Deutsche Asset Management. Deutsche Invest I. Semiannual Report Investment Company with Variable Capital Incorporated under Luxembourg Law

Transcription

1 Deutsche Asset Management Semiannual Report 2017 Investment Company with Variable Capital Incorporated under Luxembourg Law

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3 Contents Semiannual report 2017 for the period from January 1, 2017, through June 30, 2017 General information... 2 Information for Hong Kong SAR investors... 3 Semiannual report SICAV Chinese Equities... 8 Semiannual financial statements

4 General information The funds described in this report are sub-funds of a SICAV (Société d Investissement à Capital Variable) incorporated under Luxembourg law. Performance The investment return, or performance, of a mutual fund investment is meas ured by the change in value of the fund s shares. The net asset values per share (= redemption prices) with the addition of intervening distributions, which are, for example, reinvested free of charge within the scope of investment accounts at Deutsche Asset Management S.A., are used as the basis for calculating the value. Past performance is not a guide to future results. The corresponding benchmarks if available are also presented in the report. All financial data in this publication is as of June 30, 2017 (unless otherwise stated). Sales prospectuses Fund shares are purchased on the basis of the current sales prospectus, the key investor information document and the articles of incorporation and by-laws of the SICAV, in combination with the latest audited annual report and any semiannual report that is more recent than the latest annual report. Issue and redemption prices The current issue and redemption prices and all other information for shareholders may be requested at any time at the registered office of the Management Company and from the paying agents. In addition, the issue and redemption prices are published in every country of distribution through appropriate media (such as the Internet, electronic information systems, newspapers, etc.). Liquidations of sub-funds The sub-fund CROCI Flexible Allocation was liquidated on January 23, 2017, following a resolution to that effect by the Board of Directors of the SICAV and the approval of the Luxembourg supervisory authority, CSSF. The issue of new shares of the sub-fund was discontinued on December 22, Investors were able to redeem shares of the sub-fund until January 16, The sub-fund Asian Equities Unconstrained was liquidated on June 22, 2017, following a resolution to that effect by the Board of Directors of the SICAV and the approval of the Luxembourg supervisory authority, CSSF. The issue of new shares of the sub-fund was discontinued on June 6, Investors were able to redeem shares of the sub-fund until June 14,

5 Information for Hong Kong SAR investors As at the date of this report, the following sub-funds are authorized in Hong Kong and available to Hong Kong residents: n Chinese Equities Note No. 1 Transactions with Connected Persons As at the date of this report, the Company has the following agreements and arrangements with Deutsche Bank AG and its affiliates or subsidiaries. Fees related to the investment management of the funds, hereunder management fee and advisor fee have been paid to several members of Deutsche Bank AG group, who have acted as investment managers and investment advisors of the Company. Other members of Deutsche Bank AG group have also been paid transfer agent fees for rendering the service of coordinating the sale and purchase of the Company s shares. The above agreements and arrangements were entered into in the ordinary course of business and on normal commercial terms. The Investment Company shall pay to the Management Company a fee from the assets of the sub-fund based on the respective sub-fund s net asset value calculated on the valuation date, in each case relative to the percentage of the sub-fund s assets attributable to the respective individual share class. For all share classes of sub-funds launched before July 1, 2008, the fee of the Management Company does not exceed 2.1% p.a.; for share classes of sub-funds launched on July 1, 2008, or thereafter the fee of the Management Company may be up to 3.0% p.a. The current Management Company fee rates are disclosed in the product annex for the respective share classes in the special section of the sales prospectus. This fee shall in particular serve as compensation for the Management Company, the fund management and the distributors of the sub-fund. Security investments and currency transactions with Connected Persons of the SICAV were as follows: Chinese Equities Purchase & Sales with connected parties TOTAL Purchase & Sales % Base Commission with connected parties Fund Total Commision % The figures disclosed in this note concern only the sub-fund authorized in Hong Kong as at June 30, Comparative figures for 2016: Chinese Equities Purchase & Sales with connected parties TOTAL Purchase & Sales % Base Commission with connected parties Fund Total Commision % Note No. 2 Securities Lending Transaction Unless further restricted by the investment policies of a specific sub-fund as described in the special sections of the sales prospectus, the Company may enter into securities lending and borrowing transactions. The applicable restrictions can be found in CSSF Circular 08/356 as amended from time to time. Those transactions may be entered into for one or more of the following aims: (i) reduction of risk, (ii) reduction of cost and (iii) generation of additional capital or income with a level of risk which is consistent with the risk profile of the relevant sub-fund and the applicable risk diversification rules. Those transactions may be carried out for 100% of the assets held by the relevant sub-fund provided (i) that their volume is kept at an appropriate level or that the Company or relevant sub-fund manager is entitled to request the return of the securities lent in a manner that enables the sub-fund at all times to meet its redemption obligations and (ii) that these transactions do not jeopardise the management of the sub-fund s assets in accordance with its investment policy. Their risks shall be captured by the risk management process of the Company. 3

6 The Company or the relevant sub-fund manager may enter into securities lending and borrowing transactions provided that they comply with the following rules: (i) The Company may only lend securities through a standardized system organized by a recognized clearing institution or through a first class financial institution subject to prudential supervision rules which are recognized by the CSSF as equivalent to those laid down in Community law and specializing in this type of transaction; (ii) The borrower must be subject to prudential supervision rules considered by the CSSF as equivalent to those prescribed by Community law; (iii) The counterparty risk vis-à-vis a single counterparty (which, for the avoidance of doubt, may be reduced by the use of collateral) arising from one or more securities lending transaction(s) may not exceed 10% of the assets of the relevant sub-fund when the counterparty is a financial institution falling within article 41, paragraph (1) (f) of the law of 2010, or 5% of its assets in all other cases; (iv) As part of lending transactions, the Company must receive collateral, the value of which, during the duration of the lending agreement, must be equal to at least 90% of the global valuation of the securities lent (interests, dividends and other eventual rights included); (v) Such collateral must be received prior to or simultaneously with the transfer of the securities lent. When the securities are lent through intermediaries, the transfer of the securities lent may be effected prior to receipt of the collateral, if the relevant intermediary ensures proper completion of the transaction. Said intermediary may provide collateral in lieu of the borrower; (vi) In principle, this collateral must be given in the form of: liquid assets such as cash, short term bank deposits, money market instruments as defined in Directive 2007/16/EC of March 19, 2007, letters of credit and guarantees at first demand issued by a first class credit institution not affiliated to the counterparty; bonds issued or guaranteed by a Member State of the OECD or by their local authorities or by supranational institutions and undertakings of a community, regional or worldwide nature; shares or units issued by money market-type UCIs calculating a daily net asset value and having a rating of AAA or its equivalent and/or shares or units issued by UCITS investing mainly in bonds/shares mentioned in the following two indents: bonds issued or guaranteed by first class issuers offering an adequate liquidity; or shares admitted to or dealt in on a regulated market of a Member State of the European Union or on a stock exchange of a Member State of the OECD, provided that these shares are included in a main index; (vii) The collateral given under any form other than cash or shares/units of a UCI/UCITS shall be issued by an entity not affiliated to the counterparty; (viii) When the collateral given in the form of cash exposes the Company to a credit risk vis-à-vis the trustee of this collateral, such exposure shall be subject to the 20% limitation as laid down in article 43 (1) of the Law of December 17, Moreover such cash collateral shall not be safekept by the counterparty unless it is legally protected from consequences of default of the latter; (ix) The collateral given in a form other than cash shall not be safekept by the counterparty, except if it is adequately segregated from the latter s own assets; (x) The Company (or its delegates) shall proceed on a daily basis to the valuation of the collateral received. In case the value of the collateral already granted appears to be insufficient in comparison with the amount to be covered, the counterparty shall provide additional collateral at very short term. If appropriate, safety margins shall apply in order to take into consideration exchange risks or market risks inherent to the assets accepted as collateral; (xi) It shall be ensured that the Company is able to claim its rights on the collateral in case of the occurrence of an event requiring the execution thereof, meaning that the collateral shall be available at all times, either directly or through the intermediary of a first class financial institution or a wholly-owned subsidiary of this institution, in such a manner that the Company is able to appropriate or realise the assets given as collateral, without delay, if the counterparty does not comply with its obligation to return the securities lent; (xii) During the duration of the agreement, the collateral cannot be sold or given as a security or pledged, except if the Company has other means of coverage; and, 4

7 (xiii) The Company shall disclose the global valuation of the securities lent in the annual and semiannual reports. Securities lending may also be conducted synthetically ( synthetic securities lending ). In a synthetic securities loan, a security contained in a sub-fund is sold to a counterparty at the current market price. This sale is, however, subject to the condition that the sub-fund simultaneously receives from the counterparty a securitized unleveraged option giving the sub-fund the right to demand delivery at a later date of securities of the same kind, quality and quantity as the sold securities. The price of the option (the option price ) is equal to the current market price received from the sale of the securities less (a) the securities lending fee, (b) the income (e.g., dividends, interest payments, corporate actions) from the securities that can be demanded back upon exercise of the option and (c) the exercise price associated with the option. The option will be exercised at the exercise price during the term of the option. If the security underlying the synthetic securities loan is to be sold during the term of the option in order to implement the investment strategy, such a sale may also be executed by selling the option at the then prevailing market price less the exercise price. Securities lending transactions may also, as the case may be, be entered into with respect to individual sub-funds or share classes, taking into account the specific characteristics of such sub-fund or share class and/or its investors, with any right to income and collateral under such securities lending transactions arising at the level of such specific sub-fund or share class. The Management Company may receive up to one half of the income from the conclusion of securities lending transactions (including synthetic securities lending transactions) for the account of the respective sub-fund assets. No securities lending transactions are conducted for the Hong Kong authorized sub-fund during the period of this report. (2016: nil) Note No. 3 Soft Commission Arrangements Pursuant to the Code on Unit Trusts and Mutual Funds of the Securities and Futures Commission of Hong Kong, the following statement is made: The Management Company shall submit buy and sell orders for securities and financial instruments directly to brokers and traders for the account of the respective sub-fund. The Management Company concludes agreements with these brokers and traders under customary market conditions that comply with first-rate execution standards. When selecting the broker or trader, the Management Company takes into account all relevant factors, such as the credit rating of the broker or trader and the quality of the market information, the analyses, as well as the execution capacities provided. Moreover, the Management Company currently accepts and concludes agreements in which it can take advantage of and utilize valuable benefits offered by brokers and traders. The Management Company has the right to retain these services, which include services provided by brokers and traders directly (for more information, see article 12 in the sales prospectus, which deals with the reimbursement of the fees and expenses). These direct services include special advice regarding the advisability of trading an asset or its valuation, analyses and consultation services, economic and political analyses, portfolio analyses (including valuation and performance measurement), market analyses as well as indirect services, such as market and price information systems, information services, computer hardware and software or any other options for gathering information in the scope in which these are used to support the investment decision process, consultation or execution of research or analysis activities as well as custodial services regarding the sub-fund s assets. That means brokerage services may not be limited to general analysis, but may also include special services such as Reuters and Bloomberg. Agreements with brokers and traders may include the condition that traders and brokers are to transfer to third parties immediately or later a portion of the commissions paid for the purchase or sale of assets; these commissions shall be provided by the Management Company for the services previously specified. The Management Company shall comply with all valid regulatory and industry standards when taking advantage of these benefits (generally called soft dollars ). In particular, the Management Company shall not accept nor conclude any agreements on obtaining such benefits if these agreements do not support the Management Company in its investment decision process according to reasonably prudent discretion. The prerequisite is that the Management Company shall always ensure that the transactions are executed while taking into account the appropriate market at the appropriate time for transactions of the appropriate type and size at the best possible conditions and that no unnecessary business transactions are concluded to acquire the right to such benefits. The goods and services received within the scope of soft-dollar agreements shall exclude travel, accommodations, entertainment, general administrative goods and services, general office equipment and office space, membership fees, employee salaries and direct cash payments. 5

8 Commission sharing The Management Company may conclude agreements with selected brokers under which the respective broker transfers, either immediately or after a time delay, portions of the payments it receives under the relevant agreement from the Management Company for the purchase or sale of assets to third parties that will then provide research or analytical services to the Management Company. These agreements (called commission-sharing agreements ) are used by the Management Company for the purpose of managing the sub-funds. To clarify: the Management Company shall use these services as specified in and only in accordance with the conditions set out in the Buy and sell orders for securities and financial instruments section of the sales prospectus. 6

9 Semiannual report

10 Chinese Equities Chinese Equities Performance of share classes vs. benchmark (in euro) Share class ISIN 6 months Class LC LU % Class FC LU % Class NC LU % Class GBP D RD 1 LU % Class USD FC 2 LU % Class USD LC 2 LU % MSCI China 10/40 (Euro) 13.7% 1 in GBP 2 in USD BVI method performance, i.e., excluding the initial sales charge. Past performance is no guide to future results. As of: June 30,

11 The format used for complete dates in securities descriptions in the investment portfolio is day/month/year. Semiannual financial statements

12 Chinese Equities Investment portfolio June 30, 2017 Count/ Quantity/ Purchases/ Sales/ Currency Market price Total market % of Description units/ principal additions disposals value in net currency amount in the reporting period assets Securities traded on an exchange Equities 3SBio, Inc.... Count HKD AAC Technologies Holdings, Inc.... Count HKD Alibaba Health Information Technology Ltd... Count HKD Alibaba Pictures Group Ltd... Count HKD ASM Pacific Technology Ltd... Count HKD Bank of China Ltd -H-... Count HKD Beijing Enterprises Water Group Ltd... Count HKD Brilliance China Automotive Holdings Ltd... Count HKD China Cinda Asset Management Co., Ltd... Count HKD China Communications Construction Co., Ltd -H-... Count HKD China Construction Bank Corp. -H-... Count HKD China Galaxy Securities Co Ltd... Count HKD China Life Insurance Co., Ltd... Count HKD China Mobile Ltd... Count HKD China Overseas Grand Oceans Group Ltd... Count HKD China Overseas Land & Investment Ltd... Count HKD China Resources Land Ltd... Count HKD China Shenhua Energy Co., Ltd -H-... Count HKD China Unicom Hong Kong Ltd... Count HKD China Vast Industrial Urban Development Co., Ltd 144A... Count HKD China Yuhua Education Corp., Ltd... Count HKD CSPC Pharmaceutical Group Ltd... Count HKD Geely Automobile Holdings Ltd... Count HKD Guangzhou Automobile Group Co., Ltd... Count HKD Huadian Power International Corp. Ltd... Count HKD Huaneng Power International, Inc. -H-... Count HKD IMAX China Holding Inc... Count HKD Industrial & Commercial Bank of China Ltd -H Count HKD Jacobson Pharma Corp., Ltd... Count HKD Longfor Properties Co., Ltd... Count HKD Metallurgical Corp. of China Ltd... Count HKD New China Life Insurance Co., Ltd... Count HKD PetroChina Co., Ltd... Count HKD PICC Property & Casualty Co., Ltd... Count HKD Ping An Insurance Group Co. of China Ltd... Count HKD Shenzhen International Holdings Ltd... Count HKD Shenzhou International Group Holdings Ltd... Count HKD Sunny Optical Technology Group Co., Ltd... Count HKD Tencent Holdings Ltd... Count HKD Truly International Holdings... Count HKD West China Cement Ltd... Count HKD Wuxi Biologics Cayman, Inc.... Count HKD Zoomlion Heavy Industry Science and Technology Co., Ltd.. Count HKD com, Inc. -ADR-... Count USD Alibaba Group Holding... Count USD Baidu, Inc. -ADR-... Count USD Baozun, Inc. -ADR-... Count USD Ctrip.com International Ltd -ADR-... Count USD JD.com, Inc. -ADR-... Count USD Momo, Inc. -ADR-... Count USD NetEase, Inc. -ADR-... Count USD New Oriental Education & Technology Group, Inc. -ADR-... Count USD TAL Education Group -ADR-... Count USD Securities admitted to or included in organized markets Equities Moulin Global Eyecare... Count HKD Total securities portfolio Cash at bank Demand deposits at Depositary deposits Deposits in other EU/EEA currencies British pound... GBP Deposits in non-eu/eea currencies U.S. dollar... USD Hong Kong dollar... HKD Australian dollar... AUD

