1741 Specialised Investment Funds SICAV. Annual Report including Audited Financial Statements

Transcription

1 Société d Investissement à Capital Variable - Specialised Investment Fund Annual Report including Audited Financial Statements For the year ended 31 March 2015 An umbrella investment company with variable capital organised as a Specialised Investment Fund ( SIF ) under the law of the Grand Duchy of Luxembourg (SICAV) of 13 February 2007 relating to specialised investment funds, as amended. R.C.S. Luxembourg: B Specialised Investment Funds SICAV 31, Z.A. BOURMICHT I 8070 BERTRANGE GRAND-DUCHÉ DE LUXEMBOURG TELEPHONE I FAX INFO@1741FUNDS.COM I 1741FUNDS.COM

2 Table of Contents Page Directory... 2 Shareholders Information... 3 Directors Report... 4 Report of the Réviseur d entreprises agréé... 5 Financial Statements Statement of Net Assets... 7 Statement of Operations and Changes in Net Assets... 8 Net Asset Information... 9 Total Expense Ratios (TERs) Notes to the Financial Statements Schedule of Investments and Other Net Assets 1741 SIF Diversified Trends... 23

3 Directory 1741 Specialised Investment Funds SICAV Registered Office: c/o Citibank International Limited, Luxembourg Branch* 31, Z.A. Bourmicht L-8070 Bertrange G.D. Luxembourg Board of Directors of the SICAV Directors: Mr Michael Boge Chairman Head Fund Services 1741 Asset Management Ltd. Bahnhofstrasse St. Gallen Switzerland Mr Jacques Elvinger Avocat à la Cour Partner Elvinger, Hoss & Prussen 2, Place Winston Churchill 1340 Luxembourg G.D. Luxembourg Mr Alan Ridgway Director 58, Rue du Village 3311 Abweiler G.D. Luxembourg Mr Markus Wagner Am Schrägen Weg Vaduz Liechtenstein Conducting Officers Mr Michael Boge Head Fund Services 1741 Asset Management Ltd. Bahnhofstrasse St. Gallen Switzerland Shareholder Services Agent 1741 Asset Management Ltd. Bahnhofstrasse St. Gallen Switzerland Administrator, Domiciliary Agent, Listing Agent, Registrar and Transfer Agent Citibank International Limited, Luxembourg Branch* 31, ZA Bourmicht L-8070 Bertrange G.D. Luxembourg Custodian and Paying Agent Citibank International Limited, Luxembourg Branch* 31, ZA Bourmicht L-8070 Bertrange G.D. Luxembourg Cabinet de révision agréé Deloitte Audit, Société à Responsabilité Limitée 560, rue de Neudorf L-2220 Luxembourg G.D. Luxembourg Legal Advisor to the Fund Elvinger, Hoss & Prussen 2, Place Winston Churchill L-1340 Luxembourg G.D. Luxembourg Compliance Monitoring Agent Citibank International Limited, Luxembourg Branch* 31, Z.A. Bourmicht L-8070 Bertrange G.D. Luxembourg Mr Alan Ridgway 58, Rue du Village 3311 Abweiler G.D. Luxembourg Investment Manager 1741 Asset Management Ltd. Bahnhofstrasse St. Gallen Switzerland * With effect from 31 October 2014, Citibank International plc (Luxembourg Branch) changed its name to Citibank International Limited, Luxembourg Branch. 2

4 Shareholders Information Notice of any general meeting of Shareholders of the SICAV or of the Sub-Fund or of a Share Class of the Sub-Fund shall be provided to the relevant Shareholders in the manner required by the law. The accounting year of the SICAV ends on 31 March of each year. The annual report including audited financial statements of the Sub-Fund is available at the SICAV's registered office upon request free of charge within 6 months of the year it relates to. No subscriptions can be received solely on the basis of annual reports. Subscriptions are only valid if made on the basis of the current Prospectus as appropriate, and the latest annual report. Additional information can be obtained from 3

5 Directors Report Dear Investor, The US Federal Reserve s announcement that it would taper off its bond-buying programme by USD 10 billion per month triggered a rapid flight of capital out of emerging-market countries. Symptoms of overheating in the Chinese real estate market, concerns about mounting personal debt and uncertainties about the sturdiness of China s economic growth heightened investor risk aversion. Market volatility increased again toward the end of the first quarter when Russia unilaterally seized control over Ukraine s Crimean peninsula. The start of the second quarter of 2014 was marked by a rally in risky assets. Despite an intermittent dip in mid-april caused mainly by profit-taking amid overall thin trading volume, stocks in particular edged upward. At the same time, market volatility fell and investors implied volatility expectations as measured by the VIX index dropped to the lowest level seen since early The fourth quarter of 2014 was marked by a global sell off in the commodity market accompanied by a spike in volatilities, particularly in the equity space. Obviously, there are as well many ways to manage assets and there certainly is no single way as well as no single investment strategy that will suit all possible market environments exists. However, we have two simple beliefs that an investment strategy must suffice under all market circumstances. Firstly, it is impossible to predict future market movements and thus the performance of a given investment strategy, however, an investment strategy should always perform as predicted under given market circumstances. This requires strict discipline in the investment process and we believe that the use of quantitative models helps to achieve this goal as human factors such as stress or fear that may lead to unpredictable or inconsistent outcomes under identical market situations can be excluded. Secondly, if there is a simpler way to do things - for example measuring trends of an asset class - use the simpler path, provided that you understand why the simpler path yields the same result as more complex ones. We believe that the simpler path helps to increase the robustness of an investment strategy and to avoid undesired interdependencies that may be encountered at higher levels of complexity. However, lacking understanding of why the simpler path yields the same result would be a typical case of overconfidence and could endanger our first belief as it may only seem to yield the same result possibly due to the singular conditions under which the solution had been evaluated. We are confident that 1741 Asset Management Ltd. as investment manager of our Sub-Fund will continue to share these beliefs, in particular when developing new or improving existing investment strategies. During the financial year, 1741 SIF Diversified Trends showed a strong performance. The strategy is performing exactly as expected under the realised market movement during the financial year. Short positions in commodity markets, aggregated long USD and long government bonds contributed mainly to a successful year. We thank you for your continuous trust and support. In the interest of good governance and continued transparency to Shareholders, the Board of Directors has adopted the ALFI Code of Conduct (the "Code") which sets out principles of good governance. The Board of Directors considers that the SICAV has been in compliance with the Code in all material aspects throughout the financial year ended 31 March For more information on the Code please refer to 31 March 2015 The Board of Directors of 1741 Specialised Investment Funds SICAV Michael Boge Chairman Markus Wagner Member of the Board The figures stated in the report are historical and not necessarily indicative of future performance. 4

