962 4.15

Nonlife Insurance 2.90% (1.31%)4,111,000 China Reinsurance Group 927 0.97 1,246,000 PICC Property & Casualty 1,841 1.93

Life Insurance 7.08% (7.12%)1,772,000 China Life Insurance 4,145 4.35

712,500 Ping An Insurance Group of China 2,601 2.73

Real Estate Investment & Services 1.60% (1.93%)693,800 China Vanke 1,054 1.10

1,020,911 KWG Property 478 0.50

Financial Services 2.44% (4.34%)849,500 CITIC Securities ‘H’ Shares 1,191 1.25

1,003,200 Haitong Securities 1,135 1.19 Total China 39,153 41.04

HONG KONG 26.95% (24.56%)Oil & Gas Producers 2.50% (2.93%)

3,294,000 CNOOC 2,383 2.50

Industrial Metals & Mining 1.19% (0.64%)963,548 Fosun International 1,140 1.19

Construction & Materials 0.00% (0.26%)

General Industrials 0.39% (0.00%)302,000 China Resources Enterprise 370 0.39

Industrial Transportation 1.51% (1.25%)668,000 China Merchants Holdings International 1,440 1.51

55




£000

% ofNet Asset


£000

% ofNet Asset

Value


HONG KONG 26.95% (24.56%) (continued)Support Services 0.72% (1.22%)

661,000 China Everbright International 691 0.72

Household Goods & Home Construction 0.63% (1.46%)477,000 Vinda International Holdings 600 0.63

Personal Goods 1.12% (0.00%)589,000 Anta Sports Products 1,065 1.12

Pharmaceuticals & Biotechnology 0.88% (0.63%)1,368,000 CSPC Pharmaceutical Group 825 0.88

Mobile Telecommunications 10.62% (7.60%)1,138,500 China Mobile 8,818 9.24 1,652,000 China Unicom Hong Kong 1,317 1.38

Gas, Water & Multiutilities 2.38% (1.74%)2,458,000 Beijing Enterprises Water Group 1,267 1.33 1,102,000 Guangdong Investment 1,005 1.05

Life Insurance 1.73% (1.36%)432,400 AIA Group 1,646 1.73

Real Estate Investment & Services 2.50% (2.46%)1,120,000 China Overseas Land & Investment 2,349 2.46

373,333 China Overseas Property Holdings 41 0.04

Financial Services 0.78% (1.73%)44,000 Hong Kong Exchanges and Clearing 747 0.78


Total Hong Kong 25,704 26.95

LUXEMBOURG 3.55% (3.77%)Construction & Materials 0.41% (0.34%)

6,143 Anhui Conch Cement 11 0.01 208,457 J.P. Morgan International Derivatives

(Anhui Conch Cement ‘A’ shares P Note) 380 0.40

Household Goods & Home Construction 0.55% (1.22%)519,026 Qingdao Haier 525 0.55

Life Insurance 2.59% (2.21%)357,591 J.P. Morgan International Derivatives

(Ping An ‘A’ shares P Note) 1,227 1.29 363,233 Ping An Insurance Group Co of China 1,246 1.30

Total Luxembourg 3,389 3.55

SINGAPORE 1.00% (0.66%)Support Services 1.00% (0.66%)

1,790,000 Sound Global (Suspended) 951 1.00 Total Singapore 951 1.00


2,118,000 Sinopec Shanghai Petrochemical 572 0.60 Total Switzerland 572 0.60

TAIWAN 0.51% (0.00%)Industrial Engineering 0.51% (0.00%)

76,000 Catcher Technology 484 0.51 Total Taiwan 484 0.51

DERIVATIVES 0.00% (0.00%)Forward Foreign Exchange Contracts 0.00% (0.00%)Sell USD 508,000 Buy GBP 332,072 Bank of Scotland 1 – Total Derivatives 1 –


Net other assets (1.42%) 850 0.89

Net assets 95,392 100.00



£000

% ofNet Asset


£000

% ofNet Asset

Value

56




BERMUDA 0.00% (0.94%)Pharmaceuticals & Biotechnology 0.00% (0.94%)Total Bermuda – –

BRAZIL 2.43% (7.72%)Oil & Gas Producers 0.42% (0.69%)

333,545 Petroleo Brasileiro ADR 864 0.42

Industrial Metals & Mining 0.00% (0.70%)

Food Producers 0.96% (1.71%)201,033 BRF ADR 1,995 0.96

Personal Goods 1.05% (1.09%)1,578,337 Alpargatas 2,194 1.05

Banks 0.00% (2.76%)

Nonlife Insurance 0.00% (0.77%)

Total Brazil 5,053 2.43

BRITISH VIRGIN ISLANDS 0.77% (0.45%)Software & Computer Services 0.77% (0.45%)

127,572 Mail.ru Group GDR 1,598 0.77 Total British Virgin Islands 1,598 0.77

CAYMAN ISLANDS 5.38% (7.27%)Alternative Energy 0.00% (0.55%)

Electronic & Electrical Equipment 0.51% (0.00%)257,000 AAC Technologies Holdings 1,057 0.51

Food Producers 0.71% (0.95%)1,182,000 China Mengniu Dairy 1,481 0.71

Personal Goods 1.07% (0.00%)696,000 Shenzhou International Group

Holdings 2,218 1.07

General Retailers 1.20% (1.02%)14,249 Alibaba Group ADR 773 0.37

5,858,000 Goodbaby International Holdings 1,737 0.83

Software & Computer Services 1.89% (4.75%)6,621 Baidu ADR 804 0.39

256,100 Tencent Holdings 3,128 1.50 Total Cayman Islands 11,198 5.38

CHINA 0.00% (4.72%)Oil & Gas Producers 0.00% (1.13%)

Industrial Engineering 0.00% (0.66%)



Total China – –

COLOMBIA 0.94% (1.07%)Banks 0.94% (1.07%)

87,619 Bancolombia ADR 1,963 0.94 Total Colombia 1,963 0.94

CZECH REPUBLIC 2.33% (1.35%)Banks 2.33% (1.35%)

35,982 Komercni Banka 4,844 2.33 Total Czech Republic 4,844 2.33

GREECE 0.00% (0.20%)Banks 0.00% (0.20%)Total Greece – –

HONG KONG 8.53% (11.93%)Oil & Gas Producers 1.31% (1.24%)

2,484,000 CNOOC 1,797 0.87 12,470 CNOOC ADS 917 0.44


Household Goods & Home Construction 0.87% (0.52%)764,000 Techtronic Industries 1,810 0.87

Personal Goods 1.34% (0.91%)399,500 Hengan International Group 2,790 1.34

Mobile Telecommunications 3.17% (3.28%)852,000 China Mobile 6,599 3.17

Gas, Water & Multiutilities 0.91% (0.73%)2,072,000 Guangdong Investment 1,890 0.91



Technology Hardware & Equipment 0.93% (1.32%)3,226,000 Lenovo Group 1,941 0.93


INDIA 10.85% (5.98%)Construction & Materials 2.11% (1.10%)

224,389 Asian Paints 1,850 0.89 182,339 Larsen & Toubro 2,542 1.22

Industrial Engineering 0.79% (0.00%)140,640 Mahindra & Mahindra 1,642 0.79

Personal Goods 0.75% (0.00%)586,463 Dabur India 1,565 0.75

Health Care Equipment & Services 1.05% (0.69%)168,091 Apollo Hospitals Enterprise 2,186 1.05

Pharmaceuticals & Biotechnology 1.51% (0.97%)24,933 Dr Reddy’s Laboratories 1,059 0.51 22,364 Dr Reddy’s Laboratories ADR 938 0.45

131,033 Sun Pharmaceutical Industries 1,153 0.55

Media 0.91% (0.36%)1,803,130 Dish TV India 1,893 0.91

Banks 2.55% (2.25%)90,979 HDFC Bank ADR 3,600 1.73

305,669 ICICI Bank ADR 1,708 0.82


57


£000

% ofNet Asset


£000

% ofNet Asset

Value



INDIA 10.85% (5.98%) (continued)Software & Computer Services 1.18% (0.61%)

103,047 HCL Technologies 888 0.43 101,080 Infosys ADR 1,187 0.57 47,186 Just Dial 376 0.18

Total India 22,587 10.85

INDONESIA 0.00% (1.84%)Banks 0.00% (1.84%)

Total Indonesia – –

JERSEY 0.39% (0.00%)Mining 0.39% (0.00%)

18,853 Randgold Resources 816 0.39 Total Jersey 816 0.39

LUXEMBOURG 0.00% (1.24%)Household Goods & Home Construction 0.00% (1.24%)Total Luxembourg – –

MALAYSIA 0.85% (0.91%)Construction & Materials 0.85% (0.91%)

3,530,600 IJM 1,767 0.85 Total Malaysia 1,767 0.85

MEXICO 13.07% (7.57%)Construction & Materials 1.35% (1.49%)

3,668,140 Cemex 1,503 0.72 320,598 Cemex ADR 1,310 0.63

General Industrials 1.24% (0.56%)1,922,600 Alfa 2,587 1.24

Automobiles & Parts 1.23% (0.00%)2,734,099 Nemak 2,559 1.23

Beverages 1.89% (0.97%)61,380 Fomento Economico Mexicano ADR 3,937 1.89

General Retailers 3.11% (0.00%)3,775,900 Wal-Mart de Mexico 6,464 3.11

Media 0.88% (1.49%)97,010 Grupo Televisa ADR 1,830 0.88

Travel & Leisure 0.14% (0.00%)136,400 Alsea 289 0.14

Banks 1.82% (1.10%)1,093,900 Grupo Financiero Banorte 3,790 1.82

Real Estate Investment Trusts 0.39% (0.83%)673,540 PLA Administradora Industrial 802 0.39

Financial Services 1.02% (1.13%)1,962,200 Bolsa Mexicana de Valores 2,122 1.02

Total Mexico 27,193 13.07

NETHERLANDS 0.00% (0.45%)Software & Computer Services 0.00% (0.45%)Total Netherlands – –

PHILIPPINES 2.53% (4.00%)General Industrials 0.00% (0.59%)


Travel & Leisure 0.00% (0.49%)

Gas, Water & Multiutilities 0.75% (0.66%)21,761,700 Metro Pacific Investments 1,568 0.75

Banks 0.77% (0.69%)1,358,127 Metropolitan Bank & Trust 1,597 0.77

Real Estate Investment & Services 1.01% (0.87%)116,145 GT Capital Holdings 2,111 1.01

Total Philippines 5,276 2.53

POLAND 2.24% (2.06%)Food & Drug Retailers 0.72% (0.00%)

169,777 Eurocash 1,489 0.72

Electricity 0.00% (0.60%)

Banks 1.52% (1.46%)125,375 Bank Pekao 3,166 1.52

Total Poland 4,655 2.24

RUSSIA 4.32% (3.67%)Industrial Metals & Mining 0.85% (0.00%)

183,391 MMC Norilsk Nickel 1,763 0.85

Mining 0.00% (0.85%)

Food & Drug Retailers 1.88% (1.38%)10,350 Magnit 1,169 0.56 52,606 Magnit GDR 1,549 0.74 90,138 X5 Retail Group 1,208 0.58

Mobile Telecommunications 0.45% (0.50%)111,081 MegaFon GDR 928 0.45

Financial Services 1.14% (0.94%)2,597,850 Moscow Exchange Rights 2,371 1.14

Total Russia 8,988 4.32

SOUTH AFRICA 7.21% (5.50%)Chemicals 1.85% (1.05%)

156,125 Sasol 3,245 1.56 29,196 Sasol ADR 608 0.29

Mining 1.98% (0.54%)173,822 Anglo Platinum 1,979 0.95 221,638 AngloGold Ashanti ADR 1,211 0.58 525,136 Impala Platinum Holdings 931 0.45

General Industrials 1.28% (0.00%)160,226 Bidvest Group 2,660 1.28

Health Care Equipment & Services 0.00% (0.77%)


Media 0.89% (2.11%)19,544 Naspers 1,858 0.89



£000

% ofNet Asset


£000

% ofNet Asset

Value

58



SOUTH AFRICA 7.21% (5.50%) (continued)Life Insurance 1.21% (0.67%)

362,580 Discovery 2,516 1.21 Total South Africa 15,008 7.21

SOUTH KOREA 10.13% (13.26%)Chemicals 1.13% (0.00%)

13,566 LG Chemicals 2,342 1.13

Industrial Metals & Mining 0.00% (0.71%)

Construction & Materials 1.56% (0.93%)86,317 Hyundai Development Co-Engineering

& Construction 2,255 1.08 10,282 LG Hausys 990 0.48

Automobiles & Parts 0.00% (0.61%)

Household Goods & Home Construction 0.43% (0.00%)31,618 Hyundai Livart Furniture 903 0.43

Leisure Goods 3.25% (3.40%)8,680 Samsung Electronics 6,764 3.25

Food & Drug Retailers 0.00% (0.50%)

General Retailers 0.45% (0.41%)9,247 CJ O Shopping 927 0.45

Mobile Telecommunications 1.05% (1.03%)142,862 SK Telecom ADR 2,180 1.05

Electricity 1.19% (1.05%)170,732 Korea Electric Power ADR 2,475 1.19

Banks 0.00% (1.01%)

Life Insurance 0.99% (0.71%)33,415 Samsung Life Insurance 2,069 0.99

Software & Computer Services 0.00% (0.96%)

Technology Hardware & Equipment 0.08% (1.94%)9,789 SK Hynix 171 0.08

Total South Korea 21,076 10.13

TAIWAN 10.49% (10.15%)Electronic & Electrical Equipment 1.86% (1.62%)

2,243,556 Hon Hai Precision Industry 3,875 1.86

Leisure Goods 0.49% (0.00%)20,000 Largan Precision 1,011 0.49

Food & Drug Retailers 0.90% (0.89%)437,000 President Chain Store 1,883 0.90

Mobile Telecommunications 0.78% (0.35%)1,152,000 Far EasTone Telecommunications 1,618 0.78

Banks 0.85% (0.93%)4,518,126 E.Sun Financial 1,762 0.85

Technology Hardware & Equipment 5.61% (6.36%)1,253,000 Advanced Semiconductor

Engineering 945 0.45 768,000 Pegatron 1,222 0.59 363,289 Taiwan Semiconductor

Manufacturing 989 0.47 599,339 Taiwan Semiconductor

Manufacturing ADR 8,526 4.10 Total Taiwan 21,831 10.49

THAILAND 5.21% (3.69%)Oil & Gas Producers 0.83% (0.82%)

346,100 PTT 1,733 0.83

Industrial Transportation 0.94% (0.79%)363,400 Airports of Thailand 1,965 0.94

Food Producers 0.52% (0.98%)3,378,600 Thai Union Group 1,089 0.52

Banks 0.71% (0.69%)608,700 Siam Commercial Bank 1,479 0.71

Real Estate Investment & Services 2.21% (0.41%)1,600,800 Central Pattana 1,341 0.65

14,178,500 Land & Houses 2,194 1.05 2,062,700 Pruksa Real Estate 1,051 0.51

Total Thailand 10,852 5.21

TURKEY 2.50% (0.49%)Beverages 0.45% (0.49%)

112,810 Coca-Cola Icecek 926 0.45

Food Producers 0.55% (0.00%)263,083 Ulker Biskuvi Sanayi 1,150 0.55

Banks 1.50% (0.00%)1,871,534 Aknank 3,117 1.50

Total Turkey 5,193 2.50

UNITED ARAB EMIRATES 2.63% (1.83%)Health Care Equipment & Services 1.57% (0.79%)

279,063 Al Noor Hospitals Group 3,282 1.57

Real Estate Investment & Services 1.06% (1.04%)1,942,831 Emaar Properties 2,202 1.06

Total United Arab Emirates 5,484 2.63

UNITED KINGDOM 1.41% (0.67%)Beverages 1.41% (0.67%)

73,880 SABMiller 2,941 1.41 Total United Kingdom 2,941 1.41

UNITED STATES OF AMERICA 0.60% (0.21%)Industrial Metals & Mining 0.60% (0.21%)

69,088 Southern Copper 1,242 0.60 Total United States of America 1,242 0.60


59


£000

% ofNet Asset

Value



DERIVATIVES 0.00% (0.02%)Forward Foreign Exchange Contracts 0.00% (0.02%)Sell USD 308,000 Buy GBP 201,335 Bank of Scotland 1 – Total Derivatives 1 –





£000

% ofNet Asset


£000

% ofNet Asset

Value

60





£000

% ofNet Asset

Value

ARGENTINA 1.58% (0.91%)CCC– 0.44% (0.00%)

USD 150,000 Provincia de Buen 9.95% 09/06/2021 99 0.44

Not Rated 1.14% (0.91%)USD 398,334 Argentina Bonar Bond 7% 17/04/2017 256 1.14

Total Argentina 355 1.58

BRAZIL 9.60% (12.55%)BBB+ 0.00% (10.13%)

Baa2 0.00% (0.52%)

BBB– 9.13% (1.90%)BRL 5,924,000 Brazil Government International Bond

0% 01/01/2017 845 3.77 BRL 1,373,000 Brazil Government International Bond

10% 01/01/2017 227 1.01 BRL 348,000 Brazil Government International Bond





10% 01/01/2025 107 0.48 BRL 1,861,000 Brazil Letras do Tesouro Nacional 0%

01/07/2018 212 0.94

Baa3 0.47% (0.00%)BRL 1,000,000 Brazil Letras do Tesouro Nacional 0%

01/01/2019 106 0.47 Total Brazil 2,153 9.60

CAYMAN ISLANDS 0.00% (1.03%)(P)BBB+ 0.00% (1.03%)

Total Cayman Islands – –

COLOMBIA 8.92% (5.27%)BBB 5.63% (1.59%)

COP 597,000,000 Colombia Government International Bond 7.75% 14/04/2021 136 0.61

COP 4,296,000,000 Colombia Government International Bond 9.85% 28/06/2027 1,126 5.02

Baa2 1.75% (1.98%)COP 2,124,000,000 Colombia Government International

Bond 4.375% 21/03/2023 393 1.75

Baa3 1.54% (1.70%)COP 1,690,000,000 Empresas Publicas de Medellin

7.625% 10/09/2024 346 1.54

Total Colombia 2,001 8.92

COSTA RICA 0.00% (0.63%)BB 0.00% (0.63%)

Total Costa Rica – –

CROATIA 0.74% (0.00%)BB– 0.74% (0.00%)

USD 255,000 Hrvatska Elektroprivreda 5.875% 23/10/2022 167 0.74 Total Croatia 167 0.74

DOMINICAN REPUBLIC 1.69% (1.44%)Not Rated 1.69% (1.44%)

DOP 26,270,000 Dominican Republic International Bond 11% 05/01/2018 380 1.69 Total Dominican Republic 380 1.69

GHANA 0.00% (1.53%)Not Rated 0.00% (1.53%)Total Ghana – –

GUATEMALA 2.10% (0.00%)BB 2.10% (0.00%)

USD 750,000 Guatemala Government Bond 4.875% 13/02/2028 472 2.10 Total Guatemala 472 2.10

HUNGARY 4.97% (4.32%)BB+ 4.97% (4.32%)

HUF 34,050,000 Hungary Government Bond 5.5% 20/12/2018 86 0.39


HUF 107,030,000 Hungary Government Bond 6% 24/11/2023 292 1.30


HUF 49,540,000 Hungary Government Bond 7% 24/06/2022 140 0.63

HUF 51,390,000 Hungary Government Bond 7.5% 12/11/2020 145 0.64 Total Hungary 1,114 4.97

INDONESIA 6.84% (7.88%)Baa3 6.84% (7.88%)

IDR 14,135,000,000 Indonesia Government Bond 8.375% 15/03/2034 622 2.77

IDR 6,752,000,000 Indonesia Treasury Bond 5.625% 15/05/2023 263 1.17

IDR 11,708,000,000 Indonesia Treasury Bond 6.625% 15/05/2033 431 1.92

IDR 4,525,000,000 Indonesia Treasury Bond 9.5% 15/07/2031 219 0.98 Total Indonesia 1,535 6.84

MEXICO 9.34% (5.43%)A 9.34% (5.43%)

MXN 15,773,000 Mexican Bonos 5% 11/12/2019 616 2.74 MXN 4,150,400 Mexican Bonos 6.5% 10/06/2021 171 0.76 MXN 3,276,400 Mexican Bonos 6.5% 09/06/2022 134 0.60 MXN 1,767,700 Mexican Bonos 7.5% 03/06/2027 76 0.34 MXN 2,044,100 Mexican Bonos 7.75% 29/05/2031 90 0.40 MXN 1,247,200 Mexican Bonos 7.75% 23/11/2034 55 0.24 MXN 2,543,900 Mexican Bonos 8% 11/06/2020 111 0.49 MXN 1,798,900 Mexican Bonos 8% 07/12/2023 80 0.36


61


£000

% ofNet Asset


£000

% ofNet Asset

Value



£000

% ofNet Asset

Value


MEXICO 9.34% (5.43%) (continued)MXN 2,846,200 Mexican Bonos 8.5% 31/05/2029 133 0.59 MXN 3,233,400 Mexican Bonos 8.5% 18/11/2038 152 0.68 MXN 5,618,900 Mexican Bonos 10% 05/12/2024 282 1.26 MXN 2,315,200 Mexican Bonos 10% 20/11/2036 125 0.56 MXN 321,400 Mexican Udibonos 4% 15/11/2040 71 0.32


MONGOLIA 2.00% (0.00%)B 2.00% (0.00%)

USD 715,000 Development Bank of Mongolia 5.75% 21/03/2017 449 2.00 Total Mongolia 449 2.00

