Jahresbericht (, 3,71 MB)

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2016 ANNUAL REPORT AND AUDITED FINANCIAL STATEMENTS
Russell Investment Company II plc
an umbrella fund with segregated liability between sub-funds
31 March 2016
Russell Emerging Market Debt Local Currency Fund
Russell Emerging Markets Extended Opportunities Fund
Russell Euro Fixed Income Fund
Russell Global Bond (Euro Hedged) Fund
Russell Global Defensive Equity Fund
Russell Pan European Equity Fund
Russell U.K. Equity Plus Fund
Russell U.S. Growth Fund*
Russell U.S. Quant Fund
Russell U.S. Value Fund*
Russell World Equity Fund
* Ceased trading during the year ended 31 March 2015
Contents
Administration of the Company ..............................................................................................................................
2
Background to the Company .................................................................................................................................
4
Directors’ Report ....................................................................................................................................................
5
Custodian and Trustee’s Report ............................................................................................................................
7
Independent Auditors’ Report ................................................................................................................................
8
Combined Statements ...........................................................................................................................................
11
Russell Emerging Market Debt Local Currency Fund ...........................................................................................
14
Russell Emerging Markets Extended Opportunities Fund .....................................................................................
29
Russell Euro Fixed Income Fund ...........................................................................................................................
50
Russell Global Bond (Euro Hedged) Fund ............................................................................................................
73
Russell Global Defensive Equity Fund ..................................................................................................................
122
Russell Pan European Equity Fund .......................................................................................................................
139
Russell U.K. Equity Plus Fund ...............................................................................................................................
155
Russell U.S. Growth Fund* ....................................................................................................................................
165
Russell U.S. Quant Fund .......................................................................................................................................
168
Russell U.S. Value Fund* ......................................................................................................................................
182
Russell World Equity Fund ....................................................................................................................................
185
Notes to the Financial Statements .........................................................................................................................
208
* Ceased trading during the year ended 31 March 2015.
Contents
Administration of the Company
Board of Directors of the Company*
Mr. James Firn (Chairman)
Mr. James Beveridge
Mr. Peter Gonella
Mr. Neil Jenkins
Mr. John McMurray
Mr. Tom Murray
Mr. William Roberts
Mr. David Shubotham
Mr. Kenneth Willman
Members of the Manager’s Audit Committee
Mr. David Shubotham (Chairman)
Mr. Tom Murray
Mr. William Roberts
Registered Office
78 Sir John Rogerson’s Quay
Dublin 2
Ireland
Manager
Russell Investments Ireland Limited
Dublin 2
Ireland
Independent Auditors
PricewaterhouseCoopers
Chartered Accountants and Statutory Audit Firm
One Spencer Dock
North Wall Quay
Dublin 1
Ireland
Legal Advisers
Maples and Calder
75 St. Stephen’s Green
Dublin 2
Ireland
Administrator
State Street Fund Services (Ireland) Limited
Dublin 2
Ireland
Custodian and Trustee
State Street Custodial Services (Ireland) Limited
Dublin 2
Ireland
Global Sub-Custodian
State Street Bank and Trust Company
Copley Place
100 Huntington Avenue
Boston, MA 02116
United States of America
Promoter
Frank Russell Company
1301 Second Avenue
18th Floor
Seattle, WA 98101
United States of America
Company Secretary
MFD Secretaries Limited
2nd Floor, Beaux Lane House
Mercer Street Lower
Dublin 2
Ireland
Adviser and Distributor
Russell Investments Limited
Rex House
10 Regent Street, St. James’
London SW1Y 4PE
England
Paying and Information Agent in Austria
UniCredit Bank Austria AG
Schottengasse 6-8
1010 Vienna
Austria
Paying and Information Agent in France
Société Générale
29, Boulevard Haussmann
75009 Paris
France
Paying and Information Agent in Germany**
Marcard, Stein & Co AG
Ballindamm 36
20095 Hamburg
Germany
Paying and Information Agent in Italy
BNP Paribas Securities Services, Milan Branch
Via Ansperto 5
20121 Milan
Italy
* As of 31 March 2016.
** The Company’s Memorandum and Articles of Association, the Prospectus, the Key Investor Information Documents, the unaudited semiannual reports, as well as the audited annual reports can be obtained free of charge from the office of the paying and information agent via
regular mail or per e-mail. The net asset value of each of the Funds and the subscription and redemption prices of the shares of the Funds are
published jointly and daily on “www.fundinfo.com” for information purposes only and do not constitute an invitation to subscribe for or
repurchase the Company’s shares at those prices.
2 Administration of the Company
Administration of the Company - continued
Paying Agent in Italy
SGSS S.p.A
Via Benigno Crespi, 19/A-MAC2
20159 Milan
Italy
Information Agent and Representative in the Netherlands
Deutsche Bank AG
Amsterdam Branch
Herengracht 450 - 454
1017 CA Amsterdam
The Netherlands
Administration of the Company 3
Background to the Company
Russell Investment Company II plc (the “Company”) was incorporated in Ireland as a public limited company on 1 November
2000. The Company operates pursuant to Irish company law under the Companies Act 2014, and has been authorised since 8
November 2000 by the Central Bank of Ireland (the “Central Bank”).
The Company is an open-ended investment company with variable capital which is authorised by the Central Bank under the
European Communities (Undertakings for Collective Investment in Transferable Securities) Regulations, 2011 (as amended) and
under the Central Bank (Supervision & Enforcement) Act 2013 (Section 48(1) (Undertakings for Collective Investment in
Transferable Securities) Regulations 2015) (together the "Regulations").
The Company is organised in the form of an umbrella fund with segregated liability between sub-funds and as at 31 March 2016,
had ten constituent funds available for investment (each a “Fund”, collectively the “Funds”).
Please see each Fund’s Manager’s Report for details of the investment objectives of the particular Fund.
The Promoter, the Adviser and Distributor, the Manager and their affiliated group companies are referred to collectively as
“Russell Investments” in these financial statements.
The Net assets under management for the Funds as at 31 March 2016 amounted to EUR 4,259,100 (as at 31 March 2015: EUR
5,547,781,891) are broken down as follows:
Fund
Funded during
the year ended
Functional
Currency
31 March 2013
31 March 2012
31 March 2002
31 March 2002
31 March 2013
31 March 2002
31 March 2007
31 March 2002
31 March 2005
USD
USD
EUR
EUR
USD
EUR
GBP
USD
USD
Net Assets
31 March 2016
‘000
435,807
695,844
292,422
410,199
133,836
522,434
90,915
264,084
1,797,342
Net Assets
31 March 2015
‘000
382,034
845,804
244,067
565,409
150,655
491,405
108,931
212,538
2,808,438
Russell U.S. Growth Fund and Russell U.S. Value Fund ceased trading on 14 October 2014.
Russell U.S. Equity Plus Fund remained unfunded as at 31 March 2016.
All share classes are Accumulation Class Shares unless otherwise indicated in the name of the share class.
All references to “net assets” throughout this document refer to net assets attributable to holders of redeemable participating
shares unless otherwise stated.
4 Background to the Company
Directors’ Report
The Directors submit their report together with the audited financial statements for the year ended 31 March 2016.
Directors’ responsibilities
The Directors are responsible for preparing the Directors’ report and the financial statements in accordance with Irish law.
Irish law requires the Directors to prepare financial statements for each financial year that give a true and fair view of the
Company’s assets, liabilities and financial position as at the end of the financial year and of the profit or loss of the Company for
the financial year. Under that law the Directors have prepared the financial statements in accordance with Generally Accepted
Accounting Practice in Ireland (accounting standards issued by the Financial Reporting Council and promulgated by the Institute
of Chartered Accountants in Ireland) and Irish law.
Under Irish law, the Directors shall not approve the financial statements unless they are satisfied that they give a true and fair
view of the Company’s assets, liabilities and financial position as at the end of the financial year and the profit or loss of the
Company for the financial year.
In preparing these financial statements, the Directors are required to:




select suitable accounting policies and then apply them consistently;
make estimates and judgements that are reasonable and prudent,
state whether the financial statements have been prepared in accordance with applicable accounting standards and
identify the standards in question, subject to any material departures from those standards being disclosed and explained
in the notes to the financial statements; and
prepare the financial statements on a going concern basis unless it is inappropriate to presume that the Company will
continue in business.
The Directors are responsible for keeping adequate accounting records that are sufficient to:



correctly record and explain the transactions of the Company;
enable, at any time, the assets, liabilities, financial position and profit or loss of the Company to be determined with
reasonable accuracy; and
enable the Directors to ensure that the financial statements comply with the Companies Act 2014 and enable those
financial statements to be audited.
The Directors confirm that they believe that they have complied with the above requirements in preparing the financial
statements.
The Directors are responsible for the maintenance and integrity of the corporate and financial information relating to the
Company which may be included on Russell Investments Limited’s (the “Adviser”) website. Legislation in the Republic of
Ireland governing the preparation and dissemination of financial statements may differ from legislation in other jurisdictions.
In carrying out the above requirements, the Directors have appointed Russell Investments Ireland Limited as manager (the
“Manager”) and the Manager has appointed State Street Fund Services (Ireland) Limited to act as administrator (the
“Administrator”) of the Company.
The Directors are also responsible for safeguarding the assets of the Company. In this regard they have appointed State Street
Custodial Services (Ireland) Limited (the “Custodian and Trustee”) as custodian and trustee to the Company pursuant to the terms
of a custodian agreement. The Directors have a responsibility for taking such steps as are reasonably open to them to prevent and
detect fraud and other irregularities. The Directors believe that they have complied with the requirements of the Companies Act
2014, with regard to accounting records by employing an experienced administrator with appropriate expertise and by providing
adequate resources to the financial function. The accounting records of the Company are maintained by the Administrator at 78
Sir John Rogerson’s Quay, Dublin 2, Ireland.
Distribution policy
Please refer to note 8 to the financial statements for details of the distribution policy of the Funds.
Connected party transactions
Regulation 41 of the UCITS Regulations “Restrictions of transactions with connected persons” states that “A responsible person
shall ensure that any transaction between a UCITS and a connected person conducted a) at arm’s length; and b) in the best interest
of the unit-holders of the UCITS”.
Directors’ Report 5
Directors’ Report - continued
As required under UCITS Regulation 78.4, the Directors, as responsible persons are satisfied that there are in place arrangements,
evidenced by written procedures, to ensure that the obligations that are prescribed by Regulation 41(1) are applied to all
transactions with a connected party; and all transactions with a connected parties that were entered into during the period to which
the report relates complied with the obligations that are prescribed by Regulation 41(1).
Review of performance of the business, principal activities and future developments of the business
A detailed performance review of the business, principal activities and future developments is included in the Manager’s Report
for each Fund.
Principal risks
A detailed analysis of the risks facing each Fund is included in Note 12 of the financial statements.
Results and dividends
The results and dividends declared for the year are set out in the Profit and Loss Account for each Fund.
Significant events during the year
Significant events during the year are disclosed in Note 16 of the financial statements.
Significant events since the year end
Significant events since the year end are disclosed in Note 17 of the financial statements.
Voluntary adoption of the Corporate Governance Code
The Irish Funds (“IF”) in association with the Central Bank has published a corporate governance code (the “IFIA Code”) that
may be adopted on a voluntary basis by Irish authorised investment funds. The Board of Directors voluntarily adopted the IFIA
Code as the Company’s corporate governance code effective from 31 December 2012. The Company has been in compliance
with the IFIA Code since its adoption.
Directors
The name and nationality of persons who were Directors at any time during the year ended 31 March 2016 are set out below. All
Directors are non-executive directors. Except where indicated, all acted as Directors for the year.
Mr. James Firn (American and British) (Chairman)
Mr. James Beveridge (British)
Mr. Peter Gonella (British)
Mr. Neil Jenkins (British)
Mr. John McMurray (American)
Mr. Tom Murray (Irish)
Mr. William Roberts (British and Irish resident)
Mr. David Shubotham (Irish)
Mr. Kenneth Willman (American and British)
Directors’ and Company Secretary’s interests
None of the Directors or the Company Secretary hold or held any beneficial interest in the shares of the Company during the year.
Each of the Directors is employed by Russell Investments entities except for Mr. Tom Murray, Mr. William Roberts, Mr. David
Shubotham and Mr. James Firn. Mr. Firn is a former employee of Russell Investments who retired in June 2014. He continues to
act as a director of Russell Investments Ireland Limited and the funds managed by Russell Investments Ireland Limited.
No Director had at any time during the year or at the year end, a material interest in any contract of significance, in relation to the
business of the Company.
Independent Auditors
The Auditors, PricewaterhouseCoopers, will be re-appointed in accordance with section 383 the Companies Act 2014.
On behalf of the Board
Mr. William Roberts
12 July 2016
6 Directors’ Report
Mr. Tom Murray
Custodian and Trustee’s Report
We have enquired into the conduct of Russell Investment Company II plc (the “Company”) for the year ended 31 March 2016, in
our capacity as Custodian and Trustee to the Company.
This report including the opinion has been prepared for and solely for the shareholders in the Company as a body, in accordance
with the Part 5 of the European Communities (Undertakings for Collective Investment in Transferable Securities) Regulations
2011 as amended, (the “UCITS Regulations”) and for no other purpose. We do not, in giving this opinion, accept or assume
responsibility for any other purpose or to any other person to whom this report is shown.
Responsibilities of the Custodian and Trustee
Our duties and responsibilities are outlined in Part 5 of the UCITS Regulations. One of those duties is to enquire into the conduct
of the Company in each accounting year and report thereon to the shareholders.
Our report shall state whether, in our opinion, the Company has been managed in that year in accordance with the provisions of
the Company’s Memorandum and Articles of Association and the UCITS Regulations. It is the overall responsibility of the
Company to comply with these provisions. If the Company has not so complied, we as Custodian must state why this is the case
and outline the steps which we have taken to rectify the situation.
Basis of Custodian and Trustee Opinion
The Custodian conducts such reviews as it, in its reasonable opinion, considers necessary in order to comply with its duties as
outlined in Part 5 of the UCITS Regulations and to ensure that, in all material respects, the Company has been managed (i) in
accordance with the limitations imposed on its investment and borrowing powers by the provisions of its constitutional
documentation and the appropriate regulations and (ii) otherwise in accordance with the Company’s constitutional documentation
and the appropriate regulations.
Opinion
In our opinion, the Company has been managed during the year, in all material respects:
(i) in accordance with the limitations imposed on the investment and borrowing powers of the Company by the
Memorandum & Articles of Association, the UCITS Regulations and the Central Bank (Supervision and Enforcement)
Act 2013 (Section 48(1); (Undertakings for Collective Investment in Transferable Securities) Regulations 2015 (the
“Central Bank UCITS Regulations”) and
(ii)
otherwise in accordance with the provisions of the Memorandum & Articles of Association and the Central Bank UCITS
Regulations.
State Street Custodial Services (Ireland) Limited
Dublin 2
Ireland
12 July 2016
Custodian and Trustee’s Report 7
Independent auditors’ report to the members of Russell Investment Company
II plc
Report on the financial statements
Our opinion
In our opinion, Russell Investment Company II plc’s financial statements (the “financial statements”):

give a true and fair view of the company’s and funds’ assets, liabilities and financial position as at 31 March 2016 and of
their results for the year then ended;

have been properly prepared in accordance with Generally Accepted Accounting Practice in Ireland; and

have been properly prepared in accordance with the requirements of the Companies Act 2014 and the European Communities
(Undertakings for Collective Investment in Transferable Securities) Regulations 2011 (as amended).
What we have audited
The financial statements comprise:

the balance sheet as at 31 March 2016;

the profit and loss account for the year then ended;

the statement of changes in net assets attributable to redeemable participating shareholders for the year then ended;

the schedule of investments for each of the funds as at 31 March 2016; and

the notes to the financial statements for the company and for each of its funds which include a summary of significant
accounting policies and other explanatory information.
The financial reporting framework that has been applied in the preparation of the financial statements is Irish law and accounting
standards issued by the Financial Reporting Council and promulgated by the Institute of Chartered Accountants in Ireland
(Generally Accepted Accounting Practice in Ireland).
In applying the financial reporting framework, the directors have made a number of subjective judgements, for example in respect
of significant accounting estimates. In making such estimates, they have made assumptions and considered future events.
PricewaterhouseCoopers, One Spencer Dock, North Wall Quay, Dublin 1, Ireland, I.D.E. Box No. 137
T: +353 (0) 1 792 6000, F: +353 (0) 1 792 6200, www.pwc.ie
Chartered Accountants
8 Independent Auditors’ Report
II plc - continued
Matters on which we are required to report by the Companies Act 2014

We have obtained all the information and explanations which we consider necessary for the purposes of our audit.

In our opinion the accounting records of the company were sufficient to permit the financial statements to be readily and
properly audited.

The financial statements are in agreement with the accounting records.

