Swiss Life Funds (LUX)

Transcription

1 Bond Global Corporates Bond Inflation Protection Equity Euro Zone Equity Europe Equity Global Diversified Equity Global exeurope Equity Global High Dividend Equity Global Sustainability (liquidated as at April 13, 2012) Dynamic Allocation Dynamic Indexing Income () Dynamic Indexing Balanced () Dynamic Indexing Growth () Maturity Guaranty Portfolio Global Income Prudent () Portfolio Euro Zone Balanced () Portfolio Global Balanced Harmony () Portfolio Global Growth () Portfolio Global Growth Vitality () Luxembourg B Audited annual report as at August 31, 2012 for Switzerland No subscription can be received on the basis of this report. Subscriptions are only valid if made on the basis of the current prospectus supplemented by the last available annual report of the SICAV and the latest semiannual report if published after such annual report. Sales Restrictions : Shares of this Company may not be offered, sold or distributed within the United States of America. 1

2 Table of contents Page(s) Management and Administration 1 General information on the Company 3 Information to the Shareholders 5 Report of the Board of Directors 8 Audit report 13 Statement of Net Assets as at August 31, Statement of Operations and Changes in Net Assets 21 for the year ended August 31, 2012 Statistical information 35 Performance 45 Notes to the financial statements as at August 31, Bond Global Corporates Schedule of Investments as at August 31, Geographical classification of investments 70 Economic classification of investments 71 Bond Inflation Protection Schedule of Investments as at August 31, Geographical classification of investments 73 Economic classification of investments 74 Equity Euro Zone Schedule of Investments as at August 31, Geographical classification of investments 83 Economic classification of investments 84 Equity Europe Schedule of Investments as at August 31, Geographical classification of investments 88 Economic classification of investments 89 Equity Global Diversified Schedule of Investments as at August 31, Geographical classification of investments 92 Economic classification of investments 93 Equity Global exeurope Schedule of Investments as at August 31, Geographical classification of investments 96 Economic classification of investments 97

3 Table of contents (cont.) Equity Global High Dividend Schedule of Investments as at August 31, Geographical classification of investments 103 Economic classification of investments 104 Dynamic Allocation Schedule of Investments as at August 31, Geographical classification of investments 106 Economic classification of investments 107 Dynamic Indexing Income () Schedule of Investments as at August 31, Geographical classification of investments 109 Economic classification of investments 110 Dynamic Indexing Balanced () Schedule of Investments as at August 31, Geographical classification of investments 112 Economic classification of investments 113 Dynamic Indexing Growth () Schedule of Investments as at August 31, Geographical classification of investments 115 Economic classification of investments 116 Maturity Guaranty Schedule of Investments as at August 31, Geographical classification of investments 118 Economic classification of investments 119 Portfolio Global Income Prudent () Schedule of Investments as at August 31, Geographical classification of investments 122 Economic classification of investments 123 Portfolio Euro Zone Balanced () Schedule of Investments as at August 31, Geographical classification of investments 128 Economic classification of investments 129 Portfolio Global Balanced Harmony () Schedule of Investments as at August 31, Geographical classification of investments 132 Economic classification of investments 133

4 Table of contents (cont.) Portfolio Global Growth () Schedule of Investments as at August 31, Geographical classification of investments 139 Economic classification of investments 140 Portfolio Global Growth Vitality () Schedule of Investments as at August 31, Geographical classification of investments 143 Economic classification of investments 144

5 Management and Administration Board of Directors Chairman of the Board of Directors: Marcel Finker Directors: JeanPierre Grimaud Member of Executive Board, Asset Management Ltd, Zurich, Switzerland Chief Executive Officer, Asset Management (France) SA, Paris, France Dagmar Maroni Director, Asset Management Ltd, Zurich, Switzerland Registered Office 16, boulevard Royal, L2449 Luxembourg Management Company Management Company, 16, boulevard Royal, L2449 Luxembourg Custodian and Paying Agent, From April 30, 2012 Socété Générale Bank & Trust S.A., 11, avenue Emilie Reuter, L2420 Luxembourg Until April 30, 2012 UBS Fund Services (Luxembourg) S.A., 33 A, avenue J.F. Kennedy, L1855 Luxembourg Administrator, Corporate and Domiciliary Agent From April 30, 2012 Société Générale Securities Services Luxembourg S.A., 16, boulevard Royal, L2449 Luxembourg Until April 30, 2012 UBS Fund Services (Luxembourg) S.A., 33 A, avenue J.F. Kennedy, L1855 Luxembourg Registrar Agent From April 30, 2012 European Fund Services S.A., 18, boulevard Royal, L2449 Luxembourg Until April 30, 2012 UBS Fund Services (Luxembourg) S.A., 33 A, avenue J.F. Kennedy, L1855 Luxembourg Portfolio Management Asset Management AG, General GuisanQuai 40, CH8002 Zurich Asset Management (France), 86, boulevard Haussmann, F75008 Paris 1