13 Chinese Equities Count/ Quantity/ Purchases/ Sales/ Currency Market price Total market % of Description units/ principal additions disposals value in net currency amount in the reporting period assets Other assets Dividends receivable Receivables from exceeding the expense cap Other receivables Receivables from share certificate transactions Total assets Other liabilities Liabilities from cost items Additional other liabilities Liabilities from share certificate transactions Total liabilities Net assets Negligible rounding errors may have arisen due to the rounding of calculated percentages. Net asset value per share and Count/ Net asset value per share number of shares outstanding currency in the respective currency Net asset value per share Class FC Class LC Class NC Class GBP D RD.... GBP Class USD FC.... USD Class USD LC.... USD Number of shares outstanding Class FC... Count Class LC... Count Class NC.... Count Class GBP D RD.... Count 388 Class USD FC.... Count Class USD LC.... Count Composition of the reference portfolio (according to CSSF circular 11/512) MSCI China 10/40 Index in Market risk exposure (value-at-risk) (according to CSSF circular 11/512) Lowest market risk exposure.... % Highest market risk exposure.... % Average market risk exposure... % The values-at-risk were calculated for the period from January 1, 2017, through June 30, 2017, using historical simulation with a 99% confidence level, a 10-day holding period and an effective historical observation period of one year. The risk in a reference portfolio that does not contain derivatives is used as the measurement benchmark. Market risk is the risk to the fund s assets arising from an unfavorable change in market prices. The Company determines the potential market risk by means of the relative value-at-risk approach as defined in CSSF circular 11/512. In the reporting period, the average leverage effect from the use of derivatives was 0.0, whereby the total of the nominal amounts of the derivatives in relation to the fund s assets was used for the calculation (sum-of-notional approach). The gross exposure generated via derivatives pursuant to point 40 a) of the Guidelines on ETFs and other UCITS issues of the European Securities and Markets Authority (ESMA) totaled 0.00 as of the reporting date. Exchange rates (indirect quotes) As of June 30, Australian dollar.... AUD = 1 British pound... GBP = 1 Hong Kong dollar... HKD = 1 U.S. dollar.... USD = 1 11

14 Chinese Equities Notes on valuation Under the responsibility of the Board of Directors of the SICAV, the Management Company determines the net asset values per share and performs the valuation of the assets of the fund. The basic provision of price data and price validation are performed in accordance with the method introduced by the Board of Directors of the SICAV on the basis of the legal and regulatory requirements or the principles for valuation methods defined in the SICAV s prospectus. If no trading prices are available, prices are determined with the aid of valuation models (derived market values) which are agreed between State Street Bank Luxembourg S.C.A. as external price service provider and the Management Company and which are based as far as possible on market parameters. This procedure is subject to an ongoing monitoring process. The plausibility of price information from third parties is checked through other pricing sources, model calculations or other suitable procedure. Assets reported in this report are valued to a minor extent at derived market values. Transactions completed during the reporting period that no longer appear in the investment portfolio: Purchases and sales of securities, investment fund units and promissory note loans (Schuldscheindarlehen); market classifications are as of the reporting date Description Count/ units/ currency Purchases/ additions Sales/ disposals Securities traded on an exchange Equities Anhui Conch Cement Co., Ltd... Count BBMG Corp.... Count Beijing Urban Construction Design & Development Group Co Ltd... Count BYD Electronic International Co., Ltd... Count China Mengniu Dairy Co., Ltd... Count China Merchants Bank Co., Ltd -H-... Count China Petroleum & Chemical Corp.... Count China Resources Cement Holdings Ltd... Count Chu Kong Shipping Enterprises Group Co., Ltd. Count CITIC Securities Co., Ltd... Count CNOOC Ltd... Count CPMC Holdings Ltd... Count CSC Financial Co., Ltd... Count CSR Corp. Ltd... Count Galaxy Entertainment Group Ltd... Count Guangdong Investment Ltd... Count Guotai Junan Securities Co., Ltd... Count HSBC Holdings PLC... Count JNBY Design Ltd... Count MMG Ltd... Count Ourgame International Holdings Ltd... Count Pacific Basin Shipping Ltd... Count Semiconductor Manufacturing International Corp. Count Shanghai Industrial Holdings Ltd... Count Sinopharm Group Co. Ltd... Count Tibet Water Resources Ltd... Count Tingyi Cayman Islands Holding Corp.... Count Tongda Group Holdings Ltd... Count Universal Medical Financial & Technical Advisory Services Co., Ltd... Count Yum China Holdings, Inc.... Count Zhuzhou CSR Times Electric Co., Ltd -H-... Count Zijin Mining Group Co., Ltd... Count ZTO Express Cayman, Inc. -ADR-... Count

15 Chinese Equities Information pursuant to Regulation (EU) 2015/2365 on transparency of securities financing transactions (SFTs) and of reuse and amending Regulation (EU) No. 648/2012 Statement in accordance with Section A There were no securities financing transactions according to the above Regulation in the reporting period. 13

16 SICAV June 30, 2017 Statement of net assets as of June 30, 2017 SICAV * ** Africa Asian Bonds USD Consolidated % of net assets Assets Total securities portfolio Derivatives on individual securities Equity index derivatives Interest rate derivatives Currency derivatives Swaps Cash at bank Other assets Receivables from share certificate transactions Total assets *** Liabilities*** Derivatives on individual securities Equity index derivatives Interest rate derivatives Currency derivatives Swaps Short-term liabilities Other liabilities Liabilities from share certificate transactions Total liabilities *** Net assets * The composition of the net assets, income, expenses and changes in net assets of the sub-funds managed in Japanese yen were converted into euro at the stated exchange rate. Fiscal six-month period JPY = 1 Fiscal year-end JPY = 1 Fiscal year-end JPY = 1 Fiscal six-month period USD = 1 Fiscal year-end USD = 1 Fiscal year-end USD = 1 ** The fund s consolidated net assets, the consolidated statement of income and expenses and the statement of changes in net assets correspond to the sum of the results of the individual sub-funds. In the case of investments between sub-funds (in which one sub-fund invests in another sub-fund of the same umbrella fund), the corresponding accounts of the fund were not the object of an elimination for the purposes of the consolidated presentation of results. *** In the case of derivatives and forward transactions, the amount reported as total assets comprises the positive balance of the netted individual positions within the same type of product, while negative balances are included under total liabilities. 14

17 Asian Small/Mid Cap Brazilian Equities China Bonds USD Chinese Equities Convertibles

18 SICAV June 30, 2017 Statement of net assets as of June 30, 2017 Corporate Hybrid Bonds Assets CROCI Sectors Emerging Markets Corporates USD Total securities portfolio Derivatives on individual securities Equity index derivatives Interest rate derivatives Currency derivatives Swaps Cash at bank Other assets Receivables from share certificate transactions Total assets *** Liabilities*** Derivatives on individual securities Equity index derivatives Interest rate derivatives Currency derivatives Swaps Short-term liabilities Other liabilities Liabilities from share certificate transactions Total liabilities *** Net assets * The composition of the net assets, income, expenses and changes in net assets of the sub-funds managed in Japanese yen were converted into euro at the stated exchange rate. Fiscal six-month period JPY = 1 Fiscal year-end JPY = 1 Fiscal year-end JPY = 1 Fiscal six-month period USD = 1 Fiscal year-end USD = 1 Fiscal year-end USD = 1 ** The fund s consolidated net assets, the consolidated statement of income and expenses and the statement of changes in net assets correspond to the sum of the results of the individual sub-funds. In the case of investments between sub-funds (in which one sub-fund invests in another sub-fund of the same umbrella fund), the corresponding accounts of the fund were not the object of an elimination for the purposes of the consolidated presentation of results. *** In the case of derivatives and forward transactions, the amount reported as total assets comprises the positive balance of the netted individual positions within the same type of product, while negative balances are included under total liabilities. 16

19 Emerging Markets IG Sovereign Debt USD Emerging Markets Sovereign Debt USD Emerging Markets Top Dividend Euro Bonds (Premium) Euro Bonds (Short)

20 SICAV June 30, 2017 Statement of net assets as of June 30, 2017 Euro Corporate Bonds Euro High Yield Corporates Euro-Gov Bonds Assets Total securities portfolio Derivatives on individual securities Equity index derivatives Interest rate derivatives Currency derivatives Swaps Cash at bank Other assets Receivables from share certificate transactions Total assets *** Liabilities*** Derivatives on individual securities Equity index derivatives Interest rate derivatives Currency derivatives Swaps Short-term liabilities Other liabilities Liabilities from share certificate transactions Total liabilities *** Net assets * The composition of the net assets, income, expenses and changes in net assets of the sub-funds managed in Japanese yen were converted into euro at the stated exchange rate. Fiscal six-month period JPY = 1 Fiscal year-end JPY = 1 Fiscal year-end JPY = 1 Fiscal six-month period USD = 1 Fiscal year-end USD = 1 Fiscal year-end USD = 1 ** The fund s consolidated net assets, the consolidated statement of income and expenses and the statement of changes in net assets correspond to the sum of the results of the individual sub-funds. In the case of investments between sub-funds (in which one sub-fund invests in another sub-fund of the same umbrella fund), the corresponding accounts of the fund were not the object of an elimination for the purposes of the consolidated presentation of results. *** In the case of derivatives and forward transactions, the amount reported as total assets comprises the positive balance of the netted individual positions within the same type of product, while negative balances are included under total liabilities. 18

21 European Small Cap Financial Hybrid Bonds German Equities Global Agribusiness USD Global Bonds

22 SICAV June 30, 2017 Statement of net assets as of June 30, 2017 Global Bonds Dynamic Plus Assets Global Bonds High Conviction Global Commodities Blend Total securities portfolio Derivatives on individual securities Equity index derivatives Interest rate derivatives Currency derivatives Swaps Cash at bank Other assets Receivables from share certificate transactions Total assets *** Liabilities*** Derivatives on individual securities Equity index derivatives Interest rate derivatives Currency derivatives Swaps Short-term liabilities Other liabilities Liabilities from share certificate transactions Total liabilities *** Net assets * The composition of the net assets, income, expenses and changes in net assets of the sub-funds managed in Japanese yen were converted into euro at the stated exchange rate. Fiscal six-month period JPY = 1 Fiscal year-end JPY = 1 Fiscal year-end JPY = 1 Fiscal six-month period USD = 1 Fiscal year-end USD = 1 Fiscal year-end USD = 1 ** The fund s consolidated net assets, the consolidated statement of income and expenses and the statement of changes in net assets correspond to the sum of the results of the individual sub-funds. In the case of investments between sub-funds (in which one sub-fund invests in another sub-fund of the same umbrella fund), the corresponding accounts of the fund were not the object of an elimination for the purposes of the consolidated presentation of results. *** In the case of derivatives and forward transactions, the amount reported as total assets comprises the positive balance of the netted individual positions within the same type of product, while negative balances are included under total liabilities. 20

23 Global Corporate Bonds Global Emerging Markets Equities Global High Yield Corporates USD Global Infrastructure Global Real Estate Securities USD

24 SICAV June 30, 2017 Statement of net assets as of June 30, 2017 Global Short Duration USD Global Thematic USD Gold and Precious Metals Equities USD Assets Total securities portfolio Derivatives on individual securities Equity index derivatives Interest rate derivatives Currency derivatives Swaps Cash at bank Other assets Receivables from share certificate transactions Total assets *** Liabilities*** Derivatives on individual securities Equity index derivatives Interest rate derivatives Currency derivatives Swaps Short-term liabilities Other liabilities Liabilities from share certificate transactions Total liabilities *** Net assets * The composition of the net assets, income, expenses and changes in net assets of the sub-funds managed in Japanese yen were converted into euro at the stated exchange rate. Fiscal six-month period JPY = 1 Fiscal year-end JPY = 1 Fiscal year-end JPY = 1 Fiscal six-month period USD = 1 Fiscal year-end USD = 1 Fiscal year-end USD = 1 ** The fund s consolidated net assets, the consolidated statement of income and expenses and the statement of changes in net assets correspond to the sum of the results of the individual sub-funds. In the case of investments between sub-funds (in which one sub-fund invests in another sub-fund of the same umbrella fund), the corresponding accounts of the fund were not the object of an elimination for the purposes of the consolidated presentation of results. *** In the case of derivatives and forward transactions, the amount reported as total assets comprises the positive balance of the netted individual positions within the same type of product, while negative balances are included under total liabilities. 22

25 Latin American Equities Liquidity Fund LowVol World Multi Asset Balance Multi Asset Defensive

26 SICAV June 30, 2017 Statement of net assets as of June 30, 2017 Multi Asset Dynamic Multi Asset Income Multi Credit USD Assets Total securities portfolio Derivatives on individual securities Equity index derivatives Interest rate derivatives Currency derivatives Swaps Cash at bank Other assets Receivables from share certificate transactions Total assets *** Liabilities*** Derivatives on individual securities Equity index derivatives Interest rate derivatives Currency derivatives Swaps Short-term liabilities Other liabilities Liabilities from share certificate transactions Total liabilities *** Net assets * The composition of the net assets, income, expenses and changes in net assets of the sub-funds managed in Japanese yen were converted into euro at the stated exchange rate. Fiscal six-month period JPY = 1 Fiscal year-end JPY = 1 Fiscal year-end JPY = 1 Fiscal six-month period USD = 1 Fiscal year-end USD = 1 Fiscal year-end USD = 1 ** The fund s consolidated net assets, the consolidated statement of income and expenses and the statement of changes in net assets correspond to the sum of the results of the individual sub-funds. In the case of investments between sub-funds (in which one sub-fund invests in another sub-fund of the same umbrella fund), the corresponding accounts of the fund were not the object of an elimination for the purposes of the consolidated presentation of results. *** In the case of derivatives and forward transactions, the amount reported as total assets comprises the positive balance of the netted individual positions within the same type of product, while negative balances are included under total liabilities. 24

27 Multi Opportunities New Resources Nomura Japan Growth JPY Real Assets Income Senior Secured High Yield Corporates

28 SICAV June 30, 2017 Statement of net assets as of June 30, 2017 Short Duration Credit StepIn Global Equities Top Asia Assets Total securities portfolio Derivatives on individual securities Equity index derivatives Interest rate derivatives Currency derivatives Swaps Cash at bank Other assets Receivables from share certificate transactions Total assets *** Liabilities*** Derivatives on individual securities Equity index derivatives Interest rate derivatives Currency derivatives Swaps Short-term liabilities Other liabilities Liabilities from share certificate transactions Total liabilities *** Net assets * The composition of the net assets, income, expenses and changes in net assets of the sub-funds managed in Japanese yen were converted into euro at the stated exchange rate. Fiscal six-month period JPY = 1 Fiscal year-end JPY = 1 Fiscal year-end JPY = 1 Fiscal six-month period USD = 1 Fiscal year-end USD = 1 Fiscal year-end USD = 1 ** The fund s consolidated net assets, the consolidated statement of income and expenses and the statement of changes in net assets correspond to the sum of the results of the individual sub-funds. In the case of investments between sub-funds (in which one sub-fund invests in another sub-fund of the same umbrella fund), the corresponding accounts of the fund were not the object of an elimination for the purposes of the consolidated presentation of results. *** In the case of derivatives and forward transactions, the amount reported as total assets comprises the positive balance of the netted individual positions within the same type of product, while negative balances are included under total liabilities. 26

29 Top Dividend Top Euroland Top Europe USD Corporate Bonds USD

30 Investment Company 2, Boulevard Konrad Adenauer 1115 Luxembourg, Luxembourg RC B Board of Directors of the Investment Company Doris Marx Chairman Deutsche Asset Management S.A., Luxembourg Stephan Scholl Deutsche Asset Management International GmbH, Frankfurt/Main Niklas Seifert Deutsche Asset Management S.A., Luxembourg Sven Sendmeyer Deutsche Asset Management Investment GmbH, Frankfurt/Main Thilo Hubertus Wendenburg (since April 26, 2017) Frankfurt/Main Heinz-Wilhelm Fesser (until April 26, 2017) Independent member c/o Deutsche Asset Management S.A., Luxembourg Markus Kohlenbach (until April 26, 2017) Independent member c/o Deutsche Asset Management S.A., Luxembourg Management Company, Central Administration Agent, Transfer Agent, Registrar and Main Distributor Deutsche Asset Management S.A. 2, Boulevard Konrad Adenauer 1115 Luxembourg, Luxembourg Equity capital as of December 31, 2016: million before profit appropriation Supervisory Board of the Management Company Holger Naumann Chairman Deutsche Asset Management Investment GmbH, Frankfurt/Main Nathalie Bausch Deutsche Bank Luxembourg S.A., Luxembourg Reinhard Bellet Deutsche Asset Management Investment GmbH, Frankfurt/Main Yves Dermaux (since July 1, 2017) Deutsche Bank AG, London Marzio Hug (until June 30, 2017) Deutsche Bank AG, London Stefan Kreuzkamp Deutsche Asset Management Investment GmbH, Frankfurt/Main Frank Krings Deutsche Bank Luxembourg S.A., Luxembourg Dr. Matthias Liermann Deutsche Asset Management Investment GmbH, Frankfurt/Main Management Board of the Management Company Manfred Bauer (since June 1, 2017) Chairman Deutsche Asset Management S.A., Luxembourg Dirk Bruckmann (until May 31, 2017) Deutsche Asset Management Investment GmbH, Frankfurt/Main Ralf Rauch Deutsche Asset Management Investment GmbH, Frankfurt/Main Martin Schönefeld (until June 30, 2017) Deutsche Asset Management S.A., Luxembourg Barbara Schots Deutsche Asset Management S.A., Luxembourg Fund Managers For the sub-fund Short Duration Asian Bonds: Deutsche Asset Management Investment GmbH Mainzer Landstr Frankfurt/Main, Germany and Deutsche Asset Management (Asia) Limited One Raffles Quay, #15-00 South Tower Singapore , Singapore For the sub-funds Asian Bonds, Deutsche Invest I Asia-Pacific Multi Opportunities, Asian Bonds Unconstrained and Asian Small/Mid Cap: Deutsche Asset Management Investment GmbH Mainzer Landstr Frankfurt/Main, Germany and Deutsche Asset Management (Hong Kong) Limited International Commerce Center, Floor 58, 1 Austin Road West, Kowloon, Hong Kong For the sub-funds Brazilian Equities and Latin American Equities: Deutsche Asset Management Investment GmbH Mainzer Landstr Frankfurt/Main, Germany and Deutsche Bank S.A. Banco Alemão Av. Brigadeiro Faria Lima, São Paulo, Brazil For the sub-funds China Bonds, Deutsche Invest I China Onshore Bonds and Deutsche Invest I Chinese Equities: Deutsche Asset Management Investment GmbH Mainzer Landstr Frankfurt/Main, Germany As sub-manager for these sub-funds: Harvest Global Investments Limited Suites , Two Exchange Square 8 Connaught Place Hongkong For the sub-funds Global High Yield Corporates and USD Corporate Bonds: Deutsche Asset Management Investment GmbH Mainzer Landstr Frankfurt/Main, Germany As sub-manager for these sub-funds: Deutsche Investment Management Americas Inc. 345 Park Avenue New York, NY USA For the sub-funds Emerging Markets Frontier Equities, Global Bonds, Global Bonds Dynamic Plus, Global Bonds High Conviction, CROCI Flexible Allocation, CROCI Sectors, CROCI US, Deutsche Invest I Emerging Markets Corporates, Deutsche Invest I Emerging Markets IG Corporates and Global Bonds Defensive: Deutsche Asset Management Investment GmbH Mainzer Landstr Frankfurt/Main, Germany and Deutsche Asset Management (UK) Limited 1 Great Winchester Street London EC2N 2DB United Kingdom