6 Deloitte. Deloitte Aud it soc1ete a responsabilite l1mitee 560, rue de Neudorf L-2220 Luxembourg B.P L-1011 Luxembourg Tel : Fax Report of the Reviseur d'entreprises agree To the Shareholders of 1741 Specialised Investment Funds SICAV c/o Citibank International imited, Luxembourg Branch* 3 I, Z.A. Bourmicht 8070 Bertrange G.D. Luxembourg Following our appointment by the annual general meeting of the Shareholders dated 29 August 2014, we have audited the accompanying financial statements of 1741 Specialised Investment Funds SICA V (the "SICAV" ) and of its Sub-Fund, which comprise the statement of net assets and the schedule of investments and other net assets as of 31 March 2015 and the statement of operations and changes in net assets for the year then ended and a summary of significant accounting policies and other explanatory notes to the financial statements. Responsibility of the Board of Directors of the SICA V for the financial statements The Board of Directors of the SICA V 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 SICA V 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 Reviseur d 'entreprises agree 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 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 Reviseur d'entreprises agree 's judgement, 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 Reviseur d 'entreprises agree 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 SICA V, 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. With effect from 31October2014, Citibank International pie (Luxembourg Branch) changed its name to Citibank International Limited, Luxembourg Branch. 5 Soc1ete a responsabilite limitee au capital de 35 ooo RCS Luxembourg B VAT LU Autorisation d' etablissement '

7 Deloitte. Report of the Reviseur d'entreprises agree (continued) Opinion In our opinion, the financial statements give a true and fair view of the financial position of 1741 Specialised Investment Funds SICAV and of its Sub-Fund as of 31 March 2015, and of the results of its operations and changes in its net assets for the year then ended in accordance with Luxembourg legal and regulatory requirements relating to the preparation of the financial statements. Other matter 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. For Deloitte Audit, Societe a Responsabilite limitee Cabinet de revision agree -;-~~ Jan van Delden, Reviseur d'entreprises agree Partner Luxembourg, 20 August

8 Statement of Net Assets As of 31 March SIF Diversified Trends EUR Assets Investments in securities at market value (note 2.2) 22,897,488 Futures margin accounts paid 5,794,827 Cash at bank 649,578 Amounts receivable on subscriptions 176,833 Interest receivable, net 222,391 Net unrealised gain on futures contracts (notes 2.8, 8) 703,095 Total Assets 30,444,212 Liabilities Bank overdraft 7 Futures margin accounts received 431,315 Amounts payable on redemptions 61,034 Other payable 507,051 Net unrealised loss on forward foreign exchange contracts (notes 2.8, 7) 182,300 Total Liabilities 1,181,707 Total Net Assets 29,262,505 The accompanying notes form an integral part of these financial statements. 7

9 Statement of Operations and Changes in Net Assets For the year ended 31 March SIF Diversified Trends EUR Net assets at the beginning of the year 25,248,131 Income Interest income, net (note 2.6) 457,628 Total Income 457,628 Expenses Investment management fees (note 3) 297,270 Performance fees (note 3) 796,203 Administration fees (note 4) 30,000 Correspondent and transaction fees 4,735 Shareholder services fees 19,466 Transfer agent fees (note 4) 3,990 Taxation (note 6) 2,680 Audit and legal fees 24,703 Custody fees (note 4) 3,835 Regulatory fees 507 Interest expense 54,459 Director fees (note 5) 15,000 Conducting Officer fees (note 5) 20,703 Other fees 19,113 Total Expenses 1,292,664 Net loss from investments (835,036) Net realised gain / (loss) on sales of investments (note 2.7, 9) (645,428) on forward foreign exchange contracts (note 2.8, 9) 5,700,918 on spot foreign exchange contracts (note 2.4, 9) 60,579 on futures contracts (note 2.8) 5,830,483 Net change in unrealised appreciation on investments (note 9) 212,053 on forward foreign exchange contracts(note 9) 80,677 on futures contracts (note 9) 30,771 Net change in net assets for the year resulting from operations 10,435,017 Movements in share capital Proceeds from subscriptions 2,658,676 Payments for redemptions (9,079,319) Net payments from subscription and redemption activity (6,420,643) Net assets at the end of the year 29,262,505 The accompanying notes form an integral part of these financial statements. 8

10 Net Asset Information 1741 SIF Diversified Trends Net assets as of 31 March ,262,505 EUR Net asset value per Share Class as of 31 March 2015 Class I Share - EUR EUR Class I Share - CHF FX Hedged CHF Class I Share - USD FX Hedged USD Class IXL Share - EUR EUR Number of Shares outstanding as of 31 March 2015 Class I Share - EUR 25, Class I Share - CHF FX Hedged 175, Class I Share - USD FX Hedged 10, Class IXL Share - EUR 33, SIF Diversified Trends Net assets as of 31 March ,248,131 EUR Net asset value per Share Class as of 31 March 2014 Class I Share - EUR EUR Class I Share - CHF FX Hedged CHF Class I Share - USD FX Hedged USD Class IXL Share - EUR EUR Number of Shares outstanding as of 31 March 2014 Class I Share - EUR 22, Class I Share - CHF FX Hedged 195, Class I Share - USD FX Hedged 27, Class IXL Share - EUR 70,

11 Net Asset Information (continued) 1741 SIF Diversified Trends Net assets as of 31 March ,483,673 EUR Net asset value per Share Class as of 31 March 2013 Class I Share - EUR EUR Class I Share - CHF FX Hedged CHF Class I Share - USD FX Hedged USD Class IXL Share - EUR EUR Number of Shares outstanding as of 31 March 2013 Class I Share - EUR 91, Class I Share - CHF FX Hedged 314, Class I Share - USD FX Hedged 15, Class IXL Share - EUR 245,

12 Total Expense Ratios (TERs) (1) Class I Class I Class I Class IXL Share Share Share Share EUR CHF FX USD FX EUR Hedged Hedged Management fees 1.24% 1.24% 1.25% 0.80% Administration fees 0.11% 0.11% 0.12% 0.12% Shareholder services fees 0.07% 0.07% 0.07% 0.07% Other fees 0.35% 0.36% 0.41% 0.43% TER 1.77% 1.78% 1.85% 1.42% Performance fees 3.06% 2.99% 2.49% 3.25% TER (including Performance fees) 4.83% 4.77% 4.34% 4.67% (1) Please note that the Management fees, Administration fees, Shareholder services fees and Other fees are calculated for the year from 1 April 2014 to 31 March The total expense ratios are calculated for the year of activity of the Share Classes. 11

