AZ MULTI ASSET. AZ Multi Asset - Institutional T. AZ Multi Asset - Institutional Italy T. AZ Multi Asset - Institutional Europe D

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1 Umbrella collective investment funds R.C.S. K1454 Audited Annual Report as at December 31, 2016

2 AZ Multi Asset - Institutional T AZ Multi Asset - Institutional Italy T AZ Multi Asset - Institutional Europe D AZ Multi Asset - BTPortfolio AZ Multi Asset - Renminbi Opportunities AZ Multi Asset - Renminbi Opportunities - Fixed Income AZ Multi Asset - Institutional Macro Dynamic Trading AZ Multi Asset - Institutional Commodity Trading AZ Multi Asset - World Trading AZ Multi Asset - Algo Equity Strategies* AZ Multi Asset - FLEX AZ Multi Asset - Romeo AZ Multi Asset - MAMG Global Sukuk* AZ Multi Asset - CGM Valor Flexible Strategies Fund AZ Multi Asset - CGM Valor Bond Strategies Fund AZ Multi Asset - Asia Absolute AZ Multi Asset - Sustainable Absolute Return* AZ Multi Asset - Sustainable Equity Trend* AZ Multi Asset - Sustainable Hybrid Bonds AZ Multi Asset - Global Value AZ Multi Asset - RIN Balanced Equity* AZ Multi Asset - RIN G.A.M.E.S.* AZ Multi Asset - Brazil Value* * Refer to Note 1 for more details No subscription can be received on the basis of financial reports. Subscriptions are only valid if made on the basis of the current prospectus which will be accompanied by a copy of the latest available annual report.

3 AZ Multi Asset For the sub-funds - AZ Multi Asset - Institutional Italy T - AZ Multi Asset - BTPortfolio - AZ Multi Asset - Institutional Macro Dynamic Trading - AZ Multi Asset - Institutional Commodity Trading - AZ Multi Asset - World Trading - AZ Multi Asset Algo Equity Strategies - AZ Multi Asset - FLEX - AZ Multi Asset - Romeo - AZ Multi Asset - Asia Absolute - AZ Multi Asset - CGM Valor Flexible Strategies Fund - AZ Multi Asset - Sustainable Equity Trend* - AZ Multi Asset - RIN Balanced Equity - AZ Multi Asset - RIN G.A.M.E.S. - AZ Multi Asset - Brazil Value No marketing has been filed and consequently, units in those sub-funds must not be marketed in Germany.

4 Table of Contents Organisation of the Fund 6 Directors' Report 8 Audit Report 16 Statistics 18 Combined Statement of Net Assets as at December 31, Combined Statement of Operations and Changes in Net Assets for the year/period ended December 31, AZ Multi Asset - Institutional T Statement of Net Assets as at December 31, Statement of Operations and Changes in Net Assets for the year ended December 31, Statement of Changes in Number of Units 25 Securities Portfolio as at December 31, Financial derivative instruments as at December 31, Portfolio Breakdowns 28 Top Ten Holdings (% of net assets) 28 AZ Multi Asset - Institutional Italy T Statement of Net Assets as at December 31, Statement of Operations and Changes in Net Assets for the year ended December 31, Statement of Changes in Number of Units 29 Securities Portfolio as at December 31, Financial derivative instruments as at December 31, Portfolio Breakdowns 33 Top Ten Holdings (% of net assets) 33 AZ Multi Asset - Institutional Europe D Statement of Net Assets as at December 31, Statement of Operations and Changes in Net Assets for the year ended December 31, Statement of Changes in Number of Units 34 Securities Portfolio as at December 31, Financial derivative instruments as at December 31, Portfolio Breakdowns 39 Top Ten Holdings (% of net assets) 39 AZ Multi Asset - BTPortfolio Statement of Net Assets as at December 31, Statement of Operations and Changes in Net Assets for the year ended December 31, Statement of Changes in Number of Units 40 Securities Portfolio as at December 31, Portfolio Breakdowns 42 Top Ten Holdings (% of net assets) 42 1

5 Table of Contents AZ Multi Asset - Renminbi Opportunities Statement of Net Assets as at December 31, Statement of Operations and Changes in Net Assets for the year ended December 31, Statement of Changes in Number of Units 43 Securities Portfolio as at December 31, Financial derivative instruments as at December 31, Portfolio Breakdowns 46 Top Ten Holdings (% of net assets) 46 AZ Multi Asset - Renminbi Opportunities - Fixed Income Statement of Net Assets as at December 31, Statement of Operations and Changes in Net Assets for the year ended December 31, Statement of Changes in Number of Units 47 Securities Portfolio as at December 31, Financial derivative instruments as at December 31, Portfolio Breakdowns 49 Top Ten Holdings (% of net assets) 49 AZ Multi Asset - Institutional Macro Dynamic Trading Statement of Net Assets as at December 31, Statement of Operations and Changes in Net Assets for the year ended December 31, Statement of Changes in Number of Units 50 Securities Portfolio as at December 31, Financial derivative instruments as at December 31, Portfolio Breakdowns 55 Top Ten Holdings (% of net assets) 55 AZ Multi Asset - Institutional Commodity Trading Statement of Net Assets as at December 31, Statement of Operations and Changes in Net Assets for the year ended December 31, Statement of Changes in Number of Units 56 Securities Portfolio as at December 31, Financial derivative instruments as at December 31, Portfolio Breakdowns 58 Top Ten Holdings (% of net assets) 58 AZ Multi Asset - World Trading Statement of Net Assets as at December 31, Statement of Operations and Changes in Net Assets for the year ended December 31, Statement of Changes in Number of Units 59 Securities Portfolio as at December 31, Financial derivative instruments as at December 31, Portfolio Breakdowns 62 Top Ten Holdings (% of net assets) 62 2

6 Table of Contents AZ Multi Asset - Algo Equity Strategies* Statement of Net Assets as at December 31, Statement of Operations and Changes in Net Assets for the year ended December 31, Statement of Changes in Number of Units 63 Securities Portfolio as at December 31, Financial derivative instruments as at December 31, Portfolio Breakdowns 65 Top Ten Holdings (% of net assets) 65 AZ Multi Asset - FLEX Statement of Net Assets as at December 31, Statement of Operations and Changes in Net Assets for the year ended December 31, Statement of Changes in Number of Units 66 Securities Portfolio as at December 31, Financial derivative instruments as at December 31, Portfolio Breakdowns 68 Top Ten Holdings (% of net assets) 68 AZ Multi Asset - Romeo Statement of Net Assets as at December 31, Statement of Operations and Changes in Net Assets for the year ended December 31, Statement of Changes in Number of Units 69 Securities Portfolio as at December 31, Financial derivative instruments as at December 31, Portfolio Breakdowns 71 Top Ten Holdings (% of net assets) 71 AZ Multi Asset - MAMG Global Sukuk* Statement of Net Assets as at December 31, Statement of Operations and Changes in Net Assets for the year ended December 31, Statement of Changes in Number of Units 72 Securities Portfolio as at December 31, Portfolio Breakdowns 74 Top Ten Holdings (% of net assets) 74 AZ Multi Asset - CGM Valor Flexible Strategies Fund Statement of Net Assets as at December 31, Statement of Operations and Changes in Net Assets for the year ended December 31, Statement of Changes in Number of Units 75 Securities Portfolio as at December 31, Financial derivative instruments as at December 31, Portfolio Breakdowns 77 Top Ten Holdings (% of net assets) 77 3

7 Table of Contents AZ Multi Asset - CGM Valor Bond Strategies Fund Statement of Net Assets as at December 31, Statement of Operations and Changes in Net Assets for the year ended December 31, Statement of Changes in Number of Units 78 Securities Portfolio as at December 31, Financial derivative instruments as at December 31, Portfolio Breakdowns 80 Top Ten Holdings (% of net assets) 80 AZ Multi Asset - Asia Absolute Statement of Net Assets as at December 31, Statement of Operations and Changes in Net Assets for the year ended December 31, Statement of Changes in Number of Units 81 Securities Portfolio as at December 31, Financial derivative instruments as at December 31, Portfolio Breakdowns 84 Top Ten Holdings (% of net assets) 84 AZ Multi Asset - Sustainable Absolute Return* Statement of Net Assets as at December 7, Statement of Operations and Changes in Net Assets for the period ended December 7, Statement of Changes in Number of Units 85 AZ Multi Asset - Sustainable Equity Trend* Statement of Net Assets as at December 31, Statement of Operations and Changes in Net Assets for the period ended December 31, Statement of Changes in Number of Units 86 Securities Portfolio as at December 31, Portfolio Breakdowns 89 Top Ten Holdings (% of net assets) 89 AZ Multi Asset - Sustainable Hybrid Bonds Statement of Net Assets as at December 31, Statement of Operations and Changes in Net Assets for the exercise ended December 31, Statement of Changes in Number of Units 90 Securities Portfolio as at December 31, Financial derivative instruments as at December 31, Portfolio Breakdowns 92 Top Ten Holdings (% of net assets) 92 AZ Multi Asset - Global Value Statement of Net Assets as at December 31, Statement of Operations and Changes in Net Assets for the year ended December 31, Statement of Changes in Number of Units 93 Securities Portfolio as at December 31, Financial derivative instruments as at December 31, Portfolio Breakdowns 95 Top Ten Holdings (% of net assets) 95 4

8 Table of Contents AZ Multi Asset - RIN Balanced Equity* Statement of Net Assets as at December 31, Statement of Operations and Changes in Net Assets for the period ended December 31, Statement of Changes in Number of Units 96 Securities Portfolio as at December 31, Financial derivative instruments as at December 31, Portfolio Breakdowns 99 Top Ten Holdings (% of net assets) 99 AZ Multi Asset - RIN G.A.M.E.S.* Statement of Net Assets as at December 31, Statement of Operations and Changes in Net Assets for the period ended December 31, Statement of Changes in Number of Units 100 Securities Portfolio as at December 31, Financial derivative instruments as at December 31, Portfolio Breakdowns 104 Top Ten Holdings (% of net assets) 104 AZ Multi Asset - Brazil Value* Statement of Net Assets as at December 31, Statement of Operations and Changes in Net Assets for the period ended December 31, Statement of Changes in Number of Units 105 Securities Portfolio as at December 31, Portfolio Breakdowns 107 Top Ten Holdings (% of net assets) 107 Notes to the Financial Statements 108 Additional Informations (unaudited) 125 * Refer to Note 1 for more details 5

9 Organisation of the Fund Management Company R.C.S. B AZ Fund Management S.A. 35, avenue Monterey L-2163 Luxembourg Grand-Duchy of Luxembourg Company Board of Directors Chairman of the Company Board of Directors Until October 25, 2016 Mr. Pietro Giuliani, President and Co-CEO of Azimut Holding S.p.A., President of Azimut Consulenza SIM S.p.A., of Azimut Global Counseling S.r.l., of Azimut Enterprises Holding S.r.l. and of AZ International Holdings S.A., Board member of AZ Life Ltd, Vice-president of Azimut Capital Management SGR S.p.A., Executive committee member Azimut Holding S.p.A.. Since October 26, 2016 Mr. Sergio Albarelli, President of Azimut Capital Management SGR S.p.A., of Azimut Financial Insurance S.p.A., of Azimut Global Counseling Srl, of Azimut Enterprises Holdings Srl, of Azimut Partecipazioni Srl, of AZ International Holdings S.A., Co-CEO of Azimut Holding S.p.A., Board member of AZ Life Dac. Board Members Mr. Marco Malcontenti, President of AZ Life Dac, of Futurimpresa SGR S.p.A., CO-CEO of Azimut Capital Management SGR S.p.A., Delegated Co-member of Azimut Holding S.p.A., Board member of Azimut Global Counseling Srl, of Azimut Enterprises Holding Srl, of CGM Italia SIM S.p.A., of AZ International Holdings S.A., of Augustum Opus SIM S.p.A., of Azimut Financial Insurance S.p.A. and of Azimut Partecipazioni Srl. Mr. Giacomo Mandarino, Vice-president AZ Life Dac and president of Eskatos Capital Management S.à r.l.. Mr. Andrea Aliberti, General Manager of AZ Fund Management S.A., Board member of Azimut Holding S.p.A., of AZ International Holdings S.A. and of Katarsis Capital Advisors S.A.. Mr. Claudio Basso, Senior Fund Manager of AZ Fund Management S.A., Board member of AZ International Holdings S.A., of Compagnie de Gestion Privée Monégasque S.A.M. and of AZ Life Dac. Mrs. Paola Antonella Mungo, Delegated Co-member of Azimut Holding S.p.A., President of CGM Italia SIM S.p.A., and Board member of Azimut Capital Management SGR S.p.A., of Azimut Global Counseling Srl, of Azimut Enterprises Holding Srl, of AZ International Holdings S.A., of Futurimpresa SGR S.p.A., of Augustum Opus SIM S.p.A., of Azimut Financial Insurance S.p.A. and of Azimut Partecipazioni Srl. Mrs. Raffaella Sommariva, Senior Fund Manager of AZ Fund Management S.A. of Board member of AZ International Holdings S.A. and of Eskatos Capital Management S.à r.l.. Mr.Filippo Fontana, President of AZ Sinopro Insurance Planning Ltd. Board member of AZ Life Dac., of AZ International Holdings S.A., of Azimut Portfoy A.S., de AZ Swiss & Partners S.A. and of Katarsis Capital Advisors S.A.. Mr. Mattia Sterbizzi, Legal/Product Manager of AZ Fund Management S.A., Board Member of AZ International Holdings S.A., and Eskatos Capital Management S.à r.l., of Azimut Portfoy A.S., of AN Zhong (AZ) Investment Management Ltd and of AZ Sestante Ltd. Mr. Ramon Spano, Senior Fund Manager of AZ Fund Management S.A.. Mr. Marco Vironda, Fund Manager de AZ Fund Management S.A.. Mr. Alessandro Zambotti, Financial Manager of Azimut Holding S.p.A. and Board member of AZ International Holdings S.A.. Mr. Giuseppe Pastorelli, Portfolio Manager of AZ Fund Management S.A.. Mr. Luca Lionetti, Portfolio Manager of AZ Fund Management S.A.. Mr. Saverio Papagno, Senior Analyst of AZ Fund Management S.A.. 6

10 Organisation of the Fund (continued) Custodian Agent BNP Paribas Securities Services, succursale de Luxembourg 60, avenue J.F. Kennedy L-1855 Luxembourg Grand-duchy of Luxembourg Administrative Agent BNP Paribas Securities Services, succursale de Luxembourg 60, avenue J.F. Kennedy L-1855 Luxembourg Grand-duchy of Luxembourg Registrar and Transfer Agent BNP Paribas Securities Services, succursale de Luxembourg 60, avenue J.F. Kennedy L-1855 Luxembourg Grand-duchy of Luxembourg Auditor PricewaterhouseCoopers, Société coopérative 2, rue Gerhard Mercator L-2182 Luxembourg Grand-duchy of Luxembourg Principal Distributor in Italy Azimut Consulenza SIM S.p.A. Via Cusani, 4 I Milano Italy Conseillers en Investissements For AZ Multi Asset - Renminbi Opportunities, AZ Multi Asset - Renminbi Opportunities - Fixed Income, AZ Multi Asset - Institutional Macro Dynamic Trading and AZ Multi Asset - Institutional Commodity Trading: AN Zhong (AZ) Investment Management Hong Kong Ltd. For AZ Multi Asset - Institutional T, AZ Multi Asset - Institutional Italy T, AZ Multi Asset - Institutional Europe D, AZ Multi Asset - BTPortfolio, AZ Multi Asset - Romeo of AZ Multi Asset - Global Value: Azimut Capital Management SGR S.p.A. For AZ Multi Asset - MAMG Global Sukuk: AZ GLOBAL PORTFÖY YÖNETIMI A.S. and Maybank Asset Management Singapore PTE Ltd. For AZ Multi Asset - Sustainable Hybrid Bonds and AZ Multi Asset - Sustainable Equity Trend: Vescore Ltd (formerly Notenstein Private Bank Ltd.) For AZ Multi Asset - Asia Absolute: Athenaeum Ltd. For AZ Multi Asset - Brazil Value : AZ Quest Investimentos Ltda Manager For AZ Multi Asset - World Trading, AZ Multi Asset - CGM Valor Flexible Strategies Fund and AZ Multi Asset - CGM Valor Bond Strategies Fund: CGM - Compagnie of Gestion Privée Monégasque For AZ Multi Asset - Algo Equity Strategies and AZ Multi Asset - FLEX: Azimut Capital Management SGR S.p.A. For AZ Multi Asset - RIN Balanced Equity and AZ Multi Asset - RIN G.A.M.E.S : AZ Swiss & Partners S.A. 7

11 Director s Report AZ Multi Asset - Institutional T During the year 2016, the class of the Sub-fund A (O) achieved a performance of 18.78%. The year 2016 was characterised by a situation of strong economic growth and positive returns on all major financial assets but also by a series of corrections and rapid increases in volatility, in some cases significant, usually related to political circumstances. In particular, these episodes were at the beginning of the year caused by a strong fear of a slowdown in the Chinese economy and a consequent sharp correction in commodity prices (oil in particular), then during the year there have been moments of high volatility linked to Brexit, the US elections and, ultimately, to the constitutional referendum in Italy. These episodes have presented excellent buying opportunities. The fund started the year with an equity exposure of around 60% and no government bonds, considering the valuations of the stock markets relatively more attractive than bonds, but not in absolute terms. During the year, in line with the guiding principle of not reacting to political events but only observing the valuations of financial assets, as opportunities arose related to the episodes mentioned above the equity component was gradually increased, reaching levels close to 100%, and then the results consolidated towards the end of the year, arriving close to 85%. From a geographical point of view the allocation was primarily weighted to Europe and Japan compared to the US. From a sector perspective the greatest contribution to performance came from the overweight in the first part of the year of securities in the energy, basic materials and financial sectors, which has since been gradually reduced in favour of more stable sectors like utilities and pharmaceuticals. The currency exposure, primarily in US dollars, has also contributed to performance and was gradually reduced during the year. AZ Multi Asset - Institutional Italy T During the year 2016, the class of the Sub-fund A (O) achieved a performance of % The negative performance of the sub-fund over the course of 2016 was mainly due to the poor performance of the benchmark index. In 2016 the Italian stock market was the worst European market mainly because of significant long-standing exposure to the banking sector which has been adversely impacted by the need for recapitalisation arising from capital standards required by the European Central Bank. During 2016 the fund maintained a market exposure between 90% and 130%. This exposure was decided by the management team due to the levels of total market valuation that reached historical lows in both relative and absolute terms in The underperformance compared with the benchmark index is due to the decision to have an equity weight greater than 100% during the year, and especially to increase the weight of the banking sector. In the second half of the year positions in cyclical sectors were increased through investments in large caps and some mid caps linked to international exports. AZ Multi Asset - Institutional Europe D During the year 2016, the class of the Sub-fund MASTER (O DIS) achieved a performance of 3.80% and the class A (O) achieved a performance of 4.29%. After an extremely heavy first quarter with negative markets and credit, the fund was able to recover and closed the year at the highest levels of the period. The recovery has had two main drivers: credit and equity portfolio. In the second quarter there was a rebound in European credit thanks to the intervention of the European Central Bank, while in the last quarter, after Trump's surprise election, the world's stock markets and cyclical stocks have experienced a strong performance, even the European stock exchange recuperating all the ground lost over the previous 12 months. The sub-fund was able to achieve a significantly better performance on the equity portfolio, much better than the sxxp600 index (over 700 bps of alpha) thanks to the rotation towards securities of English exporters at mid-year and to financials and cyclicals in the second half of the year. Equity exposure was very low in the first half of the year, rising gradually in the second half of 2016 and ending the year at about 32%. The credits were increased in the first quarter (especially corporate and non-financial hybrids) and allowed the fund a good recovery due to the narrowing of the spread in the first half of the year. In the second half of the year credits from the banking and insurance sectors were increased to improve the yield to maturity but did not contribute to the performance of the sub-fund due to the continuing banking crisis, especially Italian banks. Alternative strategies (arbitrage) provided a stable base for the investment in activities having low and intermediate volatility and had a positive contribution of just under one percentage point. These strategies have been expanded, making up more than 20% of the fund at the end of the year. Currencies did not play a significant role in the final performance of the product, with the exception of a small existing position in pounds sterling during the Brexit referendum. In the second half of the year the currency exposure remained at the lowest level of the last few years. The sub-fund experienced a slight increase in annual volatility in the first quarter and then gradually declined to levels not far from historical averages (last result at 250 days = 7.2%). 8

12 Director s Report AZ Multi Asset -BTPortfolio During the year 2016, the class of the Sub-fund A (O) achieved a performance of 0.17%. Throughout 2016 the sub-fund maintained a duration greater than the benchmark, which is 3.1 years (90% MTS medium term and 10% MTS monetary), always remaining above 4 years. The European Central Bank's continued purchasing of government bonds throughout the year maintained a protective shield over the securities of the European periphery (Italy, Spain and Portugal). There were some episodes of volatility during the year, coinciding with the political events of Brexit, the US elections and the Italian constitutional referendum, but each time the downward swings provided a good opportunity for buying. The duration above the benchmark is explained by the continuous fall in yields on the short portion of the yield curve, ending up below zero up to three years in duration. The part of the curve between 3 and 6-7 years remains the most efficient in terms of risk/return. By the end of the year, more purely economic elements came into play in addition to the political events noted before: Europe is tending towards greater growth than in the recent past, and particularly inflation, aided by the rise in energy prices, has resumed its journey toward the ECB's goal of 2%. These two factors make the structure of German rates very risky, and as the Italian political situation does not allow easy optimism on the progress of its spread with the last increase in yields subsequent to the referendum on the Constitution, for the first time the opportunity was not taken to buy more long-term securities. With each passing month this new strategy will bring the duration of the portfolio in line with the benchmark. AZ Multi Asset - Renminbi Opportunites During the year 2016, the class of the Sub-fund MASTER (O non hedged) achieved a performance of -0.47%. In Q1 2016, softening of the Dollar Index and a stabilization of the EM currencies helped the Chinese Currency on taking off most of the negativity versus the Chinese economy and sub sequentially the Chinese currency. The market was speculating about a depreciation of the Chinese currency over The story of the stabilization/recovery in the EM market and a softening of the US Dollar would help the CNY to stabilize over the year. Also, the next 5-year plan of the Chinese Government would be the important checkpoint for the currency trend. As expected, they brought more confidence for the Chinese economy. Although CNY turned weak, rates were still moving up. This negative bias has impacted the CNH forward curve bringing the 1 year deposit rate to 4% and the duration of the portfolio would increase gradually (4.6 months at the moment with 3.96% YTM). In Q2, the market has been experienced a continuation of the Dollar Index weakness due to a more dovish American central bank and a consequently stabilization of the EM currencies. This helped the Chinese Economy on taking off most of the negativity and a continuous improvement of macro data has helped the international view about the Chinese stabilization.due to the Commodities rally and the Global EM stabilization even Chinese rates have started to softened, bringing 1 year rates down to 3.75%. This positive bias took down the yield of fund to 3.67% and the duration was 5.7 months. By then, the UK referendum and a big reversal happened in the FX market have been bringing pressure on the Chinese currency. Due to the selloff rates in China have stabilized 1 year rates is approximately 3.55%. The selloff helped the fund on increasing the overall yield moving it up from 3.67% up to 3.72% in June. In Q3, even with a stable USD and Dollar Index weakness versus some EM currencies, the Chinese currency suffer a setback primarily for the worry of the anniversary of the August 2015 devaluation and secondly for the expectation of the increase of interest rate in US. Deposit rates in China have stabilized, 1 year rates is approximately 3.30%, with spike on short term funding as the Central Bank is withdrawing extra liquidity moving short term deposit rate higher. We have seen 1 week deposit moving up to 5%. This liquidity action caused repricing of our existing deposit causing our fund to underperform the currency monthly performance. In Q4, the big rally of the USD Index and consequently a risk off on all the Emerging Market currencies, the Chinese currency suffered a big selloff. Chinese macro data were coming out better than expectation and this would be a good support for the currency. Deposit rates in China have been spiked due to the US election, 1 year rates was moving approximately to 4.20%.This movement caused repricing of our existing deposit, hence our fund underperformed the currency monthly performance. The repricing of the deposits at bid improved the overall yield to 4.32%, with a duration just above 5 months. We were increasing now our duration to aim to get to 1 year duration over the next few Quarters to benefit from higher interest rate. 9

13 Director s Report AZ Mulit Asset - Renminbi Opportunties Fixed Income During the year 2016, the class of the Sub-fund Master (O non hedged) achieved a performance of 3.03%. In Q1 2016, the performance of the fund was positively impacted by the movement of the currency and a tightening of some bid offer spreads of the corporate bonds in the portfolio. The People s Bank of China (PBOC) cut again the Reserve Ratio of the banks, moving down the forward curve of the interest market and bringing a positive mark to market effect for the portfolio holdings. As some of the bonds have expired during the month, we have taken the opportunity to buy some new bonds to increase the duration yield. The duration of the portfolio was just below 2 years and the fund at this moment held 80 bonds with a YTM of 8.95%. In Q2, the fund s performance was furthered impacted by the continuous tightening of some bid offer spreads of the corporate bonds while part of the returns was squeezed by the weaken of the CNH currency at this period. Positive macro data from China and a buying from Global investor in Local Currency Bonds gave an extra performance at our portfolio. We have taken the opportunity to buy some new deposit after some bonds expiration as we didn t find a good value on buy duration and credit risk at the moment and wait for a pull back to increase our duration. The duration was maintained just below 2 years and the fund held 68 bonds with a YTM of 6.89%. In Q3, the weakening of the CNH currency kept impacting the fund s performance but stabilization on the macro data from China and a buying from Global investor in Local Currency Bonds gave an extra support of the return. Starting from October, the fund was negatively impacted by widening of spread do to the broad EM market selloff and the currency movement. At the end of 2016, the duration was down to 1.52 years with a YTM of 5%. We expected to increase the duration in the coming quarters and reach the target to 4 years at the end of AZ Mulit Asset - Institutional Macro Dynamic Trading During the year 2016, the class of the Sub-fund A (O) achieved a performance of 0.92% In Q1 2016, we have experienced a wild volatility in our bond and equity portfolio. We have increased our exposure in both but cut it at the end of the month benefiting from the rally infra month. We have traded during the market movement equity futures, and we have reduced our equity exposure to 10% from 16%. For the fixed income (52%) exposure, we suffered some loss as well due to the bid offer spread widening on some of our EM part while benefiting at the end of the month from the monthly purchased (fixed income duration of 1.2 years and a yield of 4.8%, 2.2% yield for the whole fund). We have increased our bond portfolio from 47% to 52% (including deposits). The market would be very volatile over the next few months, where we would be able to position the fund for the whole year. We would take any selloff opportunity in Equity, Credit and FX to increase the risk of the fund to benefit for the 2016 of a still positive view we have on the risk market. In Q2, we have traded some equity futures and option during the month and maintained our equity exposure from 12% to 11%. We still found value on our EM fixed income allocation, and we have not touched this asset over the month. We still believe we will have better opportunity to enter the HY Bond space during market sell off (around 48% fixed income exposure now). We have increased our exposure on the USD (vs and JPY) after the recent sell off as we do believe the movement has been too fast. We took profit on some of our EM currency vs, especially on long ZAR, long MXN, long AUD. We are still keeping some of our EM currency exposure long versus the JPY and CHF. The market keeps performing quite well, specially supported by Precious Metal and Energy. In Q3, we have been very quiet on the trading activity side to wait a pull back to increase our risk exposure. We kept our risk position to 10%. We have increased our exposure to alpha commodities strategies benefiting from the curve and positive carry that commodities offer. We will increase our exposure on any pull back. We are taking some profit on some EM currencies vs and USD as they have performed exceptionally well during the summer. After the negative performance of November, most of the trades that didn t work for the US Election started to work again for the US rate hike. Our gain came mostly from the narrowing on the EM bonds spread as our exposure is approximately 55% of EM hard currencies bonds. During the last month of 2016, we have increased our risk exposure trading European Equities and increasing USD Equity exposure. We have increased our Japanese Equity exposure and we have increased our exposure on the Japanese yen. We have maintained our risk profile around 22% of the portfolio. We have kept our EM currencies exposure versus USD specially focusing on Colombian Peso, India Rupee and South African Rand, maintaining constant our net risk exposure. 10

14 Director s Report AZ Multi Asset - Institutional Commodity Trading During the year 2016, the class of the Sub-fund A (O) achieved a performance of 20.17%. At the beginning of 2016, the commodity market was very volatile and suffered from a sell-off in the first two months. In March, the market finally had a risk on rally due to different reason primarily for the agreement of the OPEC and NON OPEC producer to fix a cap on Oil supply, the Oil story plus some better data coming out from China produced a rally on the commodities space. On top of these news the US central bank came out more dovish than expected producing a sell off on the American currency and benefiting the commodity space too. Even with our positive view on the commodity space we started to take some profit on our overweight position on the Commodities index reducing our total exposure from 120% to 102%. We mostly took profit on all our Equity exposure and we are starting to accumulate exposure to Gold as we believe will be the commodity that most will benefit from the weak USD. In Q2, the market short covering was keeping the commodities space well demanded. We have increased tactically during the month our exposure to over 100% taking profit at the end of April. As the volatility would be a predominant part on this space over this year, we tried to be opportunistic of the space with trading activity moving our exposure from 90% invested to 110%. The market kept performing quite well, especially supported by Precious Metal and Energy and the exposure was mainly focused on the longer part of the commodities escaping the negative carry cost in the various commodities. After the commodities rally of the first half of the year as like in July, August has been a negative month. We have increased our total exposure from 109%, to 115% as we do believe we will have a rally on the commodity space over the next months. We have increased our exposure to Precious Metal and Energy even buying some Equity exposure. The performance for the commodity sector was mixed, with energy leading the way up +6.12%. In contrast, Base and Precious Metals traded -3.27% and -4.03% lower. While Livestock and Agriculture ended the month down -0.46% and -5.72%, respectively. We were becoming more and more positive on the commodities space as we are starting to see a rebalancing of demand/supply. In Q4, we have maintained our overexposure as we have a positive view on commodities over the next few months. Our total exposure is around 115%. On top of the demand supply we believe another positive boos for commodities prices will be the softening of the US dollar. AZ Multi Asset - World Trading During the year 2016, the class of the Sub-fund A (O RETAIL) achieved a performance of -4.71%. The macroeconomic environment showed decent economic growth both in developed countries and in most of the emerging ones, significantly attenuating the geographic differences that occurred in the previous year. In 2016 the United States continued its multiple years of economic growth. Europe slightly improved its lifeless growth, also improving the deflationary environment. Most of the emerging countries (particularly Brazil), thanks to a strong recovery in oil prices and other commodities, experienced a marked recovery in economic growth. China, thanks to a devaluation of the renminbi against the US dollar in the second part of 2016, increased its GDP by about 6.7%. The negative performance of the sector in a market characterised by considerable volatility caused primarily by political events (raising the "systemic risk" in the first half of the year, Brexit at mid-year, the US presidential elections and a referendum on constitutional reform in Italy in the second half of the year) is essentially due to "stop loss" as well as to hedging transactions, proved quite costly in a market environment with continued "risk-on and risk-off", and the net underperformance by 15-20% of Swiss stocks in the portfolio (Roche, Nestlé and Novartis) which had produced significantly positive results in previous years. With regard to these last securities, the strategy of long-term "buy and hold" is still deemed to be rewarding. The historic volatility of the sub-fund, though slightly increasing, has remained limited to little more than 5% per annum. The asset allocation at year-end was as follows: Short-term liquid assets (including through government securities): 23% Corporate and government bonds: 7% Shares (of which about 15% of Swiss stocks like Roche, Nestlé and Novartis): 70%. AZ Mulit Asset - Global Tactical Asset Allocation (G.T.A.A.) Formerly denominated AZ Multi Asset - Global Tactical Asset Allocation (G.T.A.A.) During the year 2016, the class of the Sub-fund A (O RETAIL) achieved a performance of -3.29% and the class B (O RETAIL) achieved a performance of -3.69%. The reason is fully attributable to the underperformance of trend-following models. We believe that the latter are in the final stage of a negative cycle that is now at its end. However, we made a radical change to the investment policy that provides for: a) The multiplication of the trend-following models (in order to reduce the noise component that any active investment policy inevitably brings with it) b) The introduction of mean reversion models (in order to be less dependent on a single source of performance) 11

15 Director s Report AZ Multi Asset - FLEX During the year 2016, the class of the Sub-fund A (O RETAIL) achieved a performance of 11.96%. This was mainly thanks to the contrarian model that in recent years has performed particularly well. Although we believe that the immediate future should continue to be favourable for this type of model and therefore has a structurally low trading range regime and volatility (especially for Europe) we deem it expedient to expand the modelling, ranging from statistical arbitrage (pair trading) to event driven and trend following. AZ Multi Asset - Romeo During the year 2016, the class of the Sub-fund A (O DIS) achieved a performance of 1.65%. During the year the sub-fund maintained a steady diversification across asset classes, investment styles and management companies. On average one third of the portfolio was invested in third-party funds having balanced or multi-asset strategies. About a quarter of the portfolio was allocated to funds having a total return objective, both equity based and bond based. The rest of the portfolio was invested in equities, bonds and commodities through the use of funds and ETFs, while the use of derivatives was limited. The bond exposure was gradually decreased during the year in favour of alternative strategies such as equitymarket-neutral, merger arbitrage and cat bonds. AZ Multi Asset - MAMG Global Sukuk Formerly denominated AZ Multi Asset - Global Sukuk. During the year 2016, the class of the Sub-fund A (USD DIS) achieved a performance of 2.73%. Initially the year was marked by a decline in prices of energy and petroleum, which in particular reached the lowest levels of the last 15 years. In fact, Middle Eastern economies had to adopt a series of fiscal and budget policies to finance deficits that had never occurred before. The rating agencies have incorporated these dynamics with downgrades of all the Middle Eastern countries (particularly with Bahrain, judged to be sub-ig). The recovery of energy prices in the second half of the year occurred simultaneously with the first increases in reference rates in 10 years by the Fed (50 bp total) and the de facto conclusion of QE in the US. The resulting movement in market rates has introduced a new element of volatility for the sukuk market, also considering the impact on the economies of some countries needing external refinancing like Malaysia, Indonesia and Turkey. November's presidential election in the US contributed markedly to the expectations of a further tightening of monetary policies with a significant repricing of rates. Nevertheless, the sukuk market received support from an extraordinary agreement between participating countries and those outside the OPEC cartel to reduce production output of oil, the impact on prices allowing for a narrowing of spreads for issuers in the Middle East. Managers have pursued a management policy with a gradual reduction of the portfolio duration to 3.5, increasing the diversification of issuers to 61 (with up to 42% of the NAV invested in issuers outside the Middle East), and keeping an average portfolio rating equal to BBB or investment grade equivalent. At the same time they kept a minimum exposure to non-usd issues up to a maximum of 6% of the NAV (GBP,, MYR, SGD). AZ Multi Asset - CGM Valor Flexible Strategies Fund During the year 2016, the class of the Sub-fund A (O) achieved a performance of -2.00%. The months of January, February, June, September, October and November contributed negatively, in particular the months of January, February and June. With regard to the bond strategies, in the early months of the year, the fund benefited from the performance of a core long only strategy (the 10-year Bund yield reached negative returns) but was negatively affected by the long/short credit strategies and partly also by the corporate high yield and financials strategies. Also in the early months of the year we underweighted the convertible strategies in a particularly bad period for equity indices. Once Brexit fears had been overcome, we started to underweight core long only strategies in favour of corporate high-yield and financials, essentially leaving unchanged the weight of l/s credit and convertible strategies. With regard to equity strategies, the fund was unable to benefit from l/s equity and market neutral strategies, which on the contrary significantly penalised the fund's performance. The contribution of the long-only strategies was positive, and in the last quarter we increased the weight of the global equity strategies to 10%. With regard to the weight of the strategies we have always followed the guidelines of our model. At year end the fund's duration was During the year we kept the weight of the global strategies in USD to about 10%. 12

16 Director s Report AZ Multi Asset - CGM Valor Bond Strategies Fund During the year 2016, the class of the Sub-fund A (O) achieved a performance of -0.20%. The months of January, February, April, June, September, October and November contributed negatively. In the early months of the year, the fund benefited from the performance of a core long only strategy (the Bund yield reached negative returns) but was negatively affected by the long/short credit strategies and partly also by the corporate high yield and financials strategies. Also in the early months of the year we underweighted the convertible strategies in a particularly bad period for equity indices. Once Brexit fears had been overcome, we started to underweight core long only strategies in favour of corporate high-yield and financials, essentially leaving unchanged the weight of l/s credit and convertible strategies. At year end the fund's duration was During the year we kept the weight of the global strategies in USD to about 10%. AZ Multi Asset - Asia Absolute During the year 2016, the class of the Sub-fund MASTER (O hedged) achieved a performance of -5.10% was probably one of the most volatile years that we have seen so far which started with global markets selling off sharply in the first few of days of trading triggered by China s A-share market before forming a V-shaped recovery in early February. And by the end of the first quarter, the markets recovered all of those losses. The sharp sell-off was caught most investors unawares, including us and the fund largely traded with the market during the first quarter of The key event in the second quarter of 2016 was the Brexit referendum and by May, the VIX index (a measure of volatility) had bottomed. Expecting increased volatility from the Brexit referendum in June, the fund started adding positions in VIX call spreads as well as index put spreads in countries most vulnerable to a Brexit decision such as Hong Kong and Singapore. Equity positioning was also reduced substantially as the referendum neared. Given the fund s slightly negative beta positioning prior to the referendum, the Yes vote that materialized did provide some gains for the fund, but the subsequent recovery was far too swift to make any sustained gains. The Brexit decision essentially led to a postponement of further rate hikes by the US Federal Reserve which ended up being beneficial for Asian equities. As the rate hike overhang faded, EM inflows increased significantly in the third quarter, especially in Indonesia where a tax amnesty program attracted funds to be repatriated onshore and invested in the domestic capital markets. As such, Asia markets continued to rally in the third quarter, but the fund was more cautious as the rally seemed over-extended and as a result missed most of the gains in the third quarter. But that rally came to a halt as Donald Trump won the US presidential election in November. Trump s campaign promises of a more protectionist trade stance will be negative for the Asian export economies, especially Korea and Taiwan. Additionally, his domestic policies are largely pro-inflationary which could lead to increased interest rates and will be negative for rate-sensitive countries such as Hong Kong and Singapore. And consequently, higher rates will lead to a stronger dollar which will be negative for Asia EM countries especially Indonesia. Although China exports to the US is significant, it imports just as much and it still has some domestic levers to pull if exports do slow. Hence, the impact of reduced exports will be somewhat softened. Additionally, increased Chinese hegemony in the region will be a potential long-term benefit for Chinese equities as Chinese corporations increase their foray into Asia. As a result, the portfolio positioning after the US election was more weighted towards China with a negative bias towards ASEAN equities. The volatility in global markets in 2016 essentially prevented the US Federal Reserve raising rates for the most of the year until after the US election in November and indicated it will raise rates another two or three times in That will continue to be data dependent and more specifically, it will be dependent on the effects of possible pro-inflationary policies by the Trump administration. AZ Multi Asset - Sustainable Absolute Return The sub-fund was merged with the AZ Multi Asset - Sustainable Equity Trend Sub-fund in December As at December 7, 2016, the Sub-fund achieved a performance of -6.94%. The level of stock investment of the fund has varied between 20% and 73%, consistent with the recommendations of the equity allocation model, using an international basket of sustainable equity and dynamically covering exposure with equity futures. 13

