GIM Portfolio Strategies Funds

Transcription

1 Audited Annual Report GIM Portfolio Strategies Funds (formerly J.P. Morgan Portfolio Strategies Fund) Société d Investissement à Capital Variable, Luxembourg (R.C.S. No. B ) 30 September 2015

2 Audited Annual Report As at 30 September 2015 Contents Board of Directors 1 Management and Administration 2 Board of Directors Report 3-5 Investment Manager s Report 6 Audit Report 7 Financial Statements and Statistical Information Combined Statement of Net Assets 8 Combined Statement of Operations and Changes in Net Assets 9 Statement of Changes in the Number of Shares Statistical Information Notes to the Financial Statements Schedules of Investments GIM Portfolio Strategies Funds - Europe Dynamic Long-Short Fund GIM Portfolio Strategies Funds - Technology Long-Short Fund Appendix: Unaudited Additional Disclosures 1. Fund Expense Ratios Summary of Investment Objectives of the Sub-Funds Performance and Volatility Sub-Fund Share Classes Subject to Taxe d abonnement Rate of 0.01% Remuneration Policy of the AIFM Calculation Method of the Risk Exposure Historical Statement of Changes in the Number of Shares For additional information, please consult No subscriptions can be received solely on the basis of this report. Subscriptions are only valid if made on the basis of the current prospectus, supplemented by the latest audited annual report and, if published thereafter, the latest unaudited semi-annual report. The current prospectus, the unaudited semi-annual reports, as well as the audited annual report can be obtained free of charge from the registered office of the SICAV and from local paying agents.

3 Board of Directors Chairman Iain O. S. Saunders Duine, Ardfern Argyll PA31 8QN United Kingdom Directors Jacques Elvinger Elvinger, Hoss & Prussen 2, place Winston Churchill B.P. 425 L-2014 Luxembourg Grand Duchy of Luxembourg Jean Frijns Antigonelaan 2 NL-5631 LR Eindhoven The Netherlands Massimo Greco (from 30 January 2015) JPMorgan Asset Management (UK)Limited 60 Victoria Embankment London EC4Y 0JP United Kingdom John Li How Cheong The Directors Office 19 rue de Bitbourg L-1273 Luxembourg Grand Duchy of Luxembourg Peter Thomas Schwicht Birkenweg 7 D Bad Vilbel Germany Daniel Watkins (from 13 December 2014) JPMorgan Asset Management (UK)Limited 60 Victoria Embankment London EC4Y 0JP United Kingdom Registered Office 6, route de Trèves L-2633 Senningerberg Grand Duchy of Luxembourg 1

4 Management and Administration Alternative Investment Fund Manager, Management Company, Registrar and Transfer Agent, Global Distributor and Domiciliary Agent JPMorgan Asset Management (Europe) S.à r.l. 6, route de Trèves L-2633 Senningerberg Grand Duchy of Luxembourg Investment Manager JPMorgan Asset Management (UK) Limited 60 Victoria Embankment London EC4Y 0JP United Kingdom Custodian, Administrative, Listing and Principal Paying Agent HSBC Securities Services (Luxembourg) S.A. (until 14 November 2014) 16, boulevard d Avranches L-1160 Luxembourg Grand Duchy of Luxembourg HSBC Bank Plc, Luxembourg Branch (from 14 November 2014) 16, boulevard d Avranches L-1160 Luxembourg Grand Duchy of Luxembourg Auditor PricewaterhouseCoopers, Société coopérative 2, rue Gerhard Mercator B.P L-1014 Luxembourg Grand Duchy of Luxembourg Legal Adviser Elvinger, Hoss & Prussen 2, place Winston Churchill B.P. 425 L-2014 Luxembourg Grand Duchy of Luxembourg 2