NIGERIA 0.00% (1.47%)B+ 0.00% (1.47%)Total Nigeria – –

PERU 0.59% (0.56%)A– 0.59% (0.56%)

PEN 699,000 Peruvian Government International Bond 6.95% 12/08/2031 133 0.59 Total Peru 133 0.59

PHILIPPINES 0.58% (0.51%)BBB 0.58% (0.51%)

PHP 9,000,000 Philippine Government International Bond 4.95% 15/01/2021 129 0.58 Total Philippines 129 0.58

POLAND 6.26% (5.63%)A 6.26% (5.63%)

PLN 1,052,000 Poland Government Bond 3.25% 25/07/2025 186 0.83

PLN 1,869,000 Poland Government Bond 4% 25/10/2023 346 1.54


PLN 615,000 Poland Government Bond 5.5% 25/10/2019 117 0.52


PLN 801,000 Poland Government Bond 5.75% 25/04/2029 176 0.79 Total Poland 1,405 6.26

REPUBLIC OF IRELAND 0.81% (0.79%)BBB– 0.81% (0.79%)

RUB 19,500,000 Russian Railways via RZD Capital 8.3% 02/04/2019 181 0.81 Total Republic of Ireland 181 0.81

ROMANIA 5.91% (3.56%)Not Rated 5.91% (3.56%)

RON 2,000,000 Romania Government Bond 4.75% 24/02/2025 355 1.58

RON 4,260,000 Romania Government Bond 5.85% 26/04/2023 804 3.58

RON 890,000 Romania Government Bond 5.95% 11/06/2021 167 0.75 Total Romania 1,326 5.91

RUSSIA 5.78% (3.81%)BBB– 5.78% (3.81%)

RUB 9,357,000 Russian Federal Bond 6.2% 31/01/2018 88 0.39 RUB 19,493,000 Russian Federal Bond 6.8% 11/12/2019 177 0.79 RUB 34,000 Russian Federal Bond 7% 25/01/2023 – – RUB 14,271,000 Russian Federal Bond 7% 16/08/2023 123 0.55 RUB 37,606,000 Russian Federal Bond 7.05%

19/01/2028 307 1.37 RUB 8,848,000 Russian Federal Bond 7.6% 14/04/2021 81 0.36 RUB 9,055,000 Russian Federal Bond 7.6% 20/07/2022 82 0.36 RUB 48,714,000 Russian Federal Bond 8.15%

03/02/2027 439 1.96 Total Russia 1,297 5.78

SERBIA 0.00% (1.87%)Not Rated 0.00% (1.87%)Total Serbia – –

SOUTH AFRICA 12.65% (9.59%)BBB+ 4.30% (4.25%)

ZAR 5,374,665 South Africa Government Bond 7.25% 15/01/2020 248 1.11

ZAR 4,353,124 South Africa Government Bond 8% 21/12/2018 207 0.92

ZAR 9,395,002 South Africa Government Bond 10.5% 21/12/2026 509 2.27

Baa2 8.35% (2.87%)ZAR 7,484,885 South Africa Government Bond 6.25%

31/03/2036 263 1.17 ZAR 7,714,786 South Africa Government Bond 7.75%

28/02/2023 355 1.58 ZAR 3,171,624 South Africa Government Bond 6.5%

28/02/2041 112 0.50 ZAR 6,996,985 South Africa Government Bond 7%

28/02/2031 279 1.25 ZAR 19,602,842 South Africa Government Bond 8%

31/01/2030 864 3.85

Not Rated 0.00% (2.47%)

Total South Africa 2,837 12.65

SUPRANATIONAL 0.00% (4.57%)AAA 0.00% (2.97%)

BB– 0.00% (1.60%)

Total Supranational – –

TURKEY 9.90% (9.91%)Not Rated 9.90% (9.91%)

TRY 915,114 Turkey Government Bond 6.3% 14/02/2018 188 0.84

TRY 1,182,872 Turkey Government Bond 7.1% 08/03/2023 227 1.01

TRY 1,927,408 Turkey Government Bond 8% 12/03/2025 385 1.72

TRY 455,232 Turkey Government Bond 8.2% 13/07/2016 100 0.45

TRY 1,090,669 Turkey Government Bond 8.3% 20/06/2018 233 1.04



£000

% ofNet Asset


£000

% ofNet Asset

Value

62



£000

% ofNet Asset

Value


TURKEY 9.90% (9.91%) (continued)TRY 850,792 Turkey Government Bond 8.8%

27/09/2023 180 0.80 TRY 883,662 Turkey Government Bond 9%

08/03/2017 194 0.86 TRY 644,929 Turkey Government Bond 10.4%

27/03/2019 145 0.65 TRY 2,483,942 Turkey Government Bond 10.5%

15/01/2020 568 2.53 Total Turkey 2,220 9.90

UNITED STATES OF AMERICA 0.00% (0.99%)Aa3 0.00% (0.99%)Total United States of America – –

VENEZUELA 0.00% (2.38%)CCC 0.00% (2.38%)Total Venezuela – –

ZAMBIA 0.00% (4.51%)B+ 0.00% (0.98%)

Not Rated 0.00% (3.53%)

Total Zambia – –

DERIVATIVES –0.76% (0.45%)Credit Default Swaps 0.00% (0.05%)

Interest Rate Swaps 0.23% (0.12%)BRL 7,938,009 Citigroup Interest Rate Swap Receive

BRL 12.9% Pay RLCDI 1D 02/01/2018 (78) (0.35)BRL 5,489,300 Citigroup Interest Rate Swap Receive

BRL 12.95% Pay RLCDI 1D 02/01/2019 (84) (0.38)HUF 620,000,000 Citigroup Interest Rate Swap Receive

HUF 3.07% Pay Bubor 6M 20/07/2025 48 0.22 HUF 2,750,000,000 Citigroup Interest Rate Swap Receive

HUF Bubor Pay 1.55% 20/07/2017 (27) (0.12)BRL 5,121,821 UBS Interest Rate Swap Receive BRL

BRLCDI 1D Pay 2.6% 04/01/2021 136 0.61 BRL 2,253,025 UBS Interest Rate Swap Receive BRL

BRLCDI 1D Pay 2.84% 04/01/2021 55 0.24 CZK 80,900,000 UBS Interest Rate Swap Receive CZK

.68% Pay Pribor 6M 20/05/2020 29 0.13 CZK 41,500,000 UBS Interest Rate Swap Receive CZK

Pribor Pay 1.04% 20/05/2025 (24) (0.11)MXN 35,500,000 UBS Interest Rate Swap Receive

MXN 5.275% Pay TIIE 4W 28/09/2020 (2) (0.01)

Futures and Options 0.00% (-0.03%)

Forward Foreign Exchange Contracts –0.99% (0.31%)Sell USD 176,946 Buy BRL 698,760 HSBC 2 0.01 Sell USD 580,863 Buy COP 1,778,022,478 Goldman Sachs 18 0.08 Sell USD 1,754,118 Buy COP 5,400,928,432 HSBC 63 0.28 Sell USD 2,537,527 Buy COP 7,668,407,200 UBS 58 0.26 Sell USD 1,426,887 Buy CZK 33,890,241 J.P. Morgan (32) (0.14)

Sell USD 1,917,056 Buy EUR 1,694,626 Citigroup (32) (0.14)Sell USD 430,352 Buy EUR 379,616 J.P. Morgan (8) (0.04)Sell USD 454,996 Buy EUR 400,000 Citigroup (9) (0.04)Sell USD 1,052,059 Buy EUR 943,981 J.P. Morgan (8) (0.03)Sell USD 19,700 Buy GBP 13,000 Bank of Scotland – – Sell USD 212,346 Buy GBP 140,000 Bank of Scotland 2 0.01 Sell USD 27,624 Buy GBP 18,000 Goldman Sachs – – Sell USD 30,938 Buy GBP 20,000 Bank of Scotland – – Sell USD 10,616 Buy GBP 7,000 Bank of Scotland – – Sell USD 158,962 Buy HUF 43,911,506 RBC (2) (0.01)Sell USD 451,336 Buy IDR 6,623,360,089 HSBC 20 0.09 Sell USD 1,433,181 Buy ILS 5,482,593 UBS (9) (0.04)Sell USD 1,767,766 Buy MXN 29,198,075 J.P. Morgan (5) (0.02)Sell USD 267,211 Buy MXN 4,505,617 Citigroup 3 0.01 Sell USD 3,292,554 Buy MYR 14,182,678 Citigroup 10 0.04 Sell USD 464,308 Buy PEN 1,515,964 Citigroup (2) (0.01)Sell USD 1,223,042 Buy PLN 4,547,105 Bank of Scotland (32) (0.14)Sell USD 263,193 Buy RUB 18,185,333 HSBC 13 0.06 Sell USD 2,927,386 Buy THB 106,249,483 HSBC 38 0.17 Sell USD 1,075,962 Buy TRY 3,194,099 Citigroup 12 0.05 Sell USD 275,650 Buy TRY 854,430 HSBC 11 0.05 Sell TRY 3,194,099 Buy USD 1,025,753 Citigroup (45) (0.20)Sell RON 4,341,490 Buy USD 1,113,211 J.P. Morgan 23 0.10 Sell ZAR 19,045,572 Buy USD 1,356,611 HSBC (16) (0.07)Sell ZAR 18,724,842 Buy USD 1,363,886 J.P. Morgan 4 0.02 Sell CZK 33,890,241 Buy USD 1,393,252 Citigroup 10 0.05 Sell ILS 5,482,593 Buy USD 1,407,902 HSBC (7) (0.03)Sell COP 4,270,000,000 Buy USD 1,423,333 Citigroup (25) (0.11)Sell ZAR 22,115,858 Buy USD 1,610,968 Citigroup 6 0.03 Sell ZAR 22,752,906 Buy USD 1,692,040 HSBC 28 0.12


63


£000

% ofNet Asset

Value


Value

£000 % of

Investment


DERIVATIVES –0.76% (0.45%) (continued)Sell COP 5,297,155,798 Buy USD 1,716,512 Citigroup (64) (0.29)Sell EUR 1,694,626 Buy USD 1,858,426 Citigroup (6) (0.03)Sell ZAR 2,395,522 Buy USD 177,963 Bank of Scotland 3 0.01 Sell BRL 698,760 Buy USD 184,711 Credit Suisse 3 0.01 Sell ILS 8,054,218 Buy USD 2,050,871 Citigroup (23) (0.10)Sell ZAR 29,040,345 Buy USD 2,061,617 HSBC (29) (0.13)Sell COP 7,668,407,200 Buy USD 2,428,248 HSBC (130) (0.58)Sell GBP 20,000 Buy USD 30,497 Goldman Sachs – – Sell GBP 23,000 Buy USD 35,599 UBS – – Sell TRY 1,136,446 Buy USD 385,843 Citigroup (2) (0.01)Sell GBP 40,000 Buy USD 60,772 Citigroup – – Sell GBP 46,000 Buy USD 70,362 Citigroup – – Sell RUB 54,196,028 Buy USD 856,177 HSBC 9 0.04 Sell EUR 779,616 Buy USD 883,971 Lloyds 16 0.07 Sell GBP 607,000 Buy USD 935,574 Lloyds 2 0.01 Sell USD 1,395,658 Buy ZAR 18,724,842 Citigroup (25) (0.11)Sell USD 1,371,935 Buy ZAR 19,045,572 Citigroup 6 0.03 Sell USD 1,709,476 Buy ZAR 22,752,906 HSBC (39) (0.17)Sell USD 2,145,819 Buy ZAR 29,040,345 HSBC (26) (0.12)Sell USD 633,748 Buy ZAR 8,623,000 UBS (6) (0.03)Total Derivatives (169) (0.76)


Net other assets (8.41%) 2,356 10.50

Net assets 22,437 100.00


ANALYSIS OF INVESTMENTS BY ASSET CLASSFixed interest 20,250 100.84 Derivatives (169) (0.84)Total value of investments 20,081 100.00


£000A 3,501 A– 133 BBB+ 964 BBB 1,391 Baa2 2,266 BBB– 3,525 Baa3 1,987 BB+ 1,114 BB 472 BB– 167 B 449 CCC– 99 Not Rated 4,182 Derivatives (169)Total value of investments 20,081

64



£000

% ofNet Asset


£000

% ofNet Asset

Value



BELGIUM 1.15% (1.65%)Beverages 1.15% (1.65%)

15,613 Anheuser-Busch InBev 1,214 1.15 Total Belgium 1,214 1.15

BERMUDA 1.85% (1.33%)Financial Services 1.85% (1.33%)

98,654 Markit 1,945 1.85 Total Bermuda 1,945 1.85

CANADA 0.77% (0.98%)Chemicals 0.77% (0.98%)

31,351 Methlanex 808 0.77 Total Canada 808 0.77

CAYMAN ISLANDS 1.92% (2.42%)Software & Computer Services 1.92% (2.42%)

6,049 Baidu ADR 734 0.70 105,300 Tencent Holdings 1,286 1.22

Total Cayman Islands 2,020 1.92

CHINA 0.00% (1.95%)Life Insurance 0.00% (1.95%)Total China – –

DENMARK 1.67% (1.58%)Pharmaceuticals & Biotechnology 1.67% (1.58%)

51,000 Novo Nordisk 1,762 1.67 Total Denmark 1,762 1.67

FRANCE 1.26% (1.69%)Oil & Gas Producers 0.75% (0.69%)

24,934 Total 787 0.75 Pharmaceuticals & Biotechnology 0.00% (1.00%)

Software & Computer Services 0.51% (0.00%)22,000 Criteo ADR 541 0.51



21,196 Brenntag 828 0.79 Total Germany 828 0.79

INDIA 1.71% (1.62%)Media 0.49% (0.63%)

69,000 Info Edge India 516 0.49

Banks 1.22% (0.99%)118,419 HDFC Bank 1,287 1.22

Total India 1,803 1.71

INDONESIA 0.49% (1.19%)Banks 0.49% (1.19%)

1,046,300 Bank Rakyat Indonesia 521 0.49 Total Indonesia 521 0.49

JAPAN 4.15% (10.29%)Construction & Materials 0.67% (0.94%)

328,000 Taiheiyo Cement 702 0.67

Industrial Engineering 0.77% (1.71%)7,000 Shimadzu 71 0.07

94,900 Yaskawa Electric 737 0.70



Household Goods & Home Construction 0.78% (0.67%)106,000 Sekisui Chemical 817 0.78

Leisure Goods 0.62% (0.00%)6,300 Nintendo 658 0.62

Real Estate Investment & Services 1.31% (1.08%)78,000 Mitsui Fudosan 1,385 1.31



Total Japan 4,370 4.15

JERSEY 0.80% (1.27%)Support Services 0.80% (1.27%)

22,064 Wolseley 842 0.80 Total Jersey 842 0.80

MEXICO 2.74% (2.57%)Beverages 1.53% (1.58%)

25,009 Fomento Economico Mexicano ADR 1,604 1.53

Banks 1.21% (0.99%)368,600 Grupo Financiero Banorte 1,277 1.21


NETHERLANDS 1.36% (0.68%)Software & Computer Services 0.28% (0.68%)

9,996 Mobileye 294 0.28

Technology Hardware & Equipment 1.08% (0.00%)7,739 ASML 468 0.44

13,300 NXP Semiconductors 675 0.64 Total Netherlands 1,437 1.36

REPUBLIC OF IRELAND 2.17% (0.70%)Pharmaceuticals & Biotechnology 1.32% (0.00%)

30,000 Alkermes 1,396 1.32

Banks 0.85% (0.70%)3,707,351 Bank of Ireland 891 0.85


SINGAPORE 0.00% (0.67%)Real Estate Investment & Services 0.00% (0.67%)Total Singapore – –

65


£000

% ofNet Asset


£000

% ofNet Asset

Value




SOUTH KOREA 0.98% (1.04%)Leisure Goods 0.98% (1.04%)

1,330 Samsung Electronics 1,036 0.98 Total South Korea 1,036 0.98

SPAIN 2.23% (0.79%)General Retailers 1.09% (0.79%)

47,000 Inditex 1,146 1.09

Mobile Telecommunications 1.14% (0.00%)106,419 Cellnex Telecom 1,200 1.14


SWITZERLAND 1.71% (1.96%)Food Producers 0.00% (0.79%)

Banks 1.71% (1.17%)138,461 UBS Group 1,798 1.71



92,001 Royal Dutch Shell B Shares 1,564 1.48




Media 0.85% (0.98%)30,982 Liberty Global A Shares 893 0.85

Fixed Line Telecommunications 1.33% (0.95%)302,259 BT Group 1,403 1.33

Nonlife Insurance 2.25% (1.82%)39,256 Aon 2,372 2.25



21,540 Anadarko Petroleum 933 0.89

Oil Equipment, Services & Distribution 0.89% (1.82%)52,243 Enterprise Products Partners 934 0.89

Chemicals 0.00% (0.63%)

Aerospace & Defence 0.87% (0.00%)6,460 Lockheed Martin 919 0.87

Electronic & Electrical Equipment 2.44% (3.81%)42,592 Amphenol 1,495 1.42 33,950 WESCO International 1,075 1.02

Industrial Transportation 2.58% (1.48%)26,504 Union Pacific 1,533 1.46 17,655 United Parcel Service 1,178 1.12

Support Services 2.15% (2.46%)28,301 Towers Watson & Co 2,263 2.15

Beverages 0.42% (0.00%)7,719 Molson Coors Brewing 440 0.42


Personal Goods 2.45% (3.34%)25,756 Estee Lauder Companies Class C 1,341 1.27 14,606 NIKE 1,239 1.18

Health Care Equipment & Services 3.50% (2.98%)22,409 Express Scripts 1,253 1.19 13,952 Sirona Dental Systems 985 0.93 21,400 Zimmer Holdings 1,449 1.38

Pharmaceuticals & Biotechnology 8.45% (9.80%)39,405 Bristol-Myers Squibb 1,683 1.60 43,688 Gilead Sciences 3,059 2.90 98,604 Pfizer 2,160 2.05 24,800 Vertex Pharmaceuticals 2,001 1.90

General Retailers 4.34% (4.35%)5,256 Amazon.com 2,130 2.02

17,300 Home Depot 1,385 1.31 22,400 TJX Companies 1,062 1.01

Media 2.85% (3.81%)67,478 Comcast 2,736 2.60 3,514 Walt Disney 259 0.25

Travel & Leisure 4.25% (2.98%)3,063 Priceline Group 2,884 2.74

69,327 Sabre 1,316 1.25 11,400 Spirit Airlines 274 0.26

Banks 1.76% (1.41%)44,585 JPMorgan Chase 1,855 1.76

Nonlife Insurance 2.25% (2.13%)58,001 American International Group 2,368 2.25

Financial Services 5.14% (5.97%)16,202 American Express 768 0.73 24,176 MasterCard Class A 1,550 1.47 61,680 Visa ‘A’ Shares 3,099 2.94

Software & Computer Services 5.37% (3.84%)5,203 Alphabet Class A 2,484 2.36 1,186 Alphabet Class C 546 0.52

27,977 Facebook 1,847 1.75 23,037 Microsoft 785 0.74

Technology Hardware & Equipment 0.51% (0.00%)7,000 Apple 542 0.51


66


£000

% ofNet Asset

Value




DERIVATIVES 0.99% (–0.42%)Portfolio Swap 0.99% (–0.42%)UBS Portfolio Swap 1,042 0.99 Total Derivatives 1,042 0.99


Net other assets (6.12%) 10,518 9.99

Net assets 105,315 100.00


67





£000

% ofNet Asset


£000

% ofNet Asset

Value

AUSTRALIA 5.46% (5.56%)Construction & Materials 0.71% (0.00%)

3,942,119 Dulux Group 10,562 0.71

General Industrials 1.21% (1.29%)2,865,963 Amcor 18,072 1.21


7,761,457 Sydney Airport 23,090 1.54

Fixed Line Telecommunications 0.00% (0.64%)

Life Insurance 0.89% (0.00%)5,055,953 AMP 13,360 0.89

Real Estate Investment Trusts 1.11% (1.23%)

5,917,965 Goodman Group 16,540 1.11



BERMUDA 0.61% (0.74%)Personal Goods 0.61% (0.74%)

17,298,000 Li & Fung 9,076 0.61 Total Bermuda 9,076 0.61

BRAZIL 0.69% (1.24%)Beverages 0.69% (1.24%)

3,224,227 Ambev 10,325 0.69 Total Brazil 10,325 0.69

CANADA 2.79% (2.50%)Oil & Gas Producers 0.00% (0.77%)

Chemicals 0.70% (0.00%)

172,317 Agrium 10,383 0.70

Media 0.84% (0.58%)2,111,324 Aimia 12,612 0.84

Banks 1.25% (1.15%)

873,080 National Bank of Canada 18,709 1.25 Total Canada 41,704 2.79

CAYMAN ISLANDS 0.61% (0.60%)Travel & Leisure 0.61% (0.60%)

19,932,232 NagaCorp 9,142 0.61 Total Cayman Islands 9,142 0.61

DENMARK 0.00% (0.81%)General Retailers 0.00% (0.81%)Total Denmark – –

FINLAND 0.94% (0.90%)Nonlife Insurance 0.94% (0.90%)

441,362 Sampo 14,036 0.94 Total Finland 14,036 0.94

FRANCE 0.99% (1.81%)Oil & Gas Producers 0.00% (0.94%)

Construction & Materials 0.99% (0.87%)

336,526 Vinci 14,772 0.99 Total France 14,772 0.99


343,678 BASF 18,284 1.22

General Industrials 0.00% (0.68%)