6 Management and Administration (cont.) Auditor PricewaterhouseCoopers, Société coopérative, 400 route d'esch, L1014 Luxembourg Legal Advisors Arendt & Medernach, Avocats à la Cour, 14, rue Erasme, B.P. 39, L2010 Luxembourg Representative in Switzerland Asset Management AG, General GuisanQuai 40, CH8002 Zurich Paying Agent in Switzerland UBS AG, Bahnhofstrasse 45, CH8098 Zurich Information Agent in Germany Partner Service und Finanzvermittlungs GmbH, Berliner Straße 85, D80805 Munich Paying Agent in Germany WestLB AG, Herzogstrasse 15, D40217 Düsseldorf Central Agent in France Banque, 7, place Vendôme, F75041 Paris Cedex 01 The sales prospectus and the KIID (Key Investor Information), management regulations, annual and semiannual reports as well as the portfolio movements of the Company mentioned in this publication are available free of charge at the Swiss Representative and at the registered office of the Company. 2

7 General information on the Company is an openend investment company and was founded on April 8, 1999 for an unlimited period on the initiative of Ltd, with its registered office in Zurich. The Company is registered in Luxembourg as an undertaking for collective investment in transferable securities (UCITS, or OPCVM Organisme de Placement Collectif en Valeurs Mobilières). The Company is listed on the official list of collective investment undertakings, in accordance with the Law of December 17, 2010 and the law of August 10, 1915 relating to commercial companies. In particular, Part I of the Law of December 17, 2010 as defined by the UCITS Directive, is applicable. The Company's Articles were published for the first time on May 14, 1999 in the Mémorial after being lodged with the Registrar of the District Court of, and in, Luxembourg, where they may be consulted and where copies may be obtained against payment of the Registrar's fee. The Company is entered in the Luxembourg Register of Companies under number B The Company is organised in the form of an umbrella fund. The Articles provide that the Company may offer separate Classes of Shares each representing interests in a SubFund comprised of a distinct portfolio of investments. Additional SubFunds may, with the prior approval of the Regulatory Authority, be created by the Directors. As at August 31, 2012 seventeen SubFunds are available to investors: Bond Global Corporates Bond Inflation Protection Equity Euro Zone Equity Europe Equity Global Diversified Equity Global exeurope Equity Global High Dividend Dynamic Allocation Dynamic Indexing Income () Dynamic Indexing Balanced () Dynamic Indexing Growth () Maturity Guaranty Portfolio Global Income Prudent () Portfolio Euro Zone Balanced () Portfolio Global Balanced Harmony () Portfolio Global Growth () Portfolio Global Growth Vitality () 3

8 General information on the Company (cont.) In all Classes, Shares can be either : distribution shares, which basically entitle to an annual dividend and which reduce their Net Asset Value by an amount corresponding to the distribution made ( Distribution Shares ), capitalisation shares which do not entitle to a dividend and whose Net Asset Value is not changed on the dividend payment date, the percentage of the total Net Asset Value attributable to the capitalisation shares being increased accordingly ( Capitalisation Shares ). The Directors may decide on the issuance of further Classes of Shares. The issue of further Classes of Shares must be notified to the Regulatory Authority. Each Class may have a specific sales and redemption charge structure, a specific management or advisory fee structure, different distribution, shareholders servicing or other fees or different types of targeted investors. By the circular resolution from April 30, 2012 the Board of Directors decided to terminate the I share class in the Portfolio Global Balanced Harmony since the share class has been empty for a while and is no longer needed. As at April 13, 2012, the subfund Equity Global Sustainability was liquidated. 4

