Eurizon Manager Selection Fund

Transcription

1 EurizonCapital s.a. Eurizon Manager Selection Fund A Mutual Fund ( Fonds Commun de Placement ) governed by the Law of Luxembourg Subscriptions cannot be accepted on the basis of this financial report. Subscriptions are only valid if made on the basis of the current Prospectus, the Key Investor Information Document, accompanied by a copy of the latest annual report or a copy of the subsequent semi-annual report if it has been published. Annual report as at 31 March 2016

2 Eurizon Manager Selection Fund Table of contents Organisation of the Fund 3 Board of Directors of the Management Company s report on the management of the Fund 7 Report of the Réviseur d Entreprises agréé 10 Comparative Net Asset Values over the last three years 12 Combined Statement of Net Assets 13 Combined Statement of Changes in Net Assets 14 Eurizon Manager Selection Fund - MS Statement of Net Assets 15 Statement of Changes in Net Assets 16 Portfolio 17 Commitments on future contracts 20 Forward foreign exchange contracts 21 Eurizon Manager Selection Fund - MS Statement of Net Assets 22 Statement of Changes in Net Assets 23 Portfolio 24 Commitments on future contracts 27 Forward foreign exchange contracts 28 Eurizon Manager Selection Fund - MS Statement of Net Assets 29 Statement of Changes in Net Assets 30 Portfolio 31 Commitments on future contracts 34 Forward foreign exchange contracts 35 Eurizon Manager Selection Fund - MS Statement of Net Assets 36 Statement of Changes in Net Assets 37 Portfolio 38 Commitments on future contracts 41 Forward foreign exchange contracts 42 Notes to the financial statements 43 2

3 ORGANISATION OF THE FUND Eurizon Manager Selection Fund MANAGEMENT COMPANY AND PROMOTER Eurizon Capital S.A. 8, avenue de la Liberté L Luxembourg (Grand Duchy of Luxembourg) R.C.S. Luxembourg B BOARD OF DIRECTORS OF THE MANAGEMENT COMPANY Chairman of the Board of Directors Mr. Tommaso CORCOS Managing Director of Eurizon Capital SGR S.p.A., Milan Resident of Milan (Italy) Vice-Chairman of the Board of Directors Mr. Daniel GROS Vice Chairman of Eurizon Capital SGR S.p.a., Milan Resident of Brussels (Belgium) Managing Director Mr. Massimo MAZZINI General Manager of Eurizon Capital S.A., Luxembourg Resident of Luxembourg (Grand Duchy of Luxembourg) (until 7 July 2015) Managing Director Mr. Bruno ALFIERI General Manager of Eurizon Capital S.A., Luxembourg Resident of Luxembourg (Grand Duchy of Luxembourg) (since 8 July 2015) Director Mr. Massimo MAZZINI Head of Marketing and Business Development of Eurizon Capital SGR S.p.A., Milan Resident of Milan (Italy) (since 8 July 2015) Director Mr. Bruno ALFIERI General Manager and Director of Fideuram Bank Luxembourg S.A., Luxembourg Resident of Luxembourg (Grand Duchy of Luxembourg) (until 7 July 2015) Director Mr. Massimo TORCHIANA Co-General Manager of Eurizon Capital S.A., Luxembourg Resident of Luxembourg (Grand Duchy of Luxembourg) Director Mr. Alex SCHMITT Independent Director, Lawyer, Luxembourg Resident of Luxembourg (Grand Duchy of Luxembourg) 3

4 ORGANISATION OF THE FUND Eurizon Manager Selection Fund DEPOSITARY BANK AND PAYING AGENT LOCAL PAYING AGENTS Director Mr. Claudio SOZZINI Independent Director Resident of Milan (Italy) Director Ms. Zhen GAO Independent Director, Managing Partner of Mandarin Capital Partners, Resident of Beijing (People s Republic of China) (since 10 September 2015) State Street Bank Luxembourg S.C.A. 49, avenue J.F. Kennedy L-1855, Luxembourg (Grand Duchy of Luxembourg) Italy: State Street Bank GmbH Branch Italy, 10, via Ferrante Aporti I-20125, Milan (Italy) ALLFUNDS Bank S.A., (acting through its Italian Branch) 7, via Santa Margherita I-20121, Milan (Italy) CACEIS Bank Luxembourg Italian Branch 2, Piazza Cavour I-20121, Milan (Italy) ADMINISTRATIVE AGENT, REGISTRAR AND TRANSFER AGENT INVESTMENT MANAGER State Street Bank Luxembourg S.C.A. 49, avenue J.F. Kennedy L-1855, Luxembourg (Grand Duchy of Luxembourg) (these functions have been delegated by Eurizon Capital S.A.) Eurizon Capital SGR S.p.A. 3, Piazzetta Giordano dell Amore I-20121, Milan (Italy) (this function has been delegated by Eurizon Capital S.A.) INDEPENDENT AUDITOR OF THE INVESTMENT FUND AND OF THE MANAGEMENT COMPANY KPMG Luxembourg, Société coopérative 39, avenue J.F. Kennedy L-1855, Luxembourg (Grand Duchy of Luxembourg) 4

5 ORGANISATION OF THE FUND Eurizon Manager Selection Fund CONSTITUTION Eurizon Manager Selection Fund (the Fund ) was created in the Grand Duchy of Luxembourg on 6 April 2006 in the form of a mutual investment fund in transferable securities governed by the Law of Luxembourg, and is currently subject to Part I of the Law of 17 December 2010 on undertakings for collective investment ( UCI ). The management regulations (the Management Regulations ), after having been approved by the Board of Directors of the management company Eurizon Capital S.A. (the Management Company ), have been signed by Sanpaolo Bank S.A., the Custodian Bank at that date, on 6 April They were filed with the Registre de Commerce et des Sociétés in Luxembourg on 12 April 2006 and have been published in the Mémorial, Recueil des Sociétés et Associations on 18 April Amendments were made to the Management Regulations and the notification of the filing with the Registre de Commerce et des Sociétés in Luxembourg were published in the Mémorial, Recueil des Sociétés et Associations on 14 May 2007, on 7 October 2008, on 5 August 2009, on 9 August 2010 and on 31 October The notification of the filing with the Registre de Commerce et des Sociétés in Luxembourg of the latest modifications to the Management Regulations were published in the Mémorial, Recueil des Sociétés et Associations on 18 June 2012, on 3 February 2014 and on 29 February The Management Regulations in force have been filed with the Registre de Commerce et des Sociétés in Luxembourg, where they may be consulted, and copies can be obtained. The Fund has been established for an indefinite period. The Management Company has decided to modify the Fund s name from Sanpaolo Manager Selection Fund to Eurizon Manager Selection Fund with effective date 14 July On the same date the Sub-Funds SMS Sanpaolo Manager Selection 10, SMS Sanpaolo Manager Selection 20, SMS Sanpaolo Manager Selection 40, SMS Sanpaolo Manager Selection 70, respectively changed their name for Eurizon Manager Selection Fund - MS 10, Eurizon Manager Selection Fund - MS 20, Eurizon Manager Selection Fund - MS 40, Eurizon Manager Selection Fund - MS 70. The Fund is an umbrella fund. The Sub-Funds which are active on 31 March 2016 are listed below: Eurizon Manager Selection Fund - MS 10, Eurizon Manager Selection Fund - MS 20, Eurizon Manager Selection Fund - MS 40, Eurizon Manager Selection Fund - MS 70. All the Sub-Funds were launched on 3 July The Units which are available to investors for the different Sub-Funds are detailed in note 8 Units of the Fund of the notes to the financial statements. GENERAL MEETING The Annual General Meeting of the Shareholders of the Management Company is held in Luxembourg, at its registered office, on the last Tuesday of March at 3 p.m. and if such day is not a business day in the Grand Duchy of Luxembourg, the next business day. INFORMATION FOR FUND UNITHOLDERS Copies of audited annual reports as at 31 March and copies of unaudited semi-annual reports as at 30 September are available free of charge to Unitholders at the Depositary Bank, other establishments specified by the latter, and at the registered office of the Management Company. The periodic reports contain all information relative to the Fund, to the composition and to the development of its assets. The financial year begins on 1 April and ends on 31 March. The Net Asset Value as well as the subscription and redemption prices of the Fund Units can also be obtained from the Depositary Bank. 5

6 ORGANISATION OF THE FUND Eurizon Manager Selection Fund Other information intended for participants is published in the Mémorial, Recueil des Sociétés et Associations and in the Registre de Commerce et des Sociétés in Luxembourg, if this publication is specified by the Management Regulations or by Law. GLOBAL RISK EXPOSURE The method used to calculate the global risk exposure is the commitment approach. REMUNERATION POLICY In accordance with applicable regulations and Intesa Sanpaolo Group guidelines, the Company has adopted a remuneration policy appropriate to its size, internal organization and the nature, scope and complexity of its activities for the financial year In the context of the implementation of the new principles set out in the Directive 2014/91/EU of 23 July 2014 ( UCITS V Directive), applicable from 1 January 2017, an updated remuneration policy will be issued in the light of the Guidelines on sound remuneration policies under the UCITS Directive and AIFMD published by the European Securities and Markets Authority on 31 March

7 BOARD OF DIRECTORS OF THE MANAGEMENT COMPANY'S REPORT ON THE MANAGEMENT OF THE FUND Dear Unitholders, Market Performance The reference period (1 April March 2016) was characterised by an alternation between signs of resilience in the financial markets and factors that generated tension and volatility. The quantitative easing plan (QE) announced by the European Central Bank (ECB) at the beginning of 2015 led to euphoria on the financial markets that lasted until mid-april 2015, leading to rising markets, falling interest rates and the euro falling against the US dollar. This euphoria was punctured by two events in spring Firstly there was the improvement of the macro data. Paradoxically, the return of growth to the eurozone complicated things for the markets because it caused German interest rates to rise rapidly. This stopped the fall of the euro and created conditions for profit taking on the markets. The second disturbing element was the Greek crisis, which was again the centre of the markets' attention from April. Uncertainty reached its height in July, with the risk of a rupture between the Tsipras government and its European partners (as a result of the Greek referendum). The surprise decision by the Greek government to accept the European Union's (EU) plan then led to further uncertainty. In reality, while this development featured heavily in the media, its effect on the markets was modest, except for Greek businesses. Even at times of maximum uncertainty, the shield offered by the ECB was effective in containing the contagion. Then as soon as interest in the Greek situation waned, the markets focused on risks relating to China. There were two key moments in summer 2015: an unexpected collapse of the Chinese stock market (which fell 30% between mid-june and the start of July, after a rise of 150% over the previous two years) and the decision by the Chinese authorities to devalue the yuan against the dollar at the start of August. While the move on the exchange rate was modest, it took the markets completely by surprise and illustrated the problems of the Chinese authorities in controlling the slowing of the economy. The weakness of the emerging economies and the risk of contagion for developed economies became the main focus for the markets. August was a month of significant losses for stock markets. A precarious stability emerged in September, while October brought a strong bounce back which to a great extent recovered previous losses. The markets were mostly reassured by developed economies demonstrating solid domestic demand. The good state of health of the US economy allowed the Federal Reserve to raise interest rates at its December meeting. A further expansive manoeuvre was introduced by the ECB in the same month when it lowered the deposit rate (from -0.2% to -0.3%) and extended QE until March However, this manoeuvre somewhat disappointed market expectations and led to further falls on equity markets. Also in December, a further surprise was China's decision to unhitch its currency from the dollar and instead peg it to a basket of currencies. An implicit announcement that it wanted to continue the devaluation started in August started with t urbulence on the markets, with many similarities to what had happened in August. The Fed's decision to start raising interest rates, upward pressure on the dollar, the further devaluation of its currency by China and the concomitant fall in oil prices gave financial operators the impression that there was a lack of coordination in economic policy causing significant falls on the markets. The markets considered the fall in the oil price an indicator of low economic growth, fearing that the dramatic fall over the previous year and a half could translate into bankruptcies in the sector with negative impacts for the economy.

