Threadneedle European Select Fund

Annual Short Report 7 March 2018 Fund Managers Report David Dudding Mark Nichols Performance of Class 1 Accumulation shares* Over the twelve months to 7 March 2018, the published share price of Class 1 Accumulation shares in the Threadneedle European Select Fund has risen from 267.95p to 295.36p. Looking at the sterling performance within its peer group, the total return on the fund for the twelve months ending 28 February 2018, including net reinvested income, is +13.04% as compared to a sector median return of +12.69% over the same period. (For information the FTSE World Europe ex UK (GBP) Index returned +12.70% over the same period). Market Overview and Portfolio Activity The eurozone economy gathered momentum 2017 was the best year for GDP growth in a decade, unemployment reached a nineyear low and the purchasing managers index reached its highest level in almost 12 years, before cooling slightly. Corporate earnings also provided grounds for optimism. The eurozone s economy strengthened sufficiently for the European Central Bank to start scaling back bond purchases, although the duration of the financial stimulus plan has been extended until at least September 2018. It was an eventful period in politics. Pivotal elections were held in the Netherlands and France and investors were alert to any signs that these countries could follow the UK out of the European Union. However, pro-eu candidates were elected in both countries. Angela Merkel s party secured a victory in Germany s federal election, despite strong opposition from the far-right AfD, and eventually formed a coalition government. Italy s election yielded gains for populist parties, which will now need to seek coalition partners. Separatist parties clamoured for independence in Catalonia, Spain s most prosperous region, although the Spanish government remains opposed to their demands. In the UK, the ruling Conservative Party lost its absolute majority in a general election, making Brexit negotiations more complex and unpredictable. *In pound Sterling and against UK peer group. Equity indices powered ahead in the US and Europe; President Trump s administration succeeded in passing tax reforms, which could further boost the US economy, benefiting some European exporters and companies with operations there. However, towards the end of the review period, global market volatility spiked and equities surrendered some gains; the sell-off was prompted by fears that US interest rates could rise faster than expected. Merger and acquisition activity was buoyant in a wide variety of sectors, and some substantial deals were announced. Geopolitical events jolted equity markets periodically; the presidents of North Korea and the US exchanged threats of military action, while travel and tourism stocks were impacted as Europe suffered a series of terrorist attacks. Major transactions included opening new positions in Adidas and ASML. Sportswear firm Adidas is under new management, is gaining market share, and has a strong position in China. Its sales strategy has hit a sweet spot, with products such as retro shoes. ASML produces semiconductor manufacturing equipment; it has a large market share and superior technology. The company is a leader in extreme ultraviolet (EUV) lithography technology, which offers exciting growth potential. Sales included Roche and Akzo Nobel. Pharmaceutical company Roche is increasingly under pressure from the development of biosimilar drugs. Shares in paint business Akzo Nobel had risen strongly following a takeover bid. European equities are benefiting from improving corporate profitability and encouraging GDP growth; they are also cheap relative to US equities. We view the current equity-market