5 Board of Directors Report Chairman Iain O.S. Saunders Independent Director and Chairman. A member of the Board since January Mr Saunders graduated in Economics from Bristol University and joined Robert Fleming in He held several senior positions with the group in Hong Kong, Japan and the US, before returning to the UK in He was appointed Deputy Chairman of Fleming Asset Management and retired in 2001 following the merger of the Robert Fleming group with JP Morgan. Mr Saunders is currently Chairman of several JPMorgan managed Luxembourg-domiciled investment funds and MB Asia Select Fund. Directors Jacques Elvinger Independent Director. A member of the Board since November Mr Elvinger became a member of the Luxembourg Bar in 1984 and has been a partner of the Luxembourg lawfirm Elvinger, Hass & Prussen since Mr Elvinger practices general corporate and banking lawand specialises in the field of investment and pension funds. He is a member of the Board of Directors of the Luxembourg Fund Association (ALFI) and is currently Chairman of the Regulation Advisory Board and Co-Chair of the Legal Committee of ALFI. He is also a member of the Advisory Committees to the Luxembourg Commission for the Supervision of the Financial Sector in the area of investment funds, pension funds and investment companies in risk capital. Mr Elvinger currently holds a number of professional and board mandates with European organisations including several JPMorgan managed Luxembourg-domiciled investment funds. Jean Frijns Independent Director. A member of the Board since January Mr Frijns studied Econometrics, attained a doctorate in Economics from the University of Tilburg and was a lecturer at the Northern Illinois University. He joined the Dutch Central Planning Bureau (CPB), the economic think-tank of the Dutch government in 1980 and, in 1983, was appointed as deputy director of the CPB. Mr Frijns has held various posts including Chief Investment Strategist of ABP, a Dutch pension fund, a professorship in Investments from Vrije Universiteit (Amsterdam) and, since 2005 has served as Chairman of the Monitoring Committee on Corporate Governance. Mr Frijns currently holds a number of professional and board mandates with European organisations including several JPMorgan managed Luxembourg-domiciled investment funds. John Li How Cheong Independent Director. A member of the Board since June During the last 26 years Mr Li worked essentially in the financial sector auditing and advising clients such as banks, investment funds, insurance companies, etc. Clients also were from Europe, US, Japan and Asia offering Mr Li an extensive experience in dealing with international companies. Mr Li was a Partner at KPMG Luxembourg for more than 20 years during which he was Managing Partner for 8 years before taking on the role of Chairman of the Supervisory Board for 3 years. Mr Li was also a member of the Investment Management Practice. Mr Li is a board member of the Institut Luxembourgeois des Administrateurs. Mr Li currently holds a number of board mandates with financial institutions including several JPMorgan managed Luxembourg-domiciled investment funds. Peter Thomas Schwicht Independent Director since 1 November A member of the Board since June Mr Schwicht obtained a Business Economics degree from the University of Mannheim in Germany after having studied business, tax and accounting in Hamburg, Norway and the USA and was an employee of JPMorgan Asset Management from 1987 until October Prior to his retirement Mr Schwicht was the Chief Executive of Investment Management EMEA, JPMorgan Asset Management He had previously held positions as the Head of the Continental Europe Institutional business and the Investment Management Country Head for Institutional and Retail business in Germany where he first developed the business and then went on to expand this throughout Continental Europe. Mr Schwicht is currently a Director of several JPMorgan managed Luxembourg-domiciled investment funds. Daniel Watkins Connected Director. A member of the Board since December Mr Watkins is the Deputy CEO of IM Europe and Global Co-Head of IM Client Services and Business Platform. Mr Watkins has been an employee since 1997 and oversees the business infrastructure of Investment Management in Europe and Asia including client services, fund administration, product development, and RFP. Mr Watkins also performs the role of Deputy CEO of GIM EMEA, acting as a director of all the regulated legal entities across the region. Mr Watkins has held a number of positions at JPMorgan namely; Head of Europe COO and Global IM Operations, Head of the European Operations Team, Head of the European Transfer Agency, Head of Luxembourg Operations, manager of European Transfer Agency and London Investment Operations; and manager of the Flemings Investment Operations Teams. Mr Watkins obtained a BA in Economics and Politics from the University of York and is a qualified Financial Advisor. Mr Watkins is currently a Director of several JPMorgan managed Luxembourg-domiciled investment funds. Massimo Greco Connected Director. A member of the Board since January Mr Greco is responsible for the Global Funds business in Continental Europe, based in London. Mr Greco has been a JPMorgan employee since 1992, he took on his current responsibilities in In 1998 Mr Greco moved to Head the Investment Management business in Italy. Before that, he worked for Goldman Sachs International in the London Capital Markets team from 1986 to Mr Greco began his career with the Investment Bank as Head of Sales for Credit and Rates in Italy. Mr Greco holds a degree in Economics from the University of Turin and an MBA (Major in Finance) from the Anderson Graduate School of Management at UCLA. The Board of Directors (the Board ) is pleased to present the Audited Annual Report for the year ended 30 September Structure and Size of the Fund The Fund is a variable capital investment company, organised as a Societe Anonyme, under the laws of the Grand Duchy of Luxembourg. The Board of Directors has appointed JPMorgan Asset Management (Europe) S.à r.l. (JPMAME) as Management Company of the Fund. The Fund is organised as an umbrella with multiple Sub-Funds, each of which has its own investment policy and restrictions. The objective of the Fund is to invest in undervalued financial instruments and to sell short overvalued financial instruments which may include equities, warrants, convertibles, equity derivatives, bonds and other fixed interest and credit derivatives. The Fund is organised under Part II of the Luxembourg Lawof 17 December 2010, as amended, on Undertakings for Collective Investment as a Societe Anonyme qualifying as a Societe d Investissement a Capital Variable (SICAV). As at the year end the Fund had two Sub-Funds. At present, the Fund and the Sub-Funds are currently only registered for offer and distribution in the Grand Duchy of Luxembourg. 3