8 Tension was acute until the start of February. Volatility then declined and risky assets recovered previous losses to a large extent. The markets considered China's undertaking to not systematically devalue its currency, and the willingness of the Federal Reserve to employ a light touch on raising interest rates as a declaration of peace in the currency war. The Fed wants to continue the increase in interest rates started in December 2015, but will do so taking into account the needs of a still fragile global economy. Another cause for relief at the end of the quarter was a peace declaration of sorts in the oil war, with Russia and Saudi Arabia willing to freeze production even if an agreement was not then signed at the OPEC meeting in April Also of note were increases in monetary stimuli by the BoJ and even more so by the ECB, interventions which, while they had fewer implications for the overall picture, were particularly significant because they caused interest rates in the eurozone and in Japan to fall again. At the end of the first quarter of 2016, the adoption of a coordinated political agenda has reassured the markets, although the context still has some elements of uncertainty relating to growth that is generally weak and varies considerably between different areas. Despite the complexity of the period in question, the global bond market as a whole recorded earnings of 2.9% expressed in local currency (JPM Global index). There were also positive performances in the main geographical areas with, for example, a rise of 0.8% in the eurozone, 2.5% in the US, and 5.9% in emerging countries (performances expressed in local currency). The balance for the past year is, however, less favourable for the equity markets. The global equity market (MSC! World index in local currency) fell by 4.6% over the April March 2016 period. Results were also generally disappointing in the main geographical areas with the eurozone losing 13.6% and emerging countries falling by 7.7%, although the United States remained essentially solid with a modest rise of 0.2% (performances expressed in local currency). On foreign exchange markets, the period of reference ended with a strengthening of the euro against the main currencies. Indeed the single currency rose by 6.1 % against the US dollar and 9.6% against sterling with just a slight drop of 0.6% against the yen. The currency dynamic also influenced performances expressed in euros of markets outside the eurozone. In the global equity market, for example, the loss expressed in euros was amplified to 9% (compared with - 4.6% in local currency) and the US equity market saw the result descend into negative territory when expressed in euros (-5.5% compared with a gain in local currency of 0.2%). The global bond market recorded a fall in euros of 0.2% (compared with a gain of 2.9% expressed in local currency) while the US bond market fell by 3.4% (compared with a 2.5% rise in local currency). Activity of the Fund At the end of March 2016, Eurizon Manager Selection Fund was composed of 4 Sub-Funds for an overall net asset value of EUR ,22. The annual in- and outflows as well as the net assets as of 31 March 2016 of each Sub-Fund are shown in the following table (in EUR), which encompasses each Class of Units :

9 DENOMINATION OF THE SUB-FUNDS SUBSCRIPTIONS REDEMPTIONS NET ASSETS Eurizon Manager Selection Fund - MS 1 O ,61 ( ,82) ,25 Eurizon Manager Selection Fund - MS ,29 ( ,24) , 19 Eurizon Manager Selection Fund - MS ,15 ( ,94) ,59 Eurizon Manaaer Selection Fund - MS , 76 ( , ,19 Eurizon Manager Selection Fund ,81 ( ,02) ,22 In the course of the financial year, the Sub-Funds of Eurizon Manager Selection Fund reported the following performances: Eurizon Manager Selection Fund - MS 10 (R Units) : -1,71% Eurizon Manager Selection Fund - MS 20 (R Units) : -2,67% Eurizon Manager Selection Fund - MS 40 (R Units) : -4,87% Eurizon Manager Selection Fund - MS 70 (R Units) : -7,92%. C Luxembourg, \--:e 28 June _ 2016 _ Massimo TORCHIANA Director Co-General Manager The Board of Directors Bruno ALFIERI Managing Director General Manager

10 To the Unitholders of Eurizon Manager Selection Fund 8, avenue de la Liberté L-1930 Luxembourg REPORT OF THE REVISEUR D ENTREPRISES AGREE We have audited the accompanying financial statements of Eurizon Manager Selection Fund and each of its sub-funds, which comprise the statement of net assets, the portfolio, the commitments on future contracts and the forward foreign exchange contracts as at 31 March 2016 and the statement of changes in net assets for the year then ended, and a summary of significant accounting policies and other explanatory information. Board of Directors of the Management Company responsibility for the financial statements The Board of Directors of the Management Company is responsible for the preparation and fair presentation of these financial statements in accordance with Luxembourg legal and regulatory requirements relating to the preparation of the financial statements, and for such internal control as the Board of Directors of the Management Company determines is necessary to enable the preparation of financial statements that are free from material misstatement, whether due to fraud or error. Responsibility of the Réviseur d Entreprises agréé Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit in accordance with International Standards on Auditing as adopted for Luxembourg by the Commission de Surveillance du Secteur Financier. Those standards require that we comply with ethical requirements and plan and perform the audit to obtain reasonable assurance about whether the financial statements are free from material misstatement. An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on the judgement of the Réviseur d Entreprises agréé, including the assessment of the risks of material misstatement of the financial statements, whether due to fraud or error. In making those risk assessments, the Réviseur d Entreprises agréé considers internal control relevant to the entity s preparation and fair presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the entity s internal control. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of accounting estimates made by the Board of Directors of the Management Company, as well as evaluating the overall presentation of the financial statements. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion.

11 REPORT OF THE REVISEUR D'ENTREPRISES AGREE (continu ed) Opinion In our opinion, the financial statements give a true and fair view of the financial position of Eurizon Manager Selection Fund and each of its sub-funds as of 3 I March and of the results of their operations and changes in their net assets for the year then ended in accordance with Luxembourg lega l and regulatory requirements relating to the preparation of the financial statements. Other mailer Supplementary information included in the annual report has been reviewed in the context of our mandate but has not been subject to specific audit procedures carried out in accordance with the standards described above. Consequently, we express no opinion on such information. However, we have no observation to make concerning such information in the context of the financial statements taken as a whole. Luxembourg, 29 June KPMG Luxembourg, Socictc cooperative Cabinet d r,. sion agree

12 Eurizon Manager Selection Fund COMPARATIVE NET ASSET VALUES OVER THE LAST THREE YEARS 31 March March March 2014 Currency Total NAV per Unit Total NAV per Unit Total NAV per Unit Eurizon Manager Selection Fund - MS 10 Class R Units EUR ,25 147, ,32 149, ,24 135,15 Total net assets EUR , , ,24 Eurizon Manager Selection Fund - MS 20 Class R Units EUR ,19 145, ,97 149, ,60 133,15 Total net assets EUR , , ,60 Eurizon Manager Selection Fund - MS 40 Class R Units EUR ,59 140, ,25 147, ,78 125,01 Total net assets EUR , , ,78 Eurizon Manager Selection Fund - MS 70 Class R Units EUR ,19 147, ,64 160, ,32 127,14 Total net assets EUR , , ,32 12

13 Eurizon Manager Selection Fund COMBINED STATEMENT OF NET ASSETS AS AT 31 MARCH 2016 IN EUR Assets Notes Investments in securities (Note 2) ,16 Banks ,03 Amounts due from brokers (Note 2) ,62 Unrealised profit on forward foreign exchange contracts (Notes 2, 7) ,40 Unrealised profit on future contracts (Notes 2, 7) ,04 Other interest receivable ,30 Receivable on subscriptions ,25 Other assets ,19 Total assets ,99 Liabilities Amounts due to brokers (Note 2) (9 289,38) Unrealised loss on forward foreign exchange contracts (Notes 2, 7) ( ,13) Unrealised loss on future contracts (Notes 2, 7) ( ,63) Payable on investments purchased ( ,64) Payable on redemptions ( ,53) Other liabilities ( ,46) Total liabilities ( ,77) Total net assets ,22 13

14 Eurizon Manager Selection Fund COMBINED STATEMENT OF CHANGES IN NET ASSETS FOR THE YEAR ENDED 31 MARCH 2016 IN EUR Net assets at the beginning of the year Notes ,18 Net income from investments (Note 2) ,00 Interest on bank accounts 278,35 Other income (Note 5) ,41 Total income ,76 Management fee (Note 5) ( ,32) Depositary fee (Note 6) ( ,68) Subscription tax (Note 3) ( ,12) Interest on bank accounts (308,98) Other charges and taxes (Notes 4, 6) ( ,72) Total expenses ( ,82) Net investment income / (loss) ( ,06) Net realised profit / (loss) on sales of investments, currencies and other financial instruments (Notes 2, 7) ,97 Change in unrealised appreciation / (depreciation) on - investments (Note 2) ( ,11) - forward foreign exchange contracts (Notes 2, 7) ,19 - foreign currencies (8 050,38) - future contracts (Notes 2, 7) ,64 Net result of operations for the year ( ,75) Subscriptions for the year ,81 Redemptions for the year ( ,02) Net assets at the end of the year ,22 14

15 Eurizon Manager Selection Fund - MS 10 STATEMENT OF NET ASSETS AS AT 31 MARCH 2016 IN EUR Assets Notes Investments in securities (Note 2) ,11 Banks ,69 Unrealised profit on forward foreign exchange contracts (Notes 2, 7) ,35 Unrealised profit on future contracts (Notes 2, 7) ,31 Other interest receivable ,36 Receivable on subscriptions ,31 Other assets ,23 Total assets ,36 Liabilities Amounts due to brokers (Note 2) (9 289,38) Unrealised loss on forward foreign exchange contracts (Notes 2, 7) (27 040,52) Unrealised loss on future contracts (Notes 2, 7) (6 700,00) Payable on redemptions ( ,05) Other liabilities ( ,16) Total liabilities ( ,11) Total net assets ,25 Currency Net Asset Value per Unit Units outstanding Class R Units EUR 147, ,020 15

