Annual Report. SEB Strategy Fund

Transcription

1 Annual Report SEB Strategy Fund Status: October 31, 2011

2 This Annual Report was compiled by: SEB Asset Management S.A. 6a, Circuit de la Foire Internationale, L 1347 Luxembourg Postal address : PO Box 20 53, L 1020 Luxembourg Phone ; Fax Notice The sole legally binding basis for the purchase of units of the Fund described in this report is the latest valid sales prospectus with its terms of contract.

3 Table of Contents Page Organisation 2 General Information 5 Management Report 7 Reports of the Board of Directors: SEB Strategy Fund SEB Strategy Balanced 10 SEB Strategy Fund SEB Strategy Defensive 11 SEB Strategy Fund SEB Strategy Growth 12 SEB Strategy Fund SEB Strategy Opportunity 13 Schedules of Investments: SEB Strategy Fund SEB Strategy Balanced 14 SEB Strategy Fund SEB Strategy Defensive 17 SEB Strategy Fund SEB Strategy Growth 20 SEB Strategy Fund SEB Strategy Opportunity 23 Combined Statement of Operations 26 Combined Statement of Changes in Net Assets 28 Combined Statement of Net Assets 30 Statistical Information 32 Notes to the Financial Statements 34 Additional information to paid subscription fee, redemption fee and management fee 38 Audit Report 42 Notes to the EU Savings Tax Directive 44 1

4 Organisation Promoter: Skandinaviska Enskilda Banken AB (publ) Kungsträdgårdsgatan 8 SE Stockholm Management Company: SEB Asset Management S.A. 6a, Circuit de la Foire Internationale L 1347 Luxembourg Board of Directors: Chairman Kjell Norling (until September 29, 2011) Global Head of International Sales SEB Wealth Management Stockholm Peter Kubicki (from September 29, 2011, member of the Board from May 18, 2011) Managing Director Skandinaviska Enskilda Banken S.A. Luxembourg Members Marie Winberg Global Head of Product Management SEB Wealth Management Stockholm Barbro Lilieholm (until June 1, 2011) Senior Legal Advisor SEB Wealth Management Stockholm Rudolf Kömen Head of SEB Asset Management S.A. Luxembourg Alexander Klein (from May 18, 2011) Managing Director SEB Investment GmbH Frankfurt Management: Rudolf Kömen, Luxembourg Matthias Müller, Luxembourg 2

5 Investment Managers: of SEB Strategy Fund SEB Strategy Balanced of SEB Strategy Fund SEB Strategy Growth of SEB Strategy Fund SEB Strategy Opportunity SEB Investment Management AB Sveavägen 8 SE Stockholm of SEB Strategy Fund SEB Strategy Defensive Until March 14, 2011: Skandinaviska Enskilda Banken A/S Landemaerket 10 DK 1119 Copenhagen From March 15, 2011: SEB Investment Management AB Sveavägen 8 SE Stockholm Custodian Bank: Skandinaviska Enskilda Banken S.A. 6a, Circuit de la Foire Internationale L 1347 Luxembourg `Éåíê~ä^Çãáåáëíê~íáçå EáåÅäìÇáåÖ^Çãáåáëíê~íáîÉI oéöáëíê~ê~åçqê~åëñéê^öéåífw Skandinaviska Enskilda Banken S.A. 6a, Circuit de la Foire Internationale L 1347 Luxembourg As from May 16, 2011, the function of Registrar, Transfer and Paying Agent has been delegated to The Bank of New York Mellon (Luxembourg) S.A. 2 4, rue Eugène Ruppert, L 2453 Luxembourg Approved Statutory Auditor of the Fund and the Management Company: PricewaterhouseCoopers S.à r.l. 400, Route d Esch L 1471 Luxembourg Distributors and Principal Paying Agents: In Luxembourg Skandinaviska Enskilda Banken S.A. 6a, Circuit de la Foire Internationale L 1347 Luxembourg 3

6 Distributors and Principal Paying Agents: In Sweden Skandinaviska Enskilda Banken AB (publ) Kungsträdgårdsgatan 8 S Stockholm and all branches, subsidiaries and affiliates, acting as the distributors of the Fund s units 4

7 General Information The legally dependent mutual investment fund SEB Strategy Fund (hereafter the Fund ) is a Luxembourg investment fund ( Fonds Commun de Placement ) governed by part I of the Luxembourg Law on Undertakings for Collective Investment of December 17, 2010 (hereafter the Law ). SEB Strategy Fund, which was set up on November 17, 2008 for an undetermined duration, is managed by SEB Asset Management S.A. (the Management Company ). The Management Company may, under its own responsibility, control and coordination, transfer some of its tasks to third parties for the purpose of efficient management. Any transfer of tasks is described hereinafter. The Management Company has delegated the Central Administration, including the administration, registrar and transfer agent functions under its continued responsibility and control at its own expenses to Skandinaviska Enskilda Banken S.A., a bank incorporated as a Société Anonyme under the laws of Luxembourg on March 30, 1973 for an unlimited duration, with its registered office at 6a, Circuit de la Foire Internationale, L 1347 Luxembourg (the Administration Agent respectively Registrar and Transfer Agent ). In the capacity of Administration Agent, it will carry out certain administrative duties related to the administration of the Fund, including the calculation of the net asset value per unit and the provision of accounting services to the Fund. qüéj~å~öéãéåí`çãé~åóü~ëçéäéö~íéçíüé`éåíê~ä^çãáåáëíê~íáçåiáååäìçáåöíüé~çãáåáëíê~íáîéiêéöáëíê~ê~åç íê~åëñéê~öéåíñìååíáçåëjìåçéêáíëåçåíáåìéçêéëéçåëáäáäáíó~åçåçåíêçäó~íáíëçïåéñééåëéëíçqüé_~åâçñkéïvçêâ jéääçå EiìñÉãÄçìêÖF pk^ki OJQI êìé bìö åé oìéééêíi ijoqrp iìñéãäçìêö ëáååé j~ó NSI OMNNK qüáë Åçãé~åó ï~ë áååçêéçê~íéçáåiìñéãäçìêö~ë~ ëçåá í ~åçåóãéòçåaéåéãäéênrinvvu~åçáë~åáåçáêéåíïüçääójçïåéçëìäëáçá~êó çñqüé_~åâçñkéïvçêâjéääçå`çêéçê~íáçåkfíáëêéöáëíéêéçïáíüíüéiìñéãäçìêöqê~çé~åç`çãé~åáéëûoéöáëíéê ìåçéê`çêéçê~íéfçéåíáíókìãäéê_stsrqkeíüé oéöáëíê~ê~åçqê~åëñéê^öéåíòfk In the capacity of Registrar and Transfer Agent, it will process all subscriptions, redemptions and transfers of units and will register these transactions in the Unitholders register of the Fund. The main objective of the Fund is to gain the greatest possible return observing a well balanced risk level. The Fund has long term investment horizons and therefore purchase of units in the Fund should be regarded as a medium to long term investment. In order to achieve its main objective, the Fundʹs portfolio will be focused on gaining return from direct or indirect exposure to equities and / or interest bearing securities. At present, four Sub Funds are at the Unitholders disposal: SEB Strategy Fund SEB Strategy Balanced SEB Strategy Fund SEB Strategy Defensive SEB Strategy Fund SEB Strategy Growth SEB Strategy Fund SEB Strategy Opportunity For each Sub Fund, the Management Company decided to issue one class of units: Capitalisation units ( C units) 5

8 qüéñçääçïáåöìåáíåä~ëëéë~êéåìêêéåíäóçññéêéçñçêíüéëéîéê~äpìäjcìåçëw SEB Strategy Fund pb_píê~íéöó_~ä~ååéç o `~éáí~äáë~íáçåìåáíëèìçíéçáåpbhe `EpbhFÒìåáíëF fpfkirmpvqssvuum SEB Strategy Fund pb_píê~íéöóaéñéåëáîé o `~éáí~äáë~íáçåìåáíëèìçíéçáåpbhe `EpbhFÒìåáíëF fpfklu o `~éáí~äáë~íáçåìåáíëèìçíéçáåbroe `EbroFÒìåáíëF fpfklu SEB Strategy Fund pb_píê~íéöódêçïíü o `~éáí~äáë~íáçåìåáíëèìçíéçáåpbhe `EpbhFÒìåáíëF fpfklu SEB Strategy Fund pb_píê~íéöólééçêíìåáíó o `~éáí~äáë~íáçåìåáíëèìçíéçáåpbhe `EpbhFÒìåáíëF fpfklu The net asset value per unit as well as the issue and redemption prices, which are computed daily on bank business days in Luxembourg and in Sweden, can be obtained from the registered offices of the Management Company, the Custodian Bank and the Paying Agents. Financial reports of the Fund are published annually and semi annually. These reports, as well as the sales prospectus, the management regulations and all information concerning the Fund are available for the Unitholders at the registered offices of the Management Company, the Custodian Bank or every Paying Agent. 6