13 Notes to the Financial Statements As of 31 March The Fund 1.1 Description of the Fund 1741 Specialised Investment Funds SICAV (the SICAV ) is an open-ended investment company organised as a société anonyme under the laws of the Grand Duchy of Luxembourg and qualifies as a "société d investissement à capital variable specialised investment fund" (SICAV-SIF). The SICAV is authorised as an undertaking for collective investment (the UCI ) under the Luxembourg Law of 13 February 2007 on specialised investment funds (the Luxembourg Law ), as amended. Its Articles of Incorporation (the Articles ) were published in the Mémorial C. Recueil des Sociétés et Associations (the Mémorial ) on 21 March The SICAV is registered with the Registre de Commerce et des Sociétés under number B and incorporated for an unlimited period. The SICAV is an "umbrella fund" enabling investors to choose between one or more investment objectives by investing in one or more separate Sub-Funds offered by the SICAV. The Board of Directors of the SICAV (the Board of Directors ) may from time to time decide to offer additional separate Sub-Funds and additional Share Classes in existing Sub-Funds. Under Luxembourg law and its Articles, the Board of Directors is authorised to issue Shares without par value relating to a specific Sub-Fund as described in the below paragraph Description of the Share Classes. The SICAV may make available both distributing and accumulating Shares for each Sub-Fund. The SICAV may make available Share Classes with different reference currencies, minimum initial and/or subsequent transaction amounts, dividend policies, hedging policies and fee structures. Being established as a specialised investment fund within the meaning of the Luxembourg Law, as amended, the SICAV is only authorised to sell Shares to well-informed investors as defined in article 2 of the Luxembourg Law. The board of directors of 1741 Specialised Investment Funds SICAV (the SICAV ) has selected RBS (Luxembourg) S.A., 33, rue de Gasperich, L-5826 Hesperange, Grand Duchy of Luxembourg ( RBS ) in order to act as the Company s Alternative Investment Fund Manager ( AIFM ) in accordance with the provisions of the law of 12 July 2013 on Alternative Investment Fund Managers ("2013 Law ). In accordance with the 2013 Law, RBS will be entrusted with the portfolio management, risk management and marketing functions. The appointment of RBS has however not yet taken place due in particular to the time needed to the required update of the agreements in place with the other service providers of the SICAV. These agreements are currently updated in order to comply with the requirements of the 2013 Law and relevant AIFM regulations. This update is currently taking more time than initially expected but is performed in order to preserve the best interest of the shareholders of the SICAV. It is however expected that RBS will formally be appointed as the SICAV s AIFM before the end of the third quarter of 2015 and that the SICAV will be fully compliant with the requirements of the 2013 Law by that time. 1.2 Description of the Share Classes The SICAV may make available Share Class I, IX, IXL, IXXL and IZ (the Share Classes ) denominated in Euro (the Base Currency ) or in any other currency as may be decided by the Board of Directors. The Shares not denominated in the Base Currency may be either hedged or unhedged. The SICAV may make available W Shares denominated in the Base Currency or in any other currency as may be decided by the Board of Directors. W Shares not denominated in the Base Currency may be either hedged or unhedged. The sale and transfer of W Shares are restricted to employees of the Investment Manager, the Directors and Conducting Officers. 12

14 1 The Fund (continued) 1.2 Description of the Share Classes (continued) As of the 31 March 2015, the SICAV had one active Sub-Fund; 1741 SIF Diversified Trends (the Sub-Fund ) with four Share Classes as follows: Share Class Initial Issue Price Launched Class I Share - EUR EUR March 2011 Class I Share - CHF FX Hedged CHF March 2011 Class I Share - USD FX Hedged USD March 2011 Class IXL Share EUR EUR March 2012 New Sub-Funds and Share Classes may be created in the future. 2 Summary of Significant Accounting Policies 2.1 General These financial statements are prepared in accordance with generally accepted accounting principles and legal and regulatory requirements for Specialised Investment Funds in the Grand Duchy of Luxembourg. The accounts of the SICAV are presented in Euro. 2.2 Investment Valuation The value of transferable securities, money market instruments and any financial liquid assets listed or dealt in on a stock exchange or on a regulated market are generally valued at the last available known price in the relevant market prior to the time of valuation. Fixed income securities not traded on such markets are generally valued at the last available price or yield equivalents obtained from one or more dealers or pricing services approved by the Board of Directors. If such prices are not representative of their value, such securities are stated at market value or otherwise at the fair value at which it is expected they may be resold, as may be determined in good faith by or under the direction of the Board of Directors. The liquidating value of forward or options contracts not traded on a stock exchange or on regulated markets shall mean their net liquidating value determined, pursuant to the policies established by the Board of Directors, on a basis consistently applied for each different kind of contracts. The value of futures, forward or options contracts traded on a stock exchange or on regulated markets shall be based upon the last available settlement or closing prices as applicable to these contracts on a stock exchange or on regulated markets on which the particular futures, forward or options contracts are traded on behalf of the SICAV; provided that if a futures, forward or options contract could not be liquidated on the day with respect to which assets are being determined, the basis for determining the liquidating value of such contract shall be such value as the Board of Directors may deem fair and reasonable. All other transferable securities, money market instruments and other financial liquid assets, including equity and debt securities, for which prices are supplied by a pricing agent but are not deemed to be representative of market values, but excluding money market instruments with a remaining maturity of ninety days or less and including restricted securities and securities for which no market quotation is available, are valued at fair value as determined in good faith pursuant to procedures established by the Board of Directors. Money market instruments held by the Sub-Fund with a remaining maturity of 12 months or less are valued by the amortised cost method, which approximates market value. Under this valuation method, the Sub-Fund s investments are valued at their acquisition cost as adjusted for amortisation of premium or accretion of discount rather than at market value. Units or Shares of open-ended UCIs are valued at their last determined and available net asset value (the NAV ) or, if such price is not representative of the fair market value of such assets, then the price shall be determined by the Board of Directors on a fair and equitable basis. Units or Shares of a closed-ended UCI is valued at their last available stock market value. 13

