Threadneedle Dynamic Real Return Fund

Interim Short Report 25 November 2017 Fund Manager s Report Toby Nangle Performance of Class 2 Income shares* Over the six months to 25 November 2017, the published of the Threadneedle Dynamic Real Return Fund has risen from 119.95p to 123.52p. For comparison, using noon prices, the performance of the Class 2 share class for the six months ending 30 November 2017 was +2.4% compared to a return of +0.84% for the Morningstar UK Unit Trusts/OEICs (IA) UK Absolute Return Peer Group (on a bid to bid basis, with income reinvested for a UK basic rate taxpayer). Market Overview and Portfolio Activity Global equities enjoyed solid gains over the six months in review, outperforming global bonds. Corporate credit, particularly high yield, fared better than government debt; UK gilts were notably weak. The commodities market was up in dollar terms, but a weaker dollar erased gains in sterling terms. The period was marked by short spells of risk aversion during which safe-haven assets were in demand. Investors were unsettled by North Korean sabre-rattling, an unusually severe hurricane season, and doubts about President Trump s ability to enact his policies. Core bond and share markets were periodically spooked by the prospect of tighter monetary policy. Overall, however, it was a strong period for risk assets. Sentiment here was buoyed by generally encouraging news on the global economy, strong corporate earnings, a rally in oil prices, and, late in the period, resurgent optimism about tax reform in the US. UK equities lagged global averages against a background of Brexitrelated uncertainty. Nevertheless, sterling and gilt yields were lifted by rising inflation and more hawkish commentary from the Bank of England (BoE), particularly in June; the BoE went on to raise interest rates, in November, for the first time in a decade. European stocks fared better but also trailed global indices. Eurozone economic data was strong, though this also prompted concern that the European Central Bank (ECB) could soon rein in its stimulus. In October, the ECB indeed revealed that from next January monthly bond purchases would be halved but also that the programme would be extended until at least September 2018. Japanese equities strongly outperformed. The yen weakened and shares rallied in the run up to and following Prime Minister Abe s election victory, in the expectation that the current regime of loose monetary and fiscal conditions would continue. Asian and emerging markets also enjoyed powerful rallies, with confidence bolstered by the weaker dollar and upbeat global growth indicators. Emergingmarket government bonds also held up better than developed counterparts. Early in the period, we reduced our exposure to the Mexican peso. Political developments ahead of 2018 presidential elections are becoming more uncertain, and there is also headline risk associated with the NAFTA (North American Free Trade Agreement) negotiations. The fund s peso exposure had been entirely neutralised by the end of October. We also allowed the allocation to Mexican local-currency government bonds to decline as a proportion of net asset value (NAV), taking the weighting down from 6.5% of NAV to 3.7% over the six months. We continued to reduce our allocation to European high yield, where we felt valuations were looking stretched. This brought the exposure down to 2.3% of NAV from 4.4% at the start of the period. Also of note, we let our exposure to UK short-dated credit fall; this saw the overall exposure to investment-grade credit decline from 24.0% of NAV to 21.3%. On the purchase side, we initiated a position in short-dated (2019) UK gilts (in July) after a sharp rise in yields. This meant that overall exposure to developed government bonds rose from 8% of NAV at the start of the period to 11% by the end. We also increased exposure to Japanese equities, having upgraded our view on the asset class from favour to strongly favour. The allocation here rose from 12.5% of NAV to 15.2%, with the bulk of this happening in October. Among the primary motivations for this move were increased strength in Japanese corporate earnings; continued evidence that corporate reform is driving better shareholder returns; and firm economic expectations both globally and for Japan itself. Fund Facts Fund Accounting and Distribution Dates Accounting Dates Payment Dates 25 May 25 July 25 November 25 January 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). The non-ucits retail scheme Key Investor Information document (NURS-KII) contains the current OCF. The calculation includes the fund s share of the expenses of the underlying fund less any fee rebates received. The share of the costs of the underlying funds may fluctuate due to changes in investment decisions, which may be required as a result of changes in market conditions. For a more detailed breakdown please visit columbiathreadneedle.com/fees. Share class 25 November 2017 25 May 2017 Class 2 Income shares 0.76% 0.78% Class 2 Accumulation shares 0.76% 0.77% Class 2s Accumulation shares 0.50% 0.49% Class X Income shares 1 0.13% Class X Accumulation shares 0.11% 0.12% Class Z Income shares 0.93% 0.94% Class Z Accumulation shares 0.93% 0.94% The Ongoing Charges Figure is annualised based on the fees incurred during the accounting period or since commencement date. 1 Closed 14 November 2017. * In pound Sterling and against UK peer group.