Automobiles & Parts 1.30% (1.40%)344,022 Daimler 19,356 1.30

Personal Goods 1.28% (1.49%)

287,946 Hugo Boss 19,191 1.28

Media 1.41% (1.29%)600,452 ProSiebenSat.1 Media 20,987 1.41

Travel & Leisure 1.47% (0.00%)

1,829,782 TUI 22,033 1.47 Total Germany 99,851 6.68

HONG KONG 1.18% (1.17%)Travel & Leisure 0.33% (0.47%)

9,026,812 SJM Holdings 4,872 0.33

Fixed Line Telecommunications 0.85% (0.70%)16,496,000 HKT Trust & HKT 12,790 0.85


ITALY 0.00% (1.15%)Gas, Water & Multiutilities 0.00% (1.15%)Total Italy – –

JAPAN 4.40% (4.95%)Support Services 0.00% (1.30%)

Banks 1.35% (1.34%)

8,505,636 Aozora Bank 20,172 1.35

Real Estate Investment Trusts 1.55% (0.83%)3,988 Industrial & Infrastructure Fund

Investment REIT 11,683 0.78 9,159 Japan Retail Fund Investment 11,529 0.77


1,150,467 Canon 22,445 1.50 Total Japan 65,829 4.40

JERSEY 0.00% (1.29%)Support Services 0.00% (1.29%)Total Jersey – –

MALAYSIA 0.00% (0.59%)Mobile Telecommunications 0.00% (0.59%)Total Malaysia – –



£000

% ofNet Asset


£000

% ofNet Asset

Value

68



MEXICO 2.50% (1.06%)Personal Goods 1.40% (1.06%)

13,493,413 Kimberly-Clark de Mexico 20,901 1.40


9,581,400 Wal-Mart de Mexico 16,403 1.10 Total Mexico 37,304 2.50

NETHERLANDS 3.31% (2.82%)Chemicals 1.10% (1.20%)

272,663 LyondellBasell Industries 16,407 1.10

Personal Goods 2.21% (1.62%)1,126,323 Unilever 33,123 2.21


NORWAY 0.94% (1.10%)Mobile Telecommunications 0.94% (1.10%)

1,150,937 Telenor 14,118 0.94 Total Norway 14,118 0.94

SINGAPORE 0.00% (0.52%)Real Estate Investment Trusts 0.00% (0.52%)Total Singapore – –

SOUTH KOREA 0.75% (0.93%)Mobile Telecommunications 0.75% (0.93%)

82,223 SK Telecom 11,254 0.75 Total South Korea 11,254 0.75


1,156,184 Ferrovial 18,979 1.27 Total Spain 18,979 1.27


20,037 Givaudan 23,270 1.55

Pharmaceuticals & Biotechnology 1.99% (0.99%)503,438 Novartis 29,712 1.99

Banks 1.82% (2.05%)2,092,866 UBS Group 27,178 1.82


TAIWAN 1.47% (3.60%)Technology Hardware & Equipment 1.47% (3.60%)

10,644,000 Pegatron 16,942 1.13 5,949,402 Siliconware Precision Industries 5,108 0.34

Total Taiwan 22,050 1.47

THAILAND 0.00% (1.45%)Mobile Telecommunications 0.00% (0.58%)

Banks 0.00% (0.87%)

Total Thailand – –


1,723,330 Royal Dutch Shell A Shares 29,124 1.95

Mining 0.62% (0.74%)396,716 Rio Tinto 9,357 0.62

Aerospace & Defence 1.63% (1.31%)5,529,768 BAE Systems 24,342 1.63

Household Goods & Home Construction 0.87% (1.28%)654,165 Persimmon 13,038 0.87



1,134,288 GlaxoSmithKline 15,937 1.07

Media 0.00% (0.78%)

Fixed Line Telecommunications 1.58% (0.00%)5,084,805 BT Group 23,599 1.58

Mobile Telecommunications 0.00% (0.50%)

Gas, Water & Multiutilities 1.06% (0.98%)1,714,874 National Grid 15,859 1.06

Banks 1.22% (1.37%)

3,588,173 HSBC Holdings 18,210 1.22

Life Insurance 0.99% (0.95%)5,644,509 Legal & General Group 14,755 0.99


2,261,517 Intermediate Capital Group 12,789 0.85 Total United Kingdom 232,083 15.53


454,632 Occidental Petroleum 21,946 1.47

Oil Equipment, Services & Distribution 1.99% (2.62%)1,008,636 Enterprise Products Partners 18,032 1.21

569,678 Plains All American Pipeline 11,693 0.78

Alternative Energy 0.58% (0.70%)574,061 Pattern Energy Group 8,679 0.58

General Industrials 2.47% (2.15%)

1,974,992 General Electric 36,983 2.47

Industrial Transportation 0.96% (0.00%)215,417 United Parcel Service 14,371 0.96


720,334 Paychex 24,053 1.61 1,730,713 RR Donnelley & Sons 18,894 1.26


748,762 General Motors 16,925 1.13



£000

% ofNet Asset


£000

% ofNet Asset

Value

69



UNITED STATES OF AMERICA 42.85% (37.30%) (continued) Beverages 1.93% (0.00%)

1,053,182 Coca-Cola 28,880 1.93


Personal Goods 1.07% (0.00%)206,819 Kimberly-Clark 16,031 1.07

Tobacco 4.93% (3.85%)

597,938 Philip Morris International 34,229 2.29 1,260,085 Reynolds American 39,416 2.64


609,635 Merck & Co 21,580 1.44 1,388,468 Pfizer 30,414 2.03


358,110 L Brands 22,246 1.49

Travel & Leisure 6.09% (5.29%)323,057 Las Vegas Sands 10,354 0.69 364,956 McDonald’s 26,528 1.78

1,521,015 Regal Entertainment Group 19,077 1.28 1,038,901 Six Flags Entertainment 35,000 2.34

Real Estate Investment Trusts 4.37% (4.68%)

413,850 Crown Castle International 22,895 1.53 1,424,552 Outfront Media 21,769 1.46 1,582,072 Starwood Property Trust 20,580 1.38


738,125 Blackstone Group 15,801 1.06 425,307 CME Group 26,016 1.74 305,090 T Rowe Price Group 14,932 1.00

Equity Investment Instruments 0.82% (0.90%)

1,242,702 Ares Capital 12,247 0.82

Software & Computer Services 2.40% (0.00%)1,050,888 Microsoft 35,819 2.40


348,880 KLA-Tencor 15,156 1.01 Total United States of America 640,546 42.85

DERIVATIVES 0.00% (0.01%)Forward Foreign Exchange Contracts 0.00% (0.01%)Sell USD 362,224 Buy AUD 499,722 J.P. Morgan (5) – Sell USD 14,123 Buy CHF 13,832 J.P. Morgan – – Sell USD 14,165 Buy CHF 13,874 J.P. Morgan – – Sell USD 3,767 Buy EUR 3,409 J.P. Morgan – – Sell USD 2,084,427 Buy SGD 2,904,858 J.P. Morgan (8) – Sell USD 18,302,742 Buy SGD 25,506,702 J.P. Morgan (72) – Sell USD 284,238 Buy SGD 396,113 J.P. Morgan (1) –

Sell USD 4,218 Buy SGD 5,879 J.P. Morgan – – Sell USD 4,420 Buy SGD 6,160 J.P. Morgan – –

Total Derivatives (86) –

Total value of investments 1,469,959 98.33

Net other assets (2.82%) 24,891 1.67 Net assets 1,494,850 100.00



£000

% ofNet Asset


£000

% ofNet Asset

Value

70




AUSTRALIA 1.98% (2.00%)A– 0.30% (0.00%)

USD 560,000 *BHP Billiton Finance USA 6.75% 19/10/2075 371 0.30

BBB+ 1.17% (1.00%)EUR 480,000 Aurizon Network 2% 18/09/2024 331 0.27 EUR 485,000 SGSP Australia Assets 2% 30/06/2022 347 0.29 AUD 900,000 SGSP Australia Assets 5.5%

12/03/2021 447 0.37 USD 500,000 Woodside Finance 3.65% 05/03/2025 295 0.24

BBB– 0.51% (1.00%)USD 350,000 *QBE Insurance Group 6.75%

02/12/2044 237 0.19 EUR 522,000 *Santos Finance 8.25% FRN 22/09/2070 384 0.32


AUSTRIA 0.61% (0.40%)BB+ 0.10% (0.00%)

USD 200,000 *Erste Group Bank 5.5% 26/05/2025 128 0.10

Ba1 0.51% (0.00%)EUR 700,000 BAWAG PSK Bank fuer Arbeit und

Wirtschaft und Oesterreichische Postsparkasse 8.125% 30/10/2023 622 0.51

Ba2 0.00% (0.40%)

Total Austria 750 0.61

BELGIUM 0.48% (0.43%)BB 0.48% (0.43%)

EUR 810,000 *KBC Groep 5.625% 19/12/2049 579 0.48 Total Belgium 579 0.48

CANADA 0.50% (0.70%)B 0.00% (0.70%)

B– 0.50% (0.00%)EUR 1,051,000 Valeant Pharmaceuticals

International 4.5% 15/05/2023 608 0.50 Total Canada 608 0.50

CAYMAN ISLANDS 2.31% (2.86%)BBB 2.24% (2.77%)

USD 210,000 Noble Holding International 5.25% 15/03/2042 84 0.07

USD 545,000 Noble Holding International 6.95% 01/04/2045 253 0.21

GBP 1,270,000 *Thames Water Utilities Cayman Finance 5.375% 21/07/2025 1,327 1.09

GBP 1,005,000 *Yorkshire Water Services Bradford Finance 6% 24/04/2025 1,055 0.87

BB 0.07% (0.09%)USD 150,000 UPCB Finance VI 6.875% 15/01/2022 92 0.07

Total Cayman Islands 2,811 2.31

CHILE 0.50% (0.56%)A 0.50% (0.56%)

USD 950,000 *Banco Santander Chile FRN 19/01/2016 614 0.50 Total Chile 614 0.50

COLOMBIA 2.79% (0.22%)BBB 2.79% (0.22%)

COP 12,950,000,000 Colombia Government International Bond 9.85% 28/06/2027 3,395 2.79 Total Colombia 3,395 2.79

CZECH REPUBLIC 0.18% (0.21%)Ba2 0.18% (0.21%)

EUR 300,000 RPG 6.75% 01/05/2020 225 0.18 Total Czech Republic 225 0.18

DENMARK 0.11% (1.51%)BBB 0.00% (0.34%)

BBB– 0.00% (0.34%)

BB+ 0.11% (0.83%)EUR 210,000 *TDC 3.5% 26/02/3015 140 0.11

Total Denmark 140 0.11

DOMINICAN REPUBLIC 1.99% (2.27%)BB– 1.99% (0.00%)

USD 2,270,000 Dominican Republic International Bond 5.875% 18/04/2024 1,491 1.22

USD 1,320,000 Dominican Republic International Bond 7.5% 06/05/2021 933 0.77

B+ 0.00% (2.27%)

Total Dominican Republic 2,424 1.99

FRANCE 1.18% (2.17%)BBB– 0.38% (0.42%)

USD 640,000 *Credit Agricole 8.125% 19/09/2033 458 0.38 BB+ 0.00% (0.31%)

BB– 0.00% (0.23%)

B+ 0.27% (1.21%)EUR 450,000 Numericable-SFR 5.375% 15/05/2022 332 0.27

(P)B+ 0.29% (0.00%)EUR 485,000 Horizon Holdings III 5.125% 01/08/2022 359 0.29

B2 0.24% (0.00%)EUR 390,000 Ephios 6.25% 01/07/2022 291 0.24


GABON 0.00% (0.49%)B+ 0.00% (0.49%)Total Gabon – –

GEORGIA 0.45% (0.52%)BB– 0.45% (0.52%)

USD 810,000 Georgian Railway JSC 7.75% 11/07/2022 549 0.45 Total Georgia 549 0.45

GERMANY 1.10% (0.90%)Baa1e 0.29% (0.00%)

EUR 500,000 Eurogrid 1.625% 03/11/2023 358 0.29


71


£000

% ofNet Asset


£000

% ofNet Asset

Value



GERMANY 1.10% (0.90%) (continued)BB– 0.52% (0.17%)

EUR 600,000 Techem 6.125% 01/10/2019 450 0.37 EUR 270,000 Unitymedia Hessen 5.125% 21/01/2023 184 0.15

B+ 0.29% (0.53%)EUR 308,000 ProGroup 5.125% 01/05/2022 231 0.19 EUR 160,000 Trionista Holdco 5% 30/04/2020 119 0.10

(P)B+ 0.00% (0.20%)


GHANA 0.37% (0.46%)B– 0.37% (0.46%)

USD 810,000 Republic of Ghana 8.125% 18/01/2026 446 0.37 Total Ghana 446 0.37

GUERNSEY 0.26% (0.40%)Not Rated 0.26% (0.40%)

USD 475,000 *CSG Guernsey I 7.875% 24/02/2041 319 0.26 Total Guernsey 319 0.26

HUNGARY 0.48% (0.53%)BB+ 0.29% (0.32%)

USD 540,000 Magyar Export-Import Bank 4% 30/01/2020 356 0.29

Ba1 0.19% (0.21%)USD 320,000 MFB Magyar Fejlesztesi Bank 6.25%

21/10/2020 231 0.19 Total Hungary 587 0.48

INDIA 0.67% (0.74%)BBB– 0.67% (0.74%)

USD 1,270,000 Export-Import Bank of India 2.75% 12/08/2020 814 0.67 Total India 814 0.67

INDONESIA 0.00% (0.53%)Baa3 0.00% (0.53%)Total Indonesia – –

ITALY 4.55% (3.94%)Baa2u 2.63% (1.66%)



Baa3 0.20% (0.00%)EUR 320,000 *Assicurazioni Generali FRN 27/10/2047 238 0.20

BB+ 1.03% (1.48%)GBP 1,250,000 Telecom Italia 5.625% 29/12/2015 1,256 1.03

B3 0.31% (0.36%)EUR 530,000 Banca Monte dei Paschi di Siena

3.625% 01/04/2019 383 0.31

Not Rated 0.38% (0.44%)EUR 590,000 Davide Campari-Milano 4.5%

25/10/2019 463 0.38 Total Italy 5,549 4.55

IVORY COAST 0.00% (1.50%)B1 0.00% (0.89%)

Not Rated 0.00% (0.61%)

Total Ivory Coast – –

JAPAN 0.58% (1.99%)A1 0.00% (1.99%)

BB+ 0.58% (0.00%)EUR 500,000 Softbank Group 4% 30/07/2022 364 0.30 EUR 490,000 Softbank Group 4.75% 30/07/2025 348 0.28

Total Japan 712 0.58

JERSEY 0.58% (2.05%)BBB– 0.26% (0.31%)

EUR 440,000 Atrium European Real Estate 3.625% 17/10/2022 324 0.26

BB– 0.00% (1.24%)

B 0.32% (0.00%)GBP 385,000 CPUK Finance 7% 28/08/2020 389 0.32

B– 0.00% (0.50%)

Total Jersey 713 0.58

KAZAKHSTAN 0.55% (1.35%)BB+ 0.55% (1.35%)

USD 1,340,000 KazMunayGas National JSC 5.75% 30/04/2043 668 0.55 Total Kazakhstan 668 0.55

LUXEMBOURG 9.86% (5.74%)BBB 0.53% (0.00%)

EUR 900,000 Grand City Properties 2% 29/10/2021 651 0.53

BBB– 0.00% (0.55%)

BB+ 0.94% (1.10%)USD 440,000 Gaz Capital 5.999% 23/01/2021 289 0.24 USD 1,059,000 Gaz Capital 6.51% 07/03/2022 714 0.59 EUR 200,000 *Grand City Properties 3.75%

29/12/2049 134 0.11

BB 1.76% (1.52%)EUR 310,000 Dufry Finance 4.5% 15/07/2022 234 0.19 EUR 340,000 Dufry Finance 4.55% 01/08/2023 254 0.21 EUR 190,000 Empark Funding 6.75% 15/12/2019 145 0.12 EUR 120,000 *Empark Funding FRN 15/12/2019 86 0.07 EUR 390,000 Gestamp Funding Luxembourg 5.875%

31/05/2020 290 0.24 EUR 1,380,000 Wind Acquisition Finance 4%

15/07/2020 1,004 0.82 USD 200,000 Wind Acquisition Finance 4.75%

15/07/2020 132 0.11



£000

% ofNet Asset


£000

% ofNet Asset

Value

72



LUXEMBOURG 9.86% (5.74%) (continued)BB– 0.50% (0.79%)

EUR 160,000 Altice Financing 5.25% 15/02/2023 115 0.09 EUR 190,000 Altice Financing 6.5% 15/01/2022 143 0.12 USD 200,000 Altice Financing 6.625% 15/02/2025 129 0.10 EUR 280,000 Fiat Chrysler Finance Europe 6.75%

14/10/2019 228 0.19

Ba3 0.00% (0.12%)

B+ 0.18% (0.59%)EUR 300,000 Garfunkel 7.5% 01/08/2022 217 0.18

B 1.16% (0.76%)EUR 490,000 Altice 6.25% 15/02/2023 311 0.25 EUR 650,000 Altice 7.25% 15/05/2022 451 0.37 EUR 880,000 Bormioli Rocco Holdings 10.5%

01/08/2018 656 0.54

B2 0.00% (0.16%)

B– 0.00% (0.15%)

Collective Investment Schemes 4.79% (0.00%)307,329 Threadneedle (Lux) – USD High Yield

Bond Fund 5,833 4.79 Total Luxembourg 12,016 9.86

MACEDONIA 0.00% (0.46%)BB– 0.00% (0.46%)Total Macedonia – –

MEXICO 5.52% (0.27%)A 5.52% (0.00%)

MXN 33,500,000 Mexican Bonos 7.75% 23/11/2034 1,471 1.21 MXN 75,000,000 Mexican Bonos 10% 05/12/2024 3,760 3.09 MXN 6,735,000 Mexican Udibonos 4% 15/11/2040 1,492 1.22

BBB– 0.00% (0.27%)


NETHERLANDS 4.12% (5.64%)A+ 0.19% (0.00%)

EUR 314,000 Enexis Holding 1.5% 20/10/2023 227 0.19

A 0.00% (0.09%)

BBB+ 0.36% (0.84%)USD 660,000 Deutsche Annington Finance 3.2%

02/10/2017 435 0.36

BBB 0.53% (1.48%)EUR 260,000 *Tennet Holding 6.655% 29/06/2049 198 0.16 EUR 620,000 Vesteda Finance 1.75% 22/07/2019 448 0.37

BBB– 0.47% (0.49%)EUR 300,000 *Vonovia Finance 4% 29/12/2049 210 0.17 EUR 500,000 *Vonovia Finance 4.625% 08/04/2074 366 0.30

BB+ 0.33% (0.40%)GBP 400,000 *Telefonica Europe 6.75% 26/11/2013 408 0.33

BB 0.46% (0.00%)EUR 780,000 *SNS Bank FRN 05/11/2025 554 0.46

BB– 0.28% (0.00%)EUR 190,000 InterXion Holding 6% 15/07/2020 144 0.12 EUR 300,000 Ziggo Secured Finance 3.75%

15/01/2025 199 0.16

Ba3 0.00% (0.49%)

B+ 0.22% (0.39%)GBP 290,000 InterGen 7.5% 30/06/2021 272 0.22

B 1.07% (1.22%)EUR 515,000 LGE HoldCo VI 7.125% 15/05/2024 400 0.33 EUR 680,000 Schaeffler Holding Finance 6.875%

15/08/2018 505 0.41 CHF 270,000 UPC Holding 6.75% 15/03/2023 CHF 194 0.16 EUR 260,000 UPC Holding 6.75% 15/03/2023 EUR 203 0.17

Not Rated 0.21% (0.24%)EUR 340,000 Celesio Finance 4.5% 26/04/2017 255 0.21


NEW ZEALAND 5.50% (2.97%)AA+ 5.50% (2.97%)

NZD 13,750,000 New Zealand Government Bond 4.5% 15/04/2027 6,695 5.50 Total New Zealand 6,695 5.50

NORWAY 0.69% (1.97%)BBB 0.22% (0.00%)

USD 433,000 *DNB Bank 5.75% 29/12/2049 266 0.22

BBB– 0.47% (1.97%)USD 690,000 Eksportfinans 2.375% 25/05/2016 446 0.37 USD 190,000 Eksportfinans 5.5% 25/05/2016 125 0.10

Total Norway 837 0.69

PORTUGAL 2.34% (1.12%)Ba1 1.42% (0.00%)

EUR 2,400,000 Portugal Obrigacoes do Tesouro OT 2.2% 17/10/2022 1,732 1.42

B2 0.92% (0.00%)EUR 1,700,000 Novo Banco 4% 21/01/2019 1,117 0.92

B3 0.00% (1.12%)

Total Portugal 2,849 2.34

REPUBLIC OF IRELAND 0.96% (1.24%)B+ 0.62% (0.85%)

EUR 780,000 Ardagh Packaging Finance 4.25% 15/01/2022 563 0.46

EUR 260,000 *Governor & Co of the Bank of Ireland 7.375% 29/12/2049 192 0.16

Not Rated 0.34% (0.39%)EUR 550,000 Bank of Ireland 10% 30/07/2016 413 0.34



73


£000

% ofNet Asset


£000

% ofNet Asset

Value



ROMANIA 4.91% (2.75%)Not Rated 4.91% (2.75%)

RON 33,740,000 Romania Government Bond 4.75% 24/02/2025 5,983 4.91 Total Romania 5,983 4.91