15 2 Summary of Significant Accounting Policies (continued) 2.2 Investment Valuation (continued) The Board of Directors may, at its discretion, permit some other method of valuation to be used if it believes that such other method provides a valuation, which more accurately reflects the fair value of any asset of the SICAV. Any such valuation shall be based on the probable realisable value which must be estimated with care and in good faith. In the event that any such change in valuation method is permanent and/or materially affects the net asset value of the Sub- Fund, the Board of Directors shall be obliged to provide adequate notice to the Shareholders. 2.3 Swing Pricing Adjustment The Board of Directors has decided to apply the Swinging Single Pricing ( SSP ) approach. The balance of subscriptions, redemptions or exchanges of Shares for the Sub-Fund and Valuation Date determines whether or not the NAV per Share of the Share Classes of the Sub-Fund for that specific Valuation Date will be swung or not. This approach prevents existing investors from suffering any dilution of their Shares due to the costs (bid/ask spreads, market impacts, transaction costs, commissions, duties etc.) triggered by net in- or outflows. The impact on the determination of the NAV per Share is as follows: a) if inflows into the Sub-Fund exceed outflows for a specific Valuation Date, the NAV per Share of all Share Classes of the Sub-Fund will increase by a swing factor in order to meet the costs on average (bid/ask spreads, market impacts, transaction costs, commissions, duties etc.) triggered by the net inflows. The swung NAV per Share will be higher than the unswung NAV per Share. b) if outflows from the Sub-Fund exceed inflows for a specific Valuation Date, the NAV per Share of all Share Classes of the Sub-Fund will decrease by a swing factor in order to meet the costs on average (bid/ask spreads, market impacts, transaction costs, commissions, duties etc.) triggered by the net outflows. The swung NAV per Share will be lower than the unswung NAV per Share. c) if inflows into the Sub-Fund equal outflows for a specific Valuation Date no costs are triggered for the Sub-Fund due to the netting effect. In this case no swing factor will be applied to the unswung NAV per Share and the swung NAV per Share is identical to the unswung NAV per Share. The same applies to subscriptions and redemptions in kind or exchanges within the Sub-Fund. The swing factor does not exceed 1% of the unswung NAV per Share. The Board of Directors determines the swing factor for the Sub-Fund based on the assessment of the costs on average (bid/ask spreads, market impacts, transaction costs, commissions, duties etc.) triggered by the net in- or outflows and review the swing factor periodically. The Board of Directors may determine the thresholds for the level of net in- or outflows relevant for the application of the swing factor. For subscriptions, redemptions or exchanges of Shares in the Sub-Fund, the Board of Directors has decided to apply the SSP approach no additional subscription/redemption fees will be debited to the investors. As of 31 March 2015, the Swing Pricing mechanism impacted the Sub-Fund as follows: Unswung Swing Pricing Swung Sub-Fund Total Net Assets Adjustment Total Net Assets 1741 SIF Diversified Trends 29,262,505-29,262,505 The Net Asset Information section of this report discloses as of 31 March 2015, the unswung total net assets and the swung NAV per Share. The Statement of Net Assets as well as the Statement of Operations and Changes in Net Assets reflect the unswung net assets. 2.4 Conversion of Foreign Currencies The books and records of the Sub-Fund are denominated in the Base Currency of the Sub-Fund. Amounts denominated in other currencies are translated into the Base Currency on the following basis: (i) investment valuations and other assets and liabilities initially expressed in other currencies are converted for each Valuation Date into the Base Currency upon exchange rates prevailing on each Valuation Date; (ii) purchases and sales of foreign investments, income and expenses are converted into the Base Currency using currency exchange rates prevailing on the respective dates of such transactions. 14

16 2 Summary of Significant Accounting Policies (continued) 2.4 Conversion of Foreign Currencies (continued) Net realised gains and losses on spot foreign exchange contracts represent: (i) foreign exchange gains and losses from the sale and holding of foreign currencies; (ii) gains and losses between trade date and settlement date on securities transactions; (iii) gains and losses arising from the difference between amounts of dividends and interest recorded and the amounts actually received. The resulting gains and losses on spot foreign exchange and other assets are included in the Statement of Operations and Changes in Net Assets under the heading Net realised gain/(loss) on spot foreign exchange contracts. Main exchange rates used as of 31 March 2015: 1 EUR = AUD KRW BRL MXN CAD NOK CHF NZD CZK PLN GBP RUB HKD SEK HUF USD ILS ZAR JPY 2.5 Acquisition Cost of Securities* The cost of securities expressed in currencies other than the Base Currency of the Sub-Fund is translated into the Base Currency at the exchange rate prevailing at the purchase date. The acquisition cost of securities is determined on the basis of the average weighted cost of all purchases of such securities. 2.6 Interest Income Interest income includes interest on investment portfolio and interest on bank accounts and is recognised on an accrual basis, net of any irrecoverable withholding tax. 2.7 Realised Gains and Losses Realised gains and losses comprise the profit or loss arising on the disposal of securities during the year and differences arising on the revaluation of other assets and liabilities denominated in foreign currencies. Realised gains or losses are determined on the basis of the weighted average cost of the securities sold. 2.8 Derivatives Forward foreign exchange contracts Unrealised gains and losses on outstanding forward foreign exchange contracts are valued by reference to the forward rate of exchange applicable to the outstanding life of the contract and are included in the Statement of Net Assets under the heading Net unrealised gain/(loss) on forward foreign exchange contracts. The realised gain/(loss) on forward foreign exchange contracts is disclosed in the Statement of Operations and Changes in Net Assets under the heading Net realised gain/(loss) on forward foreign exchange contracts. Futures contracts Outstanding futures contracts, if any, are valued at the close of business market price or the last available market price of the instruments. The unrealised gain and loss on futures contracts is included in the Statement of Net Assets under the heading Net unrealised gain/(loss) on futures contracts and margin accounts are included under the heading Futures margin accounts paid and "Futures margin accounts received", respectively. *On the SICAV s reporting date as of 31 March 2015, the acquisition cost is as follows: EUR 23,051, SIF Diversified Trends. 15