retracement as a buying opportunity. It will take time before the full effects of Brexit, Italy s recent election and Catalonia s bid for independence become clear. Other risks include heightened tensions with Russia, and an increasingly protectionist stance in the US. Our main focus in managing this high-conviction portfolio is on stock selection. We seek to identify high-quality companies with the pricing power to sustain strong returns. Fund Facts Fund Accounting and Distribution Dates Accounting Dates Payment Dates 7 March 7 May Ongoing Charges Figure The Ongoing Charges Figure (OCF) is the European standard method of disclosing the charges of a share class of a fund based on the financial year s expenses and may vary from year to year. It includes charges such as the fund s annual management charge, registration fee, custody fees and distribution cost but ordinarily excludes the costs of buying or selling assets for the fund (unless these assets are shares of another fund). Where published, the Key Investor Information Document (KIID) contains the current OCF. For a more detailed breakdown please visit columbiathreadneedle.com/fees. Share class 7 March 2018 7 March 2017 Class 1 Income shares 1.63% 1.63% Class 1 Accumulation shares 1.63% 1.63% Class 1 SGD Hedged Accumulation shares 1.63% 1.63% Class 1 USD Hedged Accumulation shares 1.63% 1.63% Class 2 Income shares 1.07% 1.05% Class 2 Accumulation shares 1.06% 1.06% Class 2 USD Hedged Accumulation shares 1.06% 1.06% Class X Accumulation shares 0.06% 0.06% Class Z Income shares 0.83% 0.83% Class Z Accumulation shares 0.83% 0.83%

Summary of Fund Performance Performance History (%) Share class 2018 1 2017 2016 2015 2014 2013 Class 1 Income shares 2-2.62 +18.63 +11.58 +7.03 Class 1 Accumulation shares -2.62 +18.63 +11.58 +10.21 +3.62 +22.15 Class 1 SGD Hedged Accumulation shares 3-1.69 +16.40-2.75 +16.82 +10.70 +7.00 Class 1 USD Hedged Accumulation shares 4-1.69 +16.86-3.03 +13.80 Class 2 Income shares -2.52 +19.31 +12.23 +10.88 +4.25 +22.92 Class 2 Accumulation shares -2.53 +19.31 +12.23 +10.87 +4.25 +22.92 Class 2 USD Hedged Accumulation shares 4-1.58 +17.54-2.50 +14.61 Class X Accumulation shares 5-2.37 +20.51 +13.35 +2.64 Class Z Income shares 6-2.50 +19.58 +12.48 +11.12 +4.49 +3.79 Class Z Accumulation shares -2.49 +19.58 +12.48 +11.11 +4.48 +23.14 1 To 28 February 2018. 2 Commenced 29 April 2015. 3 Commenced 10 October 2013. 4 Commenced 14 January 2015. 5 Commenced 10 June 2015. 6 Commenced 18 September 2013. Source: Morningstar and Threadneedle. Bid to bid prices are quoted (i.e. not including any initial charge) with net income reinvested for a UK basic rate tax payer and gross income reinvested for a non-uk resident. Performance data is quoted in sterling apart from hedged share classes, where applicable, which are in the hedged currency. Past performance is not a guide to future investment performance. The value of investments and any income is not guaranteed and can go down as well as up and may be affected by exchange rate fluctuations. This means that an investor may not get back the amount invested. Net Asset Value (NAV) As at Share class NAV ( ) NAV pence per share Number of shares in issue 7 March 2018 Class 1 Income shares 4,032,332 126.83 3,179,272 7 March 2017 Class 1 Income shares 2,219,029 115.44 1,922,302 7 March 2016 Class 1 Income shares 1,930,443 96.23 2,006,135 7 March 2018 Class 1 Accumulation shares 1,072,075,070 295.27 363,087,509 7 March 2017 Class 1 Accumulation shares 1,022,096,689 267.87 381,570,993 7 March 2016 Class 1 Accumulation shares 960,455,935 222.47 431,717,328 7 March 2018 Class 1 SGD Hedged Accumulation shares 31,829,931 165.60 19,220,877 7 March 2017 Class 1 SGD Hedged Accumulation shares 38,893,588 162.05 