31 For the sub-funds Asian Equities Unconstrained, Global Emerging Markets Equities, Global Emerging Markets Equities Unconstrained and Top Asia: Deutsche Asset Management Investment GmbH Mainzer Landstr Frankfurt/Main, Germany and Deutsche Asset Management (UK) Limited 1 Great Winchester Street London EC2N 2DB United Kingdom and Deutsche Asset Management (Hong Kong) Limited International Commerce Center, Floor 58, 1 Austin Road West, Kowloon, Hong Kong For the sub-funds Global Infrastructure and Real Assets Income: Deutsche Asset Management Investment GmbH Mainzer Landstr Frankfurt/Main, Germany As sub-manager for these sub-funds: RREEF America LLC 222 S. Riverside Plaza, Floor 24 Chicago, IL USA For the sub-funds Global Commodities Blend and Gold and Precious Metals Equities: Deutsche Investment Management Americas Inc. 345 Park Avenue New York, NY USA For the sub-fund GlobalReal Estate Securities: RREEF America LLC 222 S. Riverside Plaza, Floor 24 Chicago, IL USA As sub-manager for this sub-fund: For the management of the European portfolio component: Deutsche Alternative Asset Management (UK) Limited 1 Appold Street London EC2A 2UU United Kingdom For the management of the Asian, Australian and New Zealand portfolio component: Deutsche Australia Limited, Deutsche Bank Place Cnr. Hunter and Phillip Streets Sydney NSW 2000 Australia For the sub-fund LowVol World: Deutsche Asset Management Investment GmbH Mainzer Landstr Frankfurt/Main, Germany As sub-manager for this sub-fund: Sal. Oppenheim jr. & Cie. AG Co. KGaA Unter Sachsenhausen Köln, Germany For the sub-fund Nomura Japan Growth: Deutsche Asset Management Investment GmbH Mainzer Landstr Frankfurt/Main, Germany As sub-manager for this sub-fund: Nomura Asset Management Deutschland KAG mbh Gräfstr Frankfurt/Main, Germany which the fund management sub-delegated to: Nomura Asset Management Co Ltd. Tokyo Nihonbashi, Chuo-ku Tokyo , Japan For all other sub-funds: Deutsche Asset Management Investment GmbH Mainzer Landstr Frankfurt/Main, Germany Investment Advisor For the sub-funds Global Short Duration, Global Corporate Bonds and Multi Credit: Deutsche Investment Management Americas Inc. 345 Park Avenue New York, NY Depositary and Administrator State Street Bank Luxembourg S.C.A. 49, Avenue John F. Kennedy 1855 Luxembourg, Luxembourg Auditor KPMG Luxembourg Société coopérative 39, Avenue John F. Kennedy 1855 Luxembourg, Luxembourg Sales and Paying Agents, Main Distributor LUXEMBOURG Deutsche Asset Management S.A. 2, Boulevard Konrad Adenauer 1115 Luxembourg, Luxembourg Deutsche Bank Luxembourg S.A. 2, Boulevard Konrad Adenauer 1115 Luxembourg, Luxembourg As of: July 31, 2017

32 SICAV 2, Boulevard Konrad Adenauer 1115 Luxembourg, Luxembourg RC B Tel.: Fax:

33 Deutsche Asset Management Annual Report 2016 Investment Company with Variable Capital Incorporated under Luxembourg Law

34

35 Contents Annual report 2016 from January 1, 2016, through December 31, 2016 Equity and bond markets... 4 General information... 8 Annual report SICAV Chinese Equities Annual financial statements Investment portfolios and statements of income and expenses Supplementary information Remuneration Disclosure Information pursuant to Regulation (EU) 2015/ Report of the Réviseur d Entreprises agréé

36

37 Equity and bond markets

38 Equity markets in the fiscal year through December 31, 2016 Volatile market environment The international equity markets exhibited strong market movements in the reporting period, even though the picture was more differentiated when viewed at a regional level. The market environment initially deteriorated in the first quarter of 2016, as concerns about economic performance in China and its effect on the global economy once again became the focus of investor attention. This weighed on prices in the global equity markets, as did the sometimes weaker economic data from the United States. The subdued performance of the commodity markets at the beginning of the fiscal year also had a particularly adverse impact on the price development in the exchanges of commodity-exporting emerging markets. However, many equity markets were able to recover significantly as of March 2016 at the latest. A whole host of factors contributed to this trend. The decision by the Fed to leave interest rates unchanged for the time being was received positively by the markets, as too was the announcement of further economic stimulus measures by the European Central Bank (ECB). Solid macroeconomic data overall also had a boosting effect. There was a significant recovery in commodity prices in the first half of For example, the oil price increased noticeably, having previously marked multi-year lows, giving a boost to the recovery of share prices of companies dependent on the energy sector. After a phase in which the international equity markets trended sideways to slightly positive, the further course was hampered for a time by the vote in the United Kingdom regarding whether it would remain in or leave the European Union ( Brexit ). The outcome of the referendum in favor of an exit, clouded the mood in stock exchanges around the world, but only temporarily, as it was increasingly assumed that Brexit would have a limited effect on the global economy. Later in the period, share price performance was boosted by the continued expansionary monetary policy by various central banks and the solid business results of many companies. In addition, macroeconomic data continued to indicate a growth trend, albeit a moderate one. Most of the stock exchanges of the industrial countries recorded a positive performance as a result of the surprising outcome of the U.S. presidential elections unlike the equity markets of the emerging countries as the announcement of increased government investment in the United States had a positive effect on investors growth expectations. Against this backdrop and when viewed from a global perspective, the equity markets posted significant gains overall from mid-2016 until the end of the year. For the reporting year as a whole through the end of December 2016, equities posted a gain internationally as measured by the MSCI World of 7.3% in U.S. dollar terms (+10.8% in euro). Equities positive in Europe after strong fluctuations European equities, as measured on the MSCI Europe Index, recorded a gain of 2.7% in euro terms in the past fiscal year. The surprising outcome of the Brexit referendum in the United Kingdom and the weakness of the financial sector in times of an ongoing low interest rate policy by the ECB had an adverse effect. Alongside low interest rates, which increasingly developed into a serious adverse factor for banks and insurance companies, concerns regarding the capitalization of some Italian banks were a particular cause for uncertainty. Outside of the financial sector, however, the expansionary monetary policy of the ECB, which was loosened further during the course of the reporting period, had a largely positive effect on the share price performance of European equities. The Bank of England also decided to cut interest rates and to expand its bond purchase program in order to counteract the increased uncertainty in the wake of the Brexit vote. Overall, the performance of the individual equity markets in Europe was 4

39 extremely mixed. For example, German equities profited from the export strength of the German economy and posted a gain of 6.9% on euro basis in the reporting period, as measured on the DAX. In contrast, stock exchanges in Italy and Spain were noticeably impacted not only by political uncertainties but also by the strongly represented banking sector. Rise in equity prices in the United States However, U.S. equities recorded significant price gains. Low interest rates and the continuous recovery of the U.S. economy, as manifested in lower unemployment figures, slightly increased wages and continued low oil prices, generated a significant tailwind here. These factors had a positive effect on consumption, which proved to be an important pillar of the economy in the United States. U.S. equities also posted significant price gains following the presidential elections in the United States, as the announcement of infrastructure programs and tax cuts fuelled growth expectations. Viewed across the entire reporting period through the end of December 2016, U.S. equities, as measured on the S&P 500 Index, recorded an appreciation of 10.9% in U.S. dollar terms (+14.6% in euro). Uneven development in Japan In the first quarter of the 2016 calendar year, Japanese equities initially had to accept significant price reductions against the backdrop of concerns about the economy in China, an unfavorable exchange rate trend and a decline in exports. However, the Japanese equity market recorded a recovery later in the year. An improvement in growth prospects and a positive equity market environment as a result of the U.S. presidential elections were significant drivers in this regard. Thanks to the noticeable appreciation of the yen against the European common currency, Japanese equities, as measured on the TOPIX Index, recorded a gain of 6.8% in euro terms for the reporting period as a whole, despite an only slightly positive performance in local currency (+0.3%). Renewed concerns about the economy in China The partly weaker economic data from China contributed to a volatile performance for Chinese equities. This was particularly evident at the start of the 2016 calendar year when a re-emergence of concerns about growth in connection with a devaluation of the renminbi led to significant price declines in the stock markets there. Chinese equities were able to recover again later in the period against the backdrop of more stable economic data, as there were increasing expectations that there would be a gradual weakening of economic growth in China instead of an abrupt economic collapse. Recovery of equity prices in the emerging markets In many of the other emerging markets, there was a trend reversal following the overall weak previous year. The MSCI Emerging Markets Index appreciated strongly by 12.0% in U.S. dollar terms (+15.7% in euro). The rise in commodity prices was a significant driver of positive performance and led to strong increases in equity prices in commodity-exporting emerging markets, while the associated currencies also appreciated strongly. The price performance in the emerging markets was, however, significantly adversely affected toward the end of the reporting period by the results of the U.S. presidential elections. 5

40 Bond markets in the fiscal year through December 31, 2016 Difficult market environment In the past fiscal year 2016, the international bond markets were characterized by continual price fluctuations. This volatility was mostly due to the high level of indebtedness worldwide alongside the uncertainty in light of negative interest rates in some industrial countries regarding a change of direction in interest rates led by the United States. In addition, global economic growth weakened, despite the fact that economic development in the emerging markets was stabilizing. Moreover, upcoming elections in Europe and the United States caused further uncertainty, as did the British vote to leave the European Union ( Brexit ). Change of direction in interest rates following record lows for bond yields Price developments in the bond markets were positive overall albeit uneven and to varying degrees amid fluctuation. In the first nine months of 2016, the bond markets in the industrial countries were influenced by the drop in bond yields to historically low levels, accompanied by rising bond prices. This was bolstered by the fact that the central banks of the industrial countries kept their monetary policy reins extremely slack. For example, the European Central Bank (ECB) lowered key interest rates further on March 10, 2016, to 0.00% p.a. in order to combat the threat of deflation. In addition, it reduced the deposit rate for banks from -0.30% p.a. to -0.40% p.a. most recently. Furthermore, within the scope of quantitative easing, it expanded its bond purchase program to include not only government bonds but also corporate bonds (excluding bank bonds) with good credit ratings (investment grade status). This particularly boosted performance in the corporate bond markets. Amid the glut of money caused by the ultra-loose monetary policy of the central banks, bond yields tested new record lows. Therefore, it was not just short-term interest-bearing securities from some European countries that had negative interest rates. Yields on ten-year government bonds from Germany, Japan and Switzerland also slipped into, or further into, minus territory. When it issued a ten-year bond in July 2016, the German government earned money on debt for the first time ever. The reason: that German Bund with a nominal interest rate (coupon) of 0.00% p.a. was 1.2 times oversubscribed, which meant that investors had to content themselves with a yield of -0.05% p.a. The background to this curiosity was the Brexit vote by the British, in light of which investors fled to German government bonds, which were viewed as safe havens. U.S. government bonds, on the other hand, continued to have positive yields although at a very low level. One reason for this is that the U.S. Federal Reserve (Fed) stopped purchasing government bonds almost two years ago, but initially maintained its loose monetary policy. As of the end of September 2016, the trend turned around to rising yields and retreating bond prices. Commodity and energy prices, which had been increasing since February 2016, led market participants to expect that the central banks might stop their quantitative easing and therefore put the brakes on their extremely loose monetary policy. The rise in interest rates was particularly noticeable in U.S. government bonds after the U.S. presidential election at the start of November 2016, when they posted price declines in the seven to ten-year maturity segment. Donald Trump s promises of tax reductions and increased government spending fuelled growth and inflation expectations. This development in the United States also had 6

41 the effect of driving up interest rates in the euro area, especially on government bonds from Germany, France, Spain and Italy. For the year as a whole, yields on ten-year government bonds in Germany fell from 0.63% to 0.11% p.a., in Japan from 0.25% to 0.05% p.a. and in Switzerland they even fell below the zero percent mark from -0.04% to -0.14% p.a. In the United States, in contrast, yields on ten-year Treasuries increased from 2.27% to 2.45% p.a. Given the low interest rate environment that predominated in the 2016 fiscal year, only riskier interest-bearing securities, such as corporate bonds with investment-grade status, high-yield bonds, as well as bonds from the emerging markets, afforded the opportunity to achieve appreciable interest rates. Viewed over the year as a whole through the end of December 2016, these interestbearing instruments recorded declines in yields overall, accompanied by sometimes significant price increases. Corporate, high-yield and emerging market bonds, in particular, were able to outperform government bonds from industrial countries. This trend was boosted, among other things, by a heightened interest among investors in their search for positive or higher yields. At the same time, an opinion increasingly emerged on the investor side that the central banks were distorting the bond markets with their expanded quantitative easing and that the now very low yields would no longer adequately reflect the risks. In addition to the ECB, the Bank of England also expanded its bond purchase program in August 2016 to include corporate bonds. The most recent overall effect of these measures was a noticeable decline in yields on corporate bonds through to, in some cases, negative yields on corporate bonds with investment grade ratings. In addition to greater interest from investors, emerging market bonds also benefited from, among other factors, the significant recovery in the commodity markets as of February These markets had previously been under price pressure since summer Capriciousness in the currency markets In the 2016 fiscal year, price developments in the currency markets were very volatile and uneven. With regard to the local currencies of the emerging markets, the currencies of commodityexporting emerging markets, which in the previous year had recorded significant losses, posted noticeable to strong recoveries in the reporting period. The Brazilian real thus made up ground against the euro, appreciating by 26.0% (previous year: -25.3%). The Russian rouble appreciated against the European common currency by 24.1% (previous year: -11.2%). One of the reasons for this was the stabilization in commodity prices, particularly for oil, seen since February The Canadian dollar (+6.3%), the Norwegian krone (+5.7%), the New Zealand dollar (+4.8%) and the Australian dollar (+2.2%) (so-called commodity currencies) also profited on this basis against the euro although to a lesser degree. Among the currencies of the G10 countries (ten leading industrial nations), the British pound depreciated significantly against the euro under the weight of the Brexit vote, by 13.5% overall on an annual basis. However, the European common currency also weakened against many currencies and, for example, fell by 3.2% (on USD basis) against the greenback. 7

42 General information The funds described in this report are sub-funds of a SICAV (Société d Investissement à Capital Variable) incorporated under Luxembourg law. Performance The investment return, or performance, of a mutual fund investment is measured by the change in value of the fund s shares. The net asset values per share (= redemption prices) with the addition of intervening distributions, which are, for example, reinvested free of charge within the scope of investment accounts at Deutsche Asset Management S.A., are used as the basis for calculating the value. Past performance is not a guide to future results. The corresponding benchmarks if available are also presented in the report. All financial data in this publication is as of December 31, 2016 (unless otherwise stated). Sales prospectuses Fund shares are purchased on the basis of the current sales prospectus, the key investor information document and the articles of incorporation and by-laws of the SICAV, in combination with the latest audited annual report and any semiannual report that is more recent than the latest annual report. Issue and redemption prices The current issue and redemption prices and all other information for shareholders may be requested at any time at the registered office of the Management Company and from the paying agents. In addition, the issue and redemption prices are published in every country of distribution through appropriate media (such as the Internet, electronic information systems, newspapers, etc.). 8

