Torrus Funds Audited annual report and accounts

Transcription

1 Torrus Funds Audited annual report and accounts 31 March 2013 RCS Number: B99.048

2 Additional Information for Investors in the Federal Republic of Germany Deutsche Bank AG, Tanusanlage 12, D Frankfurt am Main, has undertaken the function of Paying and Information Agent for the Federal Republic of Germany (the German Paying and Information Agent ). Applications for the redemption and conversion of shares may be sent to the German Paying and Information Agent. All payments to investors, including redemption proceeds and potential distributions, may, upon request, be paid through the German Paying and Information Agent. The prospectus, the key investor information documents, the articles of association and the annual and semi-annual reports may be obtained, free of charge, in hardcopy form at the office of the German Paying and Information Agent during normal opening hours. The statement of changes in the composition of the investment portfolio is also free of charge upon request at the office of the German Paying and Information Agent available. Issue, redemption and conversion prices of shares and the notices to the shareholders are also available, free of charge, from the German Paying and Information Agent. The issue, redemption and conversion prices of shares and the notices to the shareholders will be published on the following website

3 Contents Board of Director s Report 4 Board of Directors 7 Management and Administration 7 Statement of Assets and Liabilities 8 Statement of Operations and Changes in Net Assets 10 Three Year Asset Summary 13 Statement of Changes in Shares Outstanding 19 Portfolio of Investments 27 Notes to the Financial Statements 32 Unaudited Information 41 Audit Report 42 General Information 44 No subscriptions can be received on the basis of financial reports. Subscriptions are only valid if made on the basis of the current Prospectus (the Prospectus ) which will be accompanied by a copy of the latest available annual report, if published after such annual report. 3

4 Board of Director s Report 2012 economic review The year started well with the international economic data on a steady path of improvement. The European sovereign debt crisis continued to calm down primarily driven by the European Central Bank s liquidity program and Greece was granted more bailout funding primarily via the passing of austerity measures. In the US strong job growth and good corporate earnings pointed towards a year of good growth. Heading into the second quarter it was obvious the Spanish banking crisis caused many to concerns on the stability of the financial markets with a rush of flows into fixed income. Mid-year saw bonds perform extremely well with some good returns on indices as well. The emerging market sector also saw increased growth and continuing decoupling from the developed world. The end of the year was a volatile period mainly due to the US presidential elections and the ever present fiscal cliff. Indices generally stood their ground and stocks performed remarkably well especially in the developed world. Management of the SICAV The following comments were prepared by the Board of Directors of the Luxembourg self managed SICAV Torrus Funds. It covers the period 1 April 2012 to 31 March 2013 and the following Sub-Funds: Return & Income Strategy Index Fund Merrill Lynch Factor Index Fund MLCX Commodity Enhanced Beta Fund Merrill Invest Structural Alpha Fund Multi-Strategy Fund Alternative Asset Allocation Fund HCM Tail Risk Fund Merrill Lynch Multi-Asset Strategy Fund On 31 July 2012, the Alternative Asset Allocation Fund was liquidated. There were no noted issues with the liquidations and all necessary announcements were made within good time. On 28 August 2012, the HCM Tail Risk Fund was launched. Due to the closing down of HCM, the Fund was also liquidated on 25 February There were no other issues with the liquidations and all necessary announcements were made within good time. On 28 February 2013, the Return & Income Strategy Index Fund was liquidated. There were no noted issues with the liquidations and all necessary announcements were made within good time. On 25 March 2013, the Merrill Invest Structural Alpha Fund was liquidated. There were no noted issues with the liquidations and all necessary announcements were made within good time. On 15 June 2012, the Merrill Lynch Multi-Asset Strategy Fund, the Sub-Fund, was launched. The Sub-Fund aims to provide absolute returns with low to moderate volatility and low to moderate correlation to traditional financial market indices, by gaining exposure to four asset classes: US Government debt, Global equities, Commodities and G10 currencies. The Sub-Fund s investment strategy is to provide exposure to the Merrill Lynch Multi-Asset Strategy index ( MAST ) with an additional risk control overlay designed to target a specific level of fund volatility. The Merrill Lynch Multi-Asset Strategy index, or MAST, is a liquid, transparent and low-cost multi-asset investment strategy developed by BofA-Merrill Lynch Research, which aims to generate attractive returns at minimum risk. The strategy allocates to investments across four asset classes: Fixed income, currencies, commodities and equities. The exposure to each asset class within the MAST is gained through an investment in a total return index: the MSCI World Index (net Total return), the Merrill lynch 10-year US Treasury Futures Index (Total return), the Merrill Lynch FX Arbitrage Index (Total return), and the Merrill Lynch Commodity Index Extra 03 (Total return). 4