Summary of Fund Performance Performance History (%) Share class 2017 1 2016 2015 2014 2013 Class 2 Income shares 2 +6.69 +8.08 +2.88 +6.00 +2.57 Class 2 Accumulation shares 2 +6.68 +8.07 +2.81 +5.98 +2.54 Class 2s Accumulation Shares 3 +6.90 +8.31-1.02 Class X Income shares 4 +7.23 +1.50 +6.45 +2.91 Class X Accumulation shares 2 +7.21 +8.66 +3.38 +6.56 +2.85 Class Z Income shares 2 +6.55 +7.92 +2.69 +5.85 +2.48 Class Z Accumulation shares 2 +6.56 +7.92 +2.66 +5.83 +2.47 1 To 31 October 2017. 2 Commenced 18 June 2013. 3 Commenced 1 May 2015. 4 Commenced 18 June 2013 and closed 14 November 2017. 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 25 November 2017 Class 2 Income shares 3,320,544 123.05 2,698,428 25 May 2017 Class 2 Income shares 211,829 119.04 177,951 25 May 2016 Class 2 Income shares 21,160 108.12 19,571 25 May 2015 Class 2 Income shares 14,103 110.67 12,743 25 November 2017 Class 2 Accumulation shares 408,321,038 129.76 314,683,101 25 May 2017 Class 2 Accumulation shares 398,501,943 125.07 318,619,302 25 May 2016 Class 2 Accumulation shares 193,989,844 112.38 172,619,766 25 May 2015 Class 2 Accumulation shares 81,255,527 113.60 71,524,691 25 November 2017 Class 2s Accumulation shares 479,910,603 115.45 415,694,907 25 May 2017 Class 2s Accumulation shares 204,505,277 111.16 183,971,834 25 May 2016 Class 2s Accumulation shares 37,541,914 99.67 37,666,731 25 May 2015 Class 2s Accumulation shares 61,052 100.52 60,736 25 May 2017 Class X Income shares 2 3,580 119.34 3,000 25 May 2016 Class X Income shares 19,583,238 108.14 18,109,488 25 May 2015 Class X Income shares 3,321 110.70 3,000 25 November 2017 Class X Accumulation shares 22,789,491 132.92 17,145,229 25 May 2017 Class X Accumulation shares 21,909,202 127.79 17,145,229 25 May 2016 Class X Accumulation shares 3,427 114.23 3,000 25 May 2015 Class X Accumulation shares 3,444 114.80 3,000 25 November 2017 Class Z Income shares 6,089,418 123.01 4,950,444 25 May 2017 Class Z Income shares 2,407,079 118.99 2,022,847 25 May 2016 Class Z Income shares 648,132 108.08 599,698 25 May 2015 Class Z Income shares 11,680 110.67 10,554 25 November 2017 Class Z Accumulation shares 47,520,771 128.95 36,851,103 25 May 2017 Class Z Accumulation shares 24,525,612 124.38 19,717,697 25 May 2016 Class Z Accumulation shares 4,332,272 111.92 3,870,928 25 May 2015 Class Z Accumulation shares 1,706,039 113.29 1,505,913 Distribution History/Share Price Range Highest Lowest Year to Share class Pence per share 25 November 2017 Class 2 Income shares 0.4435 123.80 119.01 25 May 2017 Class 2 Income shares 1.2722 119.95 108.24 25 May 2016 Class 2 Income shares 1.3751 111.08 103.22 25 May 2015 Class 2 Income shares 1.6521 113.38 102.27 25 November 2017 Class 2 Accumulation shares 0.4659 130.07 125.04 25 May 2017 Class 2 Accumulation shares 1.3253 125.08 112.49 25 May 2016 Class 2 Accumulation shares 1.4085 114.65 106.54 25 May 2015 Class 2 Accumulation shares 1.6552 115.49 103.43

