Lazard/Wilmington Emerging Markets Sudan Free Portfolio Annual Report With Report of Independent Auditors December 31, 2016

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1 Lazard/Wilmington Emerging Markets Sudan Free Portfolio Annual Report With Report of Independent Auditors

2 Table of Contents Page Report of Independent Auditors 1 Portfolio of Investments 2-3 Statement of Assets and Liabilities 4 Statement of Operations 5 Statement of Changes in Net Assets 6 Financial Highlights 7 Notes to Financial Statements 8-13

3 Report of Independent Auditors To the Trustee of Lazard/Wilmington Emerging Markets Sudan Free Portfolio: We have audited the accompanying financial statements of Lazard/Wilmington Emerging Markets Sudan Free Portfolio ( the Portfolio ), which comprise the statement of assets and liabilities, including the portfolio of investments, as of, and the related statements of operations, of changes in net assets and the financial highlights for the year then ended. These financial statements and financial highlights are hereafter collectively referred to as "financial statements". Management s Responsibility for the Financial Statements Management is responsible for the preparation and fair presentation of the financial statements in accordance with accounting principles generally accepted in the United States of America; this includes the design, implementation and maintenance of internal control relevant to the preparation and fair presentation of financial statements that are free from material misstatement, whether due to fraud or error. Auditors Responsibility Our responsibility is to express an opinion on the financial statements based on our audit. We conducted our audit in accordance with auditing standards generally accepted in the United States of America. Those standards require that we 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 our judgment, including the assessment of the risks of material misstatement of the financial statements, whether due to fraud or error. In making those risk assessments, we consider internal control relevant to the Portfolio 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 Portfolio s internal control. Accordingly, we express no such opinion. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of significant accounting estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion. Opinion In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of Lazard/Wilmington Emerging Markets Sudan Free Portfolio as of, and the results of its operations, changes in its net assets and the financial highlights for the year then ended, in accordance with accounting principles generally accepted in the United States of America. March 31, 2017 PricewaterhouseCoopers LLP, 101 Seaport Boulevard, Suite 500, Boston, MA T: (617) , F: (617) , 1

