Credit Suisse Solutions (Lux) Investment Company with Variable Capital under Luxembourg law - R.C.S. Luxembourg B Audited Annual Report

Transcription

1 Solutions (Lux) Investment Company with Variable Capital under Luxembourg law - R.C.S. Luxembourg B Audited Annual Report at

2 Table of Contents Page 2 Audit Report 3 Management and Administration 4 Consolidated Report 5 Report by Subfund Solutions (Lux) Best of Inflation and Equity Opportunity 10 Solutions (Lux) Dow Jones AllHedge Index 14 Solutions (Lux) Fund of Liquid Alternative Beta Funds 19 Solutions (Lux) Megatrends 23 Solutions (Lux) Prima Growth 28 Solutions (Lux) Prima Multi-Strategy 33

3 Audit Report Page 3 To the Shareholders of Solutions (Lux) Other matters We have audited the accompanying financial statements of Solutions (Lux) and of each of its subfunds, which comprise the statement of net assets and the statement of investments in securities and other net assets as at November 30, 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. 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. Responsibility of the Board of Directors of the SICAV for the financial statements PricewaterhouseCoopers, Société coopérative Luxembourg, March 27, 2013 Represented by 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. Jean-Robert Lentz The English version of the Annual Report has been reviewed by the auditors. Consequently, the auditor s report only refers to the English version of the report; other versions result from a translation made under the responsibility of the Board of Directors of the SICAV. 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 give a true and fair view of the financial position of Solutions (Lux) and of each of its subfunds as of November 30, 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. PricewaterhouseCoopers, Société coopérative, 400 Route d Esch, B.P. 1443, L-1014 Luxembourg T: , F: , Cabinet de révision agréé. Expert-comptable (autorisation gouvernementale n ) R.C.S. Luxembourg B TVA LU

4 Management and Administration Page 4 Company Solutions (Lux) 5, rue Jean Monnet, L-2180 Luxembourg R.C.S. Luxembourg B Board of Directors of the Company Luca Diener, Member of the Board Managing Director, AG, Zurich Guy Reiter, Member of the Board Director, Fund Management S.A., Luxembourg Fernand Schaus, Member of the Board Director, Fund Management S.A., Luxembourg Germain Trichies, Member of the Board Director, Fund Management S.A., Luxembourg Auditor of the Company PricewaterhouseCoopers, Société coopérative 400, Route d'esch, L-1471 Luxembourg Management Company Fund Management S.A. 5, rue Jean Monnet, L-2180 Luxembourg R.C.S. Luxembourg B Board of Directors of the Management Company Luca Diener, Member of the Board Managing Director, AG, Zurich Jean-Paul Gennari, Member of the Board Managing Director, Fund Services (Luxembourg) S.A., Luxembourg Petra Reinhard Keller, Member of the Board (until ) Managing Director, Funds AG, Zurich Guy Reiter, Member of the Board Director, Fund Management S.A., Luxembourg Ferenc Schnitzer, Member of the Board (since ) Director, AG, Zurich Germain Trichies, Member of the Board Director, Fund Management S.A., Luxembourg Additional Information Agent in Germany (Deutschland) AG Junghofstrasse 16, D FrankfurtMain Paying Agent in Austria UniCredit Bank Austria AG Schottengasse 6-8, A-1010 Vienna Paying Agent in the Principality of Liechtenstein LGT Bank in Liechtenstein Aktiengesellschaft Herrengasse 12, FL-9490 Vaduz Custodian Bank (Luxembourg) S.A. 56, Grand-Rue, L-1660 Luxembourg Distribution Agents AG Paradeplatz 8, CH-8001 Zurich Fund Services (Luxembourg) S.A. 5, rue Jean Monnet, L-2180 Luxembourg Investment Managers Asset Management LLC, New York 11 Madison Avenue, NY New York - Solutions (Lux) Dow Jones AllHedge Index - Solutions (Lux) Fund of Liquid Alternative Beta Funds AG Paradeplatz 8, CH-8001 Zurich - Solutions (Lux) Best of Inflation and Equity Opportunity - Solutions (Lux) Megatrends - Solutions (Lux) Prima Growth - Solutions (Lux) Prima Multi-Strategy Central Administration Fund Services (Luxembourg) S.A. 5, rue Jean Monnet, L-2180 Luxembourg Auditor of the Management Company KPMG Luxembourg S.à r.l. 9, Allée Scheffer, L-2520 Luxembourg Representative in Switzerland Funds AG Sihlcity - Kalandergasse 4, CH-8045 Zurich Paying Agent in Switzerland AG Paradeplatz 8, CH-8001 Zurich Paying and Information Agent in Germany No subscription may be accepted on the basis of the financial reports. Subscriptions are accepted only on the basis of the current sales prospectus accompanied by the Key Investor Information Documents, the latest annual report and the latest semi-annual report (if more recent). The issue and redemption prices are published in Luxembourg at the registered office of the Management Company. The net asset value is also published daily on the Internet and in different newspapers. Shareholders may obtain the Sales Prospectus, the Key Investor Information Documents, the latest annual and semi-annual reports, the changes in the composition of the securities portfolio during the reporting period and copies of the Articles of Incorporation free of charge from the registered office of the Management Company, the Representative in Switzerland, the local representatives in the countries where the Fund is registered or the Paying and Information Agent in Germany. Deutsche Bank AG Taunusanlage 12, D FrankfurtMain