17 Director s Report AZ Multi Asset - Equity Trend During the year 2016, the class of the Sub-fund A (O RETAIL) achieved a performance of -6.20%. The fund's portfolio was put together during the last few days of October, paying utmost attention to the fund's mandate. A global equity portfolio was then launched by selecting securities from a universe of companies with underlying activities that are sustainable from an ethical and social point of view, as well as environmental impact and corporate governance. From the companies having these essential characteristics, investments were made based on the fundamental valuation, management quality and growth opportunities, also taking into consideration the sector in which they operate. From a geographical point of view, the fund maintained an underweight exposure to the US, focusing instead on investing in European equities. Japan was kept neutral. The portfolio maintained a low exposure to financial and real estate sectors to encourage exposure to defensive sectors like pharmaceuticals and consumer goods where buying opportunities were created with regard to the dynamic rise in long-term government interest rates. The currency exposure was kept entirely open. AZ Multi Asset - Sustainable Hybrid Bonds During the year 2016, the class of the Sub-fund A (O) achieved a performance of 6.18% and the class A (O RETAIL DIS) achieved a performance of % After the first few months of panic and sell-offs caused by the collapse of commodity prices, thanks to purchases by the ECB there was a rapid repurchasing of all global bonds, in particular in the Euro investment grade area. Hybrid securities have significantly benefited from the narrowing of spreads. After the summer, the scarcity of securities for sale caused a further tightening of spreads. The asset allocation will remain unchanged for AZ Multi Asset - Global Value During the year 2016, the class of the Sub-fund A (O RETAIL) achieved a performance of 3.64%. The fund invests mainly in funds managed using a "value style". This fund can invest both in global equity sub-funds, and in specialised sub-funds focused on individual macro-regions (Europe, USA, Japan, Asia, emerging countries) and in specialised sub-funds in a single country. The sub-fund is "flexible" and as such can actively manage net exposure. Despite not being restricted by any specific benchmarks, the index that is the most representative is the MSCI All Country World. The sub-fund started the year with a cautious stance in view of the corrective movement that had been under way for several months. The net exposure in early January was around 70%, and in mid-february was increased to 85%.The bullish move from the lows was deemed too large and sudden, and therefore in the second half of the month of March the net exposure was lowered to 50%, waiting to see what would be the outcome and consequences of the Brexit referendum. With the correction that occurred post Brexit the net exposure was returned to between 80% and 90% to take advantage of a possible market rebound after the sharp correction that was triggered immediately after the announcement of the results. Starting from the end of July it was felt that the market rebound from the post-brexit lows was excessive in light of the rising medium-term risks created by the Brexit, the incipient US elections and a possible resumption of the increases in interest rates by the Federal Reserve. In November it was decided that the election of Trump, although he had generated an immediate and substantial rise in American share prices, represents a further important element of uncertainty, considering the importance of the political and economic decisions of the US government for the markets and for the rest of the world. Therefore, from the month of August and until the end of year it was considered appropriate to maintain a conservative approach, with a stable equity exposure at around 40%. AZ Multi Asset - RIN Balanced Equity During the year 2016, the class of the Sub-fund A (O) achieved a performance of 5.40%. The sub-fund pursues a directional strategy, primarily through investments in equity securities, and the remainder in bonds. The average equity exposure from the launch (September 2016) has been around 80%. During the year, the equity positions were invested in the primary European markets. The weight of the different countries has been on average 22% for France, 18% for Germany, 10% for the UK and 6% for Italy. As far as bonds are concerned, the choice was made to invest in sub-investment grade securities that have the potential to become investment grade, with an average duration of approximately 5 years. The currency position in relation to the assets in the portfolio has been contained, on average below 20% of the total assets, mainly with positions in GBP and CHF. 14

18 Director s Report AZ Multi Asset - RIN G.A.M.E.S. During the year 2016, the class of the Sub-fund A (O) achieved a performance of 4.20%. The sub-fund pursues a directional strategy, primarily through investments in equity securities, and the remainder in bonds. The average equity exposure from the launch (September 2016) has been around 85%. During the year, the equity positions were invested in major global markets, namely US, Europe and Japan. The weighted average of the different geographical areas was on average 52% for the US, 25% for Europe and 10% for Japan. As far as bonds are concerned, the choice was made to invest in Italian financials which offer attractive yields considering the risk profile. The currency position relative to the assets in the portfolio was variable over time, with USD around 25-30% for most of the period under consideration. AZ Multi Asset Brazil Value During the year 2016, the class of the Sub-fund A (O) achieved a performance of -4.00%. The year of 2016 was surprisingly in Brazil. In January, there was no expectations that president Dilma was going to be impeached as she had the majority of both lower and upper house. However, the population indignation level reached a high level and the country managed to organize one of the largest rallies that ever took place in the history to protest against the former government. That was the game changer that lead the fall of the workers party (Partido dos trabalhadores). It s interesting to note that the legal framework during the year was pretty impressive as a politicians and businessman were arrested for the first time due to corruption. The level of impunity is being reduced as operation "lava jato takes place. The economic indicators were negative. The recession for the second year in a row showed a GDP contraction of 3%, unemployment rose from 9% to 11,9% and the industrial production was down 7,1% in the year until November. The social security deficit rose 50% to R$ 142 billion. On the positive side, inflation (measured by IPCA) fell 10,67% in 2015 to 6,29% by year end. The real strengthen from 3,96 to 3,25 versus the dollar. The trade balance showed a surplus of RS$ 47,7 billion more than doubling from previous year. In addition, consumer confidence rose from 64,9% to 73,3%. The future interest rates went down from 16,71% to 11,09%. The economic team from President Michel Temer had names to the economic team, with a great reputation. Even Temer is known to be a distinguished negotiator. He knows how to deal with the congress, the judiciary power and with all society as opposed to Dilma. All the names he choose were aligned with fiscal austerity and efficiency in the state owned companies. Also the national development bank is now being much more diligent when conceding loans than previously. Making the long history short, the reorganization of the country during the year and its new power structure will pave the way for the so needed reforms (social security, fiscal and workers laws) and the reduction of interest rates. Due to the overall improvement of Brazilian perspectives, we decided to lunch an equity fund that started close to the year-end (November 2016). By year-end, the fund was down 4,04%. Luxembourg, April 26, The information stated in this report is historical and not necessarly indicative of future performance. 15

19 Audit report To the Unitholders of AZ Multi Asset We have audited the accompanying financial statements of AZ Multi Asset and of each of its sub-funds, which comprise the statement of net assets and the securities portfolio as at December 31, 2016 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 SICAV for the financial statements The Board of Directors of the SICAV 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 SICAV 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 judgment 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 SICAV, 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. Opinion In our opinion, the financial statements give a true and fair view of the financial position of AZ Multi Asset and of each of its sub-funds as of December 31, 2016, and of the results of their operations and changes in their net assets for the year then ended, in accordance with Luxembourg legal and regulatory requirements relating to the preparation of the financial statements. PricewaterhouseCoopers, Société coopérative, 2 rue Gerhard Mercator, B.P. 1443, L-1014 Luxembourg T: , F: , Cabinet de révision agréé. Expert-comptable (autorisation gouvernementale n ) R.C.S. Luxembourg B TVA LU

20 Other information The Board of Directors of the SICAV is responsible for the other information. The other information comprises the information included in the annual report but does not include the financial statements and our audit report thereon. Our opinion on the financial statements does not cover the other information and we do not express any form of assurance conclusion thereon. In connection with our audit of the financial statements, our responsibility is to read the other information and, in doing so, consider whether the other information is materially inconsistent with the financial statements or our knowledge obtained in the audit or otherwise appears to be materially misstated. If, based on the work we have performed, we conclude that there is a material misstatement of this other information, we are required to report this fact. We have nothing to report in this regard. PricewaterhouseCoopers, Société coopérative Luxembourg, April Represented by Christophe Pittie 17

21 Statistics December 31, 2016 December 31, 2015 December 31, 2014 AZ Multi Asset - Institutional T Net Asset Value Net asset value per unit 2,495,929, ,982,291, ,909,859, A (O) MASTER (O) A (O) 7,632, ,821, ,226, MASTER (O) 317,020, ,911, ,274, AZ Multi Asset - Institutional Italy T Net Asset Value Net asset value per unit 541,441, ,162, ,499, A (O) ATW (O) ATW (USD hedged) USD ATW (USD non hedged) HKD MASTER (O DIS) CNH A (O) 12,396, ,404, ,072, ATW (O) ATW (USD hedged) ATW (USD non hedged) MASTER (O DIS) 76,055, ,118, ,083, AZ Multi Asset - Institutional Europe D Net Asset Value Net asset value per unit 523,073, ,568, ,980, A (O) ATW (O) ATW (USD hedged) USD ATW (USD non hedged) HKD MASTER (O DIS) CNH A (O) 9,831, , ,270, ATW (O) ATW (USD hedged) ATW (USD non hedged) MASTER (O DIS) 82,212, ,648, ,219, AZ Multi Asset - BTPortfolio Net Asset Value Net asset value per unit 153,166, ,811, ,434, A (O) B (O) A (O DIS) B (O DIS)

22 Statistics December 31, 2016 December 31, 2015 December 31, 2014 A (O) 5,387, , ,248, B (O) 18,712, ,133, ,855, A (O DIS) 2,992, , ,265, B (O DIS) 143, , , AZ Multi Asset - Renminbi Opportunities Net Asset Value Net asset value per unit 215,993, ,139, ,696, A (O hedged) A (O non hedged) B (O non hedged) MASTER (O non hedged) A (USD) USD A (HKD) HKD A (CNH) CNH A (O hedged) 346, , ,062, A (O non hedged) 49, , , B (O non hedged) , MASTER (O non hedged) 33,550, ,695, ,623, A (USD) 347, , ,125, A (HKD) 64, , , A (CNH) 40, , , AZ Multi Asset - Renminbi Opportunities - Fixed Income Net Asset Value Net asset value per unit 74,275, ,581, ,060, A (O hedged) A (O non hedged) Master (O non Hedged) A (USD) USD A (HKD) HKD A (CNH) CNH A (O hedged) 52, , , A (O non hedged) 50, , , Master (O non Hedged) 9,965, ,948, ,179, A (USD) 1,049, , ,285, A (HKD) 50, , , A (CNH) 40, , , AZ Multi Asset - Institutional Macro Dynamic Trading Net Asset Value 169,028, ,185, ,367,

23 Statistics December 31, 2016 December 31, 2015 December 31, 2014 Net asset value per unit A (AUD) AUD A (O) A (USD) USD MASTER (O) A (AUD) 60, A (O) 733, , , A (USD) 143, , , MASTER (O) 28,640, ,219, ,952, AZ Multi Asset - Institutional Commodity Trading Net Asset Value Net asset value per unit 70,304, ,905, ,585, A (O) MASTER (O) A (O) 50, ,004, , MASTER (O) 20,229, ,821, ,755, AZ Multi Asset - World Trading Net Asset Value Net asset value per unit 36,160, ,843, ,946, A (O RETAIL) A (O) B (O RETAIL) AZ (O RETAIL) BZ (O RETAIL) A (O RETAIL) 2,365, ,246, ,414, A (O) 825, ,600, ,849, B (O RETAIL) 3,237, ,837, ,896, AZ (O RETAIL) 16, , BZ (O RETAIL) 439, , AZ Multi Asset - Algo Equity Strategies* Net Asset Value Net asset value per unit 23,863, ,515, ,556, A (O RETAIL) B (O RETAIL) A (O RETAIL) 4,989, ,275, ,496, B (O RETAIL) 74, , * Refer to Note 1 for more details AZ Multi Asset - FLEX Net Asset Value 482,836, ,236, ,624,

24 Statistics December 31, 2016 December 31, 2015 December 31, 2014 Net asset value per unit A (O RETAIL) B (O RETAIL) A (O RETAIL) 77,436, ,143, ,474, B (O RETAIL) 7,706, , AZ Multi Asset - Romeo Net Asset Value Net asset value per unit 204,633, ,676, ,783, A (O DIS) A (O DIS) 40,828, ,679, ,879, AZ Multi Asset - MAMG Global Sukuk* Net Asset Value Net asset value per unit USD 133,538, ,460, ,673, A (USD DIS) USD MASTER (O DIS) A-ME (USD ACC) USD A-ME (USD DIS) USD A (USD DIS) 101, , ,099, MASTER (O DIS) 18,006, ,442, ,276, A-ME (USD ACC) 10, A-ME (USD DIS) 10, * Refer to Note 1 for more details AZ Multi Asset - CGM Valor Flexible Strategies Fund Net Asset Value Net asset value per unit 37,990, ,810, ,296, A (O) A (O) 7,744, ,748, ,022, AZ Multi Asset - CGM Valor Bond Strategies Fund Net Asset Value Net asset value per unit 33,313, ,651, ,028, A (O) A (O) 6,658, ,309, ,185, AZ Multi Asset - Asia Absolute Net Asset Value 14,697, ,113, ,374,

25 Statistics December 31, 2016 December 31, 2015 December 31, 2014 Net asset value per unit A (O non hedged) A (O hedged) MASTER (O hedged) A (USD) USD B (SGD) SGD A (O non hedged) 50, , , A (O hedged) 500, , , MASTER (O hedged) 2,959, ,838, ,427, A (USD) 50, , , B (SGD) 50, , , AZ Multi Asset - Sustainable Absolute Return* Net Asset Value Net asset value per unit - 37,088, ,413, A (O) A (O RETAIL DIS) A (O RETAIL) A (O) - 622, , A (O RETAIL DIS) - 438, , A (O RETAIL) - 6,544, ,491, * Refer to Note 1 for more details AZ Multi Asset - Sustainable Equity Trend* Net Asset Value Net asset value per unit 36,504, A (O RETAIL DIS) A (O RETAIL) A (O RETAIL DIS) 376, A (O RETAIL) 6,497, * Refer to Note 1 for more details AZ Multi Asset - Sustainable Hybrid Bonds Net Asset Value Net asset value per unit 33,752, ,347, ,525, A (O DIS) A (O RETAIL DIS) A (O RETAIL) A (O) A (O DIS) 1,749, ,749, A (O RETAIL DIS) 14, A (O RETAIL) 20, , A (O) 4,594, ,246, ,500,

26 Statistics December 31, 2016 December 31, 2015 December 31, 2014 AZ Multi Asset - Global Value Net Asset Value Net asset value per unit 202,614, ,778, A (O RETAIL) B (O RETAIL) A (O RETAIL) 38,346, ,883, B (O RETAIL) 1,146, AZ Multi Asset - RIN Balanced Equity* Net Asset Value Net asset value per unit 15,435, A (O) A (O) 2,927, * Refer to Note 1 for more details AZ Multi Asset - RIN G.A.M.E.S.* Net Asset Value Net asset value per unit 21,577, A (O) A (O) 4,144, * Refer to Note 1 for more details AZ Multi Asset - Brazil Value* Net Asset Value Net asset value per unit 11,867, A (O) A (USD) A (O) 656, A (USD) 1,949, * Refer to Note 1 for more details 23

27 Combined Statement Statement of Net Assets as at December 31, 2016 Statement of Operations and Changes in Net Assets for the year ended December 31, 2016 Notes Notes Assets Investment in securities at cost 3,713,738, Unrealised appreciation / (depreciation) on securities 193,257, Investment in securities at market value 3.c 3,906,996, Investment in option at market value 3.e 406, Cash at bank 1,582,647, Margin accounts 18,636, Receivable for investment sold 9,148, Receivable on Fund shares sold 23,739, Receivable on withholding tax reclaim 18, Receivable on Contracts for Difference 2,893, Interests receivable on Bonds 936, Net unrealised appreciation on forward foreign exchange 3.d 9,823, contracts Net unrealised appreciation on futures contracts 3.f 211, Net unrealised appreciation on Total Return Swap 3.h 725, Net unrealised appreciation on Contracts for Difference 3.g 29,169, Dividends and interest receivable 9,213, Formation expenses 3.j 23, Prepaid expenses and other assets 2, Total assets 5,594,594, Liabilities Investment in option at market value 3.e 1, Bank overdraft 3,244, Accrued expenses 5,280, Payable for investment purchased 4,714, Payable for money market instruments Payable on fund shares repurchased 31,655, Payable on Contracts for Difference 7, Net unrealised depreciation on forward foreign exchange 3.d 20,156, contracts Net unrealised depreciation on futures contracts 3.f 4,197, Net unrealised depreciation on Total Return Swap 3.h 146, Net unrealised depreciation on Contracts for Difference 3.g 122, Total liabilities 69,526, Net assets at the end of the year 5,525,067, Income Dividends (net of withholding taxes) 3.i 34,910, Interest on bonds (net) 3.i 25,365, Bank interest 830, Income on Swaps and Contracts for Difference 45,575, Interest on securities lending 5,543, Other income 1,137, Total income 113,363, Expenses Investment management fees 4 12,609, Custodian fees 6 670, Performance fees 5 4,220, Administration fees 7 4,572, Professional fees 753, Distribution fees 931, Transaction costs 11 8,434, Taxe d'abonnement 8 2,271, Bank interest and charges 1,919, Expenses on swaps and Contracts for Difference 10,935, Printing & Publication fees 203, Other expenses 9 997, Total expenses 48,520, Net investment income / (loss) 64,842, Net realised gain / (loss) on: Investments 127,712, Foreign currencies transactions (12,510,042.85) Futures contracts 3.f (5,775,841.12) Forward foreign exchange contracts 3.d (65,697,416.26) Options and swaps 3.e,h (13,211,090.53) Contract for Difference 3.g (37,412,919.02) Net realised gain / (loss) for the year 57,947, Net change in unrealised appreciation / (depreciation) on: Investments 136,530, Futures contracts 3.f (4,634,163.55) Forward foreign exchange contracts 3.d 5,842, Options and swaps 3.e,h 10,968, Contract for Difference 3.g 211,154, Increase / (Decrease) in net assets as a result of operations 417,810, Subscriptions 2 1,876,815, Redemptions (1,258,406,815.23) Dividend distribution 15 (11,288,861.08) Net assets at the beginning of the year 5,531,998, Translation difference (1,031,862,110.64) Net assets at the end of the year 5,525,067,

28 AZ Multi Asset - Institutional T () Statement of Operations Net Assets and as at Changes December in Net 31, Assets 2016 for the Statement of Operations and Changes in Net Assets for year ended December 31, 2016 the year ended December 31, 2016 Notes Notes Assets Investment in securities at cost 1,225,357, Unrealised appreciation / (depreciation) on securities 98,714, Investment in securities at market value 3.c 1,324,072, Cash at bank 1,155,651, Margin accounts 99, Receivable for investment sold 5,032, Receivable on Fund shares sold 11,400, Receivable on Contracts for Difference 2,504, Net unrealised appreciation on forward foreign exchange 3.d 9,697, contracts Net unrealised appreciation on Contracts for Difference 3.g 6,765, Dividends and interest receivable 799, Total assets 2,516,023, Liabilities Bank overdraft 511, Accrued expenses 1,116, Payable for investment purchased 166, Payable on fund shares repurchased 18,300, Total liabilities 20,094, Net assets at the end of the year 2,495,929, Income Dividends (net of withholding taxes) 3.i 20,810, Bank interest 438, Income on Swaps and Contracts for Difference 32,177, Total income 53,426, Expenses Investment management fees 4 503, Custodian fees 6 196, Performance fees 5 427, Administration fees 7 2,455, Professional fees 145, Transaction costs 11 1,830, Taxe d'abonnement 8 1,073, Bank interest and charges 1,082, Expenses on swaps and Contracts for Difference 8,435, Printing & Publication fees 36, Other expenses 9 37, Total expenses 16,225, Net investment income / (loss) 37,200, Net realised gain / (loss) on: Investments 172,016, Foreign currencies transactions (11,679,282.22) Futures contracts 3.f 13,098, Forward foreign exchange contracts 3.d (66,139,482.72) Contract for Difference 3.g 8,625, Net realised gain / (loss) for the year 153,123, Net change in unrealised appreciation / (depreciation) on: Investments 79,809, Futures contracts 3.f (882,965.55) Forward foreign exchange contracts 3.d 20,410, Contract for Difference 3.g 172,318, Increase / (Decrease) in net assets as a result of operations 424,778, Subscriptions 2 527,676, Redemptions (438,816,708.18) Net assets at the beginning of the year 1,982,291, Net assets at the end of the year 2,495,929, Statement of Changes in Number of Units in issue at the beginning of the year subscribed redeemed in issue at the end of the year A (O) 2,821, ,816, (1,005,298.45) 7,632, MASTER (O) 308,911, ,658, (65,549,527.19) 317,020,

29 Securities Portfolio as at December 31, 2016 AZ MULTI ASSET AZ Multi Asset - Institutional T () Quantity/ Nominal Name Currency Market value % NAV Quantity/ Nominal Name Currency Market value % NAV Transferable securities admitted to an official exchange listing Cosmetics Shares 240, ABBVIE INC USD 14,248, , AMERISOURCEBERGEN CORP USD 34,100, , AVON PRODUCTS INC USD 2,915, , GILEAD SCIENCES INC USD 19,010, ,800, HENGAN INTL GROUP CO LTD HKD 26,463, , KAKEN PHARMACEUTICAL CO LTD JPY 32,940, , KORIAN 17,539, , MIRACA HOLDINGS INC JPY 6,546, , PFIZER INC USD 10,162, , ROCHE HOLDING AG-GENUSSCHEIN CHF 10,848, , SANTEN PHARMACEUTICAL CO LTD JPY 11,042, , SAWAI PHARMACEUTICAL CO LTD JPY 29,608, , TEVA PHARMACEUTICAL-SP ADR USD 26,463, Distribution & Wholesale 241,889, ,770, AUTOGRILL SPA 15,195, ,787, BIALETTI INDUSTRIE SPA 1,771, , CVS HEALTH CORP USD 25,436, , GAP INC/THE USD 18,509, , HENKEL AG & CO KGAA 51,469, ,600, OVS SPA 17,208, , SUGI HOLDINGS CO LTD JPY 13,558, , SWATCH GROUP AG/THE-BR CHF 7,385, Energy 150,535, ,550, ENEL SPA 35,807, ,800, ERG SPA 38,760, ,450, ITALGAS SPA 27,848, ,500, SNAM SPA 29,355, , SOLAREDGE TECHNOLOGIES INC USD 5,760, Transportation 137,531, , CENTRAL JAPAN RAILWAY CO JPY 56,273, , EAST JAPAN RAILWAY CO JPY 36,944, , WEST JAPAN RAILWAY CO JPY 29,736, Office & Business equipment 122,955, ,050, HEWLETT PACKARD ENTERPRIS-WI USD 23,035, ,585, HP INC USD 22,308, , INTL BUSINESS MACHINES CORP USD 26,753, , NETAPP INC USD 8,359, Auto Parts & Equipment 80,458, ,175, BORGWARNER INC USD 43,936, , FUJI HEAVY INDUSTRIES LTD JPY 16,291, , ISUZU MOTORS LTD JPY 7,825, , MAGNA INTERNATIONAL INC USD 12,344, Electric & Electronic 80,397, ,200, GS YUASA CORP JPY 16,592, ,220, MINEBEA CO LTD JPY 10,869, ,423, PHILIPS LIGHTING NV 33,308, Banks 60,770, , BANK OF NEW YORK MELLON CORP USD 11,679, ,200, FINECOBANK SPA 33,046, , JAPAN POST BANK CO LTD JPY 91, , SUMITOMO MITSUI FINANCIAL GR JPY 15,328, Telecommunication 60,144, ,800, INFRASTRUTTURE WIRELESS ITAL 34,335, , JUNIPER NETWORKS INC USD 10,181, , KDDI CORP JPY 12,990, Insurance 57,507, ,370, ASSICURAZIONI GENERALI 33,464, , PRUDENTIAL FINANCIAL INC USD 12,332, Media 45,796, , EMMIS COMMUNICATIONS-CLASS A USD 621, , VIACOM INC CLASS B USD 26,622, , WALT DISNEY Co USD 12,351, Building materials 39,595, ,500, ENAV SPA 34,482, Computer hardware 34,482, , APPLE INC USD 25,914, , QUALCOMM INC USD 2,781, Diversified services 28,696, , POLARIS INDUSTRIES INC USD 27,339, Biotechnology 27,339, , AMGEN INC USD 16,634, , BIOGEN INC USD 9,678, Textile 26,313, , RALPH LAUREN CORP USD 23,548, Financial services 23,548, , GAM HOLDING AG CHF 6,604, , T ROWE PRICE GROUP INC USD 11,773, Internet 18,377, , CYBERAGENT INC JPY 16,432, Chemical 16,432, , EASTMAN CHEMICAL CO USD 13,191, Metal 13,191, ,000, HITACHI METALS LTD JPY 12,875, Food services 12,875, , MEIJI HOLDINGS CO LTD JPY 12,285, , QINQIN FOODSTUFFS GROUP CAYM HKD 93, Diversified machinery 12,379, , TRINITY INDUSTRIES INC USD 9,211, Diversified services 9,211, , JAPAN POST INSURANCE CO LTD JPY 61, Open-ended Funds Undertakings for collective investment 61, ,300,491, ,078, AZ FUND 1 LONG TERM BD EQY -A- 17,700, , AZ MULTI ASSET-SUS EQ TR-ARE 3,629, ,631, BOSPHORUS CAPITAL TIPI KISA TRY 954,

30 Securities Portfolio as at December 31, 2016 Quantity/ Nominal Name 2,945, GLOBAL MENKUL B TAHVIL BONO TRY 1,297, AZ MULTI ASSET AZ Multi Asset - Institutional T () Currency Market value % NAV 23,580, ,580, Total securities portfolio 1,324,072, Financial derivative instruments as at December 31, 2016 Purchase Sale Maturity Date Forward foreign exchange contracts Commitment Unrealised appreciation / (depreciation) 27,950, GBP 33,006, /03/17 33,006, (306,763.82) 30,000, USD 27,416, /01/17 27,416, ,016, ,154, ,000,000, JPY 27/01/17 507,154, ,790, ,598, ,846, USD 11/01/17 507,598, (26,802,555.49) 9,697, Total Forward foreign exchange contracts 9,697, Name Currency Commitment Unrealised appreciation / (depreciation) CFD contract ABBVIE INC USD 12,467, ,696, ABERDEEN ASSET MGMT PLC GBP 11,062, (68,877.67) ACS ACTIVIDADES CONS Y SERV 16,210, ,787, AGGREKO PLC GBP 22,830, (198,878.17) ALLIANZ SE-REG 18,840, ,875, AMAZON.COM INC USD (11,375,131.55) 278, AMEC FOSTER WHEELER PLC GBP 18,310, (7,755,316.79) ANGLO AMERICAN PLC GBP (29,217,432.05) (5,175,823.26) APPLE INC USD 12,188, ,115, AVON PRODUCTS INC USD 19,542, (12,988,939.98) AXA SA 26,383, ,444, BAYER AG-REG 17,347, ,486, BEIERSDORF AG 15,717, (252,896.92) BERKELEY GROUP HOLDINGS/THE GBP 25,823, ,300, BOSKALIS WESTMINSTER 12,372, , BT GROUP PLC GBP 29,228, , BURBERRY GROUP PLC GBP 14,029, ,790, CENTRICA PLC GBP 52,990, , CONTINENTAL AG 16,209, ,106, CSAZCHM2 USD 4,301, , CSAZSXDP 3,497, (296,400.00) CSAZSX7P 3,184, , DJ STOXX 600 BANK (3,464,313.42) (743,442.84) DJ STOXX 600 HEALTHCARE (3,574,484.70) 282, EASTMAN CHEMICAL CO USD 16,043, ,587, EASYJET PLC GBP 45,681, (4,910,347.26) EDF 19,747, (5,902,433.05) E.ON SE 40,200, (5,643,782.51) ERICSSON LM-B SHS SEK 12,283, ,094, FRANKLIN RESOURCES INC USD 30,845, (6,399,383.15) GAM HOLDING AG CHF 3,302, , GILEAD SCIENCES INC USD 28,515, (6,689,072.62) HENKEL AG & CO KGAA VORZUG (50,962,500.00) (11,171,931.52) HSBC HOLDINGS PLC GBP (29,546,309.23) (2,381,717.84) INNOGY SE 12,382, , JULIUS BAER GROUP LTD CHF 39,660, (330,821.39) MICHELIN (CGDE) 19,026, ,420, NETFLIX INC USD (7,042,427.12) 198, NOVARTIS AG-REG CHF 13,824, , NOVO NORDISK A/S-B DKK 49,668, ,851, ORACLE CORP USD 8,566, ,020, PRUDENTIAL PLC GBP 38,132, ,059, QUALCOMM INC USD 10,199, ,559, Financial derivative instruments as at December 31, 2016 Name Currency Commitment Unrealised appreciation / (depreciation) RIO TINTO PLC GBP (16,650,948.92) 48, ROYAL DUTCH SHELL PLC-A SHS 37,678, ,183, SAINSBURY (J) PLC GBP 20,444, ,163, SANOFI 9,228, ,052, SHIRE PLC GBP 39,508, ,493, S&P 500 CHEMICALS INDEX USD (4,220,895.72) (63,376.56) STANDARD CHARTERED PLC GBP (29,152,999.06) (3,479,508.74) SWATCH GROUP AG/THE-BR CHF 26,588, (3,217,445.65) TATE & LYLE PLC GBP 8,288, ,032, TOTAL SA 60,281, ,038, TOTAL SA SCRIP RTS VIVENDI (13,180,150.00) 174, WM MORRISON SUPERMARKETS GBP 9,729, ,884, YARA INTERNATIONAL ASA NOK 33,704, ,762, ,765, Total swap CFD 6,765, Total financial derivative instruments 16,463, Summary of net assets Total securities portfolio Total financial derivative instruments Cash at bank Other assets and liabilities Total net assets % NAV 1,324,072, ,463, ,155,139, , ,495,929,

31 AZ Multi Asset - Institutional T () Portfolio Breakdowns Nature allocation % of portfolio % of net assets Shares Undertakings for collective investment Country allocation % of portfolio % of net assets United States Japan Italy Germany Netherlands Cayman Islands Other Top Ten Holdings (% of net assets) Top Ten Holdings (% of net assets) Sector Market value % of net assets CENTRAL JAPAN RAILWAY CO Transportation 56,273, HENKEL AG & CO KGAA Distribution & Wholesale 51,469, BORGWARNER INC Auto Parts & Equipment 43,936, ERG SPA Energy 38,760, EAST JAPAN RAILWAY CO Transportation 36,944, ENEL SPA Energy 35,807, ENAV SPA Building materials 34,482, INFRASTRUTTURE WIRELESS ITAL Telecommunication 34,335, AMERISOURCEBERGEN CORP Cosmetics 34,100, ASSICURAZIONI GENERALI Insurance 33,464,

32 AZ Multi Asset - Institutional Italy T () Statement of Operations Net Assets and as at Changes December in Net 31, Assets 2016 for the Statement of Operations and Changes in Net Assets for year ended December 31, 2016 the year ended December 31, 2016 Notes Notes Assets Investment in securities at cost 464,505, Unrealised appreciation / (depreciation) on securities 26,624, Investment in securities at market value 3.c 491,130, Cash at bank 28,192, Margin accounts 8,542, Receivable on Fund shares sold 1,300, Net unrealised appreciation on Contracts for Difference 3.g 16,222, Dividends and interest receivable 8, Total assets 545,397, Liabilities Accrued expenses 195, Payable on fund shares repurchased 3,000, Net unrealised depreciation on forward foreign exchange 3.d contracts Net unrealised depreciation on futures contracts 3.f 759, Total liabilities 3,955, Net assets at the end of the year 541,441, Income Dividends (net of withholding taxes) 3.i 6,971, Interest on bonds (net) 3.i 39, Bank interest 33, Income on Swaps and Contracts for Difference 9,456, Other income 7, Total income 16,508, Expenses Investment management fees 4 688, Custodian fees 6 104, Performance fees Administration fees 7 537, Professional fees 36, Transaction costs 11 3,216, Taxe d'abonnement 8 248, Bank interest and charges 130, Expenses on swaps and Contracts for Difference 642, Printing & Publication fees 3, Other expenses 9 56, Total expenses 5,664, Net investment income / (loss) 10,844, Net realised gain / (loss) on: Investments (45,199,574.00) Foreign currencies transactions (68,663.67) Futures contracts 3.f (17,584,781.72) Forward foreign exchange contracts 3.d 785, Options and swaps 3.e,h (22,743,335.00) Contract for Difference 3.g (37,572,404.19) Net realised gain / (loss) for the year (111,538,982.18) Net change in unrealised appreciation / (depreciation) on: Investments 14,998, Futures contracts 3.f (1,320,626.92) Forward foreign exchange contracts 3.d (336,339.53) Options and swaps 3.e,h 9,443, Contract for Difference 3.g 23,068, Increase / (Decrease) in net assets as a result of operations (65,685,321.86) Subscriptions 2 256,321, Redemptions (241,357,302.53) Net assets at the beginning of the year 592,162, Net assets at the end of the year 541,441, Statement of Changes in Number of Units in issue at the beginning of the year subscribed redeemed in issue at the end of the year A (O) 8,404, ,518, (6,526,530.57) 12,396, ATW (O)

33 AZ Multi Asset - Institutional Italy T () Statement of Changes in Number of Units in issue at the beginning of the year subscribed redeemed in issue at the end of the year ATW (USD hedged) ATW (USD non hedged) MASTER (O DIS) 78,118, ,563, (38,625,408.32) 76,055,

34 Securities Portfolio as at December 31, 2016 AZ MULTI ASSET AZ Multi Asset - Institutional Italy T () Quantity/ Nominal Name Currency Market value % NAV Quantity/ Nominal Name Currency Market value % NAV Transferable securities admitted to an official exchange listing Banks Shares 2,146, BANCA MEDIOLANUM SPA 14,660, ,000, BANCA POPOLARE DI MILANO 2,149, ,567, BANCA SISTEMA SPA 3,447, ,122, BANCO POPOLARE SC 23,200, ,200, BPER BANCA 6,072, , CREDITO VALTELLINESE SCARL 286, ,344, FINECOBANK SPA 7,166, ,320, MEDIOBANCA SPA 10,236, ,342, UBI BANCA SPA 8,730, ,180, UNICREDIT SPA 19,630, Auto Parts & Equipment 95,580, , BIESSE SPA 1,626, , BREMBO SPA 5,318, ,707, CNH INDUSTRIAL NV 14,112, , DANIELI & CO 6,217, , FERRARI NV 9,926, , FIAT CHRYSLER AUTOMOBILES NV 7,690, , INDUSTRIA MACCHINE AUTOMATIC 5,040, , INTERPUMP GROUP SPA 6,803, , PRIMA INDUSTRIE SPA 2,483, , SAES GETTERS SPA 1,371, , SOGEFI 2,311, Telecommunication 62,903, , EI TOWERS SPA 5,145, ,370, INFRASTRUTTURE WIRELESS ITAL 6,030, ,295, TELECOM ITALIA SPA 20,334, ,225, TELECOM ITALIA-RSP 14,581, Distribution & Wholesale 46,092, ,626, AUTOGRILL SPA 13,963, , FILA SPA 2,084, ,473, OVS SPA 7,040, , SAFILO GROUP SPA 1,802, , SALVATORE FERRAGAMO SPA 12,785, Energy 37,677, ,015, A2A SPA 1,248, ,125, ENEL SPA 8,899, , ERG SPA 7,277, , HERA SPA 1,205, ,750, ITALGAS SPA 14,019, , SNAM SPA 2,984, Insurance 35,635, ,270, ASSICURAZIONI GENERALI 17,932, , ASSITECA SPA INTERNAZIONALE 879, ,060, LEONARDO SPA 14,140, Financial services 32,952, , ANIMA HOLDING SPA 2,334, , AZIMUT HOLDING SPA 3,013, , EXOR NV 19,322, , TECNOINVESTIMENTI SPA 4,171, Building materials 28,841, , BUZZI UNICEM SPA 1,890, , BUZZI UNICEM SPA-RSP 812, , CEMENTIR HOLDING SPA 1,134, ,285, ENAV SPA 7,503, , LU-VE SPA 2,102, ,710, SALINI IMPREGILO SPA 11,137, Electric & Electronic 24,582, , DATALOGIC SPA 4,027, , EL.EN. SPA 1,830, , PRYSMIAN SPA 11,114, , SABAF SPA 644, , STMICROELECTRONICS NV 5,980, Cosmetics 23,597, , AMPLIFON SPA 5,932, , DIASORIN SPA 8,662, ,450, MOLECULAR MEDICINE SPA 605, , RECORDATI SPA 7,954, Diversified services 23,155, , ATLANTIA SPA 11,831, , H-FARM SPA 337, , OPENJOBMETIS SPA AGENZIA PER 1,833, ,533, TECHNOGYM SPA 6,798, Chemical 20,800, , MAIRE TECNIMONT SPA 1,816, ,355, SAIPEM SPA 9,819, , SOL SPA 2,869, Food services 14,505, , DAVIDE CAMPARI-MILANO SPA 6,400, , GLENALTA FOOD SPA 1,419, , MASI AGRICOLA SPA 1,619, Entertainment 9,440, , DIGITAL MAGICS SPA 249, , LEONE FILM GROUP SPA 288, , NOTORIOUS PICTURES SPA 100, ,085, RAI WAY SPA 7,466, Internet 8,105, , AXELERO SPA 1,023, , REPLY SPA 1,770, , YOOX NET-A-PORTER GROUP 2,734, Textile 5,527, ,059, BASICNET SPA 3,552, , COVER 50 SPA 895, Diversified machinery 4,447, , CLABO SPA 152, , TENARIS SA 3,657, Computer software 3,809, , DIGITAL BROS 802, , EXPERT SYSTEM SPA 1,060, , GPI SPA 1,881, Media 3,743, , CAIRO COMMUNICATIONS SPA 1,234, , MEDIASET SPA 1,485, Advertising 2,720, , DIGITOUCH SPA 306,

35 Securities Portfolio as at December 31, 2016 Quantity/ Nominal 111, TRIBOO SPA 301, Open-ended Funds Undertakings for collective investment AZ MULTI ASSET AZ Multi Asset - Institutional Italy T () 608, ,726, , ZENIT MS STOCK PICKING-I 2,441, ,441, ,441, Bonds and other debt instruments Media 1,500, GRUPPO ESPRESSO 2.625% 14-09/04/2019 CV 1,457, ,457, ,457, Warrants Engineering & Construction 80, LU-VE SPA CW 09/07/2020 LU-VE 160, , Financial services 36, CAPITAL FOR PROGRESS 1 CW 30/06/17 CAPPR 45, , GLENALTA FOOD SPA CW 26/10/20 GLENALTA F 90, , WARR CLABO CW18 CW 5, /07/ , Internet 53, EXPERT SYSTEM WTS 16-31/10/2018 6, , , Rights Diversified services 136, GLENALTA FOOD S.P.A. RTS 27/01/2017 5, , Banks 770, CREDITO VALTELLINESE SPA RTS 05/01/2017* Real estate Name Other transferable securities Shares , ,582, BENI STABILI SPA 859, ,840, IMMOBILIARE GRANDE DISTRIBUZ 1,332, Auto Parts & Equipment Currency Market value % NAV 2,191, , TREVISAN COMETAL SPA* ,191, Total securities portfolio 491,130, Financial derivative instruments as at December 31, 2016 Quantity Name Futures Currency Commitment Unrealised appreciation / (depreciation) (480.00) FTSEMIB INDEX - FTSE / MIB IN 46,092, (759,876.92) 17/03/2017 (759,876.92) Total Futures (759,876.92) Purchase Sale Maturity Date Commitment Unrealised appreciation / (depreciation) Forward foreign exchange contracts 1, USD 1, /02/17 1, (13.57) (13.57) Total Forward foreign exchange contracts (13.57) Name Currency Commitment Unrealised appreciation / (depreciation) CFD contract ASSICURAZIONI GENERALI 20,050, ,608, ATLANTIA SPA 12,243, (563,899.61) ENEL SPA 28,980, ,562, ENI SPA 48,923, ,208, FIAT CHRYSLER AUTOMOBILES NV 9,748, ,084, INTESA SANPAOLO 40,089, ,720, ITALGAS SPA 4,822, (1,082,237.11) MEDIASET SPA 3,555, , SNAM SPA 23,327, , TERNA SPA 11,685, , ,222, Total swap CFD 16,222, Total financial derivative instruments 15,462, Summary of net assets Total securities portfolio Total financial derivative instruments Cash at bank Other assets and liabilities Total net assets % NAV 491,130, ,462, ,192, ,655, ,441, * in default 32

36 AZ Multi Asset - Institutional Italy T () Portfolio Breakdowns Nature allocation % of portfolio % of net assets Shares Other Country allocation % of portfolio % of net assets Italy Netherlands Luxembourg Top Ten Holdings (% of net assets) Top Ten Holdings (% of net assets) Sector Market value % of net assets BANCO POPOLARE SC Banks 23,200, TELECOM ITALIA SPA Telecommunication 20,334, UNICREDIT SPA Banks 19,630, EXOR NV Financial services 19,322, ASSICURAZIONI GENERALI Insurance 17,932, BANCA MEDIOLANUM SPA Banks 14,660, TELECOM ITALIA-RSP Telecommunication 14,581, LEONARDO SPA Insurance 14,140, CNH INDUSTRIAL NV Auto Parts & 14,112, Equipment ITALGAS SPA Energy 14,019,