5 Board of Director s Report (continued) Summary of Shares The following table sets out the Sub-Funds performance overview since inception, for the years ended 31 March 2013, 31 March 2012 and 31 March Sub Fund Share Class 12 months to 31 March months to 31 March months to 31 March 2011 Since Inception Index Performance 31 March 2013 Divergence 2013 Return & Income Strategy Index Fund (1) Institutional Share Class EUR NA 0.31% (1.26%) NA NA NA Return & Income Strategy Index Fund (1) Institutional Share Class USD NA (5.87%) 3.98% NA NA NA Return & Income Strategy Index Fund (1) Retail Share Class EUR NA (0.47%) (2.03%) NA NA NA Return & Income Strategy Index Fund (1) Retail Share Class USD NA (6.49%) 3.04% NA NA NA Merrill Lynch Factor Index Fund Institutional Share Class USD 2.22% (0.87%) 5.61% 12.13% 3.08% (0.85%) Merrill Lynch Factor Index Fund Institutional Share Class EUR Hedge NA (1.07%) 4.70% NA NA NA Merrill Lynch Factor Index Fund Institutional Share Class GBP Hedge (3) 0.16% 4.32% 0.75% (0.59%) Merrill Lynch Factor Index Fund Institutional Share Class GBP Hedge (4) 2.66% 2.88% (0.21%) Merrill Lynch Factor Index Fund Retail Share Class EUR Hedge 0.49% (2.10%) 3.30% (0.58%) 3.08% (2.59%) MLCX Commodity Enhanced Beta Fund Institutional Share Class USD (8.06%) (7.36%) 21.34% 3.35% (7.26%) (0.80%) MLCX Commodity Enhanced Beta Fund Institutional Share Class EUR Hedge (8.95%) (8.22%) 20.82% 0.97% (7.26%) (1.68%) MLCX Commodity Enhanced Beta Fund Institutional Share Class GBP Hedge (8.37%) (7.57%) (7.26%) (1.11%) MLCX Commodity Enhanced Beta Fund Retail Share Class GBP Hedge (5) (7.72%) (6.57%) (6.21%) (1.51%) MLCX Commodity Enhanced Beta Fund Retail Share Class GBP Hedge (6) (0.91%) (0.81%) (0.09%) MLCX Commodity Enhanced Beta Fund Retail Share Class EUR Hedge (9.90%) (9.13%) 20.21% (1.58%) (7.26%) (2.64%) MLCX Commodity Enhanced Beta Fund Retail Share Class SEK Hedge (8.72%) (5.69%) (7.26%) (1.46%) MLCX Commodity Enhanced Beta Fund Retail Share Class USD (7) 9.85% 1.71% 8.14% MLCX Commodity Enhanced Beta Fund Retail Share Class USD (6) (0.91%) (0.81%) (0.10%) MLCX Commodity Enhanced Beta Fund Super Institutional Share Class USD (7.92%) (7.21%) 18.51% 1.25% (7.26%) (0.66%) MLCX Commodity Enhanced Beta Fund Super Institutional Share Class EUR Hedge (8.82%) (8.10%) 18.05% (1.08%) (7.26%) (1.56%) MLCX Commodity Enhanced Beta Fund Super Institutional Share Class GBP Hedge (5) 3.72% (7.79%) 18.10% 12.95% (6.21%) 9.93% MLCX Commodity Enhanced Beta Fund Super Institutional Share Class GBP Hedge (6) (0.84%) (0.81%) (0.03%) (1) Sub-Fund closure, see note 12 (2) New Sub-Fund, see note 13 (3) The share class was closed during the year on 18 October The performance disclosed in the 12 months to 31 March 2013 column is for the period from 1 April 2012 to 18 October The performance since inception is from the date of inception to 18 October (4) The share class was re-launched during the year on 6 November The performance since inception is from the date of re-launch, 6 November 2012 to 31 March (5) The share class was closed during the year on 28 February The performance disclosed in the 12 months to 31 March 2013 column is for the period from 1 April 2012 to 28 February The performance since inception is from the date of inception to 28 February (6) The share class was re-launched during the year on 7 March The performance since inception is from the date of re-launch, 7 March 2013 to 31 March (7) The share class was launched during the year on 14 May 2012 and closed on 28 February The performance since inception is from the date of inception to 28 February The performance since inception is from 5 October 2010 to 31 March 2013 NA : The performance since inception is not applicable as the Share Class has been redeemed during the period. 5

6 Board of Director s Report (continued) Summary of Shares (continued) The following table sets out the Sub-Funds performance overview since inception, for the years ended 31 March 2013, 31 March 2012 and 31 March (continued) Sub Fund Share Class 12 months to 31 March months to 31 March months to 31 March 2011 Since Inception Index Performance 31 March 2013 Divergence 2013 Merrill Invest Structural Alpha Fund (1) Institutional Share Class EUR HA Hedge NA (0.29%) 3.55% NA *NA *NA Merrill Invest Structural Alpha Fund (1) Institutional Share Class EUR HD Hedge NA 0.24% 3.90% NA *NA *NA Merrill Invest Structural Alpha Fund (1) Institutional Share Class GBP HA Hedge NA (0.19%) 3.60% NA *NA *NA Merrill Invest Structural Alpha Fund (1) Institutional Share Class SEK HA Hedge NA 1.10% NA *NA *NA Merrill Invest Structural Alpha Fund (1) Retail Share Class GBP HC Hedge NA (1.19%) 2.66% NA *NA *NA Merrill Invest Structural Alpha Fund (1) Retail Share Class SEK HC Hedge NA (0.06%) NA *NA *NA Multi-Strategy Fund Institutional Share Class EUR B 0.71% (2.45%) (2.60%) *NA *NA Multi-Strategy Fund Institutional Share Class EUR D 0.86% 2.46% *NA *NA Multi-Strategy Fund Institutional Share Class EUR C 0.21% *NA *NA Multi-Strategy Fund Retail Share Class EUR C 0.21% *NA *NA Alternative Asset Allocation Fund (1) Institutional Share Class EUR NA NA *NA *NA Merrill Lynch Multi-Asset Strategy Fund (2) Institutional Share Class USD 3.07% *NA *NA Merrill Lynch Multi-Asset Strategy Fund (2) Institutional Share Class EUR 5.99% *NA *NA (1) (2) HCM Tail Risk Fund Super Institutional Share Class EUR HD Hedge NA NA *NA *NA HCM Tail Risk Fund (1) (2) Institutional Share Class GBP HA Hedge NA NA *NA *NA HCM Tail Risk Fund (1) (2) Institutional Share Class SEK HA Hedge NA NA *NA *NA The index composition in respect of the MLCX Commodity Enhanced Beta Fund can be found at The index composition in respect of the Merrill Lynch Factor Index Fund can be found at The Merrill Lynch Multi-Asset Strategy Fund s investments will be managed according to a quantitative approach which utilises two main strategies: the first seeks to balance the risk contribution from each of the four asset classes (US government debt, global equities, commodities and G10 currencies), with the aim of maximising the associated diversification benefit through gaining exposure to the Merrill Lynch Multi Asset Strategy Index (the Index ); the second seeks to dynamically adjust the total exposure of the Sub-Fund in order to target a specific level of risk. There are a number of reasons for the divergence between the performance of the share classes and the relevant indexes, which include, varying share class expenses, large movements in exchange rates, over or under hedging of positions, positions not up sized/down sized in line with subscriptions /redemptions with timing of swap rebalancing. (1) Sub-Fund closure, see note 12 (2) New Sub-Fund, see note 13 NA : The performance since inception is not applicable as the Share Class has been redeemed during the period. *NA: The Sub-Fund did not track an index during the period/year. Luxembourg May 2013 Board of Directors Note : The figures stated in this report are historical and not representative of future performance. 6