Pence per share Highest Lowest Year to Share class 25 November 2017 Class 2s Accumulation shares 0.5326 115.72 111.16 25 May 2017 Class 2s Accumulation shares 1.4058 111.17 99.77 25 May 2016 Class 2s Accumulation shares 1.4807 101.65 94.41 25 May 2015 Class 2s Accumulation shares 1 0.1882 100.54 99.21 25 November 2017 Class X Income shares 2 124.40 119.37 25 May 2017 Class X Income shares 1.6199 120.55 108.26 25 May 2016 Class X Income shares 1.9547 111.35 103.36 25 May 2015 Class X Income shares 2.2133 113.62 102.28 25 November 2017 Class X Accumulation shares 0.8179 133.21 127.83 25 May 2017 Class X Accumulation shares 1.9951 127.80 114.33 25 May 2016 Class X Accumulation shares 2.0512 116.46 108.11 25 May 2015 Class X Accumulation shares 2.2619 116.66 103.96 25 November 2017 Class Z Income shares 0.3576 123.67 118.94 25 May 2017 Class Z Income shares 1.1085 119.82 108.19 25 May 2016 Class Z Income shares 1.2147 110.96 103.14 25 May 2015 Class Z Income shares 1.4974 113.31 102.27 25 November 2017 Class Z Accumulation shares 0.3739 129.28 124.33 25 May 2017 Class Z Accumulation shares 1.1519 124.39 112.03 25 May 2016 Class Z Accumulation shares 1.2476 114.19 106.14 25 May 2015 Class Z Accumulation shares 1.4999 115.20 103.30 1 Commenced 1 May 2015. 2 Closed 14 November 2017. Past performance is not a guide to future performance. Classification of Investments 25 November 2017 vs 25 May 2017 35% 30% 25% 25 November 2017 25 May 2017 20% 15% 10% 5% 0% -5% Overseas equity UK bond Overseas bond Commodity fund UK equity Real estate Derivatives Net other assets Portfolio Information Top Five Holdings as at 25 November 2017 % of Fund Threadneedle Sterling Short-Dated Corporate Bond Fund 21.29 Threadneedle Japan Fund 15.25 Threadneedle European Fund 8.55 United Kingdom Gilt 1.75% 22/07/2019 6.86 Threadneedle European Select Fund 6.35 Top Five Holdings as at 25 May 2017 % of Fund Threadneedle UK Short-Dated Corporate Bond Fund 23.74 Threadneedle Japan Fund 12.55 Threadneedle European Fund 7.90 Threadneedle European Select Fund 7.33 Threadneedle UK Fund 7.14

Investment Objective and Policy The investment objective of the Fund is to achieve a positive real rate of return from capital appreciation and income over the medium to long term, at least above the rate of inflation (defined as the Consumer Price Index). Regardless of market conditions, it also aims to provide a positive return over a maximum period of 3 years. There is a risk to capital, and there is no guarantee that such a return will be achieved in 3 years or any other timescale. The ACD s investment policy is to actively manage an exposure to fixed income, equities, cash, money market instruments, currencies, commodities, property and other alternative asset classes on a global basis. The ACD will vary the exposure between these asset classes as deemed necessary in order to achieve the investment objective, and this may result in the Fund having no exposure to particular asset classes. The ACD will invest in regulated and unregulated collective investment schemes, transferable securities, derivatives, forward transactions, cash, deposits and money market instruments. Investments in collective investment schemes may include those managed, operated or advised by the ACD, or a company in the same group as the ACD. The Fund may gain indirect exposure to commodities through, but not limited to, investment in collective investment schemes, securitised notes and/ or financial derivative instruments. The ACD will not invest in physical commodities or directly in real property. Non-UCITS Retail Scheme Key Investor Information Documentation (NURS KII) Subscription requirements The NURS-KII is a pre-contractual document and investors have to confirm that they have read the latest NURS-KII before making a subscription. Threadneedle has the right to reject a subscription if the investor does not confirm that they have read the latest NURS-KII at the time of application. Investors can obtain the latest NURS-KII from columbiathreadneedle.com. Changes to the management of the ACD The following changes have been made to the directors of the ACD: Appointment of Ms. Michelle Scrimgeour on 14 August 2017. Changes to the Prospectus There were no changes to the Prospectus during the period from 26 May 2017 to 25 November 2017. Changes to the Instrument of Incorporation There were no changes to the Instrument of Incorporation during the period from 26 May 2017 to 25 November 2017. Key Risks Investment Risk: The value of investments can fall as well as rise and investors might not get back the sum originally invested. Investment in Funds Risk: The Investment Policy allows the fund to invest principally in units of other collective investment schemes. Investors should consider the investment policy and asset composition in the underlying funds when assessing their portfolio exposure. 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. No Capital Guarantee Risk: Positive returns are not guaranteed and no form of capital protection applies. Issuer Risk: The Fund invests in securities whose value would be significantly affected if the issuer refused, was unable to or was perceived to be unable to pay. Interest Rate Risk: Changes in interest rates are likely to affect the fund s value. In general, as interest rates rise, the price of a fixed rate bond will fall, and vice versa. Valuation Risk: The fund s assets may sometimes be difficult to value objectively and the actual value may not be recognised until assets are sold. Investment in Derivatives Risk: The Investment Policy of the fund allows it to invest materially in derivatives. Volatility Risk: The fund may exhibit significant price volatility. Further risks applicable to the fund can be found in the Prospectus. Risk and Reward Profile As at 25 November 2017 the figure for the risk and reward profile disclosed in the most recent NURS-KII 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) and Alternative Investment Fund Manager 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 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 Independent Auditor PricewaterhouseCoopers LLP Atria One 144 Morrison Street Edinburgh EH3 8EX ACD 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 * International Financial Data Services (UK) Limited changed its name to DST Financial Services Europe Limited on 15 August 2017. ** Calls will be recorded.

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 213038