9 Management Report Dear Unitholders, With this report, we want to give you an overview of the general economic environment, the development of the most important capital markets, our investment policy and the performance of our fund SEB Strategy Fund with its Sub Funds: SEB Strategy Fund SEB Strategy Balanced SEB Strategy Fund SEB Strategy Flexible SEB Strategy Fund SEB Strategy Growth SEB Strategy Fund SEB Strategy Opportunity This annual report covers the year from November 1st, 2010 to October 31, We would like to thank you for your confidence and will do everything within our power to justify your decision of investing in our fund. The Recovery Falters During the reporting year, the rebound in the global economy continued, although growth clearly lost some of its momentum. While the headwinds whipped up by higher commodity prices and the natural and nuclear disasters in Japan died down, economic activity was dampened by the summer s escalation of the sovereign debt and banking crises followed by the ensuing turmoil on the financial and currency markets. Led by China and India, emerging markets recorded the strongest growth for the reporting year, even if their activity has also recently lost some of its traction. The cooling was most palpable in the euro zone, where the regular growth powerhouses flagged while economic momentum in the most indebted countries remained modest. The recovery in the United States is proving bumpy and sluggish, rendering the revival of the labour market painfully slow. Following a recession, which was then exacerbated by the natural and nuclear disasters that struck in March, Japan is now back on the road to recovery. Commodity Prices Cast a Shadow Over the Price Environment Owing to the recent rise in commodity prices, inflation noticeably gathered pace. The central banks inflation targets were exceeded in many countries. The price environment has deteriorated in emerging markets in particular, where economic price risks are compounding commodity price effects. From the Banking Crisis to the Debt Crisis to the Banking Crisis The sovereign debt crisis meant that turbulence persisted throughout the reporting year. Ireland and Portugal followed Greece in taking shelter under the protective umbrella of the European Union (EU) and the International Monetary Fund (IMF) in November 2010 and May 2011 respectively. With the disagreement over raising the debt ceiling, the financial problems of the United States also came under temporary market scrutiny over the summer. At the same time, Spain and Italy also found themselves in the markets firing line, prompting the European Central Bank (ECB) to extend its bond purchases to these two countries. Lastly, the banking sector as the main creditor to the countries affected found itself swept up in the state insolvency crisis. For a while, it looked as though agreement in October on a second rescue package for Greece coupled with a recapitalisation of the banking system would not happen, being thwarted by political turmoil. The eventual change of leadership in Greece and Italy calmed markets somewhat. Monetary Policy Under Pressure In view of the ongoing recovery and heightened price pressures, monetary policy was tightened (further) in most countries. This was especially true in emerging countries, where overheating is a danger. Among the leading central banks, the ECB was the only one to change course in April 2011 and has since twice increased its key interest rate. Conversely, monetary easing continued in the United States, Japan and the United Kingdom. This was partly a 7

10 response to the downturn in the economic outlook. With interest rate policy measures already exhausted, liquidity was pumped directly into the economy via quantitative easing. In addition, the US central bank pledged to maintain key interest rates at their current level until Towards the end of the reporting year, the ECB was compelled to ramp up further its emergency measures to shore up banks liquidity. Bond Markets Mixed During the reporting year, the trend in bond market rates was a varied one. On the leading bond markets in the United States and Europe, the initially positive economic climate, climbing inflation and expectations of an interest rate hike by the ECB pushed yields higher. In the spring, this trend reversed as the outlook darkened once again. The ensuing flight to quality nevertheless had a favourable impact on US Treasuries and German government bonds, driving down yields to new historical lows. In the euro zone, spreads between Germany and other member states continued to widen, with supposedly first rate borrower countries also hit. However, the effect of the widening spreads was so pronounced in the crisis hit countries that it resulted in an overall rise in rates. Equity Markets Continue to Rise Over the reporting year, equity markets continued along their upward trajectory, although their course was marred by volatility. Sound economic data and company reports generated some positive momentum. However, since the spring, share prices have come under increasing strain. The debt crisis, concerns over the economy and the natural disasters in Japan prompted one price correction after another. A surge in risk aversion sparked a heavy collapse in August, from which markets have yet to fully recover. This meant that equity market indices in only a small number of countries posted an uptrend for the reporting year. Among the leading equity markets, this was true only of the United States and, to a lesser extent, the United Kingdom. The sharpest price declines were recorded in southern and parts of eastern Europe. Currency markets in Turmoil The currency markets experienced significant fluctuations during the reporting year. For example, as risk aversion gained ground among investors, the valuations of the Japanese yen and the Swiss franc two safe haven currencies appreciated dramatically. Overall, the euro weakened only fractionally against other main currencies. The US dollar initially slid on account of the uncertain economic outlook and the prospect of further monetary policy easing, but then rallied towards the end of the reporting year. In this regard the weakness of the Asian currencies was especially crucial, as this coincided with the weakness of the local stock markets. Temporary Blip or Recession Politicians Hold the Trump Card Clouds have gathered over the economic horizon following the escalation of the sovereign debt and banking crises. It looks as though this winter holds a year of stagnation in store for Europe, while global activity is expected to slow as knock on effects in international trade feed through. The situation is rendered all the more fraught by the fact that the economic policy options available to industrialised countries would be constrained in the event of a more pronounced economic slowdown or recession. Furthermore, the future course of the economy will be partly dictated by political events indeed, looming elections are making themselves felt. If it fails to come up with an agreement on the expiring stimulus measures, the United States runs the risk of serious economic collapse at the beginning of In Europe, uncertainty exists in relation to the implementation and effectiveness of the decisions reached at the EU summit in October Our main scenario assumes that politicians will succeed in putting together suitable solutions. Nonetheless, global growth in 2012 is likely to be in the region of 3.5%, as opposed to the 4.0% to 4.5% previously projected. Despite slowing, emerging markets in Asia, Latin America and Eastern Europe are still set to expand by over 6.0%, thereby significantly outpacing the industrialised countries, in which economic output is being held back to between 1.0% and 2% by the pressures of budgetary consolidation. 8

11 Is Inflation about to Peak? Following the recent correction in commodities prices, the inflation picture has brightened to the extent that inflation rates are expected to drop off in Current weaknesses in the economy should also lower the risk of a further increase in underlying inflation. This is also true of those countries, particularly among emerging markets, whose production capacity is highly stretched. Outlook for Monetary Policy and the Financial Markets The outlook for the financial markets also rests on the ability of US and European politicians to come up with solutions. Monetary policy in the major developed countries will remain loose in the face of weaknesses in the economy, as a means of compensating for the restrictive fiscal policies made necessary by budgetary consolidation. Capital market rates in top tier countries have already shifted to crisis levels, with negative developments already priced in to a considerable degree. Positive rather than negative surprises should have more of an impact, meaning that the risk/return profile on the bond markets has become less attractive. The sovereign debt crisis will continue to cause volatility until a solution is produced that also meets with market approval. The main concern of the markets remains differentiating according to creditworthiness and issuer risk. The outlook for equity markets is still mixed for the time being. Although companies are in good financial shape, the bumpy economic landscape is hardly likely to stimulate widespread price advances. If risk appetite were to return for example, in the event of a solution to the debt crisis that convinced markets equity markets should resume an uptrend, in particular as fundamental stock market valuations do not appear excessive. Luxembourg, June 2011 SEB Asset Management S.A. R. Kömen M. Müller Note: Performances mentioned in this report are historical and are not indicative of future results. 9