43 The following companies were renamed on March 17, 2016: Deutsche Asset & Wealth Management Investment GmbH became Deutsche Asset Management Investment GmbH Deutsche Asset & Wealth Management International GmbH became Deutsche Asset Management International GmbH Deutsche Asset & Wealth Management Investment S.A. became Deutsche Asset Management S.A. Mergers of SICAV-external funds with sub-funds of the SICAV Following a resolution to that effect adopted by the respective Board of Directors and the approval of the Luxembourg supervisory authority CSSF, the fund DWS Vermögensbildungsfonds I (Lux) was merged into the sub-fund Deutsche Invest I LowVol World (LD share class) effective December 13, The exchange factor was Liquidations of sub-funds The sub-fund Emerging Markets Satellites was liquidated effective September 22, 2016, following a resolution to that effect adopted by the Board of Directors of the SICAV and the approval of the Luxembourg supervisory authority CSSF. The issue of new shares of the sub-fund was discontinued effective September 7, Investors could redeem sub-fund shares until September 15, Multi Asset Total Return was liquidated effective October 27, 2016, following a resolution to that effect adopted by the Board of Directors of the SICAV and the approval of the Luxembourg supervisory authority CSSF. The issue of new shares of the sub-fund was discontinued effective September 2, Investors could redeem sub-fund shares until October 20, The sub-fund CROCI Flexible Allocation was liquidated effective January 23, 2017, following a resolution to that effect adopted by the Board of Directors of the SICAV and the approval of the Luxembourg supervisory authority CSSF. The issue of new shares of the sub-fund was discontinued effective December 22, Investors could redeem sub-fund shares until January 16, Liquidations of share classes of sub-funds The GBP FC share class of the sub-fund Global Thematic was closed effective May 19, 2016, by resolution of the Management Board authorized by the Board of Directors of Deutsche Asset Management S.A. The FCH (P) share class of the sub-fund Global Agribusiness was closed effective May 27, 2016, by resolution of the Management Board authorized by the Board of Directors of Deutsche Asset Management S.A. The GBP LDMH (P) share class of the sub-fund Top Dividend was closed effective December 12, 2016, by resolution of the Management Board authorized by the Board of Directors of Deutsche Asset Management S.A. Renaming of sub-funds The sub-fund Global Bonds (Short) was renamed Global Short Duration effective March 31, The sub-fund Quant Equity Low Volatility World was renamed LowVol World effective November 24,

44 Renaming of share classes The GBP RD share class of the sub-fund Africa was renamed GBP D RD effective March 31, The GBP RD share class of the sub-fund Chinese Equities was renamed GBP D RD effective March 31, The GBP RDH share class of the sub-fund Convertibles was renamed GBP DH RD effective March 31, The GBP RD share class of the sub-fund Global Agribusiness was renamed GBP D RD effective March 31, The FCH (P) share class of the sub-fund Global Bonds was renamed FC effective March 31, The LDH (P) share class of the sub-fund Global Bonds was renamed LD effective March 31, The PFCH (P) share class of the sub-fund Global Bonds was renamed PFC effective March 31, The PFDQH (P) share class of the sub-fund Global Bonds was renamed PFDQ effective March 31, The LCH (P) share class of the sub-fund Global Bonds was renamed LC effective March 31, The NCH (P) share class of the sub-fund Global Bonds was renamed NC effective March 31, The GBP IDH (P) share class of the sub-fund Global Bonds was renamed GBP IDH effective March 31, The GBP DH (P) RD share class of the sub-fund Global Bonds was renamed GBP DH RD effective March 31, The GBP CH (P) RD share class of the sub-fund Global Bonds was renamed GBP CH RD effective March 31, The CHF ICH (P) share class of the sub-fund Global Bonds was renamed CHF ICH effective March 31, The USD LCH (P) share class of the sub-fund Global Bonds was renamed USD LCH effective March 31, 2016 The USD FCH (P) share class of the sub-fund Global Bonds was renamed USD FCH effective March 31, The ICH (P) share class of the sub-fund Global Bonds was renamed IC effective March 31, The CHF FCH (P) share class of the sub-fund Global Bonds was renamed CHF FCH effective March 31, The CHF FDH (P) share class of the sub-fund Global Bonds was renamed CHF FDH effective March 31, The CHF LCH (P) share class of the sub-fund Global Bonds was renamed CHF LCH effective March 31, The CHF LDH (P) share class of the sub-fund Global Bonds was renamed CHF LDH effective March 31, The FDH (P) share class of the sub-fund Global Bonds was renamed FD effective March 31, The IDH (P) share class of the sub-fund Global Bonds was renamed ID effective March 31, The SEK FCH (P) share class of the sub-fund Global Bonds was renamed SEK FCH effective March 31, The SEK LCH (P) share class of the sub-fund Global Bonds was renamed SEK LCH effective March 31, The GBP RD share class of the sub-fund Global Infrastructure was renamed GBP D RD effective March 31, The GBP RD share class of the sub-fund Global Thematic was renamed GBP D RD effective March 31,

45 The GBP RD share class of the sub-fund Top Asia was renamed GBP D RD effective March 31, The GBP RD share class of the sub-fund Top Dividend was renamed GBP D RD effective March 31, The GBP RD share class of the sub-fund Top Euroland was renamed GBP D RD effective March 31, The GBP RDH share class of the sub-fund Top Euroland was renamed GBP DH RD effective March 31, Obligations for cross-border distribution The annual financial statements for this SICAV (Société d Investissement à Capital Variable) contain a report by the Réviseur d Entreprises agréé (independent auditor s opinion). This report refers exclusively to the German-language version of the financial statements as they were prepared for the purposes of complying with the regulatory obligations in the country of origin of the SICAV ( original version ). For cross-border distribution, one of the obligations of the SICAV is to also publish annual reports in at least one of the national languages of the relevant country of distribution or in another language authorized by the competent authorities in the relevant country of distribution; where applicable, extracts may be published on a sub-fund basis. The tax information contained in the annual reports for investors who are subject, without limitation, to taxation in the Federal Republic of Germany and specific information for investors in a different country of distribution have been omitted in the national or specific language versions. National or language versions must also be published for the semiannual reports to be produced for the first half of the fiscal year. In the event of any discrepancies in content between the German original version of the report and/or any translation thereof, the German-language version shall prevail. 11

46 Information for Hong Kong SAR investors As at the date of this report, the following sub-funds are authorized in Hong Kong and available to Hong Kong residents: n Chinese Equities Note No. 1 Transactions with Connected Persons As at the date of this report, the Company has the following agreements and arrangements with Deutsche Bank AG and its affiliates or subsidiaries. Fees related to the investment management of the funds, hereunder management fee and advisor fee have been paid to several members of Deutsche Bank AG group, who have acted as investment managers and investment advisors of the Company. Other members of Deutsche Bank AG group have also been paid transfer agent fees for rendering the service of coordinating the sale and purchase of the Company s shares. The above agreements and arrangements were entered into in the ordinary course of business and on normal commercial terms. The Investment Company shall pay to the Management Company a fee from the assets of the sub-fund based on the respective sub-fund s net asset value calculated on the valuation date, in each case relative to the percentage of the sub-fund s assets attributable to the respective individual share class. For all share classes of sub-funds launched before July 1, 2008, the fee of the Management Company does not exceed 2.1% p.a.; for share classes of sub-funds launched on July 1, 2008, or thereafter the fee of the Management Company may be up to 3.0% p.a. The current Management Company fee rates are disclosed in the product annex for the respective share classes in the special section of the sales prospectus. This fee shall in particular serve as compensation for the Management Company, the fund management and the distributors of the sub-fund. Security investments and currency transactions with Connected Persons of the SICAV were as follows: Chinese Equities Purchase & Sales with connected parties TOTAL Purchase & Sales % Base Commission with connected parties Fund Total Commision % The figures disclosed in this note concern only the sub-fund authorized in Hong Kong as at December 31, Comparative figures for 2015: Chinese Equities Purchase & Sales with connected parties TOTAL Purchase & Sales % Base Commission with connected parties Fund Total Commision % Note No. 2 Securities Lending Transaction Unless further restricted by the investment policies of a specific sub-fund as described in the special sections of the sales prospectus, the Company may enter into securities lending and borrowing transactions. The applicable restrictions can be found in CSSF Circular 08/356 as amended from time to time. Those transactions may be entered into for one or more of the following aims: (i) reduction of risk, (ii) reduction of cost and (iii) generation of additional capital or income with a level of risk which is consistent with the risk profile of the relevant sub-fund and the applicable risk diversification rules. Those transactions may be carried out for 100% of the assets held by the relevant sub-fund provided (i) that their volume is kept at an appropriate level or that the Company or relevant sub-fund manager is entitled to request the return of the securities lent in a manner that enables the sub-fund at all times to meet its redemption obligations and (ii) that these transactions do not jeopardise the management of the sub-fund s assets in accordance with its investment policy. Their risks shall be captured by the risk management process of the Company. 12

47 The Company or the relevant sub-fund manager may enter into securities lending and borrowing transactions provided that they comply with the following rules: (i) The Company may only lend securities through a standardized system organized by a recognized clearing institution or through a first class financial institution subject to prudential supervision rules which are recognized by the CSSF as equivalent to those laid down in Community law and specializing in this type of transaction; (ii) The borrower must be subject to prudential supervision rules considered by the CSSF as equivalent to those prescribed by Community law; (iii) The counterparty risk vis-à-vis a single counterparty (which, for the avoidance of doubt, may be reduced by the use of collateral) arising from one or more securities lending transaction(s) may not exceed 10% of the assets of the relevant sub-fund when the counterparty is a financial institution falling within article 41, paragraph (1) (f) of the law of 2010, or 5% of its assets in all other cases; (iv) As part of lending transactions, the Company must receive collateral, the value of which, during the duration of the lending agreement, must be equal to at least 90% of the global valuation of the securities lent (interests, dividends and other eventual rights included); (v) Such collateral must be received prior to or simultaneously with the transfer of the securities lent. When the securities are lent through intermediaries, the transfer of the securities lent may be effected prior to receipt of the collateral, if the relevant intermediary ensures proper completion of the transaction. Said intermediary may provide collateral in lieu of the borrower; (vi) In principle, this collateral must be given in the form of: liquid assets such as cash, short term bank deposits, money market instruments as defined in Directive 2007/16/EC of March 19, 2007, letters of credit and guarantees at first demand issued by a first class credit institution not affiliated to the counterparty; bonds issued or guaranteed by a Member State of the OECD or by their local authorities or by supranational institutions and undertakings of a community, regional or worldwide nature; shares or units issued by money market-type UCIs calculating a daily net asset value and having a rating of AAA or its equivalent and/or shares or units issued by UCITS investing mainly in bonds/shares mentioned in the following two indents: bonds issued or guaranteed by first class issuers offering an adequate liquidity; or shares admitted to or dealt in on a regulated market of a Member State of the European Union or on a stock exchange of a Member State of the OECD, provided that these shares are included in a main index; (vii) The collateral given under any form other than cash or shares/units of a UCI/UCITS shall be issued by an entity not affiliated to the counterparty; (viii) When the collateral given in the form of cash exposes the Company to a credit risk vis-à-vis the trustee of this collateral, such exposure shall be subject to the 20% limitation as laid down in article 43 (1) of the Law of December 17, Moreover such cash collateral shall not be safekept by the counterparty unless it is legally protected from consequences of default of the latter; (ix) The collateral given in a form other than cash shall not be safekept by the counterparty, except if it is adequately segregated from the latter s own assets; (x) The Company (or its delegates) shall proceed on a daily basis to the valuation of the collateral received. In case the value of the collateral already granted appears to be insufficient in comparison with the amount to be covered, the counterparty shall provide additional collateral at very short term. If appropriate, safety margins shall apply in order to take into consideration exchange risks or market risks inherent to the assets accepted as collateral; (xi) It shall be ensured that the Company is able to claim its rights on the collateral in case of the occurrence of an event requiring the execution thereof, meaning that the collateral shall be available at all times, either directly or through the intermediary of a first class financial institution or a wholly-owned subsidiary of this institution, in such a manner that the Company is able to appropriate or realise the assets given as collateral, without delay, if the counterparty does not comply with its obligation to return the securities lent; (xii) During the duration of the agreement, the collateral cannot be sold or given as a security or pledged, except if the Company has other means of coverage; and, 13

48 (xiii) The Company shall disclose the global valuation of the securities lent in the annual and semiannual reports. Securities lending may also be conducted synthetically ( synthetic securities lending ). In a synthetic securities loan, a security contained in a sub-fund is sold to a counterparty at the current market price. This sale is, however, subject to the condition that the sub-fund simultaneously receives from the counterparty a securitized unleveraged option giving the sub-fund the right to demand delivery at a later date of securities of the same kind, quality and quantity as the sold securities. The price of the option (the option price ) is equal to the current market price received from the sale of the securities less (a) the securities lending fee, (b) the income (e.g., dividends, interest payments, corporate actions) from the securities that can be demanded back upon exercise of the option and (c) the exercise price associated with the option. The option will be exercised at the exercise price during the term of the option. If the security underlying the synthetic securities loan is to be sold during the term of the option in order to implement the investment strategy, such a sale may also be executed by selling the option at the then prevailing market price less the exercise price. Securities lending transactions may also, as the case may be, be entered into with respect to individual sub-funds or share classes, taking into account the specific characteristics of such sub-fund or share class and/or its investors, with any right to income and collateral under such securities lending transactions arising at the level of such specific sub-fund or share class. The Management Company may receive up to one half of the income from the conclusion of securities lending transactions (including synthetic securities lending transactions) for the account of the respective sub-fund assets. No securities lending transactions are conducted for the Hong Kong authorized sub-fund during the period of this report. (2015: nil) Note No. 3 Soft Commission Arrangements Pursuant to the Code on Unit Trusts and Mutual Funds of the Securities and Futures Commission of Hong Kong, the following statement is made: The Management Company shall submit buy and sell orders for securities and financial instruments directly to brokers and traders for the account of the respective sub-fund. The Management Company concludes agreements with these brokers and traders under customary market conditions that comply with first-rate execution standards. When selecting the broker or trader, the Management Company takes into account all relevant factors, such as the credit rating of the broker or trader and the quality of the market information, the analyses, as well as the execution capacities provided. Moreover, the Management Company currently accepts and concludes agreements in which it can take advantage of and utilize valuable benefits offered by brokers and traders. The Management Company has the right to retain these services, which include services provided by brokers and traders directly (for more information, see article 12 in the sales prospectus, which deals with the reimbursement of the fees and expenses). These direct services include special advice regarding the advisability of trading an asset or its valuation, analyses and consultation services, economic and political analyses, portfolio analyses (including valuation and performance measurement), market analyses as well as indirect services, such as market and price information systems, information services, computer hardware and software or any other options for gathering information in the scope in which these are used to support the investment decision process, consultation or execution of research or analysis activities as well as custodial services regarding the sub-fund s assets. That means brokerage services may not be limited to general analysis, but may also include special services such as Reuters and Bloomberg. Agreements with brokers and traders may include the condition that traders and brokers are to transfer to third parties immediately or later a portion of the commissions paid for the purchase or sale of assets; these commissions shall be provided by the Management Company for the services previously specified. The Management Company shall comply with all valid regulatory and industry standards when taking advantage of these benefits (generally called soft dollars ). In particular, the Management Company shall not accept nor conclude any agreements on obtaining such benefits if these agreements do not support the Management Company in its investment decision process according to reasonably prudent discretion. The prerequisite is that the Management Company shall always ensure that the transactions are executed while taking into account the appropriate market at the appropriate time for transactions of the appropriate type and size at the best possible conditions and that no unnecessary business transactions are concluded to acquire the right to such benefits. The goods and services received within the scope of soft-dollar agreements shall exclude travel, accommodations, entertainment, general administrative goods and services, general office equipment and office space, membership fees, employee salaries and direct cash payments. 14

49 Commission sharing The Management Company may conclude agreements with selected brokers under which the respective broker transfers, either immediately or after a time delay, portions of the payments it receives under the relevant agreement from the Management Company for the purchase or sale of assets to third parties that will then provide research or analytical services to the Management Company. These agreements (called commission-sharing agreements ) are used by the Management Company for the purpose of managing the sub-funds. To clarify: the Management Company shall use these services as specified in and only in accordance with the conditions set out in the Buy and sell orders for securities and financial instruments section of the sales prospectus. 15