16 Eurizon Manager Selection Fund - MS 10 STATEMENT OF CHANGES IN NET ASSETS FOR THE YEAR ENDED 31 MARCH 2016 IN EUR Net assets at the beginning of the year Notes ,32 Net income from investments (Note 2) ,76 Other income (Note 5) ,85 Total income ,61 Management fee (Note 5) ( ,80) Depositary fee (Note 6) (72 640,60) Subscription tax (Note 3) (19 984,64) Other charges and taxes (Notes 4, 6) ( ,17) Total expenses ( ,21) Net investment income / (loss) ( ,60) Net realised profit / (loss) on sales of investments, currencies and other financial instruments (Notes 2, 7) ,17 Change in unrealised appreciation / (depreciation) on - investments (Note 2) ( ,88) - forward foreign exchange contracts (Notes 2, 7) ,71 - foreign currencies (8 645,11) - future contracts (Notes 2, 7) 8 940,85 Net result of operations for the year ( ,86) Subscriptions for the year ,61 Redemptions for the year ( ,82) Net assets at the end of the year ,25 16

17 Eurizon Manager Selection Fund - MS 10 PORTFOLIO AS AT 31 MARCH 2016 IN EUR Nominal / Quantity Description Currency Acquisition cost Carrying amount value % of Net Assets PORTFOLIO , ,11 99,00 TRANSFERABLE SECURITIES AND MONEY MARKET INSTRUMENTS ADMITTED TO OFFICIAL STOCK EXCHANGE LISTING , ,87 14,27 Ordinary Bonds , ,87 10,22 ITALY , ,32 6,93 Government , ,32 6, ,00 BTP 4.75% 01/06/2017 EUR , ,70 1, ,00 BTP 4.50% 01/03/2024 EUR , ,00 1, ,00 BTP 4.75% 01/09/2044 EUR , ,00 1, ,00 BTP 1.65% 23/04/2020 EUR , ,86 0, ,05 BTP 0.50% 20/04/2023 EUR , ,76 0, ,00 BTP 3.50% 01/12/2018 EUR , ,00 0, ,00 BTP 1.35% 15/04/2022 EUR , ,00 0, ,00 BTP 5.00% 01/09/2040 EUR , ,00 0,34 SPAIN , ,85 2,12 Government , ,85 2, ,00 SPAIN GOVERNMENT BOND 3.80% 30/04/2024 EUR , ,60 1, ,00 SPAIN GOVERNMENT BOND 4.20% 31/01/2037 EUR , ,25 0,87 PORTUGAL , ,00 0,51 Government , ,00 0, ,00 PORTUGAL OBRIGACOES DO TESOURO OT 3.875% EUR , ,00 0,51 15/02/2030 GERMANY , ,50 0,35 Government , ,50 0, ,00 BUNDESREPUBLIK DEUTSCHLAND 2.50% EUR , ,50 0,35 15/08/2046 FRANCE , ,20 0,31 Government , ,20 0, ,00 FRANCE GOVERNMENT BOND OAT 3.25% EUR , ,20 0,31 25/05/2045 Floating rate notes , ,00 3,47 ITALY , ,00 3,47 Government , ,00 3, ,00 CCT FRN 15/11/2019 EUR , ,00 2, ,00 CCT FRN 15/12/2020 EUR , ,00 1,23 Zero-Coupon Bonds , ,00 0,58 ITALY , ,00 0,58 Government , ,00 0, ,00 CTZ 0.00% 30/08/2017 EUR , ,00 0,58 OTHER TRANSFERABLE SECURITIES AND MONEY MARKET INSTRUMENTS , ,00 4,32 Zero-Coupon Bonds , ,00 4,32 FRANCE , ,00 4,32 Finance , ,00 4, ,00 INTESA SANPAOLO SPA 0.00% 22/04/2016 EUR , ,00 4,32 17

18 Eurizon Manager Selection Fund - MS 10 PORTFOLIO AS AT 31 MARCH 2016 IN EUR Nominal / Quantity Description Currency Acquisition cost Carrying amount value % of Net Assets INVESTMENT FUNDS , ,24 80,41 UCI Units , ,24 80,41 LUXEMBOURG , ,28 67,04 Finance , ,28 67, ,61 GENERALI INVESTMENTS SICAV - EURO SHORT EUR , ,26 13,11 TERM BONDS -BX ,13 EURIZON EASYFUND - BOND HIGH YIELD -Z- EUR , ,47 12, ,05 EURIZON EASYFUND - BOND EMERGING MARKETS - EUR , ,20 11,69 ZH ,85 EURIZON EASYFUND - BOND EUR LONG TERM LTE - EUR , ,22 9,89 Z ,19 EURIZON EASYFUND - BOND EUR MEDIUM TERM EUR , ,59 7,33 LTE -Z ,73 EURIZON EASYFUND - BOND EUR SHORT TERM LTE EUR , ,12 3,18 -Z ,49 NORDEA 1 SICAV - EUROPEAN HIGH YIELD BOND EUR , ,59 0,97 FUND -BI ,96 PARVEST EQUITY USA GROWTH -I- USD , ,27 0, ,16 PIONEER FUNDS - U.S. FUNDAMENTAL GROWTH -E- EUR , ,82 0, ,21 UBS LUX EQUITY SICAV - USA GROWTH -Q ACC- USD , ,17 0, ,06 JPMORGAN FUNDS - HIGHBRIDGE US STEEP -A USD , ,10 0,52 ACC ,98 EURIZON EASYFUND - BOND EMERGING MARKETS EUR , ,07 0,51 IN LOCAL CURRENCIES -Z ,04 EPSILON FUND - EURO CASH -I- EUR , ,50 0, ,62 PICTET - JAPAN INDEX -IS- EUR , ,38 0,43 545,76 VONTOBEL FUND - US EQUITY -B- USD , ,10 0, ,81 PICTET - PACIFIC EX JAPAN INDEX -IS- USD , ,23 0, ,19 ALLIANCE BERNSTEIN SICAV - SELECT US EQUITY USD , ,51 0,41 PORTFOLIO -I ,47 ROBECO CAPITAL GROWTH FUNDS - US SELECT USD , ,72 0,40 OPPORTUNITIES EQUITIES -I ,56 JPMORGAN FUNDS - US VALUE FUND -C- USD , ,43 0, ,43 MFS MERIDIAN FUNDS - EUROPEAN VALUE FUND - EUR , ,26 0,31 A ,49 VONTOBEL FUND - EUROPEAN EQUITY -B- EUR , ,71 0,30 127,49 ALLIANZ EUROPE EQUITY GROWTH -IT- EUR , ,03 0, ,61 BLACKROCK GLOBAL FUNDS - EUROPEAN SPECIAL EUR , ,79 0,30 SITUATIONS FUND -A ,71 JUPITER JGF - EUROPEAN GROWTH -I- EUR , ,44 0, ,76 JPMORGAN FUNDS - EUROPE EQUITY PLUS FUND -C EUR , ,60 0,24 ACC ,91 HENDERSON HORIZON - PAN EUROPEAN EQUITY EUR , ,45 0,24 FUND -A ,58 INVESCO PAN EUROPEAN STRUCTURED EQUITY EUR , ,10 0,23 FUND -A ,24 FAST - EUROPE FUND -Y ACC- EUR , ,66 0, ,49 INVESCO PAN EUROPEAN EQUITY FUND -A- EUR , ,59 0,22 902,14 PICTET - USA INDEX -IS- USD , ,90 0,14 FRANCE , ,80 9,57 Finance , ,80 9, ,00 LYXOR UCITS ETF EUROMTS ALL- MATURITY INVESTMENT GRADE DR EUR , ,80 9,57 IRELAND , ,16 3,80 Finance , ,16 3, ,93 POLAR CAPITAL NORTH AMERICAN FUND -I- USD , ,14 0, ,13 AXA ROSENBERG EQUITY ALPHA TRUST - US USD , ,17 0,65 ENHANCED INDEX EQUITY ALPHA FUND -A ,00 ISHARES CORE EURO GOVERNMENT BOND UCITS EUR , ,00 0,60 ETF 7 687,00 SPDR BARCLAYS EMERGING MARKETS LOCAL BOND EUR , ,44 0,48 UCITS ETF 8 550,00 ISHARES EMERGING MARKETS LOCAL EUR , ,00 0,47 GOVERNMENT BOND UCITS ETF 18

19 Eurizon Manager Selection Fund - MS 10 PORTFOLIO AS AT 31 MARCH 2016 IN EUR Nominal / Quantity Description Currency Acquisition cost Carrying amount value % of Net Assets 3 782,17 NOMURA FUNDS IRELAND - JAPAN STRATEGIC VALUE FUND -A- 940,38 VANGUARD INVESTMENT SERIES PLC - US OPPORTUNITIES FUND -I- JPY , ,48 0,47 USD , ,93 0,44 Total Portfolio , ,11 99,00 19

20 Eurizon Manager Selection Fund - MS 10 COMMITMENTS ON FUTURE CONTRACTS AS AT 31 MARCH 2016 Size Quantity Purchase / Sale Description Maturity Currency Unrealised profit / (loss) (EUR) Commitment (EUR) Total Unrealised profit / (loss) on future contracts and commitment , ,57 Unrealised profit on future contracts and commitment , , Purchase S&P 500 EMINI 17/06/2016 USD , , Purchase EURO BUND 08/06/2016 EUR 2 680, , (8) Sale EURO BOBL 08/06/2016 EUR 2 000, , Purchase EURO OAT 08/06/2016 EUR 8 760, ,00 Unrealised loss on future contracts and commitment (6 700,00) , Purchase EURO STOXX 50 17/06/2016 EUR (6 700,00) ,00 20

21 Eurizon Manager Selection Fund - MS 10 FORWARD FOREIGN EXCHANGE CONTRACTS AS AT 31 MARCH 2016 Maturity Purchase commitment in currency Sale commitment in currency Unrealised profit/(loss) (EUR) Total Unrealised profit / (loss) on forward foreign exchange contracts (16 160,17) Unrealised profit on forward foreign exchange contracts ,35 15/04/ ,03 EUR ,00 USD ,83 15/04/ ,90 EUR ,00 USD 689,52 Unrealised loss on forward foreign exchange contracts (27 040,52) 15/04/ ,82 EUR ,00 JPY (13 924,78) 15/04/ ,00 USD ,83 EUR (10 705,63) 15/04/ ,00 JPY ,71 EUR (2 410,11) 21

22 Eurizon Manager Selection Fund - MS 20 STATEMENT OF NET ASSETS AS AT 31 MARCH 2016 IN EUR Assets Notes Investments in securities (Note 2) ,69 Banks ,86 Amounts due from brokers (Note 2) ,66 Unrealised profit on forward foreign exchange contracts (Notes 2, 7) ,41 Unrealised profit on future contracts (Notes 2, 7) ,45 Other interest receivable ,71 Receivable on subscriptions ,52 Other assets ,40 Total assets ,70 Liabilities Unrealised loss on forward foreign exchange contracts (Notes 2, 7) ( ,24) Unrealised loss on future contracts (Notes 2, 7) (37 000,00) Payable on redemptions ( ,61) Other liabilities ( ,66) Total liabilities ( ,51) Total net assets ,19 Currency Net Asset Value per Unit Units outstanding Class R Units EUR 145, ,225 22