37 AZ Multi Asset - Institutional Europe D () Statement of Operations Net Assets and as at Changes December in Net 31, Assets 2016 for the Statement of Operations and Changes in Net Assets for year ended December 31, 2016 the year ended December 31, 2016 Notes Notes Assets Investment in securities at cost 372,510, Unrealised appreciation / (depreciation) on securities 15,298, Investment in securities at market value 3.c 387,808, Cash at bank 117,676, Margin accounts 8,345, Receivable on Fund shares sold 2,000, Receivable on Contracts for Difference 363, Net unrealised appreciation on Total Return Swap 3.h 359, Net unrealised appreciation on Contracts for Difference 3.g 5,561, Dividends and interest receivable 2,860, Total assets 524,975, Liabilities Accrued expenses 286, Payable on Contracts for Difference 1, Net unrealised depreciation on forward foreign exchange 3.d 26, contracts Net unrealised depreciation on futures contracts 3.f 1,560, Net unrealised depreciation on Total Return Swap 3.h 25, Total liabilities 1,901, Net assets at the end of the year 523,073, Income Dividends (net of withholding taxes) 3.i 4,935, Interest on bonds (net) 3.i 6,282, Bank interest 131, Income on Swaps and Contracts for Difference 2,895, Other income 35, Total income 14,280, Expenses Investment management fees 4 249, Custodian fees 6 69, Performance fees 5 115, Administration fees 7 564, Professional fees 58, Distribution fees Transaction costs 11 1,813, Taxe d'abonnement 8 234, Bank interest and charges 238, Expenses on swaps and Contracts for Difference 1,573, Printing & Publication fees 23, Other expenses 9 38, Total expenses 4,979, Net investment income / (loss) 9,300, Net realised gain / (loss) on: Investments (7,677,284.29) Foreign currencies transactions (2,635,227.51) Futures contracts 3.f (5,222,423.82) Forward foreign exchange contracts 3.d 6,598, Options and swaps 3.e,h 350, Contract for Difference 3.g (1,173,128.47) Net realised gain / (loss) for the year (458,874.51) Net change in unrealised appreciation / (depreciation) on: Investments 15,379, Futures contracts 3.f (1,104,905.18) Forward foreign exchange contracts 3.d (453,715.27) Options and swaps 3.e,h 206, Contract for Difference 3.g 9,170, Increase / (Decrease) in net assets as a result of operations 22,739, Subscriptions 2 101,766, Redemptions (72,607,030.45) Dividend distribution 15 (9,393,878.74) Net assets at the beginning of the year 480,568, Net assets at the end of the year 523,073, Statement of Changes in Number of Units in issue at the beginning of the year 34 subscribed redeemed in issue at the end of the year A (O) 319, ,936, (1,425,296.25) 9,831,123.16

38 AZ Multi Asset - Institutional Europe D () Statement of Changes in Number of Units in issue at the beginning of the year subscribed redeemed in issue at the end of the year ATW (O) ATW (USD hedged) ATW (USD non hedged) MASTER (O DIS) 84,648, ,415, (11,851,499.90) 82,212,

39 Securities Portfolio as at December 31, 2016 AZ MULTI ASSET AZ Multi Asset - Institutional Europe D () Quantity/ Nominal Name Currency Market value % NAV Quantity/ Nominal Name Currency Market value % NAV Transferable securities admitted to an official exchange listing Banks Shares 350, BANCA MEDIOLANUM SPA 2,390, ,000, BANCO POPOLARE SC 2,292, , BANCO SANTANDER SA 3,760, , BNP PARIBAS 3,511, , CREDIT AGRICOLE SA 3,298, , ING GROEP NV 3,342, , KBC GROEP NV 2,823, , MEDIOBANCA SPA 3,722, , SOCIETE GENERALE 3,505, Energy 28,648, , ENEL SPA 2,889, , INNOGY SE 1,749, , ITALGAS SPA 2,616, , RED ELECTRICA CORPORACION SA 2,247, , ROYAL DUTCH SHELL PLC-A SHS GBP 4,991, , SNAM SPA 2,739, , TOTAL SA 4,287, Cosmetics 21,522, , ACTELION LTD-REG CHF 2,056, , ASTRAZENECA PLC GBP 2,339, , BAYER AG-REG 2,279, , GLAXOSMITHKLINE PLC GBP 2,836, , MEAD JOHNSON NUTRITION CO USD 2,012, , NOVARTIS AG-REG CHF 2,764, , NOVO NORDISK A/S-B DKK 2,055, , ROCHE HOLDING AG-GENUSSCHEIN CHF 4,990, Chemical 21,335, , ARKEMA 2,137, , BASF SE 2,649, , KONINKLIJKE DSM 2,164, , LINDE AG 2,185, , SYNGENTA AG-ADR USD 6,745, , TECHNIP SA 2,780, Insurance 18,662, , ALLIANZ AG REG 2,355, , ASSICURAZIONI GENERALI 3,812, , AXA SA 2,158, , DELTA LLOYD NV 4,785, , MUENCHENER RUECKVER AG-REG 3,054, , UNIPOL GRUPPO FINANZIARIO SP 2,396, Food services 18,562, , DIAGEO PLC GBP 2,471, , PERNOD RICARD SA 2,059, , WHITEWAVE FOODS CO USD 8,434, Distribution & Wholesale 12,965, , AUTOGRILL SPA 2,146, , FILA SPA 876, , INCHCAPE PLC GBP 2,384, , OVS SPA 1,816, , RITE AID CORP USD 4,452, Electric & Electronic 11,676, , DIALOG SEMICONDUCTOR PLC 2,249, , KONINKLIJKE PHILIPS ELECTRONICS 2,958, , PHILIPS LIGHTING NV 2,574, , PRYSMIAN SPA 2,440, ,221, Telecommunication 150, DEUTSCHE TELEKOM AG-REG 2,453, , NOKIA OYJ 2,431, , ORANGE 2,165, ,300, TELECOM ITALIA SPA 2,762, Building materials 9,812, , COMPAGNIE DE SAINT GOBAIN 2,212, , HEIDELBERGCEMENT AG 2,570, , LU-VE SPA 1,561, , TECNICAS REUNIDAS SA 2,143, Auto Parts & Equipment 8,487, , BAYERISCHE MOTOREN WERKE AG 2,218, , DAIMLER CHRYSLER AG 2,263, , FIAT CHRYSLER AUTOMOBILES NV 1,992, Textile 6,474, , BURBERRY GROUP PLC GBP 2,367, , LVMH MOET HENNESSY LOUIS VUI 3,083, Diversified services 5,451, , ADECCO GROUP AG-REG CHF 2,922, ,400, HAYS PLC GBP 2,447, Media 5,369, ,300, ITV PLC GBP 3,143, , PEARSON PLC GBP 2,205, Financial services 5,348, ,500, MAN GROUP PLC GBP 2,078, , SCHRODERS PLC GBP 2,458, Metal 4,537, , BHP BILLITON PLC GBP 2,601, , RIO TINTO PLC GBP 1,850, Office & Business equipment 4,452, , ATOS SE 2,606, Entertainment 2,606, , LEONE FILM GROUP SPA 254, , RAI WAY SPA 2,145, Diversified machinery 2,399, , SIEMENS AG-REG 2,102, Transportation 2,102, , RYANAIR HOLDINGS PLC 2,030, Engineering & Construction 2,030, , BAE SYSTEMS PLC GBP 1,940, Banks Bonds and other debt instruments 1,940, ,606, ,300, ABN AMRO BANK NV 15-29/12/2049 FRN 3,366, ,300, BANCA POP MILANO 7.125% 11-01/03/2021 2,451, ,800, BANCO BILBAO VIZ 15-29/12/2049 FRN 1,713, ,400, BANCO BILBAO VIZ 16-29/12/2049 FRN 3,655, ,000, BANCO POPOLARE 3.5% 14-14/03/2019 2,054,

40 Securities Portfolio as at December 31, 2016 AZ MULTI ASSET AZ Multi Asset - Institutional Europe D () Quantity/ Nominal Name Currency Market value % NAV Quantity/ Nominal Name Currency Market value % NAV 1,000, BANCO POPOLARE 6% 10-05/11/2020 1,032, ,300, BNP PARIBAS 15-29/12/2049 FRN 3,457, ,300, CRED AGRICOLE SA 14-29/04/2049 FRN 3,408, ,300, CRED AGRICOLE SA 14-29/09/2049 FRN USD 2,125, ,600, CREDITO EMILIANO 15-13/03/2025 FRN 1,536, ,200, INTESA SANPAOLO 16-29/12/2049 FRN 3,157, ,000, INTESA SANPAOLO 3.928% 14-15/09/2026 2,056, ,500, INTESA SANPAOLO 6.625% 13-13/09/2023 2,957, ,700, KBC GROEP NV 14-29/03/2049 FRN 4,735, ,300, LLOYDS BANKING 14-27/06/2049 FRN 3,353, ,100, LLOYDS BANKING 14-29/12/2049 FRN GBP 2,487, ,157, MEDIOBANCA SPA 5.75% 13-18/04/2023 4,696, ,670, UNICREDIT SPA 11-19/08/2018 SR 1,711, Energy 49,958, ,300, DONG A/S 13-26/06/3013 FRN 3,710, ,300, ENEL SPA 13-10/01/2074 FRN 2,475, ,200, ENEL SPA 14-15/09/2076 FRN GBP 2,706, ,300, GAS NAT FENOSA F 14-29/11/2049 FRN 2,334, ,300, OMV AG 15-29/12/2049 FRN 3,613, ,200, REPSOL INTL FIN 15-25/03/2075 FRN 2,071, ,500, SSE PLC 15-29/12/2049 FRN 1,472, ,000, TOTAL SA 16-29/12/2049 2,108, Telecommunication 20,492, ,500, CELLNEX TELECOM 3.125% 15-27/07/2022 2,636, ,900, KPN NV 13-28/03/2073 FRN USD 1,931, ,300, ORANGE 14-29/10/2049 FRN 2,416, ,500, TDC 15-26/02/3015 FRN 1,425, ,500, TELECOM ITALIA 3.625% 16-25/05/2026 2,565, , VODAFONE GROUP 0% 15-26/11/2020 CV GBP 570, ,100, WIND ACQ 4% 14-15/07/2020 2,138, ,300, WIND ACQ 7% 14-23/04/2021 3,432, Insurance 17,117, ,600, ASSICURAZIONI 07-29/12/2049 FRN GBP 1,897, ,400, ASSICURAZIONI 12-10/07/2042 FRN 1,819, ,000, GENERALI FINANCE 14-30/11/2049 FRN 2,922, ,500, SANPAOLO VITA 14-29/12/2049 FRN 1,469, ,500, UNIPOLSAI 14-30/06/2049 FRN 2,368, Financial services 10,477, ,277, DEUTSCHE BOERSE 15-05/02/2041 FRN 3,423, ,000, FCT HOLDING SRL 0.625% 15-30/11/2020 1,020, CV 2,300, SACE SPA 15-10/02/2049 FRN 2,212, , SOLIDIUM OY 0% 14-04/09/2018 CV 525, ,181, Government 7,000, ITALY BTPS 1.65% 15-01/03/2032 6,569, , US TREASURY N/B 7.875% 91-15/02/2021 USD 58, ,628, Building materials 2,500, CARILLION FNCE 2.5% 14-19/12/2019 CV GBP 2,786, ,300, SALINI IMPREGILO 3.75% 16-24/06/2021 3,489, ,275, Auto Parts & Equipment 2,000, FIAT FIN & TRADE 4.75% 14-22/03/2021 2,195, , SOGEFI 2% 14-21/05/2021 CV 186, ,300, VOLVO TREAS AB 14-10/06/2075 FRN 2,386, ,767, Chemical 2,000, ARKEMA 14-29/10/2049 FRN 2,124, ,400, SOLVAY FIN 15-29/06/2049 FRN 2,625, ,749, Cosmetics 1,000, BAYER AG 14-01/07/2075 FRN 1,014, ,300, MERCK 14-12/12/2074 SR 2,423, ,437, Diversified services 3,400, ALLIANZ SE 5.5% 12-28/11/2049 USD 3,244, ,244, Real estate 3,200, GRAND CITY PROP 15-29/12/2049 FRN 3,190, ,190, Metal 2,300, BHP BILLITON FIN 15-22/04/2076 FRN 2,487, ,487, Diversified services 2,300, IVS GROUP 4.5% 15-15/11/2022 2,393, ,393, Distribution & Wholesale 1,100, DUFRY FINANCE 4.5% 14-15/07/2022 1,156, ,500, REXEL SA 5.25% 13-15/06/2020 USD 966, ,122, Food services 1,800, ARYZTA O FINA 14-29/11/2049 FRN 1,815, ,815, ,338, Undertakings for collective investment Open-ended Funds 93,443, BOSPHORUS CAPITAL TIPI KISA TRY 358, , GLOBAL MENKUL B TAHVIL BONO TRY 237, , HELIUM FUND SELECTION-S 11,078, , SCHRODER GAIA CAT BD-IF HD 18,122, ,797, ,797, Mortgage backed securities Financial services 4,000, MERCURY BONDCO 8.25% 15-30/05/2021 4,212, ,212, Banks 2,500, UNICREDIT SPA 10-31/05/2020 SR 2,568, ,568, ,781, Warrants Engineering & Construction 140, LU-VE SPA CW 09/07/2020 LU-VE 280, , Financial services 76, Safe Bag SPA CW 15/12/2017 Safe Bag 5, , , Total securities portfolio 387,808,

41 Financial derivative instruments as at December 31, 2016 AZ MULTI ASSET AZ Multi Asset - Institutional Europe D () Financial derivative instruments as at December 31, 2016 Quantity Name Currency Commitment Unrealised appreciation / (depreciation) Total swap CFD 5,561, Total financial derivative instruments 4,307, Futures O FX CURR FUT (CME) USD 25,062, , /03/2017 (1,020.00) O STOXX 50 - FUTURE 33,425, (747,660.00) 17/03/2017 (320.00) O-BTP FUTURE 08/03/ ,299, (552,072.00) (450.00) O-BUND FUTURE 08/03/ ,867, (1,267,438.11) FTSEMIB INDEX - FTSE / MIB IN 11,523, , /03/2017 (1,560,482.40) Total Futures (1,560,482.40) Summary of net assets Total securities portfolio Total financial derivative instruments Cash at bank Other assets and liabilities Total net assets % NAV 387,808, ,307, ,676, ,280, ,073, Purchase Sale Maturity Date Commitment Unrealised appreciation / (depreciation) Forward foreign exchange contracts 18,542, ,000, CHF 17/01/17 18,542, (118,314.25) 10,000, GBP 11,799, /03/17 11,799, (100,279.08) 1, USD 1, /02/17 1, (12.11) 68,246, ,800, GBP 02/03/17 68,246, , ,043, ,000, USD 17/01/17 9,043, (432,453.77) (26,722.65) Total Forward foreign exchange contracts (26,722.65) Name Maturity Date Currency Notional Unrealised appreciation / (depreciation) LUTETIA Volat Asvantage II Index / IBOR 3M SGI Merger Arbitrage Index / IBOR 3M SGI Merger Arbitrage Index / IBOR 3M SGI Merger Arbitrage Index / IBOR 3M Total Return Swap 07/04/17 10/11/17 04/08/17 15/09/17 5,998, , ,122, , ,343, , ,140, (25,702.00) 333, Total TRS 333, Name Currency Commitment Unrealised appreciation / (depreciation) CFD contract ABBOTT LABORATORIES USD (1,902,674.26) 229, ACTELION LTD-REG CHF 2,673, , CSAZCHM2 USD 905, , CSAZSXDP 736, (62,400.00) CSAZSX7P 670, , DBX II IBX GLOBAL INFL 11,279, , DEUTSCHE BOERSE AG 6,113, , DEUTSCHE BOERSE AG-TENDER (6,203,200.00) (199,896.10) DJ STOXX 600 BANK (729,266.41) (156,500.82) DJ STOXX 600 HEALTHCARE (752,710.85) 59, GREENE KING PLC GBP 3, (548.27) ISHARES CORE O CORP BOND UC 26,016, (83,913.84) ISHARES O HIGH YELD CORPOR 26,645, , LYXOR IBOXX LQD HY BB 15,816, , SKY PLC GBP 4,063, (5,713.40) S&P 500 CHEMICALS INDEX USD (888,406.77) (13,339.39) ST JUDE MEDICAL INC USD 4,561, , STXE 600 NRT 35,860, ,557, ,561,

42 AZ Multi Asset - Institutional Europe D () Portfolio Breakdowns Nature allocation % of portfolio % of net assets Shares Bonds and other debt instruments Undertakings for collective investment Other Country allocation % of portfolio % of net assets Italy France Luxembourg United Kingdom Germany Netherlands Switzerland Spain United States Other Top Ten Holdings (% of net assets) Top Ten Holdings (% of net assets) Sector Market value % of net assets SCHRODER GAIA CAT BD-IF HD Open-ended Funds 18,122, HELIUM FUND SELECTION-S Open-ended Funds 11,078, WHITEWAVE FOODS CO Food services 8,434, SYNGENTA AG-ADR Chemical 6,745, ITALY BTPS 1.65% 15-01/03/2032 Government 6,569, ROYAL DUTCH SHELL PLC-A SHS Energy 4,991, ROCHE HOLDING AG-GENUSSCHEIN Cosmetics 4,990, DELTA LLOYD NV Insurance 4,785, KBC GROEP NV 14-29/03/2049 FRN Banks 4,735, MEDIOBANCA SPA 5.75% 13-18/04/2023 Banks 4,696,

43 AZ Multi Asset - BTPortfolio () Statement of Operations Net Assets and as at Changes December in Net 31, Assets 2016 for the Statement of Operations and Changes in Net Assets for year ended December 31, 2016 the year ended December 31, 2016 Notes Notes Assets Investment in securities at cost 147,654, Unrealised appreciation / (depreciation) on securities 1,592, Investment in securities at market value 3.c 149,247, Cash at bank 13,245, Dividends and interest receivable 778, Total assets 163,271, Liabilities Accrued expenses 167, Payable on fund shares repurchased 9,937, Total liabilities 10,105, Net assets at the end of the year 153,166, Income Interest on bonds (net) 3.i 3,589, Other income Total income 3,589, Expenses Investment management fees 4 842, Custodian fees 6 22, Performance fees 5 184, Administration fees 7 34, Professional fees 3, Transaction costs 11 9, Taxe d'abonnement 8 74, Bank interest and charges 10, Printing & Publication fees 9, Other expenses 9 132, Total expenses 1,323, Net investment income / (loss) 2,265, Net realised gain / (loss) on: Investments 294, Net realised gain / (loss) for the year 2,560, Net change in unrealised appreciation / (depreciation) on: Investments (2,391,740.43) Increase / (Decrease) in net assets as a result of operations 168, Subscriptions 2 43,821, Redemptions (16,507,878.81) Dividend distribution 15 (127,462.12) Net assets at the beginning of the year 125,811, Net assets at the end of the year 153,166, Statement of Changes in Number of Units in issue at the beginning of the year subscribed redeemed in issue at the end of the year A (O) 176, ,509, (298,450.44) 5,387, B (O) 21,133, (2,421,163.52) 18,712, A (O DIS) 873, ,319, (200,823.31) 2,992, B (O DIS) 143, ,

44 Securities Portfolio as at December 31, 2016 AZ MULTI ASSET AZ Multi Asset - BTPortfolio () Quantity/ Nominal Name Currency Market value % NAV Transferable securities admitted to an official exchange listing Government Bonds and other debt instruments 4,992, ITALY BTPS I/L 1.65% 14-23/04/2020 5,252, ,978, ITALY BTPS I/L 2.15% 13-12/11/ ,373, ,691, ITALY BTPS 0.4% 16-11/04/ ,780, ,000, ITALY BTPS 0.45% 16-01/06/ ,984, ,000, ITALY BTPS 0.95% 16-15/03/2023 4,968, ,000, ITALY BTPS 1.05% 14-01/12/2019 4,113, ,000, ITALY BTPS 1.45% 15-15/09/2022 8,246, ,000, ITALY BTPS 2% 15-01/12/2025 7,182, ,500, ITALY BTPS 2.15% 14-15/12/2021 8,046, ,200, ITALY BTPS 2.25% 16-01/09/2036 3,109, ,000, ITALY BTPS 3.75% 10-01/03/ ,384, ,000, ITALY BTPS 3.75% 13-01/05/ ,086, ,000, ITALY BTPS 3.75% 14-01/09/ ,678, ,950, ITALY BTPS 5.5% 12-01/09/2022 9,979, ,000, ITALY BTPS 5.5% 12-01/11/ ,323, ,500, ITALY BTPS 7.25% 97-01/11/2026 3,736, ,247, ,247, Total securities portfolio 149,247, Summary of net assets Total securities portfolio Cash at bank Other assets and liabilities Total net assets % NAV 149,247, ,245, (9,327,154.74) (6.09) 153,166,

45 AZ Multi Asset - BTPortfolio () Portfolio Breakdowns Nature allocation % of portfolio % of net assets Bonds and other debt instruments Country allocation % of portfolio % of net assets Italy Top Ten Holdings (% of net assets) Top Ten Holdings (% of net assets) Sector Market value % of net assets ITALY BTPS I/L 2.15% 13-12/11/2017 Government 17,373, ITALY BTPS 3.75% 13-01/05/2021 Government 17,086, ITALY BTPS 0.4% 16-11/04/2024 Government 13,780, ITALY BTPS 0.45% 16-01/06/2021 Government 11,984, ITALY BTPS 3.75% 14-01/09/2024 Government 11,678, ITALY BTPS 3.75% 10-01/03/2021 Government 11,384, ITALY BTPS 5.5% 12-01/11/2022 Government 11,323, ITALY BTPS 5.5% 12-01/09/2022 Government 9,979, ITALY BTPS 1.45% 15-15/09/2022 Government 8,246, ITALY BTPS 2.15% 14-15/12/2021 Government 8,046,

46 AZ Multi Asset - Renminbi Opportunities () Statement of Operations Net Assets and as at Changes December in Net 31, Assets 2016 for the Statement of Operations and Changes in Net Assets for year ended December 31, 2016 the year ended December 31, 2016 Notes Notes Assets Investment in securities at cost 196,923, Unrealised appreciation / (depreciation) on securities 10,654, Investment in securities at market value 3.c 207,577, Cash at bank 16,541, Dividends and interest receivable 1,477, Formation expenses 3.j 23, Total assets 225,620, Liabilities Bank overdraft 201, Accrued expenses 78, Net unrealised depreciation on forward foreign exchange contracts 3.d 9,346, Total liabilities 9,626, Net assets at the end of the year 215,993, Income Interest on bonds (net) 3.i 4,990, Bank interest 2, Income on Swaps and Contracts for Difference Total income 4,993, Expenses Investment management fees 4 49, Custodian fees 6 42, Performance fees Administration fees 7 66, Professional fees 45, Distribution fees Transaction costs 11 23, Taxe d'abonnement 8 122, Bank interest and charges 35, Printing & Publication fees 4, Other expenses 9 278, Total expenses 670, Net investment income / (loss) 4,322, Net realised gain / (loss) on: Investments (534,429.69) Foreign currencies transactions (931,970.74) Forward foreign exchange contracts 3.d (1,101,106.49) Net realised gain / (loss) for the year 1,755, Net change in unrealised appreciation / (depreciation) on: Investments 3,853, Forward foreign exchange contracts 3.d (7,600,320.40) Increase / (Decrease) in net assets as a result of operations (1,991,554.79) Subscriptions 2 241, Redemptions (98,396,288.03) Net assets at the beginning of the year 316,139, Net assets at the end of the year 215,993, Statement of Changes in Number of Units in issue at the beginning of the year subscribed redeemed in issue at the end of the year A (O hedged) 333, , (1,154.39) 346, A (O non hedged) 49, , B (O non hedged) MASTER (O non hedged) 48,695, (15,145,167.35) 33,550, A (USD) 964, , (650,006.64) 347, A (HKD) 64, , (2,261.32) 64, A (CNH) 40, ,

47 Securities Portfolio as at December 31, 2016 AZ MULTI ASSET AZ Multi Asset - Renminbi Opportunities () Quantity/ Nominal Name Currency Market value % NAV Quantity/ Nominal Name Currency Market value % NAV Transferable securities admitted to an official exchange listing China Money market instruments 5,000, AGRI BK CHINA/HK 1.23% 04/05/2017 CD USD 4,740, ,500, AGRI BK CHINA/HK 1.25% 09/05/2017 CD USD 7,110, ,000, BANK OF CHINA/HK 1.2% 10/05/2017 CD USD 9,480, ,000, BANK OF CHINA/HK 1.3% 16-24/02/2017 HKD 3,668, ,000, BANK OF COMM/SYD 1.17% 04/05/2017 CD USD 9,480, ,000, CHINA DEV BK/HK 1.2% 16-20/01/2017 USD 9,480, ,000, CHINA DEV BK/HK 16-12/02/2018 FRN USD 4,772, ,000, CHN CONST BK/HK 1.2% 10/05/2017 CD USD 13,272, ,000, ICBC/SYDNEY 1.18% 16-07/04/2017 USD 9,480, ,000, SH PUDONG DEV/HK 1.15% 16-24/03/2017 USD 4,740, ,000, SH PUDONG DEV/HK 1.38% 23/06/2017 CD USD 9,479, Hong Kong 85,707, ,000, CN CITIC BK INTL 1.3% 16-03/02/2017 USD 8,532, ,000, KDB ASIA LTD 1.18% 16-27/01/2017 USD 9,480, Japan 18,013, ,000, SUMITOMO MIT/SG 0% 16-09/03/2017 USD 5,678, China Bonds and other debt instruments 5,678, ,399, ,000, AGRICUL DEV BANK 3.28% 14-16/01/2017 CNH 951, ,000, BANK OF CHINA/AB 3.6% 15-30/06/2017 CNH 134, ,500, BANK OF CHINA/HK 2.125% 15-30/06/2018 USD 1,420, ,000, BANK OF CHINA/LX 3.5% 14-15/05/2017 CNH 268, ,000, CHINA CONST BK/S 3.8% 14-29/09/2017 CNH 2,686, , CHINA DEV BANK 1.625% 16-22/06/2019 USD 467, ,000, CHINA DEV BANK 3.35% 14-19/09/2017 CNH 1,347, ,000, CHINA MERCHANTS 3.95% 14-02/12/2017 CNH 2,681, ,000, CHN CONST BK/LON 1.15% 16-28/04/2017 USD 9,465, ,000, CITIC BANK 4.125% 14-27/02/2017 CNH 5,413, ,000, ICBC/LUXEMBOURG 16-19/01/2019 FRN USD 4,761, South Korea 29,598, ,000, KOREA NATL OIL 3.125% 12-03/04/2017 USD 3,806, , NATIONAL FEDERAT 3.5% 12-03/05/2017 USD 762, ,000, SHINHAN BANK/HK 1.16% 16-28/04/2017 USD 9,474, Cayman Islands 14,043, ,000, BAIDU INC 2.25% 12-28/11/2017 USD 4,753, ,000, CHINA FUNDING IN 14-12/08/2017 FRN USD 4,739, , TENCENT HOLDINGS 3.375% 12- USD 431, /03/2018 9,924, Virgin Islands 548, CENTURY MASTER I 4.75% 13-19/09/2018 USD 536, ,000, CNPC GENERAL CAP 1.95% 14-25/11/2017 USD 948, ,100, HORSEPOWER FINAN 2.1% 14-03/03/2017 USD 1,991, ,000, SINOCHEM OFFSH 3.55% 14-13/05/2017 CNH 2,017, ,300, SINOPEC GRP OVER 2.75% 12-17/05/2017 USD 1,236, ,000, VALUE SUCCESS 4.15% 14-30/01/2017 CNH 2,706, , ZHAOHAI INVST 3.1% 15-23/07/2018 USD 189, ,625, Hong Kong 2,375, CHINA URANIUM 3.5% 13-08/10/2018 USD 2,295, ,000, WHARF FINANCE 4.625% 12-08/02/2017 USD 1,900, ,195, Singapore 20,000, BOC AVIATION 4.5% 13-20/11/2018 CNH 2,681, ,681, France 20,000, RENAULT 4.375% 14-11/12/2017 CNH 2,681, ,681, Japan 12,000, MITSUB UFJ LEASE 3.28% 14-27/02/2017 CNH 1,619, ,619, Netherlands 4,000, UNILEVER NV 2.95% 14-27/02/2017 CNH 540, , United States 1,000, CATERPILLAR FINL 3.4% 14-25/11/2017 CNH 133, , ,044, Mortgage backed securities Cayman Islands 4,881, AIRCRAFT FINANCE 14-29/03/2020 SR USD 4,627, ,627, Other transferable securities 4,627, Bonds and other debt instruments United Kingdom 21,000, CREDIT SUISSE INTL NOTE 0% 14-27/02/2017 USD 18,506, ,506, ,506, Total securities portfolio 207,577, Financial derivative instruments as at December 31, 2016 Purchase Sale Maturity Date Commitment Unrealised appreciation / (depreciation) Forward foreign exchange contracts 6,468, USD 45,000, CNH 07/07/17 5,958, , ,747, USD 60,000, CNH 31/05/17 7,986, , , USD 94, /01/17 94, ,000, CNH 6,361, USD 06/03/17 6,059, (287,917.67) 20,000, CNH 3,012, USD 07/04/17 2,711, (197,494.61) 50,000, CNH 7,338, USD 07/07/17 6,724, (377,941.73) 30,000, CNH 4,368, USD 09/01/17 4,211, (72,109.12) 226,503, CNH 34,000, USD 09/05/17 30,472, (2,265,252.72) 16,000, CNH 2,395, USD 11/05/17 2,148, (154,643.14) 50,000, CNH 7,234, USD 17/01/17 6,993, (95,254.47) 73,000, CNH 10,077, USD 19/12/17 10,082, (61,592.14) 50,000, CNH 7,222, USD 20/01/17 6,980, (90,970.87) 130,071, CNH 19,269, USD 20/06/17 17,654, (1,127,091.42) 39,550, CNH 5,774, USD 20/09/17 5,269, (308,503.50) 100,000, CNH 14,500, USD 23/01/17 13,898, (247,798.22) 106,435, CNH 16,017, USD 26/04/17 14,561, (1,078,544.53) 80,000, CNH 11,728, USD 27/07/17 10,897, (616,244.33) 130,000, CNH 19,532, USD 28/04/17 17,658, (1,292,301.72) 65,000, CNH 9,669, USD 31/05/17 8,861, (587,255.53) 130,000, CNH 19,097, USD 31/07/17 17,707, (1,045,628.17) 1,756, ,900, USD 13/01/17 1,756, (43,780.53) (9,346,968.88) Total Forward foreign exchange contracts (9,346,968.88) Total financial derivative instruments (9,346,968.88) 44

48 AZ Multi Asset - Renminbi Opportunities () Summary of net assets Total securities portfolio Total financial derivative instruments Cash at bank Other assets and liabilities Total net assets % NAV 207,577, (9,346,968.88) (4.33) 16,339, ,422, ,993,

49 AZ Multi Asset - Renminbi Opportunities () Portfolio Breakdowns Nature allocation % of portfolio % of net assets Money market instruments Bonds and other debt instruments Mortgage backed securities Country allocation % of portfolio % of net assets China Hong Kong United Kingdom Cayman Islands South Korea Virgin Islands Japan Other Top Ten Holdings (% of net assets) Top Ten Holdings (% of net assets) Sector Market value % of net assets CREDIT SUISSE INTL NOTE 0% 14-27/02/2017 Banks 18,506, CHN CONST BK/HK 1.2% 10/05/2017 CD Banks 13,272, BANK OF CHINA/HK 1.2% 10/05/2017 CD Banks 9,480, BANK OF COMM/SYD 1.17% 04/05/2017 CD Banks 9,480, KDB ASIA LTD 1.18% 16-27/01/2017 Banks 9,480, CHINA DEV BK/HK 1.2% 16-20/01/2017 Banks 9,480, ICBC/SYDNEY 1.18% 16-07/04/2017 Banks 9,480, SH PUDONG DEV/HK 1.38% 23/06/2017 CD Banks 9,479, SHINHAN BANK/HK 1.16% 16-28/04/2017 Banks 9,474, CHN CONST BK/LON 1.15% 16-28/04/2017 Banks 9,465,

50 AZ Multi Asset - Renminbi Opportunities - Fixed Income () Statement of Operations Net Assets and as at Changes December in Net 31, Assets 2016 for the Statement of Operations and Changes in Net Assets for year ended December 31, 2016 the year ended December 31, 2016 Notes Notes Assets Investment in securities at cost 69,008, Unrealised appreciation / (depreciation) on securities 3,194, Investment in securities at market value 3.c 72,202, Cash at bank 2,552, Dividends and interest receivable 745, Total assets 75,501, Liabilities Accrued expenses 36, Net unrealised depreciation on forward foreign exchange contracts 3.d 1,188, Total liabilities 1,225, Net assets at the end of the year 74,275, Income Interest on bonds (net) 3.i 3,706, Bank interest Other income 2, Total income 3,709, Expenses Investment management fees 4 40, Custodian fees 6 15, Performance fees 5 1, Administration fees 7 51, Professional fees 14, Distribution fees 1, Transaction costs 11 14, Taxe d'abonnement 8 41, Bank interest and charges 16, Printing & Publication fees 2, Other expenses 9 91, Total expenses 293, Net investment income / (loss) 3,416, Net realised gain / (loss) on: Investments 5,244, Foreign currencies transactions (194,275.66) Forward foreign exchange contracts 3.d (440,620.60) Net realised gain / (loss) for the year 8,026, Net change in unrealised appreciation / (depreciation) on: Investments (4,936,387.05) Forward foreign exchange contracts 3.d (705,126.42) Increase / (Decrease) in net assets as a result of operations 2,384, Subscriptions 2 5,015, Redemptions (34,706,548.34) Net assets at the beginning of the year 101,581, Net assets at the end of the year 74,275, Statement of Changes in Number of Units in issue at the beginning of the year subscribed redeemed in issue at the end of the year A (O hedged) 246, (194,053.00) 52, A (O non hedged) 50, , Master (O non Hedged) 14,948, (4,983,777.74) 9,965, A (USD) 100, ,031, (82,499.00) 1,049, A (HKD) 50, , A (CNH) 40, ,

51 Securities Portfolio as at December 31, 2016 AZ MULTI ASSET AZ Multi Asset - Renminbi Opportunities - Fixed Income () Quantity/ Nominal Name Currency Market value % NAV Quantity/ Nominal Name Currency Market value % NAV Transferable securities admitted to an official exchange listing Banks Bonds and other debt instruments 20,000, AUST & NZ BANK 15-30/01/2025 FRN CNH 2,720, ,000, BANK OF COMM/HK 16-16/08/2019 USD 949, ,000, BANK OF COMM/HK 2.25% 16-25/01/2019 USD 1,893, , BK OF EAST ASIA 15-29/12/2049 FRN USD 453, ,000, CHINA CONST BANK 15-29/12/2049 FRN USD 951, ,000, CHINA CONSTR BK 14-12/11/2024 FRN CNH 2,040, ,000, CHINA DEV BANK 3.35% 14-19/09/2017 CNH 2,020, ,000, CHINA DEV BANK 3.6% 14-19/09/2019 CNH 1,322, ,000, GAZPROMBANK 4.25% 14-30/01/2017 CNH 1,351, , HSBC HOLDINGS 15-29/12/2049 FRN USD 471, , ICBC ASIA LTD 16-29/12/2049 USD 455, , STANDARD CHART 16-29/12/2049 USD 472, , STANDARD CHART 3.05% 16-15/01/2021 USD 189, Real estate 15,295, ,000, AGILE PROPERTY 6.5% 14-28/02/2017 CNH 1,355, ,000, ASIA STAND INTL 6.5% 13-17/04/2018 CNH 1,326, , BESTGAIN REAL 3.95% 16-23/12/2019 USD 381, ,000, BESTGAIN REAL 4.5% 13-04/12/2018 CNH 3,327, ,000, GREENLAND HK HLD 5.5% 14-23/01/2018 CNH 2,001, , GREENTOWN CHINA 8% 13-24/03/2019 USD 495, ,000, LAI FUNG HOLDING 6.875% 13-25/04/2018 CNH 1,995, ,000, TRILLION CHANCE 8.5% 14-10/01/2019 USD 986, Financial services 11,869, ,000, BOC AVIATION 4.5% 13-20/11/2018 CNH 938, ,000, ICBCIL FINANCE 3.9% 15-18/06/2018 CNH 1,072, ,000, STARWAY ASSETS 4.1% 14-22/01/2017 CNH 2,446, ,000, VAST EXPAND LTD 5.2% 14-11/09/2017 CNH 667, Telecommunication 5,125, ,000, CHINA UNICOM 4% 14-16/04/2017 CNH 1,346, ,000, DATANG TELECOMHK 5.5% 14-29/09/2017 CNH 2,679, Transportation 4,026, ,000, SINOTRANS SAILIN 4.5% 14-10/06/2017 CNH 3,402, Chemical 3,402, ,000, SINOCHEM OFFSH 3.55% 14-13/05/2017 CNH 2,689, Lodging & Restaurants 20,000, DORSETT HOSPITALITY INT 6% 13-03/04/2018 2,689, CNH 2,681, ,681, Auto Parts & Equipment 10,000, CATERPILLAR FINL 3.55% 15-23/06/2018 CNH 1,317, ,000, MAIKUN INVESTMEN 4.5% 14-06/06/2017 CNH 1,357, ,675, Distribution & Wholesale 20,000, I.T LTD 6.25% 13-15/05/2018 CNH 2,654, ,654, Government 15,000, EXP-IMP BK KOREA 3.625% 14-27/01/2019 CNH 1,991, , REP OF SRI LANKA 5.75% 16-18/01/2022 USD 652, ,644, Energy 200, CNOOC FIN 2013 L 1.75% 13-09/05/2018 USD 188, ,200, KOREA E-W POWER 2.5% 12-16/07/2017 USD 2,091, ,280, Office & Business equipment 10,000, KUNZHI 5.875% 14-15/01/2017 CNH 1,354, ,000, LENOVO GROUP LTD 4.95% 15-10/06/2020 CNH 267, ,621, ,964, Money market instruments Banks 5,000, AGRI BK CHINA/HK 1.23% 04/05/2017 CD USD 4,738, ,500, AGRI BK CHINA/HK 1.25% 09/05/2017 CD USD 2,369, ,000, CHN CONST BK/HK 1.2% 10/05/2017 CD USD 947, ,000, CN CITIC BK INTL 1.3% 16-03/02/2017 USD 948, ,003, ,003, Shares Financial services 1,390, ODER CAPITAL LTD 16-23/04/2018 USD 6,234, ,234, ,234, Total securities portfolio 72,202, Financial derivative instruments as at December 31, 2016 Purchase Sale Maturity Date Commitment Unrealised appreciation / (depreciation) Forward foreign exchange contracts 15, USD 14, /01/17 14, (1.30) 13,000, CNH 1,903, USD 13/07/17 1,755, (95,281.24) 15,000, CNH 2,173, USD 19/01/17 2,097, (33,279.55) 30,000, CNH 4,142, USD 19/12/17 4,147, (25,940.17) 10,000, CNH 1,444, USD 20/01/17 1,396, (18,194.17) 12,237, CNH 1,800, USD 20/06/17 1,667, (93,766.52) 16,450, CNH 2,401, USD 20/09/17 2,191, (128,315.61) 20,000, CNH 3,006, USD 26/04/17 2,732, (199,163.15) 24,000, CNH 3,466, USD 27/10/17 3,256, (159,144.78) 36,700, CNH 5,434, USD 31/05/17 4,952, (307,496.65) 15,000, CNH 2,203, USD 31/07/17 2,043, (120,987.06) 278, , USD 13/01/17 278, (6,947.28) (1,188,517.48) Total Forward foreign exchange contracts (1,188,517.48) Total financial derivative instruments (1,188,517.48) Summary of net assets Total securities portfolio Total financial derivative instruments Cash at bank Other assets and liabilities Total net assets % NAV 72,202, (1,188,517.48) (1.60) 2,552, , ,275,

52 AZ Multi Asset - Renminbi Opportunities - Fixed Income () Portfolio Breakdowns Nature allocation % of portfolio % of net assets Bonds and other debt instruments Money market instruments Shares Country allocation % of portfolio % of net assets China Virgin Islands Cayman Islands Hong Kong United Kingdom South Korea Bermuda Australia Other Top Ten Holdings (% of net assets) Top Ten Holdings (% of net assets) Sector Market value % of net assets ODER CAPITAL LTD 16-23/04/2018 Financial services 6,234, AGRI BK CHINA/HK 1.23% 04/05/2017 CD Banks 4,738, SINOTRANS SAILIN 4.5% 14-10/06/2017 Transportation 3,402, BESTGAIN REAL 4.5% 13-04/12/2018 Real estate 3,327, AUST & NZ BANK 15-30/01/2025 FRN Banks 2,720, SINOCHEM OFFSH 3.55% 14-13/05/2017 Chemical 2,689, DORSETT HOSPITALITY INT 6% 13-03/04/2018 Lodging & 2,681, Restaurants DATANG TELECOMHK 5.5% 14-29/09/2017 Telecommunication 2,679, I.T LTD 6.25% 13-15/05/2018 Distribution & 2,654, Wholesale STARWAY ASSETS 4.1% 14-22/01/2017 Financial services 2,446,