24,000,866 7 March 2016 Class 1 SGD Hedged Accumulation shares 74,713,114 130.09 57,432,647 7 March 2018 Class 1 USD Hedged Accumulation shares 10,150,544 136.89 7,414,994 7 March 2017 Class 1 USD Hedged Accumulation shares 10,179,321 142.82 7,127,197 7 March 2016 Class 1 USD Hedged Accumulation shares 11,113,464 112.51 9,877,632 7 March 2018 Class 2 Income shares 3,367,479 188.89 1,782,764 7 March 2017 Class 2 Income shares 23,649,356 171.92 13,756,276 7 March 2016 Class 2 Income shares 192,659,974 143.23 134,507,786 7 March 2018 Class 2 Accumulation shares 556,026,896 333.00 166,976,283 7 March 2017 Class 2 Accumulation shares 698,968,628 300.37 232,701,017 7 March 2016 Class 2 Accumulation shares 887,707,280 248.04 357,884,606 7 March 2018 Class 2 USD Hedged Accumulation shares 19,050,028 139.61 13,645,147 7 March 2017 Class 2 USD Hedged Accumulation shares 31,857,018 144.80 22,000,553 7 March 2016 Class 2 USD Hedged Accumulation shares 26,008,968 113.42 22,932,416 7 March 2018 Class X Accumulation shares 78,459,010 136.69 57,399,396 7 March 2017 Class X Accumulation shares 44,253,814 122.07 36,252,507 7 March 2016 Class X Accumulation shares 19,976,545 99.80 20,015,986 7 March 2018 Class Z Income shares 186,350,907 152.02 122,581,844 7 March 2017 Class Z Income shares 103,326,662 138.36 74,679,528 7 March 2016 Class Z Income shares 93,393,568 115.26 81,030,843 7 March 2018 Class Z Accumulation shares 1,176,987,155 193.92 606,959,394 7 March 2017 Class Z Accumulation shares 911,368,765 174.52 522,202,689 7 March 2016 Class Z Accumulation shares 814,568,398 143.80 566,474,742

Distribution History/Share Price Range Threadneedle European Select Fund Highest share price (pence) Lowest share price (pence) Year to Share class Pence per share 7 March 2018 Class 1 Income shares 0.4123 133.84 115.22 7 March 2017 Class 1 Income shares 0.4240 115.90 94.76 7 March 2016 Class 1 Income shares 1 101.44 89.61 7 March 2018 Class 1 Accumulation shares 0.9564 310.57 267.37 7 March 2017 Class 1 Accumulation shares 0.9805 267.95 219.09 7 March 2016 Class 1 Accumulation shares 1.1491 241.17 207.16 7 March 2018 Class 1 SGD Hedged Accumulation shares 0.6128 178.31 161.52 7 March 2017 Class 1 SGD Hedged Accumulation shares 0.5553 162.09 125.87 7 March 2016 Class 1 SGD Hedged Accumulation shares 147.87 113.70 7 March 2018 Class 1 USD Hedged Accumulation shares 0.5673 153.65 135.42 7 March 2017 Class 1 USD Hedged Accumulation shares 0.4494 142.89 108.54 7 March 2016 Class 1 USD Hedged Accumulation shares 0.1977 127.51 101.03 7 March 2018 Class 2 Income shares 1.6995 200.18 171.60 7 March 2017 Class 2 Income shares 1.5415 173.51 141.22 7 March 2016 Class 2 Income shares 1.6920 156.29 134.90 7 March 2018 Class 2 Accumulation shares 2.9678 349.75 299.82 7 March 2017 Class 2 Accumulation shares 2.6697 300.46 244.55 7 March 2016 Class 2 Accumulation shares 2.3843 267.47 230.88 7 March 2018 Class 2 USD Hedged Accumulation shares 1.4178 156.02 138.05 7 March 2017 Class 2 USD Hedged Accumulation shares 1.1776 144.84 109.54 7 March 2016 Class 2 USD Hedged Accumulation shares 0.5289 127.78 101.46 7 March 2018 Class X Accumulation shares 2.5640 143.38 121.85 7 March 2017 Class X Accumulation shares 2.1860 122.11 98.59 7 March 2016 Class X Accumulation shares 2 0.4290 103.67 92.84 7 March 2018 Class Z Income shares 1.7124 161.42 138.11 7 March 2017 Class Z Income shares 1.5283 139.93 113.68 7 March 2016 Class Z Income shares 0.8417 124.95 108.05 7 March 2018 Class Z Accumulation shares 2.1598 203.61 174.20 7 March 2017 Class Z Accumulation shares 1.9067 174.58 141.83 7 March 2016 Class Z Accumulation shares 1.6026 154.75 133.83 1 Commenced 29 April 2015. 2 Commenced 10 June 2015. Past performance is not a guide to future performance.