9 Information to the Shareholders All general meetings of the Shareholders are held at the registered office of the Company in Luxembourg or at any other place as may be specified in the notice of the meeting. Notice of any general meeting of Shareholders shall be mailed to each registered Shareholder at their addresses listed in the share register at least eight days prior to the meeting and shall be published to the extent required by Luxembourg law in the Mémorial and in any Luxembourg and other newspaper(s) that the Directors may determine. The annual general meeting of shareholders will take place on the second Thursday of the month of December at a.m. at the registered office of the Company or at any other place in the GrandDuchy of Luxembourg as may be specified in the notice of the meeting, and, if such day is not a Business Day, on the immediately following Business Day. The notice will be published in accordance with Luxembourg law and shall specify the venue and time of the meeting and the business to be transacted at the meeting. The financial year of the Company is twelve months, ending on August 31 in each year. The annual report containing the audited accounts of the Company as well as the unaudited semiannual report of the Company and the SubFunds for each financial year will be available to a Shareholder within four months and two months respectively, of the end of the relevant period to which they relate. A proxy may attend on behalf of any Shareholder. The requirements for quorum and majorities at all general meetings are set out in the Articles. Each Share gives the holder one vote in relation to any matters relating to the Company which are submitted to Shareholders for a vote by poll. All Shares of each Class have equal voting rights. The Total Expense Ratio (TER) and the unaudited Ongoing Charges (OGC) for the period from September 1, 2011 to August 31, 2012 are the following. This ratio was calculated in accordance with the Swiss Funds Association s (SFA) Guidelines on the calculation and disclosure of the TER and PTR and expresses the sum of all costs and commissions charged on an ongoing basis to the net assets (operating expenses) taken retrospectively as a percentage of the net assets. SubFunds Share Class Currency TER OGC Bond Global Corporates Class R Cap 1.12% 1.16% Bond Global Corporates Class R Cap 1.17% 1.21% Bond Global Corporates Class Q Cap 0.62% 0.66% Bond Inflation Protection Class R Cap 1.18% 1.17% Performance fees 0.00% Bond Inflation Protection Class I Cap 0.68% 0.64% Performance fees 0.00% Equity Euro Zone Class R Cap 1.69% 1.73% Equity Europe Class I Cap 1.19% 1.20% Equity Europe Class R Cap 2.18% 2.18% Equity Global Diversified Class I Cap 1.13% 1.71% Equity Global Diversified Class R Cap 2.09% 2.67% 5

10 Information to the Shareholders (cont.) SubFunds Share Class Currency TER OGC Equity Global exeurope Class I Cap 1.40% 2.05% Equity Global exeurope Class R Cap 2.26% 2.91% Equity Global High Dividend Class I Cap 0.96% 0.97% Equity Global High Dividend Class R Dist 1.93% 1.94% Equity Global High Dividend Class R Cap 1.91% 1.92% Equity Global High Dividend Class R Dist 1.81% 1.81% Dynamic Allocation Class R Cap 1.71% 2.13% Dynamic Indexing Income () Class R Cap 2.00% 2.26% Dynamic Indexing Balanced () Class R Cap 2.02% 2.30% Dynamic Indexing Growth () Class R Cap 2.20% 2.50% Maturity Guaranty Class R Cap 0.84% 0.84% Portfolio Global Income Prudent () Class R Cap 1.22% 1.61% Portfolio Euro Zone Balanced () Class R Cap 1.72% 1.73% Portfolio Global Balanced Harmony () Class R Cap 1.66% 2.06% Portfolio Global Growth () Class R.Cap 1.66% 1.82% Portfolio Global Growth Vitality () Class I Cap 1.13% 1.57% Portfolio Global Growth Vitality () Class R Cap 2.09% 2.54% The list of changes in the portfolio is available at the registered office of the Company and foreign representatives. 6

11 Information to the Shareholders (cont.) The Portfolio Turnover Rate (PTR) is as follows : SubFunds 01/09/11 31/08/12 Bond Global Corporates 82% Bond Inflation Protection 94% Equity Euro Zone 379% Equity Europe 755% Equity Global Diversified 74% Equity Global exeurope 3% Equity Global High Dividend 359% Equity Global Sustainability* 171% Dynamic Allocation 315% Dynamic Indexing Income () 62% Dynamic Indexing Balanced () 60% Dynamic Indexing Growth () 62% Maturity Guaranty % Portfolio Global Income Prudent () 18% Portfolio Euro Zone Balanced () 57% Portfolio Global Balanced Harmony () 53% Portfolio Global Growth () 110% Portfolio Global Growth Vitality () 105% * Liquidated on April 13,