6 Board of Directors Report (continued) Role and Responsibility of the Board The responsibility of the Directors of the Fund is governed exclusively by Luxembourg law. With respect to the annual accounts of the Fund, the duties of the Directors are governed by the lawof 10 December 2010 on, inter alia, the accounting and annual accounts of undertakings and by the lawof 17 December 2010 relating to undertakings for collective investments. A management agreement between the Fund and JPMorgan Asset Management (Europe) S.à r.l. sets out the matters over which the Management Company has authority under Chapter 15 of the Luxembourg Lawof 17 December 2010, as amended. This includes management of the Fund s assets and the provision of administration, registration, domiciliation agent and marketing services. All other matters are reserved for approval by the Board and a schedule setting out such matters is in place between the Board and the Management Company. The matters reserved for the Board include determination of each Sub-Fund s investment objective and policies, investment restrictions and powers, amendments to the Prospectus, reviewing and approving key investment and financial data, including the annual accounts, as well as the appointment of, and review of the services provided by, the Management Company, Auditor and custodian. Prior to each Board meeting the Directors receive detailed and timely information allowing them to be prepared for the items under discussion during the meeting. For each quarterly meeting the Board requests, and receives, reports from, amongst others, the Management Company, the investment managers, risk management as well as proposals for changes to existing Sub-Funds or proposals to launch new ones as appropriate. Senior representatives of each of these functions attend Board meetings by invitation to enable the Directors to question the reports presented to it. The Directors take decisions in the interests of the Fund and its shareholders as a whole and refrain from taking part in any deliberation or decision which creates a conflict of interest between their personal interests and those of the Fund and its shareholders. The subject of conflicts of interest is documented in the Prospectus and the Management Company s policy on conflicts of interest is available for inspection on the website: The Board can take independent professional advice if necessary and at the Fund s expense. Board Composition The Board is chaired by Mr Saunders and consists of five Independent Directors and two Connected Directors. The Board defines a Connected Director as someone who is employed by JPMorgan Chase & Co or any of its affiliates. All Board meetings require a majority of Independent Directors to be in attendance and as such the Board acts independently from the Management Company. The Board as a whole has a breadth of investment knowledge, financial skills, as well as legal and other experience relevant to the Fund s business. Directors are elected annually by shareholders at the Annual General Meeting. The Board does not limit the number of years of Directors service and it does take into account the nature and requirements of the fund industry and of the Fund s business when making recommendation to shareholders that Directors be elected. The terms of each Director s appointment are set out in a contract for services and these are available at the Fund s registered office for inspection. Change to the Composition of the Board Mr May resigned from the Board with effect from the close of business on 12 December The Board would like to take this opportunity to record its thanks for his service. At the Board meeting held on 12 December 2014, the Board appointed Mr Daniel Watkins as a Director with effect from 13 December 2014 to fill the vacancy created by Mr May s resignation, which was subsequently approved by the CSSF. At the Annual General Meeting ( AGM ) held on 30 January 2015 the shareholders appointed Mr Massimo Greco as an additional Director with effect from the date of the AGM. Mr Greco will bring his wealth of knowledge and experience in the asset management business to the Board meetings. Board Remuneration The Board believes that the remuneration of its members should reflect the responsibilities and experience of the Board as a whole and be fair and appropriate given the size, complexity and investment objectives of the Fund. In June 2015 a formal exercise was conducted to compare the remuneration with that paid by other non JPMorgan Luxembourg domiciled funds. As a result the Board is proposing to increase the remuneration payable for the 2015 accounting year from EUR 15,807 to EUR 18,744 for the Chairman and from EUR 14,307 to EUR 15,374 for the other Directors. The Connected Directors will continue to waive their rights to remuneration. This revised remuneration will be tabled for shareholders consideration at the Annual General Meeting to be held on 29 January Board Meetings and Committees The Board meets quarterly but if necessary additional meetings will be arranged. Given the scope and nature of the business of the Fund, the Board does not currently consider it necessary to have a formal Audit or Remuneration Committee or indeed any other standing committees. However, this is kept under review. All Board related matters are therefore currently approved by the Board or, where there are specific matters that need further consideration, a Sub-Committee of the Board could be formed for this specific purpose. Such circumstances could be where the Board requests some amendments to the Prospectus and where it is not appropriate to wait till the next quarterly Board meeting for this to be approved. These Sub-Committee meetings are usually formed of a minimum of two Directors. There were five Board meetings held during the year. Four of these were two-day quarterly Board meetings where, amongst other matters, the agenda included those items highlighted under the section above called Role and Responsibility of the Board. The fifth was an additional Board meeting to consider Volcker related matters. In addition to the Board meeting where the Auditors present the report on the audit of the Fund accounts, the Independent Directors also meet with them annually without the Connected Directors being in attendance. Internal Control Investment management and all administrative services are provided by the Management Company and custody of assets is provided by HSBC Bank Plc, Luxembourg Branch. The Board s system of internal control therefore mainly comprises monitoring the services provided by the Management Company and the Custodian, including the operational and compliance controls established by them to meet the Fund s obligations to shareholders as set out in the Prospectus, Articles of Incorporation as well as all relevant regulations. The Management Company formally reports to the Board on a quarterly basis on the various activities it is responsible for and in addition shall inform the Board without delay of any material administrative or accounting matters. Corporate Governance and ALFI Code of Conduct The Board is responsible for ensuring that a high level of corporate governance is met and considers that the Fund has complied with the best practices in the Luxembourg funds industry. In particular the Board has adopted the ALFI Code of Conduct (the Code ) which sets out principles of good governance. These principles were amended in July 2013 and are set out below: 1. The Board should ensure that high standards of corporate governance are applied at all times; 2. The Board should have good professional standing and appropriate experience and use best efforts to ensure that it is collectively competent to fulfill its responsibilities; 4