5 Consolidated Report Page 5 Statement of Net Assets in Assets Investments in securities at market value 1,118,849, Cash at banks 22,375, Receivable for securities sold 382, Subscriptions receivable 205,625, Prepaid investments 7,153, Income receivable 1,078, Formation expenses 96, Other assets 167,624, ,523,184, Liabilities Due to banks 178,213, Redemptions payable 3,999, Provisions for accrued expenses 1,529, Other liabilities 12,450, ,192, Net assets 1,326,992, Other assets includes mainly the valuation on the swap contract of Solutions (Lux) Dow Jones AllHedge Index.

6 Consolidated Report Page 6 Statement of Operations in For the period from to Income Interest on investments in securities (net) 2,217, Dividends (net) 4,144, Bank interest 22, Other income 4,294, ,678, Expenses Management fee 12,592, Performance fee 267, Custodian and safe custody fees 377, Printing and publication expenses 97, Interest and bank charges Audit, control, legal, representative bank and other expenses 424, "Taxe d'abonnement" 262, Amortisation of formation expenses 155, ,177, Net income (loss) -3,498, Realised gain (loss) Net realised gain (loss) on sales of investments -13,774, Net realised gain (loss) on swap contracts -5,367, Net realised gain (loss) on forward foreign exchange contracts -15,981, Net realised gain (loss) on foreign exchange -3,071, ,194, Net realised gain (loss) -41,693, Change in net unrealised appreciation (depreciation) Change in net unrealised appreciation (depreciation) on investments 56,802, Change in net unrealised appreciation (depreciation) on swap contracts 6,012, Change in net unrealised appreciation (depreciation) on forward foreign exchange contracts 6,983, ,798, Net increase (decrease) in net assets as a result of operations 28,105, Subscriptions Redemptions Subscriptions 537,831, Redemptions -405,070, ,761, Distribution -1,512,922.09