SPAIN 1.56% (0.00%)BBB+ 1.56% (0.00%)

EUR 2,550,000 Spain Government Bond 2.15% 31/10/2025 1,903 1.56 Total Spain 1,903 1.56

SWEDEN 0.48% (0.57%)BBB 0.26% (0.29%)

USD 490,000 *Svensk Exportkredit 2.88% 14/11/2023 317 0.26

B+ 0.22% (0.28%)EUR 380,000 TVN Finance III 7.375% 15/12/2020 263 0.22

Total Sweden 580 0.48

SWITZERLAND 0.53% (0.72%)BBB 0.53% (0.60%)

EUR 170,000 *UBS 4.75% 12/02/2026 130 0.11 USD 780,000 UBS 5.125% 15/05/2024 515 0.42

BB 0.00% (0.12%)

Total Switzerland 645 0.53

UNITED ARAB EMIRATES 0.71% (0.77%)AA– 0.44% (0.47%)

AUD 1,120,000 National Bank of Abu Dhabi 4.75% 19/03/2019 537 0.44

Baa1 0.27% (0.30%)USD 500,000 Emirates NBD 3.25% 19/11/2019 329 0.27

Total United Arab Emirates 866 0.71

UNITED KINGDOM 19.63% (22.74%)Aa1u 7.59% (9.20%)

GBP 2,600,000 United Kingdom Gilt 3.5% 22/01/2045 3,068 2.52 GBP 6,000,000 United Kingdom Gilt 4% 07/09/2016 6,176 5.07

A 0.03% (0.03%)USD 53,000 Abbey National Treasury Services

London 4% 13/03/2024 36 0.03

A– 0.13% (0.00%)GBP 150,000 *HSBC Bank 5% 20/03/2023 156 0.13

BBB+ 1.24% (1.05%)GBP 550,000 *HSBC Holdings 6.375% 18/10/2022 584 0.48 GBP 470,000 *RSA Insurance Group 9.375%

20/05/2039 546 0.45 GBP 385,000 Western Power Distribution 3.625%

06/11/2023 384 0.31

BBB 0.95% (0.66%)GBP 150,000 *BG Energy Capital 6.5% 30/11/2072

GBP 159 0.13 USD 520,000 *BG Energy Capital 6.5% 30/11/2072

USD 357 0.29

USD 560,000 Imperial Tobacco Finance 2.05% 11/02/2018 363 0.30

GBP 260,000 Sky Group Finance 5.75% 20/10/2017 278 0.23

Baa2 0.00% (0.82%)

BBB– 1.26% (2.14%)GBP 440,000 G4S 7.75% 13/05/2019 512 0.42 GBP 530,000 GKN Holdings 6.75% 28/10/2019 597 0.49 GBP 250,000 Go-Ahead Group 5.375% 29/09/2017 265 0.22 GBP 200,000 Unique Pub Finance 6.542%

30/03/2021 161 0.13

Baa3 1.22% (0.00%)GBP 594,000 National Express Group 6.25%

13/01/2017 623 0.51 GBP 360,000 Safeway 6% 10/01/2017 375 0.31 GBP 490,000 WM Morrison Supermarkets 4.625%

08/12/2023 493 0.40

BB+ 1.03% (1.97%)USD 510,000 Barclays 4.375% 11/09/2024 324 0.27 EUR 510,000 *Royal Bank of Scotland 4.625%

22/09/2021 370 0.30 GBP 645,000 Tesco Property Finance 5.5%

13/10/2041 558 0.46

BB 1.42% (1.61%)GBP 380,000 *Barclays Bank 14% 29/11/2049 492 0.40 EUR 721,000 Merlin Entertainments 2.75%

15/03/2022 500 0.41 GBP 560,000 Priory Group No 3 7% 15/02/2018 352 0.29 USD 550,000 Royal Bank of Scotland Group 6.125%

15/12/2022 387 0.32

BB– 0.86% (0.63%)EUR 965,000 Ineos Finance 4% 01/05/2023 661 0.54 GBP 370,000 *Lloyds Banking Group 7.875%

29/12/2049 392 0.32

Ba3 0.36% (0.00%)GBP 400,000 Anglian Water Osprey Financing 7%

31/01/2018 433 0.36

B+ 1.12% (1.41%)GBP 230,000 *Barclays Bank 7.75% 08/03/2075 233 0.19 GBP 710,000 Gala Group Finance 8.875% 01/09/2018 671 0.55 GBP 460,000 Iron Mountain Europe 6.125%

15/09/2022 467 0.38

B 0.65% (0.61%)GBP 190,000 IDH Finance 6% 01/12/2018 191 0.16 USD 480,000 *Royal Bank of Scotland 8% 29/12/2049 325 0.27 EUR 360,000 Thomas Cook Finance 7.75%

15/06/2020 273 0.22

B2 0.32% (0.37%)GBP 380,000 Virgin Media Finance 6.375%

15/10/2024 387 0.32

Not Rated 1.45% (2.24%)GBP 350,000 First Hydro Finance 9% 31/07/2021 459 0.38 EUR 540,000 International Personal Finance 5.75%

07/04/2021 361 0.30 GBP 910,000 *Pennon Group 6.75% 08/03/2018 942 0.77




£000

% ofNet Asset


£000

% ofNet Asset

Value

74




USD 4,000,000 United States Treasury Inflation Indexed Bonds 0.75% 15/02/2045 2,308 1.90

AA 0.00% (0.20%)

AA– 0.39% (0.46%)USD 170,000 Massachusetts Mutual Life Insurance

4.5% 15/04/2065 101 0.08 USD 570,000 Teachers Insurance & Annuity

Association of America 4.9% 15/09/2044 382 0.31

A 0.00% (0.27%)

(P)A 0.29% (0.00%)USD 540,000 ACE INA Holdings 4.35% 27/10/2045 356 0.29

A– 0.49% (0.54%)GBP 600,000 *JPMorgan Chase 6.125% FRN

30/05/2017 590 0.49

BBB+ 1.12% (0.83%)USD 485,000 Molson Coors Brewing 5% 01/05/2042 280 0.23 USD 1,027,000 Plains All American Pipeline 4.65%

15/10/2025 667 0.55 USD 680,000 Verizon Communications 5.012%

21/08/2054 408 0.34

BBB 0.99% (0.48%)USD 1,040,000 Hewlett Packard Enterprise 6.35%

15/10/2045 653 0.54 USD 190,000 Scripps Networks 3.95% 15/06/2025 118 0.10 USD 310,000 Time Warner Cable 5.85% 01/05/2017 212 0.17 USD 460,000 Williams Partners 4.9% 15/01/2045 219 0.18

BBB– 2.06% (1.06%)USD 1,290,000 Cimarex Energy 4.375% 01/06/2024 830 0.68 USD 955,000 Columbia Pipeline 5.8% 01/06/2045 586 0.48 USD 995,000 Continental Resources 5% 15/09/2022 579 0.47 GBP 220,000 HJ Heinz 4.125% 01/07/2027 226 0.19 USD 510,000 Kinder Morgan Energy Partners 4.25%

01/09/2024 296 0.24

BB+ 0.00% (0.77%)

BB 0.24% (0.00%)EUR 390,000 Sealed Air 4.5% 15/09/2023 292 0.24

BB– 0.24% (0.28%)USD 430,000 Chrysler Group 8.25% 15/06/2021 297 0.24


DERIVATIVES 1.34% (0.13%)Credit Default Swaps 0.94% (–0.62%)

USD (32,500,000) Barclays CDX-NAIGS22V1-10Y Credit Default Swap Index Buy Protection 20/12/2020 Spread 500 (662) (0.54)

USD 36,500,000 Barclays CDX-NAIGS25V1-5Y Credit Default Swap Index Sell Protection 20/12/2020 Spread 100 245 0.20

EUR 8,000,000 Barclays Itraxx Crossover Credit Default Swap Index Sell Protection 20/12/2020 Spread 500 530 0.43

EUR 15,500,000 Barclays Itraxx-European Credit Default Swap Index Sell Protection 20/12/2020 Spread 100 162 0.13

USD (8,800,000) Barclays Republic of Turkey Credit Default Swap Buy Protection 20/09/2020 Spread 100 372 0.31

EUR (1,810,000) Barclays RWE Credit Default Swap Buy Protection 20/03/2020 Spread 100 2 –

EUR (460,000) Citigroup BCA Antonveneta Credit Default Swap Buy Protection 20/12/2019 Spread 500 (5) –

EUR (1,100,000) Citigroup Credit Agricole Credit Default Swap Buy Protection 20/12/2018 Spread 500 (96) (0.08)

EUR (1,600,000) Citigroup Gas Natural Capital Credit Default Swap Buy Protection 20/03/2020 Spread 100 (8) (0.01)

EUR 750,000 Citigroup ING Bank Credit Default Swap Sell Protection 20/06/2020 Spread 100 (3) –

EUR (1,250,000) Citigroup Pearson Credit Default Swap Buy Protection 20/09/2020 Spread 100 (4) –

USD (7,100,000) Citigroup Republic of Colombia Credit Default Swap Buy Protection 20/06/2019 Spread 100 115 0.09

EUR 1,000,000 Citigroup Sky Credit Default Swap Sell Protection 20/09/2020 Spread 100 9 0.01

EUR (925,000) Citigroup Tesco Credit Default Swap Buy Protection 20/06/2020 Spread 100 34 0.03

EUR 825,000 Citigroup ThyssenKrupp Credit Default Swap Sell Protection 20/09/2018 Spread 100 (9) (0.01)

EUR (550,000) Citigroup Unilever Credit Default Swap Buy Protection 20/03/2018 Spread 100 (8) (0.01)

EUR (960,000) Goldman Sachs BCO Comercial Portugues Credit Default Swap Buy Protection 20/12/2019 Spread 500 (21) (0.02)

EUR (1,400,000) Goldman Sachs Centrica Credit Default Swap Buy Protection 20/12/2019 Spread 100 (14) (0.01)

EUR (2,050,000) Goldman Sachs Pernod Ricard Credit Default Swap Buy Protection 20/12/2019 Spread 100 (27) (0.02)

USD (7,270,000) Goldman Sachs Republic of Colombia Credit Default Swap Buy Protection 20/09/2020 Spread 100 220 0.18

EUR (1,375,000) Goldman Sachs UBS Credit Default Swap Buy Protection 20/03/2019 Spread 300 (82) (0.07)

EUR (1,130,000) Goldman Sachs United Utilities Credit Default Swap Buy Protection 20/03/2020 Spread 100 (12) (0.01)

EUR (1,800,000) Goldman Sachs Veolia Environment Credit Default Swap Buy Protection 20/12/2019 Spread 100 (29) (0.02)

USD (2,100,000) Goldman Sachs Westpac Banking Credit Default Swap Buy Protection 20/03/2020 Spread 100 (17) (0.01)


75


£000

% ofNet Asset


£000

% ofNet Asset

Value



DERIVATIVES 1.34% (0.13%) (continued)USD (9,900,000) HSBC Republic of South Africa

Credit Default Swap Buy Protection 20/12/2020 Spread 100 455 0.37

Interest Rate Swaps 0.03% (–0.20%)BRL 30,083,886 Citigroup Interest Rate Swap Receive

BRL 12.95% Pay RLCDI 1D 02/01/2019 (461) (0.38)BRL 27,860,964 Goldman Sachs Interest Rate Swap

Receive Pay BRLCDI 1D 2.325% 02/01/2023 1,124 0.92

MXN 164,000,000 Goldman Sachs Interest Rate Swap Receive MXN 5.8% Pay TIIE 4W 12/02/2025 (191) (0.16)

BRL 26,392,678 HSBC Interest Rate Swap Receive BRL 12.59% Pay RLCDI 1D 02/01/2019 (443) (0.36)

MXN 90,000,000 HSBC Interest Rate Swap Receive MXN 5.3% Pay TIIE 4W 19/05/2020 14 0.01

Futures and Options 0.02% (–0.74%)EUR (110) UBS Euro-Bund Put Option Expiring



Expiring November 2015 Strike 109.25 55 0.04 EUR (303) UBS EURO Bund Future Expiring

December 2015 (119) (0.10)EUR 59 UBS EURO Buxl 30 Year Future

Expiring December 2015 (13) (0.01)EUR (386) UBS EURO Schatz Future Expiring

December 2015 7 0.01 EUR (9) UBS EURO Bobl Future Expiring

December 2015 1 – AUD 62 UBS Australia 10 Year Bond Future

Expiring December 2015 33 0.03 USD (373) UBS US 10 Year Note Future Expiring

December 2015 (59) (0.05)USD (19) UBS US Long Bond Future Expiring

December 2015 (14) (0.01)USD (63) UBS US Ultra Bond Future Expiring

December 2015 71 0.06 GBP (62) UBS Long Gilt Future Expiring

December 2015 22 0.02 USD 68 UBS US 5 Year Note Future Expiring

December 2015 (29) (0.02)USD 726 UBS 90 Day EURO Future Expiring

December 2016 (176) (0.14)USD (726) UBS 90 Day EURO Future Expiring

December 2017 209 0.17

Forward Foreign Exchange Contracts 0.35% (1.69%)Sell USD 28,858,086 Buy AUD 40,489,699 Goldman Sachs (75) (0.06)Sell USD 35,856,414 Buy CAD 47,441,266 Citigroup 126 0.10 Sell RON 14,459,134 Buy EUR 3,267,539 Citigroup 7 0.01 Sell USD 46,510,725 Buy GBP 30,419,850 Citigroup 116 0.09 Sell EUR 77,794,741 Buy GBP 56,305,764 Citigroup 443 0.36

Sell EUR 10,959,708 Buy JPY 1,455,990,362 J.P. Morgan 6 – Sell USD 1,679,042 Buy MXN 27,771,124 Barclays (5) – Sell USD 35,192,953 Buy NOK 300,058,637 HSBC (60) (0.05)Sell SEK 101,975,281 Buy USD 12,078,927 Citigroup 65 0.05 Sell JPY 3,025,221,430 Buy USD 25,143,966 J.P. Morgan 19 0.02 Sell CHF 294,500 Buy USD 299,715 J.P. Morgan 1 – Sell SEK 30,750,848 Buy USD 3,594,394 Barclays (12) (0.01)Sell NZD 7,132,197 Buy USD 4,761,596 Goldman Sachs (31) (0.03)Sell NZD 69,280,345 Buy USD 46,503,219 HSBC (136) (0.11)Sell COP 15,195,200,000 Buy USD 5,122,524 HSBC (45) (0.04)Sell RON 23,722,611 Buy USD 5,925,754 J.P. Morgan 22 0.02 Total Derivatives 1,632 1.34


Net other assets (19.29%) 14,513 11.91

Net assets 121,836 100.00

April 2015 comparatives in brackets.(P) refers to provisional rating. *Variable rate bonds.


Value £000

% ofInvestment

Fixed interest 86,001 80.13 Floating rate notes 13,857 12.91 Collective Investment Schemes 5,833 5.44 Derivatives 1,632 1.52 Total value of investments 107,323 100.00


76




£000AAA 2,308 AA+ 6,695 Aa1u 9,244 AA– 1,020 A+ 227 A 7,373 (P)A 356 A– 1,116 BBB+ 6,627 Baa1 329 Baa1e 358 BBB 10,998 Baa2u 3,209 BBB– 7,417 Baa3 1,729 BB+ 6,057 Ba1 2,585 BB 5,393 Ba2 225 BB– 5,915 Ba3 433 B+ 3,560 (P)B+ 359 B 3,898 B2 1,795 B– 1,054 B3 383 Not Rated 9,195 Collective Investment Schemes 5,833 Derivatives 1,632 Total value of investments 107,323


Value £000

UBS Euro-Bund Put Option Expiring November 2015 Strike 155 (6)UBS Euro-Bund Put Option Expiring November 2015 Strike 156 31 UBS US 2 Year Note Put Option Expiring November 2015 Strike 109.25 55 UBS EURO Bund Future Expiring December 2015 (34,179)UBS EURO Buxl 30 Year Future Expiring December 2015 6,680 UBS EURO Schatz Future Expiring December 2015 (30,887)UBS EURO Bobl Future Expiring December 2015 (836)UBS Australia 10 Year Bond Future Expiring December 2015 3,702 UBS US 10 Year Note Future Expiring December 2015 (31,013)UBS US Long Bond Future Expiring December 2015 (1,930)UBS US Ultra Bond Future Expiring December 2015 (6,525)UBS Long Gilt Future Expiring December 2015 (7,298)UBS US 5 Year Note Future Expiring December 2015 5,306 UBS 90 Day EURO Future Expiring December 2016 117,052 UBS 90 Day EURO Future Expiring December 2017 (116,413)Total net exposure (96,261)

Net asset value of

share class£000

Net assetvalue per

sharep

Shares in issue Calendar Year

Net income per share

p

Highest share price

p

Lowest share price

p

Comparative Tables

77


UK Mid 250 Fundfor the year ended 30 April 2013Class 1 – Net accumulation shares 45,204 162.07 27,891,329Class 2 – Net accumulation shares 73,502 171.30 42,907,768Class Z – Net accumulation shares 5,395 117.85 4,577,876for the year ended 30 April 2014Class 1 – Net accumulation shares 42,229 186.57 22,634,843Class 2 – Net accumulation shares 72,274 198.33 36,441,602Class Z – Net accumulation shares 22,142 136.67 16,201,495for the year ended 30 April 2015Class 1 – Net accumulation shares 23,970 213.97 11,202,200Class 2 – Net accumulation shares 53,860 228.77 23,543,378Class Z – Net accumulation shares 26,537 157.92 16,803,968for the period ended 31 October 2015Class 1 – Net accumulation shares 25,180 221.69 11,358,244Class 2 – Net accumulation shares 29,722 237.70 12,504,061Class Z – Net accumulation shares 55,379 164.23 33,721,215

2010Class 1 – Net accumulation shares 1.1272 125.51 94.55Class 2 – Net accumulation shares 1.7325 130.89 98.112011Class 1 – Net accumulation shares 0.8100 134.34 105.73Class 2 – Net accumulation shares 1.5269 140.52 110.672012Class 1 – Net accumulation shares 1.8563 146.54 115.56Class 2 – Net accumulation shares 2.6844 154.58 121.23

1Class Z – Net accumulation shares – 106.28 99.852013Class 1 – Net accumulation shares 2.4475 188.38 148.67Class 2 – Net accumulation shares 3.4392 199.88 156.85Class Z – Net accumulation shares 2.3060 137.66 107.842014Class 1 – Net accumulation shares 3.1875 198.83 170.75Class 2 – Net accumulation shares 4.4784 211.19 181.99Class Z – Net accumulation shares 3.3127 145.49 125.512015

† Class 1 – Net accumulation shares 1.6377 228.52 191.16† Class 2 – Net accumulation shares 2.9242 244.75 204.04† Class Z – Net accumulation shares 2.2640 169.04 140.78 †To 31 October 2015.

1Class Z – Net accumulation shares commenced on 7 September 2012.

UK Extended Alpha Fundfor the year ended 30 April 2013Class 1 – Net accumulation shares 4,103 298.41 1,374,810Class 2 – Net accumulation shares 19,628 314.50 6,241,047Class X – Net accumulation shares 397 135.14 293,704for the year ended 30 April 2014Class 1 – Net accumulation shares 5,055 338.72 1,492,271Class 2 – Net accumulation shares 41,690 358.66 11,623,970Class X – Net accumulation shares 411 156.63 262,237for the year ended 30 April 2015Class 1 – Net accumulation shares 5,627 384.21 1,464,611Class 2 – Net accumulation shares 62,398 408.45 15,276,830Class X – Net accumulation shares 6 180.90 3,000for the period ended 31 October 2015Class 1 – Net accumulation shares 5,404 374.62 1,442,600Class 2 – Net accumulation shares 69,635 399.05 17,450,330Class X – Net accumulation shares 5 178.30 3,000

2010Class 1 – Net accumulation shares 3.4027 239.66 194.69Class 2 – Net accumulation shares 4.6995 249.28 201.95Class X – Net accumulation shares 2.6615 106.49 85.872011Class 1 – Net accumulation shares 2.1920 251.67 200.97Class 2 – Net accumulation shares 3.5805 262.38 209.85Class X – Net accumulation shares 2.0687 113.09 90.122012Class 1 – Net accumulation shares 5.1460 269.59 232.01Class 2 – Net accumulation shares 6.7661 283.69 243.39Class X – Net accumulation shares 3.7034 121.57 103.842013Class 1 – Net accumulation shares 5.4076 336.08 271.61Class 2 – Net accumulation shares 7.2526 355.19 285.84Class X – Net accumulation shares 3.9727 154.76 122.892014Class 1 – Net accumulation shares 7.5446 359.36 319.24Class 2 – Net accumulation shares 9.8748 381.40 338.67Class X – Net accumulation shares 5.4084 168.16 147.852015

† Class 1 – Net accumulation shares 6.9638 396.62 345.62†Class 2 – Net accumulation shares 9.5285 421.79 367.03†Class X – Net accumulation shares 5.4726 187.19 162.15 †To 31 October 2015.