12 Report of the Board of Directors The global economy may still be scarred by the debt crisis in the eurozone and its impact on government financing, yet certain new trends can be observed. In Germany, China and the US we can recognise the following developments: In Germany, a leading exporter and model economy within the eurozone, durable goods orders stagnated globally during the period under review. Although orders for durable goods from the eurozone fell sharply, there was a substantial increase in orders from the rest of the world. In China, the focus seems to be on an economic stimulus package and measures to support domestic growth. This is aimed at compensating for low exports by encouraging the consumerist middle classes who are enjoying the first rise in their purchasing power for ten years. In the US, unemployment is slowly but surely starting to fall from the peak figures recorded in 2009, with the creation of four million new jobs in the private sector since This is an important factor since the structural elasticity of the US economy makes economic indicators such as the unemployment rate even better predictors of economic trends. An improvement in these indicators suggests then a positive growth rate for the US economy during the coming months. This explains the good overall performance of the US equity market this year. The question, which will doubtless be asked in the runup to the presidential election, is the following: What fiscal measures should be taken to increase this rate of growth and also help drive other economies? Bond Global Corporates Risk aversion has brought credit spreads to historical levels in November last year, but following the two ECB s long term refinancing operations in December and February, spreads across Europe have rallied. Although peripheral Europe sovereign and banking concerns and the Greek restructuring have contributed negatively to market sentiment during the course of the year, spreads found ground to rally, at least in core European countries. Financial senior debt and high beta credits outperformed the market. Subordinated financial debt benefited from the surge in liquidity but in a lesser fashion. Hence overweighing financial sub debt has weighed negatively on the performance of Bond Global Corporates which has increased by 5.12% for the Q unit class in, 4.12% for the R unit class in and 4.60 for the R unit class in. Although one could expect the rally in credit markets to carry on for the next few months, visibility remains poor. Europe has yet to address its major structural flaws and poor economic data releases severely constrain governments room for manoeuvre. Any negative newsflow could spark a surge in risk premia and push back risky assets onto a negative trend. Bond Inflation Protection Developments in the situation of peripheral Europe sovereigns, new budget limitations in core European countries, and limited prospects for a solution in the short run have weighed on conditions in breakeven markets over the past weeks. Although liquidity has bettered since year half which has helped improve market sentiment and pushed breakeven levels above recent lows, linkers still seem out of favour. Sovereign bonds issued by countries in peripheral Europe were again poor performers. These conditions weighed on the performance of Bond Inflation Protection which stands at 0.77%. Although it seems reasonable to keep a constructive outlook for breakeven markets, visibility remains poor. Europe has yet to address its major structural flaws and poor economic data releases severely constrain governments room for manoeuvre in a context where deflationary forces are still at work. 8

13 Report of the Board of Directors (cont.) Equity Euro Zone The annual performance of Equity Euro Zone as at August 31, 2012 was 3.14%. The topdown strategy introduced during the financial year controls the portfolio risk (measured by its volatility) by allocating a target weighting to each sector of the portfolio, which is calculated on the basis of its specific contribution to the fund's overall risk. Equity Europe The annual performance of Equity Europe as at August 31, 2012 was 1.69% for the I unit class in and 0.70% for the R unit class in. During the first half of the financial year the fund maintained a cautious attitude with respect to allocations in the consumer durables and materials sectors, favouring instead the consumer discretionary, energy and utilities sectors. From January 2012, the portfolio pursued a more defensive strategy, focusing on sectors such as health care, consumer staples and telecommunications and reducing its holdings in the financial, materials and energy sectors. This change adversely impacted the portfolio in the first half of the year. The currency hedging used until June 30, 2012 also had a negative impact on the portfolio. In the coming financial year, the portfolio will continue its strategies for selecting securities, while controlling its risk level. Equity Global Diversified The annual performance of Equity Global Diversified as at August 31, 2012 was 6.38% for the R unit class and 7.39% for the I unit class. During the financial year , the fund managers maintained a strategic allocation in the emerging markets in order to lower the overall volatility of the portfolio. The traditional allocation in large areas of the developed world continued to be at levels close to the MSCI World Ex Europe index. Equity Global exeurope The annual performance of Equity Global exeurope as at August 31, 2012 was 7.66% for the R unit class and 9.93% for the I unit class. During the financial year , the fund managers maintained a strategic allocation in the emerging markets in order to lower the overall volatility of the portfolio. The traditional allocation in large areas of the developed world continued to be at levels close to the MSCI World Ex Europe index. Equity Global High Dividend The annual performance of Equity Global High Dividend as at 31 August 2012 was 0.28% for the R unit class in (Distribution), 3.86% for the R unit class in (Capitalisation), 3.32% for the R unit class in and 4.84% for the I unit class. In the first half of the financial year the portfolio performed well due to the strong contribution made by high dividend securities. In contrast to 2011, these securities have little performed and market players have tended not to favour them. In addition, euro hedging has had a negative impact on the portfolio since the start of the European debt crisis. The fund will continue to invest in high dividend securities, with an emphasis on lower risk securities. 9