7 Board of Directors Management and Administration Chairman Miriam Muller (appointed 21 November 2012) Director Merrill Lynch International 2 King Edward Street London EC1A 1HQ United Kingdom Eric Personne (resigned 21 November 2012) Managing Director Merrill Lynch International 2 King Edward Street London EC1A 1HQ United Kingdom Members Karl Fuehrer Director Merrill Lynch International 2 King Edward Street London EC1A 1HQ United Kingdom Jean-Claude Wolter Avocat Honoraire 11, B boulevard Joseph II L-1840 Luxembourg Grand Duchy of Luxembourg Raymond Blokland Merrill Lynch Equity S.à r.l 4, rue Albert Borschette L-1246 Luxembourg Grand Duchy of Luxembourg Paul Guillaume Altra Partners S.A. 370, route de Longwy L-1940 Luxembourg Grand Duchy of Luxembourg Jocelyn Kiefe (appointed 25 April 2012) Bank of America Merrill Lynch 112, Avenue Klèber F75116 Paris France Registered Office Vertigo Building Polaris 2-4, Rue Eugène Ruppert L-2453 Luxembourg Grand Duchy of Luxembourg Custodian, Listing Agent, Central Administration (including domiciliary, corporate and paying agent functions), and Registrar and Transfer Agent The Bank of New York Mellon (Luxembourg) S.A. Vertigo Building Polaris 2-4, Rue Eugène Ruppert L-2453 Luxembourg Grand Duchy of Luxembourg Distributor Merrill Lynch International Merrill Lynch Financial Centre 2 King Edward Street London EC1A 1HQ United Kingdom Investment Manager Merrill Lynch International Merrill Lynch Financial Centre 2 King Edward Street London EC1A 1HQ United Kingdom Investment Manager in respect of Torrus Funds - Multi-Strategy Fund Deka Investment GmbH Mainzer Landstr Frankfurt am Main Germany Legal Adviser Arendt & Medernach 14, rue Erasme L-2082 Luxembourg Grand Duchy of Luxembourg Auditor PricewaterhouseCoopers, Société coopérative 400, route d Esch L-1471 Luxembourg Grand Duchy of Luxembourg A copy of the Prospectus, the Key Investor Information Document ( KIID ), the Annual and Semi Annual Accounts and other information is available free of charge, at the registered office of the Company. 7

8 Statement of Assets and Liabilities As at 31 March 2013 Merrill Lynch Factor Index Fund MLCX Commodity Enhanced Beta Fund Multi-Strategy Fund Notes USD USD EUR Assets Securities portfolio at cost 11,998, ,913,080 43,737,969 Unrealised appreciation/(depreciation) 1,279,862 Securities portfolio at market value 11,998, ,913,080 45,017,831 Reverse repurchase agreements 7 Cash and cash equivalents 9 2,048,662 11,521,560 1,270,578 Receivable for fund share sold 16,080 Interest receivable Unrealised appreciation on swaps 7,121 Unrealised appreciation on forward foreign exchange contracts 72 Other assets and receivables 1,923 Total assets 14,053, ,450,792 46,290,332 Liabilities Securities purchased payable 6,326,000 Payable for fund shares redeemed 18,848 Interest payable/payment to swap counterparty ,213 Unrealised depreciation on swaps 2,130,840 Unrealised depreciation on forward foreign exchange contracts 5, ,318 Administration and Operating fees payable 24,206 81,760 24,171 Luxembourg tax payable 1,726 5,563 1,121 Investment Management fee payable 99, , ,599 Total liabilities 131,778 3,026,526 6,520,891 Total Net Assets as of 31 March ,922, ,424,266 39,769,441 8

9 Statement of Assets and Liabilities (continued) As at 31 March 2013 Merrill Lynch Multi-Asset Strategy Fund (2) Combined* Notes USD EUR Assets Securities portfolio at cost 216,552,548 Unrealised appreciation/(depreciation) 1,279,862 Securities portfolio at market value 217,832,410 Reverse repurchase agreements 7 51,056,337 39,760,406 Cash and cash equivalents 9 58,649 11,884,137 Receivable for fund share sold 12,522 Interest receivable Unrealised appreciation on swaps 379, ,131 Unrealised appreciation on forward foreign exchange contracts 56 Other assets and receivables 1,923 Total assets 51,494, ,792,812 Liabilities Securities purchased payable 6,326,000 Payable for fund shares redeemed 16,000 27,138 Interest payable/payment to swap counterparty 6,429 16,384 Unrealised depreciation on swaps 1,659,403 Unrealised depreciation on forward foreign exchange contracts 23, ,360 Administration and Operating fees payable 8, ,615 Luxembourg tax payable 593 7,259 Investment Management fee payable 29, ,545 Total liabilities 85,094 9,046,704 Total Net Assets as of 31 March ,409, ,746,108 * See Note 2(b) (2) New Sub-Fund, see note 13 9

10 Statement of Operations and Changes in Net Assets As at 31 March 2013 Return & Income Strategy Index Fund (1) Merrill Lynch Factor Index Fund MLCX Commodity Enhanced Beta Fund Notes EUR USD USD Total Net Assets at the beginning of the year/period 2,818, ,377, ,686,448 Income Bank interest, received 1, ,312 Income on bonds, net 401, ,591 Interest income on repurchase agreements 3,439 Payment from swap counterparty 157,636 Waiver/sponsor fee cap 3, 6 TOTAL INCOME 162, , ,903 Expenses Bank interest 12 5 Payment to swap counterparty 2, , ,768 Administrative and Operating fee 6 3, , ,073 Luxembourg tax ,119 20,089 Investment Management fee 4 19, ,462 1,189,124 TOTAL EXPENSES 27,031 1,338,738 1,676,059 Net profit/(loss) for the year/period 135,754 (936,977) (1,374,156) Realised Profit/(Loss) Realised profit/(loss) from investments (376,397) Realised profit/(loss) from swaps 34, ,720 (16,299,295) Realised profit/(loss) from forward foreign exchange contracts 654,333 (1,589,295) Realised profit/(loss) from foreign currencies 6, ,418 (10,984) 40, ,074 (17,899,574) Net Change in Unrealised Profit/(Loss) Net Change in unrealised profit/(loss) from investments 97,181 (96,326) Net Change in unrealised profit/(loss) from swaps 35,130 1,170,812 1,049,178 Net Change in unrealised profit/(loss) from forward foreign exchange contracts (400,109) (850,058) Net Change in unrealised profit/(loss) from foreign currencies 35, , ,794 Dividend distribution to shareholders 11 (157,636) Change in Net Assets for the year/period 54, ,981 (19,170,936) Net receipts as a result of issue of shares 80,332, ,614,002 Net payments as a result of repurchase of shares (2,872,468) (293,688,393) (70,705,248) Increase/decrease in Net Assets from Capital Transactions (2,872,468) (213,356,098) 76,908,754 Net assets at the end of the year/period 13,922, ,424,266 (1) Sub-Fund Closure - see note 12 10