In our opinion the information given in the Directors' Report is consistent with the financial statements.
Matter on which we are required to report by exception
Directors’ remuneration and transactions
Under the Companies Act 2014 we are required to report to you if, in our opinion, the disclosures of directors’ remuneration and
transactions specified by sections 305 to 312 of that Act have not been made. We have no exceptions to report arising from this
responsibility.
Responsibilities for the financial statements and the audit
Our responsibilities and those of the directors
As explained more fully in the Directors’ Responsibilities set out on page 5, the directors are responsible for the preparation of the
financial statements and for being satisfied that they give a true and fair view.
Our responsibility is to audit and express an opinion on the financial statements in accordance with Irish law and International
Standards on Auditing (UK and Ireland). Those standards require us to comply with the Auditing Practices Board’s Ethical
Standards for Auditors.
This report, including the opinions, has been prepared for and only for the company’s members as a body in accordance with
section 391 of the Companies Act 2014 and for no other purpose. We do not, in giving these opinions, accept or assume
responsibility for any other purpose or to any other person to whom this report is shown or into whose hands it may come save
where expressly agreed by our prior consent in writing.
T: +353 (0) 1 792 6000, F: +353 (0) 1 792 6200, www.pwc.ie
Independent Auditors’ Report 9
II plc - continued
What an audit of financial statements involves
We conducted our audit in accordance with International Standards on Auditing (UK and Ireland). An audit involves obtaining
evidence about the amounts and disclosures in the financial statements sufficient to give reasonable assurance that the financial
statements are free from material misstatement, whether caused by fraud or error. This includes an assessment of:

whether the accounting policies are appropriate to the company’s circumstances and have been consistently applied and
adequately disclosed;

the reasonableness of significant accounting estimates made by the directors; and