23 Eurizon Manager Selection Fund - MS 20 STATEMENT OF CHANGES IN NET ASSETS FOR THE YEAR ENDED 31 MARCH 2016 IN EUR Net assets at the beginning of the year Notes ,97 Net income from investments (Note 2) ,59 Interest on bank accounts 256,35 Other income (Note 5) ,30 Total income ,24 Management fee (Note 5) ( ,04) Depositary fee (Note 6) ( ,94) Subscription tax (Note 3) ( ,69) Interest on bank accounts (214,38) Other charges and taxes (Notes 4, 6) ( ,35) Total expenses ( ,40) Net investment income / (loss) ( ,16) Net realised profit / (loss) on sales of investments, currencies and other financial instruments (Notes 2, 7) ,57 Change in unrealised appreciation / (depreciation) on - investments (Note 2) ( ,69) - forward foreign exchange contracts (Notes 2, 7) ,28 - foreign currencies 9 578,73 - future contracts (Notes 2, 7) ,44 Net result of operations for the year ( ,83) Subscriptions for the year ,29 Redemptions for the year ( ,24) Net assets at the end of the year ,19 23

24 Eurizon Manager Selection Fund - MS 20 PORTFOLIO AS AT 31 MARCH 2016 IN EUR Nominal / Quantity Description Currency Acquisition cost Carrying amount value % of Net Assets PORTFOLIO , ,69 99,12 TRANSFERABLE SECURITIES AND MONEY MARKET INSTRUMENTS ADMITTED TO OFFICIAL STOCK EXCHANGE LISTING , ,15 19,71 Ordinary Bonds , ,15 10,89 ITALY , ,15 7,26 Government , ,15 7, ,00 BTP 4.50% 01/03/2024 EUR , ,00 1, ,00 BTP 4.75% 01/09/2044 EUR , ,00 1, ,80 BTP 0.50% 20/04/2023 EUR , ,02 0, ,00 BTP 4.75% 01/06/2017 EUR , ,10 0, ,00 BTP 1.65% 23/04/2020 EUR , ,48 0, ,00 BTP 3.50% 01/03/2030 EUR , ,00 0, ,00 BTP 1.35% 15/04/2022 EUR , ,00 0, ,00 BTP 1.45% 15/09/2022 EUR , ,00 0, ,00 BTP 1.50% 15/12/2016 EUR , ,00 0, ,00 BTP 2.00% 01/12/2025 EUR , ,00 0, ,00 BTP 1.50% 01/08/2019 EUR , ,00 0, ,00 BTP 5.00% 01/09/2040 EUR , ,00 0, ,00 BTP 2.50% 01/05/2019 EUR , ,00 0, ,00 BTP 3.50% 01/12/2018 EUR , ,00 0, ,00 BTP 2.15% 12/11/2017 EUR , ,55 0,09 SPAIN , ,50 2,57 Government , ,50 2, ,00 SPAIN GOVERNMENT BOND 3.80% 30/04/2024 EUR , ,00 1, ,00 SPAIN GOVERNMENT BOND 4.20% 31/01/2037 EUR , ,50 0,81 PORTUGAL , ,00 0,43 Government , ,00 0, ,00 PORTUGAL OBRIGACOES DO TESOURO OT 3.875% EUR , ,00 0,43 15/02/2030 GERMANY , ,00 0,32 Government , ,00 0, ,00 BUNDESREPUBLIK DEUTSCHLAND 2.50% EUR , ,00 0,32 15/08/2046 FRANCE , ,50 0,31 Government , ,50 0, ,00 FRANCE GOVERNMENT BOND OAT 3.25% EUR , ,50 0,31 25/05/2045 Floating rate notes , ,00 3,97 ITALY , ,00 3,97 Government , ,00 3, ,00 CCT FRN 15/11/2019 EUR , ,00 2, ,00 CCT FRN 15/12/2020 EUR , ,00 1,61 Zero-Coupon Bonds , ,00 4,85 ITALY , ,00 4,85 Government , ,00 4, ,00 BOT 0.00% 14/04/2016 EUR , ,00 1, ,00 CTZ 0.00% 30/08/2017 EUR , ,00 1, ,00 BOT 0.00% 14/06/2016 EUR , ,00 1, ,00 BOT 0.00% 14/09/2016 EUR , ,00 0,45 24

25 Eurizon Manager Selection Fund - MS 20 PORTFOLIO AS AT 31 MARCH 2016 IN EUR Nominal / Quantity Description Currency Acquisition cost Carrying amount value % of Net Assets OTHER TRANSFERABLE SECURITIES AND MONEY MARKET INSTRUMENTS , ,00 4,31 Zero-Coupon Bonds , ,00 4,31 FRANCE , ,00 4,31 Finance , ,00 4, ,00 INTESA SANPAOLO SPA 0.00% 22/04/2016 EUR , ,00 4,31 INVESTMENT FUNDS , ,54 75,10 UCI Units , ,54 75,10 LUXEMBOURG , ,32 61,01 Finance , ,32 61, ,23 EURIZON EASYFUND - BOND HIGH YIELD -Z- EUR , ,16 11, ,16 EURIZON EASYFUND - BOND EMERGING MARKETS - EUR , ,55 11,76 ZH ,70 EURIZON EASYFUND - BOND EUR LONG TERM LTE - EUR , ,60 5,91 Z ,17 EURIZON EASYFUND - BOND EUR MEDIUM TERM EUR , ,65 4,79 LTE -Z ,98 GENERALI INVESTMENTS SICAV - EURO SHORT EUR , ,80 3,87 TERM BONDS -BX ,55 EPSILON FUND - EURO CASH -I- EUR , ,97 3, ,19 EURIZON EASYFUND - BOND EUR SHORT TERM LTE EUR , ,91 1,08 -Z ,46 FIDELITY FUNDS - AMERICAN GROWTH FUND -Y USD , ,73 0,93 ACC ,99 PARVEST EQUITY USA GROWTH -I- USD , ,95 0, ,14 UBS LUX EQUITY SICAV - USA GROWTH -Q ACC- USD , ,87 0, ,22 NORDEA 1 SICAV - EUROPEAN HIGH YIELD BOND EUR , ,00 0,88 FUND -BI ,83 PIONEER FUNDS - U.S. FUNDAMENTAL GROWTH -E- EUR , ,33 0, ,61 VONTOBEL FUND - US EQUITY -B- USD , ,05 0, ,75 PICTET - PACIFIC EX JAPAN INDEX -IS- USD , ,36 0, ,40 EURIZON EASYFUND - TREASURY EUR T1 -Z- EUR , ,74 0, ,55 ALLIANCE BERNSTEIN SICAV - SELECT US EQUITY USD , ,33 0,80 PORTFOLIO -I ,27 JPMORGAN FUNDS - HIGHBRIDGE US STEEP -A USD , ,50 0,79 ACC ,13 ROBECO CAPITAL GROWTH FUNDS - US SELECT USD , ,78 0,69 OPPORTUNITIES EQUITIES -I ,16 PRIVILEDGE - DELAWARE US LARGE CAP VALUE -IA- USD , ,00 0, ,23 EURIZON EASYFUND - BOND EMERGING MARKETS EUR , ,70 0,60 IN LOCAL CURRENCIES -Z ,87 JPMORGAN FUNDS - US VALUE FUND -C- USD , ,11 0, ,73 INVESCO PAN EUROPEAN EQUITY FUND -A- EUR , ,15 0, ,29 MFS MERIDIAN FUNDS - EUROPEAN VALUE FUND - EUR , ,78 0,46 A ,85 PICTET - JAPAN INDEX -IS- EUR , ,97 0, ,08 UBS LUX BOND FUND - EURO HIGH YIELD EUR -Q EUR , ,39 0,41 ACC ,15 INVESCO PAN EUROPEAN STRUCTURED EQUITY EUR , ,28 0,40 FUND -A ,81 FIDELITY FUNDS - AMERICA FUND -Y ACC- USD , ,05 0, ,64 VONTOBEL FUND - EUROPEAN EQUITY -B- EUR , ,98 0, ,51 PICTET - USA INDEX -IS- USD , ,05 0, ,45 FIDELITY FUNDS - EUROPEAN DYNAMIC GROWTH EUR , ,66 0,29 FUND -Y ACC ,47 HENDERSON GARTMORE FUND - PAN EUROPEAN EUR , ,15 0,29 FUND -R ACC ,44 BLACKROCK GLOBAL FUNDS - EUROPEAN SPECIAL EUR , ,62 0,28 SITUATIONS FUND -A ,34 JUPITER JGF - EUROPEAN GROWTH -I- EUR , ,04 0, ,23 FAST - EUROPE FUND -Y ACC- EUR , ,38 0, ,55 NORDEA 1 SICAV - EUROPEAN VALUE FUND -BI- EUR , ,74 0, ,51 HENDERSON HORIZON - PAN EUROPEAN EQUITY FUND -A2- EUR , ,40 0,26 25

26 Eurizon Manager Selection Fund - MS 20 PORTFOLIO AS AT 31 MARCH 2016 IN EUR Nominal / Quantity Description Currency Acquisition cost Carrying amount value % of Net Assets ,29 PICTET - EUROPE INDEX -IS- EUR , ,93 0, ,97 ALLIANZ EUROPE EQUITY GROWTH -IT- EUR , ,28 0, ,28 JPMORGAN FUNDS - EUROPE EQUITY PLUS FUND -C EUR , ,13 0,25 ACC ,14 MFS MERIDIAN FUNDS - EUROPEAN RESEARCH EUR , ,02 0,25 FUND -A ,24 WELLS FARGO LUX WORLDWIDE FUND - US ALL USD , ,08 0,25 CAP GROWTH -I ,71 BLACKROCK GLOBAL FUNDS - EUROPEAN FUND -A2- EUR , ,16 0, ,72 ABERDEEN GLOBAL - JAPANESE EQUITY FUND -A2- JPY , ,18 0, ,81 FRANKLIN TEMPLETON INVESTMENT FUNDS - FRANKLIN MUTUAL EUROPEAN FUND -A ACC- EUR , ,81 0,20 IRELAND , ,77 7,82 Finance , ,77 7, ,00 ISHARES CORE EURO GOVERNMENT BOND UCITS EUR , ,29 2,46 ETF ,04 AXA ROSENBERG EQUITY ALPHA TRUST - US USD , ,29 1,12 ENHANCED INDEX EQUITY ALPHA FUND -A ,68 POLAR CAPITAL NORTH AMERICAN FUND -I- USD , ,46 0, ,95 VANGUARD INVESTMENT SERIES PLC - US USD , ,33 0,75 OPPORTUNITIES FUND -I ,00 ISHARES EMERGING MARKETS LOCAL EUR , ,80 0,53 GOVERNMENT BOND UCITS ETF ,00 SPDR BARCLAYS EMERGING MARKETS LOCAL BOND EUR , ,00 0,47 UCITS ETF ,71 NOMURA FUNDS IRELAND - JAPAN STRATEGIC JPY , ,67 0,45 VALUE FUND -A ,17 MAN GLG INVESTMENTS PLC - GLG JAPAN JPY , ,83 0,41 COREALPHA EQUITY -I ,00 ISHARES MSCI CANADA UCITS ETF EUR , ,00 0, ,00 ISHARES MSCI JAPAN UCITS ETF -B ACC- EUR , ,00 0, ,00 ISHARES EURO HIGH YIELD CORPORATE BOND UCITS ETF EUR , ,10 0,13 FRANCE , ,45 6,27 Finance , ,45 6, ,00 LYXOR UCITS ETF EUROMTS ALL- MATURITY EUR , ,94 2,60 INVESTMENT GRADE DR ,00 AMUNDI ETF GOVERNMENT BOND EUROMTS EUR , ,40 2,26 BROAD INVESTMENT GRADE UCITS ETF C 28,59 NATIXIS ASSET MANAGEMENT - NATIXIS ACTIONS EUR , ,26 0,44 US VALUE -IE ,00 AMUNDI ETF S&P 500 UCITS ETF EUR , ,60 0, ,00 AMUNDI ETF MSCI EUROPE UCITS ETF EUR , ,25 0, ,00 AMUNDI ETF MSCI USA UCITS ETF EUR , ,00 0,17 Total Portfolio , ,69 99,12 26