11 Statement of Operations and Changes in Net Assets (continued) As at 31 March 2013 Merrill Invest Structural Alpha Fund (1) Multi-Strategy Fund Alternative Asset Allocation Fund (1) Notes USD EUR EUR Total Net Assets at the beginning of the year/period 125,483,907 39,475,047 1,272,860 Income Bank interest, received 11,160 7 Income on bonds, net 136,755 Interest income on repurchase agreements Payment from swap counterparty Waiver/sponsor fee cap 3, 6 23 TOTAL INCOME 147, Expenses Bank interest 1,296 1,889 Payment to swap counterparty 1,526, Administrative and Operating fee 6 166,300 97,849 1,056 Luxembourg tax 10 4,607 2,850 Investment Management fee 4 402, ,390 1,056 TOTAL EXPENSES 2,101, ,978 2,538 Net profit/(loss) for the year/period (1,953,612) (431,978) (2,508) Realised Profit/(Loss) Realised profit/(loss) from investments (15,137) (239,102) (2,691) Realised profit/(loss) from swaps (7,026,635) (4,570) Realised profit/(loss) from forward foreign exchange contracts (2,861,629) (83,927) Realised profit/(loss) from foreign currencies 76,178 44,091 (9,827,223) (278,938) (7,261) Net Change in Unrealised Profit/(Loss) Net Change in unrealised profit/(loss) from investments (100,102) 1,006,879 (15,834) Net Change in unrealised profit/(loss) from swaps 903, Net Change in unrealised profit/(loss) from forward foreign exchange contracts (1,200,974) (1,569) Net Change in unrealised profit/(loss) from foreign currencies (397,163) 1,005,310 (15,544) Dividend distribution to shareholders 11 Change in Net Assets for the year/period (12,177,998) 294,394 (25,313) Net receipts as a result of issue of shares 12,965,641 4,000,000 Net payments as a result of repurchase of shares (126,271,550) (4,000,000) (1,247,547) Increase/decrease in Net Assets from Capital Transactions (113,305,909) (1,247,547) Net assets at the end of the year/period 39,769,441 (1) Sub-Fund Closure - see note 12 11

12 Statement of Operations and Changes in Net Assets (continued) As at 31 March 2013 Merrill Lynch Multi-Asset Strategy Fund (2) HCM Tail Risk Fund (1)(2) Combined* Notes USD USD EUR Total Net Assets at the beginning of the year/period 442,715,440 Income Bank interest, received 6,621 19,745 Income on bonds, net ,315 Interest income on repurchase agreements 14,629 14,831 Payment from swap counterparty 157,636 Waiver/sponsor fee cap 3, 6 23 TOTAL INCOME 14,629 6, ,551 Expenses Bank interest 1 2,912 Payment to swap counterparty 36,015 1,922,846 3,092,056 Administrative and Operating fee 6 11,765 95, ,666 Luxembourg tax ,939 35,395 Investment Management fee 4 39, ,919 2,418,628 TOTAL EXPENSES 87,831 2,209,096 6,234,657 Net profit/(loss) for the year/period (73,202) (2,202,455) (5,392,106) Realised Profit/(Loss) Realised profit/(loss) from investments 25,129 (527,133) Realised profit/(loss) from swaps 757,549 (11,527,784) (26,134,302) Realised profit/(loss) from forward foreign exchange contracts 8,732 1,754,081 (1,667,743) Realised profit/(loss) from foreign currencies 1, , , ,298 (9,445,710) (27,840,534) Net Change in Unrealised Profit/(Loss) Net Change in unrealised profit/(loss) from investments 913,756 Net Change in unrealised profit/(loss) from swaps 379,561 2,763,762 Net Change in unrealised profit/(loss) from forward foreign exchange contracts (23,552) (1,928,750) Net Change in unrealised profit/(loss) from foreign currencies 356,009 1,748,768 Dividend distribution to shareholders 11 (157,636) Change in Net Assets for the year/period 1,050,105 (11,648,165) (31,641,508) Net receipts as a result of issue of shares 50,741,570 65,669, ,267,516 Net payments as a result of repurchase of shares (381,930) (54,021,644) (432,595,340) Increase/decrease in Net Assets from Capital Transactions 50,359,640 11,648,165 (150,327,824) Net assets at the end of the year/period 51,409, ,746,108 * The opening balance at the begining of the period has been restated using the year end rates (see note 2). The same opening balance when converted using the foreign exchange rates ruling as at 31 March 2012 reflected a figure of 428,454,113. (1) Sub-Fund Closure - see note 12 (2) New Sub-Fund, see note 13 12

13 Three Year Asset Summary As at 31 March 2013 Return & Income Strategy Index Fund (1) Merrill Lynch Factor Index Fund MLCX Commodity Enhanced Beta Fund Merrill Invest Structural Alpha Fund (1) EUR USD USD USD Net Assets Value 31 March 2013 USD 13,922,126 USD 218,424, March 2012 EUR 2,818,247 USD 226,377,243 USD 160,686,448 USD 125,483, March 2011 EUR 4,147,139 USD 6,800,114 USD 99,871,273 USD 107,921,546 Net Asset Value per Share - 31 March 2013 Institutional Share Class - EUR Institutional Share Class - USD USD USD Institutional Share Class - EUR Hedge EUR Institutional Share Class - GBP Hedge GBP GBP Institutional Share Class - EUR B Institutional Share Class - EUR C Institutional Share Class - EUR D Retail Share Class - USD USD Retail Share Class - EUR C Retail Share Class - EUR Hedge EUR EUR Retail Share Class - GBP Hedge GBP Retail Share Class - SEK Hedge SEK Super Institutional Share Class - USD USD Super Institutional Share Class - EUR Hedge EUR Super Institutional Share Class - GBP Hedge GBP Number of shares outstanding - 31 March 2013 Institutional Share Class - EUR Institutional Share Class - USD 72, ,483 Institutional Share Class - EUR Hedge 348,168 Institutional Share Class - GBP Hedge 30,364 6,029 Institutional Share Class - EUR B Institutional Share Class - EUR C Institutional Share Class - EUR D Retail Share Class - USD 10 Retail Share Class - EUR C Retail Share Class - EUR Hedge 8,028 5,191 Retail Share Class - GBP Hedge 10 Retail Share Class - SEK Hedge 2,492 Super Institutional Share Class - USD 1,105,403 Super Institutional Share Class - EUR Hedge 269,432 Super Institutional Share Class - GBP Hedge 10 (1) Sub-Fund Closure - see note 12 13