UK Equity Alpha Income Fundfor the year ended 30 April 2013Class 1 – Net income shares 126,519 55.97 226,067,255Class 2 – Net income shares 288,984 57.99 498,347,290Class Z – Net income shares 2,587 114.09 2,267,500for the year ended 30 April 2014Class 1 – Net income shares 205,759 64.81 317,468,482Class 2 – Net income shares 433,662 67.50 642,503,518Class Z – Net income shares 93,258 133.12 70,053,586for the year ended 30 April 2015Class 1 – Net income shares 147,362 66.79 220,633,666Class 2 – Net income shares 528,351 69.91 755,709,233Class X – Net income shares 3 104.60 3,000Class Z – Net income shares 219,182 138.27 158,514,732for the period ended 31 October 2015Class 1 – Net income shares 127,910 62.88 203,422,052Class 2 – Net income shares 551,570 65.99 835,858,426Class X – Net income shares 3 99.23 3,000Class Z – Net income shares 217,153 130.67 166,180,832

2010Class 1 – Net income shares 2.3747 47.11 39.01Class 2 – Net income shares 2.4875 48.24 39.852011Class 1 – Net income shares 2.0731 49.91 41.57Class 2 – Net income shares 2.1625 51.20 42.712012Class 1 – Net income shares 2.3975 51.60 44.23Class 2 – Net income shares 2.5094 53.38 45.62

1Class Z – Net income shares 0.5498 104.92 97.782013Class 1 – Net income shares 2.5083 65.52 51.86Class 2 – Net income shares 2.6439 68.09 53.65

1Class Z – Net income shares 5.1164 134.07 105.462014Class 1 – Net income shares 2.6582 67.43 59.42Class 2 – Net income shares 2.8206 70.18 62.04

2Class X – Net income shares – 102.21 96.20Class Z – Net income shares 5.4636 138.34 122.472015

† Class 1 – Net income shares 2.8614 71.09 61.65†Class 2 – Net income shares 3.0496 74.40 64.68†Class X – Net income shares 4.3556 110.95 97.17†Class Z – Net income shares 5.9252 147.05 128.02 †To 31 October 2015.

1Class Z – Net income shares commenced on 7 September 2012.2Class X – Net income shares commenced on 19 November 2014.

Comparative Tables

78


Net asset value of

share class£000

Net assetvalue per

sharep



p

Highest share price

p

Lowest share price

p

(continued)

UK Absolute Alpha Fundfor the year ended 30 April 2013Class 1 – Net accumulation shares 23,066 116.07 19,872,817Class 2 – Net accumulation shares 45,601 117.46 38,821,417Class 2 EUR Hedged – Net accumulation shares 11,457 111.84 10,244,373Class Z – Net accumulation shares 6,513 104.35 6,241,519for the year ended 30 April 2014Class 1 – Net accumulation shares 26,991 123.79 21,804,470Class 2 – Net accumulation shares 56,566 125.42 45,100,664Class 2 EUR Hedged – Net accumulation shares 138,424 116.02 119,311,833Class Z – Net accumulation shares 44,932 111.52 40,289,084for the year ended 30 April 2015Class 1 – Net accumulation shares 28,970 132.43 21,875,058Class 2 – Net income shares 3 102.70 3,000Class 2 – Net accumulation shares 85,090 134.78 63,133,102Class 2 EUR Hedged – Net accumulation shares 109,901 109.53 100,340,175Class Z – Net income shares 17,752 102.20 17,369,667Class Z – Net accumulation shares 137,471 119.65 114,893,293for the period ended 31 October 2015Class 1 – Net accumulation shares 39,815 135.45 29,395,162Class 1 EUR Hedged – Net accumulation shares 1,840 102.91 1,788,354Class 2 – Net income shares 3 105.47 3,000Class 2 – Net accumulation shares 115,382 138.20 83,491,143Class 2 EUR Hedged – Net accumulation shares 209,386 110.68 189,188,304Class Z – Net income shares 46,205 104.82 44,081,065Class Z – Net accumulation shares 232,367 122.62 189,500,673Class Z CHF Hedged – Net accumulation shares 2,871 98.40 2,917,864Class Z EUR Hedged – Net accumulation shares 145 98.23 147,415Class Z USD Hedged – Net accumulation shares 174 100.01 173,393

20101Class 1 – Net accumulation shares – 105.08 99.512Class 2 – Net accumulation shares – 105.25 99.523Class 2 EUR Hedged – Net accumulation shares – 102.36 95.772011Class 1 – Net accumulation shares – 109.03 102.92Class 2 – Net accumulation shares 0.1599 109.61 103.59Class 2 EUR Hedged – Net accumulation shares 0.1800 110.97 99.212012Class 1 – Net accumulation shares – 112.23 106.74Class 2 – Net accumulation shares 0.1994 113.21 107.56Class 2 EUR Hedged – Net accumulation shares 0.1734 108.28 97.70

4Class Z – Net accumulation shares – 100.99 98.472013Class 1 – Net accumulation shares – 123.34 112.41Class 2 – Net accumulation shares – 124.74 113.62Class 2 EUR Hedged – Net accumulation shares 0.0818 119.72 104.39Class Z – Net accumulation shares 0.2398 110.89 101.352014Class 1 – Net accumulation shares 0.0368 129.58 122.27

5Class 2 – Net income shares – 100.48 98.96Class 2 – Net accumulation shares 0.6643 131.79 123.72Class 2 EUR Hedged – Net accumulation shares 0.6222 118.48 112.89

6Class Z – Net income shares – 100.49 98.96Class Z – Net accumulation shares 0.7802 116.96 110.002015

†Class 1 – Net accumulation shares – 135.81 128.407†Class 1 EUR Hedged – Net accumulation shares – 105.65 99.55

†Class 2 – Net income shares 0.1310 105.74 99.58†Class 2 – Net accumulation shares – 138.54 130.61†Class 2 EUR Hedged – Net accumulation shares – 115.26 106.47†Class Z – Net income shares 0.3171 105.10 99.55†Class Z – Net accumulation shares 0.1336 122.95 115.92

8†Class Z CHF Hedged – Net accumulation shares – 100.84 98.539†Class Z EUR Hedged – Net accumulation shares – 100.92 97.9410†Class Z USD Hedged – Net accumulation shares – 100.88 97.81

†To 31 October 2015.1Class 1 – Net accumulation shares commenced 10 September 2010.2Class 2 – Net accumulation shares commenced 10 September 2010.3Class 2 EUR Hedged – Net accumulation shares commenced on 15 October 2010.4Class Z – Net accumulation shares commenced on 7 September 2012.5Class 2 – Net income shares commenced on 3 December 2014.6Class Z – Net income shares commenced on 3 December 2014.7Class 1 EUR Hedged – Net accumulation shares commenced on 1 July 2015.8Class Z CHF Hedged – Net accumulation shares commenced on 30 September 2015.9Class Z EUR Hedged – Net accumulation shares commenced on 30 September 2015. 10Class Z USD Hedged – Net accumulation shares commenced on 30 September 2015.

Absolute Return Bond Fundfor the year ended 30 April 2013Class 1 – Net accumulation shares 160,129 62.80 255,000,895

§Class 1 – Gross accumulation shares 72,435 64.34 112,579,804Class 2 – Net accumulation shares 42,875 65.45 65,509,138

§Class 2 – Gross accumulation shares 94,530 67.70 139,628,503§Class X – Gross accumulation shares 3 102.84 3,001for the year ended 30 April 2014Class 1 – Net accumulation shares 114,266 63.06 181,206,150


§Class 2 – Gross accumulation shares 59,669 68.46 87,164,084§Class X – Gross accumulation shares 3 104.70 3,001for the year ended 30 April 2015Class 1 – Net accumulation shares 80,771 64.97 124,321,826


§Class 2 – Gross accumulation shares 68,607 71.01 96,616,552§Class X – Gross accumulation shares 3 109.33 3,001for the period ended 31 October 2015Class 1 – Net accumulation shares 65,938 61.91 106,514,151


§Class 2 – Gross accumulation shares 67,018 67.89 98,718,349§Class X – Gross accumulation shares 3 104.90 3,001§Only available to eligible investors

2010Class 1 – Net accumulation shares 0.2443 63.59 62.58Class 1 – Gross accumulation shares 0.4216 65.09 64.06Class 2 – Net accumulation shares 0.5126 65.16 64.23Class 2 – Gross accumulation shares 0.5361 67.10 66.172011Class 1 – Net accumulation shares 0.0026 64.11 60.81Class 1 – Gross accumulation shares 0.0032 65.63 62.25Class 2 – Net accumulation shares 0.4311 66.29 62.75Class 2 – Gross accumulation shares 0.4218 68.39 64.73

1Class X – Gross accumulation shares 0.3058 102.88 97.142012Class 1 – Net accumulation shares – 64.19 62.31Class 1 – Gross accumulation shares – 65.75 63.78Class 2 – Net accumulation shares 0.3035 66.73 64.50Class 2 – Gross accumulation shares 0.3464 68.97 66.56Class X – Gross accumulation shares 1.1822 104.41 100.262013Class 1 – Net accumulation shares 0.2190 64.65 62.07Class 1 – Gross accumulation shares 0.1804 66.24 63.61Class 2 – Net accumulation shares 0.6242 69.75 66.89Class 2 – Gross accumulation shares 1.0171 67.42 64.66Class X – Gross accumulation shares 1.7854 106.03 101.542014Class 1 – Net accumulation shares – 64.37 58.26Class 1 – Gross accumulation shares – 65.95 59.69Class 2 – Net accumulation shares 0.1123 67.78 61.15Class 2 – Gross accumulation shares 0.2108 70.15 63.29Class X – Gross accumulation shares 0.8533 107.69 96.822015

†Class 1 – Net accumulation shares – 66.90 62.04†Class 1 – Gross accumulation shares – 68.54 63.57†Class 2 – Net accumulation shares – 70.69 65.74†Class 2 – Gross accumulation shares – 73.16 68.04†Class X – Gross accumulation shares – 112.71 105.10†To 31 October 2015.1Class X – Gross accumulation shares commenced 17 February 2011.

Comparative Tables

79


Net asset value of

share class£000

Net assetvalue per

sharep



p

Highest share price

p

Lowest share price

p

(continued)

Target Return Fundfor the year ended 30 April 2013Class 1 – Net accumulation shares 2,054 99.04 2,073,866

§Class 1 – Gross accumulation shares 32,210 100.72 31,979,440§Class 1 CHF Hedged – Gross accumulation shares 25 100.30 24,927§Class 1 USD Hedged – Gross accumulation shares 426 63.85 667,334§Class 2 – Gross income shares 124 100.05 123,675§Class 2 – Gross accumulation shares 104,399 105.73 98,739,468§Class X – Gross accumulation shares 17,695 102.95 17,188,828Class Z – Net accumulation shares 3 103.24 3,050for the year ended 30 April 2014Class 1 – Net accumulation shares 1,708 96.99 1,760,943

§Class 1 – Gross accumulation shares 19,970 98.73 20,227,283§Class 1 CHF Hedged – Gross accumulation shares 8 98.31 7,751§Class 1 USD Hedged – Gross accumulation shares 4,717 59.14 7,975,986§Class 2 – Gross income shares 86 98.26 87,409§Class 2 – Gross accumulation shares 22,661 104.34 21,717,652§Class X – Gross accumulation shares 3 105.14 3,001Class Z – Net accumulation shares 470 101.75 60,617

§Class Z – Gross accumulation shares 62 98.70 475,690for the year ended 30 April 2015Class 1 – Net accumulation shares 1,411 87.90 1,605,013

§Class 1 – Gross accumulation shares 14,378 89.61 16,045,619§Class 1 CHF Hedged – Gross accumulation shares 8 102.83 7,751§Class 1 USD Hedged – Gross accumulation shares 240 66.31 361,931§Class 2 – Gross income shares 78 89.66 87,285§Class 2 – Gross accumulation shares 1,824 95.23 1,915,067§Class X – Gross accumulation shares 3 96.64 3,001Class Z – Net accumulation shares 67 92.78 72,071

§Class Z – Gross accumulation shares 579 89.99 643,426for the period ended 31 October 2015Class 1 – Net accumulation shares 1,044 82.48 1,265,514

§Class 1 – Gross accumulation shares 13,887 84.08 16,516,930§Class 1 CHF Hedged – Gross accumulation shares 7 92.39 7,751§Class 1 USD Hedged – Gross accumulation shares 552 63.46 870,094§Class 2 – Gross income shares 74 84.42 87,285§Class 2 – Gross accumulation shares 934 89.66 1,042,371§Class X – Gross accumulation shares 3 91.31 3,001Class Z – Net accumulation shares 52 87.31 60,057

§Class Z – Gross accumulation shares 495 84.69 584,195§Only available to eligible investors

2010Class 1 – Net accumulation shares 0.9435 108.57 95.70Class 1 – Gross accumulation shares 0.4981 110.40 97.32Class 1 USD Hedged – Gross accumulation shares 0.2833 70.69 61.33

1Class 2 – Gross income shares – 106.25 99.35Class 2 – Gross accumulation shares 1.0933 113.44 100.202011Class 1 – Net accumulation shares 0.1015 104.61 98.00Class 1 – Gross accumulation shares 0.1285 106.42 99.66Class 1 USD Hedged – Gross accumulation shares 0.0782 65.33 58.53Class 2 – Gross income shares 0.4861 105.84 99.07Class 2 – Gross accumulation shares 2.0033 110.19 102.98

2Class X – Gross accumulation shares 0.8909 105.91 99.712012Class 1 – Net accumulation shares – 99.89 92.60Class 1 – Gross accumulation shares – 101.60 94.15

3Class 1 CHF Hedged – Gross accumulation shares – 100.22 95.75Class 1 USD Hedged – Gross accumulation shares – 65.39 60.82Class 2 – Gross income shares 0.3661 101.32 93.95Class 2 – Gross accumulation shares 0.2385 105.78 98.34Class X – Gross accumulation shares 1.0676 102.23 95.28

4Class Z – Net accumulation shares 0.0062 101.68 99.332013Class 1 – Net accumulation shares 0.1619 104.26 96.28Class 1 – Gross accumulation shares 0.1443 106.01 97.90Class 1 CHF Hedged – Gross accumulation shares 0.4156 104.80 97.01Class 1 USD Hedged – Gross accumulation shares 0.1092 68.16 59.53Class 2 – Gross income shares 1.3454 106.06 97.50Class 2 – Gross accumulation shares 1.4342 111.14 102.55Class X – Gross accumulation shares 1.9948 108.32 99.64Class Z – Net accumulation shares 0.9639 108.67 100.29

5Class Z – Gross accumulation shares – 102.14 97.952014Class 1 – Net accumulation shares – 98.84 88.77Class 1 – Gross accumulation shares – 100.59 90.34Class 1 CHF Hedged – Gross accumulation shares – 100.01 89.88Class 1 USD Hedged – Gross accumulation shares – 64.82 55.03Class 2 – Gross income shares – 99.97 89.96Class 2 – Gross accumulation shares – 106.14 95.53Class X – Gross accumulation shares – 106.79 96.33Class Z – Net accumulation shares – 103.53 93.15Class Z – Gross accumulation shares – 100.45 90.352015

†Class 1 – Net accumulation shares – 92.12 82.73†Class 1 – Gross accumulation shares – 93.78 84.34†Class 1 CHF Hedged – Gross accumulation shares – 113.04 92.71†Class 1 USD Hedged – Gross accumulation shares – 70.19 63.01†Class 2 – Gross income shares – 99.57 89.93†Class 2 – Gross accumulation shares – 93.76 84.68†Class X – Gross accumulation shares – 100.82 91.58†Class Z – Net accumulation shares – 97.04 87.58†Class Z – Gross accumulation shares – 94.13 84.95 †To 31 October 2015.

1Class 2 – Gross income shares commenced 20 September 2010.2Class X – Gross accumulation shares commenced 7 February 2011.3Class 1 CHF Hedged – Gross accumulation shares commenced 25 April 2012.4Class Z – Net accumulation shares commenced 3 October 2012.5Class Z – Gross accumulation shares commenced 18 September 2013.

Pan European Focus Fundfor the year ended 30 April 2013Class 1 – Net accumulation shares 17,372 168.01 10,339,440Class 2 – Net accumulation shares 49,566 175.24 28,284,909Class Z – Net accumulation shares 5 117.85 4,786for the year ended 30 April 2014Class 1 – Net accumulation shares 19,698 195.11 10,095,986Class 2 – Net accumulation shares 61,891 204.58 30,252,888Class Z – Net accumulation shares 2,001 137.69 1,452,831for the year ended 30 April 2015Class 1 – Net accumulation shares 19,850 216.94 9,150,025Class 2 – Net accumulation shares 61,675 228.78 26,958,573Class Z – Net accumulation shares 3,042 154.27 1,972,215for the period ended 31 October 2015Class 1 – Net accumulation shares 22,950 213.95 10,726,594Class 2 – Net accumulation shares 65,545 226.26 28,969,610Class Z – Net accumulation shares 3,753 152.70 2,457,409

2010Class 1 – Net accumulation shares 0.5219 149.58 112.22Class 2 – Net accumulation shares 1.2154 154.47 115.672011Class 1 – Net accumulation shares 0.1005 161.38 121.08Class 2 – Net accumulation shares 0.9180 167.04 125.642012Class 1 – Net accumulation shares 0.6265 151.80 127.10Class 2 – Net accumulation shares 1.5020 158.08 131.97

1Class Z – Net accumulation shares – 106.22 98.332013Class 1 – Net accumulation shares 1.2777 195.20 152.01Class 2 – Net accumulation shares 2.2073 204.28 158.33Class Z – Net accumulation shares 1.3418 137.43 106.482014Class 1 – Net accumulation shares 1.5364 206.31 171.06Class 2 – Net accumulation shares 2.7399 216.23 179.84Class Z – Net accumulation shares 2.0562 145.53 121.162015

†Class 1 – Net accumulation shares 0.3081 225.05 190.21†Class 2 – Net accumulation shares 1.5123 237.27 200.23†Class Z – Net accumulation shares 1.2623 159.98 134.95 †To 31 October 2015.

1Class Z – Net accumulation shares commenced 12 October 2012.

Comparative Tables

80


Net asset value of

share class£000

Net assetvalue per

sharep



p

Highest share price

p

Lowest share price

p

(continued)

Pan European Equity Dividend Fundfor the year ended 30 April 2013Class 1 – Net income shares 16,259 75.55 21,521,480Class 1 – Net accumulation shares 4,324 101.33 4,267,312Class 2 – Net income shares 1,308 78.38 1,668,515Class 2 – Net accumulation shares 2,549 106.59 2,391,248Class Z – Net income shares 36 115.18 31,187for the year ended 30 April 2014Class 1 – Net income shares 28,982 81.34 35,628,805Class 1 – Net accumulation shares 10,054 113.26 8,876,558Class 2 – Net income shares 2,358 84.83 2,779,235Class 2 – Net accumulation shares 3,894 119.81 3,250,307Class X – Net accumulation shares 45,904 100.02 45,896,154Class Z – Net income shares 1,326 124.88 1,061,522for the year ended 30 April 2015Class 1 – Net income shares 29,659 84.24 35,206,169Class 1 – Net accumulation shares 16,462 122.07 13,485,347Class 2 – Net income shares 5,890 88.29 6,671,607Class 2 – Net accumulation shares 9,242 129.89 7,115,294Class X – Net income shares 257 109.18 235,076Class X – Net accumulation shares 3 109.73 3,000Class Z – Net income shares 4,023 130.30 3,087,378Class Z – Net accumulation shares 74 112.48 65,320for the period ended 31 October 2015Class 1 – Net income shares 31,183 80.29 38,839,411Class 1 – Net accumulation shares 16,836 118.05 14,262,305Class 2 – Net income shares 6,336 84.36 7,511,002Class 2 – Net accumulation shares 9,962 125.97 7,908,737Class X – Net income shares 436 104.85 415,889Class X – Net accumulation shares 3 106.83 3,000Class Z – Net income shares 4,257 124.65 3,415,369Class Z – Net accumulation shares 62 109.17 56,397

2010Class 1 – Net income shares 2.8927 67.62 55.65Class 1 – Net accumulation shares 3.3666 81.36 65.54Class 2 – Net income shares 3.0140 69.33 56.92Class 2 – Net accumulation shares 3.5878 84.38 69.062011Class 1 – Net income shares 2.8636 71.67 57.07Class 1 – Net accumulation shares 3.4444 87.31 70.04Class 2 – Net income shares 2.9925 73.63 58.78Class 2 – Net accumulation shares 3.6777 90.86 72.962012Class 1 – Net income shares 2.7577 69.29 57.80Class 1 – Net accumulation shares 3.5008 90.95 74.45Class 2 – Net income shares 2.8957 71.77 56.69Class 2 – Net accumulation shares 3.6552 95.48 77.70

1Class Z – Net income shares 0.0869 105.36 97.452013Class 1 – Net income shares 3.0339 83.84 69.36Class 1 – Net accumulation shares 4.0209 112.45 91.02Class 2 – Net income shares 3.2071 87.24 71.85Class 2 – Net accumulation shares 4.2922 118.61 95.56Class Z – Net income shares 4.5928 128.29 105.462014Class 1 – Net income shares 3.1709 83.51 72.16Class 1 – Net accumulation shares 4.3839 116.36 100.47Class 2 – Net income shares 3.3596 87.12 75.45Class 2 – Net accumulation shares 4.6812 123.28 106.56

2Class X – Net income shares 0.3818 105.45 91.393Class X – Net accumulation shares 2.4428 103.49 89.35Class Z – Net income shares 4.9314 128.34 111.16

4Class Z – Net accumulation shares 0.0486 106.90 92.382015

†Class 1 – Net income shares 2.9903 90.55 77.23†Class 1 – Net accumulation shares 4.2784 128.45 111.45†Class 2 – Net income shares 3.1988 94.90 81.08†Class 2 – Net accumulation shares 4.6452 136.63 118.37†Class X – Net income shares 3.9587 117.30 100.60†Class X – Net accumulation shares 4.1783 115.21 99.48†Class Z – Net income shares 4.6233 139.99 119.73†Class Z – Net accumulation shares 5.4880 118.29 102.66 †To 31 October 2015.