the overall presentation of the financial statements.
We primarily focus our work in these areas by assessing the directors’ judgements against available evidence, forming our own
judgements, and evaluating the disclosures in the financial statements.
We test and examine information, using sampling and other auditing techniques, to the extent we consider necessary to provide a
reasonable basis for us to draw conclusions. We obtain audit evidence through testing the effectiveness of controls, substantive
procedures or a combination of both.
In addition, we read all the financial and non-financial information in the annual report to identify material inconsistencies with
the audited financial statements and to identify any information that is apparently materially incorrect based on, or materially
inconsistent with, the knowledge acquired by us in the course of performing the audit. If we become aware of any apparent
material misstatements or inconsistencies we consider the implications for our report.
Patricia Johnston
for and on behalf of PricewaterhouseCoopers
Chartered Accountants and Statutory Audit Firm
Dublin
12 July 2016
T: +353 (0) 1 792 6000, F: +353 (0) 1 792 6200, www.pwc.ie
10 Independent Auditors’ Report
Combined Balance Sheet
As at 31 March 2016
Total
31 March 2016
EUR ‘000
Assets
Financial assets at fair value through profit or loss ...........................................................
Cash at bank ...........................................................................................................................
Cash held with brokers and counterparties for open financial derivative instruments ...........
Debtors:
Receivable for investments sold ............................................................................................
Receivable on fund shares issued ..........................................................................................
Dividends receivable .............................................................................................................
Interest receivable .................................................................................................................
Prepayments and other debtors .............................................................................................
Liabilities
Financial liabilities at fair value through profit or loss ..........................................................
Creditors – amounts falling due within one year:
Bank overdraft .......................................................................................................................
Cash due to brokers and counterparties for open financial derivative instruments ...............
Payable for investments purchased .......................................................................................
Payable on fund shares redeemed .........................................................................................
Distributions payable on income share classes .....................................................................
Management fees payable .....................................................................................................
Performance fees payable .....................................................................................................
Custodian and Trustee fees payable ......................................................................................
Sub-custodian fees payable ...................................................................................................
Administration fees payable ..................................................................................................
Audit fees payable .................................................................................................................
Other fees payable .................................................................................................................
Net assets attributable to redeemable participating shareholders ..............................
Total
31 March 2015*
EUR ‘000
4,275,619
5,457,302
60,180
17,881
106,226
30,404
66,858
8,284
7,841
10,926
24
4,447,613
42,540
47,758
10,062
11,454
188
5,705,934
(32,664)
(42,760)
(1,025)
(3,984)
(77,094)
(65,122)
(2,623)
(3,755)
(1,550)
(50)
(303)
(152)
(171)
(20)
(188,513)
(1,027)
(99,843)
(5,166)
(2,960)
(4,782)
(716)
(72)
(312)
(213)
(186)
(115)
(158,152)
4,259,100
5,547,782
*The Combined Balance Sheet and the Balance Sheet of the individual Funds as at 31 March 2015 have been restated due to a change in the
accounting policy for valuation of investments. See note 2 to the financial statements for details of change to the Company's accounting policies
during the year under review.
On behalf of the Board
Mr. William Roberts
Mr. Tom Murray
12 July 2016
The accompanying notes are an integral part of the financial statements.
Combined Balance Sheet 11
Combined Profit and Loss Account
For the year ended 31 March 2016
Total
2016
EUR ‘000
Income
Dividends ..............................................................................................................................
Interest income ......................................................................................................................
Total
2015*
EUR ‘000
87,018
36,641
123,659
91,761
30,771
122,532
Net gain (loss) on investment activities ...............................................................................
(315,921)
222,657
Total investment income (expense) ...................................................................................
(192,262)
345,189
(50,676)
(1,198)
(386)
(2,189)
(1,770)
(174)
(481)
(260)
(57,134)
(50,287)
(860)
(376)
(1,896)
(1,658)
(186)
(357)
(389)
(56,009)
Net income (expense) ..........................................................................................................
(249,396)
289,180
Finance costs
Distributions .........................................................................................................................
Profit (loss) for the financial year before taxation ...........................................................
(58,541)
(307,937)
(56,193)
232,987
Taxation
Capital gains tax ....................................................................................................................
Withholding tax ....................................................................................................................
(200)
(12,816)
(481)
(12,970)
(320,953)
219,536
Expenses
Management fees ..................................................................................................................
Performance fees ..................................................................................................................
Custodian and Trustee fees ...................................................................................................
Sub-custodian fees ................................................................................................................
Administration and transfer agency fees ...............................................................................
Audit fees ..............................................................................................................................
Professional fees ...................................................................................................................
Other fees ..............................................................................................................................
Total operating expenses ...................................................................................................
Net increase (decrease) in net assets attributable to redeemable participating
shareholders resulting from operations ............................................................................
All amounts in respect of the year ended 31 March 2016 arose solely from continuing operations. There are no recognised gains or losses other
than those dealt with in the Profit and Loss Account.
* The Combined Profit and Loss Account and the Profit and Loss Account of the individual Funds for the year ended 31 March 2015 have been
restated due to a change in the accounting policy for valuation of investments. See note 2 to the financial statements for details of changes to the
Company's accounting policies.
12 Combined Profit and Loss Account
Combined Statement of Changes in Net Assets Attributable to Redeemable Participating
Shareholders
Total
2016
EUR ‘000
shareholders resulting from operations .......................................................................
Total
2015
EUR ‘000
(320,953)
219,536
49,110
45,342
(803,404)
(532,904)
(1,075,247)
(268,026)
Currency translation (Note 2) ...............................................................................................
(213,435)
967,205
Net assets attributable to redeemable participating shareholders
Beginning of year .................................................................................................................
5,547,782
4,848,603
End of year ............................................................................................................................
4,259,100
5,547,782
Share transactions
Reinvestment of deemed distributions on accumulation shares ............................................
Net increase (decrease) in net assets resulting from redeemable participating share
transactions ...........................................................................................................................
Total net increase (decrease) in net assets attributable to redeemable
participating shareholders ............................................................................................
Combined Statement of Changes in Net Assets Attributable to Redeemable Participating Shareholders 13
Manager’s Report
Money Managers as at 31 March 2016
Babson Capital Management LLC
Pictet Asset Management Ltd.
Russell Investments Services
Investment Objective
The Fund aims to achieve long term income and growth by investing in the bonds of issuers in Emerging Markets (EM), using a
multi-strategy investment approach. The Fund invests in bonds issued by both EM governments and companies that are typically
be denominated in the currency of an EM.
Fund Performance
During the year ended 31 March 2016, Russell Emerging Market Debt Local Currency Fund (I USD Acc) returned -1.4 per cent
on a gross of fee basis (-2.6 per cent on a net of fee basis), while the benchmark* returned -1.6 per cent.
Market Comment
The benchmark declined 1.0 per cent (USD unhedged) over the second quarter of 2015. Over the second quarter of 2015, hardcurrency Emerging Market Debt (EMD) fell by 0.3 per cent. Russia cut its headline rate twice with unemployment figures
improving and inflation staying steady. This pushed demand up for Russian bonds, as yields crept lower over the quarter. China
embarked on its fourth rate cut since November, however the Chinese 10 year bond yield ended the quarter rather flat as gains
were neutralised in June with strong volatility embroiling the Chinese stock markets. South Korea’s 10 year bond yield rose as the
MERS virus spread fear in the market. Additionally, South Korea’s GDP forecast was reduced on the back of poorer economic
activity over the quarter. Elsewhere, India’s 10 year yield finished marginally higher with inflation concerns remaining. Corporate
EMD rose by 1.3 per cent while local EMD fell by 1.0 per cent as emerging currencies weakened.
The benchmark declined 10.5 per cent (USD unhedged) over the third quarter of 2015. Market gyrations and volatility
characterised much of the period, tilting investor demand towards safe haven assets. Three central stories unfolded over the
summer. First, China’s devaluation of its currency (amid slowing growth) took centre stage in igniting a broad based sell-off in
global markets. Secondly, oil resumed its slide, falling over 30 per cent intra-period, re-igniting fears of disinflation. These
events, in addition to the lack of meaningful U.S. wage growth, served as determining factors in the U.S. Federal Reserve’s (the
“Fed”) decision to not raise rates at its September meeting. This perpetuated uncertainty regarding when the Fed will hike and
increased speculation that the Fed may stay on hold well into 2016. This calls into question the ability of the U.S. to de-couple
from the rest of the world and maintain a reasonable level of growth amid a slowing global backdrop. China’s currency
devaluation caused EMD fund outflows to surge in the third quarter, creating exceptional technical pressure on prices, with
Brazil, Russia and South Africa hardest hit. Hard currency EMD declined 2.0 per cent, corporate EMD decreased 2.8 per cent and
local currency EMD fell 10.5 per cent, driven by weak emerging currencies and commodity prices.
The benchmark finished the fourth quarter of 2015 flat (0.0 per cent). In some regards the period was a repeat of the third quarter,
as anxiety from slowing growth and policy execution in China, combined with an ongoing commodities rout (especially in oil)
drove market volatility. However, before the curtains closed for the year, the Fed finally raised its benchmark interest rate, an
event which had been largely priced in by the markets. This crystallised a diverging Central Bank policy environment between the
more hawkish U.S. and (to a lesser extent) U.K. versus loose monetary policies in Europe (where the European Central Bank
eased further) and Japan. EMD largely brushed off the tumultuous third quarter environment (where technical price pressures
have previously been ravaging the market) and fund outflows managed to find some traction in the final quarter. Hard currency
EMD climbed 1.5 per cent, corporate EMD rose 0.4 per cent and local currency EMD remained flat over the period, held back by
currencies.
The benchmark finished the first quarter of 2016 up 11 per cent. The period was characterised by two halves. In the first half,
slowing growth in China coupled with an ongoing commodities rout (especially in oil), engendered significant market volatility
and a considerable risk-off sentiment. This firmly tilted demand towards safe haven assets such as sovereign bonds as well as
gold. However in the latter part of the quarter, more accommodative Central Bank policies alongside oil price stabilisation thawed
sentiment for risk assets to some degree. EMD funds saw meaningful inflows over the period, as it served as an escape valve from
the temperamental market environment. Hard currency EMD rose 5.2 per cent, whilst local currency EMD was up 11.0 per cent
on the back of appreciation in the Brazilian Real, Malaysian Ringgit and Russian Rouble. Corporate EMD increased 3.9 per cent.
General Comment on Money Managers/Performance
The Fund outperformed over the second quarter of 2015, with a positive contribution from Babson Capital Management LLC
notably driving relative gains. At the overall Fund level, currency exposures contributed positively via an underweight to the
Nigerian Naira, but an underweight to the Russian Ruble and Indonesian Rupiah detracted. In rates, overweights to Columbia,
Mexico and China were positive, but an underweight to Russia was penalised.
14 Russell Emerging Market Debt Local Currency Fund
Manager’s Report - continued
The Fund outperformed the benchmark over the third quarter of 2015. In rates, an overweight to Columbia, Indonesia and South
Africa detracted from relative performance, while an underweight to Brazil was rewarded. In currencies, an overweight to the
U.S. Dollar was beneficial as emerging currencies underperformed. Pictet Asset Management Ltd drove positive performance,
due to an underweight to the Brazilian Real, which suffered a steep quarterly loss. With geopolitical risk at high levels we remain
cautious on the outlook in the short-term but expect investor demand to return as countries take policy action to address macro
imbalances.
The Fund outperformed its benchmark over the final quarter of 2015, with two of the three Money Managers finishing in positive
territory – Pictet Asset Management Ltd. and Babson Capital Management LLC. An overweight to Indonesia contributed, as well
as an underweight to South Africa. However, an underweight to Poland detracted. While an overweight to the U.S. Dollar and
Turkish Lira was positive, an underweight to the Indonesian Rupiah and Thai Baht held back further gains, as well as an
overweight to the South African Rand. The Fund benefited from an overweight to AAA and AA-rated issues, while an
underweight to A and BBB-rated issues held back further gains.
The Fund underperformed its benchmark over the first quarter of 2016. All Money Managers finished in negative territory. Whilst
an overweight to Indonesia and an underweight to Poland, Romania and Hong Kong made a positive contribution, an underweight
to Brazil and an overweight to Malaysia detracted. An overweight to the U.S. Dollar proved the most detrimental, along with an
underweight to the Brazilian Real and Indonesian Rupiah. The Fund’s overweight to AAA-rated issues detracted, along with an
underweight to A and BBB-rated issues.
Outlook
Global markets got off to a rough start in 2016. By mid-February global developed equities had lost nearly 20 per cent from their
2015 peak. They rebounded by around 10 per cent by mid-March, but we expect volatility to be a headline throughout 2016. This
volatility will continue to be driven by China fears, the Fed monetary tightening, U.S. recession concerns, bank balance sheet
worries, and soft corporate profits. Moreover, the move to negative interest rates in Europe and Japan has triggered fears that
Central Banks have run out of easing options. Negative rates also tend to squeeze the margin between banks’ borrowing and
lending rates. This squeeze could, in turn, hurt bank profitability, and end up making things worse for the markets. In our 2016
Global Market Outlook Annual report, we forecast mid to low single digit returns for global equities, along with a gradual rise in
long-term interest rates. We’re holding to that view, with the exception we think equity growth is more likely to be in the low
single digits. Moreover, we’re now seeing corporate profits weakening, softness in global trade and manufacturing, and slightly
higher risks for EM. These elements all contribute to a less supportive environment for equities. That said, we’re not forecasting a
sustained bear market, provided the U.S. does not fall into recession. Right now we see recession as a low probability over the
next several years. It’s true we’re deep into the current business cycle, but we’re not seeing excesses in the U.S. economy that
could trigger recession.
Past performance is no indication of current or future performance.
* Benchmark Source: JPMorgan GBI-EM Global Diversified Index
May 2016
Russell Emerging Market Debt Local Currency Fund 15
Balance Sheet
As at 31 March 2016
31 March 2016
USD ‘000
Assets
Financial assets at fair value through profit or loss (Note 2) ...........................................
Cash at bank (Note 3) ......................................................................................................
Cash held with brokers and counterparties for open financial derivative instruments
(Note 3) ............................................................................................................................
Debtors:
Receivable for investments sold ....................................................................................
Receivable on fund shared issued .................................................................................
Interest receivable .........................................................................................................
Liabilities
Financial liabilities at fair value through profit or loss (Note 2) .....................................
Cash due to brokers and counterparties for open financial derivative positions ............
Payable for investments purchased ...............................................................................
Payable on fund shares redeemed .................................................................................
Distributions payable on income share classes .............................................................
Management fees payable .............................................................................................
Performance fees payable .............................................................................................
Custodian and Trustee fees payable ..............................................................................
Sub-custodian fees payable ...........................................................................................
Administration fees payable ..........................................................................................
Audit fees payable .........................................................................................................
Other fees payable .........................................................................................................
Net assets attributable to redeemable participating shareholders ............................
31 March 2015
USD ‘000
385,794
335,257
32,814
30,755
7,110
3,778
14,226
77
6,394
446,415
2,128
44,470
5,783
422,171
(6,905)
(2,632)
(880)
(1,052)
(3)
(1,246)
(436)
(5)
(39)
(16)
(24)
(2)
(10,608)
(35,940)
(1)
(1,181)
(295)
(1)
(5)
(34)
(14)
(24)
(10)
(40,137)
435,807
382,034
Profit and Loss Account
2016
USD ‘000
2015
USD ‘000
Income
Interest income .............................................................................................................
21,640
18,252
Net gain (loss) on investment activities (Note 4) .............................................................
(31,179)
(59,177)
Total investment income (expense) ..............................................................................
(9,539)
(40,925)
Expenses
Management fees (Note 5) ...........................................................................................
Performance fees (Note 5) ............................................................................................
Custodian and Trustee fees (Note 6) ............................................................................