4 Portfolio of Investments Description Shares Fair Value Common Stocks 95.3% Argentina 1.6% YPF SA Sponsored ADR 251,218 $ 4,145,097 Brazil 11.1% Ambev SA ADR 682,095 3,349,086 Banco do Brasil SA 969,158 8,364,411 BB Seguridade Participacoes SA 490,870 4,268,173 CCR SA 786,400 3,856,252 Cielo SA 646,529 5,540,202 Localiza Rent a Car SA 177,075 1,861,771 Natura Cosmeticos SA 162,300 1,147,923 28,387,818 China 15.8% AAC Technologies Holdings, Inc. 264,500 2,402,995 Baidu, Inc. Sponsored ADR 39,200 6,444,872 China Construction Bank Corp., Class H 15,717,600 12,100,596 China Mobile, Ltd. Sponsored ADR 123,070 6,452,560 China Shenhua Energy Co., Ltd., Class H 1,024,202 1,928,345 CNOOC, Ltd. 1,431,000 1,790,019 NetEase, Inc. ADR 31,680 6,821,971 Weichai Power Co., Ltd., Class H 1,633,423 2,515,065 40,456,423 Egypt 0.8% Commercial International Bank Egypt SAE GDR 582,567 2,126,370 Hong Kong 0.3% Huabao International Holdings, Ltd. 1,968, ,963 Hungary 2.0% OTP Bank Nyrt. 179,504 5,132,401 India 8.9% Axis Bank, Ltd. 627,576 4,163,805 Bajaj Auto, Ltd. 55,033 2,135,803 HCL Technologies, Ltd. 251,208 3,054,322 Hero MotoCorp, Ltd. 77,575 3,466,015 Punjab National Bank 1,414,634 2,401,147 Tata Consultancy Services, Ltd. 219,152 7,641,582 22,862,674 Indonesia 5.7% PT Astra International Tbk 5,395,900 3,314,238 PT Bank Mandiri (Persero) Tbk 5,085,097 4,368,900 PT Semen Indonesia (Persero) Tbk 2,222,900 1,513,832 PT Telekomunikasi Indonesia (Persero) Tbk Sponsored ADR 186,400 5,435,424 14,632,394 Description Shares Fair Value Malaysia 0.6% British American Tobacco Malaysia Berhad 161,100 $ 1,601,663 Mexico 3.2% America Movil SAB de CV, Class L Sponsored ADR 328,692 4,131,658 Grupo Mexico SAB de CV, Series B 810,311 2,200,346 Kimberly-Clark de Mexico SAB de CV, Series A 1,004,100 1,808,186 8,140,190 Pakistan 2.5% Habib Bank, Ltd. 1,016,900 2,652,465 Oil & Gas Development Co., Ltd. 818,378 1,297,644 Pakistan Petroleum, Ltd. 1,294,072 2,343,277 6,293,386 Philippines 0.8% PLDT, Inc. Sponsored ADR 70,800 1,950,540 Russia 10.1% ALROSA PAO 1,519,325 2,401,150 Gazprom PJSC Sponsored ADR 491,230 2,480,711 LUKOIL PJSC Sponsored ADR 95,497 5,357,382 Magnit PJSC Sponsored GDR 38,726 1,709,753 Mobile TeleSystems PJSC Sponsored ADR 417,775 3,805,930 Sberbank of Russia PJSC 3,572,939 10,082,509 25,837,435 South Africa 8.6% Bid Corp., Ltd. 11, ,099 Imperial Holdings, Ltd. 187,009 2,484,239 Life Healthcare Group Holdings, Ltd. 706,122 1,676,132 Nedbank Group, Ltd. 133,988 2,323,223 PPC, Ltd. 1,737, ,476 Sanlam, Ltd. 461,905 2,115,505 Shoprite Holdings, Ltd. 289,724 3,617,080 Standard Bank Group, Ltd. 225,482 2,491,446 The Bidvest Group, Ltd. 180,315 2,379,692 Vodacom Group, Ltd. 185,909 2,062,986 Woolworths Holdings, Ltd. 397,205 2,054,027 22,108,905 South Korea 12.8% Coway Co., Ltd. 34,064 2,490,356 Hanwha Life Insurance Co., Ltd. 361,941 1,956,843 Hyundai Mobis Co., Ltd. 17,693 3,867,323 KB Financial Group, Inc. 112,209 3,976,275 KT&G Corp. 16,105 1,346,750 Samsung Electronics Co., Ltd. 6,354 9,479,970 Shinhan Financial Group Co., Ltd. 150,526 5,639,428 The accompanying notes are an integral part of these financial statements. 2

5 Portfolio of Investments (concluded) Description Shares Fair Value SK Hynix, Inc. 108,508 $ 4,015,820 32,772,765 Taiwan 4.7% Hon Hai Precision Industry Co., Ltd. 773,478 2,020,753 Taiwan Semiconductor Manufacturing Co., Ltd. 1,767,158 9,951,881 11,972,634 Thailand 1.4% Kasikornbank Public Co. Ltd. 374,300 1,855,273 The Siam Cement Public Co. Ltd. 124,000 1,724,410 3,579,683 Turkey 4.4% Akbank TAS 1,106,359 2,453,068 KOC Holding AS 503,506 1,970,111 Tupras-Turkiye Petrol Rafinerileri AS 93,229 1,870,184 Turk Telekomunikasyon AS 674,563 1,009,865 Turkcell Iletisim Hizmetleri AS 637,341 1,761,908 Turkiye Is Bankasi AS, C Shares 1,409,618 2,070,323 11,135,459 Total Common Stocks (Cost $244,096,997) 243,970,800 Short-Term Investment 4.8% State Street Institutional U.S. Government Money Market Fund, Administration Class, 0.17% (7 day yield) (Cost $12,362,088) 12,362,088 12,362,088 Total Investments 100.1% (Cost $256,459,085) $ 256,332,888 Liabilities in Excess of Cash and Other Assets (0.1)% (224,142) Net Assets 100.0% $ 256,108,746 Portfolio holdings by industry as a percentage of net assets (unaudited): Auto Components 1.5% Automobiles 3.5 Banks 28.2 Beverages 1.3 Chemicals 0.3 Construction Materials 1.5 Distributors 1.0 Diversified Telecommunication Services 2.5 Electronic Equipment, Instruments & Components 1.7 Food & Staples Retailing 2.2 Health Care Providers & Services 0.7 Household Durables 1.0 Household Products 0.7 Industrial Conglomerates 1.7 Insurance 3.3 Internet Software & Services 5.2 IT Services 6.3 Machinery 1.0 Metals & Mining 1.8 Multiline Retail 0.8 Oil, Gas & Consumable Fuels 8.3 Personal Products 0.4 Road & Rail 0.7 Semiconductors & Semiconductor Equipment 5.5 Technology Hardware, Storage & Peripherals 3.7 Tobacco 1.1 Transportation Infrastructure 1.5 Wireless Telecommunication Services 7.9 Subtotal 95.3 Short-Term Investment 4.8 Total Investments 100.1% Security Abbreviations: ADR American Depositary Receipt GDR Global Depositary Receipt PJSC Public Joint Stock Company The accompanying notes are an integral part of these financial statements. 3