Classification of Investments 7 March 2018 2017 vs 7 March 2017 2016 24% 19% 7 March 2018 7 March 2017 14% 9% 4% -1% France Netherlands Portfolio Information Top Five Holdings as at 7 March 2018 Germany Sweden Spain Belgium Republic of Ireland Finland % of Fund Unilever (EUR) 4.96 RELX (EUR) 4.92 Dassault Systems 4.52 Pernod Ricard 4.39 Sampo 4.15 Italy Switzerland Denmark Top Five Holdings as at 7 March 2017 United States of America Norway United Kingdom Derivatives Net other assets % of Fund L Oreal 5.24 Unilever (EUR) 5.10 RELX (EUR) 4.95 Sampo 4.02 Fresenius Medical Care 4.01

Investment Objective and Policy To achieve above average capital growth. The ACD s investment policy is to invest the assets of the Fund mainly in a relatively concentrated portfolio of equities of companies domiciled in Continental Europe or which have significant Continental European operations. The select investment approach means that the ACD has the flexibility to take significant stock and sector positions which may lead to increased levels of volatility. If the ACD considers it desirable, it may further invest in other securities (including fixed interest securities, other equities and money market securities). Key Investor Information Document (KIID) Subscription requirements The KIID is a pre-contractual document and investors have to confirm that they have read the latest KIID before making a subscription. Threadneedle has the right to reject a subscription if the investor does not confirm that they have read the latest KIID at the time of application. Investors can obtain the latest KIID from columbiathreadneedle.com. Changes to the management of the ACD The following changes have been made to the directors of the ACD: Resignation of Mr Tim Gillbanks on 31 March 2017; Resignation of Mr Don Jordison on 1 May 2018; Appointment of Michelle Scrimgeour on 14 August 2017. Changes to the Prospectus During the period from 8 March 2017 to 7 March 2018 the following changes were made to the Prospectus of the Threadneedle Investment Funds ICVC (the Company): Introduction of co-management for the Japan Fund, and changes to the investment policy of the fund, effective from 1 November 2017; Introduction of a compulsory conversion clause effective from 1 February 2018; Change of the name of the transfer agent and the legal advisors for the Company; Reduction of fees for certain share classes from 1 February 2018; Inclusion of a definition of near cash ; Disclosures required as a result of changes to COLL as a result of the Markets in Financial Instruments Directive (MiFID II), including amendment to the description of Class 2 Shares and Class Z Shares; Disclosures relating to the UK s decision to leave the European Union ( Brexit ); Updates to include changes to the COLL rules (including PRN, changes regarding short reports, eligible markets); Updates to reflect changes being made to UK tax on distributions (gross vs net shares, as well as tax changes more generally); Updates to the list of funds managed by the ACD and the directors of the ACD; Enhanced disclosures regarding hedged share classes and performance fee calculations; Updates to performance, dilution adjustments and available share classes; Miscellaneous changes including address of the Financial Services Ombudsman, clarification on privacy statement, clarification of dividend payment dates, addresses of paying agents. Changes to the Instrument of Incorporation During the period from 8 March 2017 to 7 March 2018, the instrument of incorporation of the Company has been updated to include a compulsory conversion clause effective 1 February 2018. Brexit In June 2016 the United Kingdom voted to leave the European Union. While negotiations progress, there is significant uncertainty relating to the UK s withdrawal from the EU, the potential consequences and precise timeframe. It is expected that the UK will exit from the EU on 29 March 2019. Depending on the outcome of the UK s negotiations with the European Union, and the existence or otherwise of any formal implementation period, it is possible that the Funds may no longer be eligible to enjoy the rights set out in the UCITS Directive. Ceasing to be so eligible may affect the ability of non-uk domiciled investors to make new investments in the Company. The ACD is monitoring the situation and will keep shareholders informed. Key Risks Investment Risk: The value of investments can fall as well as rise and investors might not get back the sum originally invested. Currency Risk: Where investments are in assets that are denominated in multiple currencies, or currencies other than your own, changes in exchange rates may affect the value of the investments. Effect of Portfolio Concentration Risk: The Fund has a concentrated portfolio (holds a limited number of investments and/or has a restricted investment universe) and if one or more of these investments declines or is otherwise affected, it may have a pronounced effect on the fund s value. Derivatives for EPM/Hedging Risk: The investment policy of the fund allows it to invest in derivatives for the purposes of reducing risk or minimising the cost of transactions. High Volatility Risk: The fund typically carries a risk of high volatility due to its portfolio composition or the portfolio management techniques used. This means that the fund s value is likely to fall and rise more frequently and this could be more pronounced than with other funds. Further risks applicable to the fund can be found in the Prospectus. Risk and Reward Profile As at 7 March 2018 the figure for the risk and reward profile disclosed in the most recent KIID representing this fund is 5. The fund is in this specific category because historically it has shown a medium to high level of volatility (how much the value of the fund went up and down compared to other categories). It is based on past performance data in pound sterling. If your investment in the fund is not in pound sterling, please check the figure for the risk and reward profile disclosed on our website (columbiathreadneedle.com) according to the currency of your investment in the fund.