53 AZ Multi Asset - Institutional Macro Dynamic Trading () Statement of Operations Net Assets and as at Changes December in Net 31, Assets 2016 for the Statement of Operations and Changes in Net Assets for year ended December 31, 2016 the year ended December 31, 2016 Notes Notes Assets Investment in securities at cost 120,030, Unrealised appreciation / (depreciation) on securities 9,527, Investment in securities at market value 3.c 129,558, Investment in option at market value 3.e 362, Cash at bank 41,851, Margin accounts 1,649, Net unrealised appreciation on futures contracts 3.f 59, Net unrealised appreciation on Total Return Swap 3.h 47, Net unrealised appreciation on Contracts for Difference 3.g 390, Dividends and interest receivable 1,238, Total assets 175,157, Liabilities Accrued expenses 48, Payable on Contracts for Difference 4, Net unrealised depreciation on forward foreign exchange contracts 3.d 6,075, Total liabilities 6,128, Net assets at the end of the year 169,028, Income Dividends (net of withholding taxes) 3.i 216, Interest on bonds (net) 3.i 4,121, Bank interest 110, Income on Swaps and Contracts for Difference 433, Total income 4,881, Expenses Investment management fees 4 10, Custodian fees 6 21, Performance fees Administration fees 7 229, Professional fees 8, Transaction costs , Taxe d'abonnement 8 85, Bank interest and charges 76, Expenses on swaps and Contracts for Difference 167, Printing & Publication fees 1, Other expenses Total expenses 729, Net investment income / (loss) 4,151, Net realised gain / (loss) on: Investments 819, Foreign currencies transactions 1,702, Futures contracts 3.f (1,299,901.63) Forward foreign exchange contracts 3.d (2,465,096.55) Options and swaps 3.e,h 1,358, Contract for Difference 3.g (4,373,019.57) Net realised gain / (loss) for the year (105,993.39) Net change in unrealised appreciation / (depreciation) on: Investments 2,154, Futures contracts 3.f (111,840.63) Forward foreign exchange contracts 3.d (4,164,159.84) Options and swaps 3.e,h 437, Contract for Difference 3.g 4,120, Increase / (Decrease) in net assets as a result of operations 2,331, Subscriptions 2 11,212, Redemptions (66,700,000.00) Net assets at the beginning of the year 222,185, Net assets at the end of the year 169,028, Statement of Changes in Number of Units in issue at the beginning of the year subscribed redeemed in issue at the end of the year A (AUD) - 60, , A (O) 50, , , A (USD) 143, ,

54 AZ Multi Asset - Institutional Macro Dynamic Trading () Statement of Changes in Number of Units in issue at the beginning of the year subscribed redeemed in issue at the end of the year MASTER (O) 39,219, ,417, (11,996,588.58) 28,640,

55 Securities Portfolio as at December 31, 2016 AZ MULTI ASSET AZ Multi Asset - Institutional Macro Dynamic Trading () Quantity/ Nominal Name Currency Market value % NAV Quantity/ Nominal Name Currency Market value % NAV Transferable securities admitted to an official exchange listing Banks Bonds and other debt instruments 500, AMP BANK LTD 12-21/12/2022 FRN AUD 348, ,000, AUST & NZ BANK 4.75% 13-06/08/2019 AUD 711, ,000, BANCOLOMBIA 5.125% 12-11/09/2022 USD 961, , BANK OF AMER CRP 07-23/05/2017 FRN 800, ,000, BANK OF CEYLON 5.325% 13-16/04/2018 USD 950, , BANK OF CEYLON 6.875% 12-03/05/2017 USD 477, ,000, BANK OF CHINA/LX 0.75% 16-12/07/ , ,000, BANK OF CHINA/LX 2.25% 16-12/07/2021 USD 1,832, ,000, BBVA BANCOMER SA 7.25% 10-22/04/2020 USD 2,081, ,000, CHINA CONST ASIA 2.375% 14-01/04/2017 USD 1,897, ,500, CHINA DEV BANK 1.625% 16-22/06/2019 USD 2,336, ,000, CITIGROUP INC 6.25% 12-29/06/2017 NZD 1,342, , DAEGU BANK LTD 2.25% 13-29/04/2018 USD 474, ,000, EMIRATES NBD 13-28/03/2023 FRN USD 970, , FIRST GULF BANK 5% 14-01/04/2019 AUD 455, ,000, GAZPROMBANK 12-29/04/2049 FRN USD 968, ,000, HSBC HOLDINGS 15-29/12/2049 FRN USD 4,716, ,000, HSBC LTD/SYDNEY 12-16/11/2017 FRN AUD 688, ,000, HSBC LTD/SYDNEY 4.25% 12-16/11/2017 AUD 696, , ICBC/SINGAPORE 2% 15-27/05/2018 USD 472, ,500, ITAU UNIBANCO/KY 5.5% 12-06/08/2022 USD 1,432, ,000, MALAYAN BANKING 12-20/09/2022 FRN USD 952, , MORGAN STANLEY 7.375% 12-22/02/2018 AUD 359, , OVERSEA-CHINESE 3.15% 12-11/03/2023 USD 477, ,000, SOCIETE GENERALE 14-07/04/2049 FRN 1,025, ,000, STANDARD CHART 5.2% 13-26/01/2024 USD 4,899, ,000, UBS GROUP 15-29/12/2049 FRN 1,051, ,000, UNICREDIT SPA 13-28/10/2025 FRN 3,169, ,000, VIETINBANK 8% 12-17/05/2017 USD 961, Energy 38,501, ,000, CLP POWER HK FIN 2.875% 12-26/04/2023 USD 923, ,750, CNOOC FIN 2013 L 3% 13-09/05/2023 USD 3,430, , CNPC GENERAL CAP 3.4% 13-16/04/2023 USD 469, ,000, KOREA GAS CORP 2.25% 12-25/07/2017 USD 2,851, , KOREA GAS CORP 3.5% 15-21/07/2025 USD 478, ,000, KOREA NATL OIL 3.125% 12-03/04/2017 USD 3,806, , KOREA NATL OIL 4% 14-23/01/2024 USD 496, ,000, POWER GRID CIL 3.875% 13-17/01/2023 USD 949, ,450, SINOPEC CAPITAL 3.125% 13-24/04/2023 USD 1,337, , TOWNGAS FINANCE 14-29/01/2049 FRN USD 195, Government 14,940, , DEVT BK OF MONGO 5.75% 12-21/03/2017 USD 462, , EX-IM BK OF IN 4% 13-14/01/2023 USD 481, , EXP-IMP BK KOREA 4% 14-14/01/2024 USD 494, ,000, EXPORT-IMPORT 2.875% 12-14/12/2017 USD 2,862, ,500, KHFC 2.5% 15-15/11/2020 USD 1,407, ,500, MONGOLIA 4.125% 12-05/01/2018 USD 1,375, , REP OF KOREA 3.875% 13-11/09/2023 USD 505, , REP OF SRI LANKA 5.125% 14-11/04/2019 USD 478, , REP OF SRI LANKA 5.875% 12-25/07/2022 USD 465, Financial services 8,533, ,000, AZURE ORBIT II 3.125% 15-21/08/2020 USD 948, ,000, CHINA CINDA FIN 4% 14-14/05/2019 USD 1,951, , INVENTIVE GLOBAL 2.375% 16-07/12/2019 USD 471, ,000, LANDMARK FUNDING 3.42% 15-12/06/2020 USD 1,893, ,000, SAN MIGUEL CORP 4.875% 13-26/04/2023 USD 924, Insurance 6,190, ,800, ASSICURAZIONI 12-10/07/2042 FRN 2,339, ,000, CHINA TAIPING IN 14-29/09/2049 FRN USD 1,969, ,000, SANPAOLO VITA 14-29/12/2049 FRN 979, ,288, Telecommunication 200, PCCW-HKT CAP NO5 3.75% 13-08/03/2023 USD 191, ,000, PROVEN HONOUR 4.125% 15-19/05/2025 USD 946, ,000, SINGTEL GROUP TR 2.375% 16-03/10/2026 USD 1,748, ,000, SINGTEL GROUP TR 3.25% 15-30/06/2025 USD 1,890, Auto Parts & Equipment 4,777, ,500, CHINA FUNDING IN 14-12/08/2017 FRN USD 4,265, Supranational organisation 4,265, ,000, INTL FIN CORP 10% 13-12/06/2017 BRL 2,886, Real estate 2,886, , AGILE PROPERTY 13-29/01/2049 FRN USD 190, ,000, KWG PROPERTY HOL 8.975% 14- USD 1,983, /01/2019 2,174, Food services 2,000, PROSPEROUS RAY L 3% 13-12/11/2018 USD 1,923, ,923, Building materials 200, CRCC YUPENG 14-28/02/2049 FRN USD 192, ,500, CRCC YUXIANG LTD 3.5% 13-16/05/2023 USD 1,402, ,594, Chemical 1,000, COSL SG CAPITAL 4.5% 15-30/07/2025 USD 954, , Entertainment 1,000, BOOM UP INVST 3.25% 15-23/07/2020 USD 942, , Diversified machinery 500, MCC HLDNG HK CP 2.5% 14-28/08/2017 USD 474, , Metal 200, MONGOLIN MINNG 8.875% 12-29/03/2017 DFLT USD 92, , ,539, Shares Internet 15, ALIBABA GROUP HOLDING-SP ADR USD 1,248, , ALPHABET INC-CL A USD 751, , AMAZON.COM INC USD 1,421, ,421, Lodging & Restaurants 20, MARRIOTT INTERNATIONAL -CL A USD 1,567, ,567, Biotechnology 8, AMGEN INC USD 1,108, ,108, Insurance 75, ASSICURAZIONI GENERALI 1,059, ,059, Distribution & Wholesale 20, STARBUCKS CORP USD 1,052, ,052, Food services 20, BROWN-FORMAN CORP-CLASS B USD 851, ,

56 Securities Portfolio as at December 31, 2016 Quantity/ Nominal Cosmetics AZ MULTI ASSET AZ Multi Asset - Institutional Macro Dynamic Trading () 80, ORGANOVO HOLDINGS INC USD 257, Computer software 257, , CLASS LTD AUD 39, Metal 39, , OLIVUT RESOURCES LTD CAD 5, Open-ended Funds Name Undertakings for collective investment Currency Market value % NAV 5, ,363, , AZ MULTI ASSET - ASIA ABSOLUTE A1 259, , AZ MULTI ASSET - ASIA ABSOLUTE A2 USD 191, , AZ MULTI ASSET - ASIA ABSOLUTE BSC SGD 154, , AZ MULTI ASSET - ASIA ABSOLUTE HCA 1,972, , AZ MULTI ASSET - RENMINBI OPPORT A1 293, CAP 300, AZ MULTI ASSET- RENMINBI OPPORT A2 USD 1,419, CAP 58, AZ MULTI ASSET- RENMINBI OPPORT A3 HKD 362, CAP 40, AZ MULTI ASSET RMB O-FI-ACC CNH 305, , AZ MULTI ASSET-RENMINBI OP FIX INC A1 316, , AZ MULTI ASSET-RENMINBI OP FIX INC A2 USD 49, , AZ MULTI ASSET-RENMINBI OP FIX INC A3 HKD 318, , AZ MULTI ASSET-RENMINBI OP FIX INC 258, HCA 40, AZ MULTI ASSET-RMB OPP-ACC CNH 288, , ETFS PHYSICAL PLATINUM USD 655, , ETFS PHYSICAL SILVER USD 366, , GOLD BULLION SECURITIES LTD USD 1,043, ,256, ,256, Money market instruments Banks 20,000, CHINA DEV BK/HK 4.5% 13-25/09/2023 HKD 2,587, ,000, SH PUDONG DEV/HK 1.15% 16-24/03/2017 USD 2,844, ,432, Financial derivative instruments as at December 31, 2016 Quantity Name Futures Currency Commitment Unrealised appreciation / (depreciation) (500.00) SGX FTSE XINHUA FSP 25/01/2017 USD 4,722, , (30.00) S&P 500 E-MINI FUTURE 17/03/2017 USD 3,180, , , Total Futures 59, Purchase Sale Maturity Date Commitment Unrealised appreciation / (depreciation) Forward foreign exchange contracts 300, AUD 211, /01/17 211, (5,791.29) 760, USD 725, /02/17 725, (5,860.82) 4,676, USD 4,416, /01/17 4,416, , ,000,000, COP 1,547, USD 31/01/17 1,484, , ,715, ,000, USD 24/01/17 121,715, (6,181,292.56) 50,000, INR 732, USD 08/02/17 685, , (6,075,098.51) Total Forward foreign exchange contracts (6,075,098.51) Quantity Name Currency Commitment Market value Options 5,000, CALL AUD/CHF 14/11/ AUD 2,917, , ,000, CALL CHF/USD 14/11/ USD 5,688, , CALL O STOXX 50 - OPTIO 11,880, , /03/ , Total Options 362, Name Maturity Date Currency Notional Unrealised appreciation / (depreciation) 5,432, Mortgage backed securities Financial services 4,881, AIRCRAFT FINANCE 14-29/03/2020 SR USD 4,627, ,627, ,627, Other transferable securities Bonds and other debt instruments Banks 5,000, STAND CHART/SG 0% 15-03/05/2017 USD 3,190, ,000, STAND CHART/SG 0% 15-14/07/2017 USD 5,147, ,338, ,338, Total securities portfolio 129,558, CTRB Bloomberg Commodity Index / 33bps Goldman Sachs GSCI Mod Strat D166 / 0 bp Goldman Sachs GSCI Mod Strat D166 / 33 bps MS HDX Dynamic Roll RADAR Out performance Index / 40 bps Total Return Swap 27/01/17 27/01/17 27/01/17 27/06/17 USD 10,000, , USD 10,000, , USD 3,000, , USD 10,000, , , Total TRS 47, Name Currency Commitment Unrealised appreciation / (depreciation) CFD contract BRUNELLO CUCINELLI SPA 610, , CLASS LTD AUD 78, , COMMERCIAL BANK OF QATAR QSC QAR 744, (559,419.95) COMMERCIAL BANK QSC/THE RTS QAR 18, , FIRST GULF BANK AED 76, , NATIONAL BANK OF ABU DHABI AED 425, , QATAR ELECTRICITY & WATER CO QAR 591, , TSE REIT INDEX JPY 1,508, ,

57 Financial derivative instruments as at December 31, 2016 AZ MULTI ASSET AZ Multi Asset - Institutional Macro Dynamic Trading () Name Currency Commitment Unrealised appreciation / (depreciation) TSE2 TOPIX 2ND SECT INDX JPY 6,376, , , Total swap CFD 390, Total financial derivative instruments (5,215,267.58) Summary of net assets Total securities portfolio Total financial derivative instruments Cash at bank Other assets and liabilities Total net assets % NAV 129,558, (5,215,267.58) (3.08) 41,851, ,834, ,028,

58 AZ Multi Asset - Institutional Macro Dynamic Trading () Portfolio Breakdowns Nature allocation % of portfolio % of net assets Bonds and other debt instruments Shares Undertakings for collective investment Money market instruments Mortgage backed securities Country allocation % of portfolio % of net assets United Kingdom Cayman Islands Virgin Islands China South Korea United States Italy Hong Kong Luxembourg Singapore Malaysia Supranational - Multinational Other Top Ten Holdings (% of net assets) Top Ten Holdings (% of net assets) Sector Market value % of net assets STAND CHART/SG 0% 15-14/07/2017 Banks 5,147, STANDARD CHART 5.2% 13-26/01/2024 Banks 4,899, HSBC HOLDINGS 15-29/12/2049 FRN Banks 4,716, AIRCRAFT FINANCE 14-29/03/2020 SR Financial services 4,627, CHINA FUNDING IN 14-12/08/2017 FRN Auto Parts & 4,265, Equipment KOREA NATL OIL 3.125% 12-03/04/2017 Energy 3,806, CNOOC FIN 2013 L 3% 13-09/05/2023 Energy 3,430, STAND CHART/SG 0% 15-03/05/2017 Banks 3,190, UNICREDIT SPA 13-28/10/2025 FRN Banks 3,169, INTL FIN CORP 10% 13-12/06/2017 Supranational 2,886, organisation 55

59 AZ Multi Asset - Institutional Commodity Trading () Statement of Operations Net Assets and as at Changes December in Net 31, Assets 2016 for the Statement of Operations and Changes in Net Assets for year ended December 31, 2016 the year ended December 31, 2016 Notes Notes Assets Investment in securities at cost 42,025, Unrealised appreciation / (depreciation) on securities 1,332, Investment in securities at market value 3.c 43,358, Cash at bank 28,848, Net unrealised appreciation on Total Return Swap 3.h 318, Net unrealised appreciation on Contracts for Difference 3.g 128, Dividends and interest receivable 204, Total assets 72,857, Liabilities Accrued expenses 25, Net unrealised depreciation on forward foreign exchange 3.d 2,424, contracts Net unrealised depreciation on Total Return Swap 3.h 103, Total liabilities 2,553, Net assets at the end of the year 70,304, Income Dividends (net of withholding taxes) 3.i 72, Interest on bonds (net) 3.i 583, Bank interest 86, Income on Swaps and Contracts for Difference 55, Other income 1, Total income 800, Expenses Investment management fees 4 135, Custodian fees 6 7, Performance fees 5 1, Administration fees 7 96, Professional fees 2, Transaction costs 11 36, Taxe d'abonnement 8 37, Bank interest and charges 52, Expenses on swaps and Contracts for Difference 11, Printing & Publication fees Other expenses 9 16, Total expenses 399, Net investment income / (loss) 400, Net realised gain / (loss) on: Investments 517, Foreign currencies transactions 475, Forward foreign exchange contracts 3.d (405,782.50) Options and swaps 3.e,h 8,629, Contract for Difference 3.g (1,940,647.25) Net realised gain / (loss) for the year 7,675, Net change in unrealised appreciation / (depreciation) on: Investments 898, Forward foreign exchange contracts 3.d (1,560,109.89) Options and swaps 3.e,h 833, Contract for Difference 3.g 2,164, Increase / (Decrease) in net assets as a result of operations 10,011, Subscriptions 2 26,050, Redemptions (38,662,495.30) Net assets at the beginning of the year 72,905, Net assets at the end of the year 70,304, Statement of Changes in Number of Units in issue at the beginning of the year subscribed redeemed in issue at the end of the year A (O) 9,004, , (9,623,668.19) 50, MASTER (O) 16,821, ,806, (4,398,157.08) 20,229,

60 Securities Portfolio as at December 31, 2016 Quantity/ Nominal Name Transferable securities admitted to an official exchange listing AZ MULTI ASSET AZ Multi Asset - Institutional Commodity Trading () Currency Market value % NAV Financial derivative instruments as at December 31, 2016 Purchase Sale Maturity Date Commitment Unrealised appreciation / (depreciation) Energy Bonds and other debt instruments 500, CGNPC INTL LTD 4% 15-19/05/2025 USD 474, ,000, CNOOC FIN 2013 L 3% 13-09/05/2023 USD 2,744, ,000, CNPC GENERAL CAP 2.75% 12-19/04/2017 USD 1,901, ,800, KOREA E-W POWER 2.5% 12-16/07/2017 USD 4,563, ,000, KOREA NATL OIL 3.125% 12-03/04/2017 USD 3,806, , KOREA SOUTH-EAST 3.625% 11- USD 379, /01/ , SINOPEC GRP OVER 2.5% 13-17/10/2018 USD 852, , SINOPEC GRP OVER 2.5% 15-28/04/2020 USD 188, ,200, SINOPEC GRP OVER 2.75% 12-17/05/2017 USD 3,995, ,907, Banks 2,000, BANK OF CHINA/LX 1.875% 16-12/07/2019 USD 1,874, ,000, CHINA DEV BANK 1.625% 16-22/06/2019 USD 934, ,000, STAND CHART/SG 0% 15-13/06/2017 USD 4,305, ,114, Insurance 1,000, SANPAOLO VITA 14-29/12/2049 FRN 979, , Metal 600, MONGOLIN MINNG 8.875% 12-29/03/2017 DFLT USD 277, , VALE 3.75% 12-10/01/ , , ,540, Money market instruments Banks 5,000, CHN CONST BK/HK 1.2% 10/05/2017 CD USD 4,740, ,000, SH PUDONG DEV/HK 1.15% 16-24/03/2017 USD 1,896, ,000, SUMITOMO MIT/SG 0% 16-09/03/2017 USD 3,785, ,421, ,421, Undertakings for collective investment Open-ended Funds 49, AZ MULTI ASSET- INSTIT MACRO DYN TRAD A2 USD 249, , ETFS PHYSICAL PLATINUM USD 655, , ETFS PHYSICAL SILVER USD 732, , GOLD BULLION SECURITIES LTD USD 3,129, ,767, ,767, Shares Transportation 46, FRONTLINE LTD USD 310, , NORDIC AMERICAN TANKERS LTD USD 318, , , Total securities portfolio 43,358, Forward foreign exchange contracts 50,628, ,000, USD 24/01/17 50,628, (2,424,777.98) (2,424,777.98) Total Forward foreign exchange contracts (2,424,777.98) Name Maturity Date Currency Notional Unrealised appreciation / (depreciation) Crédit Suisse Custom 24 Index / 16 bps CTRB Bloomberg Commodity Index / 15 bps Goldman Sachs GSCI Mod Strat D166 / 33 bps Goldman Sachs GSCI Mod Strat D166 / 33 bps Goldman Sachs GSCI Mod Strat D166 / 33 bps Goldman Sachs GSCI Mod Strat D166 / 33 bps MS HDX Dynamic Roll / 40 bps MS HDX Dynamic Roll / 45 bps MS HDX Dynamic Roll / 45 bps Total Return Swap 19/05/17 27/01/17 27/01/17 27/01/17 27/01/17 27/01/17 27/06/17 27/06/17 27/06/17 USD 25,000, , USD 40,000, (103,167.58) USD 5,000, , USD 5,000, , USD 4,000, , USD 3,000, , USD 20,000, , USD 10,000, , USD 10,000, , , Total TRS 215, Name Currency Commitment Unrealised appreciation / (depreciation) CFD contract ENI SPA 464, , ROYAL DUTCH SHELL PLC-A SHS 519, , , Total swap CFD 128, Total financial derivative instruments (2,081,539.72) Summary of net assets Total securities portfolio Total financial derivative instruments Cash at bank Other assets and liabilities Total net assets % NAV 43,358, (2,081,539.72) (2.96) 28,848, , ,304,

61 AZ Multi Asset - Institutional Commodity Trading () Portfolio Breakdowns Nature allocation % of portfolio % of net assets Bonds and other debt instruments Money market instruments Undertakings for collective investment Shares Country allocation % of portfolio % of net assets Virgin Islands China South Korea Jersey United Kingdom Japan Italy Other Top Ten Holdings (% of net assets) Top Ten Holdings (% of net assets) Sector Market value % of net assets CHN CONST BK/HK 1.2% 10/05/2017 CD Banks 4,740, KOREA E-W POWER 2.5% 12-16/07/2017 Energy 4,563, STAND CHART/SG 0% 15-13/06/2017 Banks 4,305, SINOPEC GRP OVER 2.75% 12-17/05/2017 Energy 3,995, KOREA NATL OIL 3.125% 12-03/04/2017 Energy 3,806, SUMITOMO MIT/SG 0% 16-09/03/2017 Banks 3,785, GOLD BULLION SECURITIES LTD Open-ended Funds 3,129, CNOOC FIN 2013 L 3% 13-09/05/2023 Energy 2,744, CNPC GENERAL CAP 2.75% 12-19/04/2017 Energy 1,901, SH PUDONG DEV/HK 1.15% 16-24/03/2017 Banks 1,896,

62 AZ Multi Asset - World Trading () Statement of Operations Net Assets and as at Changes December in Net 31, Assets 2016 for the Statement of Operations and Changes in Net Assets for year ended December 31, 2016 the year ended December 31, 2016 Notes Notes Assets Investment in securities at cost 28,097, Unrealised appreciation / (depreciation) on securities 580, Investment in securities at market value 3.c 28,677, Cash at bank 11,677, Receivable for investment sold 550, Net unrealised appreciation on futures contracts 3.f 9, Dividends and interest receivable 5, Total assets 40,920, Liabilities Bank overdraft 2,521, Accrued expenses 200, Payable for investment purchased 1,208, Payable on fund shares repurchased 34, Net unrealised depreciation on forward foreign exchange contracts 3.d 794, Total liabilities 4,760, Net assets at the end of the year 36,160, Income Dividends (net of withholding taxes) 3.i 337, Interest on bonds (net) 3.i 4, Bank interest 14, Other income 42, Total income 399, Expenses Investment management fees 4 1,242, Custodian fees 6 37, Performance fees 5 170, Administration fees 7 36, Professional fees 5, Transaction costs , Taxe d'abonnement 8 14, Bank interest and charges 42, Printing & Publication fees 2, Other expenses 9 53, Total expenses 2,022, Net investment income / (loss) (1,622,807.15) Net realised gain / (loss) on: Investments 1,383, Foreign currencies transactions 491, Futures contracts 3.f (149,771.27) Forward foreign exchange contracts 3.d (303,695.01) Options and swaps 3.e,h (322,305.29) Net realised gain / (loss) for the year (523,780.46) Net change in unrealised appreciation / (depreciation) on: Investments (1,392,855.26) Futures contracts 3.f (37,281.69) Forward foreign exchange contracts 3.d (700,613.62) Increase / (Decrease) in net assets as a result of operations (2,654,531.03) Subscriptions 2 14,275, Redemptions (29,303,161.32) Net assets at the beginning of the year 53,843, Net assets at the end of the year 36,160, Statement of Changes in Number of Units in issue at the beginning of the year subscribed redeemed in issue at the end of the year A (O RETAIL) 4,246, , (2,287,217.37) 2,365, A (O) 1,600, , (1,230,999.00) 825, B (O RETAIL) 3,837, ,268, (1,867,890.59) 3,237, AZ (O RETAIL) 3, , (5,325.50) 16, BZ (O RETAIL) 65, , (180,030.03) 439,

63 Securities Portfolio as at December 31, 2016 AZ MULTI ASSET AZ Multi Asset - World Trading () Quantity/ Nominal Name Currency Market value % NAV Quantity/ Nominal Name Currency Market value % NAV Transferable securities admitted to an official exchange listing Cosmetics Shares 2, ALIGN TECHNOLOGY INC USD 182, , BIOMARIN PHARMACEUTICAL INC USD 235, , INCYTE CORP USD 95, , NOVARTIS AG-REG CHF 1,935, , ROCHE HOLDING AG-GENUSSCHEIN CHF 1,735, , UNITEDHEALTH GROUP INC USD 303, Banks 4,487, , BANK OF AMERICA CORP USD 146, , BANK OF THE OZARKS USD 199, , BGEO GROUP PLC GBP 297, , BNP PARIBAS 484, , CITIZENS FINANCIAL GROUP USD 202, , FIRST REPUBLIC BANK/SAN FRAN USD 611, , GOLDMAN SACHS GROUP INC USD 340, , JPMORGAN CHASE & CO USD 163, , KEYCORP USD 225, , MORGAN STANLEY USD 400, , REGIONS FINANCIAL CORP USD 204, , SOCIETE GENERALE 373, Auto Parts & Equipment 3,649, , ASTEC INDUSTRIES INC USD 191, , CIE AUTOMOTIVE SA 555, , FIAT CHRYSLER AUTOMOBILES NV 823, KOMAX HOLDING AG-REG CHF 187, , MICHELIN (CGDE) 211, , VALEO SA 491, Electric & Electronic 2,460, , ADVANCED MICRO DEVICES USD 215, , ASML HOLDING NV 533, , BROADCOM SHS USD 335, , LAM RESEARCH CORP USD 400, , MICROCHIP TECHNOLOGY INC USD 425, , NVIDIA CORP USD 177, Food services 2,087, , ANHEUSER-BUSCH INBEV SA/NV 251, , GLENALTA FOOD SPA 104, , MONSTER BEVERAGE CORP USD 189, , NESTLE SA-REG CHF 1,533, Building materials 2,077, , APOGEE ENTERPRISES INC USD 203, , CRH PLC GBP 248, , INSTALLED BUILDING PRODUCTS USD 195, , MARTIN MARIETTA MATERIALS USD 210, , PANARIAGROUP INDUSTRIE CERAM 484, , PATRICK INDUSTRIES INC USD 180, SUMMIT MATERIALS INC -CL A USD 2, , TREVI FINANZIARIA INDUSTRIAL 98, , VEIDEKKE ASA NOK 119, , VULCAN MATERIALS CO USD 177, Energy 1,920, , ENI SPA 232, , GALP ENERGIA SGPS SA 212, , MARATHON OIL CORP USD 131, , ROYAL DUTCH SHELL PLC-A SHS 467, , TOTAL SA 243, ,287, Internet AMAZON.COM INC USD 319, , FACEBOOK INC-A USD 218, , NETFLIX INC USD 234, , PAYSAFE GROUP PLC GBP 260, , VIPSHOP HOLDINGS LTD - ADR USD 208, Computer software 1,242, , CDK GLOBAL INC -W/I USD 198, , PAYCOM SOFTWARE INC USD 215, , PITECO SPA 68, , PRIMI SUI MOTORI SPA 131, , TEMENOS GROUP AG-REG CHF 396, Insurance 1,011, , AIRBUS SE 219, , ASSICURAZIONI GENERALI 423, , THALES SA 184, Distribution & Wholesale 827, , ROSS STORES INC USD 373, , SALVATORE FERRAGAMO SPA 224, Chemical 597, , HALLIBURTON CO USD 538, Oil Services 538, , APACHE CORP USD 391, , NOBLE ENERGY INC USD 144, Telecommunication 535, , ARRIS INTERNATIONAL PLC USD 142, , TELECOM ITALIA SPA 167, , UBIQUITI NETWORKS INC USD 219, Biotechnology 529, , CELGENE CORP USD 438, Computer hardware 438, , APPLE INC USD 384, Textile 384, , LVMH MOET HENNESSY LOUIS VUI 272, Metal 272, , ARCELORMITTAL 21, , GLENCORE PLC GBP 194, Transportation 215, , SOUTHWEST AIRLINES CO USD 212, Storage & Warehousing 212, , RPC GROUP PLC GBP 199, Open-ended Funds Undertakings for collective investment 199, ,977, , EMERALD O INV GD BD-I CAP 1,842, , LYXOR ETF DAILYX2 SHORT BTP 238, , LYXOR ETF SGI DLY DBLE SH BD 482, , MORGAN ST INV F- CRP B-A O 623,

64 Securities Portfolio as at December 31, 2016 AZ MULTI ASSET AZ Multi Asset - World Trading () Quantity/ Nominal Name Currency Market value % NAV 2, PICTET SIC - CORP BONDS-I-CAP 506, ,692, ,692, Warrants Financial services 5, GLENALTA FOOD SPA CW 26/10/20 GLENALTA F 6, , , Rights Diversified services 10, GLENALTA FOOD S.P.A. RTS 27/01/ Total securities portfolio 28,677, Financial derivative instruments as at December 31, 2016 Quantity Name Currency Commitment Unrealised appreciation / (depreciation) Futures 3.00 NIKKEI 225 (OSE) 09/03/2017 JPY 465, , , Total Futures 9, Purchase Sale Maturity Date Commitment Unrealised appreciation / (depreciation) Forward foreign exchange contracts 5,775, ,261, CHF 09/03/17 5,775, (69,765.95) 600, GBP 669, /03/17 669, , ,000, JPY 993, /03/17 993, (50,781.09) 3,000, USD 2,715, /03/17 2,715, , ,795, ,388, GBP 09/03/17 2,795, , ,008, ,000, JPY 09/03/17 1,008, , ,766, ,500, USD 09/03/17 13,766, (895,899.62) (794,829.01) Total Forward foreign exchange contracts (794,829.01) Total financial derivative instruments (784,830.70) Summary of net assets Total securities portfolio Total financial derivative instruments Cash at bank Other assets and liabilities Total net assets % NAV 28,677, (784,830.70) (2.17) 9,156, (887,790.94) (2.46) 36,160,

65 AZ Multi Asset - World Trading () Portfolio Breakdowns Nature allocation % of portfolio % of net assets Shares Undertakings for collective investment Other Country allocation % of portfolio % of net assets United States Switzerland Luxembourg France Netherlands Italy United Kingdom Other Top Ten Holdings (% of net assets) Top Ten Holdings (% of net assets) Sector Market value % of net assets NOVARTIS AG-REG Cosmetics 1,935, EMERALD O INV GD BD-I CAP Open-ended Funds 1,842, ROCHE HOLDING AG-GENUSSCHEIN Cosmetics 1,735, NESTLE SA-REG Food services 1,533, FIAT CHRYSLER AUTOMOBILES NV Auto Parts & 823, Equipment MORGAN ST INV F- CRP B-A O Open-ended Funds 623, FIRST REPUBLIC BANK/SAN FRAN Banks 611, CIE AUTOMOTIVE SA Auto Parts & 555, Equipment HALLIBURTON CO Chemical 538, ASML HOLDING NV Electric & Electronic 533,

66 AZ Multi Asset - Algo Equity Strategies* () Statement of Operations Net Assets and as at Changes December in Net 31, Assets 2016 for the Statement of Operations and Changes in Net Assets for year ended December 31, 2016 the year ended December 31, 2016 Notes Notes Assets Investment in securities at cost 18,132, Unrealised appreciation / (depreciation) on securities 421, Investment in securities at market value 3.c 18,554, Cash at bank 3,116, Receivable for investment sold 1,901, Receivable on Fund shares sold 414, Dividends and interest receivable 62, Total assets 24,049, Liabilities Investment in option at market value 3.e 1, Bank overdraft 2, Accrued expenses 139, Payable on fund shares repurchased Net unrealised depreciation on futures contracts 3.f 41, Total liabilities 185, Net assets at the end of the year 23,863, * Refer to Note 1 for more details Income Dividends (net of withholding taxes) 3.i 26, Interest on bonds (net) 3.i 263, Bank interest Other income 1, Total income 292, Expenses Investment management fees 4 279, Custodian fees 6 13, Performance fees 5 114, Administration fees 7 24, Professional fees 22, Distribution fees 57, Transaction costs 11 62, Taxe d'abonnement 8 12, Bank interest and charges 17, Printing & Publication fees 1, Other expenses Total expenses 606, Net investment income / (loss) (314,421.77) Net realised gain / (loss) on: Investments (530,747.31) Foreign currencies transactions 91, Futures contracts 3.f (1,366,442.29) Net realised gain / (loss) for the year (2,119,983.62) Net change in unrealised appreciation / (depreciation) on: Investments 604, Futures contracts 3.f 192, Options and swaps 3.e,h 56, Increase / (Decrease) in net assets as a result of operations (1,266,776.06) Subscriptions 2 16,988, Redemptions (27,372,579.71) Net assets at the beginning of the year 35,515, Net assets at the end of the year 23,863, Statement of Changes in Number of Units in issue at the beginning of the year subscribed redeemed in issue at the end of the year A (O RETAIL) 7,275, ,610, (5,897,237.21) 4,989, B (O RETAIL) 11, , (955.95) 74,

67 Securities Portfolio as at December 31, 2016 Quantity/ Nominal Transferable securities admitted to an official exchange listing Government Name Bonds and other debt instruments 998, ITALY BTPS I/L 2.15% 13-12/11/2017 1,021, , MONTENEGRO REP 5.375% 14-20/05/ , ,000, US TREASURY N/B 0.5% 15-31/01/2017 USD 948, , US TREASURY N/B 0.625% 12-31/05/2017 USD 568, ,000, US TREASURY N/B 0.625% 14-15/02/2017 USD 948, , US TREASURY N/B 0.875% 14-15/05/2017 USD 664, ,300, US TREASURY N/B 0.875% 14-15/10/2017 USD 1,232, ,800, US TREASURY N/B 0.875% 15-30/11/2017 USD 2,654, ,000, US TREASURY N/B 4.5% 07-15/05/2017 USD 1,922, Auto Parts & Equipment AZ MULTI ASSET AZ Multi Asset - Algo Equity Strategies* () Currency Market value % NAV 10,065, , RCI BANQUE 4.25% 12-27/04/ , , VOLKSWAGEN INTFN 1.875% , /05/ , Energy 300, PETROBRAS INTL 4.875% 11-07/03/ , , Banks 100, GAZPROMBANK 3.984% 13-30/10/ , , UNICREDIT SPA 0% 12-31/10/ , , Entertainment 100, INTL GAME TECH 4.75% 15-15/02/ , , Metal 100, ARCELORMITTAL 3.125% 15-14/01/ , , Electric & Electronic 100, PRYSMIAN SPA 2.5% 15-11/04/ , , Financial services 100, INTL PERSONAL FI 5.75% 14-07/04/ , , ,679, Financial derivative instruments as at December 31, 2016 Quantity Name Futures Currency Commitment Unrealised appreciation / (depreciation) 5.00 AEX - AMSTERDAM EXCHANGES 483, , INDX 20/01/ CAC40 O FUT 20/01/2017 1,167, , CONS DISCRET SELECT SECT USD 389, (9,338.71) 17/03/ DAX INDEX - FUTURE 17/03/2017 1,146, , ENERGY SELECT SECTOR USD 428, (2,901.16) 17/03/ O FX CURR FUT (CME) USD 10,651, , /03/ O STOXX 50 - FUTURE 1,048, , /03/ FINANCIAL SELECT SECT 17/03/2017 USD 407, (1,351.03) 7.00 FTSE 100 INDEX 17/03/2017 GBP 578, , FTSEMIB INDEX - FTSE / MIB IN 480, (625.00) 17/03/ IBEX35 O 20/01/2017 1,024, , INDUSTRIAL SELECT SECTOR USD 412, (3,052.86) 17/03/ MATERIALS SELECT SECT USD 449, (5,432.57) 17/03/ MINI DOW JONES INDUS AVG 5$ USD 467, (1,204.08) 17/03/ NASDAQ E-MINI FUTURE 17/03/2017 USD 2,213, (30,682.15) 7.00 NIKKEI 225 (CME) 09/03/2017 USD 634, (995.50) OMX30 INDEX 20/01/2017 SEK 1,157, (13,212.26) RUSSELL 2000 MINI INDEX FUTURES USD 1,157, (2,498.22) 17/03/ SMI SWISS MARKET INDEX - FUTURE CHF 457, , /03/ S&P / TSE 60 IX FUTURE 16/03/2017 CAD 507, (5,244.44) 3.00 S&P MID 400 EMINI GLOBEX USD 471, (1,270.44) 17/03/ S&P 500 E-MINI FUTURE 17/03/2017 USD 11,660, (80,241.76) 4.00 S&P/ASX 200 INDEX (AS51) AUD 386, , /03/ TECHNOLOGY SELECT SECTOR USD 459, (4,607.73) 17/03/ US 2YR NOTE FUTURE (CBT) USD 4,725, (2,162.87) 31/03/2017 (41,093.92) Total Futures (41,093.92) Quantity Name Currency Commitment Market value Money market instruments Government 1,200, ITALY CTZS 0% 16-28/03/2018 1,202, , ITALY CTZS 0% 16-28/12/ , ,000, US TREASURY BILL 0% 16-02/02/2017 USD 1,895, ,598, ,598, Undertakings for collective investment Open-ended Funds 26, AMUNDI ETF FLOAT RATE USD CP 1,309, , AMUNDI ETF FLOAT RATE USD CP 524, , DB PHYSICAL GOLD O HEDGED 453, , ISHARES EM LOCAL GOVT 469, , ISHARES JP MORGAN USD EM BON 518, ,275, ,275, Total securities portfolio 18,554, Options (30.00) PUT FTSEMIB INDEX - FTSE 20/01/17 1,275, (1,725.00) (1,725.00) Total Options (1,725.00) Total financial derivative instruments (42,818.92) Summary of net assets Total securities portfolio Total financial derivative instruments Cash at bank Other assets and liabilities Total net assets % NAV 18,554, (42,818.92) (0.18) 3,113, ,238, ,863,

68 AZ Multi Asset - Algo Equity Strategies* () Portfolio Breakdowns Nature allocation % of portfolio % of net assets Bonds and other debt instruments Money market instruments Undertakings for collective investment Country allocation % of portfolio % of net assets United States Italy France Ireland Netherlands Jersey Other Top Ten Holdings (% of net assets) Top Ten Holdings (% of net assets) Sector Market value % of net assets US TREASURY N/B 0.875% 15-30/11/2017 Government 2,654, US TREASURY N/B 4.5% 07-15/05/2017 Government 1,922, US TREASURY BILL 0% 16-02/02/2017 Government 1,895, AMUNDI ETF FLOAT RATE USD CP Open-ended Funds 1,309, US TREASURY N/B 0.875% 14-15/10/2017 Government 1,232, ITALY CTZS 0% 16-28/03/2018 Government 1,202, ITALY BTPS I/L 2.15% 13-12/11/2017 Government 1,021, US TREASURY N/B 0.625% 14-15/02/2017 Government 948, US TREASURY N/B 0.5% 15-31/01/2017 Government 948, US TREASURY N/B 0.875% 14-15/05/2017 Government 664,