17 2 Summary of Significant Accounting Policies (continued) 2.8 Derivatives (continued) Futures contracts (continued) The realised gain/(loss) on futures contracts is disclosed in the Statement of Operations and Changes in the Net Assets under the heading Net realised gain/(loss) on futures contracts. 3 Investment Management and Performance Fees The Investment Manager (1741 Asset Management Ltd.) is a Swiss registered Management Company having the form of a limited company. The Investment Manager receives a Management Fee and Performance Fee for its services payable out of the assets of the Sub-Fund on a quarterly basis. The Management Fee is calculated at the applicable annual rates set out below calculated on the basis of the weekly unswung NAV attributable to each Share Class of the Sub-Fund. As of 31 March 2015, Management Fee rates at Share Class level are as follows: 1741 SIF Diversified Trends Share Class Class I Share - EUR 1.25% Class I Share - CHF FX Hedged 1.25% Class I Share - USD FX Hedged 1.25% Class IXL Share - EUR 0.80% The Performance Fee is calculated using the percentage rates of 20% for each Share Classes of the Sub-Fund, according to the No Benchmark Approach. No Benchmark Approach A Sub-Fund or Share Class may choose not to measure its performance in relation to a benchmark but rather in absolute terms. The No Benchmark Approach applies to Portfolios and Share Classes for which no benchmark is defined, but nonetheless a Performance Fee levied: a) The Performance Fee is calculated based on the percentage change of the unswung NAV per Share (before Performance Fee accrual for current Valuation Date) since the latest Performance Fee accrual (as an absolute high water mark); b) The Performance Fee only becomes payable if the above mentioned percentage change since the latest Performance Fee accrual under paragraph a) above is in favour of the unswung NAV per Share and accordingly in favour of the investor; c) The Performance Fee to be accrued is calculated as a multiplication of the percentage rate resulting from paragraphs a) and b) above with the unswung NAV per Share at the point in time when the latest Performance Fee was accrued and with the Shares outstanding of the Portfolio or Share Class at the Valuation Date; d) The Performance Fee is calculated for each Valuation Date and if the condition under paragraph b) above is fulfilled, the total amount of the Performance Fee due is accrued in the calculation of the unswung NAV per Share for the Portfolio or Share Class on that date. The accumulated Performance Fee is payable within 30 days of each quarter end to the Investment Manager; e) The Performance Fee is calculated separately for each applicable Share Class of the Portfolio; f) Any distributions out of the Portfolios or changes of the calculation base due to modified tax regulations will be adjusted for. As of 31 March 2015, a performance fee amounting to EUR 796,203 was due. 16

18 4 Other Fees and Expenses Any appointed distributor may receive distribution fees payable out of the assets referable to the applicable Share Classes and is entitled to reimbursement for its reasonable out-of-pocket expenses and disbursements. The fees payable to the Custodian and Paying Agent for its provision of custody, paying agent and depositary bank supervisory services may vary between 0.007% and 0.8% of the value of the assets held. The fees payable to the Custodian and Paying Agent for its provision of investment compliance monitoring services shall be subject to a maximum of EUR 7,500 for the Sub-Fund. Transaction fees may vary between EUR 15 and EUR 150 per transaction depending on the market. The fees payable to the Administrator for the provision of its administrative duties shall not exceed 10 bps, subject to a minimum of EUR 30,000 per annum for the Sub-Fund. Other fees and expenses, such as Fund Accounting, Transfer Agency, Audit, etc., are accrued on a pro-rata basis to their assets at each Net Asset Value calculation. 5 Director Fees and Remuneration Directors are remunerated for the provision of their services to the SICAV. Mr Alan Ridgway received an amount of EUR 15,000 p.a. as Director fees and EUR 20,703 p.a. as Conducting Officer fees. There are no other Director fees and Conducting Officer fees paid to any of the other Directors and Conducting Officer. The Director fees and Conducting Officer fees are disclosed in the Statement of Operations and Changes in Net Assets under the heading Director fees and Conducting Officer fees respectively. 6 Taxation 6.1 Taxe d abonnement The SICAV is not liable for any Luxembourg tax on profits or income, nor are dividends paid by the Sub-Fund liable to any Luxembourg withholding tax. The SICAV is, however, subject in Luxembourg to a subscription tax ("taxe d'abonnement") of 0.01% per annum of the Sub-Fund s net assets, such tax being payable quarterly on the basis of the value of the aggregate net assets of the Sub- Fund as of the end of each calendar quarter. No such tax is due on the portion of the SICAV s assets invested in other Luxembourg UCI subject to a subscription tax. No Luxembourg tax is payable on the realised capital appreciation of the assets of the SICAV. 6.2 Other taxes Capital gains, dividends and interest on securities received from other countries may be subject to withholding or capital gains taxes imposed by such countries. It is the SICAV s policy to provide for any potential liability for foreign capital gains and income taxes. 17

