Threadneedle European Smaller Companies Fund

Annual Short Report 7 March 2018 Fund Manager s Report Mark Heslop Performance of Class 1 Accumulation shares* Over the twelve months to 7 March 2018, the published of Class 1 Accumulation shares in the Threadneedle European Smaller Companies Fund has risen from 730.59p to 870.19p. 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 +21.79% as compared to a sector median return of +21.02% over the same period. (For information the HSBC European Smaller Companies ex UK Index returned +18.29% over the same period). Market Overview and Portfolio Activity The eurozone economy gathered momentum and 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 Alternative für Deutschland, 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 Ahlsell and Huhtamaki. Ahlsell is a Swedish distributor of ventilation, heating, and electrical systems. The company is capital-light, has an effective online offering, and its scale advantage generates buying power. Consumer-packaging business Huhtamaki benefits from longterm contracts and has a strong position in emerging markets. We sold video-game firm Ubisoft following a period of strong returns. Other sales included credit-management business Intrum Justitia; management change has created uncertainty. 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 portfolio is on stock selection, informed by macro-economic and thematic views. We favour companies that have a competitive advantage and pricing power generated by brands, patented processes, regulatory barriers to entry and strong market positions. 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 1.67% 1.67% Class 1 Accumulation shares 1.67% 1.67% Class 1 CHF Hedged Accumulation shares 1.67% 1.66% Class 2 Accumulation shares 1.06% 1.06% Class Z Income shares 0.88% 0.88% Class Z Accumulation shares 0.88% 0.88% Class Z CHF Hedged Accumulation shares 0.88% 0.88%

Summary of Fund Performance Performance History (%) Share class 2018 1 2017 2016 2015 2014 2013 Class 1 Income shares +0.96 +22.96-0.35 +29.39 +6.66 +19.69 Class 1 Accumulation shares +0.96 +22.96-0.35 +29.45 +6.65 +19.69 Class 1 CHF Hedged Accumulation shares 2 +0.90 +22.23-0.89 +9.33 Class 2 Accumulation shares +1.07 +23.71 +0.27 +30.24 +7.31 +20.44 Class Z Income shares 3 +0.85 +23.19 +1.28 +29.66 +7.80 +4.51 Class Z Accumulation shares 4 +1.10 +23.93 +0.44 +30.47 +7.50 +14.21 Class Z CHF Hedged Accumulation shares 2 +1.04 +23.21-0.14 +9.55 1 To 28 February 2018. 2 Commenced 24 June 2015. 3 Commenced 26 September 2013. 4 Commenced 12 February 2013. Source: Morningstar and Threadneedle. Bid to bid prices are quoted (i.e. not including any initial charge) with gross income reinvested. Performance data is quoted in Euros. You should not view past performance as an indication of performance in the future. Please remember that the value of investments and any income from them may fall as well as rise. The real value of that income may fall over time. Net Asset Value (NAV) NAV pence per share Number of shares in issue As at Share class NAV ( ) 7 March 2018 Class 1 Income shares 37,151,110 846.11 4,390,817 7 March 2017 Class 1 Income shares 22,963,802 710.70 3,231,135 7 March 2016 Class 1 Income shares 16,087,144 566.89 2,837,793 7 March 2018 Class 1 Accumulation shares 1,340,754,255 869.42 154,211,766 7 March 2017 Class 1 Accumulation shares 1,065,301,565 729.86 145,959,714 7 March 2016 Class 1 Accumulation shares 799,648,153 582.03 137,389,702 7 March 2018 Class 1 CHF Hedged Accumulation shares 373,921 143.32 260,891 7 March 2017 Class 1 CHF Hedged Accumulation shares 195,840 131.53 148,890 7 March 2016 Class 1 CHF Hedged Accumulation shares 313,412 103.34 303,271 7 March 2018 Class 2 Accumulation shares 385,332,883 979.38 39,344,529 7 March 2017 Class 2 Accumulation shares 334,659,459 817.13 40,955,479 7 March 2016 Class 2 Accumulation shares 329,966,336 647.63 50,949,654 7 March 2018 Class Z Income shares 20,019,000 188.06 10,644,917 7 March 2017 Class Z Income shares 11,790,045 157.90 7,466,765 7 March 2016 Class Z Income shares 5,855,061 125.83 4,652,971 7 March 2018 Class Z Accumulation shares 504,482,885 206.89 243,838,268 7 March 2017 Class Z Accumulation shares 282,260,140 172.32 163,804,006 7 March 2016 Class Z Accumulation shares 230,619,941 136.33 169,157,024 7 March 2018 Class Z CHF Hedged Accumulation shares 1,081,283 146.30 739,107 7 March 2017 Class Z CHF Hedged Accumulation shares 496,090 133.18 372,501 7 March 2016 Class Z CHF Hedged Accumulation shares 319,167 103.79 307,501 Distribution History/Share Price Range Highest Lowest Year to Share class Pence per share 7 March 2018 Class 1 Income shares 0.4960 871.49 711.50 7 March 2017 Class 1 Income shares 0.1764 711.58 559.28 7 March 2016 Class 1 Income shares 572.84 484.06 7 March 2018 Class 1 Accumulation shares 0.5095 894.98 730.67 7 March 2017 Class 1 Accumulation shares 0.1624 730.59 574.21 7 March 2016 Class 1 Accumulation shares 0.1888 588.14 502.88 7 March 2018 Class 1 CHF Hedged Accumulation shares 0.1774 149.00 131.89 7 March 2017 Class 1 CHF Hedged Accumulation shares 0.0140 131.69 101.48 7 March 2016 Class 1 CHF Hedged Accumulation shares¹ 105.37 92.18