6 Statement of Assets and Liabilities Assets Investments in securities, at fair value (cost $256,459,085) $ 256,332,888 Foreign currency, at fair value (cost $60,067) 60,032 Cash 10 Receivables for: Investments sold 594,504 Dividends 209,526 Total Assets 257,196,960 Liabilities Payables for: Investment advisory fees (Note 4) 532,047 Investments purchased 220,586 Foreign capital gains taxes 191,500 Trustee fees (Note 4) 64,361 Custodian fees (Note 5) 48,448 Professional services 28,945 Unitholders' services fees (Note 5) 2,327 Total Liabilities 1,088,214 Net Assets $ 256,108,746 Class A Net Assets $ 256,108,746 Units Outstanding 16,251,391 Net Asset Value per Unit $ The accompanying notes are an integral part of these financial statements. 4

7 Statement of Operations For the Year Ended Investment Income (Loss) Income Dividends (net of foreign withholding taxes of $825,148) $ 5,937,449 Total investment income 5,937,449 Expenses Investment advisory fees (Note 4) 2,133,906 Custodian fees (Note 5) 252,755 Trustee fees (Note 4) 224,622 Professional services 62,420 Unitholders' services fees (Note 5) 14,125 Total gross expenses 2,687,828 Investment advisory fees waived (Note 4) (104,678) Total net expenses 2,583,150 Net investment income (loss) 3,354,299 Net Realized and Unrealized Gain (Loss) on Investments and Foreign Currency Transactions Net realized gain (loss) on: Investments (net of foreign capital gains taxes of $108,122) (8,546,653) Foreign currency transactions (105,690) Total net realized gain (loss) on investments and foreign currency transactions (8,652,343) Net change in unrealized appreciation (depreciation) on: Investments (includes net change in unrealized appreciation (depreciation) of foreign capital gains taxes of $20,556) 47,883,879 Foreign currency translations 6,209 Total net change in unrealized appreciation (depreciation) on investments and foreign currency translations 47,890,088 Net realized and unrealized gain (loss) on investments and foreign currency transactions 39,237,745 Net increase (decrease) in net assets resulting from operations $ 42,592,044 The accompanying notes are an integral part of these financial statements. 5

8 Statement of Changes in Net Assets For the Year Ended Increase (Decrease) in Net Assets Operations: Net investment income (loss) $ 3,354,299 Net realized gain (loss) on investments and foreign currency transactions (8,652,343) Net change in unrealized appreciation (depreciation) on investments and foreign currency translations 47,890,088 Net increase (decrease) in net assets resulting from operations 42,592,044 Unitholder Transactions: Proceeds from units sold 39,063,400 Cost of units redeemed (1,564,000) Net increase (decrease) in net assets from unitholder transactions 37,499,400 Total increase (decrease) in net assets 80,091,444 Net assets at beginning of year 176,017,302 Net assets at end of year $ 256,108,746 Changes in Units: Class A Units outstanding at beginning of year 13,550,636 Units sold 2,820,765 Units redeemed (120,010) Net increase (decrease) in units 2,700,755 Units outstanding at end of year 16,251,391 The accompanying notes are an integral part of these financial statements. 6