19 7 Outstanding Forward Foreign Exchange Contracts as of 31 March SIF Diversified Trends Maturity Date Currency Amount Purchased Currency Amount Sold Unrealised Gain/ (Loss) (in EUR) 01-Apr-2015 EUR 156,076 USD 170,000 (2,211) 15-Apr-2015 AUD 3,228,535 EUR 2,329,310 (35,396) 15-Apr-2015 AUD 597,054 USD 468,201 (11,639) 15-Apr-2015 AUD 756,501 USD 586,784 (8,739) 15-Apr-2015 AUD 267,295 USD 210,242 (5,801) 15-Apr-2015 AUD 232,095 JPY 21,870,659 (4,902) 15-Apr-2015 AUD 315,560 JPY 29,432,375 (4,310) 15-Apr-2015 AUD 264,991 USD 205,629 (3,143) 15-Apr-2015 AUD 143,025 JPY 13,451,529 (2,819) 15-Apr-2015 AUD 229,633 CAD 225,529 (2,586) 15-Apr-2015 AUD 348,508 CAD 340,395 (2,539) 15-Apr-2015 AUD 171,371 JPY 15,957,124 (2,133) 15-Apr-2015 AUD 139,040 CAD 136,729 (1,694) 15-Apr-2015 AUD 101,370 CAD 98,961 (702) 15-Apr-2015 AUD 154,505 USD 117, Apr-2015 AUD 511,396 USD 389, Apr-2015 BRL 1,074,645 USD 338,226 (3,058) 15-Apr-2015 BRL 539,400 USD 169,431 (1,222) 15-Apr-2015 BRL 1,137,264 USD 351,029 3, Apr-2015 BRL 904,717 USD 278,537 3, Apr-2015 CAD 2,133,427 EUR 1,576,706 (8,844) 15-Apr-2015 CAD 835,701 USD 664,076 (4,035) 15-Apr-2015 CAD 403,682 USD 321,395 (2,522) 15-Apr-2015 CAD 204,456 USD 163,464 (1,915) 15-Apr-2015 CHF 160,776 GBP 113,005 (1,968) 15-Apr-2015 CHF 149,754 GBP 104,626 (959) 15-Apr-2015 CHF 23,735 USD 24,786 (313) 15-Apr-2015 CHF 50,904 USD 52,740 (281) 15-Apr-2015 CHF 82,620 USD 85, Apr-2015 CHF 121,535 GBP 84, Apr-2015 CHF 95,188 USD 97, Apr-2015 CHF 61,973 USD 62,562 1, Apr-2015 CHF 311,974 GBP 209,878 9, Apr-2015 CHF 480,842 JPY 58,097,042 10, Apr-2015 CHF 1,204,409 EUR 1,132,669 22, Apr-2015 CZK 39,711,299 EUR 1,451,516 (10,412) 15-Apr-2015 CZK 11,150,422 EUR 405,696 (1,053) 15-Apr-2015 EUR 520,742 GBP 383,101 (8,624) 15-Apr-2015 EUR 322,200 JPY 42,137,154 (4,962) 15-Apr-2015 EUR 195,235 JPY 25,553,586 (3,168) 15-Apr-2015 EUR 179,922 USD 196,576 (3,072) 15-Apr-2015 EUR 317,253 CAD 435,816 (3,030) 15-Apr-2015 EUR 256,485 JPY 33,384,036 (2,716) 15-Apr-2015 EUR 130,390 USD 142,589 (2,348) 15-Apr-2015 EUR 346,198 USD 373,887 (1,856) 15-Apr-2015 EUR 34,453 USD 37,632 (579) 15-Apr-2015 EUR 471,406 GBP 341, Apr-2015 EUR 391,354 JPY 50,272,239 1, Apr-2015 EUR 449,701 AUD 629,883 2, Apr-2015 EUR 346,198 USD 368,659 3, Apr-2015 EUR 500,482 USD 530,197 6, Apr-2015 GBP 1,736,212 EUR 2,427,148 (28,078) 15-Apr-2015 GBP 257,274 USD 384,273 (2,225) 15-Apr-2015 GBP 134,537 JPY 24,168,024 (1,745) 15-Apr-2015 GBP 206,476 USD 308,221 (1,620) 15-Apr-2015 GBP 123,723 USD 184,252 (563) 15-Apr-2015 GBP 278,426 USD 410,195 2, Apr-2015 HUF 109,173,604 EUR 358,770 5, Apr-2015 HUF 427,684,548 EUR 1,408,757 16, Apr-2015 ILS 1,508,933 USD 385,525 (5,668) 15-Apr-2015 ILS 1,083,296 USD 273,609 (1,120) 15-Apr-2015 ILS 1,096,145 USD 275,648 (10) 15-Apr-2015 JPY 216,219,568 EUR 1,682,070 (3,296) 15-Apr-2015 JPY 23,803,189 CHF 195,260 (2,437) 15-Apr-2015 JPY 49,722,048 USD 415,583 (817) 18

20 7 Outstanding Forward Foreign Exchange Contracts as of 31 March 2015 (continued) 1741 SIF Diversified Trends (continued) Maturity Date Currency Amount Purchased Currency Amount Sold Unrealised Gain/ (Loss) (in EUR) 15-Apr-2015 JPY 19,882,783 GBP 112,141 (581) 15-Apr-2015 JPY 27,487,084 GBP 154,833 (530) 15-Apr-2015 JPY 7,812,608 CHF 63,449 (188) 15-Apr-2015 JPY 17,148,126 GBP 96,387 (44) 15-Apr-2015 JPY 30,395,942 GBP 170,806 (16) 15-Apr-2015 JPY 8,065,708 GBP 45, Apr-2015 JPY 2,782,170 CHF 22, Apr-2015 JPY 68,726,903 USD 572, Apr-2015 JPY 11,792,497 CAD 123, Apr-2015 JPY 99,510,907 CAD 1,048,180 2, Apr-2015 JPY 25,584,570 EUR 195,235 3, Apr-2015 JPY 143,140,578 AUD 1,544,877 13, Apr-2015 KRW 284,584,958 USD 258,411 (1,610) 15-Apr-2015 KRW 249,649,948 USD 226,138 (900) 15-Apr-2015 KRW 426,814,444 USD 385,396 (401) 15-Apr-2015 KRW 250,768,050 USD 226,456 (257) 15-Apr-2015 KRW 557,722,111 USD 496,353 6, Apr-2015 MXN 8,596,679 USD 570,814 (6,590) 15-Apr-2015 MXN 3,481,093 USD 232,848 (4,257) 15-Apr-2015 MXN 1,374,863 USD 91,947 (1,666) 15-Apr-2015 MXN 1,071,652 USD 70,333 (55) 15-Apr-2015 MXN 8,641,903 USD 564,406 2, Apr-2015 NOK 1,824,158 USD 231,410 (4,809) 15-Apr-2015 NOK 1,392,283 USD 177,157 (4,168) 15-Apr-2015 NOK 620,613 USD 78,667 (1,577) 15-Apr-2015 NOK 1,688,881 USD 210,162 (647) 15-Apr-2015 NOK 455,321 USD 56,532 (56) 15-Apr-2015 NZD 354,274 USD 269,667 (4,099) 15-Apr-2015 NZD 524,133 USD 395,047 (2,420) 15-Apr-2015 NZD 103,348 USD 78,703 (1,229) 15-Apr-2015 NZD 121,210 USD 91,705 (883) 15-Apr-2015 NZD 43,271 USD 32, Apr-2015 NZD 467,797 USD 344,634 5, Apr-2015 PLN 7,134,706 EUR 1,728,444 22, Apr-2015 RUB 721,581 USD 12,447 (89) 15-Apr-2015 RUB 481,376 USD 8,316 (71) 15-Apr-2015 RUB 485,217 USD 8,371 (61) 15-Apr-2015 RUB 748,914 USD 12,833 (13) 15-Apr-2015 RUB 692,930 USD 11, Apr-2015 RUB 2,614,194 USD 43, Apr-2015 RUB 3,925,462 USD 65,119 1, Apr-2015 SEK 2,377,173 USD 279,592 (3,620) 15-Apr-2015 SEK 2,022,605 USD 238,366 (3,524) 15-Apr-2015 SEK 2,134,359 EUR 233,307 (2,868) 15-Apr-2015 SEK 899,686 EUR 97,839 (703) 15-Apr-2015 SEK 1,123,443 EUR 120, Apr-2015 USD 1,560,161 KRW 1,778,412,345 (40,827) 15-Apr-2015 USD 2,343,022 JPY 284,056,300 (24,339) 15-Apr-2015 USD 935,427 ZAR 11,663,686 (23,095) 15-Apr-2015 USD 968,076 NOK 7,995,360 (21,951) 15-Apr-2015 USD 1,720,044 EUR 1,621,862 (20,663) 15-Apr-2015 USD 1,531,321 MXN 23,654,040 (18,469) 15-Apr-2015 USD 802,201 BRL 2,635,392 (17,934) 15-Apr-2015 USD 1,928,439 CAD 2,462,713 (14,665) 15-Apr-2015 USD 985,966 NZD 1,336,412 (13,691) 15-Apr-2015 USD 141,315 RUB 8,948,093 (11,089) 15-Apr-2015 USD 519,051 KRW 587,217,570 (9,854) 15-Apr-2015 USD 1,459,695 ILS 5,844,547 (9,294) 15-Apr-2015 USD 243,273 CHF 244,428 (7,935) 15-Apr-2015 USD 1,930,293 GBP 1,302,318 (2,601) 15-Apr-2015 USD 127,463 BRL 416,981 (2,337) 15-Apr-2015 USD 1,309,375 SEK 11,300,798 (1,202) 15-Apr-2015 USD 164,093 GBP 110,860 (430) 19