14 Three Year Asset Summary (continued) As at 31 March 2013 Multi-Strategy Fund Alternative Asset Allocation Fund (1) Merrill Lynch Multi-Asset Strategy Fund (2) HCM Tail Risk EUR EUR USD USD Net Assets Value 31 March 2013 EUR 39,769,441 USD 51,409, March 2012 EUR 39,475,047 EUR 1,272, March 2011 EUR 31,723,307 Net Asset Value per Share - 31 March 2013 Institutional Share Class - EUR EUR Institutional Share Class - USD USD Institutional Share Class - EUR Hedge Institutional Share Class - GBP Hedge Institutional Share Class - EUR B EUR Institutional Share Class - EUR C EUR Institutional Share Class - EUR D EUR Retail Share Class - USD Retail Share Class - EUR C EUR Retail Share Class - EUR Hedge Retail Share Class - GBP Hedge Retail Share Class - SEK Hedge Super Institutional Share Class - USD Super Institutional Share Class - EUR Hedge Super Institutional Share Class - GBP Hedge Number of shares outstanding - 31 March 2013 Institutional Share Class - EUR 33,495 Institutional Share Class - USD 454,562 Institutional Share Class - EUR Hedge Institutional Share Class - GBP Hedge Institutional Share Class - EUR B 258,822 Institutional Share Class - EUR C 20,000 Institutional Share Class - EUR D 103,000 Retail Share Class - USD Retail Share Class - EUR C 20,000 Retail Share Class - EUR Hedge Retail Share Class - GBP Hedge Retail Share Class - SEK Hedge Super Institutional Share Class - USD Super Institutional Share Class - EUR Hedge Super Institutional Share Class - GBP Hedge Fund (1)(2) (1) Sub-Fund Closure - see note 12 (2) New Sub-Fund, see note 13 14

15 Three Year Asset Summary (continued) As at 31 March 2013 Return & Income Strategy Index Fund (1) Merrill Lynch Factor Index Fund MLCX Commodity Enhanced Beta Fund EUR USD USD Net Asset Value per Share - 31 March 2012 Institutional Share Class - EUR EUR Institutional Share Class - USD USD USD USD Institutional Share Class - EUR Hedge EUR EUR Institutional Share Class - GBP Hedge GBP GBP Institutional Share Class - EUR B Institutional Share Class - EUR D Institutional Share Class - EUR HA Hedge Institutional Share Class - EUR HD Hedge Institutional Share Class - GBP HA Hedge Institutional Share Class - SEK HA Hedge Retail Share Class - EUR EUR Retail Share Class - USD USD Retail Share Class - EUR Hedge EUR EUR Retail Share Class - GBP Hedge GBP Retail Share Class - SEK Hedge SEK 1, Retail Share Class - GBP HC Hedge Retail Share Class - SEK HC Hedge Super Institutional Share Class - USD USD Super Institutional Share Class - EUR Hedge EUR Super Institutional Share Class - GBP Hedge GBP Number of shares outstanding - 31 March 2012 Institutional Share Class - EUR 935 Institutional Share Class - USD 1,000 1,620, ,109 Institutional Share Class - EUR Hedge 35, ,184 Institutional Share Class - GBP Hedge 252,150 3,587 Institutional Share Class - EUR B Institutional Share Class - EUR D Institutional Share Class - EUR HA Hedge Institutional Share Class - EUR HD Hedge Institutional Share Class - GBP HA Hedge Institutional Share Class - SEK HA Hedge Retail Share Class - EUR 11,183 Retail Share Class - USD 24,106 Retail Share Class - EUR Hedge 13,638 7,072 Retail Share Class - GBP Hedge 1,316 Retail Share Class - SEK Hedge 13,066 Retail Share Class - GBP HC Hedge Retail Share Class - SEK HC Hedge Super Institutional Share Class - USD 905,529 Super Institutional Share Class - EUR Hedge 126,835 Super Institutional Share Class - GBP Hedge 9,000 (1) Sub-Fund Closure - see note 12 15

16 Three Year Asset Summary (continued) As at 31 March 2013 Merrill Invest Structural Alpha Fund (1) Multi-Strategy Fund Alternative Asset Allocation Fund (1) USD EUR EUR Net Asset Value per Share - 31 March 2012 Institutional Share Class - EUR EUR Institutional Share Class - USD Institutional Share Class - EUR Hedge Institutional Share Class - GBP Hedge Institutional Share Class - EUR B EUR Institutional Share Class - EUR D EUR Institutional Share Class - EUR HA Hedge EUR 10, Institutional Share Class - EUR HD Hedge EUR 10, Institutional Share Class - GBP HA Hedge GBP 10, Institutional Share Class - SEK HA Hedge SEK 10, Retail Share Class - EUR Retail Share Class - USD Retail Share Class - EUR Hedge Retail Share Class - GBP Hedge Retail Share Class - SEK Hedge Retail Share Class - GBP HC Hedge GBP Retail Share Class - SEK HC Hedge SEK Super Institutional Share Class - USD Super Institutional Share Class - EUR Hedge Super Institutional Share Class - GBP Hedge Number of shares outstanding - 31 March 2012 Institutional Share Class - EUR 12,500 Institutional Share Class - USD Institutional Share Class - EUR Hedge Institutional Share Class - GBP Hedge Institutional Share Class - EUR B 300,000 Institutional Share Class - EUR D 103,000 Institutional Share Class - EUR HA Hedge 2,072 Institutional Share Class - EUR HD Hedge 3,550 Institutional Share Class - GBP HA Hedge 1,315 Institutional Share Class - SEK HA Hedge 8,775 Retail Share Class - EUR Retail Share Class - USD Retail Share Class - EUR Hedge Retail Share Class - GBP Hedge Retail Share Class - SEK Hedge Retail Share Class - GBP HC Hedge 2,237 Retail Share Class - SEK HC Hedge 557,035 Super Institutional Share Class - USD Super Institutional Share Class - EUR Hedge Super Institutional Share Class - GBP Hedge (1) Sub-Fund Closure - see note 12 16