1Class Z – Net income shares commenced 12 October 2012. 2Class X – Net income shares commenced 28 July 2014. 3Class X – Net accumulation shares commenced 31 March 2014. 4Class Z – Net accumulation shares commenced 20 August 2014.

2010Class 1 – Net accumulation shares – 133.08 107.41Class 1 EUR Hedged – Net accumulation shares – 135.42 103.62Class 2 – Net accumulation shares 0.2515 136.09 109.552011Class 1 – Net accumulation shares – 145.38 115.24Class 1 EUR Hedged – Net accumulation shares – 156.31 122.41Class 2 – Net accumulation shares 0.5436 148.95 118.682012Class 1 – Net accumulation shares – 162.29 140.22Class 1 EUR Hedged – Net accumulation shares – 159.22 135.10Class 2 – Net accumulation shares 0.3948 167.53 144.082013Class 1 – Net accumulation shares – 201.26 159.63Class 1 EUR Hedged – Net accumulation shares – 208.23 159.21Class 2 – Net accumulation shares – 209.80 165.09

1Class Z – Net accumulation shares – 107.27 98.142014Class 1 – Net accumulation shares – 230.74 188.40Class 1 EUR Hedged – Net accumulation shares – 213.13 190.64Class 2 – Net accumulation shares – 242.54 196.88Class Z – Net accumulation shares 0.0078 123.92 100.642015

†Class 1 – Net accumulation shares – 247.06 214.62†Class 1 EUR Hedged – Net accumulation shares – 207.83 183.82†Class 2 – Net accumulation shares 0.5288 260.30 226.80†Class Z – Net accumulation shares 0.1834 132.97 115.82 †To 31 October 2015.1Class Z – Net accumulation shares commenced 24 September 2013.

American Extended Alpha Fundfor the year ended 30 April 2013Class 1 – Net accumulation shares 593,069 177.57 333,990,978Class 1 EUR Hedged – Net accumulation shares 62,898 174.77 35,989,078Class 2 – Net accumulation shares 218,586 184.12 118,719,465for the year ended 30 April 2014Class 1 – Net accumulation shares 466,987 193.11 241,823,658Class 1 EUR Hedged – Net accumulation shares 65,872 200.65 32,829,535Class 2 – Net accumulation shares 193,421 201.87 95,815,671Class Z – Net accumulation shares 218 103.19 211,076for the year ended 30 April 2015Class 1 – Net accumulation shares 125,329 232.37 53,934,161Class 1 EUR Hedged – Net accumulation shares 2,837 194.52 1,458,549Class 2 – Net accumulation shares 127,275 244.92 51,966,483Class Z – Net accumulation shares 802 125.08 641,494for the period ended 31 October 2015Class 1 – Net accumulation shares 101,147 239.17 42,290,481Class 1 EUR Hedged – Net accumulation shares 1,410 197.53 713,677Class 2 – Net accumulation shares 109,305 253.12 43,182,622Class Z – Net accumulation shares 317 129.25 245,285

Comparative Tables

81


Net asset value of

share class£000

Net assetvalue per

sharep



p

Highest share price

p

Lowest share price

p

(continued)

2010Class 1 – Net accumulation shares 0.0351 197.25 142.48Class 2 – Net accumulation shares 0.6495 201.12 144.522011Class 1 – Net accumulation shares – 199.85 129.54Class 2 – Net accumulation shares 0.5500 203.96 132.772012Class 1 – Net accumulation shares – 167.14 139.99Class 2 – Net accumulation shares 1.0835 172.53 144.15

1Class Z – Net accumulation shares – 109.58 99.212013Class 1 – Net accumulation shares 1.2740 209.21 159.35Class 2 – Net accumulation shares 1.5914 217.13 164.95Class Z – Net accumulation shares – 138.14 104.862014Class 1 – Net accumulation shares 0.5822 235.54 183.49Class 2 – Net accumulation shares 0.1508 245.88 190.90Class Z – Net accumulation shares – 156.70 121.542015

†Class 1 – Net accumulation shares – 309.53 201.31†Class 2 – Net accumulation shares 2.0867 323.76 211.02†Class Z – Net accumulation shares 0.1635 206.46 134.64 †To 31 October 2015.1Class Z – Net accumulation shares commenced 5 October 2012.

China Opportunities Fundfor the year ended 30 April 2013Class 1 – Net accumulation shares 20,639 176.76 11,676,258Class 2 – Net accumulation shares 49,784 182.82 27,231,434Class Z – Net accumulation shares 228 116.19 196,220for the year ended 30 April 2014Class 1 – Net accumulation shares 16,537 190.67 8,672,786Class 2 – Net accumulation shares 45,676 198.35 23,028,230Class Z – Net accumulation shares 7,006 126.27 5,548,133for the year ended 30 April 2015Class 1 – Net accumulation shares 46,604 288.65 16,145,270Class 2 – Net accumulation shares 70,555 302.03 23,360,408Class Z – Net accumulation shares 42,380 192.60 22,004,369for the period ended 31 October 2015Class 1 – Net accumulation shares 27,355 223.56 12,235,698Class 2 – Net accumulation shares 37,832 234.60 16,126,583Class Z – Net accumulation shares 30,205 149.73 20,172,805

2010Class 1 – Net accumulation shares 0.1207 94.29 70.36Class 2 – Net accumulation shares 0.4797 97.15 72.13Class X – Net accumulation shares 1.0488 80.25 59.032011Class 1 – Net accumulation shares 0.1728 95.68 68.61Class 2 – Net accumulation shares 0.6801 98.59 71.00Class X – Net accumulation shares 1.3004 81.45 59.112012Class 1 – Net accumulation shares 0.3015 84.84 73.04Class 2 – Net accumulation shares 0.6520 88.42 75.86Class X – Net accumulation shares 1.3413 74.56 63.57

1Class Z – Net accumulation shares – 103.94 97.942013Class 1 – Net accumulation shares 0.1761 95.32 80.18Class 2 – Net accumulation shares 0.7381 99.57 83.80Class X – Net accumulation shares 0.4345 84.30 71.01Class Z – Net accumulation shares 0.1329 117.13 98.592014Class 1 – Net accumulation shares 0.2014 96.42 78.82Class 2 – Net accumulation shares 0.7975 101.47 82.67

2Class X – Net income shares – 108.04 93.51Class X – Net accumulation shares 0.9993 87.03 70.49Class Z – Net accumulation shares 0.1605 119.63 97.362015

†Class 1 – Net accumulation shares – 101.27 72.32†Class 2 – Net accumulation shares 0.5239 106.95 76.53†Class X – Net income shares 2.1816 114.58 80.65†Class X – Net accumulation shares 1.3366 92.28 66.27†Class Z – Net accumulation shares 0.3337 126.22 90.38 †To 31 October 2015.1Class Z – Net accumulation shares commenced 5 October 2012.2Class X – Net income shares commenced 28 July 2014.

Global Emerging Markets Equity Fundfor the year ended 30 April 2013Class 1 – Net accumulation shares 39,719 90.06 44,102,122Class 2 – Net accumulation shares 122,444 94.04 130,198,010Class X – Net accumulation shares 1,884 79.57 2,367,680Class Z – Net accumulation shares 39 110.61 35,860for the year ended 30 April 2014Class 1 – Net accumulation shares 39,801 82.36 48,325,504Class 2 – Net accumulation shares 106,000 86.50 122,544,787Class X – Net accumulation shares 37,210 73.93 50,333,481Class Z – Net accumulation shares 4,429 101.91 4,345,875for the year ended 30 April 2015Class 1 – Net accumulation shares 138,966 96.07 144,648,003Class 2 – Net accumulation shares 113,042 101.48 111,396,049Class X – Net income shares 3 106.60 3,000Class X – Net accumulation shares 36,183 87.59 41,309,362Class Z – Net accumulation shares 20,022 119.78 16,715,762for the period ended 31 October 2015Class 1 – Net accumulation shares 40,604 78.86 51,491,199Class 2 – Net accumulation shares 108,697 83.49 130,190,015Class X – Net income shares 3 88.17 3,000Class X – Net accumulation shares 27,728 72.44 38,276,839Class Z – Net accumulation shares 31,069 98.64 31,497,958

Comparative Tables

82


Net asset value of

share class£000

Net assetvalue per

sharep



p

Highest share price

p

Lowest share price

p

(continued)

2010Class 1 – Net income shares 5.0044 137.07 118.66Class 1 – Gross accumulation shares 7.6998 144.54 122.56Class 2 – Gross accumulation shares 8.3268 158.74 133.78Class X – Gross accumulation shares 10.2442 184.98 155.012011Class 1 – Net income shares 6.5298 131.25 115.35Class 1 – Gross accumulation shares 8.9360 145.93 132.18Class 2 – Gross accumulation shares 10.0468 161.19 146.03Class X – Gross accumulation shares 11.6636 188.82 171.092012Class 1 – Net income shares 5.7145 125.63 114.11Class 1 – Gross accumulation shares 8.3588 148.76 135.69Class 2 – Gross accumulation shares 9.3880 166.02 150.22Class X – Gross accumulation shares 11.5386 196.47 176.95

1Class Z – Net income shares 0.2504 103.57 99.952Class Z – Gross accumulation shares 0.3135 104.03 100.002013Class 1 – Net income shares 4.7886 130.56 98.76Class 1 – Gross accumulation shares 7.4068 160.65 127.72Class 2 – Gross accumulation shares 8.4096 179.59 143.72Class X – Gross accumulation shares 9.9777 212.87 171.34Class Z – Net income shares 4.0884 111.76 85.17Class Z – Gross accumulation shares 5.1821 112.55 90.122014Class 1 – Net income shares 5.6069 102.92 86.78Class 1 – Gross accumulation shares 9.1835 138.24 120.50Class 2 – Gross accumulation shares 10.4662 156.48 136.69

3Class X – Gross income shares 1.9225 103.46 88.82Class X – Gross accumulation shares 12.5183 187.53 163.13Class Z – Net income shares 4.7913 89.39 75.58Class Z – Gross accumulation shares 6.5412 98.17 85.742015

†Class 1 – Net income shares 4.3364 97.07 73.76†Class 1 – Gross accumulation shares 7.6177 135.04 106.52†Class 2 – Gross accumulation shares 8.7654 153.30 121.61†Class X – Gross income shares 5.6280 99.69 76.74†Class X – Gross accumulation shares 10.5610 184.28 146.94†Class Z – Net income shares 3.7802 84.61 64.79†Class Z – Gross accumulation shares 5.4412 96.27 76.41 †To 31 October 2015.1Class Z – Net income shares commenced 5 October 2012.2Class Z – Gross accumulation shares commenced 5 October 2012.3Class X – Gross income shares commenced 28 July 2014.

Emerging Market Local Fundfor the year ended 30 April 2013Class 1 – Net income shares 6,113 125.61 4,866,717

§Class 1 – Gross accumulation shares 26,642 157.91 16,872,047§Class 2 – Gross accumulation shares 73,513 176.72 41,599,256§Class X – Gross accumulation shares 430 209.66 204,994Class Z – Net income shares 50 107.72 46,817

§Class Z – Gross accumulation shares 6 110.76 5,590for the year ended 30 April 2014

Class 1 – Net income shares 1,414 96.57 1,464,313§Class 1 – Gross accumulation shares 12,193 129.09 9,445,607§Class 2 – Gross accumulation shares 12,772 145.69 8,766,687§Class X – Gross accumulation shares 84 174.13 48,436Class Z – Net income shares 1,179 83.59 1,410,242

§Class Z – Gross accumulation shares 74 91.38 80,712for the year ended 30 April 2015

Class 1 – Net income shares 773 87.18 886,381§Class 1 – Gross accumulation shares 10,523 124.82 8,430,188§Class 2 – Gross accumulation shares 13,493 142.02 9,501,381§Class X – Gross income shares 81 89.58 90,470§Class X – Gross accumulation shares 5 171.03 3,000Class Z – Net income shares 1,798 76.18 2,359,854

§Class Z – Gross accumulation shares 293 89.20 328,685for the period ended 31 October 2015

Class 1 – Net income shares 404 74.45 542,557§Class 1 – Gross accumulation shares 7,733 110.40 7,004,323§Class 2 – Gross accumulation shares 12,183 126.14 9,658,309§Class X – Gross income shares 217 77.23 281,266§Class X – Gross accumulation shares 5 152.53 3,000Class Z – Net income shares 1,485 65.45 2,268,774

§Class Z – Gross accumulation shares 410 79.23 517,313§Only available to eligible investors

2010Class 1 – Net accumulation shares – 123.59 98.38Class 2 – Net accumulation shares – 126.12 99.652011Class 1 – Net accumulation shares – 134.03 107.67Class 2 – Net accumulation shares – 136.57 110.412012Class 1 – Net accumulation shares – 134.45 116.56Class 2 – Net accumulation shares 0.6288 138.34 120.142013Class 1 – Net accumulation shares – 170.91 132.80Class 2 – Net accumulation shares 1.0767 178.35 137.362014Class 1 – Net accumulation shares – 188.07 161.35Class 2 – Net accumulation shares 0.4737 197.89 168.782015

†Class 1 – Net accumulation shares – 212.03 182.76†Class 2 – Net accumulation shares – 223.18 192.99†Class Z – Net accumulation shares 0.0020 100.52 89.38 †To 31 October 2015.

1Class Z – Net accumulation shares commenced on 22 April 2015.

Global Extended Alpha Fundfor the year ended 30 April 2013Class 1 – Net accumulation shares 4,181 153.55 2,723,165Class 2 – Net accumulation shares 9,321 159.30 5,851,266for the year ended 30 April 2014Class 1 – Net accumulation shares 28,182 164.32 17,149,932Class 2 – Net accumulation shares 19,011 171.96 11,055,242for the year ended 30 April 2015Class 1 – Net accumulation shares 58,399 198.35 29,443,212Class 2 – Net accumulation shares 27,880 209.29 13,320,878Class Z – Net accumulation shares 3 96.70 3,000for the period ended 31 October 2015Class 1 – Net accumulation shares 70,650 200.00 35,325,096Class 2 – Net accumulation shares 34,504 211.20 16,337,439Class Z – Net accumulation shares 161 97.86 164,170

Comparative Tables

83


Net asset value of

share class£000

Net assetvalue per

sharep



p

Highest share price

p

Lowest share price

p

(continued)

2010Class 1 – Net income shares 4.7268 103.08 83.23Class 1 – Net accumulation shares 5.3975 120.22 92.50Class 2 – Net income shares 5.0436 104.55 84.34Class 2 – Net accumulation shares 5.7232 122.34 93.702011Class 1 – Net income shares 5.4368 104.79 86.21Class 1 – Net accumulation shares 5.4145 123.95 104.01Class 2 – Net income shares 5.5985 106.50 87.85Class 2 – Net accumulation shares 6.6220 126.51 106.282012Class 1 – Net income shares 4.6038 99.87 88.43Class 1 – Net accumulation shares 5.7903 126.51 111.90Class 2 – Net income shares 4.7940 101.93 90.33Class 2 – Net accumulation shares 6.0133 130.19 114.75

1Class Z – Net income shares 0.2349 101.97 96.742013Class 1 – Net income shares 5.2034 118.34 98.69

2Class 1 SGD Hedged – Net income shares 0.1393 105.54 98.90Class 1 – Net accumulation shares 6.8581 156.88 127.82

3Class 1 SGD Hedged – Net accumulation shares 0.1382 105.54 99.03Class 2 – Net income shares 5.4232 121.50 101.13Class 2 – Net accumulation shares 7.1802 161.81 131.55Class Z – Net income shares 5.4376 123.84 102.98

4Class Z – Net accumulation shares 0.9899 104.58 98.922014Class 1 – Net income shares 4.4186 114.14 103.46Class 1 SGD Hedged – Net income shares 3.9912 103.43 91.54Class 1 – Net accumulation shares 6.0885 159.84 144.86Class 1 SGD Hedged – Net accumulation shares 4.0526 106.94 95.37Class 2 – Net income shares 4.6171 117.97 107.00

5Class 2 EUR Hedged – Net income shares 1.5910 100.44 86.35Class 2 – Net accumulation shares 6.3987 166.10 150.62

6Class X – Net income shares 1.0004 103.73 94.047Class X – Net accumulation shares 2.4991 106.25 96.45Class Z – Net income shares 4.6557 120.63 109.43

8Class Z SGD Hedged – Net income shares 1.5960 102.36 90.79Class Z – Net accumulation shares 4.0953 108.20 98.03

9Class Z SGD Hedged – Net accumulation shares 1.6017 103.13 92.052015

†Class 1 – Net income shares 4.3108 123.11 101.4210†Class 1 – Monthly net income shares 3.0628 106.19 87.93

†Class 1 SGD Hedged – Net income shares 3.6199 103.42 81.7811†Class 1 AUD Hedged – Monthly net income shares 2.7580 105.38 80.1312†Class 1 SGD Hedged – Monthly net income shares 2.8041 106.80 85.04

†Class 1 – Net accumulation shares 6.2037 175.23 147.5513†Class 1 CHF Hedged – Net accumulation shares 1.3071 100.00 85.00

†Class 1 SGD Hedged – Net accumulation shares 3.8366 108.75 87.93†Class 2 – Net income shares 4.5532 127.61 105.33†Class 2 EUR Hedged – Net income shares 3.2701 87.84 76.19†Class 2 – Net accumulation shares 6.5702 182.82 154.18†Class X – Net income shares 3.9543 112.57 93.22†Class X – Net accumulation shares 4.1469 117.47 99.47†Class Z – Net income shares 4.5988 130.67 107.92†Class Z SGD Hedged – Net income shares 3.5737 102.83 81.50†Class Z – Net accumulation shares 4.2076 119.18 100.63

14†Class Z CHF Hedged – Net accumulation shares 1.3087 100.00 85.20†Class Z SGD Hedged – Net accumulation shares 3.6843 105.38 85.41 †To 31 October 2015.1Class Z – Net income shares commenced 3 October 2012.2Class 1 SGD Hedged – Net income shares commenced 10 October 2013.3Class 1 SGD Hedged – Net accumulation shares commenced 10 October 2013.4Class Z – Net accumulation shares commenced 18 September 2013.5Class 2 EUR Hedged – Net income shares commenced on 3 June 2014.6Class X – Net income shares commenced on 28 July 2014.7Class X – Net accumulation shares commenced on 31 March 2014.8Class Z SGD Hedged – Net income shares commenced on 3 June 2014.9Class Z SGD Hedged – Net accumulation shares commenced on 3 June 2014. 10Class 1 – Monthly net income shares commenced on 18 February 2015. 11Class 1 AUD Hedged – Monthly net income shares commenced on 18 February 2015. 12Class 1 SGD Hedged – Monthly net income shares commenced on 18 February 2015. 13Class 1 CHF Hedged – Net accumulation shares commenced on 3 June 2015. 14Class Z CHF Hedged – Net accumulation shares commenced on 3 June 2015.

Global Equity Income Fundfor the year ended 30 April 2013Class 1 – Net income shares 130,288 113.07 115,232,687Class 1 – Net accumulation shares 75,639 149.88 50,467,150Class 2 – Net income shares 87,106 116.04 75,063,540Class 2 – Net accumulation shares 30,981 154.53 20,048,053Class Z – Net income shares 12,662 118.27 10,706,331for the year ended 30 April 2014Class 1 – Net income shares 189,468 109.33 173,306,851Class 1 SGD Hedged – Net income shares 14,458 98.96 14,610,628Class 1 – Net accumulation shares 115,828 151.14 76,637,662Class 1 SGD Hedged – Net accumulation shares 986 101.00 976,335Class 2 – Net income shares 145,293 112.78 128,822,833Class 2 – Net accumulation shares 214,093 156.73 136,600,313Class X – Net accumulation shares 167,145 99.90 167,313,429Class Z – Net income shares 477,531 115.24 414,393,515Class Z – Net accumulation shares 29,649 102.03 29,059,241for the year ended 30 April 2015Class 1 – Net income shares 190,357 116.66 163,169,329Class 1 – Monthly net income shares 67 101.08 65,877Class 1 SGD Hedged – Net income shares 15,075 100.44 15,009,221Class 1 AUD Hedged – Monthly net income shares 10 102.70 10,000Class 1 SGD Hedged – Monthly net income shares 10 104.17 10,000Class 1 – Net accumulation shares 132,876 167.94 79,120,252Class 1 SGD Hedged – Net accumulation shares 1,829 106.78 1,713,189Class 2 – Net income shares 143,592 120.93 118,741,070Class 2 EUR Hedged – Net income shares 3 85.80 3,001Class 2 – Net accumulation shares 197,236 175.21 112,572,463Class X – Net income shares 76,831 106.68 72,018,204Class X – Net accumulation shares 188,290 112.54 167,313,429Class Z – Net income shares 595,046 123.81 480,612,424Class Z SGD Hedged – Net income shares 3 99.83 3,001Class Z – Net accumulation shares 53,784 114.22 47,086,991Class Z SGD Hedged – Net accumulation shares 3 103.43 3,001for the period ended 31 October 2015Class 1 – Net income shares 156,810 109.86 142,730,936Class 1 – Monthly net income shares 432 95.18 454,465Class 1 SGD Hedged – Net income shares 11,623 89.45 12,993,182Class 1 AUD Hedged – Monthly net income shares 228 87.41 261,221Class 1 SGD Hedged – Monthly net income shares 182 92.95 195,554Class 1 – Net accumulation shares 127,093 161.18 78,849,327Class 1 CHF Hedged – Net accumulation shares 9 90.00 10,000Class 1 SGD Hedged – Net accumulation shares 1,335 96.94 1,376,791Class 2 – Net income shares 150,677 114.18 131,961,509Class 2 EUR Hedged – Net income shares 2 79.81 3,001Class 2 – Net accumulation shares 167,037 168.55 99,101,728Class X – Net income shares 73,067 101.23 72,179,230Class X – Net accumulation shares 182,150 108.87 167,313,429Class Z – Net income shares 569,865 117.04 486,896,550Class Z SGD Hedged – Net income shares 3 89.27 3,001Class Z – Net accumulation shares 54,325 110.04 49,366,304Class Z CHF Hedged – Net accumulation shares 9 90.27 10,000Class Z SGD Hedged – Net accumulation shares 3 94.30 3,001

Comparative Tables

84


Net asset value of

share class£000

Net assetvalue per

sharep



p

Highest share price

p

Lowest share price

p

(continued)

20151†Class 1 – Net income shares – 102.57 95.442†Class 1 – Net accumulation shares – 102.58 95.453†Class 1 – Gross accumulation Shares – 100.54 100.004†Class X – Gross accumulation shares 0.3229 103.77 97.025†Class Z – Net income shares 0.1822 103.37 96.326†Class Z – Net accumulation shares 0.1661 103.50 96.477†Class Z – Gross income shares 0.2186 103.39 96.328†Class Z – Gross accumulation shares 0.2160 103.56 96.53 †To 31 October 2015.1Class 1 – Net income shares commenced on 24 March 2015.2Class 1 – Net accumulation shares commenced on 24 March 2015.3Class 1 – Gross accumulation shares commenced 28 October 2015.4Class X – Gross accumulation shares commenced on 24 February 2015.5Class Z – Net income shares commenced on 27 February 2015.6Class Z – Net accumulation shares commenced on 27 February 2015.7Class Z – Gross income shares commenced on 27 February 2015.8Class Z – Gross accumulation shares commenced on 27 February 2015.