9 Financial Highlights - Class A Selected data per unit outstanding throughout the year ended Net asset value, beginning of year $ Income (loss) from investment operations: Net investment income (loss) (a) 0.22 Net realized and unrealized gain (loss) 2.55 Total from investment operations 2.77 Net asset value, end of year $ Total Return (b) % Ratios and Supplemental Data: Net assets, end of year (in thousands) $ 256,109 Ratios to average net assets (c): Net expenses 1.15 % Gross expenses 1.20 % Net investment income (loss) 1.49 % (a) (b) (c) Net investment income (loss) has been computed based on the average daily units outstanding. Certain expenses of the Portfolio have been waived or reimbursed by the Sub-Advisor; without such waiver/reimbursement of expenses, the Portfolio's return would have been lower. Total return calculation is based on the value of a single unit of participation outstanding throughout the year. It represents the percentage change in the net asset value per unit between the beginning of the year and end of the year and assumes reinvestment of all distributions, if any. The calculation includes only those expenses charged directly to the Portfolio. Individual unitholders may incur administration or other fees related to the management or maintenance of their individual unitholder accounts, which would have the effect of reducing a unitholder's net return on their investments in the Portfolio. An individual unitholder's return may also vary based on the timing of capital transactions and fees. Ratios to average net assets do not reflect expenses charged directly to the unitholders. An individual unitholder s ratios to average net assets may vary based on the timing of capital transactions and fees. The accompanying notes are an integral part of these financial statements. 7

10 Notes to Financial Statements (1) Organization Lazard/Wilmington Collective Trust (the "Trust") is a trust formed pursuant to a Declaration of Trust dated August 2, 1999, as amended and/or restated from time to time and governed by the laws of the State of Delaware. The Trust is currently comprised of two portfolios: Lazard/Wilmington Emerging Markets Portfolio and Lazard/Wilmington Emerging Markets Sudan Free Portfolio (the "Portfolio"). This report includes only the financial statements of the Portfolio. The financial statements of Lazard/Wilmington Emerging Markets Portfolio are presented separately. The Portfolio's investment objective is to achieve long-term capital appreciation by investing primarily in equity and equity-related securities of issuers that are located, or do significant business, in emerging market countries. Wilmington Trust, National Association ("WTNA"), a related party of the Trust, is the Trustee of the Trust and is responsible for maintaining and administering the Trust and the Portfolio. Lazard Asset Management LLC (the "Sub-Advisor"), a subsidiary of Lazard Frères & Co. LLC, provides sub-advisory services for the investment assets of the Portfolio. State Street Bank and Trust Company (the Custodian ) is the Custodian of the Portfolio and is responsible for custody of the Portfolio's assets and providing transfer agent, recordkeeping and accounting functions. According to the Offering Memorandum, the Portfolio is divided into three classes, which shall be identical except as to expenses to be borne by a particular class. Additional classes may be added by the Trustee in its discretion. As of, the Portfolio had one funded class, Class A. (2) Significant Accounting Policies The accompanying financial statements are presented in conformity with accounting principles generally accepted in the United States of America ( GAAP ). The Portfolio is an investment company and therefore applies specialized accounting guidance in accordance with Accounting Standards Codification Topic 946. The following is a summary of significant accounting policies consistently followed by the Portfolio in the preparation of the financial statements: (a) Valuation of Investments Market values for securities listed on the New York Stock Exchange ("NYSE"), NASDAQ national market or other US or foreign exchanges or markets are generally based on the last reported sales price on the exchange or market on which the security is principally traded on each valuation date; securities not traded on the valuation date are valued at the most recent quoted bid price. The Portfolio values NASDAQ-traded securities at the NASDAQ Official Closing Price, which may not be the last reported sales price in certain instances. Investments in money market funds are valued at the fund s net asset value ("NAV") per share. Calculation of the Portfolio s NAV may not take place contemporaneously with the determination of the prices of portfolio assets used in such calculation. Trading on Europe, Latin and South America and Far East securities exchanges and in over-the-counter markets ordinarily is completed well before the close of business on each business day in New York (i.e., a day on which the NYSE is open). In addition, European or Far Eastern securities trading generally or in a particular country or countries may not take place on all business days in New York and on which the NAV of the Portfolio is calculated. The Sub-Advisor may evaluate a variety of factors to determine the fair value of securities for which market quotations are determined not to be readily available or reliable. These factors include, but are not limited to, the type of security, the value of comparable securities, observations from financial institutions and relevant news events. Input from the Sub-Advisor s portfolio managers/analysts also will be considered. 8