12 Report of the Board of Directors SEB Strategy Fund SEB Strategy Balanced Market update During the financial year of the Sub Fund (ending October 31st), the markets have had to digest many incidents and problems. The economic cycle continued to improve in the beginning of the year, but not without problems. Emerging Markets were held back by worries for inflation and overheated economies. At the same time, developed markets had their problems with economies with large imbalances and severe fiscal problems which hampered economic growth. More unpredictable incidents like the political unrest in Northern Africa and the earthquake and tsunami in Japan did also affect the markets negatively. After the summer the European debt crisis escalated paired with budget problems in the USA. The fear of contagion in Europe plus the combination of very complex problems and an uncertainty of by whom these are to be solved has weighed on markets. In spite of this very difficult backdrop markets have held up surprisingly well. Equity markets are flat, but the volatility has been substantial. Another asset class perceived as risky that has done well is credits. Also currencies have moved a lot over the year. The euro/dollar relation ended the year where it started but once again, the swings have been very large. Sub Fund update The unit price of the Sub Fund is down around six percent in absolute terms over the year. Over all the positioning has been fairly defensive due to the difficult market conditions. However, during the first half of the year the share of more risky assets sensitive to the economic cycle was increased. Mid year this position was pulled back as the outlook became a bit more gloomy. Up until October the Sub Fund was managed in a traditional way with the focus to beat an index. On October 1st this regime was changed to a total return style with the goal to maximize the Sub Funds risk adjusted return. In this transfer the new Sub Fund manager shifted a large portion of the holdings to new ones. In short, the change led to that the share of actively managed Sub Funds has increased and almost all index products have been sold off. A large portion of the Sub Fund is allocated to hedge Sub Funds, an asset class that offers both some upside but also downside protection. Other big investment blocs are equities and credits. Strategy going forward The outlook is still hard to predict. The financial markets in Europe will most likely continue to be negatively affected by unsolved debt problems. However, the recurrent summits held by political leaders do from time to time give the markets hope of a solution. The American economy is in better condition than Europe s but far from good enough to keep the global economic growth in positive territory in Against this background we keep a fairly defensive and well balanced positioning in the Sub Fund. 10

13 Report of the Board of Directors SEB Strategy Fund SEB Strategy Defensive Market update During the financial year of the Sub Fund (ending October 31st), the markets have had to digest many incidents and problems. The economic cycle continued to improve in the beginning of the year, but not without problems. Emerging Markets were held back by worries for inflation and overheated economies. At the same time, developed markets had their problems with economies with large imbalances and severe fiscal problems which hampered economic growth. More unpredictable incidents like the political unrest in Northern Africa and the earthquake and tsunami in Japan did also affect the markets negatively. After the summer the European debt crisis escalated paired with budget problems in the USA. The fear of contagion in Europe plus the combination of very complex problems and an uncertainty of by whom these are to be solved has weighed on markets. In spite of this very difficult backdrop markets have held up surprisingly well. Equity markets are flat, but the volatility has been substantial. Another asset class perceived as risky that has done well is credits. Also currencies have moved a lot over the year. The euro/dollar relation ended the year where it started but once again, the swings have been very large. Sub Fund update The unit price of the Sub Fund is slightly up over the year. Over all the positioning has been fairly defensive due to the difficult market conditions. However, during the first half of the year the share of more risky assets sensitive to the economic cycle was increased. Mid year this position was pulled back as the outlook became a bit more gloomy. During the end of the year the new Sub Fund manager shifted a large portion of the holdings to new ones. In short, the change led to that the share of actively managed Sub Funds has increased and almost all index products have been sold off. A large portion of the Sub Fund is allocated to hedge Sub Funds, an asset class that offers both some upside but also downside protection. The other big investment blocs are bonds and credits. Strategy going forward The outlook is still hard to predict. The financial markets in Europe will most likely continue to be negatively affected by unsolved debt problems. However, the recurrent summits held by political leaders do from time to time give the markets hope of a solution. The American economy is in better condition than Europe s but far from good enough to keep the global economic growth in positive territory in Against this background we keep a fairly defensive and well balanced positioning in the Sub Fund. 11

14 Report of the Board of Directors SEB Strategy Fund SEB Strategy Growth Market update During the financial year of the Sub Fund (ending October 31st), the markets have had to digest many incidents and problems. The economic cycle continued to improve in the beginning of the year, but not without problems. Emerging Markets were held back by worries for inflation and overheated economies. At the same time, developed markets had their problems with economies with large imbalances and severe fiscal problems which hampered economic growth. More unpredictable incidents like the political unrest in Northern Africa and the earthquake and tsunami in Japan did also affect the markets negatively. After the summer the European debt crisis escalated paired with budget problems in the USA. The fear of contagion in Europe plus the combination of very complex problems and an uncertainty of by whom these are to be solved has weighed on markets. In spite of this very difficult backdrop markets have held up surprisingly well. Equity markets are flat, but the volatility has been substantial. Another asset class perceived as risky that has done well is credits. Also currencies have moved a lot over the year. The euro/dollar relation ended the year where it started but once again, the swings have been very large. Sub Fund update The unit price of the Sub Fund is down around thirteen percent in absolute terms over the year. Over all the positioning has been fairly defensive due to the difficult market conditions. However, during the first half of the year the share of more risky assets sensitive to the economic cycle was increased. Mid year this position was pulled back as the outlook became a bit more gloomy. Up until October the Sub Fund was managed in a traditional way with the focus to beat an index. On October 1st this regime was changed to a total return style with the goal to maximize the Sub Funds risk adjusted return. In this transfer the new Sub Fund manager shifted a large portion of the holdings to new ones. In short, the change led to that the share of actively managed Sub Funds has increased and almost all index products have been sold off. A large portion of the Sub Fund is allocated to equities, another big investment bloc is bonds. The Sub Fund also has a not insignificant exposure to hedgefunds, an asset class that offers both some upside but also downside protection. Strategy going forward The outlook is still hard to predict. The financial markets in Europe will most likely continue to be negatively affected by unsolved debt problems. However, the recurrent summits held by political leaders do from time to time give the markets hope of a solution. The American economy is in better condition than Europe s but far from good enough to keep the global economic growth in positive territory in Against this background we keep a fairly defensive and well balanced positioning in the Sub Fund. 12

15 Report of the Board of Directors SEB Strategy Fund SEB Strategy Opportunity Market update During the financial year of the Sub Fund (ending October 31st), the markets have had to digest many incidents and problems. The economic cycle continued to improve in the beginning of the year, but not without problems. Emerging Markets were held back by worries for inflation and overheated economies. At the same time, developed markets had their problems with economies with large imbalances and severe fiscal problems which hampered economic growth. More unpredictable incidents like the political unrest in Northern Africa and the earthquake and tsunami in Japan did also affect the markets negatively. After the summer the European debt crisis escalated paired with budget problems in the USA. The fear of contagion in Europe plus the combination of very complex problems and an uncertainty of by whom these are to be solved has weighed on markets. In spite of this very difficult backdrop markets have held up surprisingly well. Equity markets are flat, but the volatility has been substantial. Another asset class perceived as risky that has done well is credits. Also currencies have moved a lot over the year. The euro/dollar relation ended the year where it started but once again, the swings have been very large. Sub Fund update The unit price of the Sub Fund is down around nine percent in absolute terms over the year. Over all the positioning has been fairly defensive due to the difficult market conditions. However, during the first half of the year the share of more risky assets sensitive to the economic cycle was increased. Mid year this position was pulled back as the outlook became a bit more gloomy. Up until October the Sub Fund was managed in a traditional way with the focus to beat an index. On October 1st this regime was changed to a total return style with the goal to maximize the Sub Funds risk adjusted return. In this transfer the new Sub Fund manager shifted a large portion of the holdings to new ones. In short, the change led to that the share of actively managed Sub Funds has increased and almost all index products have been sold off. A large portion of the Sub Fund is allocated to hedge Sub Funds, an asset class that offers both some upside but also downside protection. Other big investment blocs are equities and credits. Strategy going forward The outlook is still hard to predict. The financial markets in Europe will most likely continue to be negatively affected by unsolved debt problems. However, the recurrent summits held by political leaders do from time to time give the markets hope of a solution. The American economy is in better condition than Europe s but far from good enough to keep the global economic growth in positive territory in Against this background we keep a fairly defensive and well balanced positioning in the Sub Fund. 13