17 Three Year Asset Summary (continued) As at 31 March 2013 Return & Income Strategy Index Fund (1) Merrill Lynch Factor Index Fund MLCX Commodity Enhanced Beta Fund EUR USD USD Net Asset Value per Share - 31 March 2011 Institutional Share Class - EUR EUR Institutional Share Class - USD USD USD USD Institutional Share Class - EUR Hedge EUR EUR Institutional Share Class - EUR B Institutional Share Class - EUR HA Hedge Institutional Share Class - EUR HD Hedge Institutional Share Class - GBP HA Hedge Institutional Share Class - SEK HA Hedge Retail Share Class - EUR EUR Retail Share Class - USD USD Retail Share Class - EUR Hedge EUR EUR Retail Share Class - GBP HC Hedge Retail Share Class - SEK HC Hedge Super Institutional Share Class - USD USD Super Institutional Share Class - EUR Hedge EUR Super Institutional Share Class - GBP Hedge GBP Number of shares outstanding - 31 March 2011 Institutional Share Class - EUR 935 Institutional Share Class - USD 1,000 21,451 9,837 Institutional Share Class - EUR Hedge 5, ,419 Institutional Share Class - EUR B Institutional Share Class - EUR HA Hedge Institutional Share Class - EUR HD Hedge Institutional Share Class - GBP HA Hedge Institutional Share Class - SEK HA Hedge Retail Share Class - EUR 15,884 Retail Share Class - USD 37,106 Retail Share Class - EUR Hedge 25,459 10,734 Retail Share Class - GBP HC Hedge Retail Share Class - SEK HC Hedge Super Institutional Share Class - USD 500,000 Super Institutional Share Class - EUR Hedge 10,000 Super Institutional Share Class - GBP Hedge 10,000 (1) Sub-Fund Closure - see note 12 17

18 Three Year Asset Summary (continued) As at 31 March 2013 Merrill Invest Structural Alpha Fund (1) Multi-Strategy Fund Alternative Asset Allocation Fund (1) USD EUR EUR Net Asset Value per Share - 31 March 2011 Institutional Share Class - EUR Institutional Share Class - USD Institutional Share Class - EUR Hedge Institutional Share Class - EUR B EUR Institutional Share Class - EUR HA Hedge EUR 10, Institutional Share Class - EUR HD Hedge EUR 10, Institutional Share Class - GBP HA Hedge GBP 10, Institutional Share Class - SEK HA Hedge SEK 10, Retail Share Class - EUR Retail Share Class - USD Retail Share Class - EUR Hedge Retail Share Class - GBP HC Hedge GBP Retail Share Class - SEK HC Hedge SEK Super Institutional Share Class - USD Super Institutional Share Class - EUR Hedge Super Institutional Share Class - GBP Hedge Number of shares outstanding - 31 March 2011 Institutional Share Class - EUR Institutional Share Class - USD Institutional Share Class - EUR Hedge Institutional Share Class - EUR B 320,000 Institutional Share Class - EUR HA Hedge 526 Institutional Share Class - EUR HD Hedge 4,000 Institutional Share Class - GBP HA Hedge 1,454 Institutional Share Class - SEK HA Hedge 7,306 Retail Share Class - EUR Retail Share Class - USD Retail Share Class - EUR Hedge Retail Share Class - GBP HC Hedge 1,790 Retail Share Class - SEK HC Hedge 91,419 Super Institutional Share Class - USD Super Institutional Share Class - EUR Hedge Super Institutional Share Class - GBP Hedge (1) Sub-Fund Closure - see note 12 18

19 Statement of Changes in Shares Outstanding As at 31 March 2013 Return & Income Strategy Index Fund (1) Merrill Lynch Factor Index Fund MLCX Commodity Enhanced Beta Fund Merrill Invest Structural Alpha Fund (1) Institutional Share Class - EUR Shares outstanding at the beginning of the year 935 Shares issued Shares repurchased (935) Institutional Share Class - USD Shares outstanding at the beginning of the year 1,000 1,620, ,109 Shares issued 511, ,391 Shares repurchased (1,000) (2,058,553) (66,017) Shares outstanding at the end of the year 72, ,483 Institutional Share Class - EUR Hedge Shares outstanding at the beginning of the year 35, ,184 Shares issued 332,200 Shares repurchased (35,064) (150,216) Shares outstanding at the end of the year 348,168 Institutional Share Class - GBP Hedge Shares outstanding at the beginning of the year 252,150 3,587 Shares issued 155,870 2,442 Shares repurchased (377,656) Shares outstanding at the end of the year 30,364 6,029 Institutional Share Class - EUR B Shares outstanding at the beginning of the year Shares issued Shares repurchased Institutional Share Class - EUR D Shares outstanding at the beginning of the year Shares issued Shares repurchased Institutional Share Class - EUR C Shares outstanding at the beginning of the year Shares issued Shares repurchased (1) Sub-Fund Closure - see note 12 19

20 Statement of Changes in Shares Outstanding (continued) As at 31 March 2013 Multi-Strategy Alternative Asset Allocation Merrill Lynch Multi-Asset Strategy HCM Tail Risk Fund Fund (1) Fund (2) Institutional Share Class - EUR Shares outstanding at the beginning of the year 12,500 Shares issued 33,495 Shares repurchased (12,500) Shares outstanding at the end of the year 33,495 Fund (1)(2) Institutional Share Class - USD Shares outstanding at the beginning of the year Shares issued 458,353 Shares repurchased (3,791) Shares outstanding at the end of the year 454,562 Institutional Share Class - EUR Hedge Shares outstanding at the beginning of the year Shares issued Shares repurchased Institutional Share Class - GBP Hedge Shares outstanding at the beginning of the year Shares issued Shares repurchased Institutional Share Class - EUR B Shares outstanding at the beginning of the year 300,000 Shares issued Shares repurchased (41,178) Shares outstanding at the end of the year 258,822 Institutional Share Class - EUR D Shares outstanding at the beginning of the year 103,000 Shares issued Shares repurchased Shares outstanding at the end of the year 103,000 Institutional Share Class - EUR C Shares outstanding at the beginning of the year Shares issued 20,000 Shares repurchased Shares outstanding at the end of the year 20,000 (1) Sub-Fund Closure - see note 12 (2) New Sub-Fund, see note 13 20

21 Statement of Changes in Shares Outstanding (continued) As at 31 March 2013 Return & Income Strategy Index Fund (1) Merrill Lynch Factor Index Fund MLCX Commodity Enhanced Beta Fund Merrill Invest Structural Alpha Fund (1) Institutional Share Class - EUR HA Hedge Shares outstanding at the beginning of the year 2,072 Shares issued 312 Shares repurchased (2,384) Super Institutional Share Class - EUR HD Hedge Shares outstanding at the beginning of the year 3,550 Shares issued Shares repurchased (3,550) Institutional Share Class - GBP HA Hedge Shares outstanding at the beginning of the year 1,315 Shares issued 216 Shares repurchased (1,531) Institutional Share Class - SEK HA Hedge Shares outstanding at the beginning of the year 8,775 Shares issued 754 Shares repurchased (9,529) Retail Share Class - EUR Shares outstanding at the beginning of the year 11,183 Shares issued Shares repurchased (11,183) Retail Share Class - EUR C Shares outstanding at the beginning of the year Shares issued Shares repurchased Retail Share Class - USD Shares outstanding at the beginning of the year 24,106 Shares issued 1,499 Shares repurchased (24,106) (1,489) Shares outstanding at the end of the year 10 (1) Sub-Fund Closure - see note 12 21