Sub-custodian fees (Note 6) .........................................................................................
Administration and transfer agency fees (Note 6) ........................................................
Audit fees (Note 6) .......................................................................................................
Professional fees ...........................................................................................................
Other fees .....................................................................................................................
Total operating expenses ..............................................................................................
(4,645)
(16)
(33)
(288)
(159)
(24)
(44)
(13)
(5,222)
(3,324)
(23)
(211)
(126)
(24)
(16)
(42)
(3,766)
Net income (expense) .....................................................................................................
(14,761)
(44,691)
Finance costs
Distributions (Note 8) ...................................................................................................
Profit (loss) for the financial year before taxation .....................................................
(16,029)
(30,790)
(14,850)
(59,541)
Taxation (Note 9)
Capital gains tax ...........................................................................................................
Withholding tax ............................................................................................................
(28)
(533)
(21)
(332)
(31,351)
(59,894)
All amounts arose solely from continuing operations. There are no recognised gains or losses other than those dealt with in the Profit and Loss
Account.
Statement of Changes in Net Assets Attributable to Redeemable Participating Shareholders
2016
USD ‘000
2015
USD ‘000
(31,351)
(59,894)
12,513
10,762
72,611
168,794
53,773
119,662
Beginning of year .........................................................................................................
382,034
262,372
End of year ...................................................................................................................
435,807
382,034
Share transactions
Reinvestment of deemed distributions on accumulation shares (Note 8) .....................
transactions (Note 10) ..................................................................................................
Schedule of Investments
31 March 2016
Principal
Amount
BRL
6,329,000
4,500,000
18,055,000
6,000,000
9,065,000
5,000,000
4,200,000
2,618,000
12,921,000
7,916,000
9,562,000
Fair Value
USD ‘000
Transferable Securities (83.68%) (2015: 82.73%)
Long Term Bonds and Notes (83.07%) (2015:
81.76%)
Brazil (5.10%)
Brazil Letras do Tesouro
Nacional
Zero Coupon due
01/07/17 ...........................
1,521 0.35
Zero Coupon due
01/10/17 ...........................
1,050 0.24
Zero Coupon due
01/01/18 ...........................
4,076 0.94
Zero Coupon due
01/07/18 ...........................
1,274 0.29
Zero Coupon due
01/01/19 ...........................
1,793 0.41
Zero Coupon due
01/07/19 ...........................
927 0.21
Brazil Notas do Tesouro
Nacional Serie B
6.000% due 15/08/20 .......
3,354 0.77
Nacional Serie F
10.000% due 01/01/18 .....
723 0.17
10.000% due 01/01/21 .....
3,290 0.75
10.000% due 01/01/23 .....
1,952 0.45
10.000% due 01/01/25 .....
2,253 0.52
22,213
Chile (0.34%)
Chile Government
International Bond
CLP
966,200,000 5.500% due 05/08/20 .......
COP
1,160,000,000
995,000,000
5,380,500,000
4,335,000,000
4,600,000,000
2,671,000,000
8,369,000,000
7,132,100,000
26,149,900,000
26,348,000,000
HUF
440,000,000
220,000,000
380,000,000
55,000,000
213,000,000
Fund
%
Colombia (6.30%)
Colombia Government
International Bond
7.750% due 14/04/21 .......
9.850% due 28/06/27 .......
Colombian TES
5.000% due 21/11/18 .......
7.000% due 11/09/19 .......
11.000% due 24/07/20 .....
7.000% due 04/05/22 .......
10.000% due 24/07/24 .....
7.500% due 26/08/26 .......
6.000% due 28/04/28 .......
7.750% due 18/09/30 .......
Hungary (4.77%)
Hungary Government Bond
6.750% due 24/11/17 .......
2.500% due 22/06/18 .......
6.500% due 24/06/19 .......
3.500% due 24/06/20 .......
7.500% due 12/11/20 .......
1,499
5.10
0.34
394
387
0.09
0.09
1,712
1,433
1,728
860
3,133
2,276
7,235
8,315
0.39
0.33
0.39
0.20
0.72
0.52
1.66
1.91
27,473
6.30
1,746
819
1,593
214
962
0.40
0.19
0.36
0.05
0.22
Principal
Amount
1,057,530,000
617,010,000
150,000,000
203,560,000
1,270,000,000
IDR
160,000,000
1,070,000,000
11,803,000,000
47,464,000,000
1,800,000,000
51,300,000,000
32,363,000,000
55,820,000,000
61,959,000,000
29,379,000,000
5,108,000,000
41,306,000,000
ILS
Fair Value
USD ‘000
7.000% due 24/06/22
6.000% due 24/11/23
3.000% due 26/06/24
5.500% due 24/06/25
6.750% due 22/10/28
......
......
......
......
......
Indonesia (5.94%)
Indonesia Treasury Bond
12.800% due 15/06/21 ....
5.625% due 15/05/23 ......
6.125% due 15/05/28 ......
9.000% due 15/03/29 ......
8.750% due 15/05/31 ......
8.250% due 15/06/32 ......
6.625% due 15/05/33 ......
8.375% due 15/03/34 ......
8.250% due 15/05/36 ......
10.500% due 15/07/38 ....
6.375% due 15/04/42 ......
8.750% due 15/02/44 ......
Israel (0.27%)
Israel Government Bond
2,970,000 5.500% due 31/01/42 ......
Korea, Republic of (0.60%)
Export-Import Bank of
Korea
IDR
20,000,000,000 8.000% due 15/05/18 ......
15,300,000,000 8.000% due 17/10/19 ......
Inflation Linked Korea
Treasury Bond
114,985 1.125% due 10/06/23 ......
KRW
MYR 4,920,000
48,050,000
3,650,000
2,330,000
1,450,000
12,910,000
3,940,000
9,010,000
3,530,000
4,010,000
2,230,000
7,000,000
10,626,000
862,000
Malaysia (8.61%)
Malaysia Government Bond
3.654% due 31/10/19 ......
3.492% due 31/03/20 ......
3.889% due 31/07/20 ......
3.659% due 15/10/20 ......
4.160% due 15/07/21 ......
4.048% due 30/09/21 ......
3.418% due 15/08/22 ......
3.795% due 30/09/22 ......
3.480% due 15/03/23 ......
4.181% due 15/07/24 ......
4.392% due 15/04/26 ......
3.892% due 15/03/27 ......
4.498% due 15/04/30 ......
4.127% due 15/04/32 ......
Fund
%
4,885
2,765
556
903
6,349
1.12
0.63
0.13
0.21
1.46
20,792
4.77
15
71
751
3,798
143
3,872
2,078
4,273
4,718
2,678
305
3,203
0.00
0.02
0.17
0.87
0.03
0.89
0.48
0.98
1.08
0.61
0.07
0.74
25,905
5.94
1,160
0.27
1,493
1,128
0.34
0.26
-
0.00
2,621
0.60
1,274
12,356
952
603
382
3,377
996
2,322
889
1,050
588
1,760
2,815
217
0.29
2.84
0.22
0.14
0.09
0.78
0.23
0.53
0.20
0.24
0.13
0.40
0.65
0.05
Schedule of Investments - continued
31 March 2016
Principal
Amount
23,580,000
7,364,000
1,185,000
MXN 1,800,000
54,936,000
29,480,000
18,400,000
53,340,000
17,650,000
200,358,000
23,658,000
79,200,000
39,800,000
53,620,000
43,038,000
2,440,000
29,753,000
20,270,100
45,805,800
18,238,626
Fair Value
USD ‘000
3.844% due 15/04/33 .......
4.935% due 30/09/43 .......
4.736% due 15/03/46 .......
Mexico (10.90%)
Mexican Bonos
5.000% due 15/06/17 .......
7.750% due 14/12/17 .......
8.500% due 13/12/18 .......
5.000% due 11/12/19 .......
8.000% due 11/06/20 .......
6.500% due 10/06/21 .......
6.500% due 09/06/22 .......
8.000% due 07/12/23 .......
10.000% due 05/12/24 .....
5.750% due 05/03/26 .......
7.500% due 03/06/27 .......
7.750% due 29/05/31 .......
7.750% due 23/11/34 .......
10.000% due 20/11/36 .....
8.500% due 18/11/38 .......
7.750% due 13/11/42 .......
Mexican Udibonos
4.000% due 08/11/46 .......
Fund
%
5,673
1,954
305
1.30
0.45
0.07
37,513
8.61
106
3,397
1,882
1,071
3,440
1,083
12,268
1,573
5,942
2,292
3,479
2,837
161
2,402
1,436
3,017
0.02
0.78
0.43
0.25
0.79
0.25
2.81
0.36
1.36
0.53
0.80
0.65
0.04
0.55
0.33
0.69
1,127
0.26
Principal
Amount
3,590,000
5,010,000
6,140,000
61,020,000
5,400,000
4,800,000
9,580,000
1,759,000
1,000,000
RON
RUB
120,000,000
70,000,000
105,000,000
380,000,000
53,300,000
57,500,000
50,000,000
41,500,000
76,260,000
47,513 10.90
PEN
8,740,000
4,300,000
2,600,000
1,550,000
1,170,000
3,000,000
570,000
620,000
Peru (1.60%)
Peru Government Bond
7.840% due 12/08/20
6.950% due 12/08/31
Peruvian Government
International Bond
7.840% due 12/08/20
5.700% due 12/08/24
8.200% due 12/08/26
6.950% due 12/08/31
6.900% due 12/08/37
6.850% due 12/02/42
.......
.......
2,826
1,261
0.65
0.29
.......
.......
.......
.......
.......
.......
841
438
384
880
163
172
0.19
0.10
0.09
0.20
0.04
0.04
6,965
1.60
Philippines (1.06%)
Philippine Government
International Bond
71,000,000
4.950% due 15/01/21 .......
PHP
102,000,000 3.900% due 26/11/22 .......
34,000,000 6.250% due 14/01/36 .......
Poland (8.57%)
Poland Government Bond
Zero Coupon due
PLN 10,200,000 25/07/17 ...........................
16,050,000 5.250% due 25/10/17 .......
1,000,000 2.500% due 25/07/18 .......
1,613
2,189
825
0.37
0.50
0.19
4,627
1.06
2,693
4,570
275
0.62
1.05
0.06
462,338,965
RSD
ZAR
3.250% due 25/07/19
5.500% due 25/10/19
1.500% due 25/04/20
5.250% due 25/10/20
5.750% due 25/10/21
5.750% due 23/09/22
4.000% due 25/10/23
3.250% due 25/07/25
2.500% due 25/07/26
......
......
......
......
......
......
......
......
......
Romania (1.76%)
Romania Government Bond
5.900% due 26/07/17 ......
5.600% due 28/11/18 ......
4.750% due 24/06/19 ......
5.750% due 29/04/20 ......
5.950% due 11/06/21 ......
5.850% due 26/04/23 ......
4.750% due 24/02/25 ......
Russia (4.67%)
Russian Federal Bond - OFZ
7.500% due 15/03/18 ......
6.700% due 15/05/19 ......
6.400% due 27/05/20 ......
7.600% due 14/04/21 ......
7.600% due 20/07/22 ......
7.000% due 25/01/23 ......
7.000% due 16/08/23 ......
8.150% due 03/02/27 ......
7.050% due 19/01/28 ......
Russian Federal Inflation
Linked Bond
2.500% due 16/08/23 ......
Serbia & Montenegro (0.55%)
Serbia Treasury Bonds
230,000,000 10.000% due 05/02/22 ....
6,600,000
35,600,000
21,620,000
27,080,000
10,400,000
192,910,000
41,570,000
14,200,000
25,891,818
2,100,000
3,950,000
11,500,000
3,450,000
1,800,000
3,700,000
335,000
Fair Value
USD ‘000
South Africa (9.68%)
South Africa Government
Bond
8.250% due 15/09/17 ......
8.000% due 21/12/18 ......
7.250% due 15/01/20 ......
6.750% due 31/03/21 ......
7.750% due 28/02/23 ......
10.500% due 21/12/26 ....
7.000% due 28/02/31 ......
7.000% due 28/02/31 ......
8.250% due 31/03/32 ......
Fund
%
1,015
1,524
1,626
18,756
1,722
1,553
2,837
493
261
0.23
0.35
0.37
4.31
0.40
0.36
0.65
0.11
0.06
37,325
8.57
572
1,120
3,204
1,004
534
1,117
95
0.13
0.26
0.74
0.23
0.12
0.26
0.02
7,646
1.76
1,746
985
1,440
5,374
746
780
675
591
993
0.40
0.23
0.33
1.23
0.17
0.18
0.15
0.14
0.23
7,027
1.61
20,357
4.67
2,411
0.55
450
2,398
1,409
1,699
664
14,344
2,257
771
1,561
0.10
0.55
0.32
0.39
0.15
3.29
0.52
0.18
0.36
31 March 2016
Principal
Amount
Fair Value
USD ‘000
112,455,000
10,500,000
8,200,000
32,910,000
137,185,889
.......
.......
.......
.......
.......
85,982,736
471,377,000
24,000,000
101,628,804
20,300,000
63,200,000
Thailand (5.66%)
Thailand Government Bond
3.250% due 16/06/17 .......
1.200% due 14/07/21 .......
3.650% due 17/12/21 .......
3.580% due 17/12/27 .......
1.250% due 12/03/28 .......
4.875% due 22/06/29 .......
4.260% due 12/12/37 .......
7,700,000
3,000,000
5,940,000
3,450,000
23,365,000
3,910,000
4,110,000
6,640,000
1,900,000
1,740,153
3,810,000
13,220,000
Turkey (6.08%)
Turkey Government Bond
6.300% due 14/02/18 .......
8.800% due 14/11/18 .......
10.400% due 27/03/19 .....
10.500% due 15/01/20 .....
7.400% due 05/02/20 .......
9.400% due 08/07/20 .......
9.500% due 12/01/22 .......
7.100% due 08/03/23 .......
8.800% due 27/09/23 .......
10.400% due 20/03/24 .....
9.000% due 24/07/24 .......
8.000% due 12/03/25 .......
THB 18,000,000
TRY
6.250% due 31/03/36
8.500% due 31/01/37
6.500% due 28/02/41
8.750% due 31/01/44
8.750% due 28/02/48
Fund
%
5,336
632
387
1,997
8,296
1.22
0.15
0.09
0.46
1.90
42,201
9.68
524
2,429
14,993
806
2,782
774
2,364
0.12
0.56
3.44
0.18
0.64
0.18
0.54
24,672
5.66
2,585
1,047
2,155
1,264
7,734
1,382
1,450
2,058
644
642
1,301
4,229
0.59
0.24
0.49
0.29
1.78
0.32
0.33
0.47
0.15
0.15
0.30
0.97
26,491
6.08
Principal
Amount
Fair Value
USD ‘000
Uruguay (0.61%)
Uruguay Government
International Bond
UYU 89,400,865 4.375% due 15/12/28 ......
Total Long Term Bonds
and Notes ...........................
BRL
Fund
%
2,657
0.61
362,041 83.07
Short Term Investments (0.61%) (2015: 0.97%)
Brazil (0.61%)
Nacional
Zero Coupon due
5,526,000 01/01/17 ..........................
1,414 0.32
Nacional Serie F
4,390,000 10.000% due 01/01/17 ....
1,241 0.29
Total Short Term
2,655 0.61
Investments ........................
Total Transferable
364,696 83.68
Securities ...........................
Number
of Shares
Investment Funds (0.93%) (2015: 0.00%)
Ireland (0.93%)
Russell Investment Company
III Plc - The U.S. Dollar
Cash Fund II - Class R
4,032 Roll- Up Shares ................
4,038
0.93
4,038
0.93
Total Investment Funds ....
Money Market Instruments (0.00%) (1.83%)
Total Investments
excluding Financial
Derivative Instruments .....
368,734 84.61
Financial Derivative Instruments (2.33%) (2015: 2.31%)
Open Futures Contracts (0.00%)
Notional
Amount
USD ‘000
Average
Cost Price
USD
(131)
(130.57)
(496)
(165.40)
1,007
0.11
(1,445)
(0.10)
Unrealised
Gain (Loss)
USD ‘000
Fund
%
1 of 10 Year U.S. Treasury Note Futures
Short Futures Contracts
Expiring June 2016 ...........................................................................................................
0.00
3 of U.S. Long Treasury Bond Futures
Expiring June 2016 ...........................................................................................................
3
0.00
9 of 10 Year Korea Bond Futures
Long Futures Contracts
Expiring June 2016 ...........................................................................................................
10
0.00
15 of 3 Year Korea Bond Futures
Expiring June 2016 ...........................................................................................................
(2)
0.00
31 March 2016
Notional
Amount
USD ‘000
Average
Cost Price
USD
Unrealised
Gain (Loss)
USD ‘000
Unrealised gain on open futures contracts .........................................................................
Unrealised loss on open futures contracts ..........................................................................
Net unrealised gain (loss) on open futures contracts ....................................................
Fund
%
13
(2)
11
0.00
(0.00)
0.00
Open Forward Foreign Currency Exchange Contracts (0.14%)
Settlement
Date
Amount
Bought ‘000
31/05/2016
ARS
42,764 USD
04/04/2016
BRL
42,424 USD
21/06/2016
BRL
29,414 USD
18/04/2016
CLP
956,000 USD
21/06/2016
CLP
342,000 USD
31/03/2017
CNH
132,806 USD
31/03/2017
CNY
2,984 USD
04/04/2016
COP
21,236,040 USD
06/04/2016
COP
6,027,797 USD
22/06/2016
COP
6,350,000 USD
09/05/2016
EUR
377 PLN
26/04/2016
EUR
595 RON
21/04/2016
EUR
449 SGD
21/04/2016
EUR
2,254 SGD
20/04/2016
EUR
900 USD
21/04/2016
EUR
1,053 USD
09/05/2016
EUR
2,578 USD
24/05/2016
HRK
17,044 EUR
14/06/2016
HUF
1,360,917 EUR
01/04/2016
HUF
97,406 USD
04/04/2016
HUF
575,000 USD
14/06/2016
HUF
357,583 USD
18/04/2016
IDR
24,494,881 USD
20/04/2016
INR
18,400 USD
03/05/2016
INR
194,279 USD
24/05/2016
KRW
4,885,357 USD
07/04/2016
MXN
114,428 USD
11/04/2016
MXN
11,600 USD
17/05/2016
MXN
14,781 USD
25/04/2016
MYR
4,140 USD
26/08/2016
MYR
31,634 USD
01/04/2016
PHP
24,208 USD
18/04/2016
PHP
4,034 USD
09/05/2016
PLN
8,230 EUR
14/06/2016
PLN
2,848 EUR
14/06/2016
PLN
33,588 EUR
14/06/2016
PLN
26,170 USD
26/04/2016
RON
2,708 EUR
03/05/2016
RON
6,469 EUR
09/05/2016
RON
2,181 USD
17/05/2016
RON
12,483 USD
12/04/2016
RSD
36,195 EUR
Unrealised
Gain (Loss)
USD ‘000
Amount
Sold ‘000
2,630
11,721
7,596
1,417
507
20,000
449
6,960
1,810
2,044
1,640
2,708
690
3,450
1,010
1,179
2,886
2,232
4,377
344
2,073
1,270
1,840
272
2,866
4,038
6,547
636
827
1,035
7,394
522
86
1,929
666
7,761
6,660
599
1,430
532
3,158
293
176
250
529
10
1
142
8
111
196
53
(10)
(12)
8
16
22
55
38
(68)
9
13
26
3
5
52
229
128
41
32
24
629
3
1
10
4
153
365
8
19
24
27
1
Fund
%
0.04
0.06
0.12
0.00
0.00
0.03
0.00
0.03
0.04
0.01
0.00
0.00
0.00
0.00
0.00
0.01
0.01
0.01
(0.02)
0.00
0.00
0.01
0.00
0.00
0.01
0.05
0.03
0.01
0.01
0.01
0.15
0.00
0.00
0.00
0.00
0.04
0.08
0.00
0.00
0.01
0.01
0.00
31 March 2016
Settlement
Date
14/06/2016
04/04/2016
22/04/2016
05/05/2016
18/05/2016
24/05/2016
24/05/2016
13/04/2016
21/04/2016
01/04/2016
18/04/2016
25/04/2016
25/04/2016
03/05/2016
21/06/2016
17/05/2016
25/05/2016
14/06/2016
14/06/2016
21/06/2016
04/04/2016
03/05/2016
14/06/2016
14/06/2016
18/04/2016
26/04/2016
24/05/2016
24/05/2016
21/06/2016
31/03/2017
31/03/2017
06/04/2016
03/05/2016
03/05/2016
14/06/2016
22/06/2016
20/04/2016
24/05/2016
29/06/2016
14/06/2016
20/06/2016
01/04/2016
02/05/2016
18/04/2016
24/05/2016
03/05/2016
14/06/2016
15/04/2016
24/05/2016
07/04/2016
Amount
Bought ‘000
RSD
RUB
RUB
RUB
RUB
RUB
RUB
SAR
SGD
THB
THB
THB
THB
THB
THB
TRY
TRY
TRY
TRY
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
Unrealised
Gain (Loss)
USD ‘000
Amount
Sold ‘000
955,915
147,680
108,400
63,751
75,000
315,241
154,280
18,883
700
24,822
36,400
108,553
24,822
240,006
291,066
28,021
16,337
8,136
1,852
1,175
2,109
2,321
890
2,365
1,329
1,612
670
1,300
497
10,000
10,000
1,436
1,816
1,081
3,530
506
999
1,201
180
1,109
2,011
527
185
337
6,122
2,600
764
96
3,944
2,513
EUR
USD
USD
USD
USD
USD
USD
USD
EUR
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
AUD
BRL
BRL
CAD
CHF
CLP
CLP
CLP
CLP
CLP
CNH
CNH
COP
COP
COP
COP
COP
EUR
EUR
EUR
GBP
HKD
HUF
HUF
IDR
IDR
ILS
ILS
KRW
KRW
MXN
7,679
2,000
1,587
794
1,084
4,040
2,000
5,033
456
695
1,028
3,092
701
6,691
8,340
9,276
5,599
2,736
634
1,554
8,519
8,519
1,183
2,346
940,000
1,155,447
469,390
901,292
338,000
67,905
67,885
4,799,853
6,226,083
3,399,593
11,372,744
1,570,000
900
1,086
160
779
15,600
148,529
51,123
4,500,000
84,015,497
10,226
2,970
115,000
4,885,357
45,000
24
209
26
151
25
612
277
11
7
(7)
5
127
(81)
550
117
95
11
(16)
(295)
(64)
(25)
(93)
(75)
(112)
(28)
(41)
(5)
(299)
(296)
(162)
(254)
(49)
(231)
(13)
(27)
(38)
(3)
(11)
(1)
(12)
(1)
(2)
(165)
(122)
(27)
(5)
(322)
(112)
Fund
%
0.01
0.05
0.01
0.03
0.01
0.14
0.06
0.00
0.00
0.00
0.00
0.00
0.00
0.03
(0.02)
0.13
0.03
0.02
0.00
0.00
(0.07)
(0.01)
(0.01)
(0.02)
(0.02)
(0.03)
(0.01)
(0.01)
0.00
(0.07)
(0.07)
(0.04)
(0.06)
(0.01)
(0.05)
0.00
(0.01)
(0.01)
0.00
0.00
0.00
0.00
0.00
0.00
(0.04)
(0.03)
(0.01)
0.00
(0.07)
(0.03)
31 March 2016
Settlement
Date
Amount
Bought ‘000
Amount
Sold ‘000
11/04/2016
USD
730 MXN
13,800
17/05/2016
USD
3,955 MXN
74,862
21/06/2016
USD
3,078 MXN
54,602
14/04/2016
USD
2,016 MYR
8,148
14/06/2016
USD
402 MYR
1,656
26/08/2016
USD
631 MYR
2,720
24/05/2016
USD
920 PEN
3,294
24/05/2016
USD
2,592 PEN
9,267
18/04/2016
USD
1,283 PHP
59,724
17/05/2016
USD
2,401 PHP
115,277
14/06/2016
USD
3,271 PHP
152,102
14/06/2016
USD
2,010 PHP
94,763
22/04/2016
USD
1,038 PLN
3,932
09/05/2016
USD
2,267 PLN
8,950
14/06/2016
USD
2,348 RSD
266,121
04/04/2016
USD
2,082 RUB
147,680
18/04/2016
USD
998 RUB
71,800
05/05/2016
USD
152 RUB
11,600
24/05/2016
USD
1,725 RUB
119,724
13/04/2016
USD
5,000 SAR
18,883
21/04/2016
USD
1,060 SGD
1,450
26/04/2016
USD
1,474 SGD
2,103
14/06/2016
USD
4,157 SGD
5,744
01/04/2016
USD
1,977 TRY
5,696
25/05/2016
USD
5,942 TRY
17,919
31/05/2016
USD
1,420 UYU
47,510
31/05/2016
USD
1,143 UYU
38,119
13/04/2016
USD
8,808 ZAR
141,717
13/04/2016
ZAR
141,977 USD
8,787
18/05/2016
ZAR
7,794 USD
500
24/05/2016
ZAR
41,678 USD
2,604
24/05/2016
ZAR
7,246 USD
473
Unrealised gain on open forward foreign currency exchange contracts ...............................
Unrealised loss on open forward foreign currency exchange contracts ................................
Net unrealised gain (loss) on open forward foreign currency exchange contracts .......
Unrealised
Gain (Loss)
USD ‘000
Fund
%
(74)
(396)
(86)
(71)
(20)
(59)
(64)
(177)
(13)
(96)
(19)
(39)
(18)
(136)
(100)
(127)
(71)
(20)
(42)
(33)
(16)
(88)
(107)
(46)
(328)
(41)
(29)
(811)
848
25
202
15
6,758
(6,211)
547
(0.02)
(0.09)
(0.02)
(0.02)
0.00
(0.01)
(0.01)
(0.04)
0.00
(0.02)
0.00
(0.01)
0.00
(0.03)
(0.02)
(0.03)
(0.02)
0.00
(0.01)
(0.01)
0.00
(0.02)
(0.02)
(0.01)
(0.08)
(0.01)
(0.01)
(0.19)
0.20
0.01
0.05
0.00
1.56
(1.42)
0.14
Interest Rate Swaps ((0.11)%)
Ccy
Notional
Amount
‘000
Fund
Pays
THB
115,900
2.06%
HKD
19,600
SGD
1,663
1.95%
SGD 6 Month
LIBOR
HKD
2,500
CNY
4,500
2.28%
CNY 3 Month
SHIF
Fund
Receives
THB 6 Month
LIBOR
HKD 3 Month
HIBOR
Termination
Date
Fair Value
USD ‘000
Fund
%
03/04/2016
(5)
0.00
16/10/2021
(74)
(0.02)
2.00%
HKD 3 Month
LIBOR
17/10/2021
10
0.00
28/10/2024
(18)
0.00
3.75%
06/11/2016
5
0.00
31 March 2016
Ccy
Notional
Amount
‘000
Fund
Pays
CNY 3 Month
LIBOR
CNY 3 Month
SHIF
MYR 3 Month
LIBOR
CNY
8,900
CNY
1,000
MYR
2,300
HKD
10,800
BRL
21,226
BRL
28,510
BRL
20,102
BRL
47,000
ZAR
180,000
ZAR
120,000
1.57%
BRL 3 Month
LIBOR
BRL 12 Month
BZDIO
BRL 1 Month
LIBOR
BRL Less than
Month LIBOR
ZAR 3 Month
JIBAR
ZAR 3 Month
JIBAR
CZK
75,000
0.82%
CZK
55,000
Fund
Receives
Termination
Date
Fair Value
USD ‘000
Fund
%
3.68%
11/11/2016
7
0.00
3.93%
08/12/2017
3
0.00
4.43%
HKD 3 Month
LIBOR
08/10/2020
19
0.00
12/02/2021
(11)
0.00
11.05%
02/01/2017
(327)
(0.08)
13.47%
02/01/2017
(53)
(0.01)
13.47%
02/01/2017
(37)
(0.01)
15.20%
02/01/2017
196
0.05
9.12%
13/07/2025
(33)
(0.01)
6.90%
CZK 6 Month
PRIBOR
CZK 6 Month
PRIBOR
13/07/2017
(64)
(0.01)
29/10/2025
(70)
(0.02)
0.25%
16/02/2021
15
0.00
SGD 6 Month
SGD
3,500
SOR
2.31%
15/02/2026
7
0.00
Total interest rate at positive fair value ......................................................................................................................................
262
0.05
Total interest rate at negative fair value......................................................................................................................................
(692)
(0.16)
(430)
(0.11)
Interest rate swaps at fair value .............................................................................................................................................
Total Return Swaps (2.27 %)
Notional
Amount
‘000
Ccy
Termination
Date
Description
Fair Value
USD ‘000
Fund
%
Colombian TES 7.500%
due 26/08/26
18/04/2016
234
0.05
Indonesia Treasury Bond 8.375%
121,700,000
IDR
due 15/09/26
15/09/2026
9,669
2.22
9,903
2.27
Total return swaps at fair value .............................................................................................................................................
12,765,000
COP
Currency Swaps (0.03%)
Notional
Amount
‘000
Ccy
Fund
Pays
Ccy
Fund
Receives
Termination
Date
Fair Value
USD ‘000
Fund
%
6 Month
600
USD
LIBOR
IDR
9.80%
09/10/2022
124
0.03
124
0.03