69 AZ Multi Asset - FLEX () Statement of Operations Net Assets and as at Changes December in Net 31, Assets 2016 for the Statement of Operations and Changes in Net Assets for year ended December 31, 2016 the year ended December 31, 2016 Notes Notes Assets Investment in securities at cost 388,285, Unrealised appreciation / (depreciation) on securities (2,496,532.93) Investment in securities at market value 3.c 385,789, Cash at bank 91,700, Receivable on Fund shares sold 6,849, Net unrealised appreciation on futures contracts 3.f 141, Dividends and interest receivable 147, Total assets 484,628, Liabilities Accrued expenses 1,539, Payable on fund shares repurchased 251, Total liabilities 1,791, Net assets at the end of the year 482,836, Income Dividends (net of withholding taxes) 3.i 333, Interest on bonds (net) 3.i 270, Bank interest Other income 72, Total income 676, Expenses Investment management fees 4 3,013, Custodian fees 6 33, Performance fees 5 1,638, Administration fees 7 46, Professional fees 177, Distribution fees 484, Transaction costs , Taxe d'abonnement 8 131, Bank interest and charges 23, Printing & Publication fees 2, Other expenses 9 4, Total expenses 5,824, Net investment income / (loss) (5,147,716.95) Net realised gain / (loss) on: Investments 4,477, Foreign currencies transactions 635, Futures contracts 3.f 15,273, Forward foreign exchange contracts 3.d (295,619.71) Net realised gain / (loss) for the year 14,943, Net change in unrealised appreciation / (depreciation) on: Investments 150, Futures contracts 3.f 141, Increase / (Decrease) in net assets as a result of operations 15,235, Subscriptions 2 457,838, Redemptions (29,473,782.46) Net assets at the beginning of the year 39,236, Net assets at the end of the year 482,836, Statement of Changes in Number of Units in issue at the beginning of the year subscribed redeemed in issue at the end of the year A (O RETAIL) 7,143, ,919, (4,626,611.16) 77,436, B (O RETAIL) 597, ,891, (781,997.84) 7,706,

70 Securities Portfolio as at December 31, 2016 AZ MULTI ASSET AZ Multi Asset - FLEX () Quantity/ Nominal Transferable securities admitted to an official exchange listing Banks Name Bonds and other debt instruments Currency Market value % NAV 25,000, BANK OF NY LUX 09-15/12/2050 CV FRN 11,812, ,319, MONTE DEI PASCHI 08-15/05/2018 FRN 6,893, ,706, ,706, Shares Financial services 800, AZIMUT HOLDING SPA 12,688, ,688, Internet 206, AXELERO SPA 603, , Food services 31, ITALIAN WINE BRANDS SPA 273, , Quantity Name Currency Commitment Unrealised appreciation / (depreciation) US 10YR NOTE FUT (CBT) 22/03/2017 USD 23,566, , , Total Futures 141, Total financial derivative instruments 141, Summary of net assets Total securities portfolio Total financial derivative instruments Cash at bank Other assets and liabilities Total net assets % NAV 385,789, , ,700, ,205, ,836, ,564, Warrants Tobacco & Alcohol 54, ITALIAN WINE BRANDS CW 31/12/49 IWB 29, , Other transferable securities 29, Money market instruments Government 25,000, ITALY BOTS 0% 16-12/05/ ,028, ,000, ITALY BOTS 0% 16-13/01/ ,005, ,000, ITALY BOTS 0% 16-13/01/2017 8,002, ,000, ITALY BOTS 0% 16-13/04/ ,029, ,000, ITALY BOTS 0% 16-13/10/ ,116, ,000, ITALY BOTS 0% 16-14/02/2017 8,002, ,000, ITALY BOTS 0% 16-14/02/ ,012, ,000, ITALY BOTS 0% 16-14/03/2017 8,007, ,000, ITALY BOTS 0% 16-14/03/ ,021, ,000, ITALY BOTS 0% 16-14/06/ ,035, ,000, ITALY BOTS 0% 16-14/07/ ,035, ,000, ITALY BOTS 0% 16-14/08/ ,071, ,000, ITALY BOTS 0% 16-14/09/ ,048, ,000, ITALY BOTS 0% 16-14/11/ ,124, ,000, US TREASURY BILL 0% 16-05/01/2017 USD 948, ,489, ,489, Total securities portfolio 385,789, Financial derivative instruments as at December 31, 2016 Quantity Name Currency Commitment Unrealised appreciation / (depreciation) Futures (144.00) O-BUND FUTURE 08/03/ ,637, (23,040.00) (200.00) FTSEMIB INDEX - FTSE / MIB IN 19,205, (440,000.00) 17/03/2017 (450.00) S&P 500 E-MINI FUTURE 17/03/2017 USD 47,703, , US LONG BOND FUT (CBT) USD 28,567, (5,925.57) 22/03/

71 AZ Multi Asset - FLEX () Portfolio Breakdowns Nature allocation % of portfolio % of net assets Money market instruments Bonds and other debt instruments Shares Warrants Country allocation % of portfolio % of net assets Italy Luxembourg United States Top Ten Holdings (% of net assets) Top Ten Holdings (% of net assets) Sector Market value % of net assets ITALY BOTS 0% 16-14/11/2017 Government 45,124, ITALY BOTS 0% 16-13/10/2017 Government 45,116, ITALY BOTS 0% 16-14/02/2017 Government 37,012, ITALY BOTS 0% 16-14/08/2017 Government 35,071, ITALY BOTS 0% 16-13/04/2017 Government 30,029, ITALY BOTS 0% 16-14/06/2017 Government 25,035, ITALY BOTS 0% 16-12/05/2017 Government 25,028, ITALY BOTS 0% 16-14/03/2017 Government 24,021, ITALY BOTS 0% 16-13/01/2017 Government 22,005, ITALY BOTS 0% 16-14/09/2017 Government 20,048,

72 AZ Multi Asset - Romeo () Statement of Operations Net Assets and as at Changes December in Net 31, Assets 2016 for the Statement of Operations and Changes in Net Assets for year ended December 31, 2016 the year ended December 31, 2016 Notes Notes Assets Investment in securities at cost 193,034, Unrealised appreciation / (depreciation) on securities 5,344, Investment in securities at market value 3.c 198,378, Cash at bank 8,094, Receivable for investment sold 461, Receivable on Contracts for Difference 25, Net unrealised appreciation on forward foreign exchange 3.d 2, contracts Dividends and interest receivable Total assets 206,963, Liabilities Accrued expenses 102, Payable for investment purchased 2,000, Net unrealised depreciation on futures contracts 3.f 87, Net unrealised depreciation on Total Return Swap 3.h 17, Net unrealised depreciation on Contracts for Difference 3.g 122, Total liabilities 2,330, Net assets at the end of the year 204,633, Income Dividends (net of withholding taxes) 3.i 251, Bank interest 1, Income on Swaps and Contracts for Difference 320, Other income 433, Total income 1,007, Expenses Investment management fees 4 469, Custodian fees 6 12, Performance fees 5 45, Administration fees 7 27, Professional fees 8, Transaction costs , Taxe d'abonnement 8 5, Bank interest and charges 29, Expenses on swaps and Contracts for Difference 96, Printing & Publication fees 1, Other expenses Total expenses 805, Net investment income / (loss) 202, Net realised gain / (loss) on: Investments 505, Foreign currencies transactions 141, Futures contracts 3.f (721,552.91) Options and swaps 3.e,h (142,100.02) Contract for Difference 3.g (298,095.03) Net realised gain / (loss) for the year (312,701.53) Net change in unrealised appreciation / (depreciation) on: Investments 3,506, Futures contracts 3.f (16,018.56) Forward foreign exchange contracts 3.d 2, Options and swaps 3.e,h 91, Contract for Difference 3.g 295, Increase / (Decrease) in net assets as a result of operations 3,568, Subscriptions 2 75,000, Redemptions (21,002.31) Dividend distribution 15 (1,590,757.40) Net assets at the beginning of the year 127,676, Net assets at the end of the year 204,633, Statement of Changes in Number of Units in issue at the beginning of the year subscribed redeemed in issue at the end of the year A (O DIS) 25,679, ,152, (4,245.42) 40,828,

73 Securities Portfolio as at December 31, 2016 AZ MULTI ASSET AZ Multi Asset - Romeo () Quantity/ Nominal Transferable securities admitted to an official exchange listing Open-ended Funds Name Undertakings for collective investment Currency Market value % NAV 3, ALLIANZ-VOLATILITY STR-IT 4,018, , AMUNDI-ABS VOL WLD EQY-IHEC 3,705, , AXA IM FIIS-US SHDUR-HY-AC-H- 7,044, ,011, AZ FD 1-ARBITRAGE-A-INST--ACC 10,058, ,398, AZ FD 1-CORE BRANDS-A-INST--ACC 6,830, ,747, AZ FUND 1-INSTITUT TARGET-A 10,199, , AZ MULTI ASSET- INST. OPE D ICA 3,999, CAP 1,031, AZ MULTI ASSET- INST T- A E 6,008, , BGF-ASIAN TIGER BOND-D2H 4,886, , BGF-WORLD BOND FUND-D2 H 13,028, , CANDR BONDS-HIGH SPREAD-I-C 4,013, , DBX II IBX GLOBAL INFL 2,256, , IZON EASYFND-BND HI YL-Z 7,390, EXANE OVERDRIVE FUND-A 5,862, EXANE 1 CERES A CAP 2,289, , FUNDSMITH EQUITY FUND-I ACC GBP 2,316, , GAM STAR CREDIT OPP-INST 3,088, , GAM STAR DIVER ALT- I A 1,981, , GAM STAR-CAT BOND FUND-INAC 6,043, , GAM STAR-MBS TOT RT-I HD 4,003, , HELIUM FUND-HELIUM PERF-S 10,387, , HENDERSON GART-UK AB RE-RAH 4,092, , INVESCO GLB TARGET RET-AC 5,052, , ISHARES CORE MSCI WORLD UCITS 1,678, , ISHARES EPRA ASIA PROPTY YLD 461, , ISHARES GOLD PRODUCERS USD 173, , ISHARES US MORTGAGE BACKED SEC USD 462, , JB MULTILABEL-ARTEMIDE- C 3,694, , LFIS VIS PREMIA-IS 6,036, , LGT-CAT BD- B2 5,999, , LYX USD 10Y INFL BREAKEVEN 1,967, , LYXOR ABSOLUTE RETN MA 8-I 6,537, , LYXOR EPSILON GLOBAL TR-I 3,749, , LYXOR ETF RUSSIA DOW JONES R 322, , LYXOR/WNT FD-EB ACC 1,218, , MLIS-MARSHALL WAC TP U F-BA 3,317, , MORGAN ST-GBL INFRAST-ZUSD USD 1,861, , NORDEA 1 SIC-STAB RET-BI 8,962, , RUFFER SICAV-TOT RET IN-CC 5,029, , SCHRODER GAIA CAT BD-IF HD 12,028, , SISF ASIAN TOT RET-CAUSD USD 5,239, , SOURCE ENERGY S&P US SECTOR 1,080, ,378, ,378, Total securities portfolio 198,378, Financial derivative instruments as at December 31, 2016 Quantity Name Currency Commitment Unrealised appreciation / (depreciation) Quantity Name Currency Commitment Unrealised appreciation / (depreciation) US 10YR NOTE FUT (CBT) 22/03/2017 USD 5,891, (2,962.98) (87,471.11) Total Futures (87,471.11) Purchase Sale Maturity Date Commitment Unrealised appreciation / (depreciation) Forward foreign exchange contracts 476, , USD 03/01/17 476, , , Total Forward foreign exchange contracts 2, Name Maturity Date Currency Notional Unrealised appreciation / (depreciation) SGI Merger Arbitrage Index / IBOR 3M Total Return Swap 15/09/17 4,112, (17,683.00) (17,683.00) Total TRS (17,683.00) Name Currency Commitment Unrealised appreciation / (depreciation) CFD contract ETFS ALL COMMODITIES USD 2,506, , ETFS INDUSTRIAL METALS USD 400, , GOLD BULLION SECURITIES LTD USD 1,043, (95,901.78) ISHARES EM LOCAL GOV BOND USD 1,762, (101,242.20) ISHARES MARKIT IBOXX USD HIGH USD 985, (11,900.83) (122,733.45) Total swap CFD (122,733.45) Total financial derivative instruments (225,108.47) Summary of net assets Total securities portfolio Total financial derivative instruments Cash at bank Other assets and liabilities Total net assets % NAV 198,378, (225,108.47) (0.11) 8,094, (1,614,993.52) (0.79) 204,633, Futures O FX CURR FUT (CME) USD 8,771, , /03/2017 (60.00) O STOXX 50 - FUTURE 1,966, (45,600.00) 17/03/ O STOXX 50 DVP (SX5ED) 3,369, , /12/ O STOXX 50 DVP (SX5ED) 931, , /12/2018 (70.00) O-BUND FUTURE 08/03/ ,490, (215,440.00) (10.00) HANG SENG INDEX 26/01/2017 HKD 1,342, (23,600.91) NIKKEI 225 (OSE) 09/03/2017 JPY 1,552, , (10.00) S&P 500 E-MINI FUTURE 17/03/2017 USD 1,060, ,

74 AZ Multi Asset - Romeo () Portfolio Breakdowns Nature allocation % of portfolio % of net assets Undertakings for collective investment Country allocation % of portfolio % of net assets Luxembourg Ireland Other Top Ten Holdings (% of net assets) Top Ten Holdings (% of net assets) Sector Market value % of net assets BGF-WORLD BOND FUND-D2 H Open-ended Funds 13,028, SCHRODER GAIA CAT BD-IF HD Open-ended Funds 12,028, HELIUM FUND-HELIUM PERF-S Open-ended Funds 10,387, AZ FUND 1-INSTITUT TARGET-A Open-ended Funds 10,199, AZ FD 1-ARBITRAGE-A-INST--ACC Open-ended Funds 10,058, NORDEA 1 SIC-STAB RET-BI Open-ended Funds 8,962, IZON EASYFND-BND HI YL-Z Open-ended Funds 7,390, AXA IM FIIS-US SHDUR-HY-AC-H- Open-ended Funds 7,044, AZ FD 1-CORE BRANDS-A-INST--ACC Open-ended Funds 6,830, LYXOR ABSOLUTE RETN MA 8-I Open-ended Funds 6,537,

75 AZ Multi Asset - MAMG Global Sukuk* (in USD) Statement of Operations Net Assets and as at Changes December in Net 31, Assets 2016 for the Statement of Operations and Changes in Net Assets for year ended December 31, 2016 the year ended December 31, 2016 Notes USD Notes USD Assets Investment in securities at cost 130,878, Unrealised appreciation / (depreciation) on securities (2,434,076.03) Investment in securities at market value 3.c 128,444, Cash at bank 3,090, Receivable on Fund shares sold 1,054, Interests receivable on Bonds 988, Total assets 133,578, Liabilities Accrued expenses 39, Total liabilities 39, Net assets at the end of the year 133,538, * Refer to Note 1 for more details Income Interest on securities lending 5,847, Total income 5,847, Expenses Investment management fees 4 24, Custodian fees 6 22, Administration fees 7 171, Professional fees 7, Transaction costs 11 14, Taxe d'abonnement 8 63, Bank interest and charges 10, Printing & Publication fees 1, Other expenses 9 2, Total expenses 318, Net investment income / (loss) 5,529, Net realised gain / (loss) on: Investments (2,253,259.09) Foreign currencies transactions (156,075.47) Forward foreign exchange contracts 3.d (83,277.91) Net realised gain / (loss) for the year 3,036, Net change in unrealised appreciation / (depreciation) on: Investments 1,028, Forward foreign exchange contracts 3.d 6, Increase / (Decrease) in net assets as a result of operations 4,072, Subscriptions 2 30,569, Redemptions (36,563,650.91) Net assets at the beginning of the year 135,460, Net assets at the end of the year 133,538, Statement of Changes in Number of Units in issue at the beginning of the year subscribed redeemed in issue at the end of the year A (USD DIS) 733, , (720,370.81) 101, MASTER (O DIS) 18,442, ,046, (4,482,556.18) 18,006, A-ME (USD ACC) - 10, , A-ME (USD DIS) - 10, ,

76 Securities Portfolio as at December 31, 2016 AZ MULTI ASSET AZ Multi Asset - MAMG Global Sukuk* (in USD) Quantity/ Nominal Name Currency Market value % in USD NAV Quantity/ Nominal Name Currency Market value % in USD NAV Transferable securities admitted to an official exchange listing Banks Bonds and other debt instruments 2,750, ADIB CAPITAL 12-29/10/2049 FRN USD 2,852, ,250, AHB SUKUK CO 3.267% 13-08/10/2018 USD 1,269, ,450, AHB TIER 1 SUKUK 14-29/06/2049 FRN USD 4,449, , ASYA SUKUK CO 13-28/03/2023 FRN USD 32, ,310, BEREKET VARLIK 6.25% 14-30/06/2019 USD 3,293, ,500, BOUBYAN TIER /12/2049 USD 2,593, ,000, DIB SUKUK LTD 2.921% 15-03/06/2020 USD 989, , DIB SUKUK LTD 3.6% 16-30/03/2021 USD 504, ,400, DIB SUKUK LTD 4.752% 12-30/05/2017 USD 1,417, ,500, DIB TIER 1 SUKUK 13-29/03/2049 FRN USD 2,571, ,300, DIB TIER 1 SUKUK 15-29/07/2049 FRN USD 4,458, , EIB SUKUK LTD 3.542% 16-31/05/2021 USD 503, , EIB SUKUK LTD 4.147% 12-11/01/2018 USD 509, , EXPORT-IMPORT 2.874% 14-19/02/2019 USD 200, , KT KIRA SERT 5.136% 16-02/11/2021 USD 503, , KT KIRA SERT 5.162% 14-26/06/2019 USD 301, ,500, NOOR SUKUK 2.788% 15-28/04/2020 USD 2,471, ,710, NOOR TIER1 SUKUK 16-29/12/2049 USD 1,734, ,300, QIB SUKUK LTD 2.754% 15-27/10/2020 USD 2,290, ,000, SIB SUKUK CO III 2.843% 15-17/03/2020 USD 2,976, , SIB SUKUK CO III 2.95% 13-16/04/2018 USD 531, ,700, SIB SUKUK CO III 3.084% 16-08/09/2021 USD 1,683, , TF VRLIK KIRLAMA 5.375% 14-24/04/2019 USD 818, Government 38,957, , DANGA CAPITAL BH 3.035% 16-01/03/2021 USD 594, , DUBAI DOF SUKUK 3.875% 13-30/01/2023 USD 455, , DUBAI DOF SUKUK 5% 14-30/04/2029 USD 528, , HAZINE MUSTESARL 2.803% 12-26/03/2018 USD 693, ,000, HAZINE MUSTESARL 4.251% 16-08/06/2021 USD 1,937, ,050, HAZINE MUSTESARL 4.489% 14-25/11/2024 USD 1,891, , HAZINE MUSTESARL 4.557% 13-10/10/2018 USD 808, ,250, HONG KONG SUKUK 2.005% 14-18/09/2019 USD 4,253, ,600, MALAYSIA INVEST 4.444% 13-22/05/2024 MYR 357, , MALAYSIA SOVEREI 3.043% 15-22/04/2025 USD 721, ,000, OMAN INTRNL BOND 3.5% 16-14/07/2022 USD 998, ,300, PERUSAHAAN PENER 4.35% 14-10/09/2024 USD 2,312, , PERUSAHAAN PENER 6.125% 13- USD 807, /03/2019 1,250, RAK CAPITAL 3.094% 15-31/03/2025 USD 1,210, ,500, RAK CAPITAL 3.297% 13-21/10/2018 USD 1,523, ,500, REP OF PAKISTAN 6.75% 14-03/12/2019 USD 1,588, , REP OF SENEGAL 6.25% 14-18/07/2018 XAF 265, ,000, SBSN INDO III 3.4% 16-29/03/2021 USD 997, , SBSN INDO III 4.55% 16-29/03/2026 USD 503, , SHARJAH SUKUK 3.764% 14-17/09/2024 USD 308, ,000, SHARJAH SUKUK 3.839% 16-27/01/2021 USD 1,035, ,375, SOQ SUKUK A Q.S % 12-18/01/2023 USD 2,426, ,000, THRD PKSTN SUKUK 5.5% 16-13/10/2021 USD 1,019, ,000, UK SUKUK 2.036% 14-22/07/2019 GBP 3,876, ,250, ZAR SOVEREIGN CP 3.903% 14-24/06/2020 USD 3,292, ,409, Financial services 3,500, DIFC SUKUK 4.325% 14-12/11/2024 USD 3,604, ,500, ICD SUKUK CO LTD 3.508% 14-21/05/2020 USD 1,493, ,000, IILM % 16-22/02/2017 USD 5,000, ,200, JAFZ SUKUK 7% 12-19/06/2019 USD 2,409, ,000, JANY SUKUK 2.844% 14-23/09/2019 USD 1,001, ,890, MUMTALAKAT 4% 14-25/11/2021 USD 3,729, ,238, Real estate 2,500, ALPHA STAR HOLDI 4.97% 14-09/04/2019 USD 2,440, ,500, DIP SUKUK LTD 4.291% 14-20/02/2019 USD 2,540, ,232, EMAAR SUKUK LTD 6.4% 12-18/07/2019 USD 1,337, ,750, EMG SUKUK LTD 4.564% 14-18/06/2024 USD 2,824, ,000, EZDAN SUKUK 4.375% 16-18/05/2021 USD 1,985, , SABANA SUKUK PTE 4.25% 14-03/04/2019 SGD 480, ,500, SUKUK FUND NO % 13-03/12/2018 USD 2,575, ,183, Transportation 2,059, AL SHINDAGHA SUK 3.776% 14-26/11/2019 USD 2,072, , DP WORLD SUKUK 6.25% 07-02/07/2017 USD 766, ,280, GARUDA ID SUKUK 5.95% 15-03/06/2020 USD 2,317, ,000, UNITY 1 SUKUK LT 3.86% 16-30/11/2021 USD 2,021, ,178, Energy 500, DEWA SUKUK % 13-05/03/2018 USD 504, , PETRONAS SUKUK 2.707% 15-18/03/2020 USD 199, ,300, SAUDI ELEC GLO C 4% 14-08/04/2024 USD 1,337, , SAUDI ELEC GLOBA 3.473% 13-08/04/2023 USD 202, ,250, SAUDI ELEC GLOBA 5.06% 13-08/04/2043 USD 2,176, ,000, TNB GLOBAL VC 3.244% 16-19/10/2026 USD 933, ,354, Diversified services 1,300, DP WORLD CRESCEN 3.908% 16-31/05/2023 USD 1,299, ,574, GEMS MEA SUKUK 13-29/11/2049 FRN USD 2,792, ,091, Telecommunication 500, AXIATA SPV % 15-19/11/2020 USD 505, ,500, OOREDOO TAMWEEL 3.039% 13- USD 1,523, /12/2018 2,028, Supranational organisation 2,000, APICORP SUKUK 2.383% 15-28/10/2020 USD 1,974, ,974, ,416, Mortgage backed securities Transportation 870, KHADRAWY LTD 2.471% 15-31/03/2025 USD 869, ,032, MEDJOOL LTD 3.875% 13-19/03/2023 USD 2,036, ,906, Insurance 123, SALAM III LTD 7% 14-31/03/2019 USD 122, , ,028, Total securities portfolio 128,444, Summary of net assets Total securities portfolio Cash at bank Other assets and liabilities Total net assets % NAV 128,444, ,090, ,003, ,538,

77 AZ Multi Asset - MAMG Global Sukuk* (in USD) Portfolio Breakdowns Nature allocation % of portfolio % of net assets Bonds and other debt instruments Mortgage backed securities Country allocation % of portfolio % of net assets Cayman Islands Turkey United Arab Emirates Luxembourg Indonesia Hong Kong United Kingdom Malaysia South Africa Pakistan Other Top Ten Holdings (% of net assets) Top Ten Holdings (% of net assets) Sector Market value % of net USD assets IILM % 16-22/02/2017 Financial services 5,000, DIB TIER 1 SUKUK 15-29/07/2049 FRN Banks 4,458, AHB TIER 1 SUKUK 14-29/06/2049 FRN Banks 4,449, HONG KONG SUKUK 2.005% 14-18/09/2019 Government 4,253, UK SUKUK 2.036% 14-22/07/2019 Government 3,876, MUMTALAKAT 4% 14-25/11/2021 Financial services 3,729, DIFC SUKUK 4.325% 14-12/11/2024 Financial services 3,604, BEREKET VARLIK 6.25% 14-30/06/2019 Banks 3,293, ZAR SOVEREIGN CP 3.903% 14-24/06/2020 Government 3,292, SIB SUKUK CO III 2.843% 15-17/03/2020 Banks 2,976,

78 AZ Multi Asset - CGM Valor Flexible Strategies Fund () Statement of Operations Net Assets and as at Changes December in Net 31, Assets 2016 for the Statement of Operations and Changes in Net Assets for year ended December 31, 2016 the year ended December 31, 2016 Notes Notes Assets Investment in securities at cost 36,521, Unrealised appreciation / (depreciation) on securities 903, Investment in securities at market value 3.c 37,425, Investment in option at market value 3.e 16, Cash at bank 625, Total assets 38,066, Liabilities Bank overdraft 1, Accrued expenses 61, Payable on fund shares repurchased 13, Total liabilities 76, Net assets at the end of the year 37,990, Income Dividends (net of withholding taxes) 3.i 48, Bank interest 0.03 Other income 162, Total income 210, Expenses Investment management fees 4 534, Custodian fees 6 8, Administration fees 7 28, Professional fees 5, Transaction costs 11 23, Taxe d'abonnement 8 5, Bank interest and charges 17, Printing & Publication fees 55, Other expenses 9 84, Total expenses 764, Net investment income / (loss) (553,911.42) Net realised gain / (loss) on: Investments (780,071.99) Foreign currencies transactions 4, Futures contracts 3.f (210,641.21) Options and swaps 3.e,h (193,504.17) Net realised gain / (loss) for the year (1,733,196.37) Net change in unrealised appreciation / (depreciation) on: Investments 629, Futures contracts 3.f 32, Options and swaps 3.e,h (43,367.19) Increase / (Decrease) in net assets as a result of operations (1,113,967.29) Subscriptions 2 23,207, Redemptions (27,913,102.05) Net assets at the beginning of the year 43,810, Net assets at the end of the year 37,990, Statement of Changes in Number of Units in issue at the beginning of the year subscribed redeemed in issue at the end of the year A (O) 8,748, ,749, (5,753,372.75) 7,744,

79 Securities Portfolio as at December 31, 2016 AZ MULTI ASSET AZ Multi Asset - CGM Valor Flexible Strategies Fund () Quantity/ Nominal Name Currency Market value % NAV Quantity Name Currency Commitment Market value Transferable securities admitted to an official exchange listing Open-ended Funds Undertakings for collective investment ABER GL II-CONVER -I2A 374, , AXA WF-O INFL BND-IC 785, , BLACKROCK O SPECSITUATION EXT 766, A/2 5, BLACKROCK FIXED INC STRAT-D2 672, , BLACKROCK ST-EU DIV E AR-D2 491, , BLUEBAY INV GR AGG BD-R 560, , CHEYNE GLOBAL CREDIT-GC-D1 924, DORVAL CONVICTIONS-I 920, EDMOND DE ROTH- CON-K 107, , EMERALD O INV GD BD-I CAP 1,490, , FIDELITY FDS-GLOBAL IL-YACC 604, , FIDELITY FNDS-GLO FIN-Y ACC 589, , FIDELITY-O BALANCED-Y ACE 1,329, , GAM STAR-CAT BOND FUND-INAC 515, , GLG INV VI- EQT ALT-DN 607, , HENDERSON GART-UK AB RE-RAH 348, , HI NUMEN CREDIT FUND- DM2 462, , HI PRINCIPIA FUND- DM 327, , INVESCO OPEAN BOND FD.CL A 763, , INVESCO PAN HI INCOM-AA 1,623, , INVESCO PAN STRUC EQTY-A 815, , ISHARES HY CORP 1,042, , ISHARES S&P 500 UCITS ETF USD 1,024, , JB MULTILABEL-ARTEMIDE- C 523, , JUPITER DYNAMIC IC SHS-I ACC CAP 600, , LYXOR EPSILON GLOBAL TR-I 474, , MAN AHL TREND-A 491, , M&G OPEAN HI YLD--A-ACC 1,197, , M&G GLOBAL CONVERTIBLE-AHA 710, , MLIIF OPEAN BOND REG SHS A2 503, , MORGAN ST INV F-GLB BRNDS-ZH 707, , MUZINICH LONG SHORT- NR 505, , NORDEA 1 SIC-STAB RET-BI 1,026, , NORDEA 1-O FIN DEBT-BP 1,004, , NORDEA 1-FLEXIBLE FI-BI 563, , NORDEA 1-STABLE EQTY L/S-BI 357, , OLD MUT GB EQY ABS RE-AHD 477, , PICTET-SECURITY-I 1,020, , PIMCO GIS-INCOME FUND-INSHA 1,402, , PIMCO-GL REAL RTN-INS EHD IN 607, QUAESTIO GLOBAL CREDIT-A 723, QUAESTIO GLOBAL EQUITY-A 993, , SEB FUND 1- SEB ASSET SEL-C 495, , SISF O CORPORATE BOND A 698, , THREAD FOCUS-CRED OPP-RGA 1,327, , UBS ETF BARC TIPS 1-10 USD 600, , UBS ETF MSCI EMU UCITS A 854, , UBS IRL-EQTY OPP L/S-Q PF 451, , UBS LUX BD- CP -Q ACC 537, , VONTOBEL O BD J CAP 710, , VONTOBEL-GLOB CONV BOND-A 710, ,425, Options PUT O-BUND FUTURE 24/02/2017 4,830, , , Total Options 16, Total financial derivative instruments 16, Summary of net assets Total securities portfolio Total financial derivative instruments Cash at bank Other assets and liabilities Total net assets % NAV 37,425, , , (74,585.80) (0.19) 37,990, ,425, Total securities portfolio 37,425,

80 AZ Multi Asset - CGM Valor Flexible Strategies Fund () Portfolio Breakdowns Nature allocation % of portfolio % of net assets Undertakings for collective investment Country allocation % of portfolio % of net assets Luxembourg Ireland United Kingdom France Top Ten Holdings (% of net assets) Top Ten Holdings (% of net assets) Sector Market value % of net assets INVESCO PAN HI INCOM-AA Open-ended Funds 1,623, EMERALD O INV GD BD-I CAP Open-ended Funds 1,490, PIMCO GIS-INCOME FUND-INSHA Open-ended Funds 1,402, FIDELITY-O BALANCED-Y ACE Open-ended Funds 1,329, THREAD FOCUS-CRED OPP-RGA Open-ended Funds 1,327, M&G OPEAN HI YLD--A-ACC Open-ended Funds 1,197, ISHARES HY CORP Open-ended Funds 1,042, NORDEA 1 SIC-STAB RET-BI Open-ended Funds 1,026, ISHARES S&P 500 UCITS ETF USD Open-ended Funds 1,024, PICTET-SECURITY-I Open-ended Funds 1,020,

81 AZ Multi Asset - CGM Valor Bond Strategies Fund () Statement of Operations Net Assets and as at Changes December in Net 31, Assets 2016 for the Statement of Operations and Changes in Net Assets for year ended December 31, 2016 the year ended December 31, 2016 Notes Notes Assets Investment in securities at cost 31,564, Unrealised appreciation / (depreciation) on securities 779, Investment in securities at market value 3.c 32,343, Investment in option at market value 3.e 27, Cash at bank 995, Total assets 33,367, Liabilities Bank overdraft 2, Accrued expenses 49, Payable on fund shares repurchased 1, Total liabilities 53, Net assets at the end of the year 33,313, Income Dividends (net of withholding taxes) 3.i 74, Other income 125, Total income 200, Expenses Investment management fees 4 393, Custodian fees 6 8, Administration fees 7 28, Professional fees 4, Transaction costs 11 24, Taxe d'abonnement 8 7, Bank interest and charges 16, Printing & Publication fees 49, Other expenses 9 74, Total expenses 607, Net investment income / (loss) (407,342.04) Net realised gain / (loss) on: Investments (68,488.22) Foreign currencies transactions 1, Futures contracts 3.f (347,948.74) Options and swaps 3.e,h 50, Net realised gain / (loss) for the year (771,947.35) Net change in unrealised appreciation / (depreciation) on: Investments 667, Futures contracts 3.f 32, Options and swaps 3.e,h (57,742.23) Increase / (Decrease) in net assets as a result of operations (129,035.77) Subscriptions 2 15,732, Redemptions (18,941,956.94) Net assets at the beginning of the year 36,651, Net assets at the end of the year 33,313, Statement of Changes in Number of Units in issue at the beginning of the year subscribed redeemed in issue at the end of the year A (O) 7,309, ,158, (3,809,313.36) 6,658,

82 Securities Portfolio as at December 31, 2016 AZ MULTI ASSET AZ Multi Asset - CGM Valor Bond Strategies Fund () Quantity/ Nominal Name Currency Market value % NAV Transferable securities admitted to an official exchange listing Open-ended Funds Undertakings for collective investment ABER GL II-CONVER -I2A 772, , AXA WF-O INFL BND-IC 874, , BLACKROCK FIXED INC STRAT-D2 852, , BLUEBAY INV GR AGG BD-R 494, , CANDR BONDS-HIGH SPREAD-I-C 904, , CHEYNE GLOBAL CREDIT-GC-D1 1,537, DNCA INVEST - CONVERTIBLES - AAC , EDMOND DE ROTH- CON-K 777, , EMERALD O INV GD BD-I CAP 1,881, , FIDELITY FDS-GLOBAL IL-YACC 805, , GAM STAR-CAT BOND FUND-INAC 1,285, , HI NUMEN CREDIT FUND- DM2 643, , INVESCO OPEAN BOND FD.CL A 1,020, ISHARES O AGG BOND UCI 104, , ISHARES HY CORP 1,436, , JUPITER DYNAMIC IC SHS-I ACC CAP 700, , M&G OPEAN HI YLD--A-ACC 1,639, , M&G GLOBAL CONVERTIBLE-AHA 1,074, , MLIIF OPEAN BOND REG SHS A2 999, , MUZINICH LONG SHORT- NR 1,008, , NORDEA 1-O FIN DEBT-BP 1,498, , NORDEA 1-FLEXIBLE FI-BI 660, , PIMCO GIS-INCOME FUND-INSHA 2,096, , PIMCO-GL REAL RTN-INS EHD IN 809, , QUAESTIO GLOBAL CREDIT-A 1,591, , SISF O CORPORATE BOND A 1,182, ,142, THREAD FOCUS-CRED OPP-RGA 1,533, , UBS ETF BARC TIPS 1-10 USD 900, , UBS LUX BD- CP -Q ACC 1,070, , VONTOBEL O BD J CAP 1,112, VONTOBEL O MID YIELD BD A1 DIS , VONTOBEL-GLOB CONV BOND-A 1,072, ,343, ,343, Total securities portfolio 32,343, Financial derivative instruments as at December 31, 2016 Quantity Name Currency Commitment Market value Options PUT O-BUND FUTURE 24/02/2017 8,050, , , Total Options 27, Total financial derivative instruments 27, Summary of net assets Total securities portfolio Total financial derivative instruments Cash at bank Other assets and liabilities Total net assets % NAV 32,343, , , (51,012.41) (0.15) 33,313,

83 AZ Multi Asset - CGM Valor Bond Strategies Fund () Portfolio Breakdowns Nature allocation % of portfolio % of net assets Undertakings for collective investment Country allocation % of portfolio % of net assets Luxembourg Ireland United Kingdom Top Ten Holdings (% of net assets) Top Ten Holdings (% of net assets) Sector Market value % of net assets PIMCO GIS-INCOME FUND-INSHA Open-ended Funds 2,096, EMERALD O INV GD BD-I CAP Open-ended Funds 1,881, M&G OPEAN HI YLD--A-ACC Open-ended Funds 1,639, QUAESTIO GLOBAL CREDIT-A Open-ended Funds 1,591, CHEYNE GLOBAL CREDIT-GC-D1 Open-ended Funds 1,537, THREAD FOCUS-CRED OPP-RGA Open-ended Funds 1,533, NORDEA 1-O FIN DEBT-BP Open-ended Funds 1,498, ISHARES HY CORP Open-ended Funds 1,436, GAM STAR-CAT BOND FUND-INAC Open-ended Funds 1,285, SISF O CORPORATE BOND A Open-ended Funds 1,182,

84 AZ Multi Asset - Asia Absolute () Statement of Operations Net Assets and as at Changes December in Net 31, Assets 2016 for the Statement of Operations and Changes in Net Assets for year ended December 31, 2016 the year ended December 31, 2016 Notes Notes Assets Investment in securities at cost 10,347, Unrealised appreciation / (depreciation) on securities 277, Investment in securities at market value 3.c 10,624, Cash at bank 3,884, Receivable for investment sold 138, Net unrealised appreciation on forward foreign exchange 3.d 105, contracts Net unrealised appreciation on Contracts for Difference 3.g 100, Dividends and interest receivable 21, Total assets 14,875, Liabilities Bank overdraft 1, Accrued expenses 15, Payable for money market instruments Payable on Contracts for Difference Net unrealised depreciation on futures contracts 3.f 158, Total liabilities 177, Net assets at the end of the year 14,697, Income Dividends (net of withholding taxes) 3.i 249, Interest on bonds (net) 3.i 110, Bank interest 10, Income on Swaps and Contracts for Difference Other income 4, Total income 374, Expenses Investment management fees 4 30, Custodian fees 6 17, Administration fees 7 57, Professional fees 9, Transaction costs , Taxe d'abonnement 8 8, Bank interest and charges 20, Expenses on swaps and Contracts for Difference 4, Printing & Publication fees Other expenses Total expenses 348, Net investment income / (loss) 26, Net realised gain / (loss) on: Investments 249, Foreign currencies transactions 269, Futures contracts 3.f (588,967.19) Forward foreign exchange contracts 3.d (1,855,267.07) Options and swaps 3.e,h (128,766.45) Contract for Difference 3.g 26, Net realised gain / (loss) for the year (2,000,431.29) Net change in unrealised appreciation / (depreciation) on: Investments 22, Futures contracts 3.f (167,371.79) Forward foreign exchange contracts 3.d 1,160, Contract for Difference 3.g 100, Increase / (Decrease) in net assets as a result of operations (884,192.63) Subscriptions 2 - Redemptions (4,532,100.00) Net assets at the beginning of the year 20,113, Net assets at the end of the year 14,697, Statement of Changes in Number of Units in issue at the beginning of the year 81 subscribed redeemed in issue at the end of the year A (O non hedged) 50, , A (O hedged) 700, (200,000.00) 500, MASTER (O hedged) 3,838, (878,955.17) 2,959, A (USD) 50, ,000.00

85 AZ Multi Asset - Asia Absolute () Statement of Changes in Number of Units in issue at the beginning of the year subscribed redeemed in issue at the end of the year B (SGD) 50, ,