11 Notes to Financial Statements (continued) If a significant event materially affecting the value of securities occurs between the close of the exchange or market on which the security is principally traded and the time when the Portfolio s NAV is calculated, or when current market quotations otherwise are determined not to be readily available or reliable (including restricted or other illiquid securities such as certain derivative instruments), such securities will be valued at their fair value as determined by, or in accordance with procedures approved by, the Sub-Advisor. Non-US securities may trade on days when the Portfolio is not open for business, thus affecting the value of the Portfolio s assets on days when Portfolio unitholders may not be able to buy or sell Portfolio units. (b) Portfolio Securities Transactions and Investment Income Portfolio securities transactions are accounted for on trade date. Realized gain (loss) on sales of investments are recorded on a specific identification basis. Dividend income is recorded on the ex-dividend date except for certain dividends from non-us securities where the dividend rate is not available. In such cases, the dividend is recorded as soon as the information is received by the Portfolio. Interest income, if any, is accrued daily. The Portfolio may be subject to taxes imposed by non-us countries in which it invests. Such taxes are generally based upon income earned or capital gains (realized or unrealized). The Portfolio accrues and applies such taxes to net investment income, net realized gains and net unrealized gains concurrent with the recognition of income earned or capital gains (realized and unrealized) from the applicable portfolio securities. (c) Foreign Currency Translation The accounting records of the Portfolio are maintained in US dollars. Portfolio securities and other assets and liabilities denominated in a foreign currency are translated daily into US dollars at the prevailing rates of exchange. Purchases and sales of securities, income receipts and expense payments are translated into US dollars at the prevailing exchange rates on the respective transaction dates. The Portfolio does not isolate the portion of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in their market prices. Such fluctuations are included in net realized and unrealized gain (loss) on investments. Net realized gain (loss) on foreign currency transactions represents net foreign currency gain (loss) from disposition of foreign currencies, currency gain (loss) realized between the trade and settlement dates on securities transactions, and the difference between the amount of dividends, interest and foreign withholding taxes recorded on the Portfolio's accounting records and the US dollar equivalent amounts actually received or paid. Net change in unrealized appreciation (depreciation) on foreign currency translations reflects the impact of changes in exchange rates on the value of assets and liabilities, other than investments in securities, during the period. (d) Tax Reclaims Receivable Tax reclaims receivable, if any, are recorded on the ex-dividend date based upon the interpretation of country-specific taxation of dividend income, which may be subject to change due to changes in country-specific tax regulations regarding amounts reclaimable or the interpretation of country-specific taxation of dividend income and related amounts reclaimable. (e) Income Taxes The Portfolio intends to continue to be exempt from taxation under section 501(a) of the Internal Revenue Code and qualify as a group trust under IRS Revenue Ruling and any amendments thereto, and other applicable IRS rules and regulations. The unitholders are required to report their respective portion of the Portfolio s US taxable income or loss in their own income tax returns and are liable for any related taxes thereon. Accordingly, no provision for federal income taxes is made in the financial statements of the Portfolio. 9