Global Opportunities Bond Fundfor the year ended 30 April 2015Class 1 – Net income shares 3 100.33 3,000Class 1 – Net accumulation shares 3 100.32 3,101

§Class X – Gross accumulation shares 3 101.41 3,001Class Z – Net income shares 3 101.02 3,050Class Z – Net accumulation shares 8 101.21 7,992

§Class Z – Gross income shares 1,013 101.02 1,003,001§Class Z – Gross accumulation shares 109,340 101.24 108,000,472for the period ended 31 October 2015Class 1 – Net income shares 3 95.27 3,000Class 1 – Net accumulation shares 24 95.31 25,101

§Class 1 – Gross accumulation shares 3 99.87 3,000§Class X – Gross accumulation shares 3 96.88 3,001Class Z – Net income shares 125 96.19 130,620Class Z – Net accumulation shares 10,671 96.34 11,076,354

§Class Z – Gross income shares 3 96.20 3,000§Class Z – Gross accumulation shares 111,004 96.40 115,149,402§Only available to eligible investors

85


Performance Summary for the six months ended 31 October 2015 – UK Universe

Funds Sector Index

Class 1 Net

Return

Class 2 Net

Return

Sector Median

Net Return

Fund Gross Total

Return

Index Total

Return% % % % %

UK Mid 250 Fund (IA) UK All Companies FTSE 250 (ex Investment Trusts)* +3.49 +3.79 -3.86 +4.19 -0.43

UK Extended Alpha Fund (IA) UK All Companies FTSE All-Share* -2.50 -2.33 -3.86 -1.61 -5.69

UK Equity Alpha Income Fund (IA) UK Equity Income* FTSE All-Share -3.72 -3.45 -2.12 -3.25 -5.69

UK Absolute Alpha Fund (IA) Absolute Return UK LIBOR 3 Month +2.50 +2.74 -0.33 +3.63 +0.29

Absolute Return Bond Fund (IA) Absolute Return UK LIBOR 3 Month -4.61 -4.28 -0.33 -3.95 +0.29

Target Return Fund†** (IA) Unclassified EURIBOR 3 Month Deposit Rate (in GBP) -5.87 -5.67 – -5.83 -1.92

Pan European Focus Fund (IA) Europe Including UK MSCI Europe* -1.33 -1.04 -3.59 -1.47 -6.13

Pan European Equity Dividend Fund (IA) Europe Including UK* MSCI Europe -3.18 -2.90 -3.59 -2.78 -6.13

American Extended Alpha Fund (IA) North America* S&P 500 +4.38 +4.81 -1.01 +4.53 +0.27

China Opportunities Fund (IA) China – Greater China MSCI China* -22.25 -22.02 -18.64 -22.12 -23.60

Global Emerging Markets Equity Fund (IA) Global Emerging Markets MSCI EM (Emerging Markets)* -17.36 -17.13 -15.67 -16.98 -17.96

Emerging Market Local Fund† (IA) Specialist JPM GBI-EM Global Diversified Composite* -12.48 -11.00** – -11.33 -10.46

Global Extended Alpha Fund (IA) Global Growth MSCI AC World* +1.78 +1.84 -4.23 +3.45 -4.98

Global Equity Income Fund (IA) Global Equity Income MSCI AC World* -3.20 -2.92 -4.23 -3.12 -4.98

Global Opportunities Bond Fund (IA) Absolute Return Citigroup GBP 1 Month Euro deposit -4.62 – -0.33 -4.19 +0.25

The Fund Sector is taken from the UK Unit Trusts/OEICs universe. Comparing the fund’s performance to this Fund Sector is only relevant for UK Investors. †These funds do not currently display a sector median return because the Fund Sector (as defined by the Investment Association) is not felt to be representative. *Denotes official benchmark of the fund.

**Performance information for this fund is shown on a gross income basis.Net returns (Source: Morningstar) are calculated using official noon prices, bid to bid basis with net income reinvested and are net of assumed fees and expenses but does not include any initial charges. Gross returns (Source: Factset) represent the fund at total level and are calculated using global close authorised valuations based on in-house calculated transactions with cash flow at the start of the day and are gross of total expenses to facilitate comparison with the index. All data shown in GBP.

86


Performance Summary for the six months ended 31 October 2015 – Offshore Universe

Funds Sector Index

Share Class 1 Return

Share Class 2 Return

Sector Median

Net Return

Fund GrossTotal

Return

IndexTotal

Return Currency% % % % %

UK Mid 250 Fund GIFS Offshore – UK Mid Cap Equity FTSE 250 x Investment Trusts* +3.58 +3.93 -0.90 +4.19 -0.43 GBP

UK Extended Alpha Fund GIFS Offshore – UK Large Cap Blend FTSE All-Share* -2.30 -2.08 -6.04 -1.61 -5.69 GBP

UK Equity Alpha Income Fund GIFS Offshore – UK Large Cap Value FTSE All-Share -3.49 -3.21 -5.95 -5.69 -1.75 GBP

UK Absolute Alpha Fund GIFS Offshore – Alternative Long/Short UK UK LIBOR 3 Month +2.50 +2.74 +2.55 +3.63 +0.29 GBP

Absolute Return Bond Fund GIFS Offshore – Alternative Long/Short Debt UK LIBOR 3 Month -4.61 -4.28 -3.39 -3.95 +0.29 GBP

Target Return Fund GIFS Offshore – Alternative Debt Arbitrage

EURIBOR 3 Month Deposit Rate -4.84 -4.64 -0.19 -4.00 -0.01 EUR

Pan European Focus Fund GIFS Offshore – Europe Large Cap Growth MSCI Europe* -0.23 +0.11 -1.06 +0.44 -4.30 EUR

Pan European Equity Dividend Fund GIFS Offshore – Europe Large Cap Value MSCI Europe -1.84 -1.55 -5.03 -0.89 -4.30 EUR

American Extended Alpha Fund GIFS Offshore – US Large Cap Growth S&P 500 +3.86 +4.31 +0.51 +5.05 +0.77 USD

China Opportunities Fund GIFS Offshore – China Equity MSCI China* -22.52 -22.23 -21.36 -21.73 -23.22 USD

Global Emerging Markets Equity Fund GIFS Offshore – Global Emerging Markets Equity

MSCI EM (Emerging Markets)* -17.77 -17.49 -16.06 -16.56 -17.55 USD

Emerging Market Local Fund GIFS Offshore – Global Emerging Markets Bond Local

JPM GBI-EM Global Diversified Composite* -10.94 -10.56 -10.59 -10.89 -10.10 USD

Global Extended Alpha Fund GIFS Offshore – Global Large Cap Blend MSCI AC World* +1.28 +1.34 -4.85 +3.96 -4.51 USD

Global Equity Income Fund GIFS Offshore – Global Equity Income MSCI AC World* -3.49 -3.20 -5.14 -2.63 -4.51 USD

Global Opportunities Bond Fund – Citigroup GBP 1 Month Euro deposit -4.62 – – -4.19 +0.25 GBP

Morningstar changed its definition of the GIFS Offshore Universe as at February 2011. This resulted in Threadneedle OEIC Funds being removed from it. For the purposes of comparison, Threadneedle continues to use this Universe with its OEICs included. Performance data is shown on a gross of tax basis.Net returns (Source: Morningstar) are calculated using official noon prices, bid to bid basis with unadjusted income and are net of assumed fees and expenses but does not include any initial charges. Gross returns (Source: Factset) represent the fund at total level and are calculated using global close authorised valuations based on in-house calculated transactions with cash flow at the start of the day and are gross of total expenses to facilitate comparison with the index. All data shown in Fund Currency. *Denotes official benchmark of the fund.

87


Ongoing Charges Figure Summaryfor the accounting period 1 May 2015 to 31 October 2015

Fund Share Class October 2015* April 2015

UK Mid 250 Fund Class 1 – Net accumulation shares 1.64% 1.65%Class 2 – Net accumulation shares 1.07% 1.08%Class Z – Net accumulation shares 0.88% 0.90%

UK Extended Alpha Fund Class 1 – Net accumulation shares 1.40% 1.42%Class 2 – Net accumulation shares 0.84% 0.86%Class X – Net accumulation shares 0.08% 0.11%

UK Equity Alpha Income Fund Class 1 – Net income shares 1.63% 1.63%Class 2 – Net income shares 1.05% 1.06%Class X – Net income shares 0.02% 0.02%*Class Z – Net income shares 0.87% 0.88%

UK Absolute Alpha Fund Class 1 – Net accumulation shares 1.62% 1.64% 1Class 1 EUR Hedged - Net accumulation shares 1.57% –Class 2 – Net income shares 1.03% 1.00%*Class 2 – Net accumulation shares 1.06% 1.07%Class 2 EUR Hedged - Net accumulation shares 1.05% 1.06%Class Z – Net income shares 0.87% 0.86%*Class Z – Net accumulation shares 0.87% 0.88% 2Class Z CHF Hedged - Net accumulation shares 0.63% – 3Class Z EUR Hedged - Net accumulation shares 0.70% – 4Class Z USD Hedged - Net accumulation shares 0.87% –

Absolute Return Bond Fund Class 1 – Net accumulation shares 1.38% 1.39%Class 1 – Gross accumulation shares 1.38% 1.39%Class 2 – Net accumulation shares 0.71% 0.72%Class 2 – Gross accumulation shares 0.71% 0.72%Class X – Gross accumulation shares 0.02% 0.02%

Target Return Fund Class 1 – Net accumulation shares 1.52% 1.51%Class 1 – Gross accumulation shares 1.51% 1.51%Class 1 CHF Hedged – Gross accumulation shares 1.51% 1.51%Class 1 USD Hedged – Gross accumulation shares 1.51% 1.58%Class 2 – Gross income shares 0.84% 0.84%Class 2 – Gross accumulation shares 0.84% 0.84%Class X – Gross accumulation shares 0.16% 0.16%Class Z – Net accumulation shares 0.91% 0.91%Class Z – Gross accumulation shares 0.91% 0.92%

Pan European Focus Fund Class 1 – Net accumulation shares 1.64% 1.69%Class 2 – Net accumulation shares 1.08% 1.12%Class Z – Net accumulation shares 0.90% 0.94%

Pan European Equity Dividend Fund Class 1 – Net income shares 1.68% 1.69%Class 1 – Net accumulation shares 1.68% 1.69%Class 2 – Net income shares 1.10% 1.11%Class 2 – Net accumulation shares 1.11% 1.10%Class X – Net income shares 0.10% 0.08%*Class X – Net accumulation shares 0.05% 0.08%Class Z – Net income shares 0.92% 0.94%Class Z – Net accumulation shares 0.93% 0.91%*

American Extended Alpha Fund Class 1 – Net accumulation shares 1.64% 1.63%Class 1 EUR Hedged – Net accumulation shares 1.65% 1.61%Class 2 – Net accumulation shares 0.82% 0.81%Class Z – Net accumulation shares 0.90% 0.88%

China Opportunities Fund Class 1 – Net accumulation shares 1.67% 1.67%Class 2 – Net accumulation shares 1.10% 1.10%Class Z – Net accumulation shares 0.92% 0.91%

Global Emerging Markets Equity Fund Class 1 – Net accumulation shares 1.68% 1.66%Class 2 – Net accumulation shares 1.09% 1.10%Class X – Net income shares 0.04% 0.06%*Class X – Net accumulation shares 0.09% 0.10%Class Z – Net accumulation shares 0.91% 0.91%

88


Ongoing Charges Figure Summary(continued)

Fund Share Class October 2015* April 2015

Emerging Market Local Fund Class 1 – Net income shares 1.81% 1.82%Class 1 – Gross accumulation shares 1.79% 1.81%Class 2 – Gross accumulation shares 0.96% 0.99%Class X – Gross income shares 0.20% 0.23%*Class X – Gross accumulation shares 0.18% 0.21%Class Z – Net income shares 0.89% 0.91%Class Z – Gross accumulation shares 0.88% 0.91%

Global Extended Alpha Fund Class 1 – Net accumulation shares 1.64% 1.69%Class 2 – Net accumulation shares 0.83% 0.87%Class Z – Net accumulation shares 0.87% 0.98%

Global Equity Income Fund Class 1 – Net income shares 1.64% 1.63%Class 1 – Monthly net income shares 1.63% 1.05%*Class 1 SGD Hedged – Net income shares 1.64% 1.63%Class 1 AUD Hedged – Monthly net income shares 1.61% 1.60%*Class 1 SGD Hedged – Monthly net income shares 1.62% 1.60%*Class 1 – Net accumulation shares 1.64% 1.63% 5Class 1 CHF Hedged – Net accumulation shares 1.63% –Class 1 SGD Hedged – Net accumulation shares 1.64% 1.63%Class 2 – Net income shares 1.03% 1.04%Class 2 EUR Hedged – Net income shares 1.03% 1.01%*Class 2 – Net accumulation shares 1.06% 1.06%Class X – Net income shares 0.06% 0.06%*Class X – Net accumulation shares 0.06% 0.06%Class Z – Net income shares 0.88% 0.88%Class Z SGD Hedged – Net income shares 0.87% 0.87%*Class Z – Net accumulation shares 0.88% 0.88% 6Class Z CHF Hedged – Net accumulation shares 0.88% –Class Z SGD Hedged – Net accumulation shares 0.87% 0.86%*

Global Opportunities Bond Fund Class 1 – Net income shares 1.24% 1.19%*Class 1 – Net accumulation shares 1.23% 1.18%* 7Class 1 – Gross accumulation shares 1.49% –Class X – Gross accumulation shares 0.04% 0.05%*Class Z – Net income shares 0.80% 0.74%*Class Z – Net accumulation shares 0.79% 0.71%*Class Z – Gross income shares 0.80% 0.75%*Class Z – Gross accumulation shares 0.79% 0.76%*

The Ongoing Charges Figures (OCF) is the European standard method of disclosing the charges of a share class of a fund based on the financial year’s expenses* and may vary from year to year. It includes charges such as the fund’s annual management charge, registration fee, custody fees and distribution cost but ordinarily excludes the costs of buying or selling assets for the fund (unless these assets are shares of another fund). The Key Investor Information Document (KIID) contain the current OCF. For a more detailed breakdown please visit columbiathreadneedle.com/fees.

1Class 1 EUR Hedged – Net accumulation shares commenced on 1 July 2015.

2Class Z CHF Hedged – Net accumulation shares commenced on 30 September 2015.

3Class Z EUR Hedged – Net accumulation shares commenced on 30 September 2015.

4Class Z USD Hedged – Net accumulation shares commenced on 30 September 2015.

5Class 1 CHF Hedged – Net accumulation shares commenced on 3 June 2015.

6Class Z CHF Hedged – Net accumulation shares commenced on 3 June 2015.

7Class 1 – Gross accumulation shares commenced 28 October 2015.

*The Ongoing Charges Figure is annualised based on the fees incurred during the accounting period or since commencement date.

89


Risk and Reward Profiles

Fund Share Class SRRI*

UK Mid 250 Fund Class 1 – Net accumulation shares 6Class 2 – Net accumulation shares 6Class Z – Net accumulation shares 6

UK Extended Alpha Fund Class 1 – Net accumulation shares 5Class 2 – Net accumulation shares 5Class X – Net accumulation shares 5

UK Equity Alpha Income Fund Class 1 – Net income shares 5Class 2 – Net income shares 5Class X – Net income shares 5Class Z – Net income shares 5

UK Absolute Alpha Fund Class 1 – Net accumulation shares 5 1Class 1 EUR Hedged - Net accumulation shares 5Class 2 – Net income shares 5Class 2 – Net accumulation shares 5Class 2 EUR Hedged – Net accumulation shares 5Class Z – Net income shares 5Class Z – Net accumulation shares 5 2Class Z CHF Hedged - Net accumulation shares 5 3Class Z EUR Hedged - Net accumulation shares 5 4Class Z USD Hedged - Net accumulation shares 5

Absolute Return Bond Fund Class 1 – Net accumulation shares 3Class 1 – Gross accumulation shares 3Class 2 – Net accumulation shares 3Class 2 – Gross accumulation shares 3Class X – Gross accumulation shares 3

Target Return Fund Class 1 – Net accumulation shares 4Class 1 – Gross accumulation shares 4Class 1 CHF Hedged – Gross accumulation shares 4Class 1 USD Hedged – Gross accumulation shares 4Class 2 – Gross income shares 4Class 2 – Gross accumulation shares 4Class X – Gross accumulation shares 4Class Z – Net accumulation shares 4Class Z – Gross accumulation shares 4

Pan European Focus Fund Class 1 – Net accumulation shares 6Class 2 – Net accumulation shares 6Class Z – Net accumulation shares 6

Pan European Equity Dividend Fund Class 1 – Net income shares 5Class 1 – Net accumulation shares 5Class 2 – Net income shares 5Class 2 – Net accumulation shares 5Class X – Net income shares 5Class X – Net accumulation shares 5Class Z – Net income shares 5Class Z – Net accumulation shares 5

American Extended Alpha Fund Class 1 – Net accumulation shares 5Class 1 EUR Hedged – Net accumulation shares 6Class 2 – Net accumulation shares 5Class Z – Net accumulation shares 5

China Opportunities Fund Class 1 – Net accumulation shares 6Class 2 – Net accumulation shares 6Class Z – Net accumulation shares 6

Global Emerging Markets Equity Fund Class 1 – Net accumulation shares 6Class 2 – Net accumulation shares 6Class X – Net income shares 6Class X – Net accumulation shares 6Class Z – Net accumulation shares 6

90


Risk and Reward Profiles(continued)

Fund Share Class SRRI*

Emerging Market Local Fund Class 1 – Net income shares 4Class 1 – Gross accumulation shares 4Class 2 – Gross accumulation shares 4Class X – Gross income shares 4Class X – Gross accumulation shares 4Class Z – Net income shares 4Class Z – Gross accumulation shares 4

Global Extended Alpha Fund Class 1 – Net accumulation shares 5Class 2 – Net accumulation shares 5Class Z – Net accumulation shares 5

Global Equity Income Fund Class 1 – Net income shares 5Class 1 – Monthly net income shares 5Class 1 SGD Hedged – Net income shares 5Class 1 AUD Hedged – Monthly net income shares 5Class 1 SGD Hedged – Monthly net income shares 5Class 1 – Net accumulation shares 5 5Class 1 CHF Hedged – Net accumulation shares 5Class 1 SGD Hedged – Net accumulation shares 5Class 2 – Net income shares 5Class 2 EUR Hedged – Net income shares 5Class 2 – Net accumulation shares 5Class X – Net income shares 5Class X – Net accumulation shares 5Class Z – Net income shares 5Class Z SGD Hedged – Net income shares 5Class Z – Net accumulation shares 5 6Class Z CHF Hedged – Net accumulation shares 5Class Z SGD Hedged – Net accumulation shares 5

Global Opportunities Bond Fund Class 1 – Net income shares 4Class 1 – Net accumulation shares 4 7Class 1 – Gross accumulation shares 4Class X – Gross accumulation shares 4Class Z – Net income shares 4Class Z – Net accumulation shares 4Class Z – Gross income shares 4Class Z – Gross accumulation shares 4

1Class 1 EUR Hedged – Net accumulation shares commenced on 1 July 2015.

2Class Z CHF Hedged – Net accumulation shares commenced on 30 September 2015.

3Class Z EUR Hedged – Net accumulation shares commenced on 30 September 2015.

4Class Z USD Hedged – Net accumulation shares commenced on 30 September 2015.

5Class 1 CHF Hedged – Net accumulation shares commenced on 3 June 2015.

6Class Z CHF Hedged – Net accumulation shares commenced on 3 June 2015.