16 Schedule of Investments As at October 31, 2011 SEB Strategy Fund - SEB Strategy Balanced Security denomination Total holdings Currency Unit Market % of as at price/ value in net 31/10/11 yield SEK assets Transferable securities admitted to an official stock exchange Investment funds Bond funds Finland SEB Räntehedge Alpha 319,006 SEK ,796, Total Finland 37,796, Luxemburg ING L Renta Emer Markets Debt Local Bond 2,919 USD 5, ,076, Schroder GAIA CQS Credit-A 55,155 EUR ,554, Total Luxemburg 162,631, Sweden SEB HighYield A SEK 868,556 SEK ,420, SEB Obligationsfond Flexibel 21,013,311 SEK ,582, SEB Obligationsfond SEK 27,691,416 SEK ,648, SEB Placeringsfond Företagsobligation Flexibel SEK C 7,777,348 SEK ,064, Total Sweden 695,716, United States of America SPDR Barclays Capital High Yield 146,972 USD ,611, Total United States of America 36,611, Total bond funds SEK 932,756, Equity funds Ireland Aspect Diversified Trends Fund 694,083 SEK ,206, Gam Star Keynes Quant 851,045 SEK ,827, JO Hambro Cap Glob Umbrella Fund 5,467,316 EUR ,053, Total Ireland 218,087, Luxembourg ATCM I - Dynamic Manager Alpha 521,574 SEK ,968, Eaton Vance US Value 587,396 USD ,194, Sabre All Weather 30,963 EUR ,512, SEB SICAV 3 - SEB Asset Selection Opportunistic 324,480 SEK ,176, Skagen Global 69,163 NOK ,338, Vontobel Belvista HH 113,909 SEK 1, ,967, Total Luxembourg 332,157,

17 SEB Strategy Fund - SEB Strategy Balanced Security denomination Maturity Total holdings Currency Unit Market % of as at price/ value in net 31/10/11 yield SEK assets Norway Skagen Kon-Tiki 71,433 NOK ,823, Total Norway 40,823, Sweden Enter Select 45,276 SEK ,264, Total Sweden 44,264, United Kingdom Henderson UK Absolute Return Fund 7,620,930 GBP ,427, JO Hambro Emerging Mkt R$ 5,133,591 USD ,506, M&G Global Dividend Fund 720,882 EUR ,799, Total United Kingdom 216,732, Total equity funds SEK 852,066, Total investment funds SEK 1,784,822, Total transferable securities admitted to an official stock exchange SEK 1,784,822, Total portfolio SEK 1,784,822, Forward foreign exchange contracts purchased forward foreign exchange contracts SEK 09/11/ ,000,000 SEK ,857, sold forward foreign exchange contracts EUR 09/11/2011-9,301,613 EUR ,767, GBP 09/11/2011-9,077,532 GBP ,105, USD 09/11/2011-5,709,821 USD ,283, Total forward foreign exchange contracts (total net unrealised result) 4,701, Cash at banks Cash at banks Total cash at banks 50,870, ,870, Other assets Dividend receivable 126, Interest receivable on banks 49, Kickbacks 1,609, Receivables on subscriptions 3,251, Total other assets 5,036,

18 SEB Strategy Fund - SEB Strategy Balanced Security denomination Total holdings Currency Unit Market % of as at price/ value in net 31/10/11 yield SEK assets Other liabilities Management fee, taxe d'abonnement -2,351, Payables on redemptions -2,332, Total other liabilities -4,684, Total net assets as at October 31, 2011 SEK 1,840,747, Please refer to note 5 for details of unrealised gains/losses on futures included in the cash at banks. A list of changes in the assets held during the year under review is available free of charge from SEB Asset Management S.A.. The accompanying notes are an integral part of these financial statements. 16

19 Schedule of Investments As at October 31, 2011 SEB Strategy Fund - SEB Strategy Defensive Security denomination Total holdings Currency Unit Market % of as at price value in net 31/10/11 EUR assets Transferable securities admitted to an official stock exchange Bonds funds Investment funds Finland SEB Räntehedge Alpha 257,865 SEK ,391, Total Finland 3,391, Luxembourg ING L Renta Emer Markets Debt Local Bond 451 USD 5, ,888, Schroeder GAIA CQS Credit-A 12,602 EUR ,332, SEB HighYield 112,885 SEK ,694, Total Luxembourg 4,915, Sweden SEB Obligationsfond 5,098,419 SEK ,613, SEB Obligationsfond Flexibel 6,994,570 SEK ,780, SEB Penningmarknadsfond 7,871,510 SEK ,778, Total Sweden 22,172, United States of America SPDR Barclays Capital High Yield 47,904 USD ,324, Total United States of America Total bond funds 1,324, EUR 31,804, Equity funds Ireland GAM Star Keynes Quantita 303,533 SEK ,477, JO Hambro Cap Glob Umbrella Fund 857,050 USD , Aspect Diversified Fund 5 EUR Aspect Diversified Trends Fund 172,994 SEK ,970, Total Ireland 6,179, Luxembourg ATCM I - Dynamic Manager Alpha 397,704 SEK ,652, Sabre All Weather 18,727 EUR ,779, SEB SICAV 3 - SEB Asset Selection Opportunistic 85,158 SEK , Vontobel Fund Belvista Commodity HH 17,240 SEK 1, ,998, Total Luxembourg 9,368,

20 SEB Strategy Fund - SEB Strategy Defensive Security denomination Total holdings Currency Unit Market % of as at price value in net 31/10/11 EUR assets Norway Skagen Kon-Tiki 18,341 NOK ,163, Total Norway 1,163, Sweden Enter Select 8,376 SEK , Total Sweden 909, United Kingdom Henderson UK Absolute Return Fund 1,048,253 GBP ,365, Total United Kingdom 1,365, Total equity funds EUR 18,986, Real estate funds Germany Credit Suisse Euroreal 1,071 EUR , HausInvest Europa 1,501 EUR , Kanam Grundinvest Funds 1,125 EUR , SEB ImmoInvest 1,141 EUR , Total Germany 249, Total real estate funds EUR 249, Total investment funds EUR 51,040, Total transferable securities admitted to an official stock exchange Total portfolio EUR 51,040, EUR 51,040, Forward foreign exchange contracts purchased forward foreign exchange contracts EUR 07/11/ ,749,970 46,738, SEK 07/11/ ,298,236 50,069, sold forward foreign exchange contracts EUR 07/11/ ,206,053-49,193, GBP 07/11/2011-1,433,527-1,632, SEK 07/11/ ,257,324-44,074, USD 07/11/2011-2,253,978-1,589, Total forward foreign exchange contracts (total net unrealised result) 318,

21 SEB Strategy Fund - SEB Strategy Defensive Security denomination Total holdings Currency Unit Market % of as at price value in net 31/10/11 EUR assets Cash at banks Cash at banks Total cash at banks 5,512, ,512, Other assets Bank interests 7, Kickbacks 2, Receivables on subscriptions 392, Other receivable 1, Total other assets 403, Other liabilities Management fee, taxe d'abonnement -41, Payables on purchases of securities -191, Redemptions -8, Other liabilities Total other liabilities -242, Total net assets as at October 31, 2011 EUR 57,032, Please refer to note 5 for details of unrealised gains/losses on futures included in the cash at banks. A list of changes in the assets held during the year under review is available free of charge from SEB Asset Management S.A.. The accompanying notes are an integral part of these financial statements. 19

22 Schedule of Investments As at October 31, 2011 SEB Strategy Fund - SEB Strategy Growth Security denomination Total holdings Currency Unit Market % of as at price value in net 31/10/11 SEK assets Transferable securities admitted to an official stock exchange Investment funds Bonds funds Luxembourg ING L Renta Emer Markets Debt Local Bond 2,043 USD 5, ,067, Total Luxembourg 77,067, Sweden SEB Obligationsfond 15,445,212 SEK ,188, SEB Penningmarknadsfond 5,130,635 SEK ,544, SEB Emerging Marketsfond 1,693,170 SEK ,069, SEB Globalfond 12,798,266 SEK ,580, Total Sweden 301,384, United States of America SPDR Barclays Capital High Yield 106,808 USD ,606, Total United States of America 26,606, Total bond funds SEK 405,058, Equity funds Ireland Eaton Vance Emerald Funds - PPA Emerging Markets A 1,096,728 USD ,179, Aspect Diversified Trends Fund 479,610 SEK ,203, Gam Star Keynes Quant 374,963 SEK ,696, JO Hambro Umbrella Fund - Global Select 11,138,444 EUR ,309, Total Ireland 281,388, Luxembourg Skagen Global 98,645 NOK ,057, SEB SICAV 2 - SEB Listed Private Equity Fund C 24,755 EUR ,870, SEB SICAV 3 - SEB Asset Selection Opportunistic 166,625 SEK ,522, Total Luxembourg 133,450, Norway Skagen Kon-Tiki 185,339 NOK ,920, Total Norway 105,920,