21 7 Outstanding Forward Foreign Exchange Contracts as of 31 March 2015 (continued) 1741 SIF Diversified Trends (continued) Maturity Date Currency Amount Purchased Currency Amount Sold Unrealised Gain/ (Loss) (in EUR) 15-Apr-2015 USD 12,301 RUB 721,581 (47) 15-Apr-2015 USD 85,250 EUR 79,388 (28) 15-Apr-2015 USD 13,980 NZD 18, Apr-2015 USD 116,708 BRL 374, Apr-2015 USD 102,159 AUD 133, Apr-2015 USD 8,619 ZAR 103, Apr-2015 USD 32,213 CHF 31, Apr-2015 USD 29,251 MXN 443, Apr-2015 USD 17,320 MXN 259, Apr-2015 USD 28,831 CHF 27, Apr-2015 USD 117,657 NOK 944, Apr-2015 USD 238,348 BRL 762, Apr-2015 USD 33,980 ZAR 404, Apr-2015 USD 80,262 MXN 1,212, Apr-2015 USD 64,736 NOK 514, Apr-2015 USD 46,219 EUR 42, Apr-2015 USD 52,189 AUD 66,600 1, Apr-2015 USD 137,984 CHF 132,075 1, Apr-2015 USD 145,641 BRL 460,270 2, Apr-2015 USD 1,848,749 AUD 2,418,747 2, Apr-2015 USD 163,131 EUR 149,297 2, Apr-2015 USD 145,385 AUD 185,691 3, Apr-2015 USD 275,245 NZD 360,996 4, Apr-2015 ZAR 1,499,409 USD 126,390 (2,753) 15-Apr-2015 ZAR 3,645,157 USD 301,833 (1,638) 15-Apr-2015 ZAR 1,140,445 USD 95,485 (1,492) 15-Apr-2015 ZAR 923,305 USD 77,334 (1,235) 15-Apr-2015 ZAR 101,217 USD 8, Apr-2015 ZAR 410,378 USD 33, Apr-2015 ZAR 4,062,133 USD 328,906 5, Apr-2015 CHF 21,521,000 EUR 20,526, , Apr-2015 USD 181,000 EUR 166,157 2, Apr-2015 USD 1,154,000 EUR 1,056,510 17,618 Total (182,300) 20

22 8 Outstanding Futures Contracts as of 31 March SIF Diversified Trends Number of Futures' Contracts Unrealised Gain/ Description Maturity Date Currency P/(S) (Loss) (in EUR) 90 days Australian bank bill future (ASX) 10-Sep-2015 AUD 10 3,336 S&P 60 Future (TSE) 18-Jun-2015 CAD 4 4, Year Government of Canada Bond Future (MSE) 19-Jun-2015 CAD 35 28,745 Bank Acceptance Future (BAX) 14-Sep-2015 CAD 36 (2,316) Swiss Market Index Future (EUZ) 19-Jun-2015 CHF 23 (14,256) Ice Natural Gas Future 14-Sep-2015 CHF 27 (1,294) Amsterdam Index Future (AEX) 17-Apr-2015 EUR 15 (11,775) CAC40 Index Future (FSE) 17-Apr-2015 EUR 31 5,395 IBEX 35 Future (BME) 17-Apr-2015 EUR 6 32,794 Rapeseed Oil Futures 30-Apr-2015 EUR ,842 Mill Wheat Futures 11-May-2015 EUR 108 (19,074) Euro-Schatz Future 8-Jun-2015 EUR 58 2,900 5 Year Euro-Bobl Future (EUX) 8-Jun-2015 EUR 41 9,430 Euro Bund Future (EUX) 8-Jun-2015 EUR 36 66,640 Euro Buxl Futures (EUX) 8-Jun-2015 EUR ,020 DAX Index Future (EUX) 19-Jun-2015 EUR 6 8,963 FTSE 100 Index Future (LIF) 19-Jun-2015 EUR 9 14,402 DJ Euro Stoxx 50 Future (EUX) 19-Jun-2015 EUR 47 17,390 3 month EUR CHF (LIF) 14-Sep-2015 EUR Long Gilt Future (LIF) 26-Jun-2015 GBP 11 20,168 FTSE 100 Index Future (LIF) 19-Jun-2015 GBP 3 (8,584) 90 Day Sterling Future 16-Sep-2015 GBP 41 4,976 Hang Seng Index Future (HKG) 29-Apr-2015 HKD 5 10,863 Hang Seng China Enterprises Index (HSCEI) 29-Apr-2015 HKD 4 11, Year Japanese Bond (TSE) 11-Jun-2015 JPY 3 (12,500) Topix Index Future (TSE) 11-Jun-2015 JPY 17 20,986 Nikkei 225 Futures (CME) 11-Jun-2015 JPY 15 51,242 3 Month Euroyen (TIF) 14-Sep-2015 JPY (6) Stockholm 30 Index Future (OMX) 17-Apr-2015 SEK 48 3,657 Zinc Futures 13-Apr-2015 USD (51,723) Aluminium Futures 13-Apr-2015 USD (17,900) Brent Crude Oil Futures 15-Apr-2015 USD (2) 3,678 WTI Crude Oil Futures 21-Apr-2015 USD (10) 2,467 Ice Natural Gas Future 28-Apr-2015 USD (21) 51,796 MSCI Tawan Index Future 29-Apr-2015 USD 57 (41,946) NY Harbor Ulsd Future 30-Apr-2015 USD 1 (47) Feeder Cattle Futures 30-Apr-2015 USD 10 9,916 Sugar Futures 30-Apr-2015 USD (74) 175,240 Cotton Futures 6-May-2015 USD 11 (4,751) Gas Oil Futures 12-May-2015 USD (2) 2,607 Cocoa Futures 13-May-2015 USD (31) 13,268 Corn Futures 14-May-2015 USD 4 (3,073) Soybean Futures 14-May-2015 USD (5) (1,536) Soybean Meal Futures 14-May-2015 USD 1 (177) Soybean Oil Futures 14-May-2015 USD (13) 1,670 Zinc Futures 18-May-2015 USD (23) 8,165 Aluminium Futures 18-May-2015 USD (54) 9,742 Coffee Futures 18-May-2015 USD (11) 12,552 Copper Futures 27-May-2015 USD (1) (1,734) 30 Day Federal Funds (CME) 29-May-2015 USD 1 (19) Lean Hogs Futures 12-Jun-2015 USD (31) (9,926) E-mini DJIA Future (CBT) 19-Jun-2015 USD 4 (2,872) 20 Year US Long Bond (CBT) 19-Jun-2015 USD 1 (1,222) E-mini S&P 500 Future (CME) 19-Jun-2015 USD Nasdaq 100 Future (CME) 19-Jun-2015 USD 3 2,299 S&P MidCap 400 e-mini futures (CME) 19-Jun-2015 USD 5 6, Year US Treasury Note Future (CBT) 19-Jun-2015 USD 20 21,298 21