14 Report of the Board of Directors (cont.) Dynamic Allocation The fund showed price gains of 5.47% during the reporting period. The use of hedging transactions kept volatility low, as reflected in the attractive risk/return ratio of 0.71%. The underweighting of bonds in favour of money market investments, as well as currency hedging had a negative impact on the overall result. In the current environment we have a preference for emerging markets but will continue to enter into hedging transactions for risk management purposes. We also favour individual raw material sectors since they benefit disproportionately from stimulus packages. We see little potential for government bonds and continue to avoid interestbearing instruments from structurally weak countries in southern Europe. Dynamic Indexing Income () The Dynamic Indexing Income () fund showed price gains of 4.40% in terms during the reporting period. Eurozone equities were underweighted in favour of US equities during the reporting period. The overweighting of equities against bonds had a positive impact on fund performance. Dynamic Indexing Balanced () The Dynamic Indexing Balanced () fund showed price gains of 5.98% in terms during the reporting period. Eurozone equities were underweighted in favour of US equities during the reporting period. The overweighting of equities against bonds had a positive impact on fund performance. Dynamic Indexing Growth () The Dynamic Indexing Growth () fund showed price gains of 7.06% in terms during the reporting period. Eurozone equities were underweighted in favour of US equities during the reporting period. The overweighting of equities against bonds had a positive impact on fund performance. Maturity Guaranty The Maturity Guaranty fund showed price gains of 5.05% in terms during the reporting period. The fund invests exclusively in bonds with a high credit rating and contains a capital guarantee on maturity (as described in the prospectus). Portfolio Global Income Prudent () The annual performance of Portfolio Global Income Prudent () as at August 31, 2012 was 6.70%. The quantitative allocation method between equities and fixed income introduced in June 2011 was applied through the financial year. This method sets target levels for the various underlying equities and interest rates on the basis of their respective volatilities for the purposes of better controlling the overall portfolio risk. The results have been satisfactory and this method will therefore continue to be applied during the financial year. 10

15 Report of the Board of Directors (cont.) Portfolio Euro Zone Balanced () The annual performance of Portfolio Euro Zone Balanced () as at August 31, 2012 was 8.63%. Performance is largely attributable to the bond ratio since the defensive equity exposure made little contribution to overall performance. The portfolio allocation between equities and fixed income will remain neutral to slightly overweight in equities in the coming months. Portfolio Global Balanced Harmony () The annual performance of Portfolio Global Balanced Harmony () as at August 31, 2012 was 8.40%. The quantitative allocation method between equities and fixed income introduced in June 2011 was applied through the financial year. This method sets target levels for the various underlying equities and interest rates on the basis of their respective volatilities for the purposes of better controlling the overall portfolio risk. The results have been satisfactory and this method will therefore continue to be applied during the financial year. Funds (Lux) Portfolio Global Growth () Over the last 12 months the fund achieved capital growth of 14.25%. The underweighting of bonds from the structurally weak countries in southern Europe in favour of corporate bonds had a positive impact. The greatest contribution to performance was made by equities which benefited from the general optimism on the markets. The overweighting of emerging markets adversely impacted the overall result. In the current environment we continue to see opportunities for high interestbearing investments. We will retain the overweighting of emerging economies since the growth opportunities and debt ratios of these regions are favourable factors in the long term. Portfolio Global Growth Vitality () The performance of Portfolio Global Growth Vitality () as at August 31, 2012 was 9.57%. The quantitative allocation method between equities and fixed income introduced in June 2011 was applied through the financial year. This method sets target levels for the various underlying equities and interest rates on the basis of their respective volatilities for the purposes of better controlling the overall portfolio risk. The results have been satisfactory and this method will therefore continue to be applied during the financial year. 11

16 Report of the Board of Directors (cont.) Equity Global Sustainability In the reporting period until 13 April 2012 the Equity Global Sustainability fund posted performance of 14.72% for the R unit class in, 15.37% for the I unit class in and 18.81% for the R unit class in. Performance of the underlying target funds was in line with global equity markets. A comparably defensive positioning in the Asian region (ex Japan) had a positive impact in view of the relative weaknesses. As a result of the underperformance of various globally oriented funds, increased investment was made from the beginning of the year in indextracking products. This enabled the fund to benefit as expected from the current upswing. We continue to focus on excellent quality sustainability investment funds. This SubFund was liquidated on April 13, The Board of Directors Luxembourg, November 20, 2012 Note: The figures stated in this report are historical and not necessarily indicative of future performance. 12