Currency swaps at fair value ..................................................................................................................................................
10,155
2.33
Total Financial Derivative Instruments ..................................................................................................................................
31 March 2016
Fair Value
USD ‘000
Fund
%
Total Financial Assets at Fair Value through Profit or
385,794
88.52
Loss (88.52%) ......................................................................................................................
Total Financial Liabilities at Fair Value through Profit or
(6,905)
(1.58)
Loss ((1.58)%) ......................................................................................................................
Net Financial Assets at Fair Value through Profit or Loss
378,889
86.94
(86.94%) ....................................................................................................................................................
56,918
13.06
Other Net Assets (13.06%) ......................................................................................................................
435,807
100.00
Net Assets ..................................................................................................................................................
% of
gross assets
Analysis of gross assets (unaudited)
Transferable securities admitted to an official stock exchange listing .....................................................................
Transferable securities dealt in on another regulated market ...................................................................................
Investment funds (UCITS) ......................................................................................................................................
Over the counter financial derivative instruments ...................................................................................................
Other assets ..............................................................................................................................................................
The broker for the open futures contracts is JPMorgan.
The counterparties for the open forward foreign currency exchange contracts are:
Bank of America
BNP Paribas
Citibank
Citigroup Global Markets
Goldman Sachs
JPMorgan
State Street Bank
The counterparties for the interest rate swaps are:
Bank of America
BNP Paribas
Citibank
JPMorgan
UBS
The counterparties for the total return swaps are:
HSBC
The counterparty for the currency swap is JP Morgan.
70.93
10.76
0.90
3.82
13.59
100.00
31 March 2016
Fair Value Hierarchy (Note 12 b) i))
The following tables analyse within the fair value hierarchy the Fund’s financial assets and liabilities (by investment type)
measured at fair value at 31 March 2016 and 31 March 2015.
As at 31 March 2016
Level 1
USD ‘000
Assets
Financial assets at fair value through profit or loss:
Investments at fair value:
Transferable securities ................................................................
Investment funds ........................................................................
Unrealised gain on open futures contracts .................................
Unrealised gain on forward foreign currency exchange
contracts ....................................................................................
Interest rate swaps at fair value .................................................
Total return swaps at fair value .................................................
Currency Swaps at fair value .....................................................
Total assets ......................................................................................
Liabilities
Financial liabilities at fair value through profit or loss:
Unrealised loss on open futures contracts .....................................
Unrealised loss on forward foreign currency exchange
contracts ........................................................................................
Interest rate swaps at fair value ......................................................
Total liabilities ................................................................................
Level 2
USD ‘000
Level 3
USD ‘000
Total
USD ‘000
13
364,696
4,038
-
364,696
4,038
13
13
6,758
262
9,903
124
385,781
-
6,758
262
9,903
124
385,794
(2)
-
-
(2)
(2)
(6,211)
(692)
(6,903)
-
(6,211)
(692)
(6,905)
As at 31 March 2015
Level 1
USD ‘000
Assets
Transferable securities ................................................................
Money market instruments ........................................................
contracts ....................................................................................
Total Return Swaps at fair value ...............................................
Total assets ......................................................................................
Liabilities
contracts ........................................................................................
Total Return Swaps at fair value ...................................................
Level 2
USD ‘000
Level 3
USD ‘000
Total
USD ‘000
46
309,697
6,999
-
7,066
-
316,763
6,999
46
46
3,194
8,255
328,145
7,066
3,194
8,255
335,257
(37)
-
-
(37)
(37)
(2,088)
(503)
(4)
(2,595)
-
(2,088)
(503)
(4)
(2,632)
Statement of Changes in Composition of Portfolio
Listed below are the 20 largest cumulative investment purchases and sales during the year ended 31 March 2016.
Portfolio Securities
Russell Investment Company III
The U.S. Dollar Cash Fund II
Class R Roll-Up Shares
7.400% due 05/02/2020
South Africa Government Bond
10.500% due 21/12/2026
5.250% due 25/10/2020
1.500% due 25/04/2020
3.650% due 17/12/2021
8.750% due 28/02/2048
Russian Federal Inflation Linked Bond
2.500% due 16/08/2023
7.050% due 19/01/2028
U.S. Treasury Bill
Zero Coupon due 20/08/2015
Colombian TES
7.750% due 18/09/2030
6.750% due 22/10/2028
Colombian TES
6.000% due 28/04/2028
3.250% due 16/06/2017
3.844% due 15/04/2033
Brazil Notas do Tesouro Nacional Serie F
10.000% due 01/01/2017
8.250% due 15/05/2036
8.375% due 15/03/2034
Brazil Letras do Tesouro Nacional
Zero coupon due 01/01/2017
7.600% due 14/04/2021
Acquisition Cost
USD ‘000
128,425
32,782
18,868
17,931
15,571
12,885
11,447
10,526
9,618
9,000
8,701
8,646
8,222
6,651
5,770
5,767
5,598
5,578
5,545
5,539
7.400% due 05/02/2020
6.750% due 31/03/2021
1.500% due 25/04/2020
3.650% due 17/12/2021
10.500% due 15/01/2020
10.000% due 01/01/2017
3.250% due 25/07/2019
7.050% due 19/01/2028
3.492% due 31/03/2020
10.500% due 21/12/2026
6.800% due 11/12/2019
3.250% due 16/06/2017
3.500% due 24/06/2020
Inflation Linked Korea Treasury Bond
1.125% due 10/06/2023
10.000% due 01/01/2021
Russian Foreign Bond - Eurobond
7.850% due 10/03/2018
10.000% due 01/01/2025
Disposal Proceeds
USD ‘000
(124,405)
(22,555)
(14,396)
(13,837)
(13,800)
(12,968)
(11,422)
(10,910)
(10,590)
(8,041)
(7,106)
(6,910)
(6,091)
(4,831)
(4,765)
(4,343)
(4,199)
(4,093)
(3,993)
(3,992)
A copy of the list of changes in the portfolio during the reference period may be obtained free of charge from the Company’s
Administrator or from the paying agent or paying and information agents in each country of distribution.
Manager’s Report
Barrow, Hanley, Mewhinney & Strauss Inc.
BlackRock International Limited
East Capital Asset Management AB
Imara Asset Management Ltd.
Jardim Botanico Investimentos
JK Capital Management Ltd.
Oaktree Capital Management L.P.
Quantum Advisors
Russell Investment Management Company
Russell Implementation Services Inc.
RWC Partners
Russell Emerging Markets Extended Opportunities Fund’s (the “Fund”) investment objective is to provide long term capital
appreciation by investing predominantly in Equities and Equity-Related Instruments.
Fund Performance
During the year ended 31 March 2016, Russell Emerging Markets Extended Opportunities Fund (Class A Fees) returned -10.6 per
cent on a gross-of-fee basis (-11.9 per cent on a net-of-fee basis), while the benchmark* returned -10.5 per cent.
Market Comment
The benchmark 1.7 per cent (U.S. Dollar terms) in a volatile second quarter of 2015. A weakening of the U.S. Dollar and the
sustained equity rally in China drove a significantly strong start. However, the Chinese equity surge sharply reversed towards the
end of the quarter which weighed on the broader Index. Additionally, positive U.S. economic data and U.S. Federal Reserve (the
“Fed”) statements strengthened the case for at least one U.S. interest rate rise later this year, which dampened investor appetite for
riskier Emerging Markets (EM) investments. China (8.1 per cent) remained one of the strongest performing regions despite
experiencing erratic movements in the latter part of the period. The increase was a contrast to the country’s disappointing
economic data. The People’s Bank of China (PBoC) introduced further accommodative monetary policy in response, cutting both
the lending and deposit rate. Notably, urban investment, retail sales and industrial output data was weak while consumer price
inflation moved further away from the central bank’s target. Sluggish demand also impacted trade data as both exports and
imports continued to fall from a year ago in a period where the government cut import duties.
The benchmark slumped 18.1 per cent in the worst third quarter of 2015 for EM equities in four years. China’s growth slowdown
caused significant volatility, while the strong U.S. Dollar and instability in commodity markets weighed on investor sentiment.
The weak inflation theme also prevailed. The market sell-off slowed in September. EM edged slightly higher following the Fed’s
decision to keep interest rates steady. However, this was overshadowed by continued China concerns. China (-23.9 per cent)
dragged down the Index return despite attempts by the government and central bank to stem the sliding bear market. The PBoC
cut its one-year interest rate for the fifth time in 10 months to 4.6 per cent and reduced its banking reserve requirements. The
PBoC also twice unexpectedly lowered its currency fix against the U.S. Dollar, which caused nearly all EM currencies to
depreciate. Investors remained concerned about a “hard landing” for the economy. Industrial production, urban investments,
house prices and retail sales figures confirmed that the domestic economy continued to slow.
The benchmark brought a negative year to a close with a 2.3 per cent increase in the fourth quarter of 2015. This superseded the
0.6 per cent return by the MSCI EM Index. The market rebounded strongly in October from its third-quarter slump as Chinese
growth concerns partially eased. However, the majority of these gains were handed back over the remainder of the period. The
benchmark slipped lower ahead of the December interest rate rise by the Fed. While largely priced in, the impact of the 0.25 per
cent increase weighed on sentiment towards countries with large current account deficits and high U.S. Dollar-denominated debt.
Currency was also a headwind for EM. In addition, oil exporters were impacted by the continued decrease in the price of oil. Oil’s
most volatile period followed OPEC’s biannual meeting in November, where the cartel failed to agree on actions to reduce
supply. Geopolitical tension between Turkey and Russia additionally punctuated the quarter.
The benchmark recorded a strong 4.8 per cent increase in the first quarter of 2016. This was a sharp contrast to most developed
markets and the negative return for Frontier Markets. The market climb was driven by strong March performance, following falls
in January and February. Turmoil in Chinese equity markets and volatility in the price of oil drove a negative start to the period,
in a broadly risk-off environment for equity markets. The market rebounded from mid-February as equity market and oil price
volatility stabilized. A more dovish outlook for U.S. interest rate rises provided support to EM, particularly countries with large
current account deficits. A weakening of the U.S. Dollar acted as a further tailwind.
Russell Emerging Markets Extended Opportunities Fund 29
The Fund underperformed the benchmark in a volatile second quarter of 2015, despite benefiting from underweights to Taiwan,
South Korea, Indonesia and Malaysia. Jardim Botanico underperformed the most, hindered by negative stock selection. In
contrast, Chinese specialist JK Capital recovered some of its notable first quarter underperformance. This quarter we transitioned
from Everest Capital into RWC Partners following the move of Everest’s global emerging and frontier market investment team.
EM currently exhibit very attractive valuations while the long-term structural growth story in frontier markets remain intact.
The Fund outperformed the benchmark in a negative and volatile third quarter of 2015 for EM. Underweights to both China and
Nigeria added to relative returns. JK Capital Management Ltd’s effective stock selection within an erratic Chinese market drove
their significant outperformance. Our Positioning Strategy also contributed strongly. The recent EM sell-off has provided areas of
very attractive investment opportunities. Current valuations are very appealing. While we expect volatility to remain elevated
amid interest rate rises in the U.S., we continue to be positive on the asset class for the medium to long term. The long-term
structural growth story in frontier markets remains intact.
The Fund underperformed the benchmark over the final quarter of 2015. Our strategic value tilt marginally detracted in a positive
period for growth stocks. Stock picking within Taiwan and Brazil was negative. An underweight to large cap technology stocks in
China detracted in a period where they surged higher. Russian stock selection lifted performance, as did the selection of stocks
within the consumer discretionary sector. The overweight to Nigeria and underweights to Asian markets (China, Malaysia and
Indonesia) was negative. Clarivest’s value-tilt did not suit the market environment. In contrast, Quantum Advisors, East Capital
Asset Management AB and RWC Partners recorded strong outperformance.
The Fund underperformed the benchmark in the first quarter of 2016. Our tilt towards value and the current negative exposure to
high momentum suited the market environment. Country selection detracted, with an underweight to Malaysia and South Africa
unrewarded. Our Frontier Market exposure weighed on returns in a negative start to the year for the asset class. An overweight to
Egypt and off-benchmark to Saudi Arabia also detracted. An overweight to Brazil was positive as its market rallied higher. Stock
selection was positive within South Korea and Taiwan. At the sector level, stock picking was strongest within the materials and
processing and technology sectors. Jardim Botanico Investimentos and Barrow Hanley Mewhinney & Strauss Inc. comfortably
outperformed their respective benchmarks as both benefited from successful stock selection. The reverse held true for Chinese
specialist JK Capital Managements Ltd. and African Money Manager Imara Asset Management Ltd.
Outlook
Global markets got off to a rough start in 2016. By mid-February global developed equities had lost nearly 20per cent from their
volatility will continue to be driven by China fears, the Fed’s monetary tightening, U.S. recession concerns, bank balance sheet
central banks have run out of easing options. Negative rates also tend to squeeze the margin between banks’ borrowing and
Global Market Outlook Annual report, we forecast mid-to-low single digit returns for global equities, along with a gradual rise in
higher risks for EM. These elements all contribute to a less supportive environment for equities. That said, we’re not forecasting a
sustained bear market – provided the U.S. does not fall into recession. Right now we see recession as a low probability over the
next several years. It’s true we’re deep into the current business cycle, but we’re not seeing excesses in the U.S. economy that
could trigger recession.
* Benchmark Source: Russell Emerging Market Extended Index Net
May 2016
30 Russell Emerging Markets Extended Opportunities Fund
Balance Sheet
As at 31 March 2016
31 March 2016
USD ‘000
31 March 2015
USD ‘000
Assets
Financial assets at fair value through profit or loss (Note 2) ................................................................................................................
688,190
822,659
Cash at bank (Note 3) ...........................................................................................................................................................................
12,485
19,635
(Note 3) ......................................................................................................................................................................
502
5,555
Debtors:
Receivable for investments sold ....................................................................................................................
1,297
2,434
Dividends receivable ......................................................................................................................................
2,080
1,923
704,554
852,206
Liabilities
Financial liabilities at fair value through profit or loss (Note 2) ...........................................................................................................
(770)
(898)
Cash due to brokers and counterparties for open financial derivative positions .............................................
(557)
Payable for investments purchased ................................................................................................................
(5,620)
Management fees payable ..............................................................................................................................
(738)
Performance fees payable ..............................................................................................................................
(866)
Custodian and Trustee fees payable ...............................................................................................................
(9)
Sub-custodian fees payable ............................................................................................................................
(104)
Administration fees payable ...........................................................................................................................
(27)
Audit fees payable ..........................................................................................................................................
(18)
Other fees payable ..........................................................................................................................................
(1)
(8,710)
695,844
Net assets attributable to redeemable participating shareholders .......................................................................
(4,139)
(929)
(238)
(12)
(120)
(35)
(18)
(13)
(6,402)
845,804
2016
USD ‘000
Income
Dividends .......................................................................................................................................................
22,586
2015
USD ‘000
24,137
Net gain (loss) on investment activities (Note 4) ......................................................................................................
(116,539)
(58,364)
(93,953)
Total investment income (expense) .........................................................................................................................
(34,227)
Expenses
Management fees (Note 5) .............................................................................................................................
(10,088)
Performance fees (Note 5) .............................................................................................................................
(776)
Custodian and Trustee fees (Note 6) ..............................................................................................................
(65)
Sub-custodian fees (Note 6) ...........................................................................................................................
(836)
Administration and transfer agency fees (Note 6) .........................................................................................
(255)
Audit fees (Note 6) .........................................................................................................................................
(18)
Professional fees ............................................................................................................................................
(106)
Other fees .......................................................................................................................................................
(54)
(12,198)
Total operating expenses ..........................................................................................................................................
(11,923)
(818)
(77)
(927)
(286)
(18)
(63)
(62)
(14,174)
(106,151)
Net income (expense) .................................................................................................................................................
(48,401)
Finance costs
Distributions (Note 8) ....................................................................................................................................
(9,048)
(115,199)
Profit (loss) profit for the financial year before taxation ......................................................................................
(7,741)
(56,142)
Taxation (Note 9)
Capital gains tax .............................................................................................................................................
(192)
Withholding tax .............................................................................................................................................
(2,237)
(117,628)
shareholders resulting from operations ..................................................................................................................
(588)
(2,216)
(58,946)
Account.
2016
USD ‘000
(117,628)
Share transactions
2015
USD ‘000
(58,946)
9,048
7,741
(41,380)
(28,846)
(149,960)
participating shareholders .......................................................................................................................................