50

51 Annual report

52 Chinese Equities Investment objective and performance in the reporting period The partly weaker economic data from China contributed to a volatile performance for Chinese equities. This was particularly evident at the start of the 2016 fiscal year when a re-emergence of concerns about growth in connection with a devaluation of the Chinese yuan renminbi led to significant price declines on the stock exchanges. However, Chinese equities were able to recover again later in the reporting period against the backdrop of more stable economic data. Against this backdrop, the sub-fund Chinese Equities achieved an appreciation of 2.3% per share (LC share class; BVI method). Its benchmark, the MSCI China 10/40 (in euro), rose 4.4% (both percentages in euro terms). Investment policy in the reporting period In 2016, the underperformance of the sub-fund was primarily due to the underweighting of financials, mainly banks, because the management had concerns about their subdued earnings outlook and asset risk. However, banks actually outperformed due mainly to the southbound flow of funds through Stock Connect programs from mainland China seeking higher investment returns as the renminbi appreciated. The portfolio s underweight position in China Mobile in the first quarter of 2016 also hurt performance as the stock outperformed during the market correction. The sub-fund s key overweights included: Basic materials (from underweight to overweight): expectation that upstream producers of basic materials might gain more pricing power through the government s supply-side reform and the official policy of reducing capacity within industries experiencing severe oversupply Industrials (overweight): focus Chinese Equities Performance of share classes vs. benchmark (in euro) Share class ISIN 1 year 3 years 5 years Class LC LU % 17.9% 40.5% Class FC LU % 20.9% 46.6% Class NC LU % 16.0% 36.6% Class GBP D RD 1 LU % 20.6% 47.3% Class USD FC 2 LU % -8.2% 19.7% Class USD LC 2 LU % -10.4% 15.0% MSCI China 10/40 (in euro) 4.4% 32.7% 59.3% 1 in GBP 2 in USD BVI method performance, i.e., excluding the initial sales charge. Past performance is no guide to future results. As of: December 31, 2016 on infrastructure-related stocks (continued fiscal stimulus from the government seeking to boost the economy). The sub-fund s key underweights comprised: Financials: mainly underweighting of bank and insurance stocks due to weaker earnings outlook and concerns about asset quality IT (from overweight to underweight by the end of the fiscal year): the management expected cyclical stocks to outperform. 18

53 At company level, the sub-fund held overweight positions in the following holdings: As an infrastructure company, Metallurgical Corp. benefited from government spending on infrastructure projects to boost economic growth. AAC Technologies, a leading provider of acoustic components for handsets, benefited from a better product mix (from upgrade demand) and improved product diversification (development of non-acoustic products). Beijing Enterprises, a leading water treatment company with strong government backing, benefited from the government s favorable policy on environmental protection projects. DEUTSCHE INVEST I CHINESE EQUITIES Investment focus by sector Equities: 96.2% Information Technology Financials Telecommunication Services Consumer Discretionaries Industrials Energy Basic Materials Real Estate Health Care Consumer Staples Other sectors Cash and other assets In % of the sub-fund s net assets As of: December 31, 2016 Negligible rounding errors may have arisen compared with the investment portfolio due to the rounding of calculated percentages. The largest underweight positions were Tencent (due to 10% single-stock investment limit), Alibaba (only moderate earnings growth) and China Construction Bank (due to concerns about weak growth prospects and deteriorating asset quality). 19

54

55 The format used for complete dates in securities descriptions in the investment portfolio is day/month/year. Annual financial statements with investment portfolios and statements of income and expenses

56 Chinese Equities Investment portfolio December 31, 2016 Count/ Quantity/ Purchases/ Sales/ Currency Market price Total market % of Description shares/ principal additions disposals value in net currency amount in the reporting period assets Securities traded on an exchange Equities AAC Technologies Holdings, Inc.... Count HKD Alibaba Health Information Technology Ltd... Count HKD Alibaba Pictures Group Ltd... Count HKD Bank of China Ltd -H-... Count HKD BBMG Corp.... Count HKD Beijing Enterprises Water Group Ltd... Count HKD Beijing Urban Construction Design & Development Group Co Ltd... Count HKD Brilliance China Automotive Holdings Ltd... Count HKD BYD Electronic International Co., Ltd... Count HKD China Communications Construction Co., Ltd -H-... Count HKD China Construction Bank Corp. -H-... Count HKD China Galaxy Securities Co Ltd... Count HKD China Life Insurance Co., Ltd... Count HKD China Mengniu Dairy Co., Ltd... Count HKD China Merchants Bank Co., Ltd -H-... Count HKD China Mobile Ltd... Count HKD China Petroleum & Chemical Corp.... Count HKD China Resources Cement Holdings Ltd... Count HKD China Resources Land Ltd... Count HKD China Unicom Hong Kong Ltd... Count HKD China Vast Industrial Urban Development Co., Ltd 144A... Count HKD Chu Kong Shipping Enterprises Group Co., Ltd... Count HKD CITIC Securities Co., Ltd... Count HKD CNOOC Ltd... Count HKD CPMC Holdings Ltd... Count HKD CSC Financial Co., Ltd... Count HKD CSPC Pharmaceutical Group Ltd... Count HKD Geely Automobile Holdings Ltd... Count HKD HSBC Holdings Plc... Count HKD Industrial & Commercial Bank of China Ltd -H-... Count HKD Jacobson Pharma Corp., Ltd... Count HKD JNBY Design Ltd... Count HKD Longfor Properties Co., Ltd... Count HKD Metallurgical Corp of China Ltd... Count HKD New China Life Insurance Co., Ltd... Count HKD Ourgame International Holdings Ltd... Count HKD Pacific Basin Shipping Ltd... Count HKD PetroChina Co., Ltd... Count HKD PICC Property & Casualty Co., Ltd... Count HKD Ping An Insurance Group Co. of China Ltd... Count HKD Semiconductor Manufacturing International Corp.... Count HKD Shanghai Industrial Holdings Ltd... Count HKD Shenzhou International Group Holdings Ltd... Count HKD Sinopharm Group Co. Ltd... Count HKD Sunny Optical Technology Group Co., Ltd... Count HKD Tencent Holdings Ltd... Count HKD Tibet Water Resources Ltd... Count HKD Tingyi Cayman Islands Holding Corp.... Count HKD Universal Medical Financial & Technical Advisory Services Co., Ltd... Count HKD West China Cement Ltd... Count HKD Zhuzhou CSR Times Electric Co., Ltd -H-... Count HKD Zijin Mining Group Co., Ltd... Count HKD Alibaba Group Holding... Count USD Baidu, Inc. -ADR-... Count USD Ctrip.com International Ltd -ADR-... Count USD Momo, Inc. -ADR-... Count USD NetEase, Inc. -ADR-... Count USD New Oriental Education & Technology Group, Inc. -ADR-... Count USD ZTO Express Cayman, Inc. -ADR-... Count USD Securities admitted to or included in organized markets Equities Moulin Global Eyecare 1... Count HKD Total securities portfolio Cash at bank Demand deposits at Depositary deposits

57 Chinese Equities Count/ Quantity/ Purchases/ Sales/ Currency Market price Total market % of Description shares/ principal additions disposals value in net currency amount in the reporting period assets Deposits in other EU/EEA currencies British pound... GBP Deposits in non-eu/eea currencies.. Hong Kong dollar... HKD U.S. dollar.... USD Australian dollar... AUD Other assets Receivables from exceeding the expense cap Receivables from share certificate transactions Total assets Other liabilities Liabilities from cost items Additional other liabilities Liabilities from share certificate transactions Total liabilities Net assets Negligible rounding errors may have arisen due to the rounding of calculated percentages. Net asset value per share and Count/ Net asset value per share number of shares outstanding currency in the respective currency Net asset value per share Class FC Class LC Class NC Class GBP D RD (formerly: GBP RD).... GBP Class USD FC.... USD Class USD LC.... USD Number of shares outstanding Class FC... Count Class LC... Count Class NC.... Count Class GBP D RD (formerly: GBP RD).... Count 366 Class USD FC.... Count Class USD LC.... Count Composition of the reference portfolio (according to CSSF circular 11/512) MSCI China 10/40 Index in Constituents Market risk exposure (value-at-risk) (according to CSSF circular 11/512) Lowest market risk exposure.... % Highest market risk exposure... % Average market risk exposure.... % The values-at-risk were calculated for the period from January 1, 2016, through December 31, 2016, using historical simulation with a 99% confidence level, a 10-day holding period and an effective historical observation period of one year. The risk in a reference portfolio that does not contain derivatives is used as the measurement benchmark. Market risk is the risk to the fund s assets arising from an unfavorable change in market prices. The Company determines the potential market risk by means of the relative value-at-risk approach as defined in CSSF circular 11/512. In the reporting period, the average leverage effect from the use of derivatives was 0.0, whereby the total of the nominal amounts of the derivatives in relation to the fund s assets was used for the calculation (sum-of-notional approach). The gross exposure generated via derivatives pursuant to point 40 a) of the Guidelines on ETFs and other UCITS issues of the European Securities and Markets Authority (ESMA) totaled 0.00 as of the reporting date. Exchange rates (indirect quotes) As of: December 30, Australian dollar... AUD = 1 British pound... GBP = 1 Hong Kong dollar... HKD = 1 U.S. dollar.... USD = 1 23

58 Chinese Equities Notes on valuation Under the responsibility of the Board of Directors of the SICAV, the Management Company determines the net asset values per share and performs the valuation of the assets of the fund. The basic provision of price data and price validation are performed in accordance with the method introduced by the Board of Directors of the SICAV on the basis of the legal and regulatory requirements or the principles for valuation methods defined in the SICAV s prospectus. If no trading prices are available, prices are determined with the aid of valuation models (derived market values) which are agreed between State Street Bank Luxembourg as external price service provider and the Management Company and which are based as far as possible on market parameters. This procedure is subject to an ongoing monitoring process. The plausibility of price information from third parties is checked through other pricing sources, model calculations or other suitable procedure. Assets reported in this report are not valued at derived market values. The management fee / all-in fee rates in effect as of the reporting date for the investment fund units held in the securities portfolio are shown in parentheses. A plus sign means that a performance-based fee may also be charged. As the investment fund held units of other investment funds (target funds) in the reporting period, further costs, charges and fees may have been incurred at the level of these individual target funds. No initial sales charges or redemption fees were paid in the reporting period. Footnote 1 This company is experiencing financial difficulties, which has resulted in a corresponding decline in the value of the security. Transactions completed during the reporting period that no longer appear in the investment portfolio: Purchases and sales of securities, investment fund units and promissory note loans (Schuldscheindarlehen); market classifications are as of the reporting date Description Count/ shares/ currency Purchases/ additions Sales/ disposals Description Count/ shares/ currency Purchases/ additions Sales/ disposals Securities traded on an exchange Equities 3SBio, Inc.... Count com, Inc. -ADR-... Count Air China Ltd -H-... Count Aluminum Corp. of China Ltd... Count Angang Steel Co., Ltd.... Count Anhui Conch Cement Co., Ltd... Count Bitauto Holdings Ltd -ADR-... Count China Biologic Products, Inc.... Count China CITIC Bank Corp., Ltd -H-... Count China Everbright Ltd... Count China Foods Ltd... Count China International Capital Corp Ltd... Count China Longyuan Power Group Corp.... Count China Merchants Securities Co., Ltd... Count China Overseas Land & Investment Ltd... Count China Pacific Insurance Group Co., Ltd... Count China Power International Development Ltd... Count China Shenhua Energy Co., Ltd -H-... Count China Shipping Development Co., Ltd... Count China Taiping Insurance Holdings Co., Ltd... Count China ZhengTong Automotive Service Holding Ltd... Count Chinasoft International Ltd... Count Country Garden Holdings Co., Ltd... Count CRCC High Tech Equipment... Count Dongfeng Motor Group Co., Ltd -H-... Count Dynagreen Environmental Protection Group Co., Ltd... Count Far East Horizon Ltd... Count Greentown China Holdings Ltd... Count Guangzhou Automobile Group Co., Ltd... Count Guangzhou R&F Properties Co., Ltd -H-... Count Harbin Bank Co., Ltd... Count Hong Kong Exchanges and Clearing Ltd... Count Huaneng Renewables Corp. Ltd... Count Huarong International Financial Holdings Ltd... Count IMAX China Holding Inc... Count JD.com, Inc. -ADR-... Count Maanshan Iron & Steel Co., Ltd... Count Minth Group Ltd... Count Nameson Holdings Ltd... Count Nexteer Automotive Group Ltd... Count Nine Dragons Paper Holdings Ltd... Count Orient Securities Co., Ltd/China 144A... Count Semiconductor Manufacturing International Corp.. Count Semiconductor Manufacturing International Corp.. Count Shanghai Jin Jiang International Hotels Group Co., Ltd... Count Shenzhen International Holdings Ltd... Count Sihuan Pharmaceutical Holdings Group Ltd... Count SINA Corp./China... Count Sino Biopharmaceutical Ltd... Count Sino-Ocean Land Holdings Ltd... Count Sinotruk Hong Kong Ltd... Count SouFun Holdings Ltd -ADR-... Count Texwinca Holdings Ltd... Count Tongda Group Holdings Ltd... Count Truly International Holdings... Count Vipshop Holdings Ltd -ADR-... Count Weibo Corp. -ADR-... Count Xinyi Glass Holding Co., Ltd... Count Yanzhou Coal Mining Co., Ltd... Count Zoomlion Heavy Industry Science and Technology Co., Ltd... Count Investment fund units Non-group fund units Harvest Funds (Hong Kong) ETF - Harvest CSI Smallcap 500 Index ETF HKD - (0.600%).. Units

59 Chinese Equities Statement of income and expenses (incl. income adjustment) Statement of changes in net assets 2016 for the period from January 1, 2016, through December 31, 2016 I. Income 1. Dividends (before withholding tax) Deduction for foreign withholding tax Total income II. Expenses 1. Interest on borrowings and negative interest on deposits Management fee thereof: Basic management fee Income from expense cap Administration fee Depositary fee Auditing, legal and publication costs Taxe d abonnement Other expenses Total expenses III. Net investment income IV. Sale transactions Realized gains/losses Capital gains/losses V. Net gain/loss for the fiscal year BVI total expense ratio (TER) The total expense ratio for the share classes was: Class FC 0.92% p.a., Class NC 2.44% p.a., Class USD FC 1.05% p.a., Class LC 1.74% p.a., Class GBP D RD (formerly: GBP RD) 1.72% p.a., Class USD LC 2.01% p.a. The TER expresses total expenses and fees (excluding transaction costs) as a percentage of a funds average net assets in relation to the respective share class for a given fiscal year. Transaction costs The transaction costs paid in the reporting period amounted to The transaction costs include all costs that were reported or settled separately for the account of the fund in the reporting period and are directly connected to the purchase or sale of assets. Any financial transaction taxes which may have been paid are included in the calculation. I. Value of the fund s net assets at the beginning of the fiscal year Distribution for the previous year Net outflows a) Inflows from subscriptions b) Outflows from redemptions Income adjustment Net investment income Realized gains/losses Net change in unrealized appreciation/depreciation II. Value of the fund s net assets at the end of the fiscal year Summary of gains/losses 2016 Realized gains/losses (incl. income adjustment) from: Securities transactions (Forward) currency transactions Details on the distribution policy * Class FC The income for the fiscal year is reinvested. Class LC The income for the fiscal year is reinvested. Class NC The income for the fiscal year is reinvested. Class GBP D RD (formerly: GBP RD) Type as of Currency Per share Final distribution March 10, 2017 GBP 0.73 Class USD FC The income for the fiscal year is reinvested. Class USD LC The income for the fiscal year is reinvested. * Additional information is provided in the sales prospectus. 25

60 Chinese Equities Changes in net assets and in the net asset value per share over the last three years Net assets at the end of the fiscal year Net asset value per share at the end of the fiscal year 2016 Class FC Class LC Class NC Class GBP D RD (formerly: GBP RD)... GBP Class USD FC... USD Class USD LC... USD Class FC Class LC Class NC Class GBP RD... GBP Class USD FC... USD Class USD LC... USD Class FC Class LC Class NC Class GBP RD... GBP Class USD FC... USD Class USD LC... USD Transactions processed for the account of the fund s assets via closely related companies (based on major holdings of the Deutsche Bank Group) The share of transactions conducted for the account of the investment fund s assets via brokers that are closely related companies and persons (share of 5% and above), amounted to 0.41% of all transactions. The total volume was

61

62 SICAV December 31, 2016 Annex: Placement fee China Bonds Convertibles Emerging Markets Corporates USD USD Expenses from prepaid placement fee thereof: Dilution-related adjustments due to share certificate transactions Amortization of the placement fee Adjustments based on fluctuation of the fund s net assets Income adjustment Annex: Placement fee Global Agribusiness Global Bonds Global Emerging Markets Equities USD Expenses from prepaid placement fee thereof: Dilution-related adjustments due to share certificate transactions Amortization of the placement fee Adjustments based on fluctuation of the fund s net assets Income adjustment Annex: Placement fee Top Dividend Top Euroland Expenses from prepaid placement fee thereof: Dilution-related adjustments due to share certificate transactions Amortization of the placement fee Adjustments based on fluctuation of the fund s net assets Income adjustment