23 SEB Strategy Fund - SEB Strategy Growth Security denomination Maturity Total holdings Currency Unit Market % of as at price value in net 31/10/11 SEK assets Sweden Enter Select 86,888 SEK ,945, Total Sweden 84,945, United Kingdom Henderson UK Absolute Return Fund 5,328,893 GBP ,531, JO Hambro Emerging Mkt R$ 8,697,638 USD ,934, M&G Global Dividend Fund 894,496 EUR ,944, Total United Kingdom 238,410, United States of America Nuveen Investments 440,056 USD ,923, Total United States of America 79,923, Total equity funds SEK 924,038, Total investment funds SEK 1,329,097, Total transferable securities admitted to an official stock exchange Total portfolio SEK 1,329,097, SEK 1,329,097, Forward foreign exchange contracts purchased forward foreign exchange contracts SEK 09/11/ ,000,000 99,934, sold forward foreign exchange contracts GBP 09/11/2011-6,688, ,603, USD 09/11/2011-4,507, ,644, Total forward foreign exchange contracts (total net unrealised result) 2,685, Cash at banks Cash at banks Total cash at banks 37,591, ,591, Other assets Interest receivable on banks 22, Kickbacks 1,483, Receivable on subscriptions 3,943, Total other assets 5,448,

24 SEB Strategy Fund - SEB Strategy Growth Security denomination Total holdings Currency Unit Market % of as at price value in net 31/10/11 SEK assets Other liabilities Management fee, taxe d'abonnement Payables on redemptions -1,933, ,843, Total other liabilities -3,777, Total net assets as at October 31, 2011 SEK 1,371,046, Please refer to note 5 for details of unrealised gains/losses on futures included in the cash at banks. A list of changes in the assets held during the year under review is available free of charge from SEB Asset Management S.A.. The accompanying notes are an integral part of these financial statements. 22

25 Schedule of Investments As at October 31, 2011 SEB Strategy Fund - SEB Strategy Opportunity Security denomination Total holdings Currency Unit Market % of as at price/ value in net 31/10/11 yield SEK assets Transferable securities admitted to an official stock exchange Investment funds Bond funds Finland SEB Placeringsfond Företagsobligation Flexibel 7,464,178 SEK ,317, Total Finland 89,317, Luxembourg ING L Renta Emer Markets Debt Local Bond 2,786 USD 5, ,087, Total Luxembourg 105,087, Sweden SEB Obligationsfond Flexibel 14,236,863 SEK ,673, SEB HighYield 698,525 SEK ,433, SEB Obligationsfond SEK 21,093,461 SEK ,209, Total Sweden 446,315, United States SPDR Barclays Capital High Yield 142,534 USD ,506, Total United States 35,506, Total bond funds SEK 676,226, Equity funds Ireland Aspect Diversified Trends Fund SEK 650,116 SEK ,695, Gam Star Keynes Quant SEK 840,077 SEK ,695, JO Hambro Cap Glob Umbrella Fund 9,472,028 EUR ,309, Total Ireland 255,701, Luxembourg Eaton Vance Emerald Funds - PPA Emerging Markets A 866,661 USD ,828, Sabre All Weather 29,838 EUR ,548, Skagen Global Aktiefond Class NOK 117,005 NOK ,074, Vontobel Fund Belvista Commodity HH 126,224 SEK 1, ,795, Schroeder GAIA CQS Credit-A 53,150 EUR ,643, SEB SICAV 2 - SEB Listed Private Equity Fund R 31,500 EUR ,281, SEB SICAV 3 - SEB Asset Selection Opportunistic SEK ID 385,868 SEK ,263, Total Luxembourg 445,435,

26 SEB Strategy Fund - SEB Strategy Opportunity Security denomination Maturity Total holdings Currency Unit Market % of as at price/ value in net 31/10/11 yield SEK assets Norway Skagen Kon-Tiki 67,539 NOK ,598, Total Norway 38,598, Sweden Enter Select 63,633 SEK ,211, Total Sweden 62,211, United Kingdom Henderson UK Absolute Return Fund 7,313,898 GBP ,824, JO Hambro Emerging Mkt R$ 9,241,957 USD ,122, M&G Global Dividend Fund 764,565 EUR ,119, Total United Kingdom 250,067, United States Nuveen Global All Cap 302,098 USD ,867, Total United States 54,867, Total equity funds SEK 1,106,880, Total investment funds SEK 1,783,107, Total transferable securities admitted to an official stock exchange SEK 1,783,107, Total portfolio SEK 1,783,107, Forward foreign exchange contracts purchased forward foreign exchange contracts SEK 09/11/ ,000, ,869, sold forward foreign exchange contracts EUR 09/11/ ,038, ,411, GBP 09/11/2011-8,628,828-88,503, Total forward foreign exchange contracts (total net unrealised result) 2,954, Cash at banks Cash at banks Total cash at banks 54,084, ,084, Other assets Interest receivable on banks 46, Receivables on dividend 87, Kickbacks 1,613, Receivables on subscriptions 3,482, Total other assets 5,230,

27 SEB Strategy Fund - SEB Strategy Opportunity Security denomination Total holdings Currency Unit Market % of as at price/ value in net 31/10/11 yield SEK assets Other liabilities Management fee, taxe d'abonnement -2,469, Payables on redemptions -1,529, Total other liabilities -3,999, Total net assets as at October 31, 2011 SEK 1,841,377, Please refer to note 5 for details of unrealised gains/losses on futures included in the cash at banks. A list of changes in the assets held during the year under review is available free of charge from SEB Asset Management S.A.. The accompanying notes are an integral part of these financial statements. 25

28 Combined Statement of Operations SEB Strategy Fund - SEB Strategy Fund - SEB Strategy Balanced SEB Strategy Defensive SEK EUR 01/11/10-31/10/11 01/11/10-31/10/11 Income Bank interest on cash accounts 2,502, , Income from investment funds 10, , Kickbacks 10,626, , Total income 13,139, , Expenses Bank interest on cash accounts -517, Management fee (note 2) -37,169, , Performance fee (note 3) Taxe d'abonnement (note 4) -900, , Total expenses -38,586, , Net gain / loss for the year -25,447, , The accompanying notes are an integral part of these financial statements. 26

29 SEB Strategy Fund - SEB Strategy Fund - SEB Strategy Fund SEB Strategy Growth SEB Strategy Opportunity combined SEK SEK SEK 01/11/10-31/10/11 01/11/10-31/10/11 01/11/10-31/10/11 Income Bank interest on cash accounts 2,637, ,165, ,442, Income from investment funds - 102, , ,659, Kickbacks 7,289, ,923, ,069, Total income 9,824, ,110, ,171, Expenses Bank interest on cash accounts -608, , ,423, Management fee (note 2) -29,921, ,428, ,107, Performance fee (note 3) , Taxe d'abonnement (note 4) -711, , ,656, Total expenses -31,241, ,632, ,194, Net gain / loss for the year -21,416, ,522, ,022, The accompanying notes are an integral part of these financial statements. 27

30 Combined Statement of Changes in Net Assets SEB Strategy Fund - SEB Strategy Fund - SEB Strategy Balanced SEB Strategy Defensive SEK EUR 01/11/10-31/10/11 01/11/10-31/10/11 Net assets at the beginning of the year 2,535,592, ,215, Net gain / loss for the year -25,447, , Net realised gain / loss on: - sales of securities 5,557, ,540, futures contracts 5,495, , foreign exchange -7,927, , Total net realised loss 3,124, ,022, Change in net unrealised appreciation / depreciation on: - securities -123,042, ,410, forward foreign exchange contracts 6,369, , Total change in net unrealised appreciation / depreciation -116,673, ,924, Increase / decrease in net assets as a result of operations -138,995, ,052, Proceeds on issues of units 311,738, ,644, Payment on redemptions of units -867,588, ,879, Total net assets as at October 31, ,840,747, ,032, The accompanying notes are an integral part of these financial statements. 28