7 Consolidated Report Page 7 Notes General Solutions (Lux) (the "Company") was established on as an open-ended investment fund in the legal form of an investment company with variable capital (Société d Investissement à Capital Variable, SICAV) in accordance with Part I of the Luxembourg Law dated relating to undertakings for collective investment. As of the Company had 6 Subfunds. Changes: - The name of Solutions (Lux) Prima Plus has changed to Credit Suisse Solutions (Lux) Prima Growth as of Solutions (Lux) Prima Growth -S- has been launched on Solutions (Lux) Prima Multi-Strategy -S- has been launched on Solutions (Lux) Prima Growth -T- has been launched on Solutions (Lux) Fund of Liquid Alternative Beta Funds -T- and Solutions (Lux) Fund of Liquid Alternative Beta Funds -T- have been launched on Summary of significant accounting policies a) Presentation of financial statements The financial statements are presented in accordance with the requirements of the Luxembourg supervisory authorities. b) Computation of the net asset value of each Subfund Solutions (Lux) Best of Inflation and Equity Opportunity: Valuation Days will be on each week, i.e. every Wednesday which is a banking day in Luxembourg it being understood that: - if such a day is a holiday in Luxembourg, the Valuation Day will be the next following business day; and, - if London andor Milan are closed on any business day between the Dealing Day (inclusive) and the Valuation Day (exclusive), the calculation of the Net Asset Value per share shall be deferred without undue delay until information required for the valuation shall be normally available. The financial statements reflect the net asset values as calculated on Solutions (Lux) Dow Jones AllHedge Index: The Valuation Day is defined as being every Thursday which is a banking day in London and Luxembourg. If such a day is a holiday in London or Luxembourg, the Valuation Day will be the next following business day. If London andor New York are closed on any business day between the Dealing Day (inclusive) and the Valuation Day (exclusive), the calculation of the Net Asset Value per share shall be deferred without undue delay until information required for the valuation shall be normally available. If on any Valuation Day the aggregate transactions in shares of the relevant Subfund results in a net increase or decrease of shares which exceeds a threshold set by the Company s Board of Directors from time to time for the relevant Subfund, the net asset value of the relevant Subfund will be adjusted by an amount of respectively 0.50% in case of a net increase of shares and 1.50% in case of a net decrease of shares which reflects both the dealing costs that may be incurred by the Subfunds and the estimated bidoffer spread of (i) the assets in which the relevant Subfund invests and (ii) the constituents of the relevant Underlying Index. In the event that on any calendar quarter the aggregate net redemption orders (incl. aggregated net subscriptions over the quarter) do exceed 10% of the net asset value of the initial total net assets of the relevant Subfund as of the beginning of the relevant calendar quarter, the net asset value of the relevant Subfund will be decreased by an amount of 3% on the relevant Valuation Day (instead of 1.5% as referred above). In the event that on any calendar quarter the aggregate net redemption orders (incl. aggregated net subscriptions over the quarter) do exceed 20% of the net asset value of the initial total net assets of the relevant Subfund as of the beginning of the relevant calendar quarter, the net asset value of the relevant Subfund may be determined on the basis of bid prices (instead of the above fixed percentages). Resulting income are disclosed under other income. The financial statements reflect the net asset values as calculated on Solutions (Lux) Fund of Liquid Alternative Beta Funds The Net Asset Value of the Shares of the Subfund shall be calculated on each day on which banks are normally open all day for business in Luxembourg and New York (each such day being referred to as a Valuation Day ). The financial statements reflect the net asset values as calculated on Solutions (Lux) Megatrends: The net asset value of the shares of each Subfund is calculated on a daily basis. The financial statements reflect the net asset values as calculated on The Net Asset Value will be increased by up to a maximum of 2% per Share in the event of a net surplus of subscription applications or reduced by up to a maximum of 2% per Share in the event of a net surplus of redemption applications in respect of the applications received on the respective Valuation Day. The Net Asset Value will be adjusted on every Valuation Day on a net deal basis, regardless of the size of the net capital flow (i.e. it will not be required to exceed a predefined threshold of net capital flows to adjust the Net Asset Value). The effective date for the introduction of the Net Asset Value adjustment mechanism for this subfund was as of The Board of Directors of the Company has decided that it can now set a threshold (net capital flows that needs to be exceeded) to apply the adjustment to the Net Asset Value and thus change from full swing pricing to partial swing pricing. This change was effective as of Solutions (Lux) Prima Multi-Strategy and Solutions (Lux) Prima Growth: The net asset value of the shares of the Subfund shall be calculated on a weekly basis on each Thursday or, where a Thursday is not a banking day in Luxembourg and London, the banking day in Luxembourg and London following such Thursday. The financial statements reflect the net asset values as calculated on c) Valuation of investment securities of each Subfund Securities which are listed or regularly traded on a stock exchange shall be valued at the last available sales price. If such a price is not available for a particular trading day, the closing mid-price (the mean of the closing bid and ask prices) or alternatively the closing bid price, may be taken as a basis for the valuation. If a security is traded on several stock exchanges, the valuation shall be made by reference to the exchange which is the main market for this security. In the case of securities for which trading on a stock exchange is not significant but which are traded on a secondary market with regulated trading among securities dealers (with the effect that the price reflects market conditions), the valuation may be based on this secondary market. Securities traded on a regulated market shall be valued in the same way as those listed on a stock exchange. Securities that are not listed on a stock exchange and are not traded on a regulated market shall be valued at their last available market price. If no such price is available, the Company shall value these securities in accordance with other criteria to be established by the Board of Directors and on the basis of the probable sales price, the value of which shall be estimated with due care and in good faith. Units or shares of UCITS or other UCIs shall be valued on the basis of their most recently calculated net asset value, where necessary by taking due account of the redemption fee. Where no net asset value and only buy and sell prices are available for units or shares of UCITS or other UCIs, the units or shares of such UCITS or other UCIs may be valued at the mean of such buy and sell prices. The valuation price of a money market instrument which has a maturity or remaining term to maturity of less than 12 months and does not have any specific sensitivity to market parameters, including credit risk, shall, based on the net acquisition price or on the price at the time when the investment s remaining term to maturity falls below 12 months, be progressively adjusted to the repayment price while keeping the resulting investment return constant. In the event of a significant change in market conditions, the basis for the valuation of different investments shall be brought into line with the new market yields.

8 Consolidated Report Page 8 Notes If a valuation in accordance with the above rules is rendered impossible or incorrect due to particular or changed circumstances, the Company s Board of Directors shall be entitled to use other generally recognized and auditable valuation principles in order to reach a proper valuation of the Subfund s assets. d) Net realised gainloss on sales of investments of each Subfund The realised gains or losses on the sales of securities are calculated on the basis of the average acquisition cost. e) Foreign exchange conversion The financial statements are kept in reference currency of each Subfund and the consolidated financial statements are kept in. Cash at banks, other net assets and the value of portfolio securities in currencies other than reference currency of each Subfund are converted into the reference currency at the foreign exchange rate prevailing on the date of valuation. Income and expenses in currencies other than reference currency of each Subfund are converted into the reference currency at the foreign exchange rate applicable at the date they accrue to the Subfund. Realised gains or losses on foreign currencies are accounted for in the statement of operations. The acquisition cost of securities in currencies other than the reference currency of each Subfund is converted into the reference currency at the foreign exchange rate valid at the date of acquisition. f) Transactions on investments in securities of each Subfund The transactions on investments in securities are booked on a trade date basis. g) Formation expenses of each Subfund Formation expenses are amortised on a straight-line basis over a period of five years. h) Valuation of forward foreign exchange contracts of each Subfund Unmatured forward foreign exchange contracts are valued at valuation date at forward exchange rates prevailing at this date and resulting changes in unrealised gains or losses are posted to the statement of operations and are shown under other assetsliabilities in the statement of net assets. i) Valuation of financial futures contracts of each Subfund Unmatured financial futures contracts are valued at valuation date at market prices prevailing at this date and resulting changes in unrealised gains or losses are posted to the statement of operations and are shown under other assetsliabilities in the statement of net assets. j) Valuation of swaps of each Subfund Please refer to the notes Funded Swap or Swap contracts at concerned Subfund s level. k) Allocation of accrued expenses Accrued expenses which can be allocated directly to a Subfund are charged to this Subfund. Accrued expenses which cannot be allocated directly are divided among the Subfunds in proportion to the net assets of each Subfund. l) Income recognition Dividends are recorded on ex-dividend date, net of withholding tax. Interests are accrued on a daily basis. m) Other Income The trailer commissions received during the periodyear are accounted under Other income. Management fee (see detail at Subfund level) As remuneration for its services and reimbursement of its expenses, the Management Company is entitled to a yearly management fee, payable at the end of each month and calculated on the basis of the average of the daily net asset value of each Subfund during the relevant month. For Solutions (Lux) Prima Multi-Strategy and Solutions (Lux) Prima Growth, in addition to the Management Fee, the Management Company is entitled to a performance fee which is calculated with every net asset value calculation on the basis of the net asset value of the share class concerned. For Solutions (Lux) Fund of Liquid Alternative Beta Funds, Credit Suisse Solutions (Lux) Megatrends, Solutions (Lux) Prima Multi- Strategy and Solutions (Lux) Prima Growth: Besides the expenses incurred by the Company in managing the subfund, a management fee shall be indirectly deducted from the assets of the subfund in respect of the Target Funds contained therein. "Taxe d'abonnement" Under the prevailing laws and regulations, the Company is subject in Luxembourg to a "taxe d'abonnement" at the annual rate of 0.05%, payable quarterly and calculated on the basis of the net assets of each Subfund at the end of each quarter. With the exception of share classes -F- and -T- which are only taxed at 0.01%. This tax does not apply for those assets of the Fund which are invested in other undertakings for collective investment under Luxembourg law. Total Expense Ratio (TER) (see detail at Subfund level) The TER expresses the sum of all costs and commissions charged on an ongoing basis to the respective subfund, taken retrospectively as a percentage of these assets. If a subfund invests at least 10% of its net assets in target funds, a composite TER of this fund of funds is to be calculated as follows. The prorated TER of the individual target funds including a performance related remuneration, weighted according to the share they represent in the overall assets of the fund of funds as of the closing date and the TER of the fund of funds minus the retroceded commissions received from the target funds during the reporting year. The TER is calculated following the SFA guideline. No TER is disclosed for share classes launched less than 6 months before closing date. Portfolio Turnover Rate (PTR) (see detail at Subfund level) The PTR is used as the indicator for the Subfund s trading activities (excluding purchases and sales resulting from subscriptions and buybacks) and is expressed as a percentage of the average net assets of the Subfund during the preceding twelve-month period. The PTR is calculated following the SFA guideline. Changes in the composition of the securities portfolio Changes in the composition of the securities portfolio during the reporting year are available to shareholders free of charge at the registered office of the Management Company or the local representatives in the countries where the Company is registered. Exchange Rates The consolidated financial statements are kept in. For this purpose, the financial statements of the Subfunds are converted into at the foreign exchange rates as of : 1 = For Solutions (Lux) Best of Inflation and Equity Opportunity, the management fee shall be calculated on the basis of the outstanding notional per quarter and shall be payable at the end of each quarter. The management fee borne shall be an all-in fee out of which all fees, expenses and costs shall be paid.

9 Consolidated Report Page 9 Notes Fund performance (see detail at Subfund level) The performance of the year Y is based on the net asset values as calculated on the first business day of the year Y respectively Y+1. Those net asset values reflect the market prices of the investments as of the last business day of the year Y-1 respectively Y. The YTD (year-to-date) Performance includes the period from until Historical performance is no indicator of current or future performance. The performance data given does not take into account commissions and costs incurred in the purchase or redemption of Company s shares. The performance of distributing classes includes the reinvestments of dividends. For shares launched more than 3 years ago no performance since inception is disclosed. Subsequent events - Solutions (Lux) Multimanager Enhanced Fixed Income -Fhas been launched on Solutions (Lux) Multimanager Enhanced Fixed Income -T- has been launched on Solutions (Lux) Multimanager Enhanced Fixed Income -T- has been launched on Solutions (Lux) Multimanager Equity Emerging Markets -F- has been launched on Solutions (Lux) Multimanager Equity Japan -F- has been launched on Solutions (Lux) Fund of Liquid Alternative Beta Funds -F- has been launched on The performances are calculated based on the swung NAV per share. Management fee of target funds ISIN Fund Description Management fee in % (per year) LU BHIF EMERGING MKTS LOCAL FIXED INCOME b 1.50 LU BLACKROCK OPE CREDIT STRATEGIES FD i LU BREVAN HOWARD INVEST II - MACRO FX FD b 2.00 LU DB PLATINUM IV DBX SYST ALPHA INDEX i1ce 0.24 IE00B7BYDJ95 DCI UMBRELLA FUND - DCI FUND FOUR b 1.50 IE00B7N35S78 DCI UMBRELLA FUND - DCI FUND THREE b 0.75 LU EXANE FUNDS 1 - EXANE ARCHIMEDES FUND a 1.50 LU EXANE FUNDS 1 - EXANE TEMPLIERS FUND a 1.50 IE00B462Y168 FL MS PSAM GLOBAL EVENT UCITS FUND b 1.00 IE00B45QDY52 FL MS PSAM GLOBAL EVENT UCITS FUND i 1.50 IE00B53HHV28 FUNDLOGIC ALTERNATIVES - MS ADCEND FD i 1.50 IE00B5N8Q634 FUNDLOGIC ALTERNATIVES - MS ALKEON FD c 1.00 IE00B68CVQ25 FUNDLOGIC ALTERNATIVES - MS ALKEON FD i 2.00 IE00B59P9M57 GAM STAR FUND - GAM STAR GLOBAL RATES 1.70 LU GARTMORE - UK ABSOLUTE RETURN FD i 1.00 IE00B60BDY91 JPM CQS CONVERTIBLE ALPHA FD i 2.00 GB00B6Q84T67 JUPITER ABSOLUTE RETURN FUND 0.75 IE00B3V2GW93 MARSHALL WACE DEV. OPE TOPS FUND a 2.00 LU MLIS - CCI HEALTHCARE LONG-SHORT UCITS b 1.75 LU MLIS - YORK EVENT-DRIVEN UCITS FUND b 1.50 LU MLIS - YORK EVENT-DRIVEN UCITS FUND e 1.50 LU MLIS AQR GLOB. RELATIVE VALUE UCITS FD b 1.50 LU MLIS THEOREMA. EQUITY LS UCITS FD b 2.00 LU OYSTER SICAV - GLOBAL CONVERTIBLES 0.90 IE00B4R5BP74 PIMCO UNCONSTRAINED BOND FUND 0.90 LU SCHRODER GAIA CQS CRED z 1.00 LU SCHRODER GAIA CQS CREDIT c 1.50 LU SCHRODER GAIA EGERTON OPEAN EQUITY c 1.25 IE00B4QQGH82 VERITAS CHINA FUND a 1.00 LU WORLD INVEST SICAV - ABSOLUTE RETURN c 1.75 Risk management The global exposure of the subfunds will be calculated on the basis of the commitment approach. Transaction costs Not all transaction costs are separately identifiable. For fixed income investments, forward currency contracts and for some other derivatives contracts, transaction costs will be included in the purchase and sales price of the investment. Whilst not separately identifiable these transaction costs will be captured within the performance of each sub-fund. For the year ended on , the fund incurred transaction costs relating to purchase or sale of investments in securities and similar transactions, (including derivatives instruments or other eligible assets) as follows: Description Transaction cost Currency Solutions (Lux) Megatrends 20,782.13

10 Solutions (Lux) Best of Inflation and Equity Opportunity Page 10 Manager's Report, Technical Data and Notes Manager's Report The reporting period was characterized by high volatility and uncertainty, with the European sovereign debt crisis remaining the main driving factor. Mario Draghi s speech in July and the subsequent announcement of Outright Monetary Transactions by the European Central Bank (ECB) in September were the key events that caused a clear reduction of tail risks in Europe and triggered a sustained rally in risky assets. Interest rates began to fall again at the end of March, plummeting to new historic lows and rising only slightly towards the end of the period. Credit spreads were more volatile but ended the period substantially lower. The Italian equity market traded in line with the European markets until March and then underperformed, decoupling from the rally in sovereign credit spreads. Inflation break-evens experienced a rollercoaster, falling strongly in May and then rising back to end the period slightly higher. Equity volatility declined strongly until March, then spiked up again before resuming the downward trend and ending the period at its lowest level in five years. The Fund earned a positive total return, only slightly underperforming the MIB index. (The information stated relates to the period under review and is not indicative of future returns.) Technical Data Valoren ISIN Management Fee Total Expense Ratio A - Distribution LU % 1.36% The calculation of the management fee is based on the outstanding notional amount (see note "Management fee" on p. 8). For the period from to , the Portfolio Turnover Rate was 75.78%. Fund Performance YTD Since Inception A - Distribution 4.68% -0.86% 2.56% 7.81% Notes Distributions Ex-Date Amount A-Distribution Swap contracts Type Payable Maturity Receivable Valuation Counterparty Nominal IR Nominal IR (in ) TRS 31,392, Bond's coupon of the ,392, Euribor 3m -18bps VAR -9,592, underlying basket quarterly + 1.5% yearly International - London - United Kingdom in ADVANCE TRS 31,392, Euribor-18bps VAR ,392, Inflation +option VAR 3,034, International - London - United Kingdom participation S&P MIB index Unrealised loss on swap contracts -6,557, The Subfund (i) invested the net subscription proceeds collected when issuing Shares into debt securities issued by corporate and financial institutions that have a credit rating of at least investment grade and money market funds (the "Subfund's Assets") and (ii) entered into one derivative contract in the form of asset swap with a predetermined investment term and on an arm's length basis with International acting as the swap counterparty. The purpose of the Asset Swap is to exchange all the returns of the relevant Subfund's Assets against the performance of the Annual Inflation Coupons and Final Redemption Amount. Based on the swap agreement, relevant market data will be deemed to include credit default swap levels in respect of the Reference Assets. In addition, by the means of a swap, the Subfund aims to provide exposure to the S&P Mib Index, developed by Standard & Poor's and Borsa Italiana and which is the primary benchmark index for the Italian equity market. Capturing approximately 80% of the domestic market capitalisation, the Index is comprised of highly liquid, leading companies across leading sectors in Italy. Valuation for both swaps, Inflation and Equity Option as well as for the Bond Cash Flow agreement (BCA) are received from the counterparty and compared on each NAV calculation to valuations received from an independant valuation provider. The Subfund will implement an investment strategy aiming to return to the Shareholders at the Maturity Date an amount at least equal to the Initial Offering Price, investors must be aware that an investment in the Shares of the Subfund may involve credit risk. The risk associated with an investment in the Subfund can be considered as medium notwithstanding the implementation of the capital protection strategy.

11 Solutions (Lux) Best of Inflation and Equity Opportunity Page 11 Statement of Net Assets in and Fund Evolution Assets Investments in securities at market value 40,494, Cash at banks 220, Income receivable 528, ,242, Liabilities Due to banks 9.01 Provisions for accrued expenses 124, Other liabilities 6,557, ,682, Net assets 34,560, Fund Evolution Total net assets 34,560, ,346, ,597, Net asset value per share A - Distribution Number of shares outstanding at the end of the year at the beginning of the year Number of shares issued Number of shares redeemed A - Distribution 313, , , Other liabilities includes the unrealised loss on swaps contracts.

12 Solutions (Lux) Best of Inflation and Equity Opportunity Page 12 Statement of Operations Changes in Net Assets in For the period from to Net assets at the beginning of the year 43,346, Income Interest on investments in securities (net) 1,704, Bank interest ,705, Expenses Management fee 530, , Net income (loss) 1,174, Realised gain (loss) Net realised gain (loss) on sales of investments 2,923, Net realised gain (loss) on swap contracts 525, Net realised gain (loss) on foreign exchange 24, ,473, Net realised gain (loss) 4,647, Change in net unrealised appreciation (depreciation) Change in net unrealised appreciation (depreciation) on investments 233, Change in net unrealised appreciation (depreciation) on swap contracts -2,621, ,387, Net increase (decrease) in net assets as a result of operations 2,260, Subscriptions Redemptions Subscriptions 0.00 Redemptions -9,883, ,883, Distribution -1,163, Net assets at the end of the year 34,560,150.68

13 Solutions (Lux) Best of Inflation and Equity Opportunity Page 13 Breakdown by Country and Economic Sector of the Investments in Securities Statement of Investments in Securities and Other Net Assets Breakdown by Country USA United Kingdom Spain South Korea Total Breakdown by Economic Sector Banks and other credit institutions Financial, investment and other div. companies Pharmaceuticals, cosmetics and medical products Real estate Food and soft drinks Insurance companies Healthcare and social services Graphics publishing and printing media Internet, software and IT services Total Statement of Investments in Securities and Other Net Assets Description Quantity Nominal Valuation (in ) Securities listed on a stock exchange or other organised markets: Bonds % of net assets Bonds ALTADIS EMISIONES FINANCIERAS 4%05-2,807, ,036, AON SERVICES LUXEMBOURG 6.25%09-3,550, ,819, BOSTON SCIENTIFIC 6.25% ,040, ,117, CITIGROUP 6.375% , , COMPUTER SCIENCES 2.5% ,019, , HCP STEP UP ,818, ,435, JPY HSBC FINANCE S % ,000, ,766, JP MORGAN CHASE (subordinated) FRN 05-6,050, ,861, KRAFT FOODS (reg. -S-) S %09-3,291, ,368, MERRILL LYNCH FRN ,200, ,153, PEARSON DOLLAR FINANCE (reg. -S-) 1,360, ,098, % RENTOKIL INITIAL 4.625% ,772, ,849, UDR S. A T % ,120, ,341, WOORI BANK (reg. -S-) T. 5 7% , , Bonds 40,494, Securities listed on a stock exchange or other organised markets: Bonds 40,494, Total of Portfolio 40,494, Cash at banks 220, Due to banks Other liabilities -6,154, Total net assets 34,560, Any differences in the percentage of Net Assets are the result of roundings.

14 Solutions (Lux) Dow Jones AllHedge Index Page 14 Manager's Report, Technical Data and Notes Manager's Report 2012 began on a positive note as the European Central Bank s expansion of the long-term refinancing operation program imparted confidence to the markets by providing a backstop to bank funding and extending credit lines to otherwise distressed institutions. By the fourth quarter, the focus had shifted to the United States as investors awaited the outcome of the U.S. presidential election. In the end, governments took decisive actions to help stimulate aggregate demand, and hedge funds finished 2012 on a positive note. The objective of the Fund is to achieve a similar performance to the Dow Jones AllHedge Index (benchmark). Overall, net of fees, the Fund slightly outperformed its benchmark in Multi-Strategy was one of the year s best performers, exhibiting broad-based strength at the sub-strategy level as global equity and credit markets recorded a positive performance. Conversely, Managed Futures funds declined: trend followers experienced negative performance as several market reversals made for a difficult investing environment, resulting in overall losses for the sector. In general, markets appeared to be driven more by policy than fundamentals for the year. We still believe that hedge funds will continue to offer diversification and performance benefits, with potential for lower overall portfolio volatility. (The information stated relates to the period under review and is not indicative of future returns.) Technical Data Valoren ISIN Management Fee Total Expense Ratio B - Capitalisation LU % 1.13% I - Capitalisation LU % 0.50% LU % 1.16% LU % 1.14% LU % 0.49% For the period from to , the Portfolio Turnover Rate was %. Fund Performance YTD Since Inception B - Capitalisation 5.44% -9.90% 9.61% 8.77% I - Capitalisation 6.14% 0.23% -9.29% 4.75% % 8.67% 8.09% 5.58% -9.84% 9.06% 9.02% 6.17% -9.47% 10.36% 9.11% Notes

15 Solutions (Lux) Dow Jones AllHedge Index Page 15 Manager's Report, Technical Data and Notes Forward foreign exchange contracts Purchases Counterparty 54,701, ,877, , ,853, ,875, , ,204, ,701, , ,823, ,097, , ,899, ,360, , , , , ,064, , , ,096, ,510, , ,795, ,680, , Sales Net unrealised loss on forward foreign exchange contracts Maturity Valuation (in ) -955, Funded Swap The Subfund invested the net proceeds of the issued shares on the launch date in one derivative contract in the form of a Funded Swap due and entered into with International acting as the swap counterparty. The purpose of the Funded Swap is to exchange the net proceeds against the performance of the Dow Jones AllHedge Index. The index is a diversified benchmark of the hedge fund universe, capturing the characteristics of the industry. As of , the valuation of the Funded 'swap is 167,284, for a notional of 178,000, Compared to a cost of 167,852,950.66, the unrealised loss is 568, The Subfund reduced the gross counterparty risk of the Subfund's OTC swap transactions by causing the swap counterparty to deliver to the relevant Subfund collateral in the form of (i) liquid assets, (ii) debt instruments having an external rating at least equivalent to investment grade, (iii) quoted equities or convertible bonds being part of a main index, (iv) shares or units issued by money market UCITS rated AAA or its equivalent and (v) shares or units issued by bond UCITS rated AAA or its equivalent and provided that the Subfund does not exchange the performance of the bonds against the performance of another asset class. Such collateral is kept by a first class financial institution in a segregated account opened on behalf of the Subfund and shall be enforceable by the Company for the account of the Subfund at all times and will be marked to market on a daily basis. As of , the market value of the collateral was 221,593, The funded swap will be valued on a consistent basis based on bid, offer or mid prices as determined in good faith pursuant to procedures established by the Board of Directors. When deciding whether to use the bid, offer or mid prices the Board of Directors will take into consideration the anticipated subscription or redemption flows, among other parameters. If, in the opinion of the Board of Directors, such values do not reflect the fair market value of the relevant OTC swap transactions, the value of such OTC swap transactions will be determined in good faith by the Board of Directors or by such other method as it deems in its discretion appropriate.

16 Solutions (Lux) Dow Jones AllHedge Index Page 16 Statement of Net Assets in and Fund Evolution Assets Investments in securities at market value 18,191, Cash at banks 5,887, Subscriptions receivable 546, Income receivable Formation expenses 57, Other assets 167,284, ,968, Liabilities Redemptions payable 553, Provisions for accrued expenses 284, Other liabilities 955, ,793, Net assets 190,174, Fund Evolution Total net assets 190,174, ,220, ,922, Net asset value per share B - Capitalisation I - Capitalisation 1, , Number of shares outstanding at the end of the year at the beginning of the year Number of shares issued Number of shares redeemed B - Capitalisation 221, , , , I - Capitalisation 23, , , , , ,200, , , , , , , , , , , Other assets includes mainly the valuation on the swap contract of Solutions (Lux) Dow Jones AllHedge Index.

17 Solutions (Lux) Dow Jones AllHedge Index Page 17 Statement of Operations Changes in Net Assets in For the period from to Net assets at the beginning of the year 349,220, Income Other income 3,858, ,858, Expenses Management fee 2,108, Custodian and safe custody fees 33, Printing and publication expenses 19, Interest and bank charges Audit, control, legal, representative bank and other expenses 115, "Taxe d'abonnement" 118, Amortisation of formation expenses 137, ,532, Net income (loss) 1,325, Realised gain (loss) Net realised gain (loss) on sales of investments -354, Net realised gain (loss) on swap contracts -6,050, Net realised gain (loss) on forward foreign exchange contracts -12,648, Net realised gain (loss) on foreign exchange -3,622, ,674, Net realised gain (loss) -21,349, Change in net unrealised appreciation (depreciation) Change in net unrealised appreciation (depreciation) on investments 781, Change in net unrealised appreciation (depreciation) on swap contracts 9,422, Change in net unrealised appreciation (depreciation) on forward foreign exchange contracts 6,739, ,942, Net increase (decrease) in net assets as a result of operations -4,406, Subscriptions Redemptions Subscriptions 67,878, Redemptions -222,516, ,638, Net assets at the end of the year 190,174, Other income includes commissions received in the context of the swing price adjustment.

18 Solutions (Lux) Dow Jones AllHedge Index Page 18 Breakdown by Country and Economic Sector of the Investments in Securities Statement of Investments in Securities and Other Net Assets Breakdown by Country USA Luxembourg Total Breakdown by Economic Sector Financial, investment and other div. companies Investment trustsfunds Total Statement of Investments in Securities and Other Net Assets Description Quantity Nominal Valuation (in ) Securities listed on a stock exchange or other organised markets: Investment funds % of net assets Fund units (Open-End) JP MORGAN LIQUIDITY FUNDS SICAV - US , DOLLAR LIQUIDITY FUND -A- PARVEST SICAV - SHORT TERM (DOLLAR) 1, , Fund units (Open-End) 568, Securities listed on a stock exchange or other organised markets: Investment funds 568, Money Market Instruments Certificates CREDIT SUISSE DELTA 1 CERTIFICATE TO ALL HEDGE INDEX ,500, ,623, Certificates 17,623, Money Market Instruments 17,623, Total of Portfolio 18,191, Cash at banks 5,887, Other net assets 166,095, Total net assets 190,174, Any differences in the percentage of Net Assets are the result of roundings.

19 Solutions (Lux) Fund of Liquid Alternative Beta Funds Page 19 Manager's Report, Technical Data and Notes Manager's Report The Fund was launched on November 30, 2012 and thus has no performance to report. At launch, the Fund allocated all of its assets into UCITS funds designed to track several of the Liquid Alternative Beta Indices. The allocation was chosen systematically to provide returns that track these indices, which are designed to provide similar risk and return characteristics to the Dow Jones Hedge Fund Index but without direct investments in hedge funds. (The information stated relates to the period under review and is not indicative of future returns.) Technical Data Valoren ISIN Management Fee Total Expense Ratio LU % LU % Solutions (Lux) Fund of Liquid Alternative Beta Funds -T- and Solutions (Lux) Fund of Liquid Alternative Beta Funds -T- have been launched on No TER is disclosed for share classes launched less than 6 months before closing date. Fund Performance YTD Since Inception -0.01% -0.01% Notes Forward foreign exchange contracts Purchases Sales Maturity Valuation Counterparty (in ) 107,139, ,093, , Zürich 59,962, ,660, , Unrealised gain on forward foreign exchange contracts 339,176.02

20 Solutions (Lux) Fund of Liquid Alternative Beta Funds Page 20 Statement of Net Assets in and Fund Evolution Assets Investments in securities at market value 178,205, Subscriptions receivable 204,069, Other assets 339, ,614, Liabilities Due to banks 178,212, Provisions for accrued expenses 6, Other liabilities 341, ,561, Net assets 204,052, Fund Evolution Total net assets Net asset value per share 204,052, Number of shares outstanding at the end of the period at the beginning of the period Number of shares issued Number of shares redeemed 59, , , ,

21 Solutions (Lux) Fund of Liquid Alternative Beta Funds Page 21 Statement of Operations Changes in Net Assets in For the period from to Net assets at the beginning of the period 0.00 Expenses Management fee 3, Custodian and safe custody fees "Taxe d'abonnement" 3, , Net income (loss) -6, Realised gain (loss) Net realised gain (loss) on foreign exchange 39, , Net realised gain (loss) 32, Change in net unrealised appreciation (depreciation) Change in net unrealised appreciation (depreciation) on investments -7, Change in net unrealised appreciation (depreciation) on forward foreign exchange contracts 339, , Net increase (decrease) in net assets as a result of operations 364, Subscriptions Redemptions Subscriptions 203,688, Redemptions ,688, Net assets at the end of the period 204,052,901.80

22 Solutions (Lux) Fund of Liquid Alternative Beta Funds Page 22 Breakdown by Country and Economic Sector of the Investments in Securities Statement of Investments in Securities and Other Net Assets Breakdown by Country Luxembourg Total Statement of Investments in Securities and Other Net Assets Description Quantity Nominal Valuation (in ) Securities listed on a stock exchange or other organised markets: Investment funds % of net assets Fund units (Open-End) Breakdown by Economic Sector Investment trustsfunds Total CREDIT SUISSE FUND I (LUX) FLOATING RATE STRATEGY -IB- CREDIT SUISSE NOVA (LUX) - LEVERAGED LAB -D- CREDIT SUISSE SICAV ONE (LUX) - LIQUID ALTERNATIVE BETA -D- CREDIT SUISSE SICAV ONE (LUX) - LIQUID EVENT DRIVEN -D- CREDIT SUISSE SICAV ONE (LUX) - LIQUID GLOBAL STRATEGIES -D- CREDIT SUISSE SICAV ONE (LUX) - LIQUID LONGSHORT -D- 196, ,992, , ,276, , ,754, , ,599, , ,754, , ,828, Fund units (Open-End) 178,205, Securities listed on a stock exchange or other organised markets: Investment funds 178,205, Total of Portfolio 178,205, Due to banks -178,212, Other net assets 204,060, Total net assets 204,052, Any differences in the percentage of Net Assets are the result of roundings.