27 Eurizon Manager Selection Fund - MS 20 COMMITMENTS ON FUTURE CONTRACTS AS AT 31 MARCH 2016 Size Quantity Purchase / Sale Description Maturity Currency Unrealised profit / (loss) (EUR) Commitment (EUR) Total Unrealised profit / (loss) on future contracts and commitment , ,08 Unrealised profit on future contracts and commitment , , Purchase S&P 500 EMINI 17/06/2016 USD , , Purchase TOPIX INDEX 09/06/2016 JPY , , (50) Sale EURO BOBL 08/06/2016 EUR , , Purchase EURO OAT 08/06/2016 EUR , , Purchase STOXX 600 BAS 17/06/2016 EUR , , Purchase STOXX 600 OIL 17/06/2016 EUR , , Purchase XAE ENERGY 17/06/2016 USD , , Purchase XAB MATERIALS 17/06/2016 USD , ,61 Unrealised loss on future contracts and commitment (37 000,00) , Purchase EURO STOXX 50 17/06/2016 EUR (37 000,00) ,00 27

28 Eurizon Manager Selection Fund - MS 20 FORWARD FOREIGN EXCHANGE CONTRACTS AS AT 31 MARCH 2016 Maturity Purchase commitment in currency Sale commitment in currency Unrealised profit/(loss) (EUR) Total Unrealised profit / (loss) on forward foreign exchange contracts ( ,83) Unrealised profit on forward foreign exchange contracts ,41 15/04/ ,84 EUR ,00 USD ,06 15/04/ ,01 EUR ,00 USD ,42 15/04/ ,00 CAD ,85 EUR ,87 15/04/ ,65 EUR ,00 USD ,06 Unrealised loss on forward foreign exchange contracts ( ,24) 15/04/ ,00 USD ,87 EUR ( ,09) 15/04/ ,90 EUR ,00 JPY ( ,21) 15/04/ ,00 JPY ,05 EUR (25 954,94) 28

29 Eurizon Manager Selection Fund - MS 40 STATEMENT OF NET ASSETS AS AT 31 MARCH 2016 IN EUR Assets Notes Investments in securities (Note 2) ,05 Banks ,48 Amounts due from brokers (Note 2) ,18 Unrealised profit on forward foreign exchange contracts (Notes 2, 7) ,80 Unrealised profit on future contracts (Notes 2, 7) ,33 Other interest receivable ,43 Receivable on subscriptions ,89 Other assets ,61 Total assets ,77 Liabilities Unrealised loss on forward foreign exchange contracts (Notes 2, 7) ( ,49) Unrealised loss on future contracts (Notes 2, 7) ( ,70) Payable on redemptions ( ,30) Other liabilities ( ,69) Total liabilities ( ,18) Total net assets ,59 Currency Net Asset Value per Unit Units outstanding Class R Units EUR 140, ,690 29

30 Eurizon Manager Selection Fund - MS 40 STATEMENT OF CHANGES IN NET ASSETS FOR THE YEAR ENDED 31 MARCH 2016 IN EUR Net assets at the beginning of the year Notes ,25 Net income from investments (Note 2) ,29 Interest on bank accounts 22,00 Other income (Note 5) ,21 Total income ,50 Management fee (Note 5) ( ,69) Depositary fee (Note 6) ( ,16) Subscription tax (Note 3) (89 597,77) Interest on bank accounts (74,89) Other charges and taxes (Notes 4, 6) ( ,71) Total expenses ( ,22) Net investment income / (loss) ( ,72) Net realised profit / (loss) on sales of investments, currencies and other financial instruments (Notes 2, 7) ,11 Change in unrealised appreciation / (depreciation) on - investments (Note 2) ( ,29) - forward foreign exchange contracts (Notes 2, 7) (59 426,22) - foreign currencies (11 677,83) - future contracts (Notes 2, 7) ( ,92) Net result of operations for the year ( ,87) Subscriptions for the year ,15 Redemptions for the year ( ,94) Net assets at the end of the year ,59 30

31 Eurizon Manager Selection Fund - MS 40 PORTFOLIO AS AT 31 MARCH 2016 IN EUR Nominal / Quantity Description Currency Acquisition cost Carrying amount value % of Net Assets PORTFOLIO , ,05 99,25 TRANSFERABLE SECURITIES AND MONEY MARKET INSTRUMENTS ADMITTED TO OFFICIAL STOCK EXCHANGE LISTING , ,47 19,53 Ordinary Bonds , ,47 10,50 ITALY , ,87 6,74 Government , ,87 6, ,00 BTP 4.75% 01/09/2044 EUR , ,00 1, ,00 BTP 4.50% 01/03/2024 EUR , ,00 1, ,85 BTP 0.50% 20/04/2023 EUR , ,46 0, ,00 BTP 1.65% 23/04/2020 EUR , ,19 0, ,00 BTP 4.75% 01/06/2017 EUR , ,80 0, ,00 BTP 3.50% 01/03/2030 EUR , ,00 0, ,00 BTP 1.45% 15/09/2022 EUR , ,00 0, ,00 BTP 5.00% 01/09/2040 EUR , ,00 0, ,00 BTP 1.50% 01/08/2019 EUR , ,00 0, ,00 BTP 2.50% 01/05/2019 EUR , ,00 0, ,00 BTP 1.50% 15/12/2016 EUR , ,00 0, ,00 BTP 3.50% 01/12/2018 EUR , ,00 0, ,00 BTP 2.00% 01/12/2025 EUR , ,00 0, ,00 BTP 2.15% 12/11/2017 EUR , ,42 0,09 SPAIN , ,30 2,86 Government , ,30 2, ,00 SPAIN GOVERNMENT BOND 3.80% 30/04/2024 EUR , ,80 1, ,00 SPAIN GOVERNMENT BOND 4.20% 31/01/2037 EUR , ,50 0, ,00 SPAIN GOVERNMENT BOND 3.25% 30/04/2016 EUR , ,00 0,22 PORTUGAL , ,00 0,39 Government , ,00 0, ,00 PORTUGAL OBRIGACOES DO TESOURO OT 3.875% EUR , ,00 0,39 15/02/2030 FRANCE , ,30 0,31 Government , ,30 0, ,00 FRANCE GOVERNMENT BOND OAT 3.25% EUR , ,30 0,31 25/05/2045 GERMANY , ,00 0,20 Government , ,00 0, ,00 BUNDESREPUBLIK DEUTSCHLAND 2.50% EUR , ,00 0,20 15/08/2046 Floating rate notes , ,00 4,00 ITALY , ,00 4,00 Government , ,00 4, ,00 CCT FRN 15/11/2019 EUR , ,00 2, ,00 CCT FRN 15/12/2020 EUR , ,00 1,92 Zero-Coupon Bonds , ,00 5,03 ITALY , ,00 5,03 Government , ,00 5, ,00 BOT 0.00% 14/06/2016 EUR , ,00 2, ,00 CTZ 0.00% 30/08/2017 EUR , ,00 1, ,00 BOT 0.00% 14/04/2016 EUR , ,00 1, ,00 BOT 0.00% 14/09/2016 EUR , ,00 0,27 31

32 Eurizon Manager Selection Fund - MS 40 PORTFOLIO AS AT 31 MARCH 2016 IN EUR Nominal / Quantity Description Currency Acquisition cost Carrying amount value % of Net Assets OTHER TRANSFERABLE SECURITIES AND MONEY MARKET INSTRUMENTS , ,00 3,42 Zero-Coupon Bonds , ,00 3,42 IRELAND , ,00 3,42 Finance , ,00 3, ,00 INTESA SANPAOLO BANK IRELAND 0.00% EUR , ,00 3,42 27/07/2016 INVESTMENT FUNDS , ,58 76,30 UCI Units , ,58 76,30 LUXEMBOURG , ,48 65,79 Finance , ,48 65, ,04 EURIZON EASYFUND - BOND EUR LONG TERM LTE - EUR , ,37 14,31 Z ,78 EURIZON EASYFUND - BOND EUR MEDIUM TERM EUR , ,93 7,30 LTE -Z ,85 EURIZON EASYFUND - BOND EUR SHORT TERM LTE EUR , ,27 3,74 -Z ,17 EPSILON FUND - EURO CASH -I- EUR , ,33 2, ,19 GENERALI INVESTMENTS SICAV - EURO SHORT EUR , ,14 2,35 TERM BONDS -BX ,84 EURIZON EASYFUND - BOND EMERGING MARKETS EUR , ,37 1,87 IN LOCAL CURRENCIES -Z ,84 FIDELITY FUNDS - AMERICAN GROWTH FUND -Y USD , ,16 1,75 ACC ,64 EURIZON EASYFUND - EQUITY NORTH AMERICA EUR , ,99 1,73 LTE -Z ,93 PIONEER FUNDS - U.S. FUNDAMENTAL GROWTH -E- EUR , ,39 1, ,90 VONTOBEL FUND - US EQUITY -B- USD , ,10 1, ,90 JPMORGAN FUNDS - HIGHBRIDGE US STEEP -A USD , ,95 1,62 ACC ,95 EURIZON EASYFUND - BOND HIGH YIELD -Z- EUR , ,42 1, ,05 UBS LUX EQUITY SICAV - USA GROWTH -Q ACC- USD , ,19 1, ,99 PARVEST EQUITY USA GROWTH -I- USD , ,79 1, ,21 PRIVILEDGE - DELAWARE US LARGE CAP VALUE -IA- USD , ,53 1, ,15 ROBECO CAPITAL GROWTH FUNDS - US SELECT USD , ,84 1,34 OPPORTUNITIES EQUITIES -I ,84 EURIZON EASYFUND - EQUITY JAPAN LTE -Z- EUR , ,79 1, ,60 EURIZON EASYFUND - EQUITY OCEANIA LTE -Z- EUR , ,78 1, ,95 ALLIANCE BERNSTEIN SICAV - SELECT US EQUITY USD , ,63 1,13 PORTFOLIO -I ,72 JPMORGAN FUNDS - US VALUE FUND -C- USD , ,41 0, ,88 NORDEA 1 SICAV - EUROPEAN HIGH YIELD BOND EUR , ,60 0,88 FUND -BI ,16 MFS MERIDIAN FUNDS - EUROPEAN VALUE FUND - EUR , ,95 0,83 A ,48 ABERDEEN GLOBAL - JAPANESE EQUITY FUND -A2- JPY , ,03 0, ,39 INVESCO PAN EUROPEAN STRUCTURED EQUITY EUR , ,55 0,76 FUND -A ,23 EPSILON FUND - EUROPEAN Q-EQUITY -I- EUR , ,69 0, ,74 VONTOBEL FUND - EUROPEAN EQUITY -B- EUR , ,41 0, ,79 INVESCO PAN EUROPEAN EQUITY FUND -A- EUR , ,02 0, ,80 MFS MERIDIAN FUNDS - EUROPEAN RESEARCH EUR , ,55 0,58 FUND -A ,84 BLACKROCK GLOBAL FUNDS - EUROPEAN FUND -A2- EUR , ,63 0, ,67 FAST - EUROPE FUND -Y ACC- EUR , ,76 0, ,69 FIDELITY FUNDS - EUROPEAN DYNAMIC GROWTH EUR , ,64 0,52 FUND -Y ACC ,83 BLACKROCK GLOBAL FUNDS - EUROPEAN SPECIAL EUR , ,95 0,51 SITUATIONS FUND -A ,98 HENDERSON HORIZON - PAN EUROPEAN EQUITY EUR , ,22 0,50 FUND -A ,00 JPMORGAN FUNDS - EUROPE EQUITY PLUS FUND -C EUR , ,15 0,48 ACC ,84 NORDEA 1 SICAV - EUROPEAN VALUE FUND -BI- EUR , ,01 0,48 853,53 ALLIANZ EUROPE EQUITY GROWTH -IT- EUR , ,71 0,48 32