7 Board of Directors Report (continued) 3. The Board should act fairly and independently in the best interests of the investors; 4. The Board should act with due care and diligence in the performance of their duties; 5. The Board should ensure compliance with all applicable laws and regulations and with the Fund s constitutional documents; 6. The Board should ensure that investors are properly informed, are fairly and equitably treated, and receive the benefits and services to which they are entitled; 7. The Board should ensure that an effective risk management process and appropriate internal controls are in place; 8. The Board should identify and manage fairly and effectively, to the best of its ability, any actual, potential or apparent conflict of interest and ensure appropriate disclosure; 9. The Board should ensure that shareholder rights are exercised in a considered way and in the best interests of the Fund; 10. The Board should ensure that the remuneration of the Board members is reasonable and fair and adequately disclosed. The Board considers that the Fund has been in compliance with the principles of the Code in all material aspects throughout the financial year ended 30 September The Board undertakes an annual review of ongoing compliance with the principles of the Code. Proxy Voting Policy The Board delegates responsibility for proxy voting to the Management Company. The Management Company manages the voting rights of the shares entrusted in a prudent and diligent manner, based exclusively on the reasonable judgment of what will best serve the financial interests of clients. So far as is practicable, the Management Company will vote at all of the meetings called by companies in which they are invested. A copy of the proxy voting policy is available from the Fund s registered office upon request or on the website: Directors and Officers Indemnity Insurance The Fund s Articles of Incorporation indemnify the Directors against expenses reasonably incurred in connection with any claim against them arising inthe course of their duties or responsibilities as long as they have not acted fraudulently or dishonestly. To protect shareholders against any such claim, the Board has taken out Directors and Officers Indemnity Insurance which indemnifies the Directors against certain liabilities arising in the course of their duties and responsibilities but does not cover against any fraudulent or dishonest actions on their part. Independent Auditor PricewaterhouseCoopers, Société coopérative, has been the Fund s Auditor since November The provision of audit services was last put to competitive tender in The Board reviewed the services of PwC in 2013 and decided that, subject to any other influencing factor, they should continue to be proposed to the Shareholders to be appointed as Auditor for the next three years. At the conclusion of this period the Board will consider again whether to put the provision of audit services out to competitive tender. Annual General Meeting The next Annual General Meeting of the Company will be held on 29 January 2016 at the Registered Office of the Company to consider matters relating to the year ending on 30 September At this meeting shareholders will, amongst other matters, be requested to consider the usual matters at such meetings including: 1. The adoption of the financial statements and approval of the allocation of the results; 2. The approval of Directors fees; 3. The election of the Directors, all of whom wish to stand for election; 4. The election of the Auditor. No special business is being proposed by the Board. Alternative Investment Fund Managers Directive (AIFMD) The AIFMD, as implemented in Luxembourg by the Lawof 12 July 2013 on Alternative Investment Fund Managers (AIFMs), established an EU-wide harmonised framework for monitoring and supervising risks posed by AIFMs and the alternative investment funds (AIFs) they manage. JPMorgan Asset Management (Europe) S.à r.l., the Management Company, has been appointed by the Board of Directors to act as an AIFM with effect from 1 July 2014 and has been authorised by the Commission de Surveillance du Secteur Financier to act in such capacity. Events During the Year During the year, the total net assets of the Fund decreased from USD million to USD million. Organisation Volcker Rule Certain legislative changes in the United States are relevant to JPMorgan Chase & Co. and its affiliates ( JPM ) and are relevant to the Fund and its investors. The Dodd-Frank Wall Street Reform and Consumer Protection Act (the Dodd-Frank Act ) includes certain provisions (known as the Volcker Rule ) that restrict the ability of a banking entity, such as JPM, from acquiring or retaining any equity, partnership or other ownership interest in, or sponsoring, a hedge fund or private equity fund and prohibit certain transactions between such funds and JPM. The Volcker Rule became effective on 21 July 2012 and the final regulations became effective on 1 April By 21 July 2015, or by such other date as the Federal Reserve Board may specify, a banking entity must bring its activities and investments into conformance with the Volcker Rule and its final implementing regulations. On 18 December 2014, the Federal Reserve Board issued an order that extends the conformance period until 21 July Other risks arising from the Volcker Rule are detailed in the Prospectus. The Board agreed the following corporate actions during the year: Change in Fund, Sub-Fund and Share Class Names With effect from 24 July 2015, JPMorgan Portfolio Strategies Funds was renamed GIM Portfolio Strategies Funds. Its Sub-Fund and all of its share classes have been renamed accordingly. The Board of Directors Luxembourg, 10 December

8 Investment Manager s Report Market Review - 12 months to 30 September 2015 It was a positive year for European markets, albeit a volatile one, due to the sharp decline in the oil price, the European Central Bank s quantitative easing, continuing troubles around Greece and a slowdown in emerging markets. However, during this period, both hedge funds produced very strong positive returns. Reviews of both Sub-Funds are shown below. GIM Portfolio Strategies Funds - Europe Dynamic Long-Short Fund The fund returned 13.7% over the 12 months to 30 September 2015 (net of fees). This was driven by our bottom-up focus on value, quality and momentum characteristics, taking long positions in our best ideas and short positions in those stocks we believe are the least attractive. The fund benefited from a net long position over the period, significantly boosting returns over the MSCI Europe Index, which rose 2.6%. The strongest returns came from the long side of the portfolio, in particular overweight positions in the travel & leisure sector and short or underweight positions in oil equipment, services & distribution. Strong positive contributions were also made in the European telecoms space at the end of last year, with Orange, Belgacom and BT Group making considerable gains. After years of structural decline due to substitution and intense competition, consolidation is taking place across the continent and Orange was particularly efficient in carrying this out across various geographic regions. Another theme over 2015 was weakening commodity prices. This was particularly beneficial for a number of our short positions, particularly in Norsk Hydro, the Norwegian supplier of aluminium. Danish jewellery maker Pandora continued to beat the market s expectations, having benefited from not only a lower silver price but also strong demand, and the stock contributed positively to the performance of the portfolio. A significant detractor over the period was our short position in Nutreco, the Dutch animal food producer, which was bid for at a 42% premium. Growth is now recovering in Europe, with earnings expected to grow into In addition, recent falls mean valuations remain attractive, while indicators remain positive for the outlook in Europe. Regardless of the macroeconomic environment, the fund s managers remain focused on generating returns through bottom-up style investing. GIM Portfolio Strategies Funds - Technology Long-Short Fund The fund returned 14.6% over the 12 months to 30 September 2015 (net of fees). This was driven by our bottom-up focus on value, quality and momentum characteristics, taking long positions in our best technology-related ideas and short positions in those stocks we believe are the least attractive. The fund also benefited from a net long position over the period, significantly boosting fund returns in a volatile market. At the stock level, some of the fund s largest positive contributions came from its holdings in the travel & leisure sector, particularly from online betting companies such as UK gambling firm Betfair. The company enjoyed strong performance through the year and recently announced a potential merger with its competitor Paddy Power, which significantly boosted the stock. Media was another strong sector for the fund. Stroer Media, the German outdoor advertising company, rose 18% after announcing an acquisition of large digital assets from Deutsche Telekom. The deal consolidated Stroer s market-leading position and is expected to be revenue accretive and generate cost synergies. We held both a long and short position in BE Semiconductor over the year. Earlier in the year, mid-cap technology companies with good existing momentum characteristics, such as BE Semiconductor, performed very strongly after reporting positive news. However, more recently, the company s third-quarter revenue guidance has been lowered due to a weakening semiconductor cycle, so our short position in the stock benefited the fund. A short position in mobile telecoms stock Avanti Communicati was the largest detractor for the portfolio over the period. Growth is now recovering in Europe, with earnings expected to grow into In addition, recent falls mean valuations remain attractive, while indicators remain positive for the outlook in Europe. Regardless of the macroeconomic environment, the fund s managers remain focused on generating returns through bottom-up style investing. The Investment Manager Luxembourg, 10 December 2015 The information stated in this report is historical and not necessarily indicative of future performance. 6

9 pwc Audit Report To the Shareholders of GIM Portfolio Strategies Funds We have audited the accompanying financial statements of GIM Portfolio Strategies Funds and of each of its Sub-Funds, which comprise the Combined Statement of Net Assets and the Schedule of Investments as at 30 September 2015 and the Combined Statement of Operations and Changes in Net Assets for the year then ended, and a summary of significant accounting policies and other explanatory notes to the financial statements. Responsibility of the Board of Directors of the SICAV for the financial statements The Board of Directors of the SICAV is responsible for the preparation and fair presentation of these financial statements in accordance with Luxembourg legal and regulatory requirements relating to the preparation of the financial statements and for such internal control as the Board of Directors of the SICAV determines is necessary to enable the preparation of financial statements that are free from material misstatement, whether due to fraud or error. Responsibility of the "Reviseur d'entreprises agree" 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 "Reviseur d'entreprises agree", 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 "Reviseur d'entreprises agree" considers internal control relevant to the entity's preparation and fair presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the entity's internal control. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of accounting estimates made by the Board of Directors of the SICAV, as well as evaluating the overall presentation of the financial statements. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion. Opinion In our opinion, the financial statements give a true and fair view of the financial position of GIM Portfolio Strategies Funds (formerly1pmorgan Portfolio Strategies Funds) and of each of its Sub-Funds as of 30 September 2015, and of the results of their operations and changes in their net assets for the year then ended in accordance with Luxembourg legal and regulatory requirements relating to the preparation of the financial statements. Other matters Supplementary information included in the annual report has been reviewed in the context of our mandate but has not been subject to specific audit procedures carried out in accordance with the standards described above. Consequently, we express no opinion on such information. However, we have no observation to make concerning such information in the context of the financial statements taken as a whole. Pricewa usecoopers, Societe cooperative Luxembourg, 10 December 2015 Repre ente..y Regis Malcourant PricewaterhouseCoopers, Societe cooperative, 2, rue Gerhard Mercator, B.P. 1443, L-1014 Luxembourg T: , F: , Cabinet de revision agree. Expert-comptable (autorisation gouvernementale n ) R.C.S. Luxembourg B TVA LU

10 Combined Statement of Net Assets As at 30 September 2015 GIM Portfolio Strategies Funds Combined (USD) Europe Dynamic Long-Short Fund (EUR) Technology Long-Short Fund (EUR) Assets Investments in Securities at Market Value 941,032, ,909, ,385,100 Acquisition Cost 921,996, ,078, ,157,251 Cash at Bank 54,343,553 26,378,711 22,320,593 Net Unrealised Gain on Contracts for Difference 7,501,800 6,722,645 - Net Unrealised Gain on Financial Futures Contracts 820, ,448 Net Unrealised Gain on Forward Foreign Exchange Contracts 12,070,820 7,071,799 3,745,317 Dividends Receivable 3,336,140 2,727, ,234 Receivable for Unsettled Spot Contracts 1, Total Assets 1,019,106, ,810, ,448,692 Liabilities Open Short Positions 340,442, ,411,153 76,672,152 Sales Proceeds 391,869, ,659,378 84,509,567 Bank Overdrafts 4,271, ,339 2,832,396 Short Dividends Payable 527, ,507 26,480 Performance Fees Payable 19,206,480 11,903,118 5,308,532 Management Fees Payable 1,103, , ,882 Net Unrealised Loss on Contracts for Difference 741, ,498 Net Unrealised Loss on Financial Futures Contracts 277, ,465 - Interest Payable 586, , ,211 Payable for Unsettled Spot Contracts 43,268-38,774 Other Payables* 680, , ,788 Total Liabilities 367,880, ,327,576 86,343,713 Total Net Assets 651,226, ,483, ,104,979 Historical Total Net Assets Total Net Assets as at 30 September ,688, ,352, ,054,321 Total Net Assets as at 30 September ,521, ,715,323 51,925,903 * Other Payables are principally comprised of Custodian and Administrative Agent fees, Depositary fees, tax related fees and operating expenses. The accompanying notes form an integral part of these Financial Statements. 8

11 Combined Statement of Operations and Changes in Net Assets For the Year Ended 30 September 2015 GIM Portfolio Strategies Funds Combined (USD) Europe Dynamic Long-Short Fund (EUR) Technology Long-Short Fund (EUR) Net Assets at the Beginning of the Year* 592,996, ,352, ,054,321 Income Dividend Income 19,049,991 13,602,546 3,468,868 Interest Income 341, ,599 26,873 Other Income Total Income 19,392,082 13,882,207 3,495,768 Expenses Management and Advisory Fees 12,233,457 7,995,786 2,967,075 Operating and Administrative Expenses 1,101, , ,417 Interest Expense 8,058,919 4,375,192 2,846,709 Dividends Paid on Short Sales 12,103,296 9,208,705 1,637,514 Custodian Fees 379, ,161 99,774 Taxe d Abonnement 156,555 93,726 46,569 Brokerage Fees 180, ,372 - Total Expenses before Performance Fees 34,213,607 22,734,044 7,926,058 Performance Fees 20,491,928 12,660,506 5,703,082 Total Expenses 54,705,535 35,394,550 13,629,140 Net Investment (Loss) (35,313,453) (21,512,343) (10,133,372) Net Realised Gain on Sale of Investments (1) 65,262,783 41,813,269 16,671,168 Net Realised Gain on Forward Foreign Exchange Contracts 42,738,751 25,642,885 12,656,919 Net Realised (Loss)/Gain on Financial Futures Contracts (8,874,253) (9,179,503) 1,226,951 Net Realised Gain on Contracts for Difference 34,684,538 21,429,609 9,652,511 Net Realised Gain on Swap Contracts 2,300,382 2,061,459 - Net Realised Gain/(Loss) on Foreign Exchange 1,372,438 1,440,728 (210,835) Net Realised Gain for the Year 137,484,639 83,208,447 39,996,714 Net Change in Unrealised Gain on Investments (1) 29,421,013 17,442,585 8,922,692 Net Change in Unrealised (Loss) on Forward Foreign Exchange Contracts (1,844,370) (1,502,198) (150,611) Net Change in Unrealised (Loss)/Gain on Contracts for Difference (488,414) 1,996,244 (2,433,930) Net Change in Unrealised Gain/(Loss) on Financial Futures Contracts 490,872 (248,465) 688,354 Net Change in Unrealised Gain for the Year 27,579,101 17,688,166 7,026,505 Increase in Net Assets as a Result of Operations 129,750,287 79,384,270 36,889,847 Movements in Share Capital Subscriptions 490,290, ,134, ,233,573 Redemptions (561,811,439) (224,387,619) (279,072,762) (Decrease)/Increase in Net Assets as a Result of Movements in Share Capital (71,520,584) (67,253,099) 3,160,811 Net Assets at the End of the Year 651,226, ,483, ,104,979 (1) Please refer to Note 12. * The opening balance was combined using the foreign exchange rates as at 30 September The same net assets when combined using the foreign exchange ruling as at 30 September 2014 reflected a figure of USD 670,688,007. The accompanying notes form an integral part of these Financial Statements. 9

12 Statement of Changes in the Number of Shares (continued) For the Year Ended 30 September 2015 Shares Outstanding at the Beginning of the Year Shares Subscribed Shares Redeemed Shares Outstanding at the End of the Year GIM Portfolio Strategies Funds - Europe Dynamic Long-Short Fund GIM Europe Dynamic Long-Short Fund A 103 (EUR) 381, , (175, ) 259, GIM Europe Dynamic Long-Short Fund A 0513 (EUR) 23, (23, ) - GIM Europe Dynamic Long-Short Fund A 0613 (EUR) 34, (34, ) - GIM Europe Dynamic Long-Short Fund A 0713 (EUR) 6, (6, ) - GIM Europe Dynamic Long-Short Fund A 0913 (EUR) 12, (12, ) - GIM Europe Dynamic Long-Short Fund A 1013 (EUR) 13, (13, ) - GIM Europe Dynamic Long-Short Fund A 1113 (EUR) 23, (23, ) - GIM Europe Dynamic Long-Short Fund A 1213 (EUR) 1, (1, ) - GIM Europe Dynamic Long-Short Fund A 0214 (EUR) ( ) - GIM Europe Dynamic Long-Short Fund A 0314 (EUR) 2, , GIM Europe Dynamic Long-Short Fund A 0414 (EUR) 6, (6, ) - GIM Europe Dynamic Long-Short Fund A 0514 (EUR) ( ) - GIM Europe Dynamic Long-Short Fund A 0614 (EUR) 11, (11, ) - GIM Europe Dynamic Long-Short Fund A 0714 (EUR) 64, (64, ) - GIM Europe Dynamic Long-Short Fund A 0814 (EUR) 21, (21, ) - GIM Europe Dynamic Long-Short Fund A 1014 (EUR) - 3, , GIM Europe Dynamic Long-Short Fund A 1214 (EUR) - 2, , GIM Europe Dynamic Long-Short Fund A 0215 (EUR) - 15, , GIM Europe Dynamic Long-Short Fund A 0315 (EUR) - 25, , GIM Europe Dynamic Long-Short Fund A 0515 (EUR) - 6, , GIM Europe Dynamic Long-Short Fund A 0615 (EUR) - 5, , GIM Europe Dynamic Long-Short Fund A 0815 (EUR) GIM Europe Dynamic Long-Short Fund A 0111 (GBP) 24, , (3, ) 44, GIM Europe Dynamic Long-Short Fund A 0613 (GBP) 26, (26, ) - GIM Europe Dynamic Long-Short Fund A 1013 (GBP) 1, (1, ) - GIM Europe Dynamic Long-Short Fund A 0215 (GBP) - 2, , GIM Europe Dynamic Long-Short Fund A 0315 (GBP) GIM Europe Dynamic Long-Short Fund A 0415 (GBP) - 1, ( ) GIM Europe Dynamic Long-Short Fund A 113 (USD) 469, , (160, ) 401, GIM Europe Dynamic Long-Short Fund A 0613 (USD) 4, (4, ) - GIM Europe Dynamic Long-Short Fund A 0713 (USD) 2, (2, ) - GIM Europe Dynamic Long-Short Fund A 0913 (USD) 6, (6, ) - GIM Europe Dynamic Long-Short Fund A 1013 (USD) 130, (130, ) - GIM Europe Dynamic Long-Short Fund A 1113 (USD) 22, (22, ) - GIM Europe Dynamic Long-Short Fund A 1213 (USD) 35, (35, ) - GIM Europe Dynamic Long-Short Fund A 0114 (USD) 17, , GIM Europe Dynamic Long-Short Fund A 0214 (USD) 40, (35, ) 5, GIM Europe Dynamic Long-Short Fund A 0314 (USD) 1, , GIM Europe Dynamic Long-Short Fund A 0514 (USD) 11, (11, ) - GIM Europe Dynamic Long-Short Fund A 0714 (USD) 133, (133, ) - GIM Europe Dynamic Long-Short Fund A 0814 (USD) 34, (34, ) - GIM Europe Dynamic Long-Short Fund A 0914 (USD) - 34, (34, ) - GIM Europe Dynamic Long-Short Fund A 1014 (USD) - 25, , GIM Europe Dynamic Long-Short Fund A 1214 (USD) - 418, , GIM Europe Dynamic Long-Short Fund A 0115 (USD) - 254, , GIM Europe Dynamic Long-Short Fund A 0215 (USD) - 28, , GIM Europe Dynamic Long-Short Fund A 0315 (USD) - 16, , GIM Europe Dynamic Long-Short Fund A 0715 (USD) - 64, , GIM Europe Dynamic Long-Short Fund A 0815 (USD) - 2, , GIM Europe Dynamic Long-Short Fund X 113 (EUR) ( ) - GIM Europe Dynamic Long-Short Fund X 1014 (USD) - 203, (203, ) - GIM Europe Dynamic Long-Short Fund X 1114 (USD) - 61, (61, ) - 10

13 Statement of Changes in the Number of Shares (continued) For the Year Ended 30 September 2015 Shares Outstanding at the Beginning of the Year Shares Subscribed Shares Redeemed Shares Outstanding at the End of the Year GIM Portfolio Strategies Funds - Technology Long-Short Fund GIM Technology Long-Short Fund A 1012 (CHF) 13, , (2, ) 30, GIM Technology Long-Short Fund A 0913 (CHF) 2, (2, ) - GIM Technology Long-Short Fund A 1013 (CHF) ( ) - GIM Technology Long-Short Fund A 1213 (CHF) 4, (4, ) - GIM Technology Long-Short Fund A 0214 (CHF) 8, (8, ) - GIM Technology Long-Short Fund A 0314 (CHF) 3, (3, ) - GIM Technology Long-Short Fund A 0414 (CHF) 2, (2, ) - GIM Technology Long-Short Fund A 1114 (CHF) - 1, , GIM Technology Long-Short Fund A 0115 (CHF) - 3, , GIM Technology Long-Short Fund A 0215 (CHF) - 5, , GIM Technology Long-Short Fund A 0315 (CHF) - 10, , GIM Technology Long-Short Fund A 0415 (CHF) - 5, , GIM Technology Long-Short Fund A 0515 (CHF) - 1, , GIM Technology Long-Short Fund A 0615 (CHF) - 2, , GIM Technology Long-Short Fund A 0715 (CHF) - 1, , GIM Technology Long-Short Fund A (EUR) 147, , (80, ) 211, GIM Technology Long-Short Fund A 1113 (EUR) 2, (2, ) - GIM Technology Long-Short Fund A 1213 (EUR) ( ) - GIM Technology Long-Short Fund A 0114 (EUR) 26, (26, ) - GIM Technology Long-Short Fund A 0214 (EUR) 15, (15, ) - GIM Technology Long-Short Fund A 0314 (EUR) 72, (72, ) - GIM Technology Long-Short Fund A 0414 (EUR) 2, (2, ) - GIM Technology Long-Short Fund A 0514 (EUR) 51, (51, ) - GIM Technology Long-Short Fund A 0614 (EUR) 6, (6, ) - GIM Technology Long-Short Fund A 0714 (EUR) 1, (1, ) - GIM Technology Long-Short Fund A 0814 (EUR) ( ) - GIM Technology Long-Short Fund A 0914 (EUR) - 7, (1, ) 6, GIM Technology Long-Short Fund A 1014 (EUR) - 18, (9, ) 9, GIM Technology Long-Short Fund A 1114 (EUR) - 8, , GIM Technology Long-Short Fund A 1214 (EUR) - 1, , GIM Technology Long-Short Fund A 0115 (EUR) - 2, , GIM Technology Long-Short Fund A 0215 (EUR) - 13, , GIM Technology Long-Short Fund A 0315 (EUR) - 16, , GIM Technology Long-Short Fund A 0415 (EUR) - 3, , GIM Technology Long-Short Fund A 0515 (EUR) - 1, , GIM Technology Long-Short Fund A 0615 (EUR) - 75, , GIM Technology Long-Short Fund A 0715 (EUR) - 2, , GIM Technology Long-Short Fund A 0815 (EUR) GIM Technology Long-Short Fund A (GBP) 6, ( ) 6, GIM Technology Long-Short Fund A 1213 (GBP) ( ) - GIM Technology Long-Short Fund A 0214 (GBP) ( ) - GIM Technology Long-Short Fund A 0215 (GBP) - 1, , GIM Technology Long-Short Fund A 0415 (GBP) - 1, ( ) GIM Technology Long-Short Fund A 0715 (GBP) - 11, , GIM Technology Long-Short Fund A 0815 (GBP) - 2, , GIM Technology Long-Short Fund A (USD) 311, , (804, ) 200, GIM Technology Long-Short Fund A 0913 (USD) 1, (1, ) - GIM Technology Long-Short Fund A 1113 (USD) 10, (10, ) - GIM Technology Long-Short Fund A 0214 (USD) 8, (8, ) - GIM Technology Long-Short Fund A 0314 (USD) 52, (52, ) - GIM Technology Long-Short Fund A 0414 (USD) 450, (450, ) - GIM Technology Long-Short Fund A 0514 (USD) 167, (167, ) - GIM Technology Long-Short Fund A 0614 (USD) 158, (158, ) - GIM Technology Long-Short Fund A 0714 (USD) ( ) - GIM Technology Long-Short Fund A 1014 (USD) - 4, , GIM Technology Long-Short Fund A 1114 (USD) - 1, (1, ) - GIM Technology Long-Short Fund A 0115 (USD) - 974, (65, ) 908, GIM Technology Long-Short Fund A 0215 (USD) - 4, , GIM Technology Long-Short Fund A 0315 (USD) - 8, , GIM Technology Long-Short Fund A 0415 (USD) - 20, , GIM Technology Long-Short Fund A 0515 (USD) - 8, , GIM Technology Long-Short Fund A 0615 (USD) - 30, , GIM Technology Long-Short Fund A 0715 (USD) - 11, , GIM Technology Long-Short Fund X 1014 (USD) - 962, (962, ) - 11