63 Emerging Markets Top Dividend Euro Bonds (Short) Euro Corporate Bonds Euro High Yield Corporates German Equities Global Short Duration (formerly: Global Bonds (Short)) Multi Asset Defensive Multi Asset Income Multi Opportunities Short Duration Credit USD

64 SICAV December 31, 2016 Statement of net assets as of December 31, 2016 SICAV * ** Africa Asian Bonds USD Consolidated % of net assets Assets Total securities portfolio Derivatives on individual securities Equity index derivatives Interest rate derivatives Currency derivatives Swaps Cash at bank Other assets Receivables from share certificate transactions Total assets *** Liabilities Equity index derivatives Interest rate derivatives Currency derivatives Swaps Short-term liabilities Other liabilities Liabilities from share certificate transactions Total liabilities *** Net assets * The portfolio composition, income, expenses and changes in net assets of the funds managed in Japanese yen and U.S. dollars were converted into euro at the stated exchange rate. Fiscal year-end JPY = 1 Fiscal year-end JPY = 1 Fiscal year-end USD = 1 Fiscal year-end USD = 1 Fiscal year-end USD = 1 ** The fund s consolidated net assets, the consolidated statement of income and expenses and the statement of changes in net assets correspond to the sum of the results of the individual sub-funds. In the case of investments between sub-funds (in which one sub-fund invests in another sub-fund of the same umbrella fund), the corresponding accounts of the sub-fund were not the object of an elimination for the purposes of the consolidated presentation of results. *** In the case of derivatives or futures contracts, the amount shown under Total assets takes into account the positive net surplus of the netted single positions within the same product category, while negative overhangs are subsumed under Total liabilities. 30

65 Asian Equities Unconstrained Asian Small/Mid Cap Brazilian Equities China Bonds USD Chinese Equities

66 SICAV December 31, 2016 Statement of net assets as of December 31, 2016 Convertibles Corporate Hybrid Bonds CROCI Flexible Allocation Assets Total securities portfolio Derivatives on individual securities Equity index derivatives Interest rate derivatives Currency derivatives Swaps Cash at bank Other assets Receivables from share certificate transactions Total assets *** Liabilities Equity index derivatives Interest rate derivatives Currency derivatives Swaps Short-term liabilities Other liabilities Liabilities from share certificate transactions Total liabilities *** Net assets * The portfolio composition, income, expenses and changes in net assets of the funds managed in Japanese yen and U.S. dollars were converted into euro at the stated exchange rate. Fiscal year-end JPY = 1 Fiscal year-end JPY = 1 Fiscal year-end USD = 1 Fiscal year-end USD = 1 Fiscal year-end USD = 1 ** The fund s consolidated net assets, the consolidated statement of income and expenses and the statement of changes in net assets correspond to the sum of the results of the individual sub-funds. In the case of investments between sub-funds (in which one sub-fund invests in another sub-fund of the same umbrella fund), the corresponding accounts of the sub-fund were not the object of an elimination for the purposes of the consolidated presentation of results. *** In the case of derivatives or futures contracts, the amount shown under Total assets takes into account the positive net surplus of the netted single positions within the same product category, while negative overhangs are subsumed under Total liabilities. 32

67 CROCI Sectors Emerging Markets Corporates USD Emerging Markets IG Sovereign Debt USD Emerging Markets Sovereign Debt USD Emerging Markets Top Dividend

68 SICAV December 31, 2016 Statement of net assets as of December 31, 2016 Euro Bonds (Premium) Euro Bonds (Short) Euro Corporate Bonds Assets Total securities portfolio Derivatives on individual securities Equity index derivatives Interest rate derivatives Currency derivatives Swaps Cash at bank Other assets Receivables from share certificate transactions Total assets *** Liabilities Equity index derivatives Interest rate derivatives Currency derivatives Swaps Short-term liabilities Other liabilities Liabilities from share certificate transactions Total liabilities *** Net assets * The portfolio composition, income, expenses and changes in net assets of the funds managed in Japanese yen and U.S. dollars were converted into euro at the stated exchange rate. Fiscal year-end JPY = 1 Fiscal year-end JPY = 1 Fiscal year-end USD = 1 Fiscal year-end USD = 1 Fiscal year-end USD = 1 ** The fund s consolidated net assets, the consolidated statement of income and expenses and the statement of changes in net assets correspond to the sum of the results of the individual sub-funds. In the case of investments between sub-funds (in which one sub-fund invests in another sub-fund of the same umbrella fund), the corresponding accounts of the sub-fund were not the object of an elimination for the purposes of the consolidated presentation of results. *** In the case of derivatives or futures contracts, the amount shown under Total assets takes into account the positive net surplus of the netted single positions within the same product category, while negative overhangs are subsumed under Total liabilities. 34

69 Euro High Yield Corporates Euro-Gov Bonds European Small Cap Financial Hybrid Bonds German Equities

70 SICAV December 31, 2016 Statement of net assets as of December 31, 2016 Global Agribusiness USD Global Bonds Global Bonds Dynamic Plus Assets Total securities portfolio Derivatives on individual securities Equity index derivatives Interest rate derivatives Currency derivatives Swaps Cash at bank Other assets Receivables from share certificate transactions Total assets *** Liabilities Equity index derivatives Interest rate derivatives Currency derivatives Swaps Short-term liabilities Other liabilities Liabilities from share certificate transactions Total liabilities *** Net assets * The portfolio composition, income, expenses and changes in net assets of the funds managed in Japanese yen and U.S. dollars were converted into euro at the stated exchange rate. Fiscal year-end JPY = 1 Fiscal year-end JPY = 1 Fiscal year-end USD = 1 Fiscal year-end USD = 1 Fiscal year-end USD = 1 ** The fund s consolidated net assets, the consolidated statement of income and expenses and the statement of changes in net assets correspond to the sum of the results of the individual sub-funds. In the case of investments between sub-funds (in which one sub-fund invests in another sub-fund of the same umbrella fund), the corresponding accounts of the sub-fund were not the object of an elimination for the purposes of the consolidated presentation of results. *** In the case of derivatives or futures contracts, the amount shown under Total assets takes into account the positive net surplus of the netted single positions within the same product category, while negative overhangs are subsumed under Total liabilities. 36

71 Global Bonds High Conviction Global Commodities Blend Global Corporate Bonds Global Emerging Markets Equities Global High Yield Corporates USD

72 SICAV December 31, 2016 Statement of net assets as of December 31, 2016 Global Infrastructure Global Real Estate Securities USD Global Short Duration (formerly: Global Bonds (Short)) USD Assets Total securities portfolio Derivatives on individual securities Equity index derivatives Interest rate derivatives Currency derivatives Swaps Cash at bank Other assets Receivables from share certificate transactions Total assets *** Liabilities Equity index derivatives Interest rate derivatives Currency derivatives Swaps Short-term liabilities Other liabilities Liabilities from share certificate transactions Total liabilities *** Net assets * The portfolio composition, income, expenses and changes in net assets of the funds managed in Japanese yen and U.S. dollars were converted into euro at the stated exchange rate. Fiscal year-end JPY = 1 Fiscal year-end JPY = 1 Fiscal year-end USD = 1 Fiscal year-end USD = 1 Fiscal year-end USD = 1 ** The fund s consolidated net assets, the consolidated statement of income and expenses and the statement of changes in net assets correspond to the sum of the results of the individual sub-funds. In the case of investments between sub-funds (in which one sub-fund invests in another sub-fund of the same umbrella fund), the corresponding accounts of the sub-fund were not the object of an elimination for the purposes of the consolidated presentation of results. *** In the case of derivatives or futures contracts, the amount shown under Total assets takes into account the positive net surplus of the netted single positions within the same product category, while negative overhangs are subsumed under Total liabilities. 38

73 Global Thematic USD Gold and Precious Metals Equities USD Latin American Equities Liquidity Fund LowVol World (formerly: Quant Equity Low Volatility World)

74 SICAV December 31, 2016 Statement of net assets as of December 31, 2016 Multi Asset Balance Multi Asset Defensive Multi Asset Dynamic Assets Total securities portfolio Derivatives on individual securities Equity index derivatives Interest rate derivatives Currency derivatives Swaps Cash at bank Other assets Receivables from share certificate transactions Total assets *** Liabilities Equity index derivatives Interest rate derivatives Currency derivatives Swaps Short-term liabilities Other liabilities Liabilities from share certificate transactions Total liabilities *** Net assets * The portfolio composition, income, expenses and changes in net assets of the funds managed in Japanese yen and U.S. dollars were converted into euro at the stated exchange rate. Fiscal year-end JPY = 1 Fiscal year-end JPY = 1 Fiscal year-end USD = 1 Fiscal year-end USD = 1 Fiscal year-end USD = 1 ** The fund s consolidated net assets, the consolidated statement of income and expenses and the statement of changes in net assets correspond to the sum of the results of the individual sub-funds. In the case of investments between sub-funds (in which one sub-fund invests in another sub-fund of the same umbrella fund), the corresponding accounts of the sub-fund were not the object of an elimination for the purposes of the consolidated presentation of results. *** In the case of derivatives or futures contracts, the amount shown under Total assets takes into account the positive net surplus of the netted single positions within the same product category, while negative overhangs are subsumed under Total liabilities. 40

75 Multi Asset Income Multi Credit USD Multi Opportunities New Resources Nomura Japan Growth JPY

76 SICAV December 31, 2016 Statement of net assets as of December 31, 2016 Real Assets Income Senior Secured High Yield Corporates Short Duration Credit Assets Total securities portfolio Derivatives on individual securities Equity index derivatives Interest rate derivatives Currency derivatives Swaps Cash at bank Other assets Receivables from share certificate transactions Total assets *** Liabilities Equity index derivatives Interest rate derivatives Currency derivatives Swaps Short-term liabilities Other liabilities Liabilities from share certificate transactions Total liabilities *** Net assets * The portfolio composition, income, expenses and changes in net assets of the funds managed in Japanese yen and U.S. dollars were converted into euro at the stated exchange rate. Fiscal year-end JPY = 1 Fiscal year-end JPY = 1 Fiscal year-end USD = 1 Fiscal year-end USD = 1 Fiscal year-end USD = 1 ** The fund s consolidated net assets, the consolidated statement of income and expenses and the statement of changes in net assets correspond to the sum of the results of the individual sub-funds. In the case of investments between sub-funds (in which one sub-fund invests in another sub-fund of the same umbrella fund), the corresponding accounts of the sub-fund were not the object of an elimination for the purposes of the consolidated presentation of results. *** In the case of derivatives or futures contracts, the amount shown under Total assets takes into account the positive net surplus of the netted single positions within the same product category, while negative overhangs are subsumed under Total liabilities. 42

77 Top Asia Top Dividend Top Euroland Top Europe USD Corporate Bonds USD

78 SICAV December 31, 2016 Statement of income and expenses for the period from January 1, 2016, through December 31, 2016 (incl. income adjustment) SICAV * ** *** Consolidated Africa Asian Bonds USD Income Dividends (before withholding tax) Interest from securities (before withholding tax) Interest from investments of liquid assets (before withholding tax) Income from investment fund units Income from securities lending Deduction for foreign withholding tax Other income Total income Expenses Interest on borrowings and negative interest on deposits Management fee Depositary fee Auditing, legal and publication costs Taxe d abonnement Other expenses Total expenses Net investment income/expense Sale transactions Realized gains/losses Capital gains/losses Net gain/loss for the fiscal year * The portfolio composition, income, expenses and changes in net assets of the funds managed in Japanese yen and U.S. dollars were converted into euro at the stated exchange rate. Fiscal year-end JPY = 1 Fiscal year-end JPY = 1 Fiscal year-end USD = 1 Fiscal year-end USD = 1 Fiscal year-end USD = 1 ** The fund s consolidated net assets, the consolidated statement of income and expenses and the statement of changes in net assets correspond to the sum of the results of the individual sub-funds. In the case of investments between sub-funds (in which one sub-fund invests in another sub-fund of the same umbrella fund), the corresponding accounts of the sub-fund were not the object of an elimination for the purposes of the consolidated presentation of results. *** Including the value of funds that were merged or liquidated during the year. **** This sub-fund was liquidated or merged with another sub-fund of the SICAV or with a fund/sub-fund outside of the SICAV during the fiscal year. The period represented is therefore the period from January 1, 2016, through to the liquidation date of the sub-fund. For further information, please refer to the general information pages. 44

79 Asian Equities Unconstrained Asian Small/Mid Cap Brazilian Equities China Bonds USD Chinese Equities

80 SICAV December 31, 2016 Statement of income and expenses for the period from January 1, 2016, through December 31, 2016 (incl. income adjustment) Convertibles Corporate Hybrid Bonds CROCI Flexible Allocation Income Dividends (before withholding tax) Interest from securities (before withholding tax) Interest from investments of liquid assets (before withholding tax) Income from investment fund units Income from securities lending Deduction for foreign withholding tax Other income Total income Expenses Interest on borrowings and negative interest on deposits Management fee Depositary fee Auditing, legal and publication costs Taxe d abonnement Other expenses Total expenses Net investment income/expense Sale transactions Realized gains/losses Capital gains/losses Net gain/loss for the fiscal year * The portfolio composition, income, expenses and changes in net assets of the funds managed in Japanese yen and U.S. dollars were converted into euro at the stated exchange rate. Fiscal year-end JPY = 1 Fiscal year-end JPY = 1 Fiscal year-end USD = 1 Fiscal year-end USD = 1 Fiscal year-end USD = 1 ** The fund s consolidated net assets, the consolidated statement of income and expenses and the statement of changes in net assets correspond to the sum of the results of the individual sub-funds. In the case of investments between sub-funds (in which one sub-fund invests in another sub-fund of the same umbrella fund), the corresponding accounts of the sub-fund were not the object of an elimination for the purposes of the consolidated presentation of results. *** Including the value of funds that were merged or liquidated during the year. **** This sub-fund was liquidated or merged with another sub-fund of the SICAV or with a fund/sub-fund outside of the SICAV during the fiscal year. The period represented is therefore the period from January 1, 2016, through to the liquidation date of the sub-fund. For further information, please refer to the general information pages. 46

81 CROCI Sectors Emerging Markets Corporates USD Emerging Markets IG Sovereign Debt USD Emerging Markets Satellites **** Emerging Markets Sovereign Debt USD

82 SICAV December 31, 2016 Statement of income and expenses for the period from January 1, 2016, through December 31, 2016 (incl. income adjustment) Emerging Markets Top Dividend Euro Bonds (Premium) Euro Bonds (Short) Income Dividends (before withholding tax) Interest from securities (before withholding tax) Interest from investments of liquid assets (before withholding tax) Income from investment fund units Income from securities lending Deduction for foreign withholding tax Other income Total income Expenses Interest on borrowings and negative interest on deposits Management fee Depositary fee Auditing, legal and publication costs Taxe d abonnement Other expenses Total expenses Net investment income/expense Sale transactions Realized gains/losses Capital gains/losses Net gain/loss for the fiscal year * The portfolio composition, income, expenses and changes in net assets of the funds managed in Japanese yen and U.S. dollars were converted into euro at the stated exchange rate. Fiscal year-end JPY = 1 Fiscal year-end JPY = 1 Fiscal year-end USD = 1 Fiscal year-end USD = 1 Fiscal year-end USD = 1 ** The fund s consolidated net assets, the consolidated statement of income and expenses and the statement of changes in net assets correspond to the sum of the results of the individual sub-funds. In the case of investments between sub-funds (in which one sub-fund invests in another sub-fund of the same umbrella fund), the corresponding accounts of the sub-fund were not the object of an elimination for the purposes of the consolidated presentation of results. *** Including the value of funds that were merged or liquidated during the year. **** This sub-fund was liquidated or merged with another sub-fund of the SICAV or with a fund/sub-fund outside of the SICAV during the fiscal year. The period represented is therefore the period from January 1, 2016, through to the liquidation date of the sub-fund. For further information, please refer to the general information pages. 48