86 Securities Portfolio as at December 31, 2016 Quantity/ Nominal Transferable securities admitted to an official exchange listing Internet Shares 16, CTRIP.COM INTERNATIONAL-ADR USD 637, , JD.COM INC-ADR USD 723, , TENCENT HOLDINGS LTD HKD 695, , VIPSHOP HOLDINGS LTD - ADR USD 260, Engineering & Construction AZ MULTI ASSET AZ Multi Asset - Asia Absolute () 2,317, ,600, AVICHINA INDUSTRY & TECH-H HKD 1,044, Cosmetics 1,044, , LG HOUSEHOLD & HEALTH CARE KRW 1,009, Diversified services 1,009, ,500, CHINA MAPLE LEAF EDUCATIONAL HKD 942, Computer software 942, , NETEASE INC-ADR USD 918, Electric & Electronic 918, , SK HYNIX INC KRW 807, Financial services 807, , IMAX CHINA HOLDING INC HKD 722, Office & Business equipment 722, ,000, PAX GLOBAL TECHNOLOGY LTD HKD 628, Telecommunication 628, , HTC CORP TWD 290, Banks Name Bonds and other debt instruments 290, ,681, , ICBC ASIA LTD 16-29/12/2049 USD 455, , IND & COMM BK OF 14-29/12/2049 FRN USD 496, Other transferable securities Currency Market value % NAV 952, , Shares Real estate 1,274, KEPPEL DC REIT SGD 990, , , Total securities portfolio 10,624, Financial derivative instruments as at December 31, 2016 Quantity Name Futures Currency Commitment Unrealised appreciation / (depreciation) HANG SENG INDEX 26/01/2017 HKD 4,028, , (25.00) KOSPI 200 INDEX 09/03/2017 KRW 2,551, (87,328.39) (300.00) SGX MSCI INDONESIA INDEX FUTU USD 3,501, (147,200.77) 30/01/2017 (158,957.33) Total Futures (158,957.33) Purchase Sale Maturity Date Commitment Unrealised appreciation / (depreciation) Forward foreign exchange contracts 2,050, ,180, USD 13/02/17 2,050, (13,113.88) 12,089, ,650, USD 23/02/17 12,089, , , Total Forward foreign exchange contracts 105, Name Currency Commitment Unrealised appreciation / (depreciation) CFD contract DBS GROUP HOLDINGS LTD 09/09/2058 SGD (227,588.92) 6, NAVER CORP KRW (608,355.06) 38, NEXTEER AUTOMOTIVE GROUP LTD HKD (393,756.15) 55, /10/ , Total swap CFD 100, Total financial derivative instruments 47, Summary of net assets Total securities portfolio Total financial derivative instruments Cash at bank Other assets and liabilities Total net assets % NAV 10,624, , ,883, , ,697,

87 AZ Multi Asset - Asia Absolute () Portfolio Breakdowns Nature allocation % of portfolio % of net assets Shares Bonds and other debt instruments Country allocation % of portfolio % of net assets China Hong Kong South Korea Singapor Taiwan United Kingdom Cayman Islands Top Ten Holdings (% of net assets) Top Ten Holdings (% of net assets) Sector Market value % of net assets AVICHINA INDUSTRY & TECH-H Engineering & 1,044, Construction LG HOUSEHOLD & HEALTH CARE Cosmetics 1,009, KEPPEL DC REIT Real estate 990, CHINA MAPLE LEAF EDUCATIONAL Diversified services 942, NETEASE INC-ADR Computer software 918, SK HYNIX INC Electric & Electronic 807, JD.COM INC-ADR Internet 723, IMAX CHINA HOLDING INC Financial services 722, TENCENT HOLDINGS LTD Internet 695, CTRIP.COM INTERNATIONAL-ADR Internet 637,

88 AZ Multi Asset - Sustainable Absolute Return* () Statement of Operations Net Assets and as at Changes December in Net 7, Assets 2016 for the Statement of Operations and Changes in Net Assets for period ended December 7, 2016 the period ended December 7, 2016 Notes Notes Assets Liabilities Net assets at the end of the period - * Refer to Note 1 for more details Income Dividends (net of withholding taxes) 3.i 323, Bank interest Income on Swaps and Contracts for Difference 235, Total income 559, Expenses Investment management fees 4 571, Custodian fees 6 11, Performance fees 5 23, Administration fees 7 35, Professional fees 5, Distribution fees 61, Transaction costs 11 61, Taxe d'abonnement 8 12, Bank interest and charges 48, Expenses on swaps and Contracts for Difference 3, Printing & Publication fees 1, Other expenses 9 23, Total expenses 859, Net investment income / (loss) (299,490.56) Net realised gain / (loss) on: Investments 279, Foreign currencies transactions 29, Futures contracts 3.f (529,589.64) Forward foreign exchange contracts 3.d (306,436.89) Contract for Difference 3.g (708,124.73) Net realised gain / (loss) for the period (1,535,118.00) Net change in unrealised appreciation / (depreciation) on: Investments (1,490,410.00) Futures contracts 3.f 196, Forward foreign exchange contracts 3.d 99, Contract for Difference 3.g (84,438.60) Increase / (Decrease) in net assets as a result of operations (2,813,856.73) Subscriptions 2 5,282, Redemptions (39,580,367.31) Dividend distribution 15 23, Net assets at the beginning of the period 37,088, Net assets at the end of the period - Statement of Changes in Number of Units Number of shares in issue at the beginning of the period subscribed redeemed Number of shares in issue at the end of the period A (O) 622, , (625,160.03) - A (O RETAIL DIS) 438, , (520,317.13) - A (O RETAIL) 6,544, ,067, (7,611,672.66) - 85

89 AZ Multi Asset - Sustainable Equity Trend* () Statement of Operations Net Assets and as at Changes December in Net 31, Assets 2016 for the Statement of Operations and Changes in Net Assets for period ended December 31, 2016 the period ended December 31, 2016 Notes Notes Assets Investment in securities at cost 33,229, Unrealised appreciation / (depreciation) on securities 1,954, Investment in securities at market value 3.c 35,184, Cash at bank 1,157, Receivable on Fund shares sold 217, Dividends and interest receivable 41, Prepaid expenses and other assets 2, Total assets 36,603, Liabilities Accrued expenses 98, Total liabilities 98, Net assets at the end of the period 36,504, * Refer to Note 1 for more details Income Dividends (net of withholding taxes) 3.i 73, Total income 73, Expenses Investment management fees 4 66, Custodian fees 6 1, Administration fees 7 5, Professional fees 8, Distribution fees 12, Transaction costs 11 36, Taxe d'abonnement 8 3, Bank interest and charges 2, Printing & Publication fees Other expenses Total expenses 137, Net investment income / (loss) (63,696.83) Net realised gain / (loss) on: Investments 154, Foreign currencies transactions (133,060.36) Forward foreign exchange contracts 3.d (1,533.67) Net realised gain / (loss) for the period (43,749.83) Net change in unrealised appreciation / (depreciation) on: Investments 1,954, Increase / (Decrease) in net assets as a result of operations 1,911, Subscriptions 2 35,476, Redemptions (882,410.69) Net assets at the beginning of the period - Net assets at the end of the period 36,504, Statement of Changes in Number of Units Number of shares in issue at the beginning of the period subscribed redeemed Number of shares in issue at the end of the period A (O RETAIL DIS) - 380, (3,723.93) 376, A (O RETAIL) - 6,663, (165,372.57) 6,497,

90 Securities Portfolio as at December 31, 2016 AZ MULTI ASSET AZ Multi Asset - Sustainable Equity Trend () Quantity/ Nominal Name Currency Market value % NAV Quantity/ Nominal Name Currency Market value % NAV Transferable securities admitted to an official exchange listing Cosmetics Shares 7, ABBVIE INC USD 433, , BEIERSDORF AG 354, , GILEAD SCIENCES INC USD 644, , GLAXOSMITHKLINE PLC GBP 254, , JOHNSON & JOHNSON USD 557, , LOREAL 208, , MEDTRONIC PLC USD 405, , NOVARTIS AG-REG CHF 366, , NOVO NORDISK A/S-B DKK 356, , ROCHE HOLDING AG-GENUSSCHEIN CHF 325, , SANOFI 315, , SHIRE PLC GBP 406, , UNILEVER NV-CVA 321, Distribution & Wholesale 4,949, , AUTOGRILL SPA 183, , CIE FINANCIERE RICHEMONT-REG CHF 245, , CVS HEALTH CORP USD 486, , ELECTROLUX AB-SER B SEK 330, , INDUSTRIA DE DISENO TEXTIL 175, , KIMBERLY-CLARK CORP USD 540, , NORDSTROM INC USD 349, , SOCIETE BIC SA 464, , SWATCH GROUP AG/THE-BR CHF 384, , TIFFANY & CO USD 389, , TJX COMPANIES INC USD 398, , WALGREENS BOOTS ALLIANCE INC USD 400, Energy 4,349, , ENI SPA 182, , ERG SPA 371, , GAS NATURAL SDG SA 186, , ITALGAS SPA 267, , NATIONAL GRID PLC GBP 321, , NESTE OYJ 175, , SNAM SPA 412, , STATOIL ASA NOK 247, , TOTAL SA 652, , VESTAS WIND SYSTEMS A/S DKK 277, Insurance 3,094, , ALLIANZ AG REG 204, , ALLSTATE CORP USD 541, , ASSICURAZIONI GENERALI 314, , AXA SA 316, , SOMPO HOLDINGS INC JPY 386, , TOKIO MARINE HOLDINGS INC JPY 354, Telecommunication 2,117, , BT GROUP PLC GBP 171, , CISCO SYSTEMS INC USD 532, , ERICSSON LM-B SHS SEK 330, , KDDI CORP JPY 505, , VODAFONE GROUP PLC GBP 383, Transportation 1,923, , CENTRAL JAPAN RAILWAY CO JPY 500, , EAST JAPAN RAILWAY CO JPY 418, , UNION PACIFIC CORP USD 412, , UNITED PARCEL SERVICE-CL B USD 402, Food services 1,733, , DANONE GROUPE 270, , HAIN CELESTIAL GROUP INC USD 170, , KROGER CO USD 389, , NESTLE SA-REG CHF 538, , SAINSBURY (J) PLC GBP 212, Electric & Electronic 1,581, , APPLIED MATERIALS INC USD 529, , KONINKLIJKE PHILIPS ELECTRONICS 217, , MINEBEA CO LTD JPY 346, , MURATA MANUFACTURING CO LTD JPY 381, Biotechnology 1,474, , AMGEN INC USD 415, , BIOGEN INC USD 483, , CELGENE CORP USD 406, Banks 1,305, , BNP PARIBAS 314, , NORTHERN TRUST CORP USD 540, , STATE STREET CORP USD 442, Auto Parts & Equipment 1,297, , CONTINENTAL AG 312, , CUMMINS INC USD 388, , MICHELIN (CGDE) 169, , ROCKWELL AUTOMATION INC USD 395, Financial services 1,265, , FRANKLIN RESOURCES INC USD 589, , JULIUS BAER GROUP LTD CHF 312, , T ROWE PRICE GROUP INC USD 342, Computer hardware 1,243, , APPLE INC USD 724, , QUALCOMM INC USD 506, Media 1,231, , TIME WARNER INC USD 530, , WALT DISNEY Co USD 543, Building materials 1,074, , BERKELEY GROUP HOLDINGS/THE GBP 378, , PERSIMMON PLC GBP 253, , TOTO LTD JPY 357, Office & Business equipment 989, , HP INC USD 337, , INTL BUSINESS MACHINES CORP USD 535, Textile 872, , BURBERRY GROUP PLC GBP 313, , NIKE INC CL B USD 554, Diversified machinery 868, , SIEMENS AG-REG 245, , M CO USD 524, Chemical 770, , PPG INDUSTRIES INC USD 512, , TECHNIP SA 244, ,

91 Securities Portfolio as at December 31, 2016 AZ MULTI ASSET AZ Multi Asset - Sustainable Equity Trend () Quantity/ Nominal Name Currency Market value % NAV Internet ALPHABET INC-CL C USD 585, , Advertising 22, INTERPUBLIC GROUP OF COS INC USD 503, , Oil Services 5, SCHLUMBERGER LTD USD 437, , Forest products & Paper 20, BILLERUDKORSNAS AB SEK 320, , Lodging & Restaurants 6, INTERCONTINENTAL HOTELS GROU GBP 255, , Computer software 2, SAP SE 182, , ,184, Total securities portfolio 35,184, Summary of net assets Total securities portfolio Cash at bank Other assets and liabilities Total net assets % NAV 35,184, ,157, , ,504,

92 AZ Multi Asset - Sustainable Equity Trend () Portfolio Breakdowns Nature allocation % of portfolio % of net assets Shares Country allocation % of portfolio % of net assets United States Japan France United Kingdom Switzerland Italy Germany Sweden Other Top Ten Holdings (% of net assets) Top Ten Holdings (% of net assets) Sector Market value % of net assets APPLE INC Computer hardware 724, TOTAL SA Energy 652, GILEAD SCIENCES INC Cosmetics 644, FRANKLIN RESOURCES INC Financial services 589, ALPHABET INC-CL C Internet 585, JOHNSON & JOHNSON Cosmetics 557, NIKE INC CL B Textile 554, WALT DISNEY Co Media 543, ALLSTATE CORP Insurance 541, KIMBERLY-CLARK CORP Distribution & 540, Wholesale 89

93 AZ Multi Asset - Sustainable Hybrid Bonds () Statement of Operations Net Assets and as at Changes December in Net 31, Assets 2016 for the Statement of Operations and Changes in Net Assets for year ended December 31, 2016 the year ended December 31, 2016 Notes Notes Assets Investment in securities at cost 31,615, Unrealised appreciation / (depreciation) on securities 412, Investment in securities at market value 3.c 32,027, Cash at bank 1,243, Net unrealised appreciation on forward foreign exchange 3.d 17, contracts Dividends and interest receivable 699, Total assets 33,988, Liabilities Accrued expenses 235, Total liabilities 235, Net assets at the end of the exercise 33,752, Income Interest on bonds (net) 3.i 1,332, Bank interest 7.21 Other income 1, Total income 1,333, Expenses Investment management fees 4 279, Custodian fees 6 8, Performance fees 5 158, Administration fees 7 35, Professional fees 29, Distribution fees Transaction costs 11 6, Taxe d'abonnement 8 15, Bank interest and charges 10, Printing & Publication fees Other expenses Total expenses 545, Net investment income / (loss) 787, Net realised gain / (loss) on: Investments (16,225.00) Foreign currencies transactions 21, Forward foreign exchange contracts 3.d 134, Net realised gain / (loss) for the exercise 927, Net change in unrealised appreciation / (depreciation) on: Investments 818, Forward foreign exchange contracts 3.d (17,129.12) Increase / (Decrease) in net assets as a result of operations 1,728, Subscriptions 2 12,041, Redemptions (5,164,799.02) Dividend distribution 15 (200,107.43) Net assets at the beginning of the exercice 25,347, Net assets at the end of the exercise 33,752, Statement of Changes in Number of Units Number of shares in issue at the beginning of the exercice subscribed redeemed Number of shares in issue at the end of the exercice A (O DIS) 1,749, ,749, A (O RETAIL DIS) - 16, (2,000.00) 14, A (O RETAIL) 61, , (51,269.59) 20, A (O) 3,246, ,347, (1,000,000.00) 4,594,

94 Securities Portfolio as at December 31, 2016 Quantity/ Nominal Name Transferable securities admitted to an official exchange listing AZ MULTI ASSET AZ Multi Asset - Sustainable Hybrid Bonds () Currency Market value % NAV Financial derivative instruments as at December 31, 2016 Purchase Sale Maturity Date Commitment Unrealised appreciation / (depreciation) Insurance Bonds and other debt instruments 1,100, AEGON NV 14-25/04/2044 FRN 1,095, ,400, ALLIANZ SE 14-29/09/2049 FRN 1,436, , AQUARIUS + INV S 13-01/09/2024 FRN USD 594, , ASSICURAZIONI 12-10/07/2042 FRN 649, , ASSICURAZIONI 16-08/06/ , ,100, AXA SA 06-29/12/2049 FRN USD 1,035, ,100, DELTA LLOYD 14-29/06/2049 FRN 1,055, ,000, FRIENDS PROVIDEN 12-08/11/2049 FRN USD 1,012, ,100, NN GROUP NV 14-15/07/2049 FRN 1,098, ,000, STANDARD LIFE 12-04/12/2042 FRN GBP 1,227, ,100, UNIPOLSAI 14-30/06/2049 FRN 1,042, Energy 10,753, , DONG A/S 13-26/06/3013 FRN 674, ,050, ENECO HOLDING NV 14-29/12/2049 FRN 1,080, , OMV AG 15-29/12/2049 FRN 766, ,200, REPSOL INTL FIN 15-29/12/2049 FRN 1,189, , SSE PLC 15-29/12/2049 FRN 490, , SUEZ ENVIRON 14-23/06/2049 FRN 931, , TOTAL SA 15-29/12/2049 FRN 469, , TOTAL SA 15-29/12/2049 FRN 796, , VEOLIA ENVRNMT 13-29/01/2049 FRN GBP 969, Telecommunication 7,368, , KPN NV 13-28/03/2073 FRN USD 711, , ORANGE 14-28/02/2049 FRN GBP 490, , ORANGE 14-29/12/2049 FRN 873, ,000, TDC 15-26/02/3015 FRN 950, ,000, TELEFONICA OP 14-31/03/2049 FRN 1,036, , TELEKOM AUSTRIA 13-29/12/2049 FRN 627, Food services 4,690, ,400, CASINO GUICHARD 13-31/01/2049 FRN 1,330, , J SAINSBURY PLC 15-29/12/2049 FRN GBP 928, Banks 2,258, ,200, ERSTE GROUP 14-26/05/2025 FRN USD 1,157, , INTESA SANPAOLO 6.625% 13-13/09/ , , RABOBANK 11-29/11/2049 FRN USD 583, Auto Parts & Equipment 1,978, , STANLEY BLACK 13-15/12/2053 FRN USD 800, , VOLVO TREAS AB 14-10/03/2078 FRN 888, Cosmetics 1,688, , OFINS SCIEN 15-29/12/2049 FRN 712, , MERCK 14-12/12/2074 SR 948, Lodging & Restaurants 1,661, , ACCOR 14-30/06/2049 FRN 929, Media 929, , BERTELSMANN SE 15-23/04/2075 FRN 701, , Forward foreign exchange contracts 3,814, ,200, GBP 20/03/17 3,814, , ,904, ,300, USD 06/03/17 5,904, (55,099.80) 17, Total Forward foreign exchange contracts 17, Total financial derivative instruments 17, Summary of net assets Total securities portfolio Total financial derivative instruments Cash at bank Other assets and liabilities Total net assets % NAV 32,027, , ,243, , ,752, ,027, Total securities portfolio 32,027,

95 AZ Multi Asset - Sustainable Hybrid Bonds () Portfolio Breakdowns Nature allocation % of portfolio % of net assets Bonds and other debt instruments Country allocation % of portfolio % of net assets Netherlands France United Kingdom Germany Austria Italy Denmark Sweden United States Luxembourg Ireland Top Ten Holdings (% of net assets) Top Ten Holdings (% of net assets) Sector Market value % of net assets ALLIANZ SE 14-29/09/2049 FRN Insurance 1,436, CASINO GUICHARD 13-31/01/2049 FRN Food services 1,330, STANDARD LIFE 12-04/12/2042 FRN Insurance 1,227, REPSOL INTL FIN 15-29/12/2049 FRN Energy 1,189, ERSTE GROUP 14-26/05/2025 FRN Banks 1,157, NN GROUP NV 14-15/07/2049 FRN Insurance 1,098, AEGON NV 14-25/04/2044 FRN Insurance 1,095, ENECO HOLDING NV 14-29/12/2049 FRN Energy 1,080, DELTA LLOYD 14-29/06/2049 FRN Insurance 1,055, UNIPOLSAI 14-30/06/2049 FRN Insurance 1,042,

96 AZ Multi Asset - Global Value () Statement of Operations Net Assets and as at Changes December in Net 31, Assets 2016 for the Statement of Operations and Changes in Net Assets for year ended December 31, 2016 the year ended December 31, 2016 Notes Notes Assets Investment in securities at cost 140,377, Unrealised appreciation / (depreciation) on securities 17,023, Investment in securities at market value 3.c 157,400, Cash at bank 46,991, Receivable on Fund shares sold 558, Dividends and interest receivable Total assets 204,951, Liabilities Accrued expenses 652, Payable on fund shares repurchased 115, Net unrealised depreciation on futures contracts 3.f 1,569, Total liabilities 2,336, Net assets at the end of the year 202,614, Income Dividends (net of withholding taxes) 3.i 7, Bank interest 1, Other income 154, Total income 163, Expenses Investment management fees 4 2,920, Custodian fees 6 7, Performance fees 5 1,268, Administration fees 7 29, Professional fees 126, Distribution fees 314, Transaction costs 11 56, Taxe d'abonnement 8 66, Bank interest and charges 29, Printing & Publication fees 3, Other expenses 9 100, Total expenses 4,922, Net investment income / (loss) (4,758,934.04) Net realised gain / (loss) on: Investments (142,665.97) Foreign currencies transactions (178,667.10) Futures contracts 3.f (5,857,184.50) Forward foreign exchange contracts 3.d Net realised gain / (loss) for the year (10,937,122.16) Net change in unrealised appreciation / (depreciation) on: Investments 16,890, Futures contracts 3.f (1,569,100.00) Forward foreign exchange contracts 3.d Increase / (Decrease) in net assets as a result of operations 4,384, Subscriptions 2 150,020, Redemptions (10,570,160.03) Net assets at the beginning of the year 58,778, Net assets at the end of the year 202,614, Statement of Changes in Number of Units in issue at the beginning of the year subscribed redeemed in issue at the end of the year A (O RETAIL) 11,883, ,430, (1,968,075.10) 38,346, B (O RETAIL) - 1,235, (88,845.52) 1,146,

97 Securities Portfolio as at December 31, 2016 AZ MULTI ASSET AZ Multi Asset - Global Value () Quantity/ Nominal Name Currency Market value % NAV Transferable securities admitted to an official exchange listing Open-ended Funds Undertakings for collective investment 11, AGRESSOR-I IN ACC 18,972, , AZVALOR INTERNACIONAL FI 28,151, , BESTINVER INTERNATIONAL RCA 15,516, ,011, BNY MELLON LT GB EQ-A-AI 10,368, , EI STURDZA-STRAT VL-EI 8,178, ,445, FUNDSMITH EQUITY FUND-I ACC GBP 12,043, , LONG TERM INVEST. FUND (SIA) SICAV- 10,302, CLASS 16, MIMOSA CAP-AZVALOR INTL-I 19,572, SEXTAN OPE-I 3,716, , SEXTANT AUTOUR DU MONDE-I 8,061, , VAL INTRINSEQUE-I 12,358, ,241, ,241, Shares Insurance 65, BERKSHIRE HATHAWAY INC-CL B USD 10,159, ,159, ,159, Total securities portfolio 157,400, Financial derivative instruments as at December 31, 2016 Quantity Name Currency Commitment Unrealised appreciation / (depreciation) Futures (2,414.00) O STOXX 50 - FUTURE 79,106, (1,569,100.00) 17/03/2017 (1,569,100.00) Total Futures (1,569,100.00) Total financial derivative instruments (1,569,100.00) Summary of net assets Total securities portfolio Total financial derivative instruments Cash at bank Other assets and liabilities Total net assets % NAV 157,400, (1,569,100.00) (0.77) 46,991, (209,583.13) (0.11) 202,614,

98 AZ Multi Asset - Global Value () Portfolio Breakdowns Nature allocation % of portfolio % of net assets Undertakings for collective investment Shares Country allocation % of portfolio % of net assets Luxembourg France Spain Ireland United Kingdom United States Top Ten Holdings (% of net assets) Top Ten Holdings (% of net assets) Sector Market value % of net assets AZVALOR INTERNACIONAL FI Open-ended Funds 28,151, MIMOSA CAP-AZVALOR INTL-I Open-ended Funds 19,572, AGRESSOR-I IN ACC Open-ended Funds 18,972, BESTINVER INTERNATIONAL RCA Open-ended Funds 15,516, VAL INTRINSEQUE-I Open-ended Funds 12,358, FUNDSMITH EQUITY FUND-I ACC Open-ended Funds 12,043, BNY MELLON LT GB EQ-A-AI Open-ended Funds 10,368, LONG TERM INVEST. FUND (SIA) SICAV-CLASS Open-ended Funds 10,302, BERKSHIRE HATHAWAY INC-CL B Insurance 10,159, EI STURDZA-STRAT VL-EI Open-ended Funds 8,178,

99 AZ Multi Asset - RIN Balanced Equity* () Statement of Operations Net Assets and as at Changes December in Net 31, Assets 2016 for the Statement of Operations and Changes in Net Assets for period ended December 31, 2016 the period ended December 31, 2016 Notes Notes Assets Investment in securities at cost 13,371, Unrealised appreciation / (depreciation) on securities 832, Investment in securities at market value 3.c 14,204, Cash at bank 1,278, Receivable on withholding tax reclaim 12, Dividends and interest receivable 61, Total assets 15,556, Liabilities Accrued expenses 81, Payable on fund shares repurchased Net unrealised depreciation on forward foreign exchange 3.d 33, contracts Net unrealised depreciation on futures contracts 3.f 5, Total liabilities 121, Net assets at the end of the period 15,435, * Refer to Note 1 for more details Income Dividends (net of withholding taxes) 3.i 41, Interest on bonds (net) 3.i 36, Bank interest Income on Swaps and Contracts for Difference 1.75 Other income 19, Total income 96, Expenses Investment management fees 4 86, Custodian fees 6 1, Performance fees 5 40, Administration fees 7 8, Professional fees 9, Transaction costs 11 2, Taxe d'abonnement 8 3, Bank interest and charges 2, Printing & Publication fees Other expenses Total expenses 155, Net investment income / (loss) (58,689.90) Net realised gain / (loss) on: Investments 172, Foreign currencies transactions (2,700.70) Futures contracts 3.f (94,767.67) Forward foreign exchange contracts 3.d 69, Options and swaps 3.e,h (83,443.25) Net realised gain / (loss) for the period 1, Net change in unrealised appreciation / (depreciation) on: Investments 832, Futures contracts 3.f (5,029.98) Forward foreign exchange contracts 3.d (33,768.15) Increase / (Decrease) in net assets as a result of operations 795, Subscriptions 2 14,795, Redemptions (156,374.35) Net assets at the beginning of the period - Net assets at the end of the period 15,435, Statement of Changes in Number of Units Number of shares in issue at the beginning of the period subscribed redeemed Number of shares in issue at the end of the period A (O) - 2,958, (31,607.26) 2,927,

100 Securities Portfolio as at December 31, 2016 AZ MULTI ASSET AZ Multi Asset - RIN Balanced Equity () Quantity/ Nominal Name Currency Market value % NAV Quantity/ Nominal Name Currency Market value % NAV Transferable securities admitted to an official exchange listing Cosmetics Shares 2, BAYER AG-REG 218, , CARL ZEISS MEDITEC AG - BR 122, , DIASORIN SPA 106, , FRESENIUS MEDICAL CARE AG & 136, , GLAXOSMITHKLINE PLC GBP 148, LOREAL 121, , NOVARTIS AG-REG CHF 248, , NOVO NORDISK A/S-B DKK 68, , ROCHE HOLDING AG-GENUSSCHEIN CHF 260, , SANOFI 292, , STADA ARZNEIMITTEL AG 61, , UNILEVER NV-CVA 234, , VILMORIN & CIE 59, Energy 2,079, , BP PLC GBP 179, , ENEL SPA 87, , E.ON SE 80, , IBERDROLA SA 91, , NATIONAL GRID PLC GBP 66, , REPSOL SA 39, , ROYAL DUTCH SHELL PLC-A SHS 168, , ROYAL DUTCH SHELL PLC-B SHS GBP 67, , TOTAL SA 506, , UNIPER SE 20, , VEOLIA ENVIRONNEMENT 80, , VESTAS WIND SYSTEMS A/S DKK 67, Banks 1,458, , BANCA POPOLARE DI MILANO 71, , BANCO SANTANDER SA 242, , BNP PARIBAS 217, , ING GROEP NV 167, , INTESA SANPAOLO 145, , MEDIOBANCA SPA 155, , SOCIETE GENERALE 247, Food services 1,247, , ANHEUSER-BUSCH INBEV SA/NV 170, , BRITVIC PLC GBP 53, , CARREFOUR SA 38, , COLRUYT SA 56, , CORBION NV 63, , DANONE GROUPE 96, , DIAGEO PLC GBP 101, , HEINEKEN NV 106, , METRO AG 94, , NESTLE SA-REG CHF 238, Chemical 1,020, , AIR LIQUIDE SA 178, , BASF SE 353, , K+S AG-REG 136, , SAIPEM SPA 80, , YARA INTERNATIONAL ASA NOK 56, Telecommunication 804, , ADVA OPTICAL NETWORKING SE 54, , BT GROUP PLC GBP 58, , DEUTSCHE TELEKOM AG-REG 147, , NOKIA OYJ 119, , ORANGE 72, , TELECOM ITALIA SPA 75, , VODAFONE GROUP PLC GBP 102, , Insurance 1, AIRBUS SE 100, , ALLIANZ AG REG 157, , ASSICURAZIONI GENERALI 84, , AXA SA 196, , LEONARDO SPA 80, Auto Parts & Equipment 618, , ABB LTD-REG CHF 140, BUCHER INDUSTRIES AG-REG CHF 58, , DAIMLER CHRYSLER AG 155, , FIAT CHRYSLER AUTOMOBILES NV 112, FISCHER (GEORG)-REG CHF 46, MICHELIN (CGDE) 63, Diversified machinery 577, , AGFA-GEVAERT NV 44, , SIEMENS AG-REG 373, , SKF AB-B SHARES SEK 139, Electric & Electronic 557, , ASML HOLDING NV 106, , KONINKLIJKE PHILIPS ELECTRONICS 180, , SCHNEIDER ELECTRIC SE 198, Computer software 484, , DASSAULT SYSTEMES SA 108, , KUDELSKI SA-BR CHF 49, , SAP SE 248, Distribution & Wholesale 406, , INDUSTRIA DE DISENO TEXTIL 97, , ONTEX GROUP NV - W/I 56, , RECKITT BENCKISER GROUP PLC GBP 88, , SALVATORE FERRAGAMO SPA 112, Building materials 354, , COMPAGNIE DE SAINT GOBAIN 185, , VINCI SA 90, Textile 276, HERMES INTERNATIONAL 18, , LVMH MOET HENNESSY LOUIS VUI 253, Diversified services 272, , ADECCO GROUP AG-REG CHF 93, , ECOSUNTEK SPA 19, , WIRECARD AG 106, Forest products & Paper 219, , SMURFIT KAPPA GROUP PLC 65, , UPM-KYMMENE OYJ 116, Transportation 182, AP MOLLER-MAERSK A/S-B DKK 90, , DEUTSCHE POST AG-REG 78, Agriculture 169, , BRITISH AMERICAN TOBACCO PLC GBP 167, ,

101 Securities Portfolio as at December 31, 2016 Quantity/ Nominal Office & Business equipment 1, CAPGEMINI 120, Advertising AZ MULTI ASSET AZ Multi Asset - RIN Balanced Equity () 120, , HAVAS SA 96, Media 96, , VIVENDI 61, Real estate 61, UNIBAIL-RODAMCO SE 58, Metal 58, , BHP BILLITON PLC GBP 53, Banks Bonds and other debt instruments 53, ,917, , BANCA POP VICENT 2.75% 15-20/03/ , , UNICREDIT SPA 14-29/12/2049 FRN 470, Leisure time 822, , INTL GAME TECH 6.5% 15-15/02/2025 USD 813, Auto Parts & Equipment 813, , VOLKSWAGEN INTFN 15-29/12/2049 FRN 396, Financial services Name Warrants Currency Market value % NAV 396, ,032, , BIO ON SPA CW 15/05/2017 BIO ON SPA 155, , , Undertakings for collective investment Open-ended Funds 1, MAINTOWER SIC-AMA IT MK- 97, , , Rights Energy 2, REPSOL SA RTS 06/01/2017 1, , Banks 200, BANCA POPOLARE DI MILANO RTS 27/12/ , Total securities portfolio 14,204, Financial derivative instruments as at December 31, 2016 Quantity Name Futures Currency Commitment Unrealised appreciation / (depreciation) (2.00) DAX INDEX - FUTURE 17/03/ , (9,075.00) O STOXX FOOD AND BEVERAGE 363, , /03/ STOXX 600 RETAIL (SXRP) 187, (1,054.98) 17/03/2017 (5,029.98) Total Futures (5,029.98) Purchase Sale Maturity Date Commitment Unrealised appreciation / (depreciation) Forward foreign exchange contracts 686, , USD 17/01/17 686, (33,768.15) (33,768.15) Total Forward foreign exchange contracts (33,768.15) Total financial derivative instruments (38,798.13) Summary of net assets Total securities portfolio Total financial derivative instruments Cash at bank Other assets and liabilities Total net assets % NAV 14,204, (38,798.13) (0.25) 1,278, (8,811.81) (0.05) 15,435,

102 AZ Multi Asset - RIN Balanced Equity () Portfolio Breakdowns Nature allocation % of portfolio % of net assets Shares Bonds and other debt instruments Other Country allocation % of portfolio % of net assets France Germany Italy United Kingdom Netherlands Switzerland Spain Belgium Other Top Ten Holdings (% of net assets) Top Ten Holdings (% of net assets) Sector Market value % of net assets INTL GAME TECH 6.5% 15-15/02/2025 Leisure time 813, TOTAL SA Energy 506, UNICREDIT SPA 14-29/12/2049 FRN Banks 470, VOLKSWAGEN INTFN 15-29/12/2049 FRN Auto Parts & Equipment 396, SIEMENS AG-REG Diversified machinery 373, BASF SE Chemical 353, BANCA POP VICENT 2.75% 15-20/03/2020 Banks 352, SANOFI Cosmetics 292, ROCHE HOLDING AG-GENUSSCHEIN Cosmetics 260, LVMH MOET HENNESSY LOUIS VUI Textile 253,

103 AZ Multi Asset - RIN G.A.M.E.S.* () Statement of Operations Net Assets and as at Changes December in Net 31, Assets 2016 for the Statement of Operations and Changes in Net Assets for period ended December 31, 2016 the period ended December 31, 2016 Notes Notes Assets Investment in securities at cost 18,659, Unrealised appreciation / (depreciation) on securities 2,080, Investment in securities at market value 3.c 20,739, Cash at bank 1,132, Receivable for investment sold 119, Receivable on withholding tax reclaim 6, Dividends and interest receivable 50, Total assets 22,048, Liabilities Accrued expenses 78, Payable for investment purchased 111, Payable on fund shares repurchased Net unrealised depreciation on forward foreign exchange 3.d 265, contracts Net unrealised depreciation on futures contracts 3.f 15, Total liabilities 471, Net assets at the end of the period 21,577, * Refer to Note 1 for more details Income Dividends (net of withholding taxes) 3.i 71, Interest on bonds (net) 3.i 33, Bank interest 0.01 Other income 71, Total income 176, Expenses Investment management fees 4 131, Custodian fees 6 4, Performance fees 5 27, Administration fees 7 8, Professional fees 12, Transaction costs 11 24, Taxe d'abonnement 8 5, Bank interest and charges 5, Printing & Publication fees Other expenses Total expenses 220, Net investment income / (loss) (43,146.16) Net realised gain / (loss) on: Investments (662,514.19) Foreign currencies transactions (69,805.89) Futures contracts 3.f (174,221.33) Forward foreign exchange contracts 3.d (71,055.41) Options and swaps 3.e,h 14, Net realised gain / (loss) for the period (1,006,677.14) Net change in unrealised appreciation / (depreciation) on: Investments 2,080, Futures contracts 3.f (15,230.00) Forward foreign exchange contracts 3.d (265,497.06) Increase / (Decrease) in net assets as a result of operations 792, Subscriptions 2 33,922, Redemptions (13,138,404.67) Net assets at the beginning of the period - Net assets at the end of the period 21,577, Statement of Changes in Number of Units Number of shares in issue at the beginning of the period subscribed redeemed Number of shares in issue at the end of the period A (O) - 6,759, (2,615,587.80) 4,144,

104 Securities Portfolio as at December 31, 2016 AZ MULTI ASSET AZ Multi Asset - RIN G.A.M.E.S. () Quantity/ Nominal Name Currency Market value % NAV Quantity/ Nominal Name Currency Market value % NAV Transferable securities admitted to an official exchange listing Cosmetics Shares 3, ABBOTT LABORATORIES USD 127, , ANTHEM INC USD 136, COOPER COS INC/THE USD 116, , EDGEWELL PERSONAL CARE CO USD 103, , ESTEE LAUDER COMPANIES-CL A USD 145, , GILEAD SCIENCES INC USD 203, , GLOBUS MEDICAL INC - A USD 94, , HCA HOLDINGS INC USD 210, , IMPAX LABORATORIES INC USD 62, , JOHNSON & JOHNSON USD 218, , KAO CORP JPY 90, , MIRACA HOLDINGS INC JPY 93, , MYRIAD GENETICS INC USD 71, , NOVO NORDISK A/S-B DKK 171, , PATTERSON COS INC USD 77, , PFIZER INC USD 184, , SHIRE PLC GBP 109, UNITED THERAPEUTICS CORP USD 81, Energy 2,298, , BIO ON SPA 762, , ENSCO PLC-CL A USD 55, TATNEFT PAO-SPONSORED ADR USD , TOTAL SA 146, , VEOLIA ENVIRONNEMENT 161, , VESTAS WIND SYSTEMS A/S DKK 80, Electric & Electronic 1,206, , AMBARELLA INC USD 71, , ENERGIZER SPINCO INC- W/I USD 148, , GENTEX CORP USD 84, , INTEL CORP USD 137, , MAXIM INTEGRATED PRODUCTS USD 109, , OMRON CORP JPY 72, , ORBOTECH LTD USD 79, , SENSATA TECHNOLOGIES HOLDING USD 73, SKYWORKS SOLUTIONS INC USD 63, , SYNAPTICS INC USD 126, , TOKYO SEIMITSU CO LTD JPY 98, Food services 1,066, , AVERY DENNISON CORP USD 66, , BRITVIC PLC GBP 66, , COCA-COLA CO/THE USD 157, , DISTRIBUIDORA INTERNACIONAL 83, , FLOWERS FOODS INC USD 94, , MONSTER BEVERAGE CORP USD 75, , ORKLA ASA NOK 155, , PILGRIMS PRIDE CORP USD 126, , TATE & LYLE PLC GBP 66, , UNITED NATURAL FOODS INC USD 72, , WHOLE FOODS MARKET INC USD 102, Chemical 1,066, GIVAUDAN-REG CHF 174, , LYONDELLBASELL INDU-CL A USD 97, , MONSANTO CO USD 398, , MOSAIC CO/THE USD 111, SOLVAY SA 77, , WESTLAKE CHEMICAL CORP USD 169, Banks 1,029, , BNP PARIBAS 272, , CITIGROUP INC USD 90, , ING GROEP NV 213, , JPMORGAN CHASE & CO USD 110, M & T BANK CORP USD 118, , MIZUHO FINANCIAL GROUP INC JPY 59, PODRAVSKA BANKA DD HRK 13, , WELLS FARGO & CO USD 104, Distribution & Wholesale 983, , BED BATH & BEYOND INC USD 77, , COACH INC USD 166, , CVS HEALTH CORP USD 74, , DARDEN RESTAURANTS INC USD 110, , DOLLAR GENERAL CORP USD 196, , MATSUMOTOKIYOSHI HOLDINGS CO JPY 140, , NEWELL BRANDS INC USD 84, WHIRLPOOL CORP USD 120, Auto Parts & Equipment 970, , ABB LTD-REG CHF 160, , DAIMLER CHRYSLER AG 226, , EBARA CORP JPY 108, , HITACHI LTD JPY 113, , MITSUBISHI ELECTRIC CORP JPY 79, ROPER TECHNOLOGIES INC USD 69, SMC CORP JPY 90, , THK CO LTD JPY 63, Internet 910, ALPHABET INC-CL C USD 292, AMAZON.COM INC USD 142, , FACEBOOK INC-A USD 218, , MONEYSUPERMARKET.COM GBP 103, PRICELINE GROUP INC/THE USD 97, Telecommunication 853, , BT GROUP PLC GBP 128, , CENTURYLINK INC USD 112, , CISCO SYSTEMS INC USD 100, , NTT DOCOMO INC JPY 134, , ORANGE 115, , VERIZON COMMUNICATIONS INC USD 202, Diversified machinery 794, , GENERAL ELECTRIC CO USD 239, , PENTAIR PLC USD 106, , SIEMENS AG-REG 175, , TEXTRON INC USD 119, Computer hardware 640, , APPLE INC USD 549, , QUALCOMM INC USD 61, Diversified services 610, CIA DELLA RUOTA , DELUXE CORP USD 203, , ECOSUNTEK SPA 68, , MANPOWERGROUP INC USD 168, , RANDSTAD HOLDING NV 77, , STERICYCLE INC USD 87, Financial services 606, ALLIANCE DATA SYSTEMS CORP USD 129, , CBOE HOLDINGS INC USD 224, , MASTERCARD INC - A USD 107, , TOKYO CENTURY CORP JPY 136, ,