17 Audit report To the Shareholders of SWISS LIFE FUNDS (LUX) We have audited the accompanying financial statements of SWISS LIFE FUNDS (LUX) (the SICAV ) and of each of its subfunds, which comprise the statement of net assets and the schedule of investments as at August 31, 2012 and the statement of operations and changes in net assets for the year then ended, and a summary of significant accounting policies and other explanatory notes to the financial statements. Responsibility of the Board of Directors of the SICAV for the financial statements The Board of Directors of the SICAV is responsible for the preparation and fair presentation of these financial statements in accordance with Luxembourg legal and regulatory requirements relating to the preparation of the financial statements and for such internal control as the Board of Directors of the SICAV determines is necessary to enable the preparation of financial statements that are free from material misstatement, whether due to fraud or error. Responsibility of the Réviseur d entreprises agréé Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit in accordance with International Standards on Auditing as adopted for Luxembourg by the Commission de Surveillance du Secteur Financier. Those standards require that we comply with ethical requirements and plan and perform the audit to obtain reasonable assurance about whether the financial statements are free from material misstatement. An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on the judgment of the Réviseur d entreprises agréé, including the assessment of the risks of material misstatement of the financial statements, whether due to fraud or error. In making those risk assessments, the Réviseur d entreprises agréé considers internal control relevant to the entity s preparation and fair presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the entity s internal control. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of accounting estimates made by the Board of Directors of the SICAV, as well as evaluating the overall presentation of the financial statements. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion. PricewaterhouseCoopers, Société coopérative, 400, Route d Esch, B.P. 1443, L1014 Luxembourg T: , F: , Cabinet de révision agrée. Expertcomptable (autorisation gouvernementale n ) R.C.S Luxembourg B TVA LU

18 Opinion In our opinion, the financial statements give a true and fair view of the financial position of SWISS LIFE FUNDS (LUX) and of each of its subfunds as of August 31, 2012, and of the results of their operations and changes in their net assets for the year then ended in accordance with Luxembourg legal and regulatory requirements relating to the preparation of the financial statements. Other matters Supplementary information included in the annual report has been reviewed in the context of our mandate but has not been subject to specific audit procedures carried out in accordance with the standards described above. Consequently, we express no opinion on such information. However, we have no observation to make concerning such information in the context of the financial statements taken as a whole. PricewaterhouseCoopers, Société coopérative Luxembourg, November 29, 2012 Represented by Marc Schernberg 14

19 Statement of Net Assets as at August 31, 2012 (expressed in the SubFund s currency) SubFunds Bond Global Corporates Bond Inflation Protection Equity Euro Zone Notes Assets Securities portfolio at cost Net unrealised profit/(loss) ( ) Securities portfolio at market value Cash at bank Receivable for Fund shares issued Receivable for securities sold 2.8 Receivable on spot exchange Dividends receivable, net Interest receivable on bonds Options bought at market value Unrealised appreciation on forward foreign exchange contracts Unrealised appreciation on financial future contracts Other assets Liabilities Bank Overdraft Payable for Fund shares redeemed Payable for securities purchased Payable on spot exchange Management fees payable Custodian fees payable Taxe d abonnement payable Administration fees payable Professional fees payable Interest and bank charges payable Interest payable on swaps Options written at market value Swaps at market value Unrealised depreciation on forward foreign exchange contracts Unrealised depreciation on financial future contracts Other liabilities Total Net Assets The accompanying notes form an integral part of these financial statements. 15

20 Statement of Net Assets as at August 31, 2012 (cont.) (expressed in the SubFund s currency) SubFunds Equity Europe Equity Global Diversified Equity Global exeurope Notes Assets Securities portfolio at cost Net unrealised profit/(loss) Securities portfolio at market value Cash at bank Receivable for Fund shares issued Receivable for securities sold 2.8 Receivable on spot exchange Dividends receivable, net Interest receivable on bonds Options bought at market value Unrealised appreciation on forward foreign exchange contracts Unrealised appreciation on financial future contracts Other assets Liabilities Bank Overdraft Payable for Fund shares redeemed 90 Payable for securities purchased 2.8 Payable on spot exchange Management fees payable Custodian fees payable Taxe d abonnement payable Administration fees payable Professional fees payable Interest and bank charges payable Interest payable on swaps Options written at market value 9 Swaps at market value Unrealised depreciation on forward foreign exchange contracts Unrealised depreciation on financial future contracts Other liabilities Total Net Assets The accompanying notes form an integral part of these financial statements

21 Statement of Net Assets as at August 31, 2012 (cont.) (expressed in the SubFund s currency) SubFunds Equity Global High Dividend Dynamic Allocation Dynamic Indexing Income () Notes Assets Securities portfolio at cost Net unrealised profit/(loss) Securities portfolio at market value Cash at bank Receivable for Fund shares issued 702 Receivable for securities sold 2.8 Receivable on spot exchange Dividends receivable, net Interest receivable on bonds Options bought at market value Unrealised appreciation on forward foreign exchange contracts Unrealised appreciation on financial future contracts Other assets Liabilities Bank Overdraft Payable for Fund shares redeemed Payable for securities purchased 2.8 Payable on spot exchange Management fees payable Custodian fees payable Taxe d abonnement payable Administration fees payable Professional fees payable Interest and bank charges payable Interest payable on swaps Options written at market value Swaps at market value Unrealised depreciation on forward foreign exchange contracts Unrealised depreciation on financial future contracts 8 Other liabilities Total Net Assets The accompanying notes form an integral part of these financial statements