83 Euro Corporate Bonds Euro High Yield Corporates Euro-Gov Bonds European Small Cap Financial Hybrid Bonds

84 SICAV December 31, 2016 Statement of income and expenses for the period from January 1, 2016, through December 31, 2016 (incl. income adjustment) German Equities Global Agribusiness USD Global Bonds Income Dividends (before withholding tax) Interest from securities (before withholding tax) Interest from investments of liquid assets (before withholding tax) Income from investment fund units Income from securities lending Deduction for foreign withholding tax Other income Total income Expenses Interest on borrowings and negative interest on deposits Management fee Depositary fee Auditing, legal and publication costs Taxe d abonnement Other expenses Total expenses Net investment income/expense Sale transactions Realized gains/losses Capital gains/losses Net gain/loss for the fiscal year * The portfolio composition, income, expenses and changes in net assets of the funds managed in Japanese yen and U.S. dollars were converted into euro at the stated exchange rate. Fiscal year-end JPY = 1 Fiscal year-end JPY = 1 Fiscal year-end USD = 1 Fiscal year-end USD = 1 Fiscal year-end USD = 1 ** The fund s consolidated net assets, the consolidated statement of income and expenses and the statement of changes in net assets correspond to the sum of the results of the individual sub-funds. In the case of investments between sub-funds (in which one sub-fund invests in another sub-fund of the same umbrella fund), the corresponding accounts of the sub-fund were not the object of an elimination for the purposes of the consolidated presentation of results. *** Including the value of funds that were merged or liquidated during the year. **** This sub-fund was liquidated or merged with another sub-fund of the SICAV or with a fund/sub-fund outside of the SICAV during the fiscal year. The period represented is therefore the period from January 1, 2016, through to the liquidation date of the sub-fund. For further information, please refer to the general information pages. 50

85 Global Bonds Dynamic Plus Global Bonds High Conviction Global Commodities Blend Global Corporate Bonds Global Emerging Markets Equities

86 SICAV December 31, 2016 Statement of income and expenses for the period from January 1, 2016, through December 31, 2016 (incl. income adjustment) Global High Yield Corporates USD Global Infrastructure Global Real Estate Securities USD Income Dividends (before withholding tax) Interest from securities (before withholding tax) Interest from investments of liquid assets (before withholding tax) Income from investment fund units Income from securities lending Deduction for foreign withholding tax Other income Total income Expenses Interest on borrowings and negative interest on deposits Management fee Depositary fee Auditing, legal and publication costs Taxe d abonnement Other expenses Total expenses Net investment income/expense Sale transactions Realized gains/losses Capital gains/losses Net gain/loss for the fiscal year * The portfolio composition, income, expenses and changes in net assets of the funds managed in Japanese yen and U.S. dollars were converted into euro at the stated exchange rate. Fiscal year-end JPY = 1 Fiscal year-end JPY = 1 Fiscal year-end USD = 1 Fiscal year-end USD = 1 Fiscal year-end USD = 1 ** The fund s consolidated net assets, the consolidated statement of income and expenses and the statement of changes in net assets correspond to the sum of the results of the individual sub-funds. In the case of investments between sub-funds (in which one sub-fund invests in another sub-fund of the same umbrella fund), the corresponding accounts of the sub-fund were not the object of an elimination for the purposes of the consolidated presentation of results. *** Including the value of funds that were merged or liquidated during the year. **** This sub-fund was liquidated or merged with another sub-fund of the SICAV or with a fund/sub-fund outside of the SICAV during the fiscal year. The period represented is therefore the period from January 1, 2016, through to the liquidation date of the sub-fund. For further information, please refer to the general information pages. 52

87 Global Short Duration (formerly: Deutsche Invest I Global Bonds (Short)) USD Global Thematic USD Gold and Precious Metals Equities USD Latin American Equities Liquidity Fund

88 SICAV December 31, 2016 Statement of income and expenses for the period from January 1, 2016, through December 31, 2016 (incl. income adjustment) LowVol World (formerly: Quant Equity Low Volatility World) Multi Asset Balance Multi Asset Defensive Income Dividends (before withholding tax) Interest from securities (before withholding tax) Interest from investments of liquid assets (before withholding tax) Income from investment fund units Income from securities lending Deduction for foreign withholding tax Other income Total income Expenses Interest on borrowings and negative interest on deposits Management fee Depositary fee Auditing, legal and publication costs Taxe d abonnement Other expenses Total expenses Net investment income/expense Sale transactions Realized gains/losses Capital gains/losses Net gain/loss for the fiscal year * The portfolio composition, income, expenses and changes in net assets of the funds managed in Japanese yen and U.S. dollars were converted into euro at the stated exchange rate. Fiscal year-end JPY = 1 Fiscal year-end JPY = 1 Fiscal year-end USD = 1 Fiscal year-end USD = 1 Fiscal year-end USD = 1 ** The fund s consolidated net assets, the consolidated statement of income and expenses and the statement of changes in net assets correspond to the sum of the results of the individual sub-funds. In the case of investments between sub-funds (in which one sub-fund invests in another sub-fund of the same umbrella fund), the corresponding accounts of the sub-fund were not the object of an elimination for the purposes of the consolidated presentation of results. *** Including the value of funds that were merged or liquidated during the year. **** This sub-fund was liquidated or merged with another sub-fund of the SICAV or with a fund/sub-fund outside of the SICAV during the fiscal year. The period represented is therefore the period from January 1, 2016, through to the liquidation date of the sub-fund. For further information, please refer to the general information pages. 54

89 Multi Asset Dynamic Multi Asset Income Multi Asset Total Return **** Multi Credit USD Multi Opportunities

90 SICAV December 31, 2016 Statement of income and expenses for the period from January 1, 2016, through December 31, 2016 (incl. income adjustment) New Resources Nomura Japan Growth JPY Real Assets Income Income Dividends (before withholding tax) Interest from securities (before withholding tax) Interest from investments of liquid assets (before withholding tax) Income from investment fund units Income from securities lending Deduction for foreign withholding tax Other income Total income Expenses Interest on borrowings and negative interest on deposits Management fee Depositary fee Auditing, legal and publication costs Taxe d abonnement Other expenses Total expenses Net investment income/expense Sale transactions Realized gains/losses Capital gains/losses Net gain/loss for the fiscal year * The portfolio composition, income, expenses and changes in net assets of the funds managed in Japanese yen and U.S. dollars were converted into euro at the stated exchange rate. Fiscal year-end JPY = 1 Fiscal year-end JPY = 1 Fiscal year-end USD = 1 Fiscal year-end USD = 1 Fiscal year-end USD = 1 ** The fund s consolidated net assets, the consolidated statement of income and expenses and the statement of changes in net assets correspond to the sum of the results of the individual sub-funds. In the case of investments between sub-funds (in which one sub-fund invests in another sub-fund of the same umbrella fund), the corresponding accounts of the sub-fund were not the object of an elimination for the purposes of the consolidated presentation of results. *** Including the value of funds that were merged or liquidated during the year. **** This sub-fund was liquidated or merged with another sub-fund of the SICAV or with a fund/sub-fund outside of the SICAV during the fiscal year. The period represented is therefore the period from January 1, 2016, through to the liquidation date of the sub-fund. For further information, please refer to the general information pages. 56

91 Senior Secured High Yield Corporates Short Duration Credit Top Asia Top Dividend Top Euroland

92 SICAV December 31, 2016 Statement of income and expenses for the period from January 1, 2016, through December 31, 2016 (incl. income adjustment) Top Europe USD Corporate Bonds USD Income Dividends (before withholding tax) Interest from securities (before withholding tax) Interest from investments of liquid assets (before withholding tax) Income from investment fund units Income from securities lending Deduction for foreign withholding tax Other income Total income Expenses Interest on borrowings and negative interest on deposits Management fee Depositary fee Auditing, legal and publication costs Taxe d abonnement Other expenses Total expenses Net investment income/expense Sale transactions Realized gains/losses Capital gains/losses Net gain/loss for the fiscal year * The portfolio composition, income, expenses and changes in net assets of the funds managed in Japanese yen and U.S. dollars were converted into euro at the stated exchange rate. Fiscal year-end JPY = 1 Fiscal year-end JPY = 1 Fiscal year-end USD = 1 Fiscal year-end USD = 1 Fiscal year-end USD = 1 ** The fund s consolidated net assets, the consolidated statement of income and expenses and the statement of changes in net assets correspond to the sum of the results of the individual sub-funds. In the case of investments between sub-funds (in which one sub-fund invests in another sub-fund of the same umbrella fund), the corresponding accounts of the sub-fund were not the object of an elimination for the purposes of the consolidated presentation of results. *** Including the value of funds that were merged or liquidated during the year. **** This sub-fund was liquidated or merged with another sub-fund of the SICAV or with a fund/sub-fund outside of the SICAV during the fiscal year. The period represented is therefore the period from January 1, 2016, through to the liquidation date of the sub-fund. For further information, please refer to the general information pages. 58

93 59

94 SICAV December 31, 2016 Statement of changes in net assets for the period from January 1, 2016, through December 31, 2016 SICAV Africa * ** *** Asian Bonds USD Consolidated Value of the fund s net assets at the beginning of the fiscal year Change arising from valuation at the exchange rate at fiscal year-end Distribution for the previous year / Interim distribution Net inflows/outflows Income adjustment Net investment income/expense Realized gains/losses Net change in unrealized appreciation/depreciation Value of the fund s net assets at the end of the fiscal year Statement of changes in net assets for the period from January 1, 2016, through December 31, 2016 Convertibles Corporate Hybrid Bonds CROCI Flexible Allocation Value of the fund s net assets at the beginning of the fiscal year Change arising from valuation at the exchange rate at fiscal year-end Distribution for the previous year / Interim distribution Net inflows/outflows Income adjustment Net investment income/expense Realized gains/losses Net change in unrealized appreciation/depreciation Value of the fund s net assets at the end of the fiscal year * The portfolio composition, income, expenses and changes in net assets of the funds managed in Japanese yen and U.S. dollars were converted into euro at the stated exchange rate. Fiscal year-end JPY = 1 Fiscal year-end JPY = 1 Fiscal year-end USD = 1 Fiscal year-end USD = 1 Fiscal year-end USD = 1 ** The fund s consolidated net assets, the consolidated statement of income and expenses and the statement of changes in net assets correspond to the sum of the results of the individual sub-funds. In the case of investments between sub-funds (in which one sub-fund invests in another sub-fund of the same umbrella fund), the corresponding accounts of the sub-fund were not the object of an elimination for the purposes of the consolidated presentation of results. *** Including the value of funds that were merged or liquidated during the year. **** This sub-fund was liquidated or merged with another sub-fund of the SICAV or with a fund/sub-fund outside of the SICAV during the fiscal year. The period represented is therefore the period from January 1, 2016, through to the liquidation date of the sub-fund. For further information, please refer to the general information pages. 60

95 Asian Equities Unconstrained Asian Small/Mid Cap Brazilian Equities China Bonds USD Chinese Equities CROCI Sectors Emerging Markets Corporates USD Emerging Markets IG Sovereign Debt USD Emerging Markets Satellites **** Emerging Markets Sovereign Debt USD

96 SICAV December 31, 2016 Statement of changes in net assets for the period from January 1, 2016, through December 31, 2016 Emerging Markets Top Dividend Euro Bonds (Premium) Euro Bonds (Short) Value of the fund s net assets at the beginning of the fiscal year Change arising from valuation at the exchange rate at fiscal year-end Distribution for the previous year / Interim distribution Net inflows/outflows Income adjustment Net investment income/expense Realized gains/losses Net change in unrealized appreciation/depreciation Value of the fund s net assets at the end of the fiscal year Statement of changes in net assets for the period from January 1, 2016, through December 31, 2016 German Equities Global Agribusiness USD Global Bonds Value of the fund s net assets at the beginning of the fiscal year Change arising from valuation at the exchange rate at fiscal year-end Distribution for the previous year / Interim distribution Net inflows/outflows Income adjustment Net investment income/expense Realized gains/losses Net change in unrealized appreciation/depreciation Value of the fund s net assets at the end of the fiscal year * The portfolio composition, income, expenses and changes in net assets of the funds managed in Japanese yen and U.S. dollars were converted into euro at the stated exchange rate. Fiscal year-end JPY = 1 Fiscal year-end JPY = 1 Fiscal year-end USD = 1 Fiscal year-end USD = 1 Fiscal year-end USD = 1 ** The fund s consolidated net assets, the consolidated statement of income and expenses and the statement of changes in net assets correspond to the sum of the results of the individual sub-funds. In the case of investments between sub-funds (in which one sub-fund invests in another sub-fund of the same umbrella fund), the corresponding accounts of the sub-fund were not the object of an elimination for the purposes of the consolidated presentation of results. *** Including the value of funds that were merged or liquidated during the year. **** This sub-fund was liquidated or merged with another sub-fund of the SICAV or with a fund/sub-fund outside of the SICAV during the fiscal year. The period represented is therefore the period from January 1, 2016, through to the liquidation date of the sub-fund. For further information, please refer to the general information pages. 62

97 Euro Corporate Bonds Euro High Yield Corporates Euro-Gov Bonds European Small Cap Financial Hybrid Bonds Global Bonds Dynamic Plus Global Bonds High Conviction Global Commodities Blend Global Corporate Bonds Global Emerging Markets Equities

98 SICAV December 31, 2016 Statement of changes in net assets for the period from January 1, 2016, through December 31, 2016 Global High Yield Corporates USD Global Infrastructure Global Real Estate Securities USD Value of the fund s net assets at the beginning of the fiscal year Change arising from valuation at the exchange rate at fiscal year-end Distribution for the previous year / Interim distribution Net inflows/outflows Income adjustment Net investment income/expense Realized gains/losses Net change in unrealized appreciation/depreciation Value of the fund s net assets at the end of the fiscal year Statement of changes in net assets for the period from January 1, 2016, through December 31, 2016 LowVol World (formerly: Quant Equity Low Volatility World) Multi Asset Balance Multi Asset Defensive Value of the fund s net assets at the beginning of the fiscal year Change arising from valuation at the exchange rate at fiscal year-end Distribution for the previous year / Interim distribution Net inflows/outflows Income adjustment Net investment income/expense Realized gains/losses Net change in unrealized appreciation/depreciation Value of the fund s net assets at the end of the fiscal year * The portfolio composition, income, expenses and changes in net assets of the funds managed in Japanese yen and U.S. dollars were converted into euro at the stated exchange rate. Fiscal year-end JPY = 1 Fiscal year-end JPY = 1 Fiscal year-end USD = 1 Fiscal year-end USD = 1 Fiscal year-end USD = 1 ** The fund s consolidated net assets, the consolidated statement of income and expenses and the statement of changes in net assets correspond to the sum of the results of the individual sub-funds. In the case of investments between sub-funds (in which one sub-fund invests in another sub-fund of the same umbrella fund), the corresponding accounts of the sub-fund were not the object of an elimination for the purposes of the consolidated presentation of results. *** Including the value of funds that were merged or liquidated during the year. **** This sub-fund was liquidated or merged with another sub-fund of the SICAV or with a fund/sub-fund outside of the SICAV during the fiscal year. The period represented is therefore the period from January 1, 2016, through to the liquidation date of the sub-fund. For further information, please refer to the general information pages. 64

99 Global Short Duration (formerly: Deutsche Invest I Global Bonds (Short)) USD Global Thematic USD Gold and Precious Metals Equities USD Latin American Equities Liquidity Fund Multi Asset Dynamic Multi Asset Income Multi Asset Total Return **** Multi Credit USD Multi Opportunities

100 SICAV December 31, 2016 Statement of changes in net assets for the period from January 1, 2016, through December 31, 2016 New Resources Nomura Japan Growth JPY Real Assets Income Value of the fund s net assets at the beginning of the fiscal year Change arising from valuation at the exchange rate at fiscal year-end Distribution for the previous year / Interim distribution Net inflows/outflows Income adjustment Net investment income/expense Realized gains/losses Net change in unrealized appreciation/depreciation Value of the fund s net assets at the end of the fiscal year Statement of changes in net assets for the period from January 1, 2016, through December 31, 2016 Top Europe USD Corporate Bonds USD Value of the fund s net assets at the beginning of the fiscal year Change arising from valuation at the exchange rate at fiscal year-end Distribution for the previous year / Interim distribution Net inflows/outflows Income adjustment Net investment income/expense Realized gains/losses Net change in unrealized appreciation/depreciation Value of the fund s net assets at the end of the fiscal year * The portfolio composition, income, expenses and changes in net assets of the funds managed in Japanese yen and U.S. dollars were converted into euro at the stated exchange rate. Fiscal year-end JPY = 1 Fiscal year-end JPY = 1 Fiscal year-end USD = 1 Fiscal year-end USD = 1 Fiscal year-end USD = 1 ** The fund s consolidated net assets, the consolidated statement of income and expenses and the statement of changes in net assets correspond to the sum of the results of the individual sub-funds. In the case of investments between sub-funds (in which one sub-fund invests in another sub-fund of the same umbrella fund), the corresponding accounts of the sub-fund were not the object of an elimination for the purposes of the consolidated presentation of results. *** Including the value of funds that were merged or liquidated during the year. **** This sub-fund was liquidated or merged with another sub-fund of the SICAV or with a fund/sub-fund outside of the SICAV during the fiscal year. The period represented is therefore the period from January 1, 2016, through to the liquidation date of the sub-fund. For further information, please refer to the general information pages. 66