33 Eurizon Manager Selection Fund - MS 40 PORTFOLIO AS AT 31 MARCH 2016 IN EUR Nominal / Quantity Description Currency Acquisition cost Carrying amount value % of Net Assets ,01 HENDERSON GARTMORE FUND - PAN EUROPEAN EUR , ,18 0,48 FUND -R ACC ,69 SCHRODER INTERNATIONAL SELECTION FUND - EUR , ,43 0,46 EUROPEAN OPPORTUNITIES -CA ,45 JUPITER JGF - EUROPEAN GROWTH -I- EUR , ,12 0, ,09 WELLS FARGO LUX WORLDWIDE FUND - US ALL USD , ,76 0,40 CAP GROWTH -I ,95 FRANKLIN TEMPLETON INVESTMENT FUNDS - EUR , ,97 0,40 FRANKLIN MUTUAL EUROPEAN FUND -A ACC ,52 UBS LUX BOND FUND - EURO HIGH YIELD EUR -Q EUR , ,02 0,35 ACC ,38 FIDELITY FUNDS - AMERICA FUND -Y ACC- USD , ,31 0, ,19 EURIZON EASYFUND - BOND EMERGING MARKETS - Z- EUR , ,44 0,22 IRELAND , ,87 9,69 Finance , ,87 9, ,36 AXA ROSENBERG EQUITY ALPHA TRUST - US USD , ,90 2,46 ENHANCED INDEX EQUITY ALPHA FUND -A ,06 POLAR CAPITAL NORTH AMERICAN FUND -I- USD , ,00 2, ,79 VANGUARD INVESTMENT SERIES PLC - US USD , ,70 1,35 OPPORTUNITIES FUND -I ,00 ISHARES MSCI CANADA UCITS ETF EUR , ,56 0, ,14 MAN GLG INVESTMENTS PLC - GLG JAPAN JPY , ,85 0,71 COREALPHA EQUITY -I ,90 NOMURA FUNDS IRELAND - JAPAN STRATEGIC JPY , ,89 0,70 VALUE FUND -A ,12 INVESCO ASIAN EQUITY FUND -A- USD , ,49 0, ,39 OLD MUTUAL NORTH AMERICAN EQUITY FUND -I USD , ,48 0,35 ACC ,00 ISHARES EURO HIGH YIELD CORPORATE BOND EUR , ,40 0,28 UCITS ETF ,00 ISHARES EMERGING MARKETS LOCAL EUR , ,00 0,17 GOVERNMENT BOND UCITS ETF ,00 SPDR BARCLAYS EMERGING MARKETS LOCAL BOND UCITS ETF EUR , ,60 0,17 FRANCE , ,23 0,82 Finance , ,23 0,82 21,24 NATIXIS ASSET MANAGEMENT - NATIXIS ACTIONS US VALUE -IE- EUR , ,23 0,82 Total Portfolio , ,05 99,25 33

34 Eurizon Manager Selection Fund - MS 40 COMMITMENTS ON FUTURE CONTRACTS AS AT 31 MARCH 2016 Size Quantity Purchase / Sale Description Maturity Currency Unrealised profit / (loss) (EUR) Commitment (EUR) Total Unrealised profit / (loss) on future contracts and commitment ( ,37) ,17 Unrealised profit on future contracts and commitment , , Purchase S&P 500 EMINI 17/06/2016 USD , , (18) Sale EURO BOBL 08/06/2016 EUR 4 500, , Purchase MINI MSCI EMERGING MARKET 17/06/2016 USD , , Purchase STOXX 600 OIL 17/06/2016 EUR 7 261, , Purchase XAB MATERIALS 17/06/2016 USD , ,51 Unrealised loss on future contracts and commitment ( ,70) , Purchase CBOE VIX 20/04/2016 USD ( ,19) , Purchase S&P/TSX 60 IX 16/06/2016 CAD (4 392,33) , Purchase STOXX 600 BAS 17/06/2016 EUR (14 833,35) , Purchase XAE ENERGY 17/06/2016 USD (22 666,83) ,69 34

35 Eurizon Manager Selection Fund - MS 40 FORWARD FOREIGN EXCHANGE CONTRACTS AS AT 31 MARCH 2016 Maturity Purchase commitment in currency Sale commitment in currency Unrealised profit/(loss) (EUR) Total Unrealised profit / (loss) on forward foreign exchange contracts ,31 Unrealised profit on forward foreign exchange contracts ,80 15/04/ ,27 EUR ,00 USD ,28 15/04/ ,68 EUR ,00 USD ,69 15/04/ ,00 CAD ,95 EUR ,57 15/04/ ,51 EUR ,00 USD ,31 15/04/ ,07 EUR ,00 USD ,27 15/04/ ,00 JPY ,43 EUR 5 807,66 15/04/ ,82 EUR ,00 USD 5 746,02 Unrealised loss on forward foreign exchange contracts ( ,49) 15/04/ ,00 USD ,79 EUR ( ,56) 15/04/ ,00 USD ,16 EUR (48 374,92) 15/04/ ,60 EUR ,00 JPY (36 418,67) 15/04/ ,00 JPY ,61 EUR (6 303,34) 35

36 Eurizon Manager Selection Fund - MS 70 STATEMENT OF NET ASSETS AS AT 31 MARCH 2016 IN EUR Assets Notes Investments in securities (Note 2) ,31 Banks ,00 Amounts due from brokers (Note 2) ,78 Unrealised profit on forward foreign exchange contracts (Notes 2, 7) ,84 Unrealised profit on future contracts (Notes 2, 7) ,95 Other interest receivable ,80 Receivable on subscriptions ,53 Other assets ,95 Total assets ,16 Liabilities Unrealised loss on forward foreign exchange contracts (Notes 2, 7) ( ,88) Unrealised loss on future contracts (Notes 2, 7) ( ,93) Payable on investments purchased ( ,64) Payable on redemptions ( ,57) Other liabilities ( ,95) Total liabilities ( ,97) Total net assets ,19 Currency Net Asset Value per Unit Units outstanding Class R Units EUR 147, ,214 36

37 Eurizon Manager Selection Fund - MS 70 STATEMENT OF CHANGES IN NET ASSETS FOR THE YEAR ENDED 31 MARCH 2016 IN EUR Net assets at the beginning of the year Notes ,64 Net income from investments (Note 2) ,36 Other income (Note 5) ,05 Total income ,41 Management fee (Note 5) ( ,79) Depositary fee (Note 6) (95 136,98) Subscription tax (Note 3) (29 080,02) Interest on bank accounts (19,71) Other charges and taxes (Notes 4, 6) ( ,49) Total expenses ( ,99) Net investment income / (loss) ( ,58) Net realised profit / (loss) on sales of investments, currencies and other financial instruments (Notes 2, 7) ,12 Change in unrealised appreciation / (depreciation) on - investments (Note 2) ( ,25) - forward foreign exchange contracts (Notes 2, 7) ( ,58) - foreign currencies 2 693,83 - future contracts (Notes 2, 7) (28 777,73) Net result of operations for the year ( ,19) Subscriptions for the year ,76 Redemptions for the year ( ,02) Net assets at the end of the year ,19 37

38 Eurizon Manager Selection Fund - MS 70 PORTFOLIO AS AT 31 MARCH 2016 IN EUR Nominal / Quantity Description Currency Acquisition cost Carrying amount value % of Net Assets PORTFOLIO , ,31 99,19 TRANSFERABLE SECURITIES AND MONEY MARKET INSTRUMENTS ADMITTED TO OFFICIAL STOCK EXCHANGE LISTING , ,90 15,44 Ordinary Bonds , ,90 8,70 ITALY , ,50 6,62 Government , ,50 6, ,00 BTP 4.75% 01/09/2044 EUR , ,00 1, ,00 BTP 4.50% 01/03/2024 EUR , ,00 1, ,00 BTP 2.00% 01/12/2025 EUR , ,00 1, ,00 BTP 0.65% 01/11/2020 EUR , ,00 0, ,00 BTP 1.45% 15/09/2022 EUR , ,00 0, ,00 BTP 4.75% 01/06/2017 EUR , ,00 0, ,00 BTP 5.00% 01/09/2040 EUR , ,00 0, ,00 BTP 3.50% 01/03/2030 EUR , ,00 0, ,00 BTP 5.25% 01/08/2017 EUR , ,50 0, ,00 BTP 4.75% 15/09/2016 EUR , ,00 0,07 SPAIN , ,80 1,63 Government , ,80 1, ,00 SPAIN GOVERNMENT BOND 3.80% 30/04/2024 EUR , ,80 1, ,00 SPAIN GOVERNMENT BOND 4.20% 31/01/2037 EUR , ,00 0, ,00 SPAIN GOVERNMENT BOND 3.25% 30/04/2016 EUR , ,00 0,13 FRANCE , ,10 0,30 Government , ,10 0, ,00 FRANCE GOVERNMENT BOND OAT 3.25% EUR , ,10 0,30 25/05/2045 GERMANY , ,50 0,15 Government , ,50 0, ,00 BUNDESREPUBLIK DEUTSCHLAND 2.50% EUR , ,50 0,15 15/08/2046 Floating rate notes , ,00 2,06 ITALY , ,00 2,06 Government , ,00 2, ,00 CCT FRN 15/12/2020 EUR , ,00 1, ,00 CCT FRN 15/11/2019 EUR , ,00 0,56 Zero-Coupon Bonds , ,00 4,68 ITALY , ,00 4,68 Government , ,00 4, ,00 BOT 0.00% 14/06/2016 EUR , ,00 2, ,00 CTZ 0.00% 30/08/2017 EUR , ,00 2, ,00 BOT 0.00% 14/09/2016 EUR , ,00 0,53 INVESTMENT FUNDS , ,41 83,75 UCI Units , ,41 83,75 LUXEMBOURG , ,72 66,07 Finance , ,72 66, ,64 EURIZON EASYFUND - EQUITY NORTH AMERICA EUR , ,99 4,19 LTE -Z ,88 EURIZON EASYFUND - BOND EUR MEDIUM TERM EUR , ,45 3,66 LTE -Z ,17 EURIZON EASYFUND - BOND EUR LONG TERM LTE - EUR , ,76 3,38 Z ,30 FIDELITY FUNDS - AMERICAN GROWTH FUND -Y USD , ,35 2,69 ACC ,97 VONTOBEL FUND - US EQUITY -B- USD , ,39 2,65 38