(80,051)
Beginning of year ...........................................................................................................................................
845,804
925,855
End of year .....................................................................................................................................................
695,844
845,804
31 March 2016
Number
of Shares
Fair Value
USD ‘000
Fund
%
Number
of Shares
Common Stock (89.23%) (2015: 85.44%)
Argentina (0.61%)
Banks
Grupo Financiero Galicia SA
98,428 ADR ....................................
2,786 0.40
Electric Utilities
15,700 Pampa Energia SA ADR .....
337 0.05
Oil and Gas
63,876 YPF SA ADR ......................
1,142 0.16
4,265
Australia (0.15%)
Banks
Macquarie Bank Ltd
410,230 (Vingroup)* .........................
Metals and Mining
4,327,080 Tiger Resources Ltd ............
Austria (0.25%)
Banks
20,232 Erste Group Bank AG .........
Raiffeisen Bank
52,800 International AG ..................
Food Products
2,925 DO & CO AG ......................
1,028,000
16,920
1,628,000
438,000
341,000
543,073
778,000
139,820
610,400
2,294,000
888,000
3,400,800 Trinity Ltd ..........................
Water Utilities
Beijing Enterprises Water
2,572,000 Group Ltd ...........................
67,500
0.13
160
0.02
1,029
0.15
31,457
86,574
59,282
343,595
569
0.08
801
0.12
351
0.05
1,721
0.25
572,410
201,000
754,571
Bermuda (1.61%)
Automobiles
Brilliance China Automotive
Holdings Ltd .......................
1,064 0.15
Banks
Credicorp Ltd ......................
2,217 0.32
Food Products
China Foods Ltd ..................
691 0.10
Gas Utilities
China Resources Gas Group
Ltd .......................................
1,248 0.18
Holding Companies - Diversified Operations
NWS Holdings Ltd ..............
542 0.08
Home Furnishings
Haier Electronics Group Co
Ltd .......................................
942 0.13
Skyworth Digital Holdings
Ltd .......................................
481 0.07
Media
Central European Media
Enterprises Ltd ....................
357 0.05
Oil and Gas
Kunlun Energy Co Ltd ........
529 0.08
Retail Trade
Giordano International
Ltd .......................................
1,053 0.15
GOME Electrical Appliances
Holding Ltd .........................
127 0.02
61,000
327,500
55,400
967,600
108,900
385,100
264,300
173,700
18,000
129,960
538,090
173,100
210,939
Fund
%
355
0.05
1,612
0.23
11,218
1.61
1,096
0.16
624
0.09
829
0.12
645
331
0.09
0.05
2,951
0.42
3,040
1,041
0.44
0.15
1,612
0.23
1,201
0.17
554
465
0.08
0.07
912
0.13
1,650
0.24
1,671
0.24
1,153
0.16
618
0.09
261
1,848
1,663
0.04
0.26
0.24
1,053
0.15
1,768
0.25
Botswana (0.16%)
Diversified Financials
4,751,430 Letshego Holdings Ltd ........
0.61
869
Fair Value
USD ‘000
Brazil (4.82%)
Advertising
Multiplus SA .......................
Aerospace and Defence
Embraer SA ADR ...............
Banks
Banco Bradesco SA ADR ...
Banco do Brasil SA ............
Itau Unibanco Holding SA
ADR ....................................
Beverages
Ambev SA ..........................
Ambev SA ADR .................
Building Products
Duratex SA .........................
Chemicals
Ultrapar Participacoes
SA .......................................
Commercial Services and Supplies
EcoRodovias Infraestrutura e
Logistica SA .......................
Localiza Rent a Car SA ......
Mills Estruturas e Servicos
de Engenharia SA ...............
Construction and Engineering
Multiplan Empreendimentos
Imobiliarios SA ...................
BM&FBovespa SA - Bolsa
de Valores Mercadorias e
Futuros ................................
Electric Utilities
AES Tiete Energia SA ........
EDP - Energias do Brasil
SA .......................................
Food Products
BRF SA ..............................
BRF SA ADR .....................
JBS SA ................................
Health Care Providers and Services
Fleury SA ............................
Insurance
BB Seguridade Participacoes
SA .......................................
31 March 2016
Number
of Shares
Fair Value
USD ‘000
Internet Software and Services
163,073 B2W Cia Digital ..................
Iron and Steel
421,816 Gerdau SA ADR .................
401,100 Vale SA ADR ......................
Oil and Gas
QGEP Participacoes
703,900 SA .......................................
Paper and Forest Products
87,276 Fibria Celulose SA ..............
Real Estate
183,600 BR Properties SA ................
Cyrela Brazil Realty SA
Empreendimentos e
145,100 Participacoes .......................
Helbor Empreendimentos
721,600 SA .......................................
Retail Trade
269,300 Via Varejo SA .....................
Telecommunications
89,421 Telefonica Brasil SA ADR ..
Transport
Tegma Gestao Logistica
556,900 SA .......................................
3,408,400
1,670,307
830,000
260,500
27,991
1,000,000
658
0.10
751
1,251
0.11
0.18
Number
of Shares
334,500
31,000
302,000
814
0.12
298,000
747
0.11
153,400
456
0.07
4,432,000
160,500
427
0.06
314
0.04
423
0.06
1,117
0.16
707
0.10
33,555
4.82
2,922,000
1,010,200
21,644
Canada (0.23%)
Metals and Mining
First Quantum Minerals
228,228 Ltd .......................................
Oil and Gas
234,900 Africa Oil Corp ...................
2,341,000
Fund
%
Cayman Islands (8.86%)
Auto Components
Nexteer Automotive Group
Ltd .......................................
Xinyi Glass Holdings
Ltd .......................................
Biotechnology
3SBio Inc ............................
Building Products
China Resources Cement
Holdings Ltd .......................
Chemicals
Kingboard Chemical
Holdings Ltd .......................
New Oriental Education &
Technology Group Inc
ADR ....................................
China State Construction
International Holdings
Ltd .......................................
1,207
0.17
393
0.06
1,600
0.23
47,781
11,300
163,297
617,200
657,600
802,487
504,800
630,000
2,421
0.35
2,267
0.32
2,261
0.32
254
0.04
880,000
438,000
242,500
696,700
360,800
2,868,000
447
0.06
2,177,500
968
0.14
1,490
0.21
131,700
3,165,000
50,016
Fair Value
USD ‘000
Electrical Equipment
AAC Technologies
Holdings Inc .......................
2,559
Casetek Holdings Ltd .........
169
China High Speed
Transmission Equipment
Group Co Ltd ......................
253
Tianneng Power
International Ltd .................
266
Zhen Ding Technology
Holding Ltd ........................
343
Energy Equipment and Services
GCL-Poly Energy
Holdings Ltd .......................
731
Trina Solar Ltd ADR ..........
1,595
Xinyi Solar Holdings
Ltd ......................................
1,032
Food Products
WH Group Ltd ....................
732
58.com Inc ADR .................
1,204
Alibaba Group Holding Ltd
ADR ....................................
3,776
Baidu Inc ADR ...................
2,157
JD.com Inc ADR ................
4,327
Tencent Holdings Ltd .........
12,612
Lodging
MGM China Holdings
Ltd ......................................
1,002
Sands China Ltd ..................
3,264
Metals and Mining
China Zhongwang
Holdings Ltd .......................
249
Real Estate
China Resources Land
Ltd ......................................
1,613
KWG Property Holding
Ltd ......................................
577
Longfor Properties Co
Ltd ......................................
623
Shimao Property Holdings
Ltd ......................................
358
Retail Trade
Belle International
Holdings Ltd .......................
403
Chow Tai Fook Jewellery
Group Ltd ...........................
226
Li Ning Co Ltd ...................
1,320
XTEP International
Holdings Ltd .......................
1,182
Semiconductor Equipment and Products
ASM Pacific Technology
Ltd ......................................
1,030
Semiconductor
Manufacturing
International Corp ...............
273
Silicon Motion Technology
Corp ADR ...........................
1,941
Fund
%
0.37
0.02
0.04
0.04
0.05
0.10
0.23
0.15
0.11
0.18
0.54
0.31
0.62
1.81
0.14
0.47
0.04
0.23
0.09
0.09
0.05
0.06
0.03
0.19
0.17
0.15
0.04
0.28
31 March 2016
Number
of Shares
Fair Value
USD ‘000
Software
13,707 NetEase Inc ADR ................
Telecommunications
919,600 FIH Mobile Ltd ...................
Textile and Apparel
Pacific Textiles Holdings
939,000 Ltd .......................................
Shenzhou International
367,000 Group Holdings Ltd ............
38,110
45,400
153,799
122,681
676,000
263,000
1,169,100
3,080,800
445,551
2,413,000
8,573,000
210,000
9,103,000
2,037,000
83,500
1,942,000
6,709,000
38,211
Chile (0.37%)
Banks
Banco Santander Chile
ADR ....................................
Electric Utilities
Enersis Americas SA
ADR ....................................
Empresas CMPC SA ...........
Retail Trade
SACI Falabella ....................
China (9.82%)
Airlines
China Eastern Airlines
Corp Ltd ..............................
Auto Components
Weichai Power Co
Ltd .......................................
Automobiles
Chongqing Changan
Automobile Co Ltd .............
Dongfeng Motor Group Co
Ltd .......................................
Zhengzhou Yutong Bus Co
Ltd .......................................
Banks
Agricultural Bank of China
Ltd .......................................
Bank of China Ltd ...............
Bank of Communications
Co Ltd .................................
China Construction Bank
Corp .....................................
China Everbright Bank Co
Ltd .......................................
China Merchants Bank Co
Ltd .......................................
Chongqing Rural
Commercial Bank Co
Ltd .......................................
Industrial & Commercial
Bank of China Ltd ...............
Beverages
Kweichow Moutai Co
Ltd .......................................
Fund
%
1,968
0.28
411
0.06
1,356
0.19
1,999
0.29
61,659
8.86
Number
of Shares
422,500
2,701,000
914,000
316,600
164,000
737
0.11
491,050
709,000
631
0.09
361
0.05
856
0.12
2,585
0.37
378
0.06
293
0.04
2,190
0.32
3,841
0.55
1,336
0.19
1,045,700
868
3,559
0.12
0.51
3,091,000
138
0.02
807,700
5,821
0.84
982
0.14
175
0.03
1,027
0.15
3,763
0.54
347,000
365,836
3,537,000
233,500
116,400
1,444,000
252,000
882,000
815,000
513,500
604,000
1,463
0.21
1,086,600
1,218,000
424,000
Fair Value
USD ‘000
Building Products
Anhui Conch Cement Co
Ltd ......................................
1,133
BBMG Corp .......................
2,086
Chemicals
Sinopec Shanghai
Petrochemical Co Ltd .........
463
Jiangsu Expressway Co
Ltd ......................................
420
Zhejiang Expressway Co
Ltd ......................................
175
Beijing Capital
International Airport Co
Ltd ......................................
527
China Communications
Construction Co Ltd ...........
846
China Machinery
Engineering Corp ................
242
Shanghai International
Airport Co Ltd ....................
1,703
China Cinda Asset
Management Co Ltd ...........
1,236
CITIC Securities Co Ltd .....
548
Haitong Securities Co
Ltd ......................................
199
Electric Utilities
Datang International Power
Generation Co
Ltd ......................................
445
Huadian Power
International Corp Ltd ........
160
Huaneng Power
International Inc ..................
787
Dongfang Electric Corp
Ltd ......................................
864
China Longyuan Power
Group Corp Ltd ..................
2,295
Health Care Equipment and Supplies
Shandong Weigao Group
Medical Polymer Co Ltd .....
514
Insurance
China Life Insurance Co
Ltd ......................................
2,011
China Pacific Insurance
Group Co Ltd ......................
1,920
PICC Property & Casualty
Co Ltd .................................
1,109
Ping An Insurance Group
Co of China Ltd ..................
5,204
Metals and Mining
China Shenhua Energy Co
Ltd ......................................
1,919
Jiangxi Copper Co Ltd ........
510
Fund
%
0.16
0.30
0.07
0.06
0.03
0.08
0.12
0.04
0.24
0.18
0.08
0.03
0.07
0.02
0.11
0.12
0.33
0.07
0.29
0.27
0.16
0.75
0.28
0.07
31 March 2016
Number
of Shares
3,622,000
7,500
2,850,000
371,100
352,000
454,500
438,000
313,700
794,400
742,800
664,000
638,680
3,600,000
441,000
Fair Value
USD ‘000
Oil and Gas
China Petroleum &
Chemical Corp ....................
China Petroleum &
Chemical Corp ADR ...........
PetroChina Co Ltd ...............
Oil and Gas Services
China Oilfield Services
Ltd .......................................
Sinopec Engineering Group
Co Ltd .................................
Pharmaceuticals
Shanghai Fosun
Pharmaceutical Group Co
Ltd .......................................
Sinopharm Group Co
Ltd .......................................
Real Estate
China Vanke Co Ltd ............
Guangzhou R&F Properties
Co Ltd .................................
Retail Trade
Shanghai Pharmaceuticals
Holding Co Ltd ...................
Telecommunications
China Communications
Services Corp Ltd ................
ZTE Corp ............................
Transport
Guangshen Railway Co
Ltd .......................................
Sinotrans Ltd .......................
Colombia (0.44%)
Banks
71,998 Bancolombia SA ADR ........
Grupo Aval Acciones y
27,100 Valores SA ADR .................
Oil and Gas
43,700 Ecopetrol SA ADR ..............
Cyprus (0.04%)
Transport
Globaltrans Investment Plc
64,877 GDR ....................................
Czech Republic (0.11%)
Banks
Komercni Banka
3,640 AS .......................................
Egypt (1.08%)
Agriculture
61,861 Eastern Tobacco ..................
Fund
%
Number
of Shares
2,381
0.34
412,810
489
1,896
0.07
0.28
134,209
291
0.04
286
0.04
1,257
0.18
1,968
0.28
769
0.11
1,135
0.16
1,475
0.21
303
1,166
0.04
0.17
1,546
193
0.22
0.03
68,305
9.82
9,854
50,307
170,946
971,628
3,795,311
609,711
78,200
381,108
1,946,800
6,051,529
159,690
2,461
0.35
209
0.03
376
0.06
3,046
0.44
281
805
1,358
0.04
0.11
0.19
53,785
52,700
Fair Value
USD ‘000
Banks
Commercial International
Bank Egypt SAE ................
Bank Egypt SAE GDR
(UK Listed) .........................
Bank Egypt SAE GDR (US
Listed) .................................
Food Products
Edita Food Industries
SAE ....................................
Pharmaceuticals
Egyptian International
Pharmaceuticals
EIPICO ...............................
Real Estate
Emaar Misr for
Development SAE ..............
Palm Hills Developments
SAE ....................................
Telecommunications
Global Telecom Holding
SAE GDR ...........................
Greece (1.02%)
Airlines
Aegean Airlines SA ............
Banks
Alpha Bank AE ...................
Eurobank Ergasias SA ........
National Bank of Greece
SA .......................................
Distributors
Fourlis Holdings SA ...........
Retail Trade
FF Group ............................
Telecommunications
Hellenic
Telecommunications
Organization SA .................
Fund
%
1,787
0.25
476
0.07
35
0.01
194
0.03
1,155
0.17
297
0.04
1,239
0.18
991
0.14
7,532
1.08
757
0.11
851
1,728
0.12
0.25
1,724
0.25
519
0.07
1,058
0.15
477
0.07
7,114
1.02
Guernsey, Channel Islands (0.08%)
Real Estate
310,500 Etalon Group Ltd GDR .......
571
0.08
Hong Kong (3.93%)
Computers and Peripherals
1,716,000 Lenovo Group Ltd ..............
370,000 China Everbright Ltd ..........
Electric Utilities
China Resources Power
26,000 Holdings Co Ltd .................
1,341
0.19
773
0.11
48
0.01
31 March 2016
Number
of Shares
1,499,800
251,000
393,000
146,100
1,550,000
4,700
4,020,000
1,520,000
558,000
1,370,000
2,531,000
2,548,000
86,000
609,400
400,000
41,400
765,000
138,240
4,703
11,450
193,308
Fair Value
USD ‘000
Environmental Control
China Everbright
International Ltd ..................
Insurance
China Taiping Insurance
Holdings Co Ltd ..................
Lodging
Galaxy Entertainment
Group Ltd ............................
Media
Television Broadcasts
Ltd .......................................
Oil and Gas
Cnooc Ltd ............................
Cnooc Ltd ADR ..................
Real Estate
China Jinmao Holdings
Group Ltd ............................
China Overseas Land &
Investment Ltd ....................
Shenzhen Investment
Ltd .......................................
Real Estate Investment Trust
Champion REIT ..................
Hui Xian Real Estate
Investment Trust ..................
Yuexiu Real Estate
Retail Trade
China Resources Beer
Holdings Company Ltd .......
Telecommunications
China Mobile Ltd ................
China Unicom Hong Kong
Ltd .......................................
China Unicom Hong Kong
Ltd ADR ..............................
HKT Trust & HKT Ltd .......
Hungary (0.62%)
Banks
OTP Bank Plc ......................
Oil and Gas
MOL Hungarian Oil & Gas
Plc .......................................
Pharmaceuticals
Richter Gedeon Nyrt ...........
Telecommunications
Magyar Telekom
Telecommunications Plc .....
India (9.50%)
Automobiles
Maruti Suzuki India
9,030 Ltd .......................................
299,544 Tata Motors Ltd ...................
Fund
%
1,680
0.24
551
0.08
1,472
0.21
527
0.08
1,832
550
0.26
0.08
1,125
0.16
4,811
0.69
222
0.04
698
0.10
1,221
0.18
1,413
0.20
159
0.02
6,788
0.97
528
0.08
545
1,053
0.08
0.15
27,337
3.93
3,473
0.50
283
0.04
228
0.03
320
0.05
4,304
0.62
506
1,758
Number
of Shares
0.08
0.25
Fair Value
USD ‘000
62,652 Tata Motors Ltd ADR .........
Banks
329,915 Axis Bank Ltd .....................
15,376 HDFC Bank Ltd ADR ........
342,317 ICICI Bank Ltd ...................
248,053 ICICI Bank Ltd ADR ..........
Kotak Mahindra Bank
73,485 Ltd ......................................
545,109 State Bank of India .............
State Bank of India
12,362 GDR ....................................
Building Products
7,186 ACC Ltd .............................
22,876 UltraTech Cement Ltd ........
Chemicals
347,113 Godrej Industries Ltd ..........
238,515 Tata Chemicals Ltd .............
175,721 UPL Ltd ..............................
151,133 Infosys Ltd ..........................
103,585 Infosys Ltd ADR ................
Tata Consultancy Services
91,315 Ltd ......................................
138,476 Wipro Ltd ...........................
29,100 Wipro Ltd ADR ..................
J Kumar Infraprojects
96,201 Ltd ......................................
113,708 Larsen & Toubro Ltd ..........
135,060 Voltas Ltd ...........................
Housing Development
140,944 Finance Corp Ltd ................
Electric Utilities
1,082,137 JSW Energy Ltd ..................
1,574,774 NTPC Ltd ...........................
Power Grid Corp of India
452,494 Ltd ......................................
1,017,110 PTC India Ltd .....................
Reliance Infrastructure
51,600 Ltd ......................................
538,391 Exide Industries Ltd ............
2,665,931 Suzlon Energy Ltd ..............
Gas Utilities
239,047 GAIL India Ltd ...................
Hotels, Restaurants and Leisure
73,189 Bajaj Auto Ltd ....................
111,323 Hero MotoCorp Ltd ............
Iron and Steel
244,476 Tata Steel Ltd ......................
Lodging
1,071,583 Indian Hotels Co Ltd ..........
Fund
%
1,820
0.26
2,219
948
1,214
1,776
0.32
0.14
0.17
0.25
758
1,597
0.11
0.23
362
0.05
150
1,117
0.02
0.16
1,866
1,365
1,268
0.27
0.20
0.18
2,784
1,970
0.40
0.29
3,489
1,186
366
0.50
0.17
0.05
399
2,103
570
0.06
0.30
0.08
2,356
0.34
1,136
3,056
0.16
0.44
950
983
0.14
0.14
416
0.06
1,132
570
0.16
0.08
1,292
0.18
2,655
4,942
0.38
0.71
1,178
0.17
1,601
0.23
31 March 2016
Number
of Shares
Fair Value
USD ‘000
Media
69,900 Sun TV Network Ltd ...........
Oil and Gas
101,365 Bharat Petroleum Corp Ltd .
225,023 Indian Oil Corp Ltd .............
Oil & Natural Gas Corp
401,840 Ltd .......................................
Reliance Industries
4,624 Ltd .......................................
Pharmaceuticals
Aurobindo Pharma
88,488 Ltd .......................................
84,661 Cipla Ltd .............................
Pipelines
379,938 Petronet LNG Ltd ................
Real Estate
274,646 Oberoi Realty Ltd ................
Telecommunications
202,511 Bharti Airtel Ltd ..................
341,636 Bharti Infratel Ltd ...............
Transport
6,615 Blue Dart Express Ltd .........
5,058,400
1,553,900
5,011,000
3,863,600
1,089,000
8,109,600
418,900
2,873,000
41,446,000
Indonesia (1.71%)
Agriculture
Perusahaan Perkebunan
London Sumatra Indonesia
Tbk PT ................................
Banks
Bank Central Asia Tbk
PT ........................................
Bank Negara Indonesia
Persero Tbk PT ....................
Bank Rakyat Indonesia
Persero Tbk PT ....................
Food Products
Indofood Sukses Makmur
Tbk PT ................................
Gas Utilities
Perusahaan Gas Negara
Persero Tbk .........................
Machinery
United Tractors Tbk
PT ........................................
Metals and Mining
Adaro Energy Tbk
PT ........................................
Real Estate
Pakuwon Jati Tbk PT ..........
Fund
%
401
0.06
1,386
1,337
0.20
0.19
1,299
0.19
73
0.01
995
657
0.14
0.10
1,435
0.21
1,003
0.14
1,068
2,022
0.15
0.29
611
0.09
66,145
9.50
Number
of Shares
98,117
14,922
12,972
192,617
142,200
6,504,800
3,024,483
1,252,200
11,169,520
694
0.10
1,559
0.22
1,965
0.28
6,278
3,329
0.48
13,098
593
0.09
7,537
7,342
1,599
0.23
483
0.07
140
0.02
17,805
1,513
0.22
11,875
1.71
Jersey, Channel Islands (0.19%)
Integrated Diagnostics
266,293 Holdings Plc ........................
1,305
34,070
63,614
87,122
104,974
19,665
280
2,983
1,731
0.19
10,292
Fair Value
USD ‘000
Kazakhstan (0.18%)
Banks
Halyk Savings Bank of
Kazakhstan JSC GDR .........
Oil and Gas
KazMunaiGas Exploration
Production JSC GDR ..........
Telecommunications
KCell JSC GDR ..................
KCell JSC GDR (UK
Listed) .................................
Kenya (1.22%)
Agriculture
British American Tobacco
Kenya Ltd ...........................
Banks
Barclays Bank of Kenya
Ltd ......................................
Equity Group Holdings
Ltd ......................................
Beverages
East African Breweries
Ltd ......................................
Telecommunications
Safaricom Ltd .....................
Korea Aerospace Industries
Ltd ......................................
Agriculture
KT&G Corp ........................
Auto Components
Hankook Tire Co Ltd ..........
Hyundai Mobis Co
Ltd ......................................
Hyundai Wia Corp ..............
Automobiles
Hyundai Motor Co ..............
Kia Motors Corp .................
Banks
Industrial Bank of
Korea ..................................
Woori Bank ........................
Beverages
Hite Jinro Co Ltd ................
Muhak Co Ltd .....................
Chemicals
Lotte Chemical Corp ...........
SK Holdings Co Ltd ...........
Daelim Industrial Co
Ltd ......................................
Fund
%
412
0.06
111
0.01
47
0.01
695
0.10
1,265
0.18
1,192
0.17
722
0.10
1,193
0.17
3,519
0.51