22 Statement of Net Assets as at August 31, 2012 (cont.) (expressed in the SubFund s currency) SubFunds Dynamic Indexing Balanced () Dynamic Indexing Maturity Growth () Guaranty Notes Assets Securities portfolio at cost Net unrealised profit/(loss) Securities portfolio at market value Cash at bank Receivable for Fund shares issued Receivable for securities sold 2.8 Receivable on spot exchange Dividends receivable, net Interest receivable on bonds Options bought at market value 9 Unrealised appreciation on forward foreign exchange contracts 7 Unrealised appreciation on financial future contracts Other assets Liabilities Bank Overdraft 15 Payable for Fund shares redeemed Payable for securities purchased 2.8 Payable on spot exchange Management fees payable Custodian fees payable Taxe d abonnement payable Administration fees payable Professional fees payable Interest and bank charges payable Interest payable on swaps Options written at market value 9 Swaps at market value Unrealised depreciation on forward foreign exchange contracts 11 7 Unrealised depreciation on financial future contracts 8 Other liabilities Total Net Assets The accompanying notes form an integral part of these financial statements

23 Statement of Net Assets as at August 31, 2012 (cont.) (expressed in the SubFund s currency) SubFunds Assets Securities portfolio at cost Net unrealised profit/(loss) Securities portfolio at market value Cash at bank Receivable for Fund shares issued Receivable for securities sold Receivable on spot exchange Dividends receivable, net Interest receivable on bonds Options bought at market value Unrealised appreciation on forward foreign exchange contracts Unrealised appreciation on financial future contracts Other assets Notes Portfolio Global Income Prudent () Portfolio Euro Zone Balanced () ( ) Portfolio Global Balanced Harmony () Liabilities Bank Overdraft Payable for Fund shares redeemed Payable for securities purchased Payable on spot exchange Management fees payable Custodian fees payable Taxe d abonnement payable Administration fees payable Professional fees payable Interest and bank charges payable Interest payable on swaps Options written at market value 9 Swaps at market value Unrealised depreciation on forward foreign exchange contracts Unrealised depreciation on financial future contracts Other liabilities Total Net Assets The accompanying notes form an integral part of these financial statements. 19

24 Statement of Net Assets as at August 31, 2012 (cont.) (expressed in the SubFund s currency) SubFunds Portfolio Global Growth () Portfolio Global Growth Vitality () Combined* Notes Assets Securities portfolio at cost Net unrealised profit/(loss) Securities portfolio at market value Cash at bank Receivable for Fund shares issued Receivable for securities sold Receivable on spot exchange Dividends receivable, net Interest receivable on bonds Options bought at market value Unrealised appreciation on forward foreign exchange contracts Unrealised appreciation on financial future contracts Other assets Liabilities Bank Overdraft Payable for Fund shares redeemed Payable for securities purchased Payable on spot exchange Management fees payable Custodian fees payable Taxe d abonnement payable Administration fees payable Professional fees payable Interest and bank charges payable Interest payable on swaps Options written at market value Swaps at market value Unrealised depreciation on forward foreign exchange contracts Unrealised depreciation on financial future contracts Other liabilities Total Net Assets * The consolidated accounts include SubFunds not authorised in Switzerland The accompanying notes form an integral part of these financial statements

25 Statement of Operations and Changes in Net Assets for the year ended August 31, 2012 (expressed in the SubFund s currency) SubFunds Bond Global Corporates Bond Inflation Protection Equity Euro Zone Notes Net assets at the beginning of the year Income Dividends, net Interest on Bonds, net Bank interest Interest on swaps Income on securities lending Other income Expenses Management fees Performance fees Custodian fees Taxe d abonnement Administration fees Liquidations fees Professional fees Interest and bank charges Interest on swaps Other expenses Net Investment Income/(Loss) The accompanying notes form an integral part of these financial statements. 21

26 Statement of Operations and Changes in Net Assets for the year ended August 31, 2012 (cont.) (expressed in the SubFund s currency) SubFunds Equity Europe Equity Global Diversified Equity Global exeurope Notes Net assets at the beginning of the year Income Dividends, net Interest on Bonds, net Bank interest Interest on swaps Income on securities lending Other income Expenses Management fees Performance fees Custodian fees Taxe d abonnement Administration fees Liquidations fees Professional fees Interest and bank charges Interest on swaps Other expenses Net Investment Income/(Loss) (32 453) (47 285) The accompanying notes form an integral part of these financial statements. 22