39 Eurizon Manager Selection Fund - MS 70 PORTFOLIO AS AT 31 MARCH 2016 IN EUR Nominal / Quantity Description Currency Acquisition cost Carrying amount value % of Net Assets ,56 PARVEST EQUITY USA GROWTH -I- USD , ,46 2, ,88 UBS LUX EQUITY SICAV - USA GROWTH -Q ACC- USD , ,78 2, ,18 PIONEER FUNDS - U.S. FUNDAMENTAL GROWTH -E- EUR , ,42 2, ,26 EURIZON EASYFUND - BOND HIGH YIELD -Z- EUR , ,99 2, ,84 PRIVILEDGE - DELAWARE US LARGE CAP VALUE -IA- USD , ,00 2, ,50 JPMORGAN FUNDS - HIGHBRIDGE US STEEP -A USD , ,12 2,33 ACC ,46 ALLIANCE BERNSTEIN SICAV - SELECT US EQUITY USD , ,88 2,28 PORTFOLIO -I ,70 EURIZON EASYFUND - EQUITY OCEANIA LTE -Z- EUR , ,76 2, ,36 ROBECO CAPITAL GROWTH FUNDS - US SELECT USD , ,60 2,24 OPPORTUNITIES EQUITIES -I ,78 EURIZON EASYFUND - BOND EMERGING MARKETS EUR , ,94 1,83 IN LOCAL CURRENCIES -Z ,39 EURIZON EASYFUND - EQUITY JAPAN LTE -Z- EUR , ,57 1, ,98 JPMORGAN FUNDS - US VALUE FUND -C- USD , ,33 1, ,91 ABERDEEN GLOBAL - JAPANESE EQUITY FUND -A2- JPY , ,43 1, ,92 VONTOBEL FUND - EUROPEAN EQUITY -B- EUR , ,01 1, ,50 MFS MERIDIAN FUNDS - EUROPEAN VALUE FUND - EUR , ,45 1,31 A ,56 INVESCO PAN EUROPEAN STRUCTURED EQUITY EUR , ,12 1,28 FUND -A ,03 EPSILON FUND - EUROPEAN Q-EQUITY -I- EUR , ,96 1, ,77 MFS MERIDIAN FUNDS - EUROPEAN RESEARCH EUR , ,95 1,00 FUND -A ,29 INVESCO PAN EUROPEAN EQUITY FUND -A- EUR , ,93 0, ,89 HENDERSON HORIZON - PAN EUROPEAN EQUITY EUR , ,46 0,97 FUND -A ,41 BLACKROCK GLOBAL FUNDS - EUROPEAN FUND -A2- EUR , ,80 0, ,56 JPMORGAN FUNDS - EUROPE EQUITY PLUS FUND -C EUR , ,97 0,95 ACC ,96 GENERALI INVESTMENTS SICAV - EURO SHORT EUR , ,95 0,93 TERM BONDS -BX ,47 FAST - EUROPE FUND -Y ACC- EUR , ,44 0, ,31 FIDELITY FUNDS - EUROPEAN DYNAMIC GROWTH EUR , ,54 0,87 FUND -Y ACC- 507,17 ALLIANZ EUROPE EQUITY GROWTH -IT- EUR , ,42 0, ,22 NORDEA 1 SICAV - EUROPEAN VALUE FUND -BI- EUR , ,31 0, ,68 BLACKROCK GLOBAL FUNDS - EUROPEAN SPECIAL EUR , ,00 0,83 SITUATIONS FUND -A ,23 HENDERSON GARTMORE FUND - PAN EUROPEAN EUR , ,71 0,81 FUND -R ACC ,23 SCHRODER INTERNATIONAL SELECTION FUND - EUR , ,03 0,79 EUROPEAN OPPORTUNITIES -CA ,66 JUPITER JGF - EUROPEAN GROWTH -I- EUR , ,84 0, ,89 EPSILON FUND - EURO CASH -I- EUR , ,07 0, ,16 FRANKLIN TEMPLETON INVESTMENT FUNDS - EUR , ,15 0,64 FRANKLIN MUTUAL EUROPEAN FUND -A ACC ,60 NORDEA 1 SICAV - EUROPEAN HIGH YIELD BOND EUR , ,07 0,61 FUND -BI ,63 WELLS FARGO LUX WORLDWIDE FUND - US ALL USD , ,18 0,58 CAP GROWTH -I ,41 FIDELITY FUNDS - AMERICA FUND -Y ACC- USD , ,27 0, ,36 EURIZON EASYFUND - BOND EUR SHORT TERM LTE -Z- EUR , ,87 0,46 IRELAND , ,50 16,59 Finance , ,50 16, ,88 AXA ROSENBERG EQUITY ALPHA TRUST - US USD , ,49 4,43 ENHANCED INDEX EQUITY ALPHA FUND -A ,36 POLAR CAPITAL NORTH AMERICAN FUND -I- USD , ,00 3, ,86 VANGUARD INVESTMENT SERIES PLC - US USD , ,30 2,21 OPPORTUNITIES FUND -I ,00 ISHARES MSCI CANADA UCITS ETF EUR , ,89 1, ,30 NOMURA FUNDS IRELAND - JAPAN STRATEGIC JPY , ,97 1,29 VALUE FUND -A ,51 MAN GLG INVESTMENTS PLC - GLG JAPAN JPY , ,40 1,20 COREALPHA EQUITY -I ,77 INVESCO ASIAN EQUITY FUND -A- USD , ,77 0,84 39

40 Eurizon Manager Selection Fund - MS 70 PORTFOLIO AS AT 31 MARCH 2016 IN EUR Nominal / Quantity Description Currency Acquisition cost Carrying amount value % of Net Assets ,42 OLD MUTUAL NORTH AMERICAN EQUITY FUND -I ACC ,63 NOMURA FUNDS IRELAND - NOMURA US HIGH YIELD BOND FUND -I ,46 NEUBERGER BERMAN HIGH YIELD BOND FUND -I ACC- USD , ,94 0,57 USD , ,93 0,24 USD , ,81 0,24 FRANCE , ,19 1,09 Finance , ,19 1,09 9,61 NATIXIS ASSET MANAGEMENT - NATIXIS ACTIONS US VALUE -IE- EUR , ,19 1,09 Total Portfolio , ,31 99,19 40

41 Eurizon Manager Selection Fund - MS 70 COMMITMENTS ON FUTURE CONTRACTS AS AT 31 MARCH 2016 Size Quantity Purchase / Sale Description Maturity Currency Unrealised profit / (loss) (EUR) Commitment (EUR) Total Unrealised profit / (loss) on future contracts and commitment (17 491,98) ,14 Unrealised profit on future contracts and commitment , , Purchase S&P 500 EMINI 17/06/2016 USD , , Purchase TOPIX INDEX 09/06/2016 JPY 5 480, , (8) Sale EURO BOBL 08/06/2016 EUR 2 000, , Purchase MINI MSCI EMERGING MARKET 17/06/2016 USD , , Purchase STOXX 600 OIL 17/06/2016 EUR 3 284, , Purchase XAB MATERIALS 17/06/2016 USD , ,25 Unrealised loss on future contracts and commitment ( ,93) , Purchase CBOE VIX 20/04/2016 USD (76 863,64) , (7) Sale EURO BUND 08/06/2016 EUR (4 550,00) ,00 10 (20) Sale EURO STOXX 50 17/06/2016 EUR (1 000,00) , Purchase S&P/TSX 60 IX 16/06/2016 CAD (1 537,32) , Purchase STOXX 600 BAS 17/06/2016 EUR (11 416,68) , Purchase XAE ENERGY 17/06/2016 USD (5 888,29) ,26 41

42 Eurizon Manager Selection Fund - MS 70 FORWARD FOREIGN EXCHANGE CONTRACTS AS AT 31 MARCH 2016 Maturity Purchase commitment in currency Sale commitment in currency Unrealised profit/(loss) (EUR) Total Unrealised profit / (loss) on forward foreign exchange contracts 8 037,96 Unrealised profit on forward foreign exchange contracts ,84 15/04/ ,00 CAD ,65 EUR ,46 15/04/ ,21 EUR ,00 USD ,01 15/04/ ,00 JPY ,92 EUR ,65 15/04/ ,00 JPY ,36 EUR 4 839,72 Unrealised loss on forward foreign exchange contracts ( ,88) 15/04/ ,70 EUR ,00 CAD (47 201,26) 15/04/ ,00 USD ,02 EUR (29 769,18) 15/04/ ,00 USD ,54 EUR (13 703,21) 15/04/ ,97 EUR ,00 JPY (8 569,09) 15/04/ ,00 JPY ,20 EUR (1 483,14) 42