1,851
0.27
8,477
1.22
1,015
0.14
604
0.08
623
0.09
1,641
674
0.23
0.10
4,543
2,687
0.65
0.39
933
868
0.13
0.13
497
9
0.07
0.00
891
0.13
338
0.05
818
0.12
31 March 2016
Number
of Shares
12,619
24,723
21,694
92,247
41,071
10,667
15,600
74,266
40,770
43,041
15,160
11,800
760
13,875
1,020
16,008
54,084
10,476
26,184
11,563
6,334
9,715
10,487
5,926
11,895
4,360
3,254
299
984
Fair Value
USD ‘000
Hyundai Development CoEngineering &
Construction ........................
Hyundai Engineering &
Construction Co Ltd ............
BNK Financial Group
Inc .......................................
Hana Financial Group
Inc .......................................
KB Financial Group
Inc .......................................
Korea Investment Holdings
Co Ltd .................................
Samsung Card Co Ltd .........
Shinhan Financial Group
Co Ltd .................................
Electric Utilities
Korea Electric Power
Corp .....................................
LG Display Co Ltd ..............
LG Electronics Inc ..............
LS Industrial Systems Co
Ltd .......................................
Neo Holdings ......................
Samsung ElectroMechanics Co Ltd ...............
Food Products
CJ CheilJedang Corp ...........
Daesang Corp ......................
Household Products
Lock&Lock Co Ltd .............
Insurance
Dongbu Insurance Co
Ltd .......................................
Hyundai Marine & Fire
Insurance Co Ltd .................
Samsung Life Insurance Co
Ltd .......................................
Iron and Steel
Hyundai Steel Co ................
POSCO ................................
Machinery
SFA Engineering Corp ........
Metals and Mining
Hyosung Corp .....................
Oil and Gas
SK Innovation Co Ltd .........
Personal Products
LG Household & Health
Care Ltd ..............................
Retail Trade
CJ O Shopping Co Ltd ........
E-Mart Co Ltd .....................
Lotte Shopping Co Ltd ........
Fund
%
507
0.07
911
0.13
184
0.03
2,000
0.29
1,144
0.16
410
514
0.06
0.07
2,630
0.38
Number
of Shares
16,329
171,283
120,759
1,686
Luxembourg (0.06%)
Agriculture
47,364 MHP SA GDR ....................
0.31
1,001
817
0.14
0.12
492
-
0.07
0.00
713
0.10
310
407
0.04
0.06
203,400
679
0.10
142,900
172,100
159,500
0.10
760
0.11
1,188
0.17
307
1,865
0.04
0.27
557
0.08
746
0.11
1,789
0.26
3,603
0.52
563
46
216
0.08
0.01
0.03
62,008
127,079
110,783
Malaysia (0.23%)
Banks
CIMB Group Holdings
Bhd .....................................
Electric Utilities
Tenaga Nasional Bhd ..........
Lodging
Genting Bhd ........................
Transport
MISC Bhd ...........................
2.69
0.61
0.17
0.02
67,604
9.71
1,256
0.18
2,516
0.36
3,772
0.54
403
0.06
214
0.03
570
0.08
511
0.07
326
0.05
1,621
0.23
Mauritius (0.20%)
215,264 MCB Group Ltd ..................
1,257
0.18
8,145,400 SBM Holdings Ltd ..............
157
0.02
373,290
Fund
%
Samsung Electronics Co
Ltd ......................................
18,734
SK Hynix Inc ......................
4,216
Telecommunications
LG Uplus Corp ...................
1,167
Samsung SDI Co Ltd ..........
146
Kuwait (0.54%)
Agriculture
Mezzan Holding Co
345,000 KSCC ..................................
Banks
National Bank of Kuwait
1,134,829 SAKP ..................................
2,146
695
Fair Value
USD ‘000
134,292
8,612
Mexico (2.38%)
Auto Components
Nemak SAB de CV .............
Banks
Grupo Financiero Banorte
SAB de CV .........................
Beverages
Arca Continental SAB de
CV ......................................
Coca-Cola Femsa SAB de
CV ......................................
Fomento Economico
Mexicano SAB de CV ........
Fomento Economico
Mexicano SAB de CV
ADR ....................................
1,414
0.20
90
0.01
2,133
0.31
889
0.13
928
0.13
1,305
0.19
829
0.12
31 March 2016
Number
of Shares
303,017
345,656
163,700
119,058
118,544
71,651
15,026
685,600
412,900
1,077,129
84,781
Fair Value
USD ‘000
Building Products
Cemex SAB de CV
ADR ....................................
Chemicals
Alpek SAB de CV ...............
OHL Mexico SAB de
CV .......................................
Food Products
Gruma SAB de CV ..............
Grupo Lala SAB de
CV .......................................
Industrias Bachoco SAB de
CV .......................................
Media
Grupo Televisa SAB
ADR ....................................
Metals and Mining
Grupo Mexico SAB de
CV .......................................
Macquarie Mexico Real
Estate Management SA de
CV .......................................
Telecommunications
America Movil SAB de
CV .......................................
America Movil SAB de CV
ADR ....................................
Morocco (0.51%)
Banks
56,520 Attijariwafa Bank ................
Telecommunications
124,440 Maroc Telecom ...................
Netherlands (0.27%)
Food Products
X5 Retail Group NV
49,000 GDR ....................................
55,300 Yandex NV .........................
21,699,396
10,603,413
27,878,759
1,275,649
2,002,639
220,394
4,330,210
Nigeria (1.23%)
Banks
Guaranty Trust Bank Plc .....
Stanbic IBTC Holdings
Plc .......................................
Zenith Bank Plc ...................
Beverages
Guinness Nigeria Plc ...........
Nigerian Breweries Plc ........
Food Products
Nestle Nigeria Plc ...............
Unilever Nigeria Plc ............
Fund
%
2,206
0.32
550
0.08
261
0.04
1,903
0.27
325
0.05
309
0.04
413
0.06
1,667
0.24
563
0.08
845
0.12
1,317
0.19
16,533
2.38
Number
of Shares
Oil and Gas
SEPLAT Petroleum
234,000 Development Co Plc ...........
SEPLAT Petroleum
Development Co Plc (UK
791,644 Listed) .................................
Pakistan (0.76%)
Banks
543,163 Habib Bank Ltd ..................
2,272,400 United Bank Ltd .................
Oil and Gas
Oil & Gas Development Co
1,019,000 Ltd ......................................
Panama (0.24%)
Airlines
Avianca Holdings SA
96,024 ADR ....................................
17,976 Copa Holdings SA ..............
Peru (0.29%)
Metals and Mining
Cia de Minas Buenaventura
134,541 SA ADR ..............................
Retail Trade
73,451 InRetail Peru Corp ..............
1,985
0.29
975,940
1,553
0.22
312,780
3,538
0.51
209,774
1,039
0.15
17,590
847
0.12
22,622,700
1,886
0.27
289,360
1,559
0.22
759
1,507
0.11
0.22
670
1,077
0.10
0.15
15,220
5,600
78,700
775
631
0.11
0.09
Fair Value
USD ‘000
23,000
Philippines (1.11%)
Banks
BDO Unibank Inc ...............
Metropolitan Bank & Trust
Co .......................................
Food Products
Universal Robina
Corp ....................................
Other Finance
GT Capital Holdings
Inc .......................................
Real Estate
Megaworld Corp .................
Retail Trade
Jollibee Foods Corp ............
Poland (0.93%)
Banks
Bank Pekao SA ...................
Bank Zachodni WBK
SA .......................................
Powszechna Kasa
Oszczednosci Bank Polski
SA .......................................
Food Products
Eurocash SA .......................
Fund
%
349
0.05
1,213
0.18
8,540
1.23
888
3,282
0.13
0.47
1,116
0.16
5,286
0.76
477
1,218
0.07
0.17
1,695
0.24
990
0.14
1,028
0.15
2,018
0.29
2,168
0.31
560
0.08
988
0.14
531
0.08
2,039
0.29
1,427
0.21
7,713
1.11
674
0.10
462
0.07
588
0.08
330
0.05
31 March 2016
Number
of Shares
102,440
70,626
36,317
31,133
44,200
14,400
139,000
Fair Value
USD ‘000
Insurance
Powszechny Zaklad
Ubezpieczen SA ..................
Wirtualna Polska Holding
SA .......................................
Media
Cyfrowy Polsat SA ..............
Metals and Mining
KGHM Polska Miedz
SA .......................................
Oil and Gas
Polski Koncern Naftowy
Orlen SA .............................
Retail Trade
CCC SA ..............................
Telecommunications
Orange Polska SA ...............
Qatar (0.11%)
Chemicals
26,495 Industries Qatar QSC ..........
Fund
%
Number
of Shares
393,230
980
0.14
787
0.11
237
0.03
10,750
26,865
637
0.09
32,000
878
0.13
618
0.09
252
0.04
6,443
0.93
10,064,500
542,100
26,200
490,868
37,628
72,844
19,000
788
0.11
3,939
5,092,200
141,890
42,697
110,317
102,544
1,642,206
228,792
1,704,432
306,916
85,344
511,500
Romania (0.82%)
Banks
Banca Transilvania SA ........
BRD-Groupe Societe
Generale SA ........................
Closed End Funds
Fondul Proprietatea SA
GDR ....................................
Oil and Gas
Societatea Nationala de
Gaze Naturale ROMGAZ
SA .......................................
Societatea Nationala de
Gaze Naturale ROMGAZ
SA GDR ..............................
Russia (3.77%)
Airlines
Aeroflot - Russian Airlines
PJSC ....................................
Banks
Bank St Petersburg
PJSC ....................................
Sberbank of Russia
PJSC ....................................
Sberbank of Russia PJSC
ADR ....................................
Chemicals
PhosAgro OAO GDR ..........
Moscow Exchange
MICEX-RTS PJSC ..............
3,493
0.50
22,938
210,520
379
0.05
351,008
412
0.06
30,602
27,173
758
0.11
682
0.10
5,724
0.82
1,829
0.26
160
0.02
2,802
0.40
2,136
0.31
1,203
0.17
804
0.12
134,641
873,480
68,701
2,082,311
Fair Value
USD ‘000
Moscow Exchange
MICEX-RTS PJSC (UK
Listed) .................................
Electric Utilities
RusHydro PJSC ..................
Food Products
Magnit PJSC .......................
Magnit PJSC GDR ..............
Iron and Steel
Novolipetsk Steel
GDR ....................................
Metals and Mining
Alrosa PAO ........................
MMC Norilsk Nickel PJSC
ADR ....................................
Oil and Gas
Gazprom PAO ADR ...........
Lukoil PJSC ADR (UK
Listed) .................................
Lukoil PJSC ADR (US
Listed) .................................
Novatek OAO GDR ............
Surgutneftegas OAO
ADR ....................................
Real Estate
LSR Group PJSC ................
LSR Group PJSC GDR .......
Retail Trade
M.Video PAO .....................
Telecommunications
MegaFon PJSC GDR ..........
Mobile TeleSystems
PJSC ...................................
Mobile TeleSystems PJSC
ADR ....................................
Sistema JSFC ......................
Sistema JSFC GDR .............
Transport
Far Eastern Shipping Co
Plc .......................................
Fund
%
614
0.09
105
0.02
1,696
1,073
0.24
0.16
400
0.06
564
0.08
340
0.05
2,116
0.30
1,445
0.21
2,798
1,707
0.40
0.25
23
0.00
234
479
0.03
0.07
1,399
0.20
337
0.05
98
0.02
1,089
229
444
0.16
0.03
0.06
84
0.01
26,208
3.77
120
0.02
Singapore (0.08%)
Shipbuilding
Yangzijiang Shipbuilding
724,100 Holdings Ltd .......................
527
0.08
Slovenia (0.19%)
Insurance
Zavarovalnica Triglav
23,166 DD ......................................
713
0.10
Serbia & Montenegro (0.02%)
Banks
Komercijalna Banka AD
9,500 Beograd ...............................
31 March 2016
Number
of Shares
Fair Value
USD ‘000
Oil and Gas
1,875 Petrol DD Ljubljana ............
122,982
192,621
231,495
112,000
45,500
49,066
36,813
817,069
7,908
31,000
87,000
186,688
38,506
101,103
264,201
39,469
75,700
139,882
78,951
85,060
161,588
56,000
63,047
279,891
147,297
122,750
Fund
%
598
0.09
1,311
0.19
Banks
Barclays Africa Group
Ltd .......................................
1,251
0.18
FirstRand Ltd ......................
633
0.09
Standard Bank Group
Ltd .......................................
2,085
0.30
EOH Holdings Ltd ..............
1,123
0.16
Food Products
Bidvest Group Ltd ...............
1,154
0.17
Shoprite Holdings Ltd .........
579
0.08
SPAR Group Ltd .................
498
0.07
Netcare Ltd ..........................
2,005
0.29
AVI Ltd ...............................
47
0.01
Imperial Holdings Ltd .........
317
0.04
Tongaat Hulett Ltd ..............
618
0.09
Insurance
Discovery Ltd ......................
1,542
0.22
Liberty Holdings Ltd ...........
378
0.06
Sanlam Ltd ..........................
471
0.07
Lodging
Tsogo Sun Holdings
Ltd .......................................
425
0.06
Media
Naspers Ltd .........................
5,531
0.80
Metals and Mining
AngloGold Ashanti Ltd
ADR ....................................
1,036
0.15
Sibanye Gold Ltd ................
539
0.08
Office Electronics
Reunert Ltd .........................
372
0.05
Oil and Gas
Sasol Ltd .............................
2,554
0.37
Sappi Ltd .............................
718
0.10
Retail Trade
Mr Price Group Ltd .............
676
0.10
Truworths International
Ltd .......................................
421
0.06
Woolworths Holdings
Ltd .......................................
1,706
0.24
Telecommunications
MTN Group Ltd ..................
1,354
0.19
Telkom SA SOC
Ltd .......................................
480
0.07
28,513
4.10
Number
of Shares
Fair Value
USD ‘000
Fund
%
Spain (0.12%)
Building Products
Cemex Latam Holdings
196,726 SA .......................................
845
0.12
Switzerland (0.26%)
Retail Trade
14,856 Dufry AG ............................
1,835
0.26
161
883
0.02
0.13
1,219
0.17
889
0.13
554
264
0.08
0.04
1,679
0.24
1,286
174
0.18
0.03
41
0.01
1,173
0.17
199
0.03
1,448
0.20
1,391
0.20
465
0.07
5,194
2,959
0.75
0.42
725
0.10
253
0.04
964
0.14
393
0.05
-
0.00
975
0.14
176,000
902,000
580,000
99,000
214,755
421,000
748,550
1,052,025
148,000
78,000
1,646,487
564,000
4,049,452
315,068
180,000
1,970,925
1,268,000
412,520
436,000
804,000
511,000
702
1,400,000
Taiwan (7.00%)
Building Products
Asia Cement Corp ...............
Taiwan Cement Corp ..........
Chemicals
Nan Ya Plastics Corp ..........
Asustek Computer Inc ........
Chicony Electronics Co
Ltd ......................................
Compal Electronics Inc .......
Foxconn Technology Co
Ltd ......................................
Lite-On Technology
Corp ....................................
Primax Electronics Ltd .......
CTBC Financial Holding
Co Ltd .................................
Mega Financial Holding
Co Ltd .................................
Taishin Financial Holding
Co Ltd .................................
Yuanta Financial Holding
Co Ltd .................................
Delta Electronics Inc ...........
FLEXium Interconnect
Inc .......................................
Hon Hai Precision Industry
Co Ltd .................................
Pegatron Corp .....................
Food Products
Uni-President Enterprises
Corp ....................................
Home Furnishings
E Ink Holdings Inc ..............
Insurance
Cathay Financial Holding
Co Ltd .................................
China Life Insurance Co
Ltd ......................................
Shin Kong Financial
Holding Co Ltd ...................
Iron and Steel
China Steel Corp .................
31 March 2016
Number
of Shares
110,000
59,000
504,500
420,000
100,000
194,000
90,000
1,468,800
370,945
2,020,000
367,000
15,000
1,017,400
92,000
Fair Value
USD ‘000
Metals and Mining
Catcher Technology Co
Ltd .......................................
903
Pharmaceuticals
PharmaEngine Inc ...............
455
Real Estate
Highwealth Construction
Corp .....................................
737
Advanced Semiconductor
Engineering Inc ...................
489
MediaTek Inc ......................
767
Phison Electronics
Corp .....................................
1,579
Siliconware Precision
Industries Co Ltd .................
145
Taiwan Semiconductor
Manufacturing Co Ltd .........
7,393
Manufacturing Co Ltd
ADR ....................................
9,719
United Microelectronics
Corp .....................................
835
Telecommunications
Chunghwa Telecom Co
Ltd .......................................
1,249
Textile and Apparel
Eclat Textile Co Ltd ............
197
Far Eastern New Century
Corp .....................................
831
Pou Chen Corp ....................
117
48,705
113,200
537,600
555,900
1,150,000
149,600
131,200
2,052,600
758,200
185,100
335,900
Fund
%
Number
of Shares
0.13
0.07
Retail Trade
912,450 Minor International PCL .....
Transport
Bangkok Expressway &
4,681,018 Metro PCL ..........................
0.11
0.07
0.11
0.23
107,831
880,800
95,200
0.02
1.06
516,075
789,745
1.40
0.12
780,535
689,694
791,529
0.18
264,000
0.03
53,481
0.12
0.01
7.00
Thailand (2.23%)
Banks
Kasikornbank PCL ..............
563
0.08
Kasikornbank PCL
NVDR .................................
2,644
0.38
Thanachart Capital PCL ......
597
0.09
Beverages
Carabao Group PCL ............
1,316
0.19
Chemicals
PTT Global Chemical
PCL .....................................
257
0.04
Airports of Thailand
PCL .....................................
1,499
0.21
Sino-Thai Engineering &
Construction PCL ................
1,324
0.19
Food Products
Charoen Pokphand Foods
PCL .....................................
526
0.07
Siam Cement PCL
NVDR .................................
2,452
0.35
Oil and Gas
PTT PCL NVDR .................
2,673
0.38
Fair Value
USD ‘000
76,722
307,960
12,275
69,000
462,002
411,634
69,173
46,109
104,000
113,000
133,500
Fund
%
960
0.14
738
0.11
15,549
2.23
Turkey (3.09%)
Airlines
Pegasus Hava Tasimaciligi
AS .......................................
658
0.09
Turk Hava Yollari AO ........
2,437
0.35
Automobiles
Tofas Turk Otomobil
Fabrikasi AS .......................
773
0.11
Banks
Akbank TAS .......................
1,470
0.21
Turkiye Garanti Bankasi
AS .......................................
2,311
0.33
Turkiye Halk Bankasi
AS .......................................
2,902
0.42
Turkiye Is Bankasi ..............
1,141
0.16
Turkiye Vakiflar Bankasi
TAO ....................................
1,324
0.19
Yapi ve Kredi Bankasi
AS .......................................
389
0.06
Building Products
Cimsa Cimento Sanayi VE
Ticaret AS ...........................
299
0.04
Enka Insaat ve Sanayi
AS .......................................
133
0.02
Turkiye Sinai Kalkinma
Bankasi AS .........................
180
0.03
Food Products
BIM Birlesik Magazalar
AS .......................................
266
0.04
Migros Ticaret AS ..............
437
0.06
Haci Omer Sabanci
Holding AS .........................
1,598
0.23
KOC Holding AS ................
2,092
0.30
Home Furnishings
Arcelik AS ..........................
471
0.07
Oil and Gas
Tupras Turkiye Petrol
Rafinerileri AS ....................
1,299
0.19
Retail Trade
Dogus Otomotiv Servis ve
Ticaret AS ...........................
465
0.07
Telecommunications
Turk Telekomunikasyon
AS .......................................
268
0.04
Turkcell Iletisim
Hizmetleri AS .....................
562
0.08
21,475
3.09
31 March 2016
Number
of Shares
Fair Value
USD ‘000
United Arab Emirates (0.67%)
Banks
Dubai Islamic Bank
553,285 PJSC ....................................
Real Estate
DAMAC Properties Dubai
1,508,073 Co PJSC ..............................
1,617,490 Emaar Properties PJSC ........
27,610
63,108
2,181,861
2,318,139
10,759
26,331
184,800
18,597
United Kingdom (0.36%)
Banks
HSBC Bank Plc (United
International
Transportation)* ..................
HSBC Bank Plc (The
Cooperative
Insurance)* ..........................
Metals and Mining
Pan African Resources Plc
(South Africa Listed) ...........
Pan African Resources Plc
(UK Listed) .........................
United States (0.57%)
Biotechnology
China Biologic Products
Inc .......................................
Metals and Mining
Southern Copper
Corp .....................................
Oil and Gas
Gran Tierra Energy
Inc .......................................
Retail Trade
PriceSmart Inc .....................
Vietnam (0.06%)
Real Estate
186,800 Vingroup JSC ......................
Virgin Islands, British (0.17%)
Chemicals
Tianhe Chemicals Group
7,876,000 Ltd .......................................
Retail Trade
Arcos Dorados Holdings
130,400 Inc .......................................
Fund
%
893
0.13
1,121
2,651
0.16
0.38
4,665
0.67
1,790,200
163,100
2,416,236
384,000
276
0.04
217,740
1,346
433
0.06
450
0.07
2,505
0.36
1,232
0.18
730
0.10
456
0.06
1,573
0.23
3,991
0.57
396
711
0.06
0.10
489
0.07
1,200
0.17
620,947
Fair Value
USD ‘000
89.23
Fund
%
Preferred Stock (2.34%) (2015: 2.16%)
Brazil (1.52%)
Auto Components
Marcopolo SA .....................
1,207
0.18
Food Products
Cia Brasileira de
Distribuicao ........................
2,294
0.33
Itausa - Investimentos Itau
SA .......................................
5,570
0.80
Iron and Steel
Gerdau SA ..........................
706
0.10
Suzano Papel e Celulose
SA .......................................
778
0.11
10,555
1.52
818
0.12
3,243 Ltd ......................................
3,139
0.45
0.19
Zimbabwe (0.15%)
1,837,954 Delta Corp Ltd ....................
1,034
0.15
Total Common Stock ........
Number
of Shares
Colombia (0.12%)
Banks
89,377 Banco Davivienda SA .........
Philippines (0.00%)
Banks
1,267,172 Security Bank Corp .............
-
0.00
Russia (0.25%)
Oil and Gas
2,647,232 Surgutneftegas OAO ...........
1,781
0.25
Total Preferred Stock .......
16,293
2.34
570
0.08
1,465
0.21
2,457
0.36
Warrants (1.48%) (2015: 2.36%)
Australia (0.08%)
890,100 Macquarie Bank Ltd ...........
Netherlands (0.61%)
Bherti Airtel International
277,673 Natherlands BV ..................
Reliance Industries Ltd
155,694 (02/17) ................................
Reliance Industries Ltd
17,750 (07/19) ................................
Curacao (0.69%)
Bupa Arabia for
Cooperative Insurance
39,315 Co .......................................
Mouwasat Medical
40,032 Services Co .........................
National Industrialization
484,793 Co .......................................
280
0.04
4,202
0.61
1,195
0.17
1,217
0.18
1,183
0.17
31 March 2016
Number
of Shares
Fair Value
USD ‘000
93,322 Samba Financial Group .......
United International
72,297 Transportation Co ................
Fund
%
508
0.07
723
0.10
4,826
0.69
Switzerland (0.10%)
127,167 Credit Suisse AG (02/19) ....
691
0.10
Total Warrants ..................
10,289
1.48
Number
of Shares
Rights (0.00%) (2015: 0.00%)
0.07%)
Total Transferable
647,529 93.05
Securities ............................
Principal
Amount
Money Market Instruments (0.35%) (2015:
0.00%)
U.S. Treasury Bill
Zero Coupon due
400,000 16/06/16** ........................
400
0.06
USD
Zero Coupon due
2,000,000 23/06/16** ........................
1,999
0.29
Total Money Market
2,399
0.35
Instruments ........................
Fair Value
USD ‘000
Ireland (5.05%)
Russell Investment
Company III Plc - The
Sterling Liquidity Fund 56 Class R Roll-Up Shares ....
80
Russell Investment
Company III Plc - The U.S.
Dollar Cash Fund II 34,981 Class R Roll-Up Shares ....
35,036
Russell Investment
Company Plc - Russell
Euro Liquidity Fund 1 Class R Roll-Up Shares ....
1
Romania (0.20%)
7,201,325 Fondul Proprietatea SA .......
Total Investment
Funds .................................
Total Investments
excluding Financial
Fund
%
0.01
5.04
0.00
35,117
5.05
1,416
0.20
36,533
5.25
686,461
98.65
Notional
Amount
USD ‘000