General Information The information in this report is designed to enable shareholders to make an informed judgement on the activities of the fund during the period it covers and the results of those activities at the end of the period. For further information, please contact Threadneedle Investment Services Limited. The Long Form Report and Financial Statements is available free of charge on request from the ACD and on our website. For more information about the activities and performance of the Company during the period and previous periods, please contact the ACD at the administration address noted below, or visit our website at columbiathreadneedle.com. Contacts: Registered Office Cannon Place 78 Cannon Street London EC4N 6AG Authorised Corporate Director (ACD) Threadneedle Investment Services Limited Cannon Place 78 Cannon Street London EC4N 6AG Registrar Threadneedle Investment Services Limited Delegated to: DST Financial Services Europe Limited** Authorised and regulated by the Financial Conduct Authority (FCA) St Nicholas Lane Basildon Essex SS15 5FS Investment Manager Threadneedle Asset Management Limited Cannon Place 78 Cannon Street London EC4N 6AG Authorised Corporate Director Client Services Details UK Investors Address: Threadneedle Investment Services Limited PO Box 10033 Chelmsford Essex CM99 2AL Telephone (dealing & customer enquiries): 0800 953 0134* Fax (dealing): 0845 113 0274 Email (enquiries): questions@service.columbiathreadneedle.co.uk Asian Investors Address: Threadneedle Investment Services Limited International Financial Data Services 47, avenue JF Kennedy L-1855 Luxembourg Telephone (dealing & customer enquiries): +352 2452 9817* Fax (dealing): +352 2452 9807 Email (enquiries): threadneedleenquiries@statestreet.com All Other Investors Address: Threadneedle Investment Services Limited International Financial Data Services 47, avenue JF Kennedy L-1855 Luxembourg Telephone (dealing & customer enquiries): +352 464 010 7020* Fax (dealing): +352 2452 9807 Email (enquiries): questions@service.columbiathreadneedle.co.uk Website: columbiathreadneedle.com Depositary Citibank Europe plc, UK branch (Authorised by the Prudential Regulatory Authority (PRA) and regulated by the FCA and PRA) Citigroup Centre 33 Canada Square Canary Wharf London E14 5LB Legal Advisers Eversheds Sutherland (International) LLP One Wood Street London EC2V 7WS Baum Financial Services Law Team Grosser Burstah 42 20457 Hamburg Germany Independent Auditor PricewaterhouseCoopers LLP Atria One 144 Morrison Street Edinburgh EH3 8EX Paying and Information Agent in Belgium CACEIS Belgium S.A Avenue du Port 86C B320 1000 Brussels Belgium Representative and Paying Agent in Switzerland BNP Paribas Securities Services, Paris, Succursale de Zurich Selnaustrasse 16 8002 Zurich Switzerland * Calls will be recorded. ** International Financial Data Services (UK) Limited changed its name to DST Financial Services Europe Limited on 15 August 2017. To find out more visit columbiathreadneedle.com Threadneedle Investment Services Limited, ISA Manager, Authorised Corporate Director and Unit Trust Manager. Registered No. 3701768. Registered in England and Wales. Registered Office: Cannon Place, 78 Cannon Street, London EC4N 6AG. Authorised and regulated by the Financial Conduct Authority. Columbia Threadneedle Investments is the global brand name of the Columbia and Threadneedle group of companies. columbiathreadneedle.com 227385