22 Statement of Changes in Shares Outstanding (continued) As at 31 March 2013 Multi-Strategy Alternative Asset Allocation Merrill Lynch Multi-Asset Strategy HCM Tail Risk Fund Fund (1) Fund (2) Institutional Share Class - EUR HA Hedge Shares outstanding at the beginning of the year Shares issued Shares repurchased Fund (1)(2) Super Institutional Share Class - EUR HD Hedge Shares outstanding at the beginning of the year Shares issued 3,400 Shares repurchased (3,400) Institutional Share Class - GBP HA Hedge Shares outstanding at the beginning of the year Shares issued 630 Shares repurchased (630) Institutional Share Class - SEK HA Hedge Shares outstanding at the beginning of the year Shares issued 9,179 Shares repurchased (9,179) Retail Share Class - EUR Shares outstanding at the beginning of the year Shares issued Shares repurchased Retail Share Class - EUR C Shares outstanding at the beginning of the year Shares issued 20,000 Shares repurchased Shares outstanding at the end of the year 20,000 Retail Share Class - USD Shares outstanding at the beginning of the year Shares issued Shares repurchased (1) Sub-Fund Closure - see note 12 (2) New Sub-Fund, see note 13 22

23 Statement of Changes in Shares Outstanding (continued) As at 31 March 2013 Return & Income Strategy Index Fund (1) Merrill Lynch Factor Index Fund MLCX Commodity Enhanced Beta Fund Merrill Invest Structural Alpha Fund (1) Retail Share Class - EUR Hedge Shares outstanding at the beginning of the year 13,638 7,072 Shares issued 245 1,077 Shares repurchased (5,855) (2,958) Shares outstanding at the end of the year 8,028 5,191 Retail Share Class - GBP Hedge Shares outstanding at the beginning of the year 1,316 Shares issued 10 Shares repurchased (1,316) Shares outstanding at the end of the year 10 Retail Share Class - SEK Hedge Shares outstanding at the beginning of the year 13,066 Shares issued 9,529 Shares repurchased (20,103) Shares outstanding at the end of the year 2,492 Retail Share Class - GBP HC Hedge Shares outstanding at the beginning of the year 2,237 Shares issued 203 Shares repurchased (2,440) Retail Share Class - SEK HC Hedge Shares outstanding at the beginning of the year 557,036 Shares issued 289,110 Shares repurchased (846,146) Super Institutional Share Class - USD Shares outstanding at the beginning of the year 905,529 Shares issued 452,580 Shares repurchased (252,706) Shares outstanding at the end of the year 1,105,403 Super Institutional Share Class - EUR Hedge Shares outstanding at the beginning of the year 126,835 Shares issued 234,927 Shares repurchased (92,330) Shares outstanding at the end of the year 269,432 (1) Sub-Fund Closure - see note 12 23

24 Statement of Changes in Shares Outstanding (continued) As at 31 March 2013 Multi-Strategy Alternative Asset Allocation Merrill Lynch Multi-Asset Strategy HCM Tail Risk Fund Fund (1) Fund (2) Retail Share Class - EUR Hedge Shares outstanding at the beginning of the year Shares issued Shares repurchased Fund (1)(2) Retail Share Class - GBP Hedge Shares outstanding at the beginning of the year Shares issued Shares repurchased Retail Share Class - SEK Hedge Shares outstanding at the beginning of the year Shares issued Shares repurchased Retail Share Class - GBP HC Hedge Shares outstanding at the beginning of the year Shares issued Shares repurchased Retail Share Class - SEK HC Hedge Shares outstanding at the beginning of the year Shares issued Shares repurchased Super Institutional Share Class - USD Shares outstanding at the beginning of the year Shares issued Shares repurchased Super Institutional Share Class - EUR Hedge Shares outstanding at the beginning of the year Shares issued Shares repurchased (1) Sub-Fund Closure - see note 12 (2) New Sub-Fund, see note 13 24

25 Statement of Changes in Shares Outstanding (continued) As at 31 March 2013 Return & Income Strategy Index Fund (1) Merrill Lynch Factor Index Fund MLCX Commodity Enhanced Beta Fund Merrill Invest Structural Alpha Fund (1) Super Institutional Share Class - GBP Hedge Shares outstanding at the beginning of the year 9,000 Shares issued 10 Shares repurchased (9,000) Shares outstanding at the end of the year 10 (1) Sub-Fund Closure - see note 12 25

26 Statement of Changes in Shares Outstanding (continued) As at 31 March 2013 Multi-Strategy Alternative Asset Allocation Merrill Lynch Multi-Asset Strategy HCM Tail Risk Fund Fund (1) Fund (2) Super Institutional Share Class - GBP Hedge Shares outstanding at the beginning of the year Shares issued Shares repurchased (1) Sub-Fund Closure - see note 12 (2) New Sub-Fund, see note 13 Fund (1)(2) 26

27 Torrus Funds - Merrill Lynch Factor Index Fund Portfolio of Investments as at 31 March 2013 Holdings-Treasury Bills Description Market Value USD % of net assets USD 4,000,000 United States Treasury Bill 4 April ,999, USD 4,000,000 United States Treasury Bill 30 May ,999, USD 1,000,000 United States Treasury Bill 27 June , USD 1,000,000 United States Treasury Bill 22 August , USD 1,000,000 United States Treasury Bill 19 September , USD 1,000,000 United States Treasury Bill 17 October , Total Value of Investments (Cost USD 11,998,121) 11,998, OTC - Swaps as at 31 March 2013 Notional Value Description Unrealised USD % of net assets Swap Transactions USD 13,885,731 Total Return Swap (Merrill Lynch International) Fund pays: a) overnight USD LIBOR plus 5 bps compounded daily. b) Max {0, ((IR-FR)/IR)}*Notional Amount on Termination Date. Fund receives: a) Max {0, (FR-IR)/IR)}*Notional Amount on Termination Date. 7, Final Index Reference(FR) : The closing level of the Underlying Index on the Termination Date. Initial Index Reference(IR) : The closing level of the Underlying Index on the Trade Date. The reference index is the Merrill Lynch Factor Index. The Fund pays if the net performance is negative and the Fund receives if the net performance is positive. The counterparty of the swap contract is Merrill Lynch International. 1 Open Forward Foreign Exchange Transactions as at 31 March 2013 Purchases Sales Value Date Unrealised Loss USD GBP 3,117,912 USD 4,733,691 29/04/2013 (130) EUR 798,593 USD 1,031,024 29/04/2013 (5,329) Unrealised loss (5,459) The counterparty of the open forward foreign exchange transactions is the Bank of New York Mellon (Luxembourg) S.A. 1 A related party to ML Torrus Funds. The accompanying notes form an integral part of these financial statements. 27