31 SEB Strategy Fund - SEB Strategy Fund - SEB Strategy Fund SEB Strategy Growth SEB Strategy Opportunity combined SEK SEK SEK 01/11/10-31/10/11 01/11/10-31/10/11 01/11/10-31/10/11 Net assets at the beginning of the year 1,607,139, ,008,787, ,513,801, Net gain / loss for the year -21,416, ,522, ,022, Net realised gain / loss on: - sales of securities -72,134, ,404, ,890, futures contracts 10,401, , ,055, forward foreign exchange contracts -7,987, ,145, ,643, Total net realised loss -69,719, ,634, ,478, Change in net unrealised appreciation / depreciation on: - securities -141,051, ,989, ,330, forward foreign exchange contracts 1,943, ,549, ,487, Total change in net unrealised appreciation / depreciation -139,108, ,440, ,843, Increase / decrease in net assets as a result of operations -230,244, ,597, ,344, Proceeds on issues of units 380,488, ,515, ,461,824, Payment on redemptions of units -386,336, ,328, ,855,326, Total net assets as at October 31, ,371,046, ,841,377, ,566,954, The accompanying notes are an integral part of these financial statements. 29

32 Combined Statement of Net Assets As at October 31, 2011 SEB Strategy Fund - SEB Strategy Fund - SEB Strategy Balanced SEB Strategy Defensive SEK EUR Assets Portfolio at cost 1,780,155, ,660, Unrealised appreciation 4,667, ,380, Portfolio at market value (note 1) 1,784,822, ,040, Unrealised appreciation / depreciation on forward foreign exchange contracts 4,701, , Cash at banks 50,870, ,512, Receivable interest and / or dividends 49, , Other assets 4,986, , Total assets 1,845,431, ,275, Liabilities Other liabilities -4,684, , Total liabilities -4,684, , Total net assets as at October 31, ,840,747, ,032, "C-H" units outstanding as at October 31, ,144, (SEK) "C " units outstanding as at October 31, ,227, (EUR) Net asset value per "C-H" unit as at October 31, (SEK) Net asset value per "C" unit as at October 31, (EUR) The accompanying notes are an integral part of these financial statements. 30

33 SEB Strategy Fund - SEB Strategy Fund - SEB Strategy Fund SEB Strategy Growth SEB Strategy Opportunity combined SEK SEK SEK Assets Portfolio at cost 1,345,833, ,787,419, ,315,735, Unrealised appreciation -16,736, ,311, ,097, Portfolio at market value (note 1) 1,329,097, ,783,107, ,356,833, Unrealised appreciation / depreciation on forward foreign exchange contracts 2,685, ,954, ,207, Cash at banks 37,591, ,084, ,211, Receivable interest and / or dividends 22, , , Other assets 5,426, ,184, ,162, Total assets 1,374,824, ,845,377, ,581,598, Liabilities Other liabilities -3,777, ,999, ,644, Total liabilities -3,777, ,999, ,644, Total net assets as at October 31, ,371,046, ,841,377, ,566,954, "C-H" units outstanding as at October 31, "C " units outstanding as at October 31, ,075, ,944, Net asset value per "C-H" unit as at October 31, Net asset value per "C" unit as at October 31, The accompanying notes are an integral part of these financial statements. 31

34 Statistical Information As at October 31, 2011 SEB Strategy Fund - SEB Strategy Fund - SEB Strategy Balanced SEB Strategy Defensive SEK EUR Number of "C" units outstanding as at October 31, ,227, ,144, (H-SEK) as at October 31, (EUR) as at October 31, ,874, ,635, (H-SEK) as at October 31, , (EUR) as at October 31, ,783, Total net assets as at October 31, ,840,747, as at October 31, ,535,592, ,032, ,215, as at October 31, ,606,807, Net asset value per "C" unit as at October 31, (H-SEK) as at October 31, (EUR) as at October 31, (H-SEK) **) as at October 31, (EUR) **) as at October 31, Performance in % of "C" units as at October 31, (H-SEK) as at October 31, (EUR) as at October 31, (H-SEK) **) as at October 31, (EUR) **) as at October 31, *) - Dividend paid N/A N/A Total Expense Ratio *) (TER) in % 01/11/ /10/ Portfolio Turnover Rate **) (PTR) in % 01/11/ /10/ *) TER is calculated by the following formula: (Total expenses / average TNA) *100 **) PTR is calculated by the following formula: ((Total 1 - Total 2) / average TNA) *100 TNA Total Net Assets Total 1 Total of securities transactions for the year under review (purchases + sales) Total 2 Total of subscribed and redeemed shares for the year under review (purchases + sales) *) since launch on November 17, 2008 at NAV per unit SEK **) since launch on March 8, 2010 at NAV per unit SEK respectively EUR The accompanying notes are an integral part of these financial statements. 32

35 SEB Strategy Fund - SEB Strategy Fund - SEB Strategy Fund SEB Strategy Growth SEB Strategy Opportunity combined SEK SEK SEK Number of "C" units outstanding as at October 31, ,075, ,944, as at October 31, ,242, ,756, as at October 31, ,119, ,182, Total net assets as at October 31, ,371,046, ,841,377, ,566,954, as at October 31, ,607,139, ,008,787, ,527,284, as at October 31, ,192, ,494, ,391,495, Net asset value per "C" unit as at October 31, as at October 31, as at October 31, Performance in % of "C" units as at October 31, as at October 31, as at October 31, Dividend paid N/A N/A N/A Total Expense Ratio *) (TER) in % 01/11/ /10/ Portfolio Turnover Rate **) (PTR) in % 01/11/ /10/ *) TER is calculated by the following formula: (Total expenses / average TNA) *100 **) PTR is calculated by the following formula: ((Total 1 - Total 2) / average TNA) *100 TNA Total Net Assets Total 1 Total of securities transactions for the year under review (purchases + sales) Total 2 Total of subscribed and redeemed shares for the year under review (purchases + sales) The accompanying notes are an integral part of these financial statements. 33

36 Notes to the Financial Statements As at October 31, 2011 Note 1. Significant accounting Policies The financial statements are presented in accordance with Luxembourg regulations relating to Undertakings for Collective Investment. Investments: a) Transferable securities and money market instruments, which are officially listed on the stock exchange, are valued at the last available price; b) Transferable securities and money market instruments, which are not officially listed on a stock exchange, but which are traded on another regulated market are valued at a price no lower than the bid price and no higher than the ask price at the time of the valuation and at which the Management Company considers to be an appropriate market price; c) Transferable securities and money market instruments quoted or traded on several markets are valued on the basis of the last available price of the principal market for the transferable securities or money market instruments in question, unless these prices are not representative. d) In the event that such prices are not in line with market condition, or for securities and money market instruments other than those covered in a), b) and c) above for which there are no fixed prices, these securities and money market instruments, as well as other assets, will be valued at the current market value as determined in good faith by the Management Company, following generally accepted valuation principles verifiable by auditor. e) Liquid assets are valued at their nominal value plus accrued interest. f) Financial instruments, which are not traded on the futures exchanges but on a regulated market are valued at their settlement value, as stipulated by the Management Company in accordance with generally accepted principles, taking into consideration the principles of proper accounting, the customary practices in line with the market, and the interests of the Unitholders, provided that the above mentioned principles correspond with generally accepted valuation regulations, which can be verified by the independent auditor. g) Not matured financial futures contracts are valued at valuation date at market rates prevailing at this date and resulting unrealised gains or losses are posted to the statement of operations. Unrealised appreciation or depreciation on financial futures contracts are posted to the cash at banks on a daily or monthly basis depending on the settlement characteristics of the contracts, recognised as realised gain/ loss in the statement of changes in net assets. h) Units or shares of UCI(TS) are valued at the last available net asset value. Results on sales of securities are determined by the average cost method. 34

37 Currency translation: All assets denominated in a different currency to the respective Sub fund s currency are converted into this respective Sub Fund s currency at the last available average exchange rate. Separate accounts are maintained for each Sub Fund in the currency in which the net asset value per unit to which it relates is expressed (the accounting currency). Transactions denominated in a currency other than the accounting currency are recorded on the basis of exchange rates prevailing on the date they occur or accrue to the Sub Fund. Assets and liabilities, expressed in a currency other than the accounting currency, are translated on the basis of exchange rates ruling at the balance sheet date. The financial statements of the Fund are the aggregate of the financial statements of the different Sub Funds which, where applicable, are translated into Swedish Krona at the year end exchange rate. As at October 31, 2011, the exchange rates were as follows: 1 EUR SEK 1 GBP SEK 1 NOK SEK 1 USD SEK Income: Interest is recognised on an accrual basis. Dividends are recorded on the ex dividend date. Note 2. Management Fee The Management Company is entitled to receive a fee out of the Sub Fund s assets on behalf of the Investment Manager. This fee is calculated each Valuation Day based on the average net assets of the Fund and payable out monthly in arrears. Currently, the annual rates for each Sub Fund are as follows: 1.65% is charged on SEB Strategy Fund SEB Strategy Balanced 1.00% is charged on SEB Strategy Fund SEB Strategy Defensive (1.20% until October 3, 2011) 1.85% is charged on SEB Strategy Fund SEB Strategy Growth 1.75% is charged on SEB Strategy Fund SEB Strategy Opportunity (1.85% until October 3, 2011) The Management Company pays accounting, administration, custodian and all other charges and fees on behalf of the Fund, except for taxes, bank and brokerage fees for transactions in securities making up the Fund s portfolio as well as fees on transfers referring to redemption of units. 35