105 Securities Portfolio as at December 31, 2016 AZ MULTI ASSET AZ Multi Asset - RIN G.A.M.E.S. () Quantity/ Nominal Name Currency Market value % NAV Quantity/ Nominal Name Currency Market value % NAV Building materials 2, AECOM USD 86, , CALATLANTIC GRP USD 161, , CHICAGO BRIDGE + IRON CO NV USD 75, , CHINA RAILWAY CONSTRUCTION-H HKD 97, , DAIWA HOUSE INDUSTRY CO LTD JPY 103, , MAEDA CORP JPY 58, Office & Business equipment 582, , INTL BUSINESS MACHINES CORP USD 157, , NEOPOST SA 95, , NS SOLUTIONS CORP JPY 59, , TIETO OYJ 77, , VERIFONE SYSTEMS INC USD 100, Transportation 490, , ALASKA AIR GROUP INC USD 126, CANADIAN PACIFIC RAILWAY LTD USD 108, , DEUTSCHE POST AG-REG 124, , SEINO HOLDINGS CO LTD JPY 63, , WIZZ AIR HOLDINGS PLC GBP 62, Media 485, , AMC NETWORKS INC-A USD 89, , TIME WARNER INC USD 228, , TWENTY-FIRST CENTURY FOX-A USD 132, Computer software 451, , CA INC USD 90, , CERNER CORP USD 116, , DASSAULT SYSTEMES SA 72, , ORACLE CORP USD 91, PRIMI SUI MOTORI SPA , VERINT SYSTEMS INC USD 73, Engineering & Construction 444, , BAE SYSTEMS PLC GBP 55, , NORTHROP GRUMMAN CORP USD 220, , ROCKWELL COLLINS INC USD 96, Oil Services 372, , NATIONAL OILWELL VARCO INC USD 141, , SCHLUMBERGER LTD USD 159, Biotechnology 301, BIOGEN INC USD 161, , CELGENE CORP USD 109, Real estate 271, , DAITO TRUST CONSTRUCT CO LTD JPY 142, Leisure time 142, , TECHNICOLOR - REGR 102, Metal 102, , BARRICK GOLD CORP USD 90, Storage & Warehousing 90, , GRAPHIC PACKAGING HOLDING CO USD 70, , Banks Bonds and other debt instruments 800, BANCA POP VICENT 2.75% 15-20/03/ , ,000, BANK OF NY 08-30/12/2099 CV FRN FLAT 29, , UNICREDIT SPA 14-29/12/2049 FRN 752, Building materials 1,486, , ASTALDI SPA 4.5% 13-31/01/2019 CV 294, Open-ended Funds Undertakings for collective investment 294, ,780, , ZENIT MS STOCK PICKING-I 1,143, ,143, ,143, Warrants Financial services 47, BIO ON SPA CW 15/05/2017 BIO ON SPA 373, , , Total securities portfolio 20,739, Financial derivative instruments as at December 31, 2016 Quantity Name Futures Currency Commitment Unrealised appreciation / (depreciation) (2.00) DAX INDEX - FUTURE 17/03/ , (9,075.00) O STOXX FOOD AND BEVERAGE 363, , /03/2017 (20.00) MINI FTSE/MIB INDEX FUT 17/03/ , (10,200.00) STOXX 600 RETAIL (SXRP) 187, (1,055.00) 17/03/2017 (15,230.00) Total Futures (15,230.00) Purchase Sale Maturity Date Commitment Unrealised appreciation / (depreciation) Forward foreign exchange contracts 212, ,580, DKK 17/01/17 212, (109.25) 1,669, ,500, JPY 18/04/17 1,669, , ,983, ,000, USD 17/01/17 10,983, (387,947.45) (265,497.06) Total Forward foreign exchange contracts (265,497.06) Total financial derivative instruments (280,727.06) 17,442,

106 AZ Multi Asset - RIN G.A.M.E.S. () Summary of net assets Total securities portfolio Total financial derivative instruments Cash at bank Other assets and liabilities Total net assets % NAV 20,739, (280,727.06) (1.30) 1,132, (14,538.47) (0.07) 21,577,

107 AZ Multi Asset - RIN G.A.M.E.S. () Portfolio Breakdowns Nature allocation % of portfolio % of net assets Shares Bonds and other debt instruments Undertakings for collective investment Warrants Country allocation % of portfolio % of net assets United States Italy Japan Luxembourg France Netherlands Germany United Kingdom Other Top Ten Holdings (% of net assets) Top Ten Holdings (% of net assets) Sector Market value % of net assets ZENIT MS STOCK PICKING-I Open-ended Funds 1,143, BIO ON SPA Energy 762, UNICREDIT SPA 14-29/12/2049 FRN Banks 752, BANCA POP VICENT 2.75% 15-20/03/2020 Banks 704, APPLE INC Computer hardware 549, MONSANTO CO Chemical 398, BIO ON SPA CW 15/05/2017 BIO ON SPA Financial services 373, ASTALDI SPA 4.5% 13-31/01/2019 CV Building materials 294, ALPHABET INC-CL C Internet 292, BNP PARIBAS Banks 272,

108 AZ Multi Asset - Brazil Value* () Statement of Operations Net Assets and as at Changes December in Net 31, Assets 2016 for the Statement of Operations and Changes in Net Assets for period ended December 31, 2016 the period ended December 31, 2016 Notes Notes Assets Investment in securities at cost 8,398, Unrealised appreciation / (depreciation) on securities 513, Investment in securities at market value 3.c 8,911, Cash at bank 3,258, Receivable for investment sold 945, Dividends and interest receivable 10, Total assets 13,125, Liabilities Accrued expenses 30, Payable for investment purchased 1,227, Total liabilities 1,258, Net assets at the end of the period 11,867, * Refer to Note 1 for more details Income Dividends (net of withholding taxes) 3.i 64, Total income 64, Expenses Investment management fees 4 46, Custodian fees Administration fees 7 2, Professional fees 5, Transaction costs 11 55, Taxe d'abonnement 8 1, Bank interest and charges 1, Printing & Publication fees Other expenses Total expenses 113, Net investment income / (loss) (48,987.62) Net realised gain / (loss) on: Investments (654,186.35) Foreign currencies transactions (332,211.00) Forward foreign exchange contracts 3.d 179, Net realised gain / (loss) for the period (856,181.33) Net change in unrealised appreciation / (depreciation) on: Investments 513, Increase / (Decrease) in net assets as a result of operations (342,882.53) Subscriptions 2 21,146, Redemptions (8,936,657.81) Net assets at the beginning of the period - Net assets at the end of the period 11,867, Statement of Changes in Number of Units Number of shares in issue at the beginning of the period subscribed redeemed Number of shares in issue at the end of the period A (O) - 656, , A (USD) - 3,899, (1,950,001.00) 1,949,

109 Securities Portfolio as at December 31, 2016 AZ MULTI ASSET AZ Multi Asset - Brazil Value () Quantity/ Nominal Name Currency Market value % NAV Transferable securities admitted to an official exchange listing Energy Shares 104, ALUPAR INVESTIMENTO SA-UNIT BRL 522, , CIA DE TRANSMISSAO DE ENE-PF BRL 241, , CIA ENERGETICA DE SP-PREF B BRL 234, , CIA SANEAMENTO DO PARANA-PRF BRL 927, , COSAN SA INDUSTRIA COMERCIO BRL 460, , EQUATORIAL ENERGIA SA - ORD BRL 348, , TRANSMISSORA ALIANCA DE-UNIT BRL 701, Distribution & Wholesale 3,436, , LOJAS RENNER S.A. BRL 664, , RAIA DROGASIL SA BRL 550, , VIA VAREJO SA BRL 58, Chemical 1,274, , BRASKEM SA-PREF A BRL 828, Diversified services 828, , ECORODOVIAS INFRA E LOG SA BRL 359, , QUALICORP SA BRL 428, Forest products & Paper 788, , FIBRIA CELULOSE SA BRL 235, , SUZANO PAPEL E CELULO-PREF A BRL 359, Transportation 594, , RUMO LOGISTICA OPERADORA MUL BRL 466, Cosmetics 466, , ALLIAR MEDICOS A FRENTE SA BRL 154, , FLY SA BRL 260, Food services 415, , SAO MARTINHO SA BRL 358, Financial services 358, , BRADESPAR SA -PREF BRL 340, Building materials 340, , MULTIPLAN EMPREENDIMENTOS BRL 247, Metal 247, , GERDAU SA-PREF BRL 161, , ,911, Total securities portfolio 8,911, Summary of net assets Total securities portfolio Cash at bank Other assets and liabilities Total net assets % NAV 8,911, ,258, (302,519.10) (2.54) 11,867,

110 AZ Multi Asset - Brazil Value () Portfolio Breakdowns Nature allocation % of portfolio % of net assets Shares Country allocation % of portfolio % of net assets Brazil Top Ten Holdings (% of net assets) Top Ten Holdings (% of net assets) Sector Market value % of net assets CIA SANEAMENTO DO PARANA-PRF Energy 927, BRASKEM SA-PREF A Chemical 828, TRANSMISSORA ALIANCA DE-UNIT Energy 701, LOJAS RENNER S.A. Distribution & Wholesale 664, RAIA DROGASIL SA Distribution & Wholesale 550, ALUPAR INVESTIMENTO SA-UNIT Energy 522, RUMO LOGISTICA OPERADORA MUL Transportation 466, COSAN SA INDUSTRIA COMERCIO Energy 460, QUALICORP SA Diversified services 428, ECORODOVIAS INFRA E LOG SA Diversified services 359,

111 Notes to the financial statements as at December 31, 2016 Note 1. General Information AZ MULTI ASSET (the Fund ) is an umbrella collective investment fund established under Luxembourg law, pursuant to section I of the Law December 17, 2010 (hereinafter, the 2010 Law ), as amended, created in accordance with fund management regulations (the Management Regulations ) approved on 1 June 2011 and effective as of June 15, 2011 by the Board of Directors of AZ Fund Management S.A. (the Company ) and published by mention in the Mémorial Recueil des Sociétés et Associations (the Mémorial ), after having been filed with the Registrar of the District Court of Luxembourg on June 15, The Management Regulations were amended on August 20, 2012 and said amendments were filed with the Business Register on August 20, The business purpose of the Company is the collective management of UCITS established under Luxembourg or foreign law, pursuant to Directive 2009/65/EC as amended or replaced as well as other undertakings for collective investment or mutual funds under Luxembourg law and/or foreign law that are not included in said directive. The Company may also employ all techniques related to the administration and management of the Fund for its business purposes, in accordance with its Articles of Association and Management Regulations. As an umbrella fund, the Fund has no legal status. Its assets belong to its investors (joint tenancy) and are separate from those of the Company and any other Fund managed. The Fund is formed by an undivided joint tenancy of transferable securities and other financial assets belonging to its investors, managed in the sole interest of said investors by the Company according to the principle of risk-sharing. As at December 31, 2016, twenty two Sub-funds are open to subscription: - AZ Multi Asset - Institutional T - AZ Multi Asset - Institutional Italy T - AZ Multi Asset - Institutional Europe D - AZ Multi Asset - BTPortfolio - AZ Multi Asset - Renminbi Opportunities - AZ Multi Asset - Renminbi Opportunities-Fixed Income - AZ Multi Asset - Institutional Macro Dynamic Trading - AZ Multi Asset - Institutional Commodity Trading - AZ Multi Asset - World Trading - AZ Multi Asset - Global Tactical Asset Allocation (G.T.A.A.) - AZ Multi Asset - FLEX - AZ Multi Asset - Romeo - AZ Multi Asset - Global Sukuk - AZ Multi Asset - CGM Valor Flexible Strategies Fund - AZ Multi Asset - CGM Valor Bond Strategies Fund - AZ Multi Asset - Asia Absolute - AZ Multi Asset - Sustainable Absolute Return - AZ Multi Asset - Sustainable Hybrid Bonds - AZ Multi Asset - Global Value -AZ Multi Asset - RIN Balanced Equity - AZ Multi Asset - RIN G.A.M.E.S -AZ Multi Asset - Brazil Value The following sub-funds were launched during the fiscal year: - AZ Multi Asset - RIN Balanced Equity launched on 2 september 2016, - AZ Multi Asset - RIN G.A.M.E.S. launched on 2 september 2016, - AZ Multi Asset - Sustainable Equity Trend launched on 24 october 2016, - AZ Multi Asset - Brazil Value launched on 24 october The below sub-funds merged during the fiscal year: - AZ Multi Asset - Sustainable Absolute Return has merged with AZ Multi Asset - Sustainable Equity Trend on 7 december The denomination changed during the fiscal year for: - AZ Multi Asset - Global Sukuk has changed to AZ Multi Asset - MAMG Global Sukuk on 4 october 2016, - AZ Multi Asset - Global Tactical Asset Allocation (G.T.A.A.) has changed to AZ Multi Asset - Algo Equity Strategies on 14 november

112 Notes to the financial statements as at December 31, 2016 (continued) Master - Feeder Structure During the period ended on December 31, 2016, the Fund was part of a "Master-Feeder" structure as described below: AZ FUND 1 Feeder Funds AZ MULTI ASSET Master Fund - AZ Fund 1 - Trend - AZ Multi Asset - Institutional T - AZ Fund 1 - Italian Trend - AZ Multi Asset - Institutional Italy T - AZ Fund 1 - Formula Macro Dynamic Trading - AZ Multi Asset - Institutional Macro Dynamic Trading - AZ Fund 1 - Formula Commodity Trading - AZ Multi Asset - Institutional Commodity Trading - AZ Fund 1 - European Dynamic - AZ Multi Asset - Institutional Europe D - AZ Fund 1 - Asia Absolute - AZ Multi Asset - Asia Absolute - AZ Fund 1 - Renminbi Opportunities - AZ Multi Asset - Renminbi Opportunities - AZ Fund 1 - Renminbi Opportunities-Fixed Income - AZ Multi Asset - Renminbi Opportunities-Fixed Income - AZ Fund 1 - Global Sukuk - AZ Multi Asset - Global Sukuk * See note 1 for further details The Feeder shall permanently invest at least 85% of its assets in units of said Master. The Feeder may invest up to 15% of its assets in one or more of the following items: - liquid assets, pursuant to article 41(2) paragraph 2 of the 2010 law and - financial instruments which may be used only for hedging purposes in accordance with the relevant provisions of article 41(1)(g) and article 42 (2) and (3) of the 2010 Law. AZ Multi Asset and AZ Fund 1 are managed by the same Company. 109

113 Notes to the financial statements as at December 31, 2016 (continued) Note 2. Units of the Fund The Board of Directors of the Company can decide to issue different types Units: Sub fund s name Currency Units Classes «Flexibles» category AZ Multi Asset - Institutional T O A (O), B (O), MASTER (O) AZ Multi Asset - Institutional Italy T O A (O), B (O), MASTER (O DIS) ATW (O), BTW (O) USD ATW (USD hedged), BTW (USD hedged) ATW (USD non hedged), BTW (USD non hedged) AZ Multi Asset - Institutional Macro Dynamic Trading O A (O), B (O), MASTER (O) US DOLLAR A (USD), B (USD) AZ Multi Asset - Institutional Commodity Trading O A (O), B (O), MASTER (O) US DOLLAR A (USD), B (USD) AZ Multi Asset - World Trading A (O), B (O) O A (O RETAIL, B (O RETAIL) AZ (O RETAIL, BZ (O RETAIL) AZ Multi Asset Algo Equity Strategies* A (O RETAIL), B (O RETAIL) O A (O), B (O) AZ Multi Asset - FLEX A (O RETAIL), B (O RETAIL) O A (O), B (O) AZ Multi Asset - Romeo O A (O DIS) O A (O hedged), B (O hedged) A (O non hedged), B (O non hedged) AZ Multi Asset - Asia Absolute O MASTER (O hedged) US DOLLAR A (USD), B (USD) SINGAPORE DOLLAR A (SGD), B (SGD) AZ Multi Asset - Sustainable Absolute Return O A (O), A (O RETAIL), A (O RETAIL DIS) AZ Multi Asset - Global Value O A (O RETAIL), B (O RETAIL) AZ Multi Asset - RIN Balanced Equity* O A (O), A (O RETAIL), B (O RETAIL) AZ Multi Asset - RIN G.A.M.E:S.* O A (O), A (O RETAIL), B (O RETAIL) AZ Multi Asset - Brazil Value* O A (O), A - PLATFORMS (O) US DOLLAR A (USD), A - PLATFORMS (USD) «Mixed» category AZ Multi Asset - Institutional Europe D O A (O), B (O), MASTER (O DIS) ATW (O), BTW (O) US DOLLAR ATW (USD hedged), BTW (USD hedged) ATW (USD non hedged), BTW (USD non hedged) AZ Multi Asset - CGM Valor Flexible Strategies Fund O A (O) «Bond» category AZ Multi Asset - Global Sukuk US DOLLAR A (USD DIS), B (USD DIS) O MASTER (O DIS) AZ Multi Asset - BTPortfolio O A (O), B (O), A (O DIS), B (O DIS) AZ Multi Asset - CGM Valor Bond Strategies Fund O A (O) AZ Multi Asset - Sustainable Hybrid Bonds O A (O), A (O RETAIL), A (O RETAIL DIS) «Short Term» category A (O hedged), B (O hedged) O AZ Multi Asset - Renminbi Opportunities A (O non hedged), B (O non hedged) O MASTER (O non hedged) US DOLLAR A (USD), B (USD) AHK (USD), BHK (USD) HONG KONG DOLLAR A (HKD), B (HKD) AHK (HKD), BHK (HKD) CHINESE RENMINBI A (CNH), B (CNH) AZ Multi Asset - Renminbi Opportunities-Fixed Income O A (O hedged), B (O hedged) A (O non hedged), B (O non hedged) O MASTER (O non hedged) US DOLLAR A (USD), B (USD), C (USD) HONG KONG DOLLAR A (HKD), B (HKD), C (HKD) CHINESE RENMINBI A (CNH), B (CNH) * See note 1 for further détails These types of Units vary especially in terms of fee rate, reference currency, possible hedging of exchange rate risk and type of investors (e.g., feeder funds). Units belonging to MASTER class (O non hedged) can only be subscribed by feeder funds. No Unit certificates shall be issued to investors. 110

114 Notes to the financial statements as at December 31, 2016 (continued) Note 3. Siginificant accounting principles All securities held by the sub-funds at period end have been valued based on closure prices as at June 30, The Fund's financial statements are prepared in accordance with the regulations in force in Luxembourg regarding Undertakings for collective investment. a) Combined statement for the various sub-funds AZ MULTI ASSET (combined) financial statements are expressed and correspond to the total of the financial statements of the sub-funds that, if denominated in currencies other than, have been translated at the exchange rate of June 30, b) Currency translation The accounts of each Sub-fund are held in the currency its net asset value and financial statements are expressed in. The purchase price of securities acquired in a currency other than the Sub-fund's one is translated into the Sub-fund currency at the exchange rates prevailing at the date of securities acquisition. Income and expenses denominated in a currency other than the Sub-fund's one are translated into the Sub-fund currency at the exchange rate prevailing at the transaction date. At the closing date, securities valuation values (determined in the manner described below), receivables, bank deposits and debts denominated in a currency other than the Sub-fund's one are translated into the Sub-fund currency at the exchange rate prevailing on that date. Exchange differences arising from the translation of receivables, bank deposits and debts shall be included in the net foreign exchange result of the period recorded in the statement of operations and changes in net assets under the item Realised Profit/(Loss) on exchange. c) Asset valuation The valuation of assets and commitments of each Sub-fund shall be carried out as follows: 1) the value of liquidity held in cash or in deposits, directly payable securities and payables, advance payments, dividends, profits and/or interest due but not yet collected, shall be composed of the par value of the said entries, unless it is unlikely that they will be actually received. In this case, the value shall be established by subtracting the amount deemed appropriate to reflect the real value of the assets; Estimated with prudence and good faith by the Management Company 2) the valuation of transferable securities and money market instruments listed or traded on the stock market or other regulated market which operates regularly, is recognised and open to the public, is based on the price on the last business day ("Valuation Date") prior to the Calculation Day (as defined in chapter 5 of the Management Regulations). If a transferable security or money market instrument is traded on more than one market, the valuation is based on the last known price on the Valuation Date of the main market of the said security or instrument. If the last known price on the Valuation Date is not representative, the valuation shall be based on the likely net breakup value, prudentially estimated in good faith by the Company; 3) transferable securities and money market instruments not listed or traded on a regulated market which operates regularly, is recognised and open to the public, will be valued based on the likely net breakup value, prudentially estimated in good faith by the Company; 4) units of undertakings for collective investment are valued based on the last net asset value available; 5) assets expressed in a currency other than the base currency of the Sub-fund in question shall be converted at the last available exchange rate; 6) all other assets shall be valued based on the likely net breakup value, which must be estimated with due care and in good faith by the Company. 7) The Sukuk is valued as an obligation. The Sukuk is a Sharia-compliant alternative to interest-bearing investment certificates, sukuk are often considered as Islamic bonds. They offer to Islamic investors a way of subscribing certificates that replicate the remuneration of a conventional rate negotiable on the secondary market. d) Valuation of Forward Foreign exchange Contracts The unexpired forward foreign exchange contracts are valued at the last "forward" rate available on the valuation dates or at the balance sheet date and unrealised gains or losses are recorded. Realised gains or losses and the resulting changes in unrealised gains or losses are included in the Statement of Operations and Changes in Net Assets. e) Options A purchaser of a put option has the right, but not the obligation, to sell the underlying instrument at an agreed upon price ( strike price ) to the option seller. A purchaser of a call option has the right, but not the obligation, to purchase the underlying instrument at the strike price from the option seller. The premiums paid for the options are included in the asset and considered as an investment, they are compensated with the result of the right given by the purchases or lost if the option is not used. The realised gains or losses and the resulting changes in unrealised gains or losses are included in the Statement of Operations and Changes in Net Assets. The liquidation value of options not traded on stock exchanges is determined under the regulations established by the Board of Directors, according to uniform criteria for each category of contracts. 111

115 Notes to the financial statements as at December 31, 2016 (continued) Note 3. Siginificant accounting principles (continued) f) Futures contracts Future contracts provide for the delayed delivery of the underlying instrument at a fixed price or for a cash amount based on the change in the value of the underlying instrument at a specific date in the future. When entering into a futures contract, the sub-fund is required to deposit with the broker, treasury or securities an amount equal to a certain percentage of the amount of the contract, referred to as the initial margin account. Subsequent payments, referred to as variation margin, are made or received periodically by the sub-fund and are based in the market value of open futures contracts. The future contracts are valued based on the last available market price. Realised and unrealised gains and losses are included in the Statement of Operations and Changes in Net Assets. For the calculation of net investments in financial instruments by currency, investments are translated at the exchange rate prevailing at period end. g) Contracts for Difference (CFD) The valuation of a CFD shall reflect at all times the difference between the latest known price of the underlying security and the valuation that was taken into account when determining the transactions. Realised gains or losses and the resulting changes in unrealised gains or losses are included in the Statement of Operations and Changes in Net Assets. h) Total Return Swap (TRS) A Total Return Swap is a contract for the exchange of the total performance of a bond or other underlying asset (stock, index, etc.) against the rate of a benchmark index including spread. The total performance includes interest coupons, dividends and capital gains and losses on the underlying asset over the life of the contract, depending on the type of underlying asset. The risk of this type of arrangement lies in the fact that the profits of each counterparty depend on the performance of the underlying asset over time, which is unknown at the time of signing the contract. Total Return Swap contracts are valued at their last-known market price. Realised gains /(losses) and the resulting Changes in unrealised gains or (losses) are included in the Statement of Operations and Changes in Net Assets under item Swaps. As at December 31, 2016, the open Total Return Swap contracts are detailed within Securities portfolio. i) Income Bank and bond Interests are recorded pro rata temporis. Dividends are recorded on the payment date net of withholding taxes. Other income mainly includes repayment fees, exceptional financial profit. j) Set up fees Set up fees are amortised on a straight-line basis over 5 years. k) Investment in other sub-funds of the same Fund A Sub-fund can subscribe, acquire and/or hold securities to be issued or issued by one or more other Sub-funds of the Fund. These activities are performed under the law of 17 December 2010, as amended, concerning Undertakings for Collective Investment, which provides for the following requirements: a) the target sub-fund does not invest in turn in the sub-fund that has invested in this target sub-fund, and b) the part of assets that the target sub-funds being acquired may invest overall, pursuant to the management regulations, in units of other target Sub- funds of the Fund does not exceed 10%; and c) There is no double withdrawal of management/subscription or redemption fees which are levied for the sub-fund investing in the target sub-fund as well as for the target sub-fund. As at December 31, 2016, AZ Multi Asset sub-funds hold units issued by other sub-funds of AZ Multi Asset: AZ Multi Asset - Institutional T AZ Multi Asset - Institutional Macro Dynamic Trading AZ Multi Asset - Institutional Commodity Trading AZ Multi Asset - Romeo As at December 31, 2016 the total amount of cross-investments was 20,077, so that Global statement of net assets for the financial year closed on the same date but without considering said cross-investments would be equal to 5,504,989, l) Investment in other sub-funds of other Funds of the same Management Company A sub-fund of the Fund may invest in units of other UCITS and/or other UCIs managed by the same management company or by any other company to which the management company is tied within the frame of either a shared control or management, or direct or indirect significant equity investment. Said management company or any other company cannot bill any subscription rights or redemption fees for the investment of UCITS in units of other UCITS and/or other UCIs. 112

116 Notes to the financial statements as at December 31, 2016 (continued) Note 4. Management fees Management fees are payable monthly by each sub-fund and are calculated on the daily average net asset value of each sub-fund for the month ended: Fee rates are as follow: Type de Parts A (O) A (O DIS) A (O hedged) A (O non hedged) A - PLATEFORMS (O) A (USD) A (USD DIS) A - PLATEFORMS (USD) A -ME (USD ACC) A -ME (USD DIS) A - ME (SGD ACC) A -ME (SGD DIS) A (HKD) A (O RETAIL) A (O RETAIL DIS) AZ (O RETAIL) A (USD RETAIL) A (O RETAIL DIS) AHK (HKD) (1) AHK (USD) (1) A (CNH) A (SGD) A (AUD) (4) ATW (O) (3) ATW (USD hedged) (3) ATW (USD non hedged) (3) B (O) B (O DIS) B (O hedged) B (O non hedged) B (USD) B (USD DIS) B (HKD) B (O RETAIL) B (O RETAIL DIS) BZ (O RETAIL) BHK (HKD) (1) BHK (USD) (1) B (CNH) B (SGD) BTW (O) (3) BTW (USD hedged) (3) BTW (USD non hedged) (3) MASTER (O non hedged) MASTER (O hedged) MASTER (O) MASTER (O DIS) MASTER (USD) MASTER (USD DIS) MASTER (MYR) MASTER (MYR DIS) C (USD) C (HKD) (2) Gestion (annuelle en %) (9) AZ Multi Asset - Institutional T 1.00% % AZ Multi Asset - Institutional Italy T 1.00% (A O) 1.50% 1.00% B (O) 1.50% - - AZ Multi Asset - Asia Absolute 1.00% % AZ Multi Asset - Institutional Europe D 0.50% A (O) 1.50% 0.50% B (O) 1.50% - - AZ Multi Asset - BTPortfolio 0.50% % AZ Multi Asset - CGM Valor Flexible % Strategies Fund AZ Multi Asset - CGM Valor Bond % Strategies Fund 0.75% (exception parts % (exception parts AZ Multi Asset - Renminbi Opportunities AHK) BHK) 1.20% (pour les parts AHK) % (pour les parts BHK) AZ Multi Asset - Renminbi Opportunities % 1.00% 1.00% Fixed Income AZ Multi Asset - Institutional Macro Dynamic Trading AZ Multi Asset - Institutional Commodity Trading 1.00% (parts A (O) et % (parts B (O) et B A (USD)) (USD)) 0.30% (parts A (AUD)) % 1.00% 1.80% parts A (O % (parts B (O AZ Multi Asset - Algo Equity Strategies* RETAIL) Retail)* 1.00% parts A (O) % parts B (O) 1.25% parts A (O % parts B (O AZ Multi Asset - FLEX RETAIL) RETAIL) 0.75% parts A (O) % parts B (O) 1.80% parts A (O % parts B (O RETAIL) et AZ (O RETAIL) et BZ (O AZ Multi Asset - World Trading RETAIL) (5) RETAIL) (5) 1.00% parts A (O) % parts B (O) AZ Multi Asset - Romeo 0.25% % parts A USD DIS) A-ME (USD ACC) AZ Multi Asset - MAMG Global Sukuk* A -ME (USD DIS) A -ME (SGD ACC) 1.00% parts B (USD DIS) A - ME (SGD DIS) 0.80% parts A (O) (6) AZ Multi Asset - Sustainable Absolute Return* AZ Multi Asset - Sustainable Equity* Trend AZ Multi Asset - Sustainable Hybrid Bonds 1.80% parts A (O RETAIL) et A (O RETAIL DIS) 0.80% parts A (O) et A (USD) (7) 1.25% parts A (O), A ( DIS), A (RETAIL) 0.70% parts A (O), A (O DIS), A (USD) et A (USD DIS) (8) 1.20% parts A (O RETAIL) et A (O RETAIL DIS)

117 Notes to the financial statements as at December 31, 2016 (continued) Note 4. Management fees (continued) Type de Parts A (O) A (O DIS) A (O hedged) A (O non hedged) A - PLATEFORMS (O) A (USD) A (USD DIS) A - PLATEFORMS (USD) A -ME (USD ACC) A -ME (USD DIS) A - ME (SGD ACC) A -ME (SGD DIS) A (HKD) A (O RETAIL) A (O RETAIL DIS) AZ (O RETAIL) A (USD RETAIL) A (O RETAIL DIS) AHK (HKD) (1) AHK (USD) (1) A (CNH) A (SGD) A (AUD) (4) ATW (O) (3) ATW (USD hedged) (3) ATW (USD non hedged) (3) B (O) B (O DIS) B (O hedged) B (O non hedged) B (USD) B (USD DIS) B (HKD) B (O RETAIL) B (O RETAIL DIS) BZ (O RETAIL) BHK (HKD) (1) BHK (USD) (1) B (CNH) B (SGD) BTW (O) (3) BTW (USD hedged) (3) BTW (USD non hedged) (3) MASTER (O non hedged) MASTER (O hedged) MASTER (O) MASTER (O DIS) MASTER (USD) MASTER (USD DIS) MASTER (MYR) MASTER (MYR DIS) C (USD) C (HKD) (2) AZ Multi Asset - Global Value AZ Multi Asset - RIN Balanced Equity* AZ Multi Asset - RIN G.A.M.E.S.* AZ Multi Asset - Brazil Value* * See note 1 for further details 1.90% parts A (O % parts B (O RETAIL) RETAIL) 1.80% parts A (O parts B (O RETAIL) RETAIL) 1.50% parts A (O) % parts A (O % parts B (O RETAIL) RETAIL) 1.50% parts A (O) % parts A PLATFORMS (O) et A PLATFORMS (USD) 1.20% Parts A (O) et A (USD) (1) These Unit classes are exclusively for distribution in Hong Kong. (2) Distribution of these Unit classes is reserved to Bank of China Securities Limited and to any other distribution channels of Bank of China. (3) The Unit classes are exclusively for distribution in Taiwan. The management fee, based on the total value of each Sub-fund, for each past month, shall be payable on a monthly basis. (4) These Unit classes are exclusively distributed in Australia (5) For the AZ Multi Asset - World Trading, the A (O RETAIL) / AZ (O RETAIL) and B (O RETAIL) / BZ (O RETAIL) are dedicated for retail Investors. (6) For the AZ Multi Asset - Sustainable Absolute Return, the A (O) are dedicated for Institutional investors (7) For the AZ Multi Asset - Sustainable Equity Trend, the A (O) and A (USD) are dedicated for Institutional investors. (8) For the AZ Multi Asset - Sustainable Hybrid Bonds, the A (O), A (O DIS), A (USD) et A (USD DIS) are dedicated for Institutional investors. (9) The management fee, based on the total value of each Sub-fund, for each past month, shall be payable on a monthly basis. The caption Management fees also contains the investment manager fees. It s expected that 50% of the net Management fees net will be transfered to the investment manager. Part of the variable management fees will be retroceed to the investment manager of the sub-fund. No management fees for the AZ Multi Asset - World Trading, AZ Multi Asset - Romeo, AZ Multi Asset - CGM Valor Flexible Strategies Fund and AZ Multi Asset - CGM Valor Bond Strategies Fund. Note 5. Additional variable management fees AZ Multi Asset - Institutional T An additional variable management fee is payable for this Sub-fund in case of over-performance, i.e., if the change in Unit value within the reference timeframe (calendar year) exceeds the change in the reference index below, within the same timeframe (calendar year). It is calculated on the last business day of the calendar year before the reference timeframe (calendar year). When the above conditions are met, the additional fee will be 10% of said over-performance, multiplied by the number of existing Units at the Valuation Date the calculation of the fee refers to. This additional fee is withdrawn every year from the Sub-fund assets, on the first business day of the calendar year following the reference period. The additional variable management fee is applied daily with the provision of the day to which the calculation refers being accrued as above indicated. Every day, the provision of the previous day will be credited and, where appropriate, the provision of the day the calculation refers to will be debited so as to calculate the total value of the Sub-fund. 114

118 Notes to the financial statements as at December 31, 2016 (continued) Note 5. Additional variable management fees (continued) Only for Units of MASTER class (O) no additional variable management fee is provided. For Units of MASTER class (), only a service fee is provided, for a maximum amount of 0.009% a month. Reference index: 100% MSCI DAILY WORLD NET TR LOCAL (NDDLWI). As at December 31, 2016, the additional variable management fees was 427, AZ Multi Asset - Institutional Italy T An additional variable management fee is payable for this Sub-fund in case of over-performance, i.e., if the change in Unit value within the reference timeframe (calendar year) exceeds the change in the reference index below, within the same timeframe (calendar year). It is calculated on the last business day of the calendar year before the reference timeframe (calendar year). When the above conditions are met, the additional fee will be 10% of said over-performance, multiplied by the number of existing Units at the Valuation Date the calculation of the fee refers to. This additional fee is withdrawn every year from the Sub-fund assets, on the first business day of the calendar year following the reference period. The additional variable management fee is applied daily with the provision of the day to which the calculation refers being accrued as above indicated. Every day, the provision of the previous day will be credited and, where appropriate, the provision of the day the calculation refers to will be debited so as to calculate the total value of the Sub-fund. Only for Units of MASTER class (O DIS), no additional variable management fee is provided. For Units of MASTER class (), only a service fee is provided, for a maximum amount of 0.009% a month. Reference index: 100% FTSI MIB TOTAL RETURN (TFTMIBE) As at December 31, 2016, the additional variable management fee is AZ Multi Asset - Institutional Europe D An additional variable management fee is payable for this Sub-fund in case of over-performance, i.e., if the change in Unit value within the reference timeframe (calendar year) exceeds the change in the reference index below, within the same timeframe (calendar year). It is calculated on the last business day of the calendar year before the reference timeframe (calendar year). When the above conditions are met, the additional fee will be 10% of said over-performance, multiplied by the number of existing Units at the Valuation Date the calculation of the fee refers to. This additional fee is withdrawn every year from the Sub-fund assets, on the first business day of the calendar year following the reference period. The additional variable management fee is applied daily with the provision of the day to which the calculation refers being accrued as above indicated. Every day, the provision of the previous day will be credited and, where appropriate, the provision of the day the calculation refers to will be debited so as to calculate the total value of the Sub-fund. Only for Units of MASTER class (O DIS), no additional variable management fee is provided. For Units of MASTER class (), only a service fee is provided, for a maximum amount of 0.009% a month. Reference index: 50% O GOVERNMENT 1-3 YEARS TOTAL RETURN (EUG1TR) + 50% STOXX 600 TOTAL RETURN (SXXGR) As at December 31, 2016, the additional variable management fee is 115, AZ Multi Asset - BTPortfolio For this Sub-fund, an additional variable management fee amounting to 0.005% of the total value of the Sub-fund (net of all liabilities other than the additional variable management fee) is payable for each percentage point of return generated by the Sub-fund. The return of the Sub-fund is intended as the increase, expressed as an annualised percentage, in the net asset value per unit calculated (net of all liabilities other than the additional variable management fee) on the last business day of the month compared with the net asset value per unit on the corresponding business day of the previous quarter. This means that no additional variable management fees will be due for the first quarter, since there is no reference quarter. The payment of any additional variable management fee shall be made on a monthly basis. As at December 31, 2016, the additional variable management fee is 184,

119 Notes to the financial statements as at December 31, 2016 (continued) Note 5. Additional variable management fees (continued) AZ Multi Asset - Renminbi Opportunities An additional variable management fee is payable for this Sub-fund in case of over-performance, i.e., if the change in Unit value within the reference timeframe (calendar year) exceeds the change in the reference index below, within the same timeframe (calendar year). It is calculated on the last business day of the calendar year before the reference timeframe (calendar year). When the above conditions are met, the additional fee will be 10% of said over-performance, multiplied by the number of existing Units at the Valuation Date the calculation of the fee refers to. This additional fee is withdrawn every year from the Sub-fund assets, on the first business day of the calendar year following the reference period. The additional variable management fee is applied daily with the provision of the day to which the calculation refers being accrued as above indicated. Every day, the provision of the previous day will be credited and, where appropriate, the provision of the day to which the calculation refers will be debited so as to calculate the total value of the Sub-fund. For MASTER Units (O non hedged), AHK (USD), BHK (USD), AHK (HKD) and BHK (HKD), no additional variable management fee is provided. Exclusively for Units of MASTER class (O non hedged), only a service fee is provided, for a maximum amount of 0.009% a month. Reference index: 0.5% on an annual basis As at December 31, 2016, the additional variable management fee is AZ Multi Asset - Renminbi Opportunities-Fixed Income An additional variable management fee is payable for this Sub-fund in case of over-performance, i.e., if the change in Unit value within the reference timeframe (calendar year) exceeds the change in the reference index below, within the same timeframe (calendar year). It is calculated on the last business day of the calendar year before the reference timeframe (calendar year). When the above conditions are met, the additional fee will be 10% of said over-performance, multiplied by the number of existing Units at the Valuation Date the calculation of the fee refers to. This additional fee is withdrawn every year from the Sub-fund assets, on the first business day of the calendar year following the reference period. The additional variable management fee is applied daily with the provision of the day to which the calculation refers being accrued as above indicated. Every day, the provision of the previous day will be credited and, where appropriate, the provision of the day the calculation refers to will be debited so as to calculate the total value of the Sub-fund. For MASTER Units (O non hedged), no additional variable management fee is provided. Exclusively for Units of MASTER class (O non hedged), only a service fee is provided, for a maximum amount of 0.009% a month. Reference index: for Units belonging to classes A, B and MASTER (O non hedged): 0.5% on an annual basis For class C Units: HIBOR 3 MONTHS +1.00% As at December 31, 2016, the additional variable management fee is 1, AZ Multi Asset - Institutional Macro Dynamic Trading For the shares A (O), B (O), A (USD), B (USD), an additional variable management fee is payable for this Sub-fund in case of over-performance, i.e., if the change in Unit value within the reference timeframe (calendar year) exceeds the change in the reference index below, within the same timeframe (calendar year).it is calculated on the last business day of the calendar year before the reference timeframe (calendar year). When the above conditions are met, the additional fee will be 10% of said over-performance, multiplied by the number of existing Units at the Valuation Date the calculation of the fee refers to. This additional fee is withdrawn every year from the Sub-fund assets, on the first business day of the calendar year following the reference period. The additional variable management fee is applied daily with the provision of the day to which the calculation refers being accrued as above indicated. Every day, the provision of the previous day will be credited and, where appropriate, the provision of the day the calculation refers to will be debited so as to calculate the total value of the Sub-fund. Only for Units of A (AUD) there is no additional variable management fee Only for Units of MASTER class (O) no additional variable management fee is provided. For Units of MASTER class (), only a service fee is provided, for a maximum amount of 0.009% a month. 116