101 Senior Secured High Yield Corporates Short Duration Credit Top Asia Top Dividend Top Euroland

102

103 Supplementary information

104 Remuneration Disclosure The Deutsche Asset Management S.A. ( the Company ) is a subsidiary in Deutsche Bank Group ( Deutsche Bank ). The businesses of Deutsche Bank encompass a wide range of products and services incorporating investment, corporate and retail banking as well as asset management in all regions across the world. The institution at the highest level of consolidation of Deutsche Bank Group is Deutsche Bank AG. Deutsche Bank AG is subject to the EU s Capital Requirements Directive (CRD) and the Capital Requirements Regulation (CRR) as a credit institution and is supervised by the European Central Bank (ECB). Deutsche Bank AG has established a compensation framework applying to the whole Deutsche Bank Group (excluding Postbank), which therefore also applies to the Company. For further information on the remuneration system of Deutsche Bank Group as provided below, please refer to the Deutsche Bank Group Compensation Report, which is part of the Financial Report. 1) Governance Structure Deutsche Bank AG is managed by its Management Board. It is overseen by the Supervisory Board which has established a Compensation Control Committee (CCC). The CCC is, inter alia, responsible for monitoring the compensation system of the Group s employees and its appropriateness. The Management Board of Deutsche Bank AG has established the Senior Executive Compensation Committee (SECC) which has the mandate to develop sustainable compensation principles, to prepare recommendations on Total Compensation levels and to ensure appropriate compensation governance and oversight. Furthermore, a Compensation Officer for Deutsche Bank Group was appointed who independently monitors the appropriateness of the employee s compensation systems on a regular basis. The annual central and independent internal review of the remuneration system concluded its design to be appropriate and no significant irregularities were recognized. Compensation Structure The employees of Deutsche Bank Group and of the Company are subject to the compensation standards and principles as outlined in the Group Compensation Strategy and the Compensation Policy. Both policies are reviewed on an annual basis. As part of the Compensation Strategy, Deutsche Bank Group, including the Company, employs a Total Compensation philosophy, which comprises Fixed Pay and Variable Compensation. In 2016, Deutsche Bank introduced a new compensation framework to align employee compensation even more closely with Deutsche Bank s strategic and business objectives, while reducing complexity at the same time. The new compensation framework also puts a stronger emphasis on Fixed Pay over Variable Compensation and aims to ensure that these components are appropriately balanced. Fixed Pay is used to compensate employees for their skills, experience and competencies, commensurate with the requirements, size and scope of their role. The appropriate level of Fixed Pay is determined with reference to the prevailing market rates for each role, internal comparisons and applicable regulatory requirements. Variable Compensation has the advantage of being able to differentiate between individual performance and drive behaviour through appropriate incentive systems that can positively influence culture. It also allows for flexibility in the cost base. Under the new compensation framework, Variable Compensation generally consists of two elements the Group Component and the Individual Component. In particular, one of the overarching goals of the new compensation framework is to strengthen the link between Variable Compensation and the performance of the Group. To that end, it was decided to align the Group Component directly and comprehensible for the employees to Deutsche Bank s achievements in reaching its strategic targets. To assess progress towards the strategic aspirations, the Management Board of Deutsche Bank AG has decided to utilise four Key Performance Indicators (KPIs) that are significant metrics for the capital, risk, cost and revenue profile: Common Equity Tier 1 (CET1) capital ratio (fully loaded), Leverage ratio, Adjusted cost base (without Postbank and Non-Core Operations Unit) and Post-tax return on tangible equity (RoTE). Depending on eligibility, the Individual Component is delivered either in the form of Individual Variable Compensation or a Recognition Award. Whereas the Group Component links to Group performance, Individual Variable Compensation takes into consideration a number of financial and non-financial factors. These include the applicable divisional performance, the employee s individual performance and conduct, relativities within the employee s peer group and retention considerations. The Recognition Award program is targeted at non-tariff employees at the lower hierarchy levels. It provides the opportunity to acknowledge and reward outstanding contributions made by the target population in a transparent and timely manner. Generally, there are two nomination cycles per year. Under the new compensation framework, there continues to be no guarantee of Variable Compensation in an existing employment relationship. Compensation for 2016 Deutsche Bank has a robust methodology in place, aimed at ensuring that the determination of Variable Compensation reflects the risk-adjusted performance as well as the capital position of Deutsche Bank and its divisions. The total amount of Variable Compensation is primarily driven by (i) Group affordability (i.e. what can Deutsche Bank award in alignment with regulatory requirements) and (ii) Group strategy (what should Deutsche Bank award in order to provide an appropriate compensation while protecting the long-term health of the franchise). For 2016, the Management Board of Deutsche Bank AG decided to only award a limited pool of Variable Compensation given the operating environment. Specifically, the Management Board decided that Deutsche Bank s senior employees (Corporate Titles Vice President, Director and Managing Director ) would only receive a Group Component but no Individual Component. For 2016, the Management Board of Deutsche Bank AG determined a target achievement rate of 50 % with regard to KPIs of the Group Component. 1) The most current Compensation Report is linked on: 70

105 Identification of Material Risk Takers In accordance with the Law as of 17 December 2010 on Undertakings for Collective Investments (as subsequently amended) in conjunction with the guidelines on sound remuneration policies under UCITS published by the European Securities and Markets Authority (ESMA), the Company has identified individuals who have a material impact of the Company s risk profile (Material Risk Takers). At least 40 % of the Variable Compensation for Material Risk Takers is deferred. Additionally, at least 50 % of both, the upfront and the deferred proportion, are granted in Deutsche Bank shares or share-based instruments. All deferred components are subject to a number of performance conditions and forfeiture provisions which ensure an appropriate ex-post risk adjustment. In case the Variable Compensation is lower than 50,000, the Material Risk Takers receive their entire Variable Compensation in cash without any deferral. Aggregate Compensation Information for the Company for 2016 Number of employees on an annual average 136 Total Compensation 10,375,011 Fixed Pay 10,017,020 Variable Compensation 357,991 Total Compensation for Senior Management 1) 894,775 Total Compensation for other Material Risk Takers 2) 0 Total Compensation for Control Function employees 3) 223,641 1) Senior Management refers to the Members of the Management Board of the Company. In case that Members of Senior Management receive their compensation completely or partly from other companies in the Deutsche Bank Group, such compensation is included in the amount of Total Compensation. The above mentioned amount includes 272,417 which was paid by other companies of Deutsche Bank Group. Members of the Management Board meet the definition of managers, too. Apart from the Members of Senior Management, no further managers have been identified. 2) Apart from the Members of the Senior Management, no further Material Risk Takers and / or individuals in the same remuneration bracket have been identified. 3) In case that Control Function employees receive their compensation completely or partly from other companies in the Deutsche Bank Group, such compensation is included in the amount of Total Compensation. The above mentioned amount includes 17,876 which was paid by other companies of Deutsche Bank Group. 71

106 Chinese Equities Information pursuant to Regulation (EU) 2015/2365 on transparency of securities financing transactions (SFTs) and of reuse and amending Regulation (EU) No. 648/2012 Statement in accordance with Section A In the reporting period, there were no securities financing transactions according to the above-mentioned regulation. 72

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108 KPMG issued an unqualified audit opinion for the full annual report of this SICAV (Société d Investissement à Capital Variable). The translation of the report of the Réviseur d Entreprises agréé (the independent auditor s opinion) is as follows: KPMG Luxembourg, Société coopérative Tel: , Avenue John F. Kennedy Fax: Luxembourg, Luxembourg info@kpmg.lu Internet: To the shareholders of, SICAV 2, Boulevard Konrad Adenauer 1115 Luxembourg, Luxembourg REPORT OF THE RÉVIS D ENTREPRISES AGRÉÉ We have audited the accompanying financial statements of, SICAV and its respective sub-funds, which comprise the statement of net assets, the statement of investments in the securities portfolio and other net assets as of December 31, 2016, the statement of income and expenses and the statement of changes in net assets for the fiscal year then ended, as well as 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 proper overall presentation of the financial statements in accordance with Luxembourg legal and regulatory requirements relating to the preparation of financial statements and for the internal controls considered necessary to enable the financial statements to be prepared such that they are free from material misstatement, irrespective of whether this is due to fraud or error. Responsibility of the Réviseur d Entreprises agréé Our responsibility is to express an opinion on these annual accounts based on our audit. We conducted our audit in accordance with International Standards on Auditing as adopted by the Commission de Surveillance du Secteur Financier for Luxembourg. Those standards require that we comply with ethical requirements and plan and perform the audit to obtain reasonable assurance whether the annual accounts are free from material misstatement. An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the annual accounts. The audit measures are chosen at the discretion of the approved auditors, as is the assessment of the risk that the annual financial statements contain significant misstatements on account of errors or infringements. In making those risk assessments, the Réviseur d Entreprises agréé considers internal control relevant to the entity s preparation and proper overall presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of evaluating 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. KPMG Luxembourg, Société coopérative, a Luxembourg entity and a T.V.A. LU member firm of the KPMG network of independent member firms R.C.S. Luxembourg B affiliated with KPMG International Cooperative ( KPMG International ), a Swiss entity 74

109 We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion. Audit opinion In our opinion, the financial statements give a true and fair view of the financial position of, SICAV and its respective sub-funds as of December 31, 2016, and of the results of its operations and changes in its net assets for the fiscal year then ended in accordance with Luxembourg legal and regulatory requirements relating to the preparation of financial statements. Other information The Board of Directors of the SICAV is responsible for the other information. The other information comprises the information that is contained in the annual report but excluding the financial statements and our Report of the Réviseur d Entreprises agréé on these financial statements. Our audit opinion on the financial statements does not cover the other information and we do not provide assurances of any kind in relation to this information. In connection with the audit of the financial statements, it is our responsibility to read the other information and to assess whether there is a material discrepancy between this information and the financial statements or the findings obtained during the audit or also whether the other information appears to be materially misrepresented in some other way. If, based on the work that we carry out, we draw the conclusion that the other information contains material misstatements, we are obliged to report this matter. We have nothing to report in this regard. Luxembourg, April 6, 2017 KPMG Luxembourg Société coopérative Cabinet de révision agréé Harald Thönes 75

110 Investment Company 2, Boulevard Konrad Adenauer L-1115 Luxembourg RC B Board of Directors of the Investment Company Doris Marx Chairwoman Deutsche Asset Management S.A., Luxembourg Heinz-Wilhelm Fesser Independent member c/o Deutsche Asset Management S.A., Luxembourg Markus Kohlenbach Independent member c/o Deutsche Asset Management S.A., Luxembourg Stephan Scholl Deutsche Asset Management International GmbH, Frankfurt/Main Niklas Seifert (since April 27, 2016) Deutsche Asset Management S.A., Luxembourg Sven Sendmeyer (since April 27, 2016) Deutsche Asset Management Investment GmbH, Frankfurt/Main Management Company, Central Administration Agent, Transfer Agent, Registrar and Main Distributor Deutsche Asset Management S.A. 2, Boulevard Konrad Adenauer L-1115 Luxembourg Equity capital as of December 31, 2016: million before profit appropriation Supervisory Board of the Management Company Holger Naumann Chairman Deutsche Asset Management Investment GmbH, Frankfurt/Main Nathalie Bausch Deutsche Bank Luxembourg S.A., Luxembourg Reinhard Bellet Deutsche Asset Management Investment GmbH, Frankfurt/Main Marzio Hug Deutsche Bank AG, London Stefan Kreuzkamp (since February 1, 2016) Deutsche Asset Management Investment GmbH, Frankfurt/Main Frank Krings (since May 10, 2016) Deutsche Bank Luxembourg S.A., Luxembourg Dr. Matthias Liermann Deutsche Asset Management Investment GmbH, Frankfurt/Main Management Board of the Management Company Dirk Bruckmann (since January 14, 2016) Chairman Deutsche Asset Management Investment GmbH, Frankfurt/Main Ralf Rauch Deutsche Asset Management Investment GmbH, Frankfurt/Main Martin Schönefeld Deutsche Asset Management S.A., Luxembourg Barbara Schots Deutsche Asset Management S.A., Luxembourg Fund Manager For the sub-fund Short Duration Asian Bonds: Deutsche Asset Management Investment GmbH Mainzer Landstr D Frankfurt/Main and Deutsche Asset Management (Asia) Limited One Raffles Quay, #15-00 South Tower Singapur , Singapur For the sub-funds Asian Bonds, Deutsche Invest I Asia-Pacific Multi Opportunities, Asian Bonds Unconstrained and Asian Small/Mid Cap: Deutsche Asset Management Investment GmbH Mainzer Landstr D Frankfurt/Main and Deutsche Asset Management (Hong Kong) Limited International Commerce Center, Floor 58, 1 Austin Road West, Kowloon, Hong Kong For the sub-funds Brazilian Equities and Latin American Equities: Deutsche Asset Management Investment GmbH Mainzer Landstr D Frankfurt/Main and Deutsche Bank S.A. Banco Alemão Av. Brigadeiro Faria Lima, São Paulo, Brazil China Bonds, Deutsche Invest I China Onshore Bonds and Deutsche Invest I Chinese Equities: Deutsche Asset Management Investment GmbH Mainzer Landstr D Frankfurt/Main As sub-manager for these sub-funds: Harvest Global Investments Limited Suites , Two Exchange Square 8 Connaught Place Hong Kong For the sub-funds Global High Yield Corporates and USD Corporate Bonds: Deutsche Asset Management Investment GmbH Mainzer Landstr D Frankfurt/Main As sub-manager for these sub-funds: Deutsche Investment Management Americas Inc. 345 Park Avenue New York, NY USA For the sub-funds Emerging Markets Frontier Equities, Global Bonds, Global Bonds Dynamic Plus, Global Bonds High Conviction, CROCI Flexible Allocation, CROCI Sectors, CROCI US, Deutsche Invest I Emerging Markets Corporates, Emerging Markets IG Corporates and Global Bonds Defensive: Deutsche Asset Management Investment GmbH Mainzer Landstr D Frankfurt/Main and Deutsche Asset Management (UK) Limited 1 Great Winchester Street EC2N 2DB, London, United Kingdom For the sub-funds Asian Equities Unconstrained, Global Emerging Markets Equities, Deutsche Invest I Global Emerging Markets Equities Unconstrained and Top Asia: Deutsche Asset Management Investment GmbH Mainzer Landstr D Frankfurt/Main and Deutsche Asset Management (UK) Limited 1 Great Winchester Street London EC2N 2DB United Kingdom and

111 Deutsche Asset Management (Hong Kong) Limited International Commerce Center, Floor 58, 1 Austin Road West, Kowloon, Hong Kong For the sub-funds Global Infrastructure and Real Assets Income: Deutsche Asset Management Investment GmbH Mainzer Landstr D Frankfurt/Main As sub-manager for these sub-funds: RREEF America LLC 222 S. Riverside Plaza, Floor 24 Chicago, IL USA For the sub-funds Global Commodities Blend and Gold and Precious Metals Equities: Deutsche Investment Management Americas Inc. 345 Park Avenue New York, NY USA For the sub-fund GlobalReal Estate Securities: RREEF America LLC 222 S. Riverside Plaza, Floor 24 Chicago, IL USA As sub-manager for this sub-fund: For the management of the European part of the portfolio: Deutsche Alternative Asset Management (UK) Limited 1 Appold Street London EC2A 2UU United Kingdom For the management of the Asian, Australian and New Zealand portfolio component: Deutsche Australia Limited, Deutsche Bank Place Cnr. Hunter and Phillip Streets Sydney NSW 2000 Australia As sub-manager for this sub-fund: Nomura Asset Management Deutschland KAG mbh Gräfstr. 109 D Frankfurt/Main The sub-fund manager in turn has further delegated fund management to: Nomura Asset Management Co. Ltd. Tokyo Nihonbashi, Chuo-ku Tokio , Japan For all other sub-funds: Deutsche Asset Management Investment GmbH Mainzer Landstr D Frankfurt/Main Investment Advisor For the sub-funds Global Short Duration, Global Corporate Bonds and Multi Credit: Deutsche Investment Management Americas Inc. 345 Park Avenue New York, NY Depositary and Administrator State Street Bank Luxembourg S.C.A. 49, Avenue John F. Kennedy L-1855 Luxembourg Auditor KPMG Luxembourg Société coopérative 39, Avenue John F. Kennedy L-1855 Luxembourg Sales and Paying Agents, Main Distributor LUXEMBURG Deutsche Asset Management S.A. 2, Boulevard Konrad Adenauer L-1115 Luxembourg Deutsche Bank Luxembourg S.A. 2, Boulevard Konrad Adenauer L-1115 Luxembourg For the sub-fund LowVol World: Deutsche Asset Management Investment GmbH Mainzer Landstr D Frankfurt/Main As sub-manager for this sub-fund: Sal. Oppenheim jr. & Cie. AG Co. KGaA Unter Sachsenhausen 4 D Köln For the sub-fund Nomura Japan Growth: Deutsche Asset Management Investment GmbH Mainzer Landstr D Frankfurt/Main As of: January 31, 2017

112 SICAV 2, Boulevard Konrad Adenauer 1115 Luxembourg, Luxembourg RC B Tel.: Fax: