Multi-Style, Multi-Manager Funds plc

Transcription

1 2012 SEMI ANNUAL REPORT Multi-Style, Multi-Manager s plc an umbrella fund with segregated liability between sub-funds (Unaudited) The Actions France ** The Core Eurozone Equity ** The Euro Cash * The Euro Fixed Income * The European Small Cap The Eurozone Aggressive Equity The Global Bond (Euro Hedged) * The Global Bond ** The Global Real Estate Securities The Global Strategic Yield ** The Japan Equity The Pacific Basin (ex Japan) Equity The Pan European Equity * The U.S. Equity ** The U.S. Small Cap * * Ceased trading during the year ended 30 September 2011 ** Ceased trading during the six months ended

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3 Contents Administration of the Company... 2 Background to the Company... 5 Combined Statements... 6 The Actions France ** The Core Eurozone Equity ** The Euro Cash * The Euro Fixed Income * The European Small Cap The Eurozone Aggressive Equity The Global Bond (Euro Hedged) * The Global Bond ** The Global Real Estate Securities The Global Strategic Yield ** The Japan Equity The Pacific Basin (ex Japan) Equity The Pan European Equity * The U.S. Equity ** The U.S. Small Cap * Notes to the Financial Statements Appendix I - Total Expense Ratio Appendix II - Portfolio Turnover Rates * Ceased trading during the year ended 30 September ** Ceased trading during the six months ended. Contents

4 Administration of the Company Board of Directors of the Company Principal Money Manager Mr. James Firn (Chairman) Russell Investments Limited Mr. James Beveridge Rex House Mr. André Bonder (appointed 16 December 2011) 10 Regent Street Mr. Peter Gunning (appointed 22 September 2011) London SW1Y 4PE Mr. Michael Hunt (resigned 2 March 2012) England Mr. Neil Jenkins (appointed 21 October 2011) Mr. Christophe Lamarie (appointed 11 November 2011) Custodian and Trustee Mr. John McMurray (appointed 15 March 2012) State Street Custodial Services (Ireland) Limited Mr. Paul McNaughton (appointed 22 September 2011) 78 Sir John Rogerson s Quay Mr. Christophe Romero (appointed 21 October 2011) Dublin 2 Mr. William Roberts Ireland Mr. Alan Schoenheimer (appointed 22 September 2011) Mr. David Shubotham (appointed 22 September 2011) Secretary Mr. Bryan Tiernan Bradwell Limited Ms. Mai-Khanh Vo Tissier (appointed 11 November 2011) Arthur Cox Building Mr. Kenneth Willman (appointed 22 September 2011) Earlsfort Centre Earlsfort Terrace Audit Committee Members Dublin 2 Mr. David Shubotham (Chairman) Ireland Mr. Paul McNaughton Mr. William Roberts Co-Promoter and Advisor to the Manager** Amundi Registered Office 90, boulevard Pasteur 78 Sir John Rogerson's Quay Paris cedex 15 Dublin 2 France Ireland Co-Promoter and Equitisation Money Manager*** Manager Frank Russell Company SG/Russell Asset Management Limited* 1301 Second Avenue 78 Sir John Rogerson's Quay 18 th Floor Dublin 2 Seattle, WA Ireland United States of America Independent Auditors Distributors PricewaterhouseCoopers Russell Investments Limited Chartered Accountants and Statutory Audit Firm Rex House One Spencer Dock 10 Regent Street North Wall Quay London SW1Y 4PE Dublin 1 England Ireland Amundi** Legal Advisers 90, boulevard Pasteur Arthur Cox Paris cedex 15 Earlsfort Centre France Earlsfort Terrace Dublin 2 Money Managers for The European Small Cap Ireland Liontrust European Investment Services Limited 2 Savoy Court Administrator London WC2R 0EZ State Street Services (Ireland) Limited England 78 Sir John Rogerson s Quay Dublin 2 Ireland * SG/Russell Asset Management Limited was replaced as Manager of the Company by Russell Investments Ireland Limited on 2 May ** Amundi s appointment as Co-Promoter, Advisor and Distributor ceased on 2 May *** Became sole Promoter of the Company on 2 May Administration of the Company

5 Administration of the Company - continued Metropole Gestion Funnex Asset Management Inc. 9, rue des Filles Saint-Thomas Hibiya Kokusai Building 18F Paris 2-2-3, Uchisaiwai-cho, Chiyoda-ku France Tokyo, Japan Metzler Asset Management GmbH Grosse Gallusstrasse 18 Russell Implementation Services Inc Frankfurt/Main 1301 Second Avenue Germany 18 th Floor Seattle, WA Money Managers for The Eurozone Aggressive United States of America Equity Liontrust European Investment Services Limited Sumitomo Trust & Banking 2 Savoy Court 111 River Street London WC2R 0EZ Hoboken England New Jersey, NJ United States of America Metropole Gestion 9, rue des Filles Saint-Thomas Zebra Capital Management, LLC Paris 612 Wheelers Farms Road France Milford, CT United States of America Oechsle International Advisors, LLC 1 International Pl, 23 rd Floor Money Managers for The Pacific Basin (ex Japan) Equity Boston, MA, United States of America Aberdeen Asset Management 21 Church Street S.W. Mitchell Capital, LLP Capital Square Two 52 Jermyn Street Singapore London SW1Y 6LX Singapore England Havenport Asset Management Money Managers for The Global Real Estate Securities 8 Eu Tong Sen Street #21-96/97 Office 1, The Central AEW Capital Management, L.P. Singapore World Trade Center East Singapore Two Seaport Lane, 15 th Floor Boston, MA Ignis Asset Management Limited United States of America 50 Bothwell Street Glasgow G2 6HR Cohen and Steers Capital Management, Inc. Scotland 280 Park Avenue, 10 th Floor New York, NY Russell Investment Management Limited United States of America Level 17, Martin Place Sydney, NSW 2000 Invesco Institutional (N.A.) Inc. Australia Noel Road, Suite 500 Three Galleria Tower TT International Dallas, TX Moor House United States of America Level 13, 120 London Wall London EC2Y 5ET Money Managers for The Japan Equity England Alliance Bernstein Institutional Investments Devonshire House One Mayfair Place London W1J 8AJ England Administration of the Company 3

6 Administration of the Company - continued Paying and Information Agent in Austria Paying and Information Agent in Italy UniCredit Bank Austria AG BNP Paribas, Italian Branch Schottengasse 6-8 Via Ansperto, 5 A-1010 Vienna Milan Austria Italy Paying and Centralising Agent in France Paying Agent in Italy Société Générale SGSS S.p.A. 29, boulevard Haussmann Via Benigno Crespi, 19/A - MAC Paris Milan France Italy Paying and Information Agent in Germany* Representative and Paying Agent in Switzerland** Société Générale BNP Paribas Securities Services, Paris Zweigniederlassung Frankfurt am Main succursale de Zurich Neue Mainzer Straße Selnaustrasse Frankfurt am Main 8002 Zürich Germany Switzerland * The Company s Memorandum and Articles of Association, the Prospectus, the Simplified Prospectus, the unaudited semi-annual reports, as well as the audited annual reports can be obtained free of charge from the office of the paying and information agent in Germany. The net asset value of each of the s and the subscription and redemption prices of the shares of the s are published jointly and daily in the Borsen Zeitung for information purposes only and do not constitute an invitation to subscribe for or repurchase the Company s shares at those prices. ** The Company s Memorandum and Articles of Association, the Prospectus, the Simplified Prospectus, the unaudited semi-annual reports, as well as the audited annual reports can be obtained free of charge from the representative in Switzerland. Subscription and redemption prices of the shares of each of the Company are published jointly and daily in Switzerland on info ( for information purposes only and do not constitute an invitation to subscribe for or repurchase the Company s shares at those prices. A copy of the list of changes in the portfolio during the reference period may be obtained free of charge from the Company s Administrator or from the paying agent or paying and information agents in each country of distribution. 4 Administration of the Company

7 Background to the Company Multi-Style, Multi-Manager s plc (the Company ) was incorporated on 7 May 1998 and operates in Ireland as a public limited company under the Companies Acts 1963 to It is authorised by the Central Bank of Ireland (the Central Bank ) and it was first authorised on 8 July The Company is an open-ended investment company with variable capital which is authorised by the Central Bank under the European Communities (Undertakings for Collective Investment in Transferable Securities) Regulations, 2011 (the UCITS Regulations ). The Company is organised in the form of an umbrella fund with segregated liability between sub-funds and as at, had fifteen constituent sub-funds (each a collectively the s ) and various classes of shares. On the application by the Company to the Central Bank, the approval of The Euro Cash, The Euro Fixed Income and The U.S. Small Cap was revoked with effect from 1 May Net assets under management for the Company at amounted to 546,878,301 (30 September 2011: 1,915,384,610 and 31 March 2011: 3,171,216,999) broken down as follows: ed during the year ended Functional Currency Net Assets Net Assets 30 September 2011 Net Assets 31 March 2011 The Actions France **** 30 September ,914, ,445,182 The Core Eurozone Equity ***** 30 September ,688, ,445,417 The Euro Cash 30 September The Euro Fixed Income ** 30 September ,569,964 The European Small Cap 30 September ,024,292 54,245,781 74,151,193 The Eurozone Aggressive Equity 30 September ,686,998 43,999,741 60,520,065 The Global Bond (Euro Hedged) * 30 September ,356,702 The Global Bond # 30 September ,178, ,932,031 The Global Real Estate Securities 30 September ,208, ,996, ,202,741 The Global Strategic Yield ## 30 September ,988, ,219,144 The Japan Equity 30 September 2000 JPY 5,452,823,234 6,358,220,205 6,716,770,939 The Pacific Basin (ex Japan) Equity 30 September ,717,126 75,064, ,817,111 The Pan European Equity *** 30 September ,272,922 The U.S. Equity ### 30 September ,468,506 91,116,523 The U.S. Small Cap * 30 September ,405,617 The ceased trading on 9 December **** The ceased trading on 10 November * The merged with The Global Bond (Euro Hedged) of Russell ***** The ceased trading on 17 November # Investment Company plc on 11 April The merged with The Global Bond of Russell ** The merged with The Euro Fixed Income of Russell Investment Investment Company plc on 27 February ## Company plc on 15 April The merged with The Global Strategic Yield of *** The merged with The Pan European Equity of Russell Russell Investment Company plc on 28 February ### Investment Company II plc on 24 May The ceased trading on 28 March Introductory Manager s Report The objective of these s is to deliver consistent and superior returns to investors using a multi-manager approach to reduce performance volatility. The Manager seeks to achieve this in the s which primarily invest in equities, by building a portfolio where the market bets (sector, size, style and other biases) are controlled using portfolio analytics and simulation tools to check the fit between managers to whom the s assets are allocated, thereby minimising costly overlap. The main source of value-added for the s which primarily invest in equities is stock selection. The research of the Manager indicates that this is the most reliable and consistent source of outperformance. The Manager seeks to achieve the investment objective in the s which primarily invest in debt instruments by building a fund structure where the market bets (country, currency, duration, style and other biases) are controlled, using a team of managers with distinct and complementary investment approaches. The main sources of value-added for the s which primarily invest in debt instruments are currency and duration positions. Please see each s Money Manager s Report for details of the investment objectives of the particular. Background to the Company 5

8 Combined Balance Sheet As at Total (Unaudited) Total 30 September 2011 (Audited) Total 31 March 2011 (Unaudited) Assets Financial assets at fair value through profit or loss ,045,102 1,906,710,459 3,095,353,526 Cash at bank... 6,474,661 26,561,178 57,915,595 Cash held with brokers and counterparties for open derivative positions... 1,616,571 10,517,654 3,842,871 Cash received as collateral and invested relating to securities lending transactions... 16,771,396 70,224, ,437,818 Broker cash held as collateral for financial derivative instruments transactions ,498,099 5,672,610 Debtors: Receivable for investments sold... 7,187,026 13,801,607 43,592,002 Receivable on fund shares issued , ,090 5,727,019 Dividends receivable... 2,218,548 7,212,386 4,945,219 Interest receivable... 5,945 10,649,368 13,966,623 Miscellaneous receivables... 11,164 15,425 - Prepaid expenses , ,438,225 2,048,183,467 3,353,456,203 Liabilities Financial liabilities at fair value through profit or loss: (1,269,439) (45,273,231) (12,734,904) Creditors amounts falling due within one year: Cash due to counterparties for securities lending transactions... (16,771,396) (70,224,201) (122,437,819) Cash due to brokers and counterparties for open derivative positions... - (153,181) (499,413) Broker cash due to counterparties for financial derivative instruments transactions... - (1,498,099) (5,672,610) Payable to Lehman... - (21,065) (29,804) Payable for investments purchased... (5,442,219) (14,090,308) (21,494,976) Payable on fund shares redeemed... (1,351,543) (2,214,598) (16,117,513) Audit fees payable... (144,573) (302,472) (273,620) Management fees payable... (585,798) (1,727,669) (2,821,533) Performance fees payable... - (2,112,124) (2,681,374) Custodian and Trustee fees payable... (7,112) (24,382) (40,085) Sub-custodian fees payable... (108,239) (174,729) (324,134) Administration and transfer agency fees payable... (11,853) (40,626) (67,364) Termination provision fees payable... (174,039) (40,589) - Miscellaneous expenses payable... (482,562) (293,399) (601,918) (26,348,773) (138,190,673) (185,797,067) Net assets attributable to redeemable participating shareholders (at bid market prices) ,089,452 1,909,992,794 3,167,659,136 Adjustment from bid market prices to last traded market prices ,849 5,391,816 3,557,863 6 Combined Balance Sheet

9 Combined Balance Sheet - continued As at Total (Unaudited) Total 30 September 2011 (Audited) Total 31 March 2011 (Unaudited) Net assets attributable to redeemable participating shareholders (at last traded market prices) ,878,301 1,915,384,610 3,171,216,999 Combined Balance Sheet 7

10 Combined Profit and Loss Account For the six months ended Total Six months ended (Unaudited) Total Year ended 30 September 2011 (Audited) Total Six months ended 31 March 2011 (Unaudited) Income Dividends... 8,771,096 75,975,873 18,881,086 Bond interest... 15,889,453 47,675,851 25,504,622 Bank and short term investment interest... 20, , ,633 Securities lending income ,000 2,032,894 1,054,719 Miscellaneous income ,340 1,165, ,915 25,163, ,026,816 46,529,975 Net gain (loss) on investment activities ,395,404 (287,579,272) 221,089,928 Total investment income (expense) ,559,093 (160,552,456) 267,619,903 Expenses Management fees... (6,720,610) (30,512,352) (17,284,467) Performance fees... (79,801) (431,003) (1,000,251) Custodian and Trustee fees... (119,552) (600,129) (361,564) Sub-custodian fees... (477,367) (1,588,463) (957,847) Administration and transfer agency fees... (316,644) (1,378,465) (855,814) Audit fees... (145,056) (302,472) (273,620) Professional fees... (212,460) (593,901) (223,815) Termination provision fees... (357,594) (185,866) - Miscellaneous fees... (321,681) (738,948) (1,002,939) Total operating expenses... (8,750,765) (36,331,599) (21,960,317) Net income (expense) ,808,328 (196,884,055) 245,659,586 Finance costs Distributions... (14,095,318) (16,974,389) (6,822,582) Interest expense... (294,629) (76,926) (41,733) Profit (loss) for the financial period/year/period before withholding tax ,418,381 (213,935,370) 238,795,271 Taxation Withholding tax... (6,194,685) (10,836,606) (2,509,872) Capital gains tax... (85,377) (16,433) 383 Profit (loss) for the financial period/year/period after withholding tax ,138,319 (224,788,409) 236,285,782 Movement in adjustment from bid market prices to last traded market prices... (4,602,967) 1,146,863 (687,090) Net increase (decrease) in net assets attributable to redeemable participating shareholders resulting from operations ,535,352 (223,641,546) 235,598,692 For the six months ended, all amounts arose solely from continuing operations with the exception of The Actions France, The Core Eurozone Equity and The U.S. Equity which all ceased trading during the period; The Global Bond which merged with The Global Bond of Russell Investment Company plc during the period and The Global Strategic Yield which merged with The Global Strategic Yield of Russell Investment Company plc during the period. 8 Combined Profit and Loss Account

11 Combined Profit and Loss Account - continued For the six months ended For the year ended 30 September 2011, all amounts arose solely from continuing operations with the exception of The Euro Cash and The U.S. Small Cap, which both ceased trading during the year; The Euro Fixed Income which merged with The Euro Fixed Income of Russell Investment Company plc during the year; The Global Bond (Euro Hedged) which merged with The Global Bond (Euro Hedged) of Russell Investment Company plc during the year; and The Pan European Equity which merged with The Pan European Equity of Russell Investment Company II plc during the year. There are no recognised gains or losses other than those dealt within the Profit and Loss Account. Combined Profit and Loss Account 9

12 Combined Statement of Changes in Net Assets Attributable to Redeemable Participating Shareholders For the six months ended Total Six months ended (Unaudited) Total Year ended 30 September 2011 (Audited) Total Six months ended 31 March 2011 (Unaudited) Net increase (decrease) in net assets attributable to redeemable participating shareholders resulting from operations ,535,352 (223,641,546) 235,598,692 Share transactions Net increase (decrease) in net assets attributable to redeemable participating shareholders resulting from share transactions... (1,545,814,781) (1,952,249,680) (1,114,450,203) Reinvestment of deemed distributions on accumulation shares... 14,091,025 15,529,861 5,937,945 Total net increase (decrease) in net assets attributable to redeemable participating shareholders resulting from operations... (1,367,188,404) (2,160,361,365) (872,913,566) Currency translation (Note 2)... (1,317,905) 10,998,991 (20,616,419) Net assets attributable to redeemable participating shareholders Beginning of period/year/period... 1,915,384,610 4,064,746,984 4,064,746,984 End of period/year/period ,878,301 1,915,384,610 3,171,216, Combined Statement of Changes in Net Assets Attributable to Redeemable Participating Shareholders

13 The Actions France Manager s Report Investment Objective The Actions France s (the ) investment objective was to achieve capital appreciation by investing primarily in a portfolio of equities, domiciled and listed on regulated markets in France. The s net assets were predominantly invested in issuers based in France. As the ceased trading 10 November 2011, there is no commentary of any significance to report. The Actions France 11

14 The Actions France Balance Sheet As at (Unaudited) 30 September 2011* (Audited) 31 March 2011 (Unaudited) Assets Financial assets at fair value through profit or loss (Note 1) ,427, ,353,386 Cash at bank (Note 5) ,786 2,511, ,014 Cash held with brokers and counterparties for open derivative positions (Note 5) ,888, ,000 Cash received as collateral and invested for securities lending transactions (Note 4) ,174,328 Debtors: Receivable for investments sold ,507,704 2,345,718 Dividends receivable ,710, ,281 Prepaid expenses ,920 Miscellaneous receivable , ,045, ,025,647 Liabilities Creditors amounts falling due within one year: Cash due to counterparties for securities lending transactions (9,174,328) Payable for investments purchased... - (2,167,612) (1,215,821) Management fees payable... - (348,752) (603,604) Performance fees payable... - (916,823) (702,366) Custodian and Trustee fees payable... - (5,232) (8,683) Sub-custodian fees payable... (10,087) (20,100) (20,758) Administration and transfer agency fees payable... - (8,719) (14,718) Audit fees payable... (12,235) (18,480) (6,568) Termination provision fees payable... (81,464) - - Miscellaneous fees payable... - (10,253) (18,744) (103,786) (3,495,971) (11,765,590) Net assets attributable to redeemable participating shareholders (at bid market prices) ,549, ,260,057 Adjustment from bid market prices to last traded market prices , ,125 Net assets attributable to redeemable participating shareholders (at last traded market prices) ,914, ,445,182 * The ceased trading on 10 November The Actions France

15 The Actions France Profit and Loss Account For the six months ended Six months ended (Unaudited) Year ended 30 September 2011* (Audited) Six months ended 31 March 2011 (Unaudited) Income Dividends... 75,785 24,812,958 3,776,366 Bank and short term investment interest... 5,841 9,120 3,307 Securities lending income (Note 4)... 28, , , ,428 25,396,952 4,224,420 Net gain (loss) on investment activities... 12,247,638 (114,500,413) 60,521,628 Total investment income (expense)... 12,358,066 (89,103,461) 64,746,048 Expenses Management fees (Note 3)... (497,481) (6,632,579) (3,567,396) Performance fees (Note 3)... - (346,457) (131,998) Custodian and Trustee fees (Note 3)... (9,239) (127,723) (68,869) Sub-custodian fees (Note 3)... (25,278) (129,925) (61,372) Administration and transfer agency fees (Note 3)... (18,804) (273,463) (147,922) Audit fees... (13,061) (18,480) (8,677) Professional fees... (25,037) (65,375) (28,120) Termination provision fees... (100,000) - - Miscellaneous fees... (17,659) (158,962) (82,309) Total operating expenses... (706,559) (7,752,964) (4,096,663) Net income (expense)... 11,651,507 (96,856,425) 60,649,385 Finance costs Interest expense... - (16,774) (7,306) Profit (loss) for the financial period before withholding tax... 11,651,507 (96,873,199) 60,642,079 Taxation Withholding tax (Note 7)... (2,624,649) (3,799,122) (560,761) Profit (loss) for the financial period after withholding tax... 9,026,858 (100,672,321) 60,081,318 Movement in adjustment from bid market prices to last traded market prices... (364,970) 179,769 (76) Net increase (decrease) in net assets attributable to redeemable participating shareholders resulting from operations... 8,661,888 (100,492,552) 60,081,242 All amounts arose solely from terminating activities. There are no recognised gains or losses other than those dealt with in the Profit and Loss Account. * The ceased trading on 10 November The Actions France 13

16 The Actions France Statement of Changes in Net Assets Attributable to Redeemable Participating Shareholders For the six months ended Six months ended (Unaudited) Year ended 30 September 2011* (Audited) Six months ended 31 March 2011 (Unaudited) Net increase (decrease) in net assets attributable to redeemable participating shareholders resulting from operations... 8,661,888 (100,492,552) 60,081,242 Share transactions Net increase (decrease) in net assets attributable to redeemable participating shareholders resulting from share transactions (Note 6)... (428,576,438) (48,797,770) 72,159,068 Total net increase (decrease) in net assets attributable to redeemable participating shareholders... (419,914,550) (149,290,322) 132,240,310 Net assets attributable to redeemable participating shareholders Beginning of period ,914, ,204, ,204,872 End of period ,914, ,445,182 * The ceased trading on 10 November The Actions France

17 The Actions France * Statement of Changes in Composition of Portfolio Listed below are the 20 largest cumulative investment purchases and sales during the six months ended Portfolio Securities Acquisition Cost Portfolio Securities Disposal Proceeds Russell Investment Company III plc Total SA (43,080,581) The Euro Liquidity Russell Investment Company III plc Class C Income Shares 24,522,000 The Euro Liquidity Danone 3,941,451 Class C Income Shares (41,061,775) Unibail-Rodamco SE 2,704,062 Sanofi-Aventis SA (34,017,471) France Telecom SA 2,410,998 BNP Paribas (22,944,797) Casino Guichard Perrachon SA 2,328,166 Danone (19,301,973) Remy Cointreau SA 1,967,330 AXA SA (14,441,581) Sanofi-Aventis SA 1,822,113 GDF Suez (14,329,434) GDF Suez 1,478,320 France Telecom SA (14,244,831) LVMH Moet Hennessy Louis Vuitton SA 1,425,037 L'Oreal (13,602,737) Technip SA 1,276,544 Cie de Saint-Gobain (13,535,519) Statoil ASA 1,174,386 Air Liquide SA (13,259,634) Air Liquide SA 1,148,506 LVMH Moet Hennessy Louis Vuitton SA (12,861,382) L'Oreal 1,137,396 Société Generale (9,395,281) Essilor International SA 1,116,369 Schneider Electric SA (8,525,662) Societe BIC SA 1,106,446 Établissements Michelin (8,433,009) EDF Energies Nouvelles SA 910,467 Unibail-Rodamco SE (7,484,449) Total SA 870,746 Christian Dior SA (7,228,995) SEB SA 857,347 Cap Gemini SA (6,867,121) AXA SA 855,157 Vivendi SA (6,738,769) SES SA 828,218 Casino Guichard Perrachon SA (6,263,371) * The ceased trading on 10 November A copy of the list of changes in the portfolio during the reference period may be obtained free of charge from the Company s Administrator or from the paying agent or paying and information agents in each country of distribution. The Actions France 15

18 The Core Eurozone Equity Manager s Report Investment Objective The Core Eurozone Equity s (the ) objective was to achieve capital appreciation by investing predominantly in a portfolio of equities domiciled and listed on regulated markets in the Member States of the E.U. that have adopted the Euro. At least 75 per cent of The s total assets was invested in issuers based in the E.U., Norway and Iceland. As the ceased trading 17 November 2011, there is no commentary of any significance to report. 16 The Core Eurozone Equity

19 The Core Eurozone Equity Balance Sheet As at (Unaudited) 30 September 2011* (Audited) 31 March 2011 (Unaudited) Assets Financial assets at fair value through profit or loss (Note 1) ,874, ,692,861 Cash at bank (Note 5) ,452 1,925,164 1,208,426 Cash held with brokers and counterparties for open derivative positions (Note 5) ,433, ,827 Cash received as collateral and invested relating to securities lending transactions (Note 4) ,572,001 Debtors: Receivable for investments sold ,473, ,183 Dividends receivable ,465,351 1,229, , ,171, ,752,950 Liabilities Creditors amounts falling due within one year: Cash due to counterparties for securities lending transactions (Note 4) (10,572,001) Payable for investments purchased... - (3,428,367) (602,216) Payable on fund shares redeemed... (446,791) (720,644) (273,988) Management fees payable... - (350,341) (589,985) Performance fees payable... - (1,195,301) (1,979,008) Custodian and Trustee fees payable... - (5,255) (8,512) Sub-custodian fees payable... - (20,478) (28,457) Administration and transfer agency fees payable... - (8,759) (14,411) Termination provision fees payable... (84,981) - - Audit fees payable... (11,680) (17,507) (6,268) Miscellaneous fees payable... - (1,873) (5,216) (543,452) (5,748,525) (14,080,062) Net assets attributable to redeemable participating shareholders (at bid market prices) ,423, ,672,888 Adjustment from bid market prices to last traded market prices ,265,903 (227,471) Net assets attributable to redeemable participating shareholders (at last traded market prices) ,688, ,445,417 * The ceased trading on 17 November The Core Eurozone Equity 17

20 The Core Eurozone Equity Profit and Loss Account For the six months ended Six months ended (Unaudited) Year ended 30 September 2011* (Audited) Six months ended 31 March 2011 (Unaudited) Income Dividends... 1,034,944 25,794,302 4,682,124 Bank and short term investment interest... 6,821 8,384 2,742 Securities lending income (Note 4) , ,808 1,041,765 26,414,529 5,045,674 Net gain (loss) on investment activities... 7,272,451 (124,588,749) 52,765,435 Total investment income (expense)... 8,314,216 (98,174,220) 57,811,109 Expenses Management fees (Note 3)... (583,764) (6,447,613) (3,483,844) Custodian and Trustee fees (Note 3)... (10,542) (124,522) (67,418) Sub-custodian fees (Note 3)... (21,583) (159,658) (93,320) Administration and transfer agency fees (Note 3)... (21,116) (267,118) (145,210) Audit fees... (12,802) (17,507) (8,071) Professional fees... (13,044) (63,378) (27,299) Performance fees (Note 3)... (79,801) (84,546) (868,253) Termination provision fees... (250,000) - - Miscellaneous fees... (32,439) (147,290) (70,723) Total operating expenses... (1,025,091) (7,311,632) (4,764,138) Net income (expense)... 7,289,125 (105,485,852) 53,046,971 Finance costs Interest expense... - (11,788) (5,469) Profit (loss) for the financial period before withholding tax... 7,289,125 (105,497,640) 53,041,502 Taxation Withholding tax (Note 7)... (2,567,578) (3,217,914) (438,344) Profit (loss) for the financial period after withholding tax... 4,721,547 (108,715,554) 52,603,158 Movement in adjustment from bid market prices to last traded market prices... (1,265,903) 1,185,261 (308,113) Net increase (decrease) in net assets attributable to redeemable participating shareholders resulting from operations... 3,455,644 (107,530,293) 52,295,045 All amounts arose solely from terminating activities. There are no recognised gains or losses other than those dealt with in the Profit and Loss Account. * The ceased trading on 17 November The Core Eurozone Equity

21 The Core Eurozone Equity Statement of Changes in Net Assets Attributable to Redeemable Participating Shareholders For the six months ended Six months ended (Unaudited) Year ended 30 September 2011* (Audited) Six months ended 31 March 2011 (Unaudited) Net increase (decrease) in net assets attributable to redeemable participating shareholders resulting from operations... 3,455,644 (107,530,293) 52,295,045 Share transactions Net increase (decrease) in net assets attributable to redeemable participating shareholders resulting from share transactions (Note 6)... (425,144,605) (7,462,757) 93,468,361 Total net increase (decrease) in net assets attributable to redeemable participating shareholders... (421,688,961) (114,993,050) 145,763,406 Net assets attributable to redeemable participating shareholders Beginning of period ,688, ,682, ,682,011 End of period ,688, ,445,417 * The ceased trading on 17 November The Core Eurozone Equity 19

22 The Core Eurozone Equity * Statement of Changes in Composition of Portfolio Listed below are the 20 largest cumulative investment purchases and sales during the six months ended Acquisition Cost Disposal Proceeds Portfolio Securities Portfolio Securities Russell Investment Company III plc Russell Investment Company III plc The Euro Liquidity The Euro Liquidity Class A Shares 17,776,000 Class C Shares (28,515,747) Deutsche Bank AG 2,696,510 Total SA (25,972,426) Daimler AG 1,977,444 Sanofi-Aventis SA (21,596,990) Volkswagen AG 1,944,500 Siemens AG (15,418,425) UniCredit SpA 1,367,539 Unilever NV (13,395,275) Nokia OYJ 1,315,723 BNP Paribas (12,456,466) E.ON AG 1,315,031 Telefonica SA (11,770,873) Inditex 1,236,633 ENI SpA (10,495,253) Bayer AG 1,151,142 Vivendi SA (9,902,019) ING Groep NV 1,090,070 Bayer AG (9,551,715) Delhaize Group SA 767,466 ING Groep NV (9,222,688) Eurazeo 617,326 BASF SE (8,877,281) TUI AG 603,475 Allianz SE Reg (8,759,978) Kabel Deutschland Holding AG 600,149 Deutsche Telekom AG GDF Suez 570,081 The U.S. Dollar Cash II (8,624,150) Linde AG 497,852 Intesa Sanpaolo SpA Construcciones y Auxiliar de Ferr Class A Shares (8,170,691) The U.S. Dollar Cash II 492,120 AXA Insurance SA (7,559,508) Siemens AG France Telecom SA (7,237,074) Class A Shares 452,524 SAP AG (7,026,193) Bowleven plc 452,291 Banco Santander SA (6,750,014) Russell Investment Company III plc Koninklijke Ahold NV (6,383,864) The Sterling Liquidity Class C Income Shares 396,706 * The ceased trading on 17 November A copy of the list of changes in the portfolio during the reference period may be obtained free of charge from the Company s Administrator or from the paying agent or paying and information agents in each country of distribution. 20 The Core Eurozone Equity

23 The Euro Cash Balance Sheet As at 30 September 2011 (Audited) 31 March 2011 (Unaudited)* Assets Cash at bank (Note 5)... 21, ,276 Liabilities Creditors amounts falling due within one year: Management fees payable... - (288) Custodian and Trustee fees payable... - (22) Sub-custodian fees payable... - (7,305) Administration and transfer agency fees payable... - (41) Audit fees payable... (13,044) (11,950) Termination provision fees... (8,907) (63,449) Miscellaneous fees payable... - (22,221) (21,951) (105,276) Net assets attributable to redeemable participating shareholders (at bid market prices) Adjustment from bid market prices to last traded market prices Net assets attributable to redeemable participating shareholders (at last traded market prices) * The ceased trading on 9 December The Euro Cash 21

24 The Euro Cash Profit and Loss Account For the six months ended Year ended 30 September 2011* (Audited) Six months ended 31 March 2011 (Unaudited) Income Bond interest , ,269 Bank and short term investment interest , , , ,281 Net gain (loss) on investment activities , ,698 Total investment income (expense)... 1,272,979 1,272,979 Expenses Management fees (Note 3)... (220,750) (221,038) Custodian and Trustee fees (Note 3)... (31,779) (31,801) Sub-custodian fees (Note 3)... (1,903) (9,208) Administration and transfer agency fees (Note 3)... (68,368) (68,785) Audit fees... (13,044) (12,302) Professional fees... (16,586) (16,586) Termination cost provision... (96,727) (120,000) Miscellaneous fees... (27,088) (65,652) Total operating expenses... (476,245) (545,372) Profit (loss) for the financial period after finance costs , ,607 Movement in adjustment from bid market prices to last traded market prices... (72,554) (72,554) Net increase (decrease) in net assets attributable to redeemable participating shareholders resulting from operations , ,053 All amounts arose solely from terminating activities. There are no recognised gains or losses other than those dealt with in the Profit and Loss Account. * The ceased trading on 9 December The Euro Cash

25 The Euro Cash Statement of Changes in Net Assets Attributable to Redeemable Participating Shareholders For the six months ended Year ended 30 September 2011* (Audited) Six months ended 31 March 2011 (Unaudited) Net increase (decrease) in net assets attributable to redeemable participating shareholders resulting from operations , ,053 Share transactions Net increase (decrease) in net assets attributable to redeemable participating shareholders resulting from share transactions (Note 6)... (1,034,225,396) (1,034,156,269) Total net increase (decrease) in net assets attributable to redeemable participating shareholders... (1,033,501,216) (1,033,501,216) Net assets attributable to redeemable participating shareholders Beginning of period... 1,033,501,216 1,033,501,216 End of period * The ceased trading on 9 December The Euro Cash 23

26 The Euro Fixed Income Balance Sheet As at 30 September 2011* (Audited) 31 March 2011 (Unaudited) Assets Financial assets at fair value through profit or loss (Note 1) ,919,017 Cash at bank (Note 5)... 72,838 2,232,053 Cash held with brokers and counterparties for open derivative positions (Note 5) ,756 Cash received as collateral and invested relating to securities lending transactions (Note 4) ,129,703 Debtors: Receivable for investments sold ,867,824 Interest receivable... 5, ,356 78,012 68,218,709 Liabilities Financial liabilities at fair value through profit or loss (Note 1)... - (992,182) Creditors amounts falling due within one year: Cash due to counterparties for securities lending transactions (Note 4)... - (6,129,703) Payable for investments purchased... - (926,766) Payable on fund shares redeemed... (43,824) (2,604,343) Management fees payable... - (33,733) Custodian and Trustee fees payable... - (793) Sub-custodian fees payable... - (10,566) Administration and transfer agency fees payable... - (1,322) Audit fees payable... (20,861) (31,969) Termination provision fees payable... (10,000) - Miscellaneous fees payable... (3,327) (4,813) (78,012) (10,736,190) Net assets attributable to redeemable participating shareholders (at bid market prices) ,482,519 Adjustment from bid market prices to last traded market prices ,445 Net assets attributable to redeemable participating shareholders (at last traded market prices) ,569,964 * The merged with The Euro Fixed Income of Russell Investment Company plc on 15 April The Euro Fixed Income

27 The Euro Fixed Income Profit and Loss Account For the six months ended Year ended 30 September 2011* (Audited) Six months ended 31 March 2011 (Unaudited) Income Dividends... 3,681 3,447 Bond interest... 1,307, ,381 Bank and short term investment interest... 1, Securities lending income (Note 4)... 13,452 11,677 Miscellaneous income... 29,198 29,210 1,355, ,642 Net gain (loss) on investment activities... (3,806,118) (3,598,925) Total investment income (expense)... (2,450,318) (2,600,283) Expenses Management fees (Note 3)... (271,861) (256,285) Custodian and Trustee fees (Note 3)... (8,070) (7,999) Sub-custodian fees (Note 3)... (40,206) (30,928) Administration fees (Note 3)... (20,862) (21,702) Audit fees... (20,861) (31,270) Professional fees... (4,619) (4,619) Termination provision fees... (29,229) - Miscellaneous fees... (12,247) (13,486) Total operating expenses... (407,955) (366,289) Net income (expense)... (2,858,273) (2,966,572) Finance costs Distributions (Note 15)... (316,154) (316,154) Interest expense... (95) (31) Profit (loss) for the financial period before withholding tax... (3,174,522) (3,282,757) Taxation Withholding tax (Note 7)... - (95) Profit (loss) for the financial period after withholding tax... (3,174,522) (3,282,852) Movement in adjustment from bid market prices to last traded market prices... (134,151) (46,706) Net increase (decrease) in net assets attributable to redeemable participating shareholders resulting from operations... (3,308,673) (3,329,558) All amounts arose solely from terminating activities. There are no recognised gains or losses other than those dealt within the Profit and Loss Account. * The merged with The Euro Fixed Income of Russell Investment Company plc on 15 April The Euro Fixed Income 25

28 The Euro Fixed Income Statement of Changes in Net Assets Attributable to Redeemable Participating Shareholders For the six months ended Year ended 30 September 2011* (Audited) Six months ended 31 March 2011 (Unaudited) Net increase (decrease) in net assets attributable to redeemable participating shareholders resulting from operations... (3,308,673) (3,329,558) Share transactions Net increase (decrease) in net assets attributable to redeemable participating shareholders resulting from share transactions (Note 6)... (78,721,758) (21,130,909) Total net increase (decrease) in net assets attributable to redeemable participating shareholders... (82,030,431) (24,460,467) Net assets attributable to redeemable participating shareholders Beginning of period... 82,030,431 82,030,431 End of period ,569,964 * The merged with The Euro Fixed Income of Russell Investment Company plc on 15 April The Euro Fixed Income

29 The European Small Cap Manager s Report Money Managers Liontrust European Investment Services Limited Metropole Gestion Metzler Asset Management GmbH Investment Objective The European Small Cap s (the ) investment objective is to achieve capital appreciation by investing in European equity securities, including common stock, American depository receipts, global depository receipts, convertibles and warrants, listed on regulated markets in Europe. Performance During the six month period ended, the returned 24.1 per cent on a gross-of-fee basis (23.2 per cent on a net-of-fee basis), while the benchmark* returned 18.3 per cent. Market Comment European markets finished in positive territory during the final quarter of 2011, with the S&P Europe (capped at 3 billion) Index gaining 2.6 per cent. Share prices benefited as E.U. policymakers made strides to deal with the debt crisis. The key development was when E.U. leaders agreed to sign a treaty that would require stricter financial and fiscal discipline. Despite political progress, the pressure on the banking sector remained constant. A number of European banks saw their credit ratings downgraded, thereby seeing their cost of borrowing increase. UniCredit swung to a quarterly net loss of 10 billion, caused by write downs on its Greek bond holdings, while Deutsche Bank warned on profits for the same reason. The economic situation remained difficult, with flagging economic growth a particular worry. The Markit Eurozone PMI index signalled contraction for the fourth successive month in December. The jobless rate across the eurozone reached a record high, soaring to 16.3m in October, its highest level since records began in And the OECD lowered its 2012 GDP growth estimate for the eurozone from 2 per cent to 0.3 per cent. The fallout from Europe s debt crisis also impacted the real economy. For example, economic bellwether Infineon fell after it said sales are falling more sharply than expected, while PSA Peugeot Citroen produced its second profit warning this year. From a sector and style perspective, energy stocks sustained positive momentum throughout the quarter, as speculation that sanctions against Iran would curb crude supplies countered concern that Europe s debt crisis would worsen and slow demand. Small and mid-caps underperformed their larger peers as investors moved out of risky stocks into more stable large cap names. European markets delivered a positive return during the first quarter of 2012, with the S&P Europe (capped at 3 billion) Index gaining 15.4 per cent, as the latest agreement in the Greek crisis provided succour to European investors. Just as pertinent was the ECB s second round of Long-Term Refinancing Operations (LTRO), a process by which European banks can take out 1 per cent three-year loans from the ECB in exchange for a wide range of collateral. This was well-received by equity investors, who believe LTRO has averted another credit crunch or bank failure. In the U.K., meanwhile, the Bank of England extended its Quantitative Easing programme by GBP 50 billion to GBP 325 billion. The best-performing market over the quarter was Germany, where the news continued to show that its economy was significantly outperforming its eurozone neighbours. Although German GDP contracted in quarter four, confidence remains reasonably high: unemployment is at a 15-year low. By contrast, the Spanish market in performed poorly as investors were sceptical over the new government s ability to appease both its electorate and creditors. Spanish unemployment is now more than 23 per cent. Over the period, higher beta stocks performed well, along with mid to small-cap stocks. The consumer discretionary sector finished the best-performer, while more defensively-oriented sectors such as telecoms remained out of favour among investors. General Comment on Money Managers/Performance In the fourth quarter of 2011, the outperformed its benchmark with all three of the underlying Money Managers finishing in positive territory. The is now ahead of its benchmark over all standard time periods. The portfolio finished the year with an excess return of 4.5 per cent, per annum. Performance was driven by Liontrust European Investment Services Limited, which benefited from holding stocks with robust cashflow characteristics. In contrast, Metzler Asset Management GmbH lagged its peers in the. From a sector perspective, gains were driven by the s positive stock selection among industrials. The portfolio is currently positioned with a large underweight to financials and also has a moderate bias towards growth stocks, which also added value during the quarter. The finished ahead of the benchmark over the first quarter of 2012, benefiting from its strong stance towards cyclical consumer stocks and away from financial stocks. The has now recorded a notably strong performance over a one year period (+7.2 per cent). Performance was driven by Metropole Gestion, which benefited from its strong stock selection within industrials. However, gains were mitigated by Liontrust European Investment Services Limited s stock selection within the sector. The portfolio is currently positioned with a large underweight to financials and also has a bias towards cyclical industrials and growth stocks. The European Small Cap 27

30 The European Small Cap Manager s Report - continued Outlook The timing and durability of a eurozone resolution is key to the global outlook in We do not believe, although there is a remote possibility, that the eurozone will break up or even that it will split into two speeds. The mechanisms to bring about an orderly reduction in size of the eurozone do not exist. Solvency must be ensured before liquidity providers will be induced to fund countries and banks. We believe that there will be three possible outcomes in 2012 to the eurozone sovereign debt crisis; resolved soon, resolved after a Lehman-like episode or not resolved. The first two will result in a relief rally and a return to fundamentals; slow, but positive growth, likely a soft landing in China, cheap valuations and the potential for a better-than-expected rally. The third option will bring us into unchartered territory. Past performance is no indication of current or future performance. * Benchmark Source: S&P Europe (capped at $3 Billion) Index SG/Russell Asset Management Limited April The European Small Cap

31 The European Small Cap Balance Sheet As at (Unaudited) 30 September 2011 (Audited) 31 March 2011 (Unaudited) Assets Financial assets at fair value through profit or loss (Note 1)... 62,812,394 52,838,321 72,284,141 Cash at bank (Note 5) , , ,856 Cash held with brokers and counterparties for open derivative positions (Note 5) , , ,651 Cash received as collateral and invested relating to securities lending transactions (Note 4)... 2,253,558 2,556,090 1,843,583 Debtors: Receivable for investments sold ,422 1,052, ,177 Receivable on fund shares issued ,361,097 Dividends receivable , , ,926 Other receivables ,350-66,844,709 57,396,578 76,507,431 Liabilities Financial liabilities at fair value through profit or loss (Note 1)... (43,798) (10,733) (34,474) Creditors amounts falling due within one year: Cash due to counterparties for securities lending transactions (Note 4)... (2,253,558) (2,556,090) (1,843,583) Payable for investments purchased... (596,853) (693,722) (438,762) Payable on fund shares redeemed... (10,017) (110) (13,572) Management fees payable... (68,189) (59,319) (80,527) Custodian and Trustee fees payable... (782) (687) (942) Sub-custodian fees payable... (10,144) (8,084) (22,905) Administration and transfer agency fees payable... (1,304) (1,146) (1,570) Audit fees payable... (6,761) (17,935) (3,468) Miscellaneous fees payable... (1,984) - (1,335) (2,993,390) (3,347,826) (2,441,138) Net assets attributable to redeemable participating shareholders (at bid market prices)... 63,851,319 54,048,752 74,066,293 Adjustment from bid market prices to last traded market prices , ,029 84,900 Net assets attributable to redeemable participating shareholders (at last traded market prices)... 64,024,292 54,245,781 74,151,193 The European Small Cap 29

32 The European Small Cap Profit and Loss Account For the six months ended Six months ended (Unaudited) Year ended 30 September 2011 (Audited) Six months ended 31 March 2011 (Unaudited) Income Dividends ,040 1,704, ,902 Bank and short term investment interest , Securities lending income (Note 4)... 17,030 53,897 6,082 Miscellaneous income ,192 1, ,415 1,762, ,033 Net gain (loss) on investment activities... 12,108, ,412 14,931,210 Total investment income (expense)... 12,631,994 2,209,654 15,427,243 Expenses Management fees (Note 3)... (373,179) (1,003,801) (570,207) Custodian and Trustee fees (Note 3)... (5,590) (15,815) (9,268) Sub-custodian fees (Note 3)... (30,425) (62,665) (46,187) Administration and transfer agency fees (Note 3)... (18,962) (48,239) (27,457) Audit fees... (7,240) (17,935) (7,640) Professional fees... (14,734) (8,606) (4,523) Miscellaneous fees... (19,897) (31,290) (13,844) Total operating expenses... (470,027) (1,188,351) (679,126) Net income (expense)... 12,161,967 1,021,303 14,748,117 Finance costs Interest expense... (1,492) (2,670) (1,758) Profit (loss) for the financial period/year/period before withholding tax... 12,160,475 1,018,633 14,746,359 Taxation Withholding tax (Note 7)... (28,691) (152,419) (26,090) Profit (loss) for the financial period/year/period after withholding tax... 12,131, ,214 14,720,269 Movement in adjustment from bid market prices to last traded market prices... (24,056) 59,009 (53,120) Net increase (decrease) in net assets attributable to redeemable participating shareholders resulting from operations... 12,107, ,223 14,667,149 All amounts are solely from continuing operations. There are no recognised gains or losses other than those dealt with in the Profit and Loss Account. 30 The European Small Cap