38 Note 3. Performance Fee Until October 2, 2011, the Management Company is entitled to receive a performance fee, for the Sub Fund SEB Strategy SEB Strategy Defensive payable out of the assets attributable to the relevant unit class. The performance fee will be calculated, accrued and crystallised on each Valuation Day in the respective unit classes as described in the sales prospectus and will be paid out monthly in arrears. The performance fee in a particular unit class will be calculated by taking the number of units in the unit class times the performance fee rate, 10%, times any positive excess performance per unit recorded on that day. The Sub Fund uses the principle of High Water Mark and the Risk Free Rate as a hurdle. The 3 Month Treasury Bill Return Index is used as the Risk Free Rate, also referred to as Index. From October 3, 2011 onwards, the Management Company is no longer entitled to receive a performance fee. Note 4. Taxes The Fund is not subject to any Luxembourg taxes on income or capital gains under existing legislation. The Fund is, however, subject to the ʺtaxe dʹabonnementʺ, which is charged at the rate of 0.05% per annum, based on the net assets of the Fund at the end of each calendar quarter. The tax is calculated daily and paid quarterly. No tax is paid on the portion of net assets invested in other Luxembourg investment funds already subject to the taxe d abonnement. Note 5. Changes in portfolio composition Details of purchases and sales of investments are available, free of charge, from the registered office of the Management Company of the Fund. Note 6. Major events During the reporting year, the Board of Directors of the Management Company decided to undertake the following changes, with effective date on October 3, 2011, for the Sub Fund SEB Strategy Fund SEB Strategy Flexible: change of effective Management Fees rate (refer to note 2); change of the name of the Sub Fund from SEB Strategy Fund SEB Strategy Flexible fund into SEB Strategy Fund SEB Strategy Defensive. for the Sub Fund SEB Strategy Fund SEB Strategy Balanced: change of investment policy from a balanced combination of interest bearing securities, equities and equity related transferable securities with a focus on companies domiciled in Sweden or traded on Swedish Markets, to an unspecified mix of various asset classes without being restricted to a specific geographical area. for the Sub Fund SEB Strategy Fund SEB Strategy Opportunity: change of Management Fee rate (refer to note 2); change of investment policy from a combination of equities and other equity related transferable securities with a focus on companies domiciled in Sweden or traded on Swedish Markets to an unspecified mix of various asset classes without being restricted to a specific geographical area. for the Sub Fund SEB Strategy Fund SEB Strategy Growth: change of investment policy from an investment in equities, with focus on companies domiciled in Sweden or traded on Swedish markets, to an unspecified mix of various asset classes without being restricted to a specific geographical area. 36

39 Note 7. Subsequent events Creation of new share classes A C(EUR) unit class will be launched at the discretion of the Management Company for the Sub Funds SEB Strategy Fund SEB Strategy Balanced, SEB Strategy Fund SEB Strategy Opportunity and SEB Strategy Fund SEB Strategy Growth. On November 4, 2011, the base currency of SEB Strategy Fund SEB Strategy Defensive changed from EUR to SEK. lìíëçìêåáåöçñíüé`éåíê~ä^çãáåáëíê~íáçåíçqüé_~åâçñkéïvçêâjéääçåeiìñéãäçìêöfpk^k The Management Company will delegate the Central Administration, including the administrative, registrar, paying and transfer agent functions under its continued responsibility and control at its own expenses to The Bank of New York Mellon (Luxembourg) S.A., 2 4, rue Eugène Ruppert, L 2453 Luxembourg. This company was incorporated in Luxembourg as a société anonyme on December 15, 1998 and is an indirect wholly owned subsidiary of The Bank of New York Mellon Corporation. It is registered with the Luxembourg Trade and Companies Register under Corporate Identity Number B The first part of the migration was successfully implemented on May 16, 2011 when the function of Registrar, Transfer and Paying Agent was transferred to The Bank of New York Mellon (Luxembourg) S.A. The second part of the migration which is the transfer of the Administrative Agent function to the Bank of New York Mellon (Luxembourg) S.A. was implemented on December 23, Important information relating to the forthcoming change of the Central Administration: Valuation Day For harmonization purpose, a Valuation Day will be defined for all Funds exclusively with reference to a Luxembourg bank business day, except 24 December ( Bank Business Day ). The Net Asset Value for a share may be rounded down to three decimal places of a share. These changes will only become effective as of the Transfer Date, i.e. the date when The Bank of New York Mellon (Luxembourg) S.A. will become Central Administration (including Administrative, registrar and Transfer Agent) and Paying Agent. 37

40 Additional information to paid subscription fee, redemption fee and management fee SEB Strategy Fund - SEB Strategy Balanced ISIN-Code Fund name Management fee in % FI SEB Räntehedge Alpha 1.10 GB00B39R2T55 M&G Global Dividend Fund 0.75 GB00B5KKCX12 Henderson UK Absolute Return Fund 1.50 IE00B2NF8N44 Eaton Vance Emerald Funds - PPA Emerging Markets A 1.90 IE00B3DBRM10 JO Hambro Cap Glob Umbrella Fund 1.50 IE00B4NSJW32 Gam Star Keynes Quant 0.20 IE00B4NX0P80 JO Hambro Emerging Mkt R$ 1.50 IE00B4RVT281 Aspect Diversified Trends Fund 1.50 LU Vontobel Fund Belvista Commodity HH 1.65 LU Sabre All Weather 1.40 LU Schroeder GAIA CQS Credit-A 2.00 NO Skagen Global Aktiefond Class 1.00 NO Skagen Kon-Tiki 2.00 SE SEB Obligationsfond Flexibel 0.70 SE SEB Obligationsfond 0.70 SE Enter Select 1.70 During the reporting year / period, no subscription and redemption fee was paid. The accompanying notes are an integral part of these financial statements. 38

41 SEB Strategy Fund - SEB Strategy Defensive ISIN-Code Fund name Management fee in % DE Kanam Grundinvest Funds 0.82 DE SEB ImmoInvest 0.65 DE Credit Suisse Euroreal 0.65 DE HausInvest Europa 0.65 FI SEB Räntehedge Alpha 1.10 GB00B5KKCX12 Henderson UK Absolute Return Fund 1.50 IE00B3Q12S92 Aspect Diversified Fund 1.50 IE00B4NSJW32 Gam Star Keynes Quant 0.20 IE00B4NX0P80 JO Hambro Emerging Mkt R$ 1.50 IE00B4RVT281 Aspect Diversified Trends Fund 1.50 LU Vontobel Fund Belvista Commodity HH 1.65 LU Sabre All Weather 1.40 LU Schroeder GAIA CQS Credit-A 2.00 NO Skagen Kon-Tiki 2.00 SE SEB Obligationsfond Flexibel 0.70 SE SEB Obligationsfond 0.70 SE SEB Penningmarknadsfond 0.50 SE Enter Select 1.70 During the reporting year / period, no subscription and redemption fee was paid. The accompanying notes are an integral part of these financial statements. 39

42 SEB Strategy Fund - SEB Strategy Growth ISIN-Code Fund name Management fee in % GB00B39R2T55 M&G Global Dividend Fund 0.75 GB00B5KKCX12 Henderson UK Absolute Return Fund 1.50 IE00B1VPKX34 Nuveen Global All Cap 1.00 IE00B2NF8N44 Eaton Vance Emerald Funds - PPA Emerging Markets A 1.90 IE00B3DBRM10 JO Hambro Cap Glob Umbrella Fund 1.50 IE00B4NSJW32 Gam Star Keynes Quant 0.20 IE00B4NX0P80 JO Hambro Emerging Mkt R$ 1.50 IE00B4RVT281 Aspect Diversified Trends Fund 1.50 NO Skagen Global Aktiefond Class 1.00 NO Skagen Kon-Tiki 2.00 SE SEB Globalfond 1.50 SE SEB Obligationsfond 0.70 SE SEB Penningmarknadsfond 0.50 SE SEB Emerging Marketsfond 1.75 SE Enter Select 1.70 During the reporting year / period, no subscription and redemption fee was paid. The accompanying notes are an integral part of these financial statements. 40