120 Notes to the financial statements as at December 31, 2016 (continued) Note 5. Additional variable management fees (continued) Reference index: 1% on an annual basis As at December 31, 2016, the additional variable management fee is AZ Multi Asset - Institutional Commodity Trading An additional variable management fee is payable for this Sub-fund in case of over-performance, i.e., if the change in Unit value within the reference timeframe (calendar year) exceeds the change in the reference index below, within the same timeframe (calendar year). It is calculated on the last business day of the calendar year before the reference timeframe (calendar year). When the above conditions are met, the additional fee will be 10% of said over-performance, multiplied by the number of existing Units at the Valuation Date the calculation of the fee refers to. This additional fee is withdrawn every year from the Sub-fund assets, on the first business day of the calendar year following the reference period. The additional variable management fee is applied daily with the provision of the day to which the calculation refers being accrued as above indicated. Every day, the provision of the previous day will be credited and, where appropriate, the provision of the day the calculation refers to will be debited so as to calculate the total value of the Sub-fund. Only for Units of MASTER class (O) no additional variable management fee is provided. For Units of MASTER class (), only a service fee is provided, for a maximum amount of 0.009% a month. Reference index: 100% Dow Jones UBS Commodity Index (DJUBS Index). As at December 31, 2016, the additional variable management fee is 1, AZ Multi Asset - World Trading As of October 1, 2015, for this Sub-fund also a fee for selection, reporting and monitoring of counterparties managing the target UCI/UCITS is applicable and due to the Management Company, with an annual maximum equal to 0.10% of Sub-fund net assets. For any Unit class, it is also foreseen to pay an additional variable management fee amounting to 0.020% of the total value of the Sub-fund (net of all liabilities other than the additional variable management fee) for each percentage point of return generated by the Sub-fund. The return of the Sub-fund is intended as the increase, expressed as an annualised percentage, in the net asset value per unit calculated (net of all liabilities other than the additional variable management fee) on the last business day of the month compared with the net asset value (as defined in chapter 12 of this Prospectus) per Unit on the corresponding business day of the previous quarter. The payment of any additional variable management fee shall be made on a monthly basis. As at December 31, 2016, the additional variable management fee is 170, AZ Multi Asset Algo Equity Strategies* For this Sub-fund, a fee for selection, reporting and monitoring of counterparties managing the target UCIs / UCITS, is applicable and due to the company, with an annual maximum equal to 0.10% of Sub-fund net assets. This rate was changed during the year. As of November 14, 2016: For the O RETAIL and O RETAIL shares, it is foreseen to charge an additional variable management fee amounts to 0.010% of the total value of the Sub-fund (net of All other liabilities other than the additional variable management fees) for each percentage point of return generated by the Sub-fund. The return of the sub-fund is intended as the increase, expressed as an annualised percentage, in the net asset value per unit calculated (net of all other liabilities other than the additional variable management fee) on the last business day of the month compared with the net asset value per Unit on the corresponding business day of the previous quarter. The payment of any additional variable management fee shall be made on a monthly basis. The Class A (O) and B (O): an additional variable management fee is payable for this Sub-fund in case of (over performance), i.e., if the change in Unit value within the reference timeframe (calendar year) exceeds the change in the reference index specified below within the same time horizon (calendar year). It is calculated on the last business day of the calendar year before the reference timeframe (calendar year). When the above conditions are met, the additional fee will be 10% of said over-performance, multiplied by the number of existing Units at the Valuation Date the calculation of the fee refers to. This additional fee is withdrawn every year from the Sub-fun liquid assets, on the first business day of the calendar year following the reference period. The additional variable management fee is applied daily with the provision of the day to which the calculation refers being accrued as above indicated. Every day, the provision of the previous day will be credited and, where appropriate, the provision of the day to which the calculation refers will be debited so as to calculate the total value of the Sub-fund. Reference index: 100% MSCI WORLD As at December 31, 2016, the additional variable management fee is 114,

121 Notes to the financial statements as at December 31, 2016 (continued) AZ Multi Asset - FLEX For this Sub-fund, a fee for selection, reporting and monitoring of counterparties managing the target UCIs / UCITS, is applicable and due to the company, with an annual maximum equal to 0.10% of Sub-fund net assets. This rate was changed during the year. For Units A (O RETAIL) and B (O RETAIL), it is foreseen to pay an additional variable management fee amounts to 0.007% of the total value of the Sub-fund (net of All other liabilities other than the additional variable management fees) for each percentage point of return generated by the Sub-fund. The return of the sub-fund is intended as the increase, expressed as an annualised percentage, in the net asset value per unit calculated (net of all other liabilities other than the additional variable management fee) on the last business day of the month compared with the net asset value per Unit on the corresponding business day of the previous quarter. The payment of any additional variable management fee shall be made on a monthly basis. For Units A (O) and B (O) shares, an additional variable management fee shall be payable for this Sub-fund in case of (over performance), i.e., if the change in Unit value within the reference timeframe (calendar year) exceeds the change in the reference index specified below within the same time horizon (calendar year). It is calculated on the last business day of the calendar year before the reference timeframe (calendar year). When the above conditions are met, the additional fee will be 10% of said over-performance, multiplied by the number of existing Units at the Valuation Date the calculation of the fee refers to. This additional fee is withdrawn every year from the Sub-fund liquid assets, on the first business day of the calendar year following the reference period. The additional variable management fee is applied daily with the provision of the day to which the calculation refers being accrued as above indicated. Every day, the provision of the previous day will be credited and, where appropriate, the provision of the day to which the calculation refers will be debited so as to calculate the total value of the Sub-fund. Reference index: 100% MSCI WORLD As at December 31, 2016, the additional variable management fee is 1,638, AZ Multi Asset - Romeo An additional variable management fee is payable for this Sub-fund in the following instances: - in case of over-performance, i.e., if the change in Unit value within the reference timeframe (calendar year) exceeds the reference index below, within the same timeframe (calendar year). It is calculated on the last business day of the calendar year before the reference timeframe (calendar year). - if the Unit value calculated at the last business day of the current calendar year is higher than the Unit value calculated at the last business day of any previous calendar year. When both the above conditions are met, the additional fee will be 10% of said over-performance, multiplied by the number of existing Units at the Valuation Date the calculation of the fee refers to. For the purpose of verifying the fulfilment of the above conditions, all reference Unit values will be considered as including (gross value) any amount distributed to Holders of class A (O DIS) Units. This additional fee is withdrawn every year from the Sub-fund liquid assets, on the first business day of the calendar year following the reference period. The additional variable management fee is applied daily with the provision of the day to which the calculation refers being accrued as above indicated. Every day, the provision of the previous day will be credited and, where appropriate, the provision of the day to which the calculation refers will be debited so as to calculate the total value of the Sub-fund. Reference index : IBOR 12 MOIS +150 bps As at December 31, 2016, the additional variable management fee is 45, AZ Multi Asset MAMG Global Sukuk* An additional variable management fee is payable for this Sub-fund in case of over-performance, i.e., if the change in Unit value within the reference timeframe (calendar year) exceeds the change in the reference index below, within the same timeframe (calendar year). It is calculated on the last business day of the calendar year before the reference timeframe (calendar year). When the above conditions are met, the additional fee will be 10% of said over-performance, multiplied by the number of existing Units at the Valuation Date the calculation of the fee refers to. This additional fee is withdrawn every year from the Sub-fund assets, on the first business day of the calendar year following the reference period. The additional variable management fee is applied daily with the provision of the day to which the calculation refers being accrued as above indicated. For the total net asset value calculation purposes, every day the provision of the previous day is credited or debited from the calculated provision of the day for the total net asset value calculation purposes. Only for Units of MASTER class (O DIS), no additional variable management fee is provided. For Units of MASTER class ( DIS), only a service fee is provided, for a maximum amount of 0.009% a month. 118

122 Notes to the financial statements as at December 31, 2016 (continued) Note 5. Additional variable management fees (continued) Reference index: 100% LIBOR 3 MONTH USD +1.5% As at December 31, 2016, there is no additional variable management fee. AZ Multi Asset - CGM Valor Flexible Strategies Fund An additional variable management fee is payable for this Sub-fund, calculated with reference to each Valuation Date, equal to 10% of the difference between the following, as long as result is a positive amount: - the net asset value of the Unit on the relevant Valuation Date and - the highest Unit NAV on each previous Valuation Date (hereinafter, the "Unit Maximum Value" or "UMV") multiplied by the number of existing Units at the Valuation Date the calculation of the above fee refers to. This variable fee is accrued every day and withdrawn monthly from the Sub-fund assets. As at December 31, 2016, there is no additional variable management fees AZ Multi Asset - CGM Valor Bond Strategies Fund An additional variable management fee is payable for this Sub-fund, calculated with reference to each Valuation Date, equal to 10% of the difference between the following, as long as result is a positive amount: - the net asset value of the Unit on the relevant Valuation Date and - the highest Unit NAV on each previous Valuation Date (hereinafter, the "Unit Maximum Value" or "UMV") multiplied by the number of existing Units at the Valuation Date the calculation of the above fee refers to. This variable fee is accrued every day and withdrawn monthly from the Sub-fund assets. As at December 31, 2016, there is no additional variable management fees. AZ Multi Asset - Asia Absolute An additional variable management fee is payable for this Sub-fund in case of over-performance, i.e., if the change in Unit value within the reference timeframe (calendar year) exceeds the change in the reference index below, within the same timeframe (calendar year). It is calculated on the last business day of the calendar year before the reference timeframe (calendar year). When the above conditions are met, the additional fee will be 10% of said over-performance, multiplied by the number of existing Units at the Valuation Date the calculation of the fee refers to. This additional fee is withdrawn every year from the Sub-fund assets, on the first business day of the calendar year following the reference period. The additional variable management fee is applied daily with the provision of the day to which the calculation refers being accrued as above indicated. Every day, the provision of the previous day will be credited and, where appropriate, the provision of the day to which the calculation refers will be debited so as to calculate the total value of the Sub-fund. Only for MASTER (O Hedged) Units: no additional variable management fee is provided. For Units of the class MASTER (O Hedged), only a service fee is provided, for a maximum amount of 0.009% a month. Reference index: 50% MSCI Far East ex Japan TR in USD + 50% EFFAS Index US Govt 1-3 years. As at December 31, 2016, there is no additional variable management fees. AZ Multi Asset - Sustainable Absolute Return* For Units belonging to classes A (O RETAIL) and A (O RETAIL DIS): it is also foreseen to pay an additional variable management fee amounting to 0.010% of the total value of the Sub-fund (net of all liabilities other than the additional variable management fee) for each percentage point of return generated by the Sub-fund. The return of the Sub-fund is intended as the increase, expressed as an annualised percentage, in the net asset value per unit calculated (net of all liabilities other than the additional variable management fee) on the last business day of the month compared with the net asset value (as defined in chapter 12 above of this Prospectus) per Unit on the corresponding business day of the previous quarter. The payment of any additional variable management fee shall be made on a monthly basis. For class A (O) Units : An additional variable management fee is payable for this type of Units in the following instances: in case of overperformance, i.e., if the change in Unit value within the reference timeframe (calendar year) exceeds the reference index below, within the same timeframe (calendar year). It is calculated on the last business day of the calendar year before the reference timeframe (calendar year). if Unit value calculated at the last business day of the current calendar year is higher than the Unit value calculated at the last business day of the previous calendar year. When both the above conditions are met, the additional fee will be 20 % of said over-performance, multiplied by the number of existing Units at the Valuation Date the calculation of the fee refers to. 119

123 Notes to the financial statements as at December 31, 2016 (continued) Note 5. Additional variable management fees (continued) This additional fee is withdrawn every year from the Sub-fund assets, on the first business day of the calendar year following the reference period. The additional variable management fee is applied daily with the provision of the day to which the calculation refers being accrued as above indicated. Every day, the provision of the previous day will be credited and, where appropriate, the provision of the day to which the calculation refers will be debited so as to calculate the total value of the Sub-fund. Reference index: IBOR 3 MONTHS % As at December 31, 2016, there is no additional variable management fees. AZ Multi Asset - Sustainable Equity Trend* An additional variable management fee is payable in the following instances: In case of over-performance, i.e., if the change in Units value within the reference timeframe (calendar year9 exceeds the change inb the reference index below, within the same timeframe (calendar year). It is calculated on the last business day of the calendar year before the reference timeframe (calendar year). If Units value calculated at the last business day of the current calendar year is higher than the Unit value calculated at the last business day of the previous calendar year. When both the above conditions are met, the additional fee will be 10% of said over-performance, multiplied by the nember of existing Units at the Valuation Date the calculation of the fee refers to. This additional variable management fee is applied daily with the provision of the day to which the calculation refers being accrued as above indicated. Every day, the provision of the previous day will be credited and, where appropriates, the provision of the day to which the calculation refers will be debited so as to calculate the total value of the Sub-fund. Reference index: MSCI World Total Return (ticker: MXWO) +4.00% As at December 31, 2016, there is no additional variable management fees. AZ Multi Asset - Sustainable Hybrid Bonds For A (O RETAIL) and A (O RETAIL DIS) Unit classes, it is also foreseen to pay an additional variable management fee amounting to 0.007% of the total value of the Sub-fund (net of all liabilities other than the additional variable management fee) for each percentage point of return generated by the Sub-fund. The return of the Sub-fund is intended as the increase, expressed as an annualised percentage, in the net asset value per unit calculated (net of all liabilities other than the additional variable management fee) on the last business day of the month compared with the net asset value (as defined in chapter 12 above of this Prospectus) per Unit on the corresponding business day of the previous quarter. This means that no additional variable management fees will be due for the first quarter, since there is no reference quarter. The payment of any additional variable management fee shall be made on a monthly basis. For Units belonging to classes A (O) and A (O DIS): An additional variable management fee is payable for this type of Units in the following instances: - in case of over-performance, i.e., if the change in Unit value within the reference timeframe (calendar year) exceeds the reference index below, within the same timeframe (calendar year). It is calculated on the last business day of the calendar year before the reference timeframe (calendar year). if Unit value calculated at the last business day of the current calendar year is higher than the Unit value calculated at the last business day of the previous calendar year. When both the above conditions are met, the additional fee will be 20 % of said over-performance, multiplied by the number of existing Units at the Valuation Date the calculation of the fee refers to. This additional fee is withdrawn every year from the Sub-fund assets, on the first business day of the calendar year following the reference period. The additional variable management fee is applied daily with the provision of the day to which the calculation refers being accrued as above indicated. Every day, the provision of the previous day will be credited and, where appropriate, the provision of the day to which the calculation refers will be debited so as to calculate the total value of the Sub-fund. Reference index : 4.00% As at December 31, 2016, the additional variable management fee is 158,

124 Notes to the financial statements as at December 31, 2016 (continued) Note 5. Additional variable management fees (continued) AZ Multi Asset - Global Value It is also foreseen to pay an additional variable management fee amounting to 0.010% of the total value of the Sub-fund (net of all liabilities other than the additional variable management fee) for each percentage point of return generated by the Sub-fund. The return of the Sub-fund is intended as the increase, expressed as an annualised percentage, in the net asset value per unit calculated (net of all liabilities other than the additional variable management fee) on the last business day of the month compared with the net asset value (as defined in chapter 12 above of this Prospectus) per Unit on the corresponding business day of the previous quarter. This means that no additional variable management fees will be due for the first quarter, since there is no reference quarter. The payment of any additional variable management fee shall be made on a monthly basis. A portion of the management fee will be reassigned by retrocession to the distributor and Investment Advisor of the Sub-fund. 50% of the net management fee payable to the Management Company will be reversed to the Investment Advisor. A portion of the additional variable management fee will be reassigned by retrocession to the Investment Advisor of the Sub-fund. For this Sub-fund also a fee for selection, reporting and monitoring of counterparties managing the target UCI/UCITS is applicable and due to the Management Company, with an annual maximum equal to 0.10% of Sub-fund net asset. As at December 31, 2016, the additional variable management fee is 1,268, AZ Multi Asset RIN BALANCED EQUITY* It is also foreseen to pay an additional variable management fee amounting to 0.010% of the total value of the Sub-fund (net of all liabilities other than the additional variable management fees) for each percentage point of return generated by the Sub-fund. The return of the Sub-fund is intended as the increase, expressed as an annualised percentage, in the net asset value per unit calculated (net of all liabilities other than the additional variable management fees) on the last business day of the month compared with the net asset value (as defined in chapter 12 above of this Prospectus) per Unit on the corresponding business day of the previous quarter. This means that no additional variable management fees will be due for the first quarter, since there is no reference quarter. The payment of any additional variable management fees shall be made on a monthly basis. As at December 31, 2016, the additional variable management fee is 40, AZ Multi Asset RIN G.A.M.E.S.* It is also foreseen to pay an additional variable management fee amounting to 0.010% of the total value of the Sub-fund (net of all liabilities other than the additional variable management fees) for each percentage point of return generated by the Sub-fund. The return of the Sub-fund is intended as the increase, expressed as an annualised percentage, in the net asset value per unit calculated (net of all liabilities other than the additional variable management fees) on the last business day of the month compared with the net asset value (as defined in chapter 12 above of this Prospectus) per Unit on the corresponding business day of the previous quarter. This means that no additional variable management fees will be due for the first quarter, since there is no reference quarter. The payment of any additional variable management fees shall be made on a monthly basis. As at December 31, 2016, the additional variable management fee is 27, AZ Multi Asset Brazil Value* An additional variable management fee shall be payable for this Sub-fund in case of over-performance, i.e., if the change in Unit value within the reference timeframe (calendar year) exceeds the change in the reference index below, within the same timeframe (calendar year). It is calculated on the last business day of the calendar year before the reference timeframe (calendar year). When the above conditions are met, the additional fee will be 20 % of said over performance, multiplied by the number of existing Units at the Valuation Date the calculation of the above fee refers to. As at December 31, 2016, there is no additional variable management fee. * See note 1 for further details Note 6. Custodian Bank Fees The bank receives a fee per transaction ranging from 15 to 350 depending on the type of transaction with a minimum of 500 per month and per Sub-fund. Note 7. Administration fees Administration fees include general administration costs. The annual rate is 0.01% with a minimum of 2,500 O per month and per Sub-fund. For drafting the annual and interim reports in the language of the prospectus, a fee of 5,700 per year for the first 5 Sub-funds will be levied. For all new additional Sub-funds, a fee of 350 per year will be charged. 121

125 Notes to the financial statements as at December 31, 2016 (continued) Note 8. Taxe d abonnement The Fund is governed by Luxembourg tax laws. Under its legislation and regulations, the Fund is subject to the registration tax, calculated and payable quarterly on the basis of the Net Assets of each Sub-fund at the end of the quarter. According to Luxembourg tax laws, funds are subject either to an annual rate of 0.01% for institutional Units and to an annual rate of 0.05% for other Units. This tax is reduced to 0% on the value of assets represented by units held in other Luxembourg UCI that have already been subject to the registration tax. Note 9. Other expenses Other expenses mainly include CSSF membership fees, transaction fees and translation fees. Note 10. Exchange rate As at December 31, 2016, the following exchange rates have been used: 1 = AED (Arabe Emirates Dollar) 1 = HKD (Hong Kong Dollar) 1 = AUD (Dollar Australien) 1 = JPY (Yen Japonais) 1 = BRL (Real Brésilien) 1 = NOK (Couronne Norvégienne) 1 = CAD (Dollar Canadien) 1 = NZD (Dollar Néo-Zélandais) 1 = CHF (Franc Suisse) 1 = SGD (Dollar Singapourien) 1 = CNH (Yuan Chinois) 1 = USD (Dollar Américain) 1 = GBP (Livre Sterling) 1 = ZAR (Rand Sud-Africain) 1 = INR (Roupie Indienne) 1 = MXN (Peso Mexicain) 1 = QAR (Riyal Qatari) 1 = 14, IDR (Roupie Indonésienne) 1 = PHP (Peso Philippin) 1 = RUB (Rouble Russe) 1 = MYR (Ringgit Malaisien) 1 = XAF (Franc Afrique Centrale) 1 = 1, KRW (Won Sud-Coréen) 1 = SEK (Couronne Suédoise) 1 = DKK (Couronne Danoise) 1 = THB (Baht Thaïlandais) 1 = CNY (Yuan Chinois) 1 = TRY (Livre Turque) Note 11. Transactions costs As at December 31, 2016, transaction costs include costs for purchase and sale of shares, options, CFD and futures. All bond transaction costs are included in the spread. The amount included in the statement of operations and changes in net assets is the amount of transaction costs for the period ended. Note 12. Transactions with related parties AZ MULTI ASSET Portfolio Managers may carry out transactions or invest in currencies or other financial products on behalf of each umbrella collective investment fund managed by the Company AZ Fund Management S.A. The AZ Multi Asset - Institutional T Sub-fund has invested as at December 31, 2016 in the following: - AZ Fund 1 - Long Term The AZ Multi Asset - Institutional Macro Dynamic Trading Sub-fund has invested as at December 31, 2016 in the following: - AZ Multi Asset - Asia Absolute - AZ Multi Asset - Renminbi Opportunities - AZ Multi Asset - Renminbi Opportunities - Fixed Income The AZ Multi Asset - Institutional Commodity Trading Sub-fund has invested as at December 31, 2016 in the following : - AZ Multi Asset - Institutional Macro Dynamic Trading The AZ Multi Asset - Romeo Sub-fund has invested as at December 31, 2016 in the following funds: - AZ Multi Asset - Institutional Italy T - AZ Fund 1 - QInternational - AZ Fund 1 - QProtection - AZ Fund 1 - Hybrid Bond - AZ Fund 1 - Institutional Target - AZ Fund 1 - Arbitrage - AZ Fund 1 - Core Brands The AZ FUND 1 fund complies with article 41 (1) e of the Law December 17,

126 Notes to the financial statements as at December 31, 2016 (continued) Note 13. Changes in the composition of the securities portfolio The list of changes in the composition of the securities portfolio is held without charge available to unitholders at the counters of the Custodian Bank and the registered office of AZ Management Fund S.A. Note 14. AZ Multi Asset - Global Sukuk Sub-fund This Sub-fund is a Sharia-compliant sub-fund. With the aim of a valuation of medium to long-term assets, the Sub-fund will typically invest in instruments of Islamic securities "SUKUK" (variable, fixed income, indexed, subordinated and convertible securities), such as government securities and/or supranational ones, emerging debt instruments, corporate and/or convertible securities respecting the principles of Sharia. All investments will be validated by the Sharia Committee. Note 15. Distribution Sub-funds AZ Multi Asset - Institutional Europe D AZ Multi Asset - BTPortfolio AZ Multi Asset - Sustainable Hybrid Bonds AZ Multi Asset - Romeo Units Ex-Date Total dividend per units A (O DIS) 18/01/ MASTER (O DIS) 18/04/ MASTER (O DIS) 18/07/ MASTER (O DIS) 17/10/ A (O DIS) 18/01/ B (O DIS) 18/01/ A (O DIS) 18/04/ B (O DIS) 18/04/ A (O DIS) 18/07/ B (O DIS) 18/07/ A (O DIS) 17/10/ B (O DIS) 17/10/ A (O DIS) 18/04/ A (O DIS) 18/07/ A (O DIS) 17/10/ A (O RETAIL DIS) 17/10/ A (O DIS) 18/07/ A (O DIS) 17/10/ Note 16. Management fee rates Investments held by AZ Multi Asset - Global Tactical Asset Allocation, AZ Multi - Institutional Macro Dynamic Trading, AZ Multi Asset - World Trading, AZ Multi Asset - FLEX and AZ Multi Asset - Romeo in underlying investment funds are also subject to management fees. These management fees are charged at different rates, but do not exceed 2% of the average daily net assets for an individual underlying investment fund. Note 17. Total Return Swap AZ Multi Asset - Institutional Europe D Nominal Currency Paid Received Counterparty Non realised Maturity date 15,343, ,998, ,140, ,122, SGI Merger Arbitrage Index LUTETIA Volat Advantage II Index SGI Merger Arbitrage Index SGI Merger Arbitrage Index IBOR 3M IBOR 3M IBOR 3M IBOR 3M Société Générale Capital Markets Société Générale Capital Markets Société Générale Capital Markets Société Générale Capital Markets 10, /08/ , /04/2017 (25,702.00) 15/09/ , /11/

127 Notes to the financial statements as at December 31, 2016 (continued) Note 17. Total Return Swap (suite) AZ Multi Asset - Institutional Macro Dynamic Trading Nominal Currency Paid Received Counterparty Non realised Maturity date 10,000, USD Goldman Sachs GSCI Mod Strat D bps Goldman Sachs International 7, /01/ ,000, USD CTRB Bloomberg Commodity 0 bp Goldman Sachs International 25, /01/ ,000, USD MS HDX Dynamic Roll Morgan Stanley And Co. RADAR Out 33 bps International PLC performance Index 11, /06/2017 3,000, USD Goldman Sachs GSCI Mod Strat D bps Goldman Sachs International 2, /01/2017 AZ Multi Asset - Institutional Commodity Trading Nominal Currency Paid Received Counterparty Non realised Maturity date 10,000, USD MS HDX Dynamic Roll 45 bps Morgan Stanley and Co International PLC 11, /06/ ,000, USD MS HDX Dynamic Roll 45 bps Morgan Stanley and Co International PLC 11, /06/ ,000, USD CTRB Bloomberg Commodity Index 15 bps Goldman Sachs International (103,167.58) 27/01/2017 5,000, USD Goldman Sachs GSCI Mod Strat D bps Goldman Sachs International 3, /01/2017 3,000, USD Goldman Sachs GSCI Mod Strat D bps Goldman Sachs International 2, /01/2017 4,000, USD Goldman Sachs GSCI Mod Strat D bps Goldman Sachs International 3, /01/ ,000, USD Crédit Suisse Custom 24 Index 16 bps Crédit Suisse International 257, /05/2017 5,000, USD Goldman Sachs GSCI Mod Strat D bps Goldman Sachs International 3, /01/ ,000, USD MS HDX Dynamic Roll 40 bps Morgan Stanley and Co International PLC 23, /06/2017 AZ Multi Asset - Romeo Nominal Currency Paid Received Counterparty Non realised Maturity date SGI Merger Arbitrage Société Générale Capital 4,112, IBOR 3M (17,683.00) 15/09/2017 Index Markets Note 18. Evènements post-clôture Les Compartiments suivants ont été lancés le 2 janvier 2017 : - AZ Multi Asset - Renaissance Opportunity Fund, - AZ Multi Asset - 5 years Global Bond, - AZ Multi Asset - CGM Investment grade Opportunity. Le compartiment suivant a été lancé le 3 janvier 2017 : - AZ Multi Asset - ABS 124

128 Additional Informations (unaudited) Note 19. Non-realised by counterparties Ci-dessous le non réalisé par contrepartie exprimé en devise du Compartiment : Sub-funds Financial instruments Contreparties Non-realised Contracts for difference CSFB London Derivatives 6,765, AZ Multi Asset - Institutional T AZ Multi Asset - Institutional Italy T AZ Multi Asset - Institutional Europe D AZ Multi Asset - Renminbi Opportunities AZ Multi Asset - Renminbi Opportunities - Fixed Income Bayer Hypovereinsbank Paris (233,134.70) BNP Paribas Paris (1,971,359.96) Citibank NA London 940, Crédit Suisse International London 3,069, Goldman Sachs International 1,143, Forward foreign exchange JP Morgan Securities LTD (98,636.69) Merril Lynch UK 273, Morgan Stanley And Co International 3,082, Nomura International PLC 917, Société Générale 2,652, UBS Warburg London (79,720.74) Future contracts Goldman Sachs London Derivatives (759,876.92) Contrats de change à terme Nomura International PLC (13.57) Contracts for difference CSFB London Deriviatives 16,222, Contracts for difference CSFB London Derivatives 5,236, Merrill Lynch London Derivatives 325, Future contracts Goldman Sachs London Derivatives (1,560,482.40) Bayer Hypovereinsbank Paris (266,468.31) BNP Paribas Paris (109,222.05) Forward foreign exchange Goldman Sachs International London (9,092.20) JP Morgan Securities LTD (165,985.46) Nomura International PLC 524, BNP Paribas Paris (1,720,705.63) BP2S Luxembourg (358.52) Forward foreign exchange Goldman Sachs International London (2,907,570.21) Merrill Lynch UK (807,602.58) Nomura International PLC (1,578,028.12) Société Générale (2,332,703.82) BP2S Luxembourg (58.26) Forward foreign exchange Goldman Sachs International London (425,146.00) Nomura International PLC (298,326.01) Société Générale (464,987.21) 125

129 Additional Informations (unaudited) Note 19. Unrealised by counterparties (continued) Sub-funds Financial instruments Contreparties Unrealised AZ Multi Asset - Institutional Macro Dynamic Trading AZ Multi Asset - Institutional Commodity Trading AZ Multi Asset - World Trading AZ Multi Asset - Algo Equity Strategies* Future contracts Goldman Sachs London Derivatives 59, BNP Paribas Paris (29,348.16) Non listed Options UBS Warburg London (21,722.95) Listed Goldman Sachs London Derivatives 239, Contracts for difference Forward foreign exchange CSFB London Derivatives (225,839.50) HSBC London Derivatives 616, Bayer Hypovereinsbank Paris (1,206,512.16) BNP Paribas Paris (1,254,552.90) BP2S Luxembourg (5,860.80) Goldman Sachs International London (1,195,148.30) Société Générale (1,206,723.40) UBS Warburg (1,206,300.90) Contracts for difference CSFB London Derivatives 128, Forward foreign exchange BNP Paribas Paris (243,040.94) CitiBank NA London (501,368.66) JP Morgan Securities LTD (505,753.59) Merril Lynch UK (505,843.04) Nomura International PLC (668,771.75) Future contracts BNP Paribas Paris 9, Forward foreign exchange Goldman Sachs International (700,277.17) Société Générale (94,551.84) Future contracts BNP Paribas Paris (41,093.92) Options Listed BNP Paribas Paris 56, AZ Multi Asset - FLEX Future contracts BP2S Luxembourg 141, AZ Multi Asset - Romeo Future contracts BNP Paribas Paris (87,471.11) Contracts for difference CSFB London derivatives (122,733.45) Contrats de change à terme Société Générale 2, AZ Multi Asset - CGM Valor Flexible Strategies Fund Options Listed BNP Paribas Paris (14,434.50) AZ Multi Asset - CGM Valor Bond Strategies Fund Options Listed BNP Paribas Paris (24,000.00) Contrats for difference CSFB London Derivatives 100, JP Morgan Securities (13,113.88) AZ Multi Asset - Asia Absolute Forward foreign exchange Nomura International PLC 118, Future contracts BNP Paribas Paris (158,957.33) AZ Multi Asset - Sustainable Hybrid Bonds Forward foreign exchange Nomura International PLC 17, AZ Multi Asset - Global Value Future contracts BNP Paribas Paris (1,569,100.00) AZ Multi Asset - RIN Balanced Equity* Future contracts BNP Paribas Paris (5,029.98) Forward foreign exchange Nomura International PLC (33,768.15) AZ Multi Asset - RIN G.A.M.E.S.* Future contracts BNP Paribas Paris (15,230.00) Forward foreign exchange Nomura International PLC (265,497.06) * See note 1 for further détails 126

130 Additional Informations (unaudited) Note 1. Collateral amounts As at December 31, 2016, the following amounts refer to open collaterals: Sub-funds Contreparties Currency Amount Type of Collatéral BNP Paribas Paris 3,580, Collatéral cash Goldman Sachs Londres 341, Collatéral cash AZ Multi Asset - Institutional T Boa Merrill Lynch 767, Collatéral cash JP Morgan 1,170, Collatéral cash Unicredit 1,090, Collatéral cash UBS 1,140, Collatéral cash AZ Multi Asset - Institutional Europe D JP Morgan 100, Collatéral cash Unicredit 260, Collatéral cash BNP Paribas Paris 1,610, Collatéral cash Sociéte Générale Paris 2,180, Collatéral cash AZ Multi Asset - Renminbi Opportunities Goldman Sachs Londres 2,673, Collatéral cash Nomura Londres 1,260, Collatéral cash Boa Merril Lynch 511, Collatéral cash AZ Multi Asset - Renminbi Opportunities Fixed Income Sociéte Générale Paris 255, Collatéral cash Golman Sachs Londres 246, Collatéral cash BNP Paribas Paris 1,570, Collatéral cash Sociéte Générale Paris 730, Collatéral cash AZ Multi Asset - Institutional Macro Dynamic Trading Goldman Sachs Londres 1,441, Collatéral cash Crédit Suisse Londres 399, Collatéral cash Unicredit 1,480, Collatéral cash UBS 1,470, Collatéral cash BNP Paribas Paris 330, Collatéral cash Morgan Stanley Londres 56, Collatéral cash AZ Multi Asset - Institutional Commodity Trading Nomura Londres 830, Collatéral cash Boa Merrill Lynch 606, Collatéral cash JP Morgan 630, Collatéral cash Citigroup 609, Collatéral cash AZ Multi Asset - World Trading Goldman Sachs Londres 815, Collatéral cash AZ Multi Asset - Romeo Crédit Suisse Londres 50, Collatéral cash The following amounts refer to collaterals received: Sub-funds Contreparties Currency Amount Citibank Na USD 240, Crédit Suisse Securities (Europe) Ltd 6,250, AZ Multi Asset - Institutional T Crédit Suisse International 2,850, Morgan Stanley & Co International PLC USD 3,170, Nomura 639, Société Générale 2,496, AZ Multi Asset - Institutional Italy T Crédit Suisse Securities (Europe) LTD 15,250, Crédit Suisse Securities (Europe) LTD 5,100, AZ Multi Asset - Institutional Europe D Merrill Lynch International 79,000,00 Nomura 330,000,00 Société Générale 294, AZ Multi Asset - Institutional Macro Dynamic Trading HSBC Bank PLC 620, AZ Multi Asset - Institutional Commodity Trading Crédit Suisse International 300, Goldman Sachs International USD ,00 AZ Multi Asset - Asia Absolute Crédit Suisse Securities (Europe) LTD ,00 127

131 Additional Informations (unaudited) Note 2. Rémunération Art 151 3)a) of the amended 2010 Law The total amount of remuneration for the financial year, split into fixed and variable remuneration, paid by the Management Company and the Investment Company to its staff, and number of beneficiaries, and where relevant, any amount paid directly by the UCITS itself, including any performance fees Fixed remuneration: ,89 Variable remuneration: ,00 Number of beneficiaries: 27 Amount attributed to senior management: ,00 Art 151 3)b) of the amended 2010 Law The aggregate amount of remuneration broken down by categories of employees or other members of staff of the management company whose actions have a material impact on the risk profile of the UCITS ,72 Number of beneficiaries: 18 Art 151 3)c) of the amended 2010 Law A description of how the remuneration and benefits have been calculated Art 151 3)d) of the amended 2010 Law The outcome of the reviews of the remuneration policy including any irregularities that have occurred The remuneration of the staff of the Management Company was based on long-term employment contracts As per the Remuneration Policy, the Company can set a part of the variable remuneration to the members of the Board which will be fixed by the shareholders. The remuneration of the Board members will not be directly linked to the returns of the Company. As per the Remuneration Policy, the Company can also set a part of the variable remuneration of all Identified Staff other than the Board members which is a prerogative of the shareholders that has the prerogative to assess and fix the remuneration of the senior management and of the persons heading the control functions. The remuneration of the senior management and of the internal control functions is based on function-specific objectives and will not be determined by the Company s performance criteria. Finally, as per the Remuneration Policy, the Remuneration of the Rest of the Identified Staff the senior management has the responsibility to assess and fix the remuneration of the Identified Staff not referred to the category referred above. The remuneration policy is available for shareholders free of charge on simple request at the registered office of the Management Company Not outcome has occurred during Art 151 3)e) of the amended 2010 Law Material changes to remuneration policy The Remuneration Policy has been approved by the Board of Directors on 23/11/

132 Additional information (unaudited) Note 3. Risks calculation method The Company will use a method of risk management, allowing it to control and measure constantly the risk incurred by the positions of the portofolios and their contribution to the risk profile of each sub-fund. If the Company invests in derivatives financial instruments with an aim other than covering, it will employ a method of risk which enables it to control and measure constantly the risk associated with the positions and the contribution with those to the general risk profile with each sub-fund. In addition, in this case, the Company will have to use a method allowing an evaluation precise and independent of the value of the OTC instruments. Sub-funds Minimum VaR use average VaR use Maximale VaR use Model Holding Confidence Interval Leverage Level AZ Multi Asset - Algo Equity Strategies 0,99% 4,38% 11,10% Historic 1 mois 99,00% 181,14% AZ Multi Asset - Asia Absolute 2,58% 6,93% 12,04% Historic 1 mois 99,00% 172,96% AZ Multi Asset - Brazil Value 12,47% 14,23% 15,82% Historic 1 mois 99,00% 0,00% AZ Multi Asset - BTPortfolio 1,58% 1,89% 2,47% Historic 1 mois 99,00% 0,00% AZ Multi Asset - CGM Valor Bond Strategies Fund 1,46% 2,00% 2,48% Historic 1 mois 99,00% 5,38% AZ Multi Asset - CGM Valor Flexible Strategies Fund 2,51% 3,10% 4,06% Historic 1 mois 99,00% 2,83% AZ Multi Asset - Flex 0,47% 3,04% 13,16% Historic 1 mois 99,00% 29,57% AZ Multi Asset - Global Value 2,72% 4,57% 8,15% Historic 1 mois 99,00% 39,03% AZ Multi Asset - Institutional Commodity Trading 4,10% 11,23% 15,03% Historic 1 mois 99,00% 239,68% AZ Multi Asset - Institutional Euro D 2,88% 4,49% 5,95% Historic 1 mois 99,00% 86,74% AZ Multi Asset - Institutional Italy T 10,01% 17,29% 21,74% Historic 1 mois 99,00% 46,08% AZ Multi Asset - Institutional Macro Dynamic Trading 2,11% 2,99% 5,09% Historic 1 mois 99,00% 106,09% AZ Multi Asset - Institutional T 6,88% 9,52% 11,20% Historic 1 mois 99,00% 88,24% AZ Multi Asset - Global Sukuk 4,60% 4,95% 5,52% Historic 1 mois 99,00% 0,00% AZ Multi Asset - Renminbi Opportunities - Fixed Income 6,12% 6,60% 7,31% Historic 1 mois 99,00% 35,86% AZ Multi Asset - Renminbi Opportunities 5,01% 6,04% 6,95% Historic 1 mois 99,00% 79,75% AZ Multi Asset - RIN Balanced Equity 8,07% 8,48% 9,12% Historic 1 mois 99,00% 11,84% AZ Multi Asset - RIN G.A.M.E.S. 7,34% 8,89% 10,85% Historic 1 mois 99,00% 67,24% AZ Multi Asset - Romeo 2,27% 2,63% 3,15% Historic 1 mois 99,00% 23,29% AZ Multi Asset - Sustainable Equity Trend 9,81% 10,29% 14,70% Historic 1 mois 99,00% 0,00% AZ Multi Asset - Sustainable Hybrid Bonds 1,69% 2,07% 2,82% Historic 1 mois 99,00% 28,80% AZ Multi Asset - World Trading 1,39% 4,68% 7,93% Historic 1 mois 99,00% 54,87% 129

133 Additional information (unaudited) Note 4. Sharia Compliance Report 130

134 Additional information (unaudited) Note 5. Securities Financing Transaction Regulation (SFTR) Based on the analysis conducted by the Management Company, the scope of these disclosure covers the securities lending activities and the transactions in total return swaps. For the year ended December 31st, 2016 Aggregate transaction data for each type of SFT and TRS Global data During 2016 the Fund did not have any securities lending activities related to Repurchase transactions or reverse repurchase transactions, Securities or Commodities lendind/borrowing, Buy-sell backtransactions or sell-buy back transactions, Margin lending transations, Swaps. Data on collateral reuse Only cash collateral has been received during Safekeeping of collateral received by the collective investment undertaking as part of SFTs and total return swaps Only cash collateral has been received during Safekeeping of collateral granted by the collective investment undertaking as part of SFTs and total return swaps Only cash collateral has been granted during 2016 Data on return and cost for total return swaps The following table reflects the return and cost for total return swaps, sorted by sub-fund, broken down between the sub-fund and third parties opened at the year ended December 31st, 2016 COSTS Fund Fund as % average NAV Third parties AZ Multi Asset - Institutional Commodity Trading 369, % CREDIT SUISSE INTERNATIONAL 826, % GOLDMAN SACHS INTERNATIONAL LONDON AZ Multi Asset - Institutional Europe D AZ Multi Asset - Institutional Macro Dynamic Trading AZ Multi Asset - Romeo 115, % MORGAN STANLEY INTERNATIONAL 4, % SOCIETE GENERALE CAPITAL MARKETS - 2, % CREDIT SUISSE INTERNATIONAL 62, % GOLDMAN SACHS INTERNATIONAL LONDON % MORGAN STANLEY INTERNATIONAL 2, % SOCIETE GENERALE CAPITAL MARKETS % CITIGROUP GLOBAL MARKET 131

135 Additional information (unaudited) RETURN Fund Fund as % average NAV Third parties AZ Multi Asset - Institutional Commodity Trading 701, % CREDIT SUISSE INTERNATIONAL - 2,482, % GOLDMAN SACHS INTERNATIONAL LONDON AZ Multi Asset - Institutional Europe D AZ Multi Asset - Institutional Macro Dynamic Trading 86, % MORGAN STANLEY INTERNATIONAL 787, % SOCIETE GENERALE CAPITAL MARKETS - 155, % CREDIT SUISSE INTERNATIONAL 77, % GOLDMAN SACHS INTERNATIONAL LONDON AZ Multi Asset - Romeo 15, % MORGAN STANLEY INTERNATIONAL - 17, % SOCIETE GENERALE CAPITAL MARKETS - 76, % CITIGROUP GLOBAL MARKET 132

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