7Class 1 – Gross Accumulation Shares commenced 28 October 2015.

*As at 31 October 2015 the synthetic risk and reward indicator (SRRI) is explained in the table below:

SRRI1 The fund is in this specific category because historically it has shown a low level of volatility (how much the value of the fund went up and down compared to other

categories).

2 The fund is in this specific category because historically it has shown a relatively low level of volatility (how much the value of the fund went up and down compared to other categories).

3 The fund is in this specific category because historically it has shown a medium to low level of volatility (how much the value of the fund went up and down compared to other categories).

4 The fund is in this specific category because historically it has shown a medium level of volatility (how much the value of the fund went up and down compared to other categories).

5 The fund is in this specific category because historically it has shown a medium to high level of volatility (how much the value of the fund went up and down compared to other categories).

6 The fund is in this specific category because historically it has shown a high level of volatility (how much the value of the fund went up and down compared to other categories).

7 The fund is in this specific category because historically it has shown a very high level of volatility (how much the value of the fund went up and down compared to other categories).

91


The Risk and Reward Profile is based on past performance data in pound sterling. If your investment in the fund is not in pound sterling, please check the figure for the risk and reward profile disclosed on our website (columbiathreadneedle.com) according to the currency of your investment in the fund.

Historical data may not be a reliable indication of the future risk profile of the funds.

The SRRI category shown is not guaranteed to remain unchanged and that the categorisation of the funds may shift over time.

The lowest category does not mean a risk-free investment.

No form of capital protection or capital guarantee applies to any of the funds.

The risk and reward profile of the UK Extended Alpha Fund changed from 6 to 5 for all share classes on 23 October 2015.

The risk and reward profile of the Pan European Equity Dividend Fund changed for all share classes from 6 to 5 on 1 June 2015 except for Class 1 – Net accumulation shares which changed on 20 May 2015.

The risk and reward profile of the Global Extended Alpha Fund changed from 6 to 5 on 26 August 2015 for Class 1 – Net accumulation shares and Class Z – Net accumulation shares, Class 2 – Net accumulation shares changed on 18 August 2015.

Risk and Reward Profiles(continued)

92


Shares Issued and Redeemed Summaryfor the accounting period 1 May 2015 to 31 October 2015

Fund Number Issued Number Redeemed Net Conversions

UK Mid 250 Fund 16,887,081 (15,685,232) 4,832,125

UK Extended Alpha Fund 2,957,524 (804,645) (1,390)

UK Equity Alpha Income Fund 98,204,211 (22,647,419) (4,953,113)

UK Absolute Alpha Fund 243,714,030 (20,696,621) 54,669

Absolute Return Bond Fund 77,047,191 (93,888,061) (80,951)

Target Return Fund 10,327,862 (10,631,828) –

Pan European Focus Fund 11,332,460 (7,262,524) 2,864

Pan European Equity Dividend Fund 16,113,710 (9,567,763) (3,028)

American Extended Alpha Fund 3,525,239 (25,086,877) (6,984)

China Opportunities Fund 14,297,428 (27,330,749) 58,360

Global Emerging Markets Equity Fund 73,805,679 (136,399,408) (19,436)

Emerging Market Local Fund 1,725,462 (3,051,765) 1,886

Global Extended Alpha Fund 15,370,848 (6,311,019) (214)

Global Equity Income Fund 113,274,318 (127,171,677) 155,136

Global Opportunities Bond Fund 19,631,785 (2,260,205) (1,719)

93


October October 2015 2014

Fund £000 £000

UK Mid 250 Fund

Total purchases for the period 34,404 11,481

Total sales for the period 30,282 44,815

UK Extended Alpha Fund



UK Equity Alpha Income Fund



UK Absolute Alpha Fund



Absolute Return Bond Fund



Target Return Fund



Pan European Focus Fund



Pan European Equity Dividend Fund



American Extended Alpha Fund



China Opportunities Fund



Global Emerging Markets Equity Fund



Emerging Market Local Fund



Global Extended Alpha Fund



Global Equity Income Fund



Global Opportunities Bond Fund

Total purchases for the period 102,453 –

Total sales for the period 81,984 –

Total Purchases and Salesfor the accounting period 1 May 2015 to 31 October 2015

94


Further Information

Threadneedle Specialist Investment Funds ICVC (the Company) is an open-ended investment company with variable capital under regulation 14 (Authorisation) of the Open Ended Investment Companies Regulations 2001 (as amended) and the shareholders are not liable for the debts of the Company.

The Company is structured as an umbrella company in which different sub-funds (funds) may be established from time to time by the ACD with the approval of the Financial Conduct Authority (FCA) and the agreement of the depositary.

ProspectusA prospectus (the Prospectus) which describes each fund in detail, is available from Threadneedle Investment Services Limited, International Financial Data Services, P.O. Box 10033, Chelmsford, Essex CM99 2AL and from the paying agents and distributors in the countries where the funds is distributed.

The funds are segregated portfolios of assets and, accordingly, the assets of a fund belong exclusively to that Fund and shall not be used to discharge directly or indirectly the liabilities of, or claims against, any other person or body, including the umbrella, or any other fund, and shall not be available for any such purpose.

Each fund has the investment powers equivalent to those of a UCITS scheme (as defined in the FCA rules).

Other funds may be launched in the future.

Key Investor Information Document – Subscription requirementsThe KIID is a pre contractual document and investors have to confirm that they have read the latest KIID before making a subscription. Threadneedle has the right to reject a subscription if the investor does not confirm that they have read the latest KIID at the time of application. Investors can obtain the latest KIID from columbiathreadneedle.com.

Introduction of income equalisation for certain funds of the CompanyThe ACD has decided to introduce income equalisation for certain funds of the Company with effect from 1 May 2016. Income equalisation will be introduced for the Absolute Return Bond Fund, China Opportunities Fund, Global Emerging Markets Equity Fund and Target Return Fund. Further information on income equalisation can be found in the Questions and Answers on the website www.columbiathreadneedle.co.uk/income-equalisation. The other funds of the Company already apply income equalisation.

Changes to the management of the ACDOn 24 June 2015, Mr. Nick Ring resigned from his role as a director of the ACD.

Changes to the ProspectusDuring the period 1 May 2015 to 31 October 2015 the main changes to the Prospectus of the Company were as follows:

n Include references to a new sub-fund, namely the Ethical UK Equity Fund;

n Addition of “predominantly” as a defined term;

n Include new share class (Class T: available to certain investors in Ethical UK Equity Fund);

n Include new share class (Class Z: Ethical UK Equity Fund);

n Update the registered address and head office address of the Company, the ACD and the Investment Manager;

n Delete references to Absolute Return Bond Fund and UK Extended Alpha Fund as not being registered for public offer in certain jurisdictions;

n Update the list of directors of the ACD;

n Include an explanation that the ACD may from time to time subsidise costs incurred by the Funds;

n Update references to the Columbia Threadneedle Investments website domain name from www.threadneedle.com to www.columbiathreadneedle.com;

n Update dilution adjustments estimates;

n Update performance figures;

n Update the telephone number and email addresses in the ACD Client Services Details section.

Changes to the Instrument of IncorporationThe instrument of incorporation of the Company was amended on 14 August 2015 to include the new Ethical UK Equity Fund.

Change to the depositary of the Company On or around 1 January 2016, subject to court approval, Citibank International Limited will be merged into Citibank Europe plc.

With effect from the merger date:

n any references to Citibank International Limited in fund documentation should be read as Citibank Europe plc, UK branch.

n all functions of Citibank International Limited will be automatically transferred to Citibank Europe plc, UK branch.

Characteristics of SharesThe Company is structured as an umbrella company and currently consists of 16 different sub-funds. Several classes of share may be issued in respect of each fund, distinguished by their criteria for subscription and fee structure.

Share Class

Minimum Investment Eligibility

Class 1 GBP 2,000 EUR 2,500 – EUR 3,000 USD 2,500 – USD 3,000 SEK 25,000 CHF 4,000 SGD 4,000

Retail investors

Class 2 GBP 50,000 – GBP 500,000 EUR 100,000 – EUR 750,000 USD 750,000 – USD 800,000 SEK 6 – 7 million CHF 1,200,000

Non-retail investors

Class M GBP 2,000 AUD 3,000 SGD 4,000 USD 3,000

Retail investors

Class T GBP 2,000 Eligible investors only

95


PerformanceFor the period under review, where applicable, fund performance has been compared to the relevant peer group. We show a peer group comparison as this more accurately reflects the way the funds are managed. We continue to show stock market indices for information purposes and for those funds for which the Investment Association sector is not considered to be a representative peer group. Audited peer group information is only available from Morningstar’s Fund Services at month end points.

Report and Financial StatementsInvestors will receive a report twice a year in relation to any funds of Threadneedle Specialist Investment Funds ICVC in which they invest. The reports received will be short form versions and reports containing the full financial statements will be available from Threadneedle Investment Services Limited, P.O. Box 10033, Chelmsford, Essex CM99 2AL and from the paying agents and distributors in the countries where the funds are registered. The report will provide information on the performance of the funds, the market background, and details of each of the portfolios. The annual accounting period for the funds ends on 30 April and the interim reporting period ends on 31 October.

Ethical UK Equity Fund was launched on 30 October 2015 and the first interim accounting period will end on 31 October 2016.

Foreign Account Tax Compliance Act (FATCA)Threadneedle and its funds (Threadneedle) have registered with the US Internal Revenue Service in accordance with FATCA and other current related legislation. Threadneedle has put in place appropriate processes and procedures to maintain its compliance with the statutory requirements, including ensuring that Threadneedle obtain the required certification from its clients and investors as necessary to mitigate any requirement upon Threadneedle to withhold or report such clients under the legislation. This registration and compliance process will ensure that Threadneedle will not suffer withholding tax under FATCA.

Share Class

Minimum Investment Eligibility

Class X GBP 3 million EUR 5 million USD 5 million AUD 5 million

Eligible investors only

Class Z Minimum initial investment: GBP 1 million EUR 1.5 million USD 1.5 million

Non-retail investors*

*The minimum investment may be considerably lower through a nominee or platform that has an arrangement in place with the ACD or an associate of the ACD. May be available to retail investors.

The limits for minimum initial investment, minimum subsequent investment and minimum holding of shares may be waived at the discretion of the ACD. The level of net income attributable to each share class will differ. For further information please refer to the Prospectus.

Where a range of minimum initial investments is indicated, this means there are different minimum initial investments for different sub-funds. The limits for minimum initial investment, minimum subsequent investment and minimum holding of shares may be waived at the discretion of the ACD. For further information and for information regarding the minimum subsequent investment and minimum holding of shares please refer to the Prospectus. Certain classes of share may be unavailable to investors in certain countries.

Hedged Share Classes (HSCs)HSCs use currency hedging transactions to try to reduce the exposure to the Reference Currency and replace it with an exposure to the hedged Currency. The terms Reference Currency, Portfolio Currency and Hedged Currency are defined as follows:

n Reference Currency” or “Reference Currencies” means (according to the context) the primary investment currency of the share class against which the currency hedging transaction will be applied in order to reduce any exchange rate fluctuation with the Hedged Currency;

n “Portfolio Currency” or “Portfolio Currencies” means (according to the context) the currency or currencies in which the underlying assets of the fund are invested in line with the investment objectives applicable to the fund;

n “Hedged Currency” is the currency in which the Hedged Share Class is denominated.

These HSCs should not be confused with other share classes that may be denominated in other currencies but will not be hedged. For full details of the HSCs available, including details of the Reference Currency or Portfolio Currency of each fund for which HSCs are available, please refer to the latest version of the Prospectus.

Income EqualisationFor those funds which operate equalisation, the first allocation made after the acquisition of shares will include an amount of equalisation. This amount represents the ACD’s best estimate of the income included in the price at which the shares were acquired (subject to grouping where appropriate) and represents a capital repayment for UK tax purposes which should be deducted from the cost of shares in arriving at any capital gain realised on their subsequent disposal.

Further Information(continued)

96


Directory

Registered Office Cannon Place78 Cannon StreetLondon EC4N 6AG

Authorised Corporate Director (ACD) Threadneedle Investment Services Limited Cannon Place78 Cannon StreetLondon EC4N 6AG

RegistrarThreadneedle Investment Services Limited Delegated to:International Financial Data Services (UK) Limited Authorised and regulated by the Financial Conduct Authority (FCA)St Nicholas LaneBasildonEssex SS15 5FS

Investment ManagerThreadneedle Asset Management Limited Cannon Place78 Cannon StreetLondon EC4N 6AG

DepositaryCitibank International Limited** (Authorised by the Prudential Regulatory Authority (PRA)and regulated by the FCA and PRA)Citigroup Centre33 Canada SquareCanary Wharf London E14 5LB

Legal Advisers Eversheds LLP One Wood Street London EC2V 7WS

Baum Financial Services Law Team Grosser Burstah 4220457 Hamburg Germany

Independent AuditorPricewaterhouseCoopers LLPAtria One144 Morrison StreetEdinburgh EH3 8EX

Authorised Corporate Director Client Services Details

UK InvestorsAddress: Threadneedle Investment Services Limited PO Box 10033Chelmsford Essex CM99 2ALTelephone (dealing & customer enquiries): 0800 953 0134*Fax (dealing): 0845 113 0274Email (enquiries): [email protected]

Asian InvestorsAddress: Threadneedle Investment Services LimitedInternational Financial Data Services 47, avenue JF KennedyL-1855 LuxembourgTelephone (dealing & customer enquiries): +852 3667 7111*Fax (dealing): +352 2452 9807Email (enquiries): [email protected]

All Other InvestorsAddress: Threadneedle Investment Services LimitedInternational Financial Data Services 47, avenue JF KennedyL-1855 LuxembourgTelephone (dealing & customer enquiries): +352 464 010 7020*Fax (dealing): +352 2452 9807Email (enquiries): [email protected]: columbiathreadneedle.com

Paying and Information Agent in AustriaRaiffeisen Bank International AGAm Stadtpark 9A-030 ViennaAustria

Paying and Information Agent in BelgiumJ.P. Morgan Chase Bank Brussels1, Boulevard du Roi Albert II1210 BrusselsBelgium

Paying and Information Agent in FranceBNP Paribas Securities Services 66 rue de la Victoire75009 Paris France

Paying and Information Agent in GermanyJ.P. Morgan AG Junghofstr. 1460311 Frankfurt am Main Germany

Paying and Information Agent in Hong KongHSBC Institutional Trust Services (Asia) LimitedServices Transfer Agency, Fund Services1 Queen’s Road CentralHong Kong

Paying and Information Agent in IrelandJ.P. Morgan Bank Administration Services (Ireland) LimitedJ.P. Morgan House, International Financial Services CentreDublin 1Ireland

Paying and Information Agent in ItalyAllfunds Bank S.A.Via Santa Margherita, 7 20121 MilanItaly

BNP Paribas Securities Services succursale di MilanoVia Ansperto, 5Italy

Société Genérale Securities Services S.p.A. via Benigno Crespi 19/A – MAC220159 MilanItaly

State Street Bank S.p.A. Via Ferrante Aporti, 10 20125 MilanItaly

*Calls will be recorded ** With effect from 1 January 2016, Citibank Europe plc, UK branch will take over the operations of Citibank International Limited.

97


Paying and Information Agent in LuxembourgState Street Bank Luxembourg S.A. 49 avenue J.F. KennedyL-1855 LuxembourgGrand Duchy of Luxembourg

Information Agent in SpainThreadneedle Specialist Investment Funds ICVC is duly authorised for its marketing in Spain under registered number 481 for such purposes with the Register of Foreign Collective Investment Schemes of the Comisión Nacional del Mercado de Valores (CNMV), in accordance with section 15. 2 of Law 35/2003 of 4 November 2003 on Collective Investment Schemes, as amended. A list of the appointed local distributors and Funds and share classes available for public distribution in Spain is available at the CNMV web page (www.cnmv.es).

Paying and Information Agent in SwedenSkandinaviska Enskilda Banken ABKungsträdgårdsgatan, SE – 10640StockholmSweden

Representative and Paying Agent in SwitzerlandBNP Paribas Securities Services, Paris, Zurich BranchSelnaustrasse 168002 ZurichSwitzerland

Directory(continued)

98


Key Risks of the funds:The following table below shows the key risks applying to each fund. A definition of the key risks can be found overleaf.

Funds/Key Risks Inve

stm

ent

Curr

ency

No

Capi

tal G

uara

ntee

Coun

terp

arty

Issu

er

Pol

itica

l and

Fin

anci

al

Liqu

idity

Effe

ct o

f Por

tfolio

Conc

entra

tion

Infla

tion

Inte

rest

Rat

e

Valu

atio

n

Shor

t Sel

ling

Inve

stm

ent i

n

Deriv

ativ

es

Leve

rage

Deriv

ativ

es fo

r EPM

/

Hedg

ing

Vola

tility

Hig

h Vo

latil

ity

UK Mid 250 Fund X X X X

UK Extended Alpha Fund X X X X X X X X

UK Equity Alpha Income Fund X X X X X

UK Absolute Alpha Fund X X X X X X X X X

Absolute Return Bond Fund X X X X X X X X X X X X

Target Return Fund X X X X X X X X X X X X

Pan European Focus Fund X X X X X

Ethical UK Equity Fund X X X X

Pan European Equity Dividend Fund X X X X

American Extended Alpha Fund X X X X X X X X

China Opportunities Fund X X X X X X

Global Emerging Markets Equity Fund X X X X X X

Emerging Market Local Fund X X X X X X X X X X X X X

Global Extended Alpha Fund X X X X X X X X X

Global Equity Income Fund X X X X

Global Opportunities Bond Fund X X X X X X X X X X X X X

Important Information

References in this document to any fund do not constitute an offer or invitation to subscribe to shares in such a fund. We recommend that you obtain detailed information before the purchase of shares. Subscriptions to a fund may only be made on the basis of the current Prospectus or KIID and the latest annual and interim reports. Please refer also to the Risk Factors in the Prospectus.

Past performance is not a guide to future returns. The value of investments and any income from them is not guaranteed and may fall as well as rise and the investor may not get back the original investment. Exchange rate movements could increase or decrease the value of underlying investments/holdings. The dealing price of the funds may include a dilution adjustment. Further details are available in the Prospectus.

The mention of any specific shares or bonds should not be taken as a recommendation to deal and anyone considering dealing in these financial instruments should consult a stockbroker or financial adviser. The research and analysis included in this document has been produced by Threadneedle for its own investment management activities, may have been acted upon prior to publication and is made available here incidentally. Any opinions expressed are made as at the date of publication but are subject to change without notice.

99


Important Information(continued)

Description of the Key Risks:Investment Risk: The value of investments can fall as well as rise and investors might not get back the sum originally invested.

Currency Risk: Where investments are in assets that are denominated in multiple currencies, or currencies other than your own, changes in exchange rates may affect the value of the investments.

No Capital Guarantee Risk: Positive returns are not guaranteed and no form of capital protection applies.

Counterparty Risk: The fund may enter into financial transactions with selected counterparties. Any financial difficulties arising at these counterparties could significantly affect the availability and the value of fund assets.

Issuer Risk: The Fund invests in securities whose value would be significantly affected if the issuer refused, was unable to or was perceived to be unable to pay.

Political and Financial Risk: The fund invests in markets where economic and regulatory risk can be significant. These factors can affect liquidity, settlement and asset values. Any such event can have a negative effect on the value of your investment.

Liquidity Risk: The fund holds assets which could prove difficult to sell. The fund may have to lower the selling price, sell other investments or forego more appealing investment opportunities.

Effect of Portfolio Concentration Risk: The Fund has a concentrated portfolio (holds a limited number of investments and/or has a restricted investment universe) and if one or more of these investments declines or is otherwise affected, it may have a pronounced effect on the fund’s value.

Inflation Risk: Most bond and cash funds offer limited capital growth potential and an income that is not linked to inflation. Inflation is likely to affect the value of capital and income over time.

Interest Rate Risk: Changes in interest rates are likely to affect the fund’s value. In general, as interest rates rise, the price of a fixed rate bond will fall, and vice versa.

Valuation Risk: The fund’s assets may sometimes be difficult to value objectively and the actual value may not be recognised until assets are sold.

Short Selling Risk: Short selling intends to make a profit from falling prices. However if the value of the underlying investment increases, the value of the short position will decrease. The potential losses are unlimited as the prices of the underlying investments can increase very significantly in a short space of time.

Investment in Derivatives Risk: The Investment Policy of the fund allows it to invest materially in derivatives.

Leverage Risk: Leverage amplifies the effect that a change in the price of an investment has on the fund’s value. As such, leverage can enhance returns to investors but can also increase losses, including losses in excess of the amount invested.

Derivatives for EPM/Hedging Risk: The investment policy of the fund allows it to invest in derivatives for the purposes of reducing risk or minimising the cost of transactions.

Volatility Risk: The fund may exhibit significant price volatility.

High Volatility Risk: The fund typically carries a risk of high volatility due to its portfolio composition or the portfolio management techniques used. This means that the fund’s value is likely to fall and rise more frequently and this could be more pronounced than with other funds.

Further risks applicable to the fund can be found in the Prospectus.

To find out more visit columbiathreadneedle.comThreadneedle Investment Services Limited, ISA Manager, Authorised Corporate Director and Unit Trust Manager. Registered No 3701768. Registered in England and Wales. Registered Office: Cannon Place, 78 Cannon Street, London EC4N 6AG. Authorised and regulated by the Financial Conduct Authority. Columbia Threadneedle Investments is the global brand name of the Columbia and Threadneedle group of companies. columbiathreadneedle.com 122572

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