28 Torrus Funds - MLCX Commodity Enhanced Beta Fund Portfolio of Investments as at 31 March 2013 Holding Treasury Bills Description Market Value USD % of net assets USD 25,000,000 United States Treasury Bill 30 May ,997, USD 24,000,000 United States Treasury Bill 22 August ,991, USD 27,000,000 United States Treasury Bill 19 September ,987, USD 27,000,000 United States Treasury Bill 17 October ,986, USD 17,000,000 United States Treasury Bill 14 November ,988, USD 22,000,000 United States Treasury Bill 12 December ,983, USD 22,000,000 United States Treasury Bill 9 January ,981, USD 25,000,000 United States Treasury Bill 27 June ,995, USD 21,000,000 United States Treasury Bill 4 April ,999, Total Value of Investments (Cost USD 209,913,080) 209,913, OTC - Swaps as at 31 March 2013 Notional Value Description Unrealised USD % of net assets Swap Transactions USD 222,208,029 Total Return Swap (Merrill Lynch International) Fund pays: (a) overnight USDLIBOR minus 5 bps compounded daily and paid on each Payment Date for the relevant swap Reset Datei. b) Max {0,((ResetIndexRefi-1-ResetIndexRefi)/ ResetIndexRefi-1)} *Notional Amount on payment date for the relevant Reset Datei. Fund receives: a) Max {0,((ResetIndexRefi - ResetIndex Refi)/Reset Index Refi-1)} *Notional Amount on payment date on the relevant swap Reset Datei. (2,138,680) (0.98) Reset Index Refi is defined as the closing level of the Reference Index on the Reset Date i. The Reference Index is The Merrill Lynch Commodity Index extra sm 03 Total Return Index. The Fund pays if the net performance is negative and the Fund receives if the net performance is positive. The counterparty of the swap contract is Merrill Lynch International. 1 (USD 1,500,000) Swap Transactions Total Return Swap (Merrill Lynch International) Fund pays: (a) overnight USDLIBOR minus 5 bps compounded daily and paid on each Payment Date for the relevant swap Reset Datei. b) Max {0,((ResetIndexRefi-1-ResetIndexRefi)/ ResetIndexRefi-1)} *Notional Amount on payment date for the relevant Reset Datei. 1 A related party to ML Torrus Funds. The accompanying notes form an integral part of these financial statements. 28

29 Torrus Funds - MLCX Commodity Enhanced Beta Fund (continued) Portfolio of Investments as at 31 March 2013 OTC - Swaps as at 31 March 2013 Notional Value Description Unrealised USD % of net assets Fund receives: a) Max {0,((ResetIndexRefi - ResetIndex Refi)/Reset Index Refi-1)} *Notional Amount on payment date on the relevant swap Reset Datei. 7,840 Reset Index Refi is defined as the closing level of the Reference Index on the Reset Date i. The Reference Index is The Merrill Lynch Commodity Index extra sm 03 Total Return Index. The Fund pays if the net performance is negative and the Fund receives if the net performance is positive. The counterparty of the swap contract is Merrill Lynch International. 1 (2,130,840) (0.98) Open Forward Foreign Exchange Transactions as at 31 March 2013 Purchases Sales Value Date Unrealised gain USD SEK 11,117 USD 1,701 29/04/ USD 13,255 EUR 10,269 29/04/ Unrealised gain 72 Purchases Sales Value Date Unrealised loss USD EUR 62,763,673 USD 81,029,555 29/04/2013 (417,357) GBP 563,067 USD 854,863 29/04/2013 (23) SEK 2,396,159 USD 369,167 29/04/2013 (901) USD 6,386 EUR 4,992 29/04/2013 (26) USD 6,267 SEK 40,849 29/04/2013 (11) Unrealised loss (418,318) The counterparty of the open forward foreign exchange transactions is the Bank of New York Mellon (Luxembourg) S.A. 1 A related party to ML Torrus Funds. The accompanying notes form an integral part of these financial statements. 29

30 Torrus Funds - Multi-Strategy Fund Portfolio of Investments as at 31 March 2013 Market value as a percentage of net assets % Holding Cost EUR Investment Funds Currency Market value EUR 2,021,655 2,146,862 Absolute Insight Funds PLC - Absolute Insight Currency Fund EUR 2,149, ,955 2,989,996 Amundi Funds - Absolute Volatility Euro Equities EUR 2,960, ,705,098 2,332,000 Cazenove Absolute UK Dynamic Fund EUR 2,546, ,192 2,268,000 DB Platinum IV DBX Systematic Alpha Index Fund EUR 2,288, ,000 1,951,211 DB X-trackers II EONIA UCITS ETF EUR 1,956, , ,134 DB X-Trackers LEVDAXR Daily UCITS ETF EUR 1,229, ,475,891 Exane Funds 1 - Exane Archimedes Fund USD 1,623, ,548 1,832,000 GAM Star Fund PLC - Emerging Market Total Return EUR 2,099, ,603 1,337,837 GAM Star Fund PLC - Global Rates EUR 1,474, ,242 2,692,570 GAM Star Fund plc - Keynes Quantitative Strategies EUR 2,676, ,632 2,638,736 GLG Investments VI PLC - GLG Alpha Select Alternative EUR 2,436, ,296 2,270,631 GLG Investments VI PLC - GLG EM Currency & Fixed Income Alternative EUR 2,234, ,068 4,104,000 GLG Investments VI PLC - GLG European Equity Alternative EUR 4,090, ,577 1,440,000 Henderson Gartmore Fund - United Kingdom Absolute Return EUR 1,560, ,887 1,559,059 Merrill Lynch Investment Solutions - York Event Driven UCITS Fund EUR 1,585, ,909,187 4,858,000 Old Mutual Dublin Funds Plc - Old Mutual Global Equity Absolute Return Fund EUR 4,924, ,194,688 5,030,644 Threadneedle Focus Investment Funds - Credit Opportunities Fund EUR 5,230, ,266 2,011,398 Traditional Funds PLC - Thames River Global Bond Euro Fund EUR 1,951, ,737,969 Total Value of Investments 45,017, All of the underlying funds stated above are open ended UCITS Funds. The accompanying notes form an integral part of these financial statements. 30