23 8 Outstanding Futures Contracts as of 31 March 2015 (continued) 1741 SIF Diversified Trends (continued) Number of Futures' Contracts Unrealised Gain/ Description Maturity Date Currency P/(S) (Loss) (in EUR) Gold 100 OZ Futures 26-Jun-2015 USD (7) 1,825 Palladium Future 26-Jun-2015 USD (9) 8,766 Platinium Future 29-Jul-2015 USD (21) (50,483) Live Cattle Futures 30-Jun-2015 USD 8 (1,611) 2 Year US Treasury Note Future (CBT) 30-Jun-2015 USD 35 20,425 5 Year US Treasury Note Future (CBT) 30-Jun-2015 USD 42 29,941 Wheat Futures 14-Jul-2015 USD (2) 1, Day Eurodollar Future 14-Sep-2015 USD 28 4, ,095 As of 31 March 2015, there is no collateral against Futures contracts. 9 Net Realised and Change in Unrealised Gain / (Loss) Investments Gain (Loss) Net amount Realised on sales of investments 259 (645,687) (645,428) Realised on forward foreign exchange contracts 23,541,507 (17,840,589) 5,700,918 Realised on spot foreign exchange contracts 690,148 (629,569) 60,579 Realised on futures* 20,631,032 (14,588,501) 6,042,531 Change in unrealised on investments 1, , ,053 Change in unrealised on forward foreign exchange contracts 6,494 (87,171) (80,677) Change in unrealised on futures (308,581) 339,352 30,771 *Not including transaction costs. 10 Subsequent Event With effect from 29 April 2015, Mr Michael Boge resigned as Director of the Board of Directors of the SICAV. 22

24 Schedule of Investments and Other Net Assets as of 31 March SIF Diversified Trends (Expressed in EUR) Currency of the Nominal if not EUR Bonds Quantity/ Nominal Amount Description 500, , ,000 1,000, , , ,000 Market Value Transferable securities and money market instruments admitted to an official exchange listing % of Net Assets Australia Telstra Corp. Limited 3.875% - 24/Jul/15 505, , Germany Volkswagen Leasing GmbH 1.500% - 15/Sep/15 503, , Netherlands Nederlandse Gasunie NV 0.875% - 30/Oct/15 502, Syngenta Finance NV 4.125% - 22/Apr/15 1,002, Unilever NV 3.375% - 29/Sep/15 508, ,012, Sweden Teliasonera AB 4.125% - 11/May/15 502, , United Kingdom GlaxoSmithKline Capital plc 3.875% - 6/Jul/15 504, , Total Bonds 4,029, Supranationals, Governments and Local Public Authorities, Debt Instruments 2,000,000 2,000,000 Denmark Denmark (Govt of) 1.750% - 5/Oct/15 2,018, ,018, Finland Finland (Govt of) 4.250% - 4/Jul/15 2,022, ,022, The accompanying notes form an integral part of these financial statements. 23

25 Schedule of Investments and Other Net Assets as of 31 March 2015 (continued) 1741 SIF Diversified Trends (continued) (Expressed in EUR) Currency of the Nominal if not EUR Quantity/ Nominal Amount Description Market Value % of Net Assets 1,900,000 2,250,000 1,300,000 2,000, , , ,000 1,000, , ,000 3,050,000 Germany Germany (Govt of) Bundesobligation 1.750% - 9/Oct/15 1,919, Germany (Govt of) Bundesschatzanweisungen 0.250% - 11/Sep/15 2,254, Germany (Govt of) Bundesschatzanweisungen 0.000% - 12/Jun/15 1,300, Germany (Govt of) Bundesschatzanweisungen 0.000% - 11/Dec/15 2,003, ,478, Netherlands Netherlands (Govt of) 0.000% - 29/May/15 800, Netherlands (Govt of) 0.000% - 30/Jun/15 180, Netherlands (Govt of) 0.000% - 31/Aug/15 950, Netherlands (Govt of) 0.000% - 30/Apr/15 1,000, Netherlands (Govt of) 3.250% - 15/Jul/15 959, Netherlands (Govt of) 0.750% - 15/Apr/15 400, Netherlands (Govt of) 0.000% - 15/Apr/16 3,056, ,347, Total Supranationals, Governments and Local Public Authorities, Debt Instruments 18,868, Total Transferable securities and money market instruments admitted to an official exchange listing 22,897, Portfolio of Investments 22,897, Cash 649, Other Net Assets 5,715, Net Assets 29,262, The accompanying notes form an integral part of these financial statements. 24