12 Notes to Financial Statements (continued) Management has analyzed the Portfolio s tax positions in its major jurisdictions. Based on this review, the Portfolio has identified uncertain tax positions which may give rise to exposure in various non-us jurisdictions in which it trades, such exposure principally arising from capital gains withholding taxes. In each case, the application of the tax law is uncertain. Management concluded that such uncertain tax positions are more-likely-than-not to be sustained upon examination. Therefore, management has concluded that no liability for unrecognized tax benefits should be recorded related to uncertain tax positions taken on tax returns filed for open tax years ( ), or expected to be taken in the Portfolio s 2016 tax returns. (f) Distributions to Unitholders Net investment income and net realized gains are retained by the Portfolio. (g) Estimates The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets resulting from operations during the reporting period. Actual results could differ from those estimates. (h) Net Asset Value NAV per unit of the Portfolio is determined each day the NYSE is open for trading as of the close of regular trading on the NYSE (generally 4:00 p.m. Eastern time). The Portfolio will not treat an intraday unscheduled disruption in NYSE trading as a closure of the NYSE, and will price its units as of 4:00 p.m., if the particular disruption directly affects only the NYSE. NAV per unit is determined by dividing the value of the total assets of the Portfolio, less all liabilities, by the total number of Portfolio units outstanding. (3) Short Term Investment Cash is held by the Custodian which, as contracted on behalf of the Portfolio, sweeps on each business day into the State Street Institutional U.S. Government Money Market Fund, a registered open-end management investment company under the Investment Company Act of 1940, which is included in the Portfolio of Investments. (4) Sub-Advisor Fees and Expenses Pursuant to the Sub-Advisor Agreement, the Sub-Advisor regularly provides the Portfolio with investment research, advice and supervision and furnishes continuously an investment program consistent with the Portfolio s investment objectives and policies, including the purchase, retention and disposition of securities. For its services provided to the Portfolio, the Sub-Advisor earns an investment advisory fee at an annual rate of 0.95% of the average daily net assets of Class A. The investment advisory fees are accrued daily and paid quarterly. The Sub-Advisor has voluntarily agreed to reduce its fees and, if necessary, reimburse the Portfolio if annualized operating expenses, exclusive of taxes, brokerage, interest on borrowings, fees and expenses of Acquired Funds and extraordinary expenses, and excluding other transaction fees, but including the management fee stated in the Sub-Advisor Agreement between the Sub-Advisor and the Portfolio, exceed 1.15% of the average daily net assets of Class A. For purposes of this item, an Acquired Fund means any company in which the Portfolio invests or has invested during the relevant fiscal period that (A) is an investment company or (B) would be an investment company under section 3(a) of the Investment Company Act (15 U.S.C. 80a-3(a)) but for the exceptions to that definition provided for in sections 3(c)(1) and 3(c)(7) of the Investment Company Act (15 U.S.C. 80a-3(c)(1) and 80a-3(c)(7)). 10

13 Notes to Financial Statements (continued) The Trustee is responsible for certain administrative and financial reporting functions. For these services, the Portfolio pays the Trustee a per annum fee of 0.10% on the first $500 million of net assets, 0.08% on the next $500 million of net assets and 0.06% on net assets in excess of $1 billion, subject to a minimum quarterly fee of $75,000 for the aggregate of the Portfolio, Lazard/Wilmington Emerging Markets Portfolio, Lazard/Wilmington Capital Allocator Managed Global Equity Portfolio, Lazard/Wilmington Capital Allocator Managed Global Diversified Portfolio and Lazard/Wilmington Capital Allocator Managed Global Income Portfolio. The trustee fees are accrued daily and paid quarterly. (5) Custody Agreement The Custodian is responsible for the custody of the Portfolio s assets and providing transfer agent, recordkeeping and accounting functions. For these services, the Portfolio pays the Custodian a per annum fee of 0.03% on the first $50 million of net assets and 0.01% on net assets in excess of $50 million. The minimum annual custody fee for the Portfolio is $24,000. The Portfolio also pays the Custodian holding fees and transaction fees for its global custody services. In addition, the Custodian receives a monthly account services fee computed on the basis of the number of unitholder accounts it maintains for the Portfolio during the month, and is reimbursed for certain out-of-pocket expenses. The custodian and unitholders' services fees are accrued daily and paid monthly. (6) Investment Transactions The Portfolio may be subject to capital gains taxes levied by foreign governments on net realized gains on sales of securities. For the year ended, realized gain (loss) on sales of securities was reported net of $108,122 of such capital gains taxes. At, unrealized appreciation (depreciation) on investments includes a deferred tax liability of $191,500 based on unrealized appreciation on applicable investments in securities held at year end. The net change in unrealized appreciation (depreciation) on investments for 2016 includes net change in unrealized appreciation (depreciation) of foreign capital gains taxes of $20,556. (7) Unitholders' Transactions The Portfolio offers units for sale and redemption of its units at the NAV of Class A as of the close of each business day. Refer to Statement of Changes in Net Assets for unitholder activities for the year. (8) Investment Risks (a) Non-US Securities Risk The Portfolio's performance will be influenced by political, social and economic factors affecting the non-us countries and companies in which the Portfolio invests. Non-US securities carry special risks, such as less developed or less efficient trading markets, political instability, a lack of company information, differing auditing and legal standards, and, potentially, less liquidity. 11