27 Statement of Operations and Changes in Net Assets for the year ended August 31, 2012 (cont.) (expressed in the SubFund s currency) SubFunds Equity Global High Dividend Equity Global Sustainability* Dynamic Allocation Notes Net assets at the beginning of the year Income Dividends, net Interest on Bonds, net Bank interest Interest on swaps Income on securities lending Other income Expenses Management fees Performance fees Custodian fees Taxe d abonnement Administration fees Liquidations fees Professional fees Interest and bank charges Interest on swaps Other expenses Net Investment Income/(Loss) ( ) (57 699) * Equity Global Sustainability s reference period is from 01/09/2012 to 13/04/2012 (liquidation date). The accompanying notes form an integral part of these financial statements. 23

28 Statement of Operations and Changes in Net Assets for the year ended August 31, 2012 (cont.) (expressed in the SubFund s currency) SubFunds Dynamic Indexing Income () Dynamic Indexing Balanced () Dynamic Indexing Growth () Notes Net assets at the beginning of the year Income Dividends, net Interest on Bonds, net Bank interest Interest on swaps Income on securities lending Other income Expenses Management fees Performance fees Custodian fees Taxe d abonnement Administration fees Liquidations fees Professional fees Interest and bank charges Interest on swaps Other expenses Net Investment Income/(Loss) ( ) ( ) ( ) The accompanying notes form an integral part of these financial statements. 24

29 Statement of Operations and Changes in Net Assets for the year ended August 31, 2012 (cont.) (expressed in the SubFund s currency) SubFunds Maturity Guaranty Portfolio Global Income Prudent () Portfolio Euro Zone Balanced () Notes Net assets at the beginning of the year Income Dividends, net Interest on Bonds, net Bank interest Interest on swaps Income on securities lending Other income Expenses Management fees Performance fees Custodian fees Taxe d abonnement Administration fees Liquidations fees Professional fees Interest and bank charges Interest on swaps Other expenses Net Investment Income/(Loss) ( ) The accompanying notes form an integral part of these financial statements. 25

30 Statement of Operations and Changes in Net Assets for the year ended August 31, 2012 (cont.) (expressed in the SubFund s currency) SubFunds Portfolio Global Balanced Harmony () Portfolio Global Growth () Portfolio Global Growth Vitality () Notes Net assets at the beginning of the year Income Dividends, net Interest on Bonds, net Bank interest Interest on swaps Income on securities lending Other income Expenses Management fees Performance fees Custodian fees Taxe d abonnement Administration fees Liquidations fees Professional fees Interest and bank charges Interest on swaps Other expenses Net Investment Income/(Loss) ( ) ( ) The accompanying notes form an integral part of these financial statements. 26

31 Statement of Operations and Changes in Net Assets for the year ended August 31, 2012 (cont.) (expressed in the SubFund s currency) SubFunds Net assets at the beginning of the year Income Dividends, net Interest on Bonds, net Bank interest Interest on swaps Income on securities lending Other income Notes 10 Combined** Expenses Management fees Performance fees Custodian fees Taxe d abonnement Administration fees Liquidations fees Professional fees Interest and bank charges Interest on swaps Other expenses Net Investment Income/(Loss) ** The consolidated accounts include SubFunds not authorised in Switzerland The accompanying notes form an integral part of these financial statements. 27

32 Statement of Operations and Changes in Net Assets for the year ended August 31, 2012 (expressed in the SubFund s currency) SubFunds Bond Global Corporates Bond Inflation Protection Equity Euro Zone Notes Net Investment Income/(Loss) Net realised gains / (losses) on securities sold currencies forward foreign exchange contracts options future contracts swaps ( ) (28 608) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) Net realised result for the year ( ) ( ) Change in net unrealised profit/(loss) on securities forward foreign exchange contracts options future contracts swaps ( ) (9 178) RESULT OF OPERATIONS ( ) Movements in capital Subscriptions Redemptions ( ) ( ) ( ) ( ) ( ) Dividend paid 14 Net assets at the end of the year ( ) The accompanying notes form an integral part of these financial statements. 28

33 Statement of Operations and Changes in Net Assets for the year ended August 31, 2012 (cont.) (expressed in the SubFund s currency) SubFunds Equity Europe Equity Global Diversified Equity Global exeurope Notes Net Investment Income/(Loss) (32 453) (47 285) Net realised gains / (losses) on securities sold ( ) currencies forward foreign exchange contracts ( ) ( ) ( ) options (50 234) future contracts (21 700) swaps ( ) ( ) Net realised result for the year ( ) ( ) Change in net unrealised profit/(loss) on securities ( ) forward foreign exchange contracts (32 618) (24 008) options future contracts (3 100) swaps RESULT OF OPERATIONS Movements in capital Subscriptions Redemptions (29 982) ( ) ( ) Dividend paid 14 Net assets at the end of the year ( ) The accompanying notes form an integral part of these financial statements. 29