43 NOTES TO THE FINANCIAL STATEMENTS Eurizon Manager Selection Fund 1. ACTIVITY The Mutual Investment Fund Eurizon Manager Selection Fund (the Fund ) was established in Luxembourg on 6 April 2006, in accordance with Part I of the Law of 20 December 2002 on Undertakings for Collective Investment in transferable securities as amended. Since 1 July 2011, the Fund is governed by the Luxembourg Law of 17 December 2010 on Undertakings for Collective Investment. The Fund is a joint ownership of transferable securities and other financial assets as authorized by the Law, managed by the Management Company on the basis of the risk spreading principle, on behalf of and in the sole interest of the coowners (the Unitholders ), who are committed only to the extent of their investment. Its assets are owned jointly and indivisibly by the Unitholders and constitute a holding separate from the Management Company s holdings. All of the jointly owned Units have equal rights. The Fund net assets are at least equal to EUR ,00. There is no maximum limit set on the amount of holdings or on the number of jointly owned Units representing the Fund s net assets. In order to offer investments with different levels of risks, Eurizon Manager Selection Fund is subdivided into a range of Sub-Funds. 2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES The Fund keeps the books of each Sub-Fund in its respective currency and the financial statements were prepared in EUR in accordance with the Luxembourg regulations relating to undertakings for collective investment and in particular using the following valuation rules: a) Valuation of investment securities Investment securities, including zero-coupon bonds and money market instruments, quoted on an official stock exchange or on another regulated market are valued according to the last known price and, in the event of being quoted on several markets, according to the last known price of the principal market. Valuation of investment securities, including zero-coupon bonds and money market instruments, not quoted on an official stock exchange or on another regulated market is fixed in a reasonable way on the basis of the sale prices anticipated cautiously and in good faith or, in the absence of a market value, according to the probable value in the reasonable estimation of the Board of Directors of the Management Company. Liquid asset, money market instruments or any other short-term debt or debt-related instruments, that is to say with residual maturity not exceeding 90 days, may be valued at nominal value plus any accrued interest or on an amortized cost basis, provided a regular review of the portfolio holdings is performed to detect any material deviation between the net assets calculated using these methods and those calculated using market quotations. If a deviation exists which may result in a material dilution or unfair result to Unitholders, appropriate corrective actions will be taken including, if necessary, the calculation of the net asset value by using available market quotations. The value of each investment in open-ended funds, either listed or not, is based on the last known Net Asset Value on the Valuation Day. b) Net realised profit / (loss) on sales of investments Realised profits or losses made on the sales of investments are calculated according to the average cost. c) Cost of purchase of securities in portfolios For securities in currencies other than the base currency of the Sub-Fund, the purchase price is calculated based on the closing exchange rates prevailing at the date of the purchase. d) Forward foreign exchange contracts Forward foreign exchange contracts are valued at forward foreign exchange rate for the remaining period to run until maturity at the date of valuation. Unrealised profits and losses are recorded in the Statement of Net Assets and their variations in the Statement of Changes in Net Assets under the heading Change in unrealised appreciation / (depreciation) on forward foreign exchange contracts. 43

44 NOTES TO THE FINANCIAL STATEMENTS Eurizon Manager Selection Fund e) Future contracts Commitments related to future contracts are recorded off balance sheet and future contracts are valued according to the last available contract price. Unrealised profits and losses on future contracts are recorded in the Statement of Net Assets and their variations in the Statement of Changes in Net Assets under the heading Change in unrealised appreciation / (depreciation) on future contracts. Guarantee deposits and margin calls are recorded in the Statement of Net Assets under the headings Amounts due from brokers and Amounts due to brokers. f) Combined statements of the Fund The combined statements correspond to the sum of the statements of each Sub-Fund. g) Income Dividends are recognised on the date on which the Shares/Units concerned are quoted «ex-dividend», net of withholding tax. Interest is calculated prorata temporis and recorded net of withholding tax. h) Translation of items expressed in foreign currencies Assets and liabilities in foreign currencies are converted into the base currency of the Sub-Funds at the closing exchange rates of the final day of the financial year. Income and expenses denominated in currencies other than the base currency of the Sub-Funds are converted into the currency of the Sub-Funds at the closing exchange rates prevailing at the date of the transactions. The resulting realised and unrealised profit or loss made on foreign exchange is included in the Statement of Changes in Net Assets; any unrealised profit or loss on currencies of foreign cash positions, receivables and payables denominated in currencies other than the base currency of the Sub-Funds being recorded under the heading Change in unrealised appreciation / (depreciation) on foreign currencies. The main exchange rates as at 31 March 2016 are: 1 EUR = 1,4740 CAD 1 EUR = 1,0913 CHF 1 EUR = 0,7928 GBP 1 EUR = 128,0798 JPY 1 EUR = 1,1396 USD i) Net asset value per Unit The Net Asset Value of each Sub-Fund is equal to the difference between the total assets and the liabilities of the Sub- Fund. The Net Asset Value per Unit is calculated by dividing the Net Asset Value by the number of Units outstanding on the day of calculation in the respective Classes of Units. 3. TAXATION The Fund is governed by Luxembourg tax Laws applicable to investment funds. It is up to prospective purchasers of Units of the Fund to inquire about the Laws and rules applicable to the acquisition, holding and possibly sale of Units, taking into account their residence or nationality. As legislation now stands, the Fund is subject to the Luxembourg subscription tax at an annual rate of 0,05%, calculated on the Net Asset Value of each Sub-Fund at the end of each quarter in question and payable quarterly. The value of the assets represented by Units/Shares held in other Luxembourg UCIs shall be exempt from the subscription tax, provided such UCIs have already been subject to the subscription tax. 4. OTHER CHARGES AND TAXES The caption Other charges and taxes is composed of registration fees payable to the Authority of Control and other professional fees (paying agent, administrative agent, registrar and transfer agent, audit fees, transaction fees, miscellaneous). 44

45 NOTES TO THE FINANCIAL STATEMENTS Eurizon Manager Selection Fund 5. MANAGEMENT FEE The Management Company, as remuneration for its services, is entitled to receive a management fee calculated according to the Net Asset Value of each Sub-Fund of the Fund. As at 31 March 2016, the rates in force for each Sub- Fund are the following: Sub-Funds Annual management fee rate Eurizon Manager Selection Fund - MS 10 1,20% Eurizon Manager Selection Fund - MS 20 1,40% Eurizon Manager Selection Fund - MS 40 1,50% Eurizon Manager Selection Fund - MS 70 1,60% This fee is payable monthly and calculated on the basis of the average Net Asset Value over the month. Investments done by each Sub-Fund in Units/Shares of UCITS and/or other UCI may lead investors to support twice certain expenses such as subscriptions fees, redemptions fees, depositary fees, administrative fees and management fees. The maximum percentage of management fees applied by the underlying UCITS is equal to 2,50%. The total amount of the management commissions applied on the related UCITS or UCI in which the Sub-Fund invests as well as the total amount of any rebates of the management commissions applied on UCITS or UCI managed by third companies are transferred to the Sub-Fund on a quarterly basis and registered in the Statement of Changes in Net Assets under the heading Other income as follows (in EUR): Eurizon Manager Selection Fund - MS ,85 Eurizon Manager Selection Fund - MS ,30 Eurizon Manager Selection Fund - MS ,21 Eurizon Manager Selection Fund - MS ,05 Total ,41 6. DEPOSITARY AND PAYING AGENT FEE The Depositary Bank receives a fee whose annual rate is 0,0612%, calculated on the basis of the average value of the quarterly Net Asset Value and payable quarterly. Furthermore, in accordance with the current Depositary Bank and Paying Agent convention, the Depositary Bank has received during the financial year a global amount of EUR ,74 concerning settlement activities on the operation of the Sub-Funds registered in the Statement of Changes in Net Assets under the heading Other charges and taxes as follows (in EUR): Eurizon Manager Selection Fund - MS ,46 Eurizon Manager Selection Fund - MS ,52 Eurizon Manager Selection Fund - MS ,13 Eurizon Manager Selection Fund - MS ,63 Total ,74 7. FUTURE CONTRACTS AND FORWARD FOREIGN EXCHANGE CONTRACTS During the financial year, the Sub-Funds have taken out future contracts and forward foreign exchange contracts. Details of open positions as at 31 March 2016 are disclosed following the Portfolios of the concerned Sub-Funds. As at 31 March 2016, Banca IMI S.p.A. is the broker for all the future contracts. 45

46 NOTES TO THE FINANCIAL STATEMENTS Eurizon Manager Selection Fund The counterparties for the forward foreign exchange contracts as at 31 March 2016 are listed below: Sub-Fund Eurizon Manager Selection Fund - MS 10 Eurizon Manager Selection Fund - MS 20 Eurizon Manager Selection Fund - MS 40 Eurizon Manager Selection Fund - MS 70 Counterparty BNP Paribas SA, Citigroup Global Markets LTD, Crédit Agricole Corporate and Investment Bank, Morgan Stanley & Co. International PLC Citigroup Global Markets LTD, Crédit Agricole Corporate and Investment Bank, Morgan Stanley & Co. International PLC, JP Morgan Securities PLC, UBS LTD BNP Paribas SA, Citigroup Global Markets LTD, Crédit Agricole Corporate and Investment Bank, Deutsche Bank AG, Morgan Stanley & Co. International PLC, JP Morgan Securities PLC, UBS LTD Citigroup Global Markets LTD, Crédit Agricole Corporate and Investment Bank, Deutsche Bank AG, Morgan Stanley & Co. International PLC, JP Morgan Securities PLC, UBS LTD As at 31 March 2016, the Sub-Fund Manager Selection Fund - MS 10 has pledged the security BTP 4,75% 01/09/2044 for a nominal value of EUR ,00 at Banca IMI S.p.A. as collateral for future contracts. As at 31 March 2016, the Sub-Fund Manager Selection Fund - MS 20 has received a cash amount for a nominal value of EUR ,00 at Citigroup Global Markets LTD as collateral for forwards contracts. As at 31 March 2016, the Sub-Fund Manager Selection Fund - MS 20 has pledged the security CCT FRN 15/11/2019 for a nominal value of EUR ,00 at Banca IMI S.p.A. as collateral for future contracts. As at 31 March 2016, the Sub-Fund Manager Selection Fund - MS 20 has pledged a cash amount for a nominal value of EUR ,00 at Morgan Stanley and Co. International Plc and the security BTP 4,75% 01/09/2044 for a nominal value of EUR ,00 at Crédit Agricole Corporate and Investment Bank as collateral for forwards contracts. As at 31 March 2016, the Sub-Fund Manager Selection Fund - MS 40 has pledged the security CCT FRN 15/11/2019 for a nominal value of EUR ,00 at Banca IMI S.p.A. as collateral for future contracts. As at 31 March 2016, the Sub-Fund Manager Selection Fund - MS 40 has pledged the security BTP 4,75% 01/09/2044 for a nominal value of EUR ,00 at Crédit Agricole Corporate and Investment Bank as collateral for forwards contracts. As at 31 March 2016, the Sub-Fund Manager Selection Fund - MS 70 has pledged the security BTP 4,75% 01/09/2044 for a nominal value of EUR ,00 and the security CCT FRN 15/11/2019 for a nominal value of EUR ,00 at Banca IMI S.p.A. as collateral for future contracts. 8. UNITS OF THE FUND One Class of Units is available to investors: Class R. Class R Units may be acquired by any investor. 9. CHANGES IN THE COMPOSITION OF PORTFOLIO The list of movements in the portfolio composition for the financial year from 1 April 2015 to 31 March 2016 is available at the Management Company s registered office. 10. TRANSACTION COSTS Transaction costs are composed of broker and stamp duties relating to the purchase / sale of investment securities. These transaction costs are part of the acquisition cost / sale price of the related assets. During the year from 1 April 2015 until 31 March 2016, the Fund did not incur transaction costs. 46

47