14 Notes to Financial Statements (continued) (b) Emerging Market Risk Emerging market countries can generally have economic structures that are less diverse and mature, and political systems that are less stable, than those of developed countries. The economies of countries with emerging markets may be based predominantly on only a few industries, may be highly vulnerable to changes in local or global trade conditions, and may suffer from extreme debt burdens or volatile inflation rates. The securities markets of emerging market countries have historically been extremely volatile. These market conditions may continue or worsen. Investments in these countries may be subject to political, economic, legal, market and currency risks. The risks may include less protection of property rights and uncertain political and economic policies, the imposition of capital controls and/or foreign investment limitations by a country, nationalization of businesses and the imposition of sanctions by other countries, such as the US. Significant devaluation of emerging market currencies against the US dollar may occur subsequent to acquisition of investments denominated in emerging market currencies. (c) Foreign Currency Risk Investments denominated in currencies other than US dollars may experience a decline in value, in US dollar terms, due solely to fluctuations in currency exchange rates. The Sub-Advisor does not intend to actively hedge the Portfolio s foreign currency exposure. (d) Unitholder Concentration Risk Units in excess of 10% of Portfolio units at were held by two of the Portfolio s unitholders and aggregated to 94.08% of the Portfolio s total units outstanding. (e) Counterparty Default Risk Certain investment techniques the Portfolio may employ involve risk that the counterparty to such instruments will become insolvent or otherwise default on its obligation to perform as agreed. In the event of such default, the Portfolio may have limited recourse against the counterparty and may experience delays in the recovery (or loss) of collateral. (9) Contractual Obligations The Portfolio enters into contracts in the normal course of business that contain a variety of indemnifications. The Portfolio s maximum exposure under these arrangements is unknown. Management has reviewed the Portfolio s existing contracts and expects the risk of loss to be remote. (10) Fair Value Measurements Fair value is defined as the price that the Portfolio would receive to sell an asset, or would pay to transfer a liability, in an orderly transaction between market participants at the date of measurement. The Fair Value Measurements and Disclosures provisions of GAAP also establish a framework for measuring fair value, and a three-level hierarchy for fair value measurement that is based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and refer, broadly, to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions that market participants would use in pricing the asset or liability based on market data obtained from sources independent of the Portfolio. Unobservable inputs reflect the Portfolio s own assumptions about the assumptions that market participants would use in pricing the asset or liability, developed based on the best information available in the circumstances. The fair value measurement level within the fair value hierarchy for the assets and liabilities of the Portfolio is based on the lowest level of any input that is significant to the overall fair value measurement. The three-level hierarchy of inputs is summarized below: 12

15 Notes to Financial Statements (concluded) Level 1 unadjusted quoted prices in active markets for identical assets and liabilities Level 2 other significant observable inputs (including unadjusted quoted prices for similar assets and liabilities, interest rates, prepayment speeds, credit risk, etc.) Level 3 significant unobservable inputs (including the Portfolio s own assumptions in determining the fair value of assets and liabilities) Changes in valuation technique may result in transfers into or out of the current assigned level within the hierarchy. The inputs or methodology used for valuing securities are not necessarily an indication of the risks associated with investing in these securities. The following table summarizes the valuation of the Portfolio s assets and liabilities by each fair value hierarchy level as of December 31, 2016: Unadjusted Quoted Prices in Active Markets for Identical Assets and Liabilities (Level 1) Significant Other Observable Inputs (Level 2) Significant Unobservable Inputs (Level 3) Balance as of Description Common Stocks* Russia $ 13,353,776 $ 12,483,659 $ $ 25,837,435 Other 218,133, ,133,365 Short-Term Investment 12,362,088 12,362,088 Total $ 243,849,229 $ 12,483,659 $ $ 256,332,888 * Please refer to Portfolio of Investments for portfolio holdings by country and industry. The Portfolio recognizes all transfers between levels as though they were transferred at the beginning of the reporting period. There were no transfers into or out of Levels 1, 2 or 3 during the year ended. (11) Subsequent Events Management has evaluated subsequent events affecting the Portfolio through March 31, 2017, the date that these financial statements were available to be issued, and has determined that there were no subsequent events that required adjustment or disclosure. 13