14 Statistical Information (continued) Net Asset Value per Share Series in Share Class Currency 30 September September September 2013 GIM Portfolio Strategies Funds - Europe Dynamic Long-Short Fund GIM Europe Dynamic Long-Short Fund A 0911 (EUR) GIM Europe Dynamic Long-Short Fund A 0911 (USD) GIM Europe Dynamic Long-Short Fund A 0312 (EUR) GIM Europe Dynamic Long-Short Fund A 0312 (GBP) GIM Europe Dynamic Long-Short Fund A 0312 (USD) GIM Europe Dynamic Long-Short Fund A 0113 (EUR) GIM Europe Dynamic Long-Short Fund A 0113 (USD) GIM Europe Dynamic Long-Short Fund A 0213 (EUR) GIM Europe Dynamic Long-Short Fund A 0313 (EUR) GIM Europe Dynamic Long-Short Fund A 0313 (USD) GIM Europe Dynamic Long-Short Fund A 0413 (EUR) GIM Europe Dynamic Long-Short Fund A 0813 (EUR) GIM Europe Dynamic Long-Short Fund A 0813 (USD) GIM Europe Dynamic Long-Short Fund A 103 (EUR) GIM Europe Dynamic Long-Short Fund A 0513 (EUR) GIM Europe Dynamic Long-Short Fund A 0613 (EUR) GIM Europe Dynamic Long-Short Fund A 0713 (EUR) GIM Europe Dynamic Long-Short Fund A 0913 (EUR) GIM Europe Dynamic Long-Short Fund A 1013 (EUR) GIM Europe Dynamic Long-Short Fund A 1113 (EUR) GIM Europe Dynamic Long-Short Fund A 1213 (EUR) GIM Europe Dynamic Long-Short Fund A 0214 (EUR) GIM Europe Dynamic Long-Short Fund A 0314 (EUR) GIM Europe Dynamic Long-Short Fund A 0414 (EUR) GIM Europe Dynamic Long-Short Fund A 0514 (EUR) GIM Europe Dynamic Long-Short Fund A 0614 (EUR) GIM Europe Dynamic Long-Short Fund A 0714 (EUR) GIM Europe Dynamic Long-Short Fund A 0814 (EUR) GIM Europe Dynamic Long-Short Fund A 1014 (EUR) GIM Europe Dynamic Long-Short Fund A 1214 (EUR) GIM Europe Dynamic Long-Short Fund A 0215 (EUR) GIM Europe Dynamic Long-Short Fund A 0315 (EUR) GIM Europe Dynamic Long-Short Fund A 0515 (EUR) GIM Europe Dynamic Long-Short Fund A 0615 (EUR) GIM Europe Dynamic Long-Short Fund A 0815 (EUR) GIM Europe Dynamic Long-Short Fund A 0111 (GBP) GIM Europe Dynamic Long-Short Fund A 0613 (GBP) GIM Europe Dynamic Long-Short Fund A 1013 (GBP) GIM Europe Dynamic Long-Short Fund A 0215 (GBP) GIM Europe Dynamic Long-Short Fund A 0315 (GBP) GIM Europe Dynamic Long-Short Fund A 0415 (GBP) GIM Europe Dynamic Long-Short Fund A 113 (USD) GIM Europe Dynamic Long-Short Fund A 0613 (USD) GIM Europe Dynamic Long-Short Fund A 0713 (USD) GIM Europe Dynamic Long-Short Fund A 0913 (USD) GIM Europe Dynamic Long-Short Fund A 1013 (USD) GIM Europe Dynamic Long-Short Fund A 1113 (USD) GIM Europe Dynamic Long-Short Fund A 1213 (USD) GIM Europe Dynamic Long-Short Fund A 0114 (USD) GIM Europe Dynamic Long-Short Fund A 0214 (USD) GIM Europe Dynamic Long-Short Fund A 0314 (USD) GIM Europe Dynamic Long-Short Fund A 0514 (USD) GIM Europe Dynamic Long-Short Fund A 0714 (USD) GIM Europe Dynamic Long-Short Fund A 0814 (USD) GIM Europe Dynamic Long-Short Fund A 1014 (USD) GIM Europe Dynamic Long-Short Fund A 1214 (USD) GIM Europe Dynamic Long-Short Fund A 0115 (USD) GIM Europe Dynamic Long-Short Fund A 0215 (USD) GIM Europe Dynamic Long-Short Fund A 0315 (USD) GIM Europe Dynamic Long-Short Fund A 0715 (USD) GIM Europe Dynamic Long-Short Fund A 0815 (USD) GIM Europe Dynamic Long-Short Fund X 113 (EUR)