43 SEB Strategy Fund - SEB Strategy Opportunity ISIN-Code Fund name Management fee in % GB00B39R2T55 M&G Global Dividend Fund 0.75 GB00B5KKCX12 Henderson UK Absolute Return Fund 1.50 IE00B1VPKX34 Nuveen Global All Cap 1.00 IE00B2NF8N44 Eaton Vance Emerald Funds - PPA Emerging Markets A 1.90 IE00B3DBRM10 JO Hambro Cap Glob Umbrella Fund 1.50 IE00B4NSJW32 Gam Star Keynes Quant 0.20 IE00B4NX0P80 JO Hambro Emerging Mkt R$ 1.50 IE00B4RVT281 Aspect Diversified Trends Fund 1.50 LU Vontobel Fund Belvista Commodity HH 1.65 LU Sabre All Weather 1.40 LU Schroeder GAIA CQS Credit-A 2.00 NO Skagen Global Aktiefond Class 1.00 NO Skagen Kon-Tiki 2.00 SE SEB Obligationsfond Flexibel 0.70 SE SEB Obligationsfond 0.70 SE Enter Select 1.70 During the reporting year / period, no subscription and redemption fee was paid. The accompanying notes are an integral part of these financial statements. 41

44 Audit Report To the Unitholders of SEB Strategy Fund té Ü~îÉ ~ìçáíéç íüé ~ÅÅçãé~åóáåÖ Ñáå~åÅá~ä ëí~íéãéåíë çñpb_píê~íéöócìåç~åççñé~åüçñáíëpìäjcìåçëiïüáåü ÅçãéêáëÉíÜÉÅçãÄáåÉÇëí~íÉãÉåíçÑåÉí~ëëÉíë~åÇíÜÉëÅÜÉÇìäÉçÑáåîÉëíãÉåíë~åÇçíÜÉêåÉí~ëëÉíë~ë~ílÅíçÄÉêPNIOMNN ~åçíüéåçãäáåéçëí~íéãéåíçñçééê~íáçåë~åçíüéåçãäáåéçëí~íéãéåíçñåü~åöéëáååéí~ëëéíëñçêíüéóé~êíüéåéåçéçi ~åç~ëìãã~êóçñëáöåáñáå~åí~ååçìåíáåöéçäáåáéë~åççíüéêéñéä~å~íçêóåçíéëíçíüéñáå~ååá~äëí~íéãéåíëk oéëéçåëáäáäáíóçñíüé_ç~êççñaáêéåíçêëçñíüéj~å~öéãéåí`çãé~åóñçêíüéñáå~ååá~äëí~íéãéåíë qüé_ç~êççñaáêéåíçêëçñíüéj~å~öéãéåí`çãé~åóáëêéëéçåëáääé Ñçê íüé éêéé~ê~íáçå ~åç Ñ~áê éêéëéåí~íáçå çñ íüéëé Ñáå~åÅá~äëí~íÉãÉåíëáå~ÅÅçêÇ~åÅÉïáíÜiìñÉãÄçìêÖäÉÖ~ä~åÇêÉÖìä~íçêóêÉèìáêÉãÉåíëêÉä~íáåÖíçíÜÉéêÉé~ê~íáçåçÑíÜÉ Ñáå~åÅá~äëí~íÉãÉåíë~åÇÑçêëìÅÜáåíÉêå~äÅçåíêçä~ëíÜÉ_ç~êÇçÑaáêÉÅíçêëçÑíÜÉj~å~ÖÉãÉåí`çãé~åóÇÉíÉêãáåÉëáë åéåéëë~êóíçéå~ääéíüééêéé~ê~íáçåçññáå~ååá~äëí~íéãéåíëíü~í~êéñêééñêçãã~íéêá~äãáëëí~íéãéåíiïüéíüéêçìéíçñê~ìç çêéêêçêk oéëéçåëáäáäáíóçñíüé o îáëéìêçûéåíêééêáëéë~öê Ò lìêêéëéçåëáäáäáíóáëíçéñéêéëë~åçéáåáçåçåíüéëéñáå~ååá~äëí~íéãéåíëä~ëéççåçìê~ìçáíktéåçåçìåíéççìê~ìçáíáå ~ÅÅçêÇ~åÅÉïáíÜfåíÉêå~íáçå~äpí~åÇ~êÇëçå^ìÇáíáåÖ~ë~ÇçéíÉÇÑçêiìñÉãÄçìêÖÄóíÜÉ `çããáëëáçåçépìêîéáää~ååéçì péåíéìêcáå~ååáéêòkqüçëéëí~åç~êçëêéèìáêéíü~íïéåçãéäóïáíüéíüáå~äêéèìáêéãéåíë~åçéä~å~åçééêñçêãíüé~ìçáííç çäí~áåêé~ëçå~ääé~ëëìê~ååé~äçìíïüéíüéêíüéñáå~ååá~äëí~íéãéåíë~êéñêééñêçãã~íéêá~äãáëëí~íéãéåík ^å~ìçáíáåîçäîéëééêñçêãáåöéêçåéçìêéëíççäí~áå~ìçáíéîáçéååé~äçìííüé~ãçìåíë~åççáëåäçëìêéëáåíüéñáå~ååá~ä ëí~íéãéåíëk qüé éêçåéçìêéë ëéäéåíéç ÇÉéÉåÇ çå íüé àìçöãéåí çñ íüé o îáëéìê ÇÛÉåíêÉéêáëÉë ~Öê ÒI áååäìçáåö íüé ~ëëéëëãéåíçñíüéêáëâëçñã~íéêá~äãáëëí~íéãéåíçñíüéñáå~ååá~äëí~íéãéåíëiïüéíüéêçìéíçñê~ìççêéêêçêkfåã~âáåöíüçëé êáëâ~ëëéëëãéåíëiíüé o îáëéìêçûéåíêééêáëéë~öê ÒÅçåëáÇÉêëáåíÉêå~äÅçåíêçäêÉäÉî~åííçíÜÉÉåíáíóÛëéêÉé~ê~íáçå~åÇÑ~áê éêéëéåí~íáçåçñíüéñáå~ååá~äëí~íéãéåíëáåçêçéêíççéëáöå~ìçáíéêçåéçìêéëíü~í~êé~ééêçéêá~íéáåíüéåáêåìãëí~ååéëiäìí åçíñçêíüééìêéçëéçñéñéêéëëáåö~åçéáåáçåçåíüééññéåíáîéåéëëçñíüééåíáíóûëáåíéêå~äåçåíêçäk^å~ìçáí~äëçáååäìçéë Éî~äì~íáåÖíÜÉ~ééêçéêá~íÉåÉëëçÑ~ÅÅçìåíáåÖéçäáÅáÉëìëÉÇ~åÇíÜÉêÉ~ëçå~ÄäÉåÉëëçÑ~ÅÅçìåíáåÖÉëíáã~íÉëã~ÇÉÄóíÜÉ _ç~êççñaáêéåíçêëçñíüéj~å~öéãéåí`çãé~åói~ëïéää~ëéî~äì~íáåöíüéçîéê~ääéêéëéåí~íáçåçñíüéñáå~ååá~äëí~íéãéåíëk téäéäáéîéíü~ííüé~ìçáíéîáçéååéïéü~îéçäí~áåéçáëëìññáåáéåí~åç~ééêçéêá~íéíçéêçîáçé~ä~ëáëñçêçìê~ìçáíçéáåáçåk mêáåéï~íéêüçìëé`ççééêëpk êkäkiqmmoçìíéç bëåüi_kmknqqpiijnmnqiìñéãäçìêö qwhproqvququnicwhproqvququovmmiïïïkéïåkäì `~ÄáåÉíÇÉê îáëáçå~öê KbñéÉêíJÅçãéí~ÄäÉE~ìíçêáë~íáçåÖçìîÉêåÉãÉåí~äÉåøMMNOPSVPF ok`kpkiìñéãäçìêö_srqttj`~éáí~äëçåá~äbrornsvrmjqs^irntrsqqqt 42