Highest Lowest Year to Share class Pence per share 7 March 2018 Class 2 Accumulation shares 6.2614 1,007.29 818.05 7 March 2017 Class 2 Accumulation shares 4.6340 817.94 638.96 7 March 2016 Class 2 Accumulation shares 3.5486 654.36 556.16 7 March 2018 Class Z Income shares 1.5241 194.94 158.08 7 March 2017 Class Z Income shares 1.1475 159.20 124.15 7 March 2016 Class Z Income shares 0.9235 128.08 108.67 7 March 2018 Class Z Accumulation shares 1.6632 212.74 172.51 7 March 2017 Class Z Accumulation shares 1.2442 172.49 134.51 7 March 2016 Class Z Accumulation shares 0.9752 137.75 116.88 7 March 2018 Class Z CHF Hedged Accumulation shares 1.3094 151.20 133.54 7 March 2017 Class Z CHF Hedged Accumulation shares 0.9384 133.32 102.08 7 March 2016 Class Z CHF Hedged Accumulation shares¹ 105.73 92.31 1 Commenced 24 June 2015. Past performance is not a guide to future performance. Classification of Investments 7 March 2018 2017 vs 7 March 2017 2016 20% 7 March 2018 7 March 2017 15% 10% 5% 0% France Germany Portfolio Information Italy Sweden Republic of Ireland Switzerland Belgium Finland Top Five Holdings as at 7 March 2018 % of Fund Elis 2.46 Sartorius 2.46 Edenred 2.36 Sika 2.33 Norma Group 2.25 Spain Denmark Netherlands United States of America Norway Luxembourg Austria Net other assets Top Five Holdings as at 7 March 2017 % of Fund Sika 2.80 Elis 2.64 IMCD Group 2.12 Applus Services 2.10 Kingspan Group (EUR) 2.07

Investment Objective and Policy To achieve capital growth. The ACD s investment policy is to invest the assets of the Fund primarily in the equities of smaller companies domiciled in Continental Europe or with significant Continental European operations. 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. Liquidity Risk: The fund holds assets which could prove difficult to sell. The fund may have to lower the selling price, sell other investments or forego more appealing investment opportunities. 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 225094