15,484
Average
Cost Price
USD
798.16
Unrealised
Gain (Loss)
USD ‘000
Fund
%
388 of MSCI Emerging Markets Mini Futures
Expiring June 2016 ...........................................................................................................
693
0.10
(3,830)
(32.60) 1,175 of BIST 30 Index Futures
Expiring April 2016 ..........................................................................................................
(425)
(0.06)
12,170
0.21 116 of KOSPI Index Futures
Expiring June 2016 ...........................................................................................................
327
0.05
12,346
320.69 385 of MSCI Taiwan Index Futures
Expiring April 2016 ..........................................................................................................
51
0.01
1,071
0.16
(425)
(0.06)
646
0.10
31 March 2016
Settlement
Date
Amount
Bought ‘000
Amount
Sold ‘000
15/06/2016
KRW
10,827,000 USD
8,934
15/06/2016
TRY
200 USD
68
15/06/2016
TRY
9,900 USD
3,305
15/06/2016
USD
592 KRW
700,000
15/06/2016
USD
8,005 TRY
23,939
Total Financial Derivative Instruments ............................................................................
Unrealised
Gain (Loss)
USD ‘000
Fund
%
517
1
140
(19)
(326)
658
(345)
313
959
Fair Value
USD ‘000
0.07
0.00
0.02
0.00
(0.05)
0.09
(0.05)
0.04
0.14
Fund
%
Total Financial Assets at Fair Value through Profit or Loss
688,190
98.90
(98.90%) .......................................................................................................................................................
(770)
(0.11)
Loss ((0.11)%) .............................................................................................................................................
687,420
98.79
(98.79%) ....................................................................................................................................................
8,424
1.21
Other Net Assets (1.21%) ........................................................................................................................
695,844
100.00
Net Assets ..................................................................................................................................................
Abbreviation used:
ADR - American Depository Receipt
GDR - Global Depository Receipt
NVDR – Non – Voting Depository Receipt
* Equity Linked Note (ELN). The first named entity is the issuer of the ELN and the underlying entity of the ELN follows in brackets.
** Held as collateral by brokers and counterparties in respect of the financial derivative instruments held by the Fund.
% of
gross assets
Transferable securities admitted to an official stock exchange listing ......................................................................
Other transferable securities of the type referred to in Regulation 68(1)(a), (b) and (c) ..........................................
Money market instruments ........................................................................................................................................
Investment funds (UCITS) .......................................................................................................................................
Exchange traded financial derivative instruments ....................................................................................................
Over the counter financial derivative instruments ....................................................................................................
Other assets ...............................................................................................................................................................
91.76
0.15
0.34
5.19
0.15
0.09
2.32
100.00
The broker for the open futures contracts is Goldman Sachs.
Bank of America
State Street Bank
31 March 2016
As at 31 March 2016
Level 1
USD ‘000
Assets
Transferable securities ............................................................... 631,844
1,416
Unrealised gain on open futures contracts ...................................
1,071
contracts ......................................................................................
Total assets ...................................................................................... 634,331
Liabilities
Unrealised loss on open futures contracts ...................................
contracts ......................................................................................
Level 2
USD ‘000
Level 3
USD ‘000
Total
USD ‘000
13,946
2,399
35,117
-
1,739
-
647,529
2,399
36,533
1,071
658
52,120
1,739
658
688,190
(425)
-
-
(425)
(425)
(345)
(345)
-
(345)
(770)
As at 31 March 2015
Level 1
USD ‘000
Assets
Investment funds.........................................................................
2,730
Unrealised gain on open futures contracts ...................................
1,720
contracts ......................................................................................
Total assets ...................................................................................... 739,323
Liabilities
Unrealised loss on open futures contracts ...................................
contracts ......................................................................................
Level 2
USD ‘000
Level 3
USD ‘000
Total
USD ‘000
28,422
53,302
-
711
-
764,006
56,032
1,720
901
82,625
711
901
822,659
(395)
-
-
(395)
(395)
(503)
(503)
-
(503)
(898)
Listed below are the 20 largest cumulative investment purchases and sales during the year ended 31 March 2016
Acquisition Cost
USD ‘000
Tencent Holdings Ltd
Samsung Electronics Co Ltd
China Construction Bank Corp
Alibaba Group Holding Ltd ADR
China Mobile Ltd
Ping An Insurance Group Co of China Ltd
Naspers Ltd
Hero MotoCorp Ltd
Taiwan Semiconductor Manufacturing Co
Ltd
LG Household & Health Care Ltd
Hon Hai Precision Industry Co Ltd
China Overseas Land & Investment Ltd
Dongfeng Motor Group Co Ltd
Catcher Technology Co Ltd
Taiwan Semiconductor Manufacturing Co Ltd ADR
SK Hynix Inc
Bank of China Ltd
CLSA Global Markets PTE
PetroChina Co Ltd
390,451
14,861
12,572
10,081
7,792
7,574
6,056
6,030
5,542
5,453
5,373
5,214
4,845
4,774
4,657
4,518
4,517
4,145
4,097
4,032
China Construction Bank Corp
Tencent Holdings Ltd
Bank of China Ltd
Industrial & Commercial Bank of China Ltd
OTP Bank Plc
Pacific Textiles Holdings Ltd
China Merchants Bank Co Ltd
Man Wah Holdings Ltd
Largan Precision Co Ltd
China Telecom Corp Ltd
AAC Technologies Holdings Inc
Tata Motors Ltd ADR
CNOOC Ltd
Lenovo Group Ltd
Bank of Communications Co Ltd
CLSA Global Markets PTE
ZTE Corp
Disposal Proceeds
USD ‘000
(408,553)
(9,409)
(9,313)
(8,429)
(7,318)
(6,416)
(6,015)
(5,195)
(4,828)
(4,662)
(4,578)
(4,577)
(4,521)
(4,463)
(4,457)
(4,424)
(4,358)
(4,262)
(4,213)
(4,108)
Manager’s Report
Fidelity Investments International Limited
Pioneer Investments
Western Asset Management
The investment objective of Russell Euro Fixed Income Fund (the “Fund”) is to provide income and capital growth by investing
primarily in Euro denominated transferable debt instruments, which include, but are not limited to, municipal and government
bonds, agency debt (being that issued by local authorities or public international bodies of which one or more States is a
member), mortgage related debt and corporate debt that are listed, traded or dealt in on a regulated market in the Organisation for
Economic Co-operation and Development (“OECD”) and which may have fixed or floating interest rates.
Fund Performance
During the year ended 31 March 2016, Russell Euro Fixed Income Fund (Class B) returned 0.1 per cent on a gross of fee basis
(-0.8 per cent on a net of fee basis), while the benchmark* returned 0.7 per cent.
Market Comment
The benchmark slipped by 4.3 per cent in the second quarter of 2015. The fluctuating progress of Greek debt negotiations
dominated market direction, particularly towards the end of the quarter. Numerous meetings and emergency summits between the
country and its International Monetary Fund (IMF) and European creditors failed to conclude an agreement. Greece eventually
missed the deadline for its bundle of IMF payments at the very end of June. This increased uncertainty surrounding a default and
the country’s place within the Eurozone weighed on market sentiment. Earlier in the quarter, investors reacted positively to
European Central Bank (ECB) signals. The Central Bank remained committed to seeing out its quantitative easing programme to
September 2016 and temporarily increased its purchase of government bonds ahead of predicted low liquidity in the summer
months. However, the ECB President Mario Draghi commented that bond investors should “get used to” volatility as a by-product
of a long period of low yields. Government bond yields were broadly higher over the quarter. The 10 year German bund yield
increased sharply to 0.76 per cent from 0.17 per cent, as overbought positions reverted from historically low levels on improving
Eurozone economic activity. Unsurprisingly, periphery 10 year government bond yields increased sharply over the quarter owing
to faltering negotiations between Greece and creditors over reform terms. French yields increased to 1.20 per cent from 0.48 per
cent while Italy’s increased to 2.33 per cent from 1.24 per cent, Portugal’s surged to 3.00 per cent from 1.69 per cent and Spain’s
climbed to 2.30 per cent from 1.21 per cent. The U.K.’s 10 year gilt yield climbed from 1.58 per cent to 2.02 per cent over the
quarter, while the U.S. 10 year Treasury yield rose to 2.35 per cent from 1.92 per cent.
The benchmark rose by 1.8 per cent in the third quarter. Market gyrations characterised the period, as investor anxiety drove a
broad based sell off in risk, which subsequently abated and experienced a degree of recovery. China’s devaluation of its currency,
amid slowing growth, took centre stage as it ignited a selloff, with ongoing uncertainty about whether the U.S. Federal Reserve
(the “Fed”) would hike its policy rate in September (for the first time in a decade), continuing to vex investors. Earlier in the
quarter, the Greece crisis and subsequent resolution dominated investor attention. Meanwhile, the ECB committed itself to
continued accommodative policies. The market climbed after the ECB President Draghi stated that quantitative easing in the
Eurozone may be extended beyond the current September 2016 end date. Eurozone country yields were more stable after a new
bailout deal was agreed with Greece and with the re-election of Alexis Tsipras as Greece’s Prime Minister. In a contrast to the
second-quarter, yields slipped lower this quarter. The yields in both Germany and France declined, falling 18 basis points (bps) to
0.59 per cent and 21 bps to 0.99 per cent, respectively. European peripheral countries (Spain, Italy, Portugal, Greece and Ireland)
also saw yields fall over the period. Meanwhile, the U.K.’s 10-year gilt yield declined 26 bps to 1.76 per cent, where it stood at
the start of 2015. In the U.S., the benchmark 10 year Treasury yield declined 32 bps to 2.04 per cent, the seventh biggest fall in
yields in the last 10 years.
The benchmark climbed by 0.5 per cent in the final quarter of 2015, despite slipping lower in December. In contrast to the U.S.,
where the Fed finally raised its benchmark interest rate, a more dovish environment remained in Europe. However, the ECB’s
much anticipated December policy action disappointed investors’ high expectations, which had been priced into the market in the
preceding months on President Draghi’s dovish signals. The Central Bank made fewer changes than expected to its monetary
policy, cutting its deposit rate to -0.3 per cent and extending quantitative easing until March 2017 from the original September
2016 end date. Notably, this did not include an increase in the monthly amount purchased. The 10 year yield in Germany was
slightly higher this quarter, up 4 bps to 0.63 per cent. Portugal and Belgium’s 10 year yields also increased (+12 bps to 2.50 per
cent and +6 bps to 0.97 per cent, respectively). In contrast, yields in both Italy (-13 bps to 1.59 per cent) and Spain (-12 bps to
1.77 per cent) decreased. Elsewhere, the U.K.’s 10 year gilt yield climbed 20 bps to 1.96 per cent. In the U.S., the benchmark 10
year Treasury yield gained 23 bps to 2.27 per cent.
50 Russell Euro Fixed Income Fund
The benchmark rose by 3.0 per cent in the first quarter of 2016. Having signaled in January that further supportive stimulus was
forthcoming, the ECB introduced a raft of new accommodative stimulus measures in March. The Central Bank reduced its main
refinancing rate to 0.0 per cent, cut its deposit facility rate to -0.4 per cent and also reduced its marginal lending facility rate to
0.25 per cent from 0.30 per cent. Quantitative easing was expanded by EUR 20 billion a month to EUR 80 billion to also include
the purchase of investment-grade corporate bonds. In addition, the ECB initiated another targeted longer-term refinancing
operation (TLTRO II). The provision of cheap liquidity to banks, at a rate as low as the deposit facility, appears to offset the
impact of negative interest rates. More accommodative central bank policy pushed yields in both Germany and France lower by
48 bps to 0.15 per cent and 50 bps to 0.49 per cent, respectively. Yields also declined in Belgium (-46 bps to 0.51 per cent), Spain
(-33 bps to 1.43 per cent) and Italy (-37 bps to 1.22 per cent). Meanwhile, Portugal’s yield increased 43 bps to 2.93 per cent.
Elsewhere, the U.K.’s benchmark 10 year gilt declined 55 bps to 1.42 per cent. In the U.S., the benchmark 10 year Treasury
rallied with its yield decreasing 50 bps to 1.77 per cent.
The Fund underperformed the benchmark over the quarter the second quarter of 2015, with all three Money Managers finishing
behind the benchmark. While an overweight to financials was rewarded, an underweight to government-related issues proved
detrimental. A duration and peripheral overweight detracted from performance as yields moved higher over the quarter. From a
quality perspective, while an underweight to AA-rated issues was rewarded, an overweight to AAA, A and BBB-rated issues
detracted.
The Fund underperformed the benchmark over the third quarter of 2015, with all three Money Managers finishing behind the
benchmark. Underperformance was driven by negative credit positioning, primarily the overweights to Investment Grade (IG)
financials and corporate high yield. However, a duration and peripheral overweight added to performance as yields moved lower
over the quarter. We expect continued positive rhetoric and action from the ECB to provide support to European bond markets.
The Fund outperformed the benchmark in the fourth quarter of 2015. Credit positioning was a key driver of excess returns, having
detracted over the previous quarter. This included the overweights to IG financials and corporate high yield. An underweight to
the Euro underpinned gains. Individual stock selection marginally added to relative returns.
The Fund performed in line with the benchmark in the first quarter of 2016. On the sector side an overweight to IG financials was
negative but an overweight to corporate high yield was additive. Country allocation was positive; driven by overweights to
Belgium and Italy. At the Money Manager level, Pioneer Investments suffered from a short duration position in its first full
quarter within the Fund. In contrast, both Fidelity Investments International Limited and Western Asset Management
outperformed.
Outlook
higher risks for Emerging Markets. These elements all contribute to a less supportive environment for equities. That said, we’re
not forecasting a sustained bear market, provided the U.S. does not fall into recession. Right now we see recession as a low
probability over the next several years. It’s true we’re deep into the current business cycle, but we’re not seeing excesses in the
U.S. economy that could trigger recession.
* Benchmark Source: Citigroup EuroBig Index
May 2016
Russell Euro Fixed Income Fund 51
Balance Sheet
As at 31 March 2016
31 March 2016
EUR ‘000
Assets
Financial assets at fair value through profit or loss (Note 2) ..................................................
Cash at bank (Note 3) ...............................................................................................................
(Note 3) .....................................................................................................................................
Debtors:
Interest receivable .................................................................................................................
Prepayments and other assets ................................................................................................
Liabilities
Financial liabilities at fair value through profit or loss (Note 2) ...............................................
Bank overdraft .......................................................................................................................
Distributions payable on income share classes ......................................................................
Net assets attributable to redeemable participating shareholders .....................................
31 March 2015
EUR ‘000
291,926
240,988
209
2,346
1,126
775
7,475
104
2,770
7
303,617
207
116
2,326
21
246,779
(3,400)
(1,141)
(1,025)
(5,849)
(100)
(583)
(182)
(4)
(18)
(12)
(22) (36,600)
(11,195)
292,422
(200)
(751)
(431)
(142)
(3)
(8)
(10)
(22)
(4)
(2,712)
244,067
2016
EUR ‘000
2015
EUR ‘000
Income
Interest income .............................................................................................................
4,446
4,350
(15,059)
35,565
(10,613)
39,915
Expenses
Audit fees (Note 6) .......................................................................................................
Other fees .....................................................................................................................
Total operating expenses ..............................................................................................
(2,138)
(25)
(92)
(129)
(21)
(35)
(22)
(2,462)
(1,463)
(16)
(53)
(89)
(22)
(16)
(21)
(1,680)
(13,075)
38,235
Finance costs
Distributions (Note 8) ....................................................................................................
Profit (loss) for the financial year before taxation .....................................................
(4,619)
(17,694)
(3,741)
34,494
Taxation
Withholding tax (Note 9) ..............................................................................................
-
(3)
(17,694)
34,491
Account.
2016
EUR ‘000
2015
EUR ‘000
(17,694)
34,491
Share transactions
2,163
1,743
63,886
(5,141)
48,355
31,093
244,067
212,974
End of year ...................................................................................................................
292,422
244,067
31 March 2016
Principal
Amount
EUR
Fair Value
EUR ‘000
Fund
%
Principal
Amount
100,000
0.375% due 01/09/22
KBC Groep NV
1,100,000 1.875% due 11/03/27
Solvay SA
100,000 1.625% due 02/12/22
100,000 2.750% due 02/12/27
91.41%)
Australia (0.46%)
BHP Billiton Finance Ltd
580,000 1.500% due 29/04/30 .......
552 0.19
Commonwealth Bank of
Australia
530,000 2.000% due 22/04/27 .......
508 0.18
National Australia Bank Ltd
250,000 1.875% due 13/01/23 .......
274 0.09
1,334
410,000
510,000
420,000
200,000
50,000
100,000
100,000
58,000
400,000
1,092,000
300,000
490,000
567,000
710,000
12,330,000
450,000
5,670,000
530,000
390,000
390,000
310,000
730,000
300,000
100,000
350,000
300,000
200,000
Austria (0.79%)
Austria Government Bond
4.300% due 15/09/17 .......
3.650% due 20/04/22 .......
4.850% due 15/03/26 .......
4.150% due 15/03/37 .......
3.800% due 26/01/62 .......
Erste Group Bank AG
7.125% due 10/10/22 .......
0.625% due 19/01/23 .......
Belgium (10.52%)
Anheuser-Busch InBev
SA/NV
0.625% due 17/03/20 .......
0.875% due 17/03/22 .......
1.500% due 17/03/25 .......
2.000% due 17/03/28 .......
1.500% due 18/04/30 .......
2.750% due 17/03/36 .......
Belgium Government Bond
1.250% due 22/06/18 .......
3.000% due 28/09/19 .......
3.750% due 28/09/20 .......
2.250% due 22/06/23 .......
2.600% due 22/06/24 .......
4.500% due 28/03/26 .......
4.000% due 28/03/32 .......
4.250% due 28/03/41 .......
3.750% due 22/06/45 .......
Eandis CVBA
1.750% due 04/12/26 .......
Elia System Operator
SA/NV
3.250% due 04/04/28 .......
European Union
2.750% due 04/04/22 .......
0.625% due 04/11/23 .......
KBC Bank NV
0.450% due 22/01/22 .......
0.46
438
626
603
317
93
0.15
0.21
0.21
0.11
0.03
121
102
0.04
0.04
2,300
0.79
0.02
0.14
0.38
0.11
0.16
0.21
737
13,786
532
6,578
634
546
567
508
1,145
0.25
4.71
0.18
2.25
0.22
0.19
0.19
0.17
0.39
317
0.11
120
0.04
410
312
0.14
0.11
203
0.07
Fund
%
......
101
0.03
......
1,077
0.37
......
......
103
108
0.04
0.04
30,767 10.52
BRL
Brazil (0.17%)
Nacional Serie B
748,000 6.000% due 15/08/50 ......
502
0.17
EUR
Canada (0.19%)
Canadian Imperial Bank of
Commerce
530,000 1.250% due 07/08/18 ......
547
0.19
Denmark (0.23%)
Danske Bank A/S
370,000 0.500% due 06/05/21 ......
280,000 3.875% due 04/10/23 ......
370
298
0.13
0.10
668
0.23
314
0.11
862
582
276
0.29
0.20
0.09
205
0.07
102
0.04
100
0.03
2,441
0.83
216
0.07
302
0.10
219
0.07
222
100
200
0.08
0.03
0.07
110
0.04
292,000
59
405
1,123
313
478
605
Fair Value
EUR ‘000
750,000
490,000
220,000
200,000
100,000
100,000
200,000
300,000
200,000
200,000
100,000
200,000
100,000
Finland (0.83%)
Elenia Finance OYJ
2.875% due 17/12/20 ......
Finland Government Bond
3.375% due 15/04/20 ......
3.500% due 15/04/21 ......
2.750% due 04/07/28 ......
OP Mortgage Bank
0.625% due 04/09/22 ......
Sampo OYJ
1.125% due 24/05/19 ......
SATO OYJ
2.375% due 24/03/21 ......
France (15.05%)
Accor SA
2.625% due 05/02/21 ......
Agence Francaise de
Developpement
0.125% due 31/03/21 ......
Air Liquide Finance SA
2.125% due 15/10/21 ......
AXA SA
5.250% due 16/04/40 ......
3.375% due 06/07/47 ......
3.875%* ..........................
Banque Federative du Credit
Mutuel SA
2.625% due 24/02/21 ......
31 March 2016
Principal
Amount
100,000
USD
55,000
EUR
100,000
200,000
100,000
100,000
500,000
200,000
100,000
400,000
220,000
300,000
100,000
100,000
100,000
300,000
400,000
200,000
200,000
200,000
100,000
370,000
300,000
400,000
200,000
600,000
100,000
1,430,000
1,640,000
2,200,000
8,800,000
Fair Value
EUR ‘000
1.625% due 19/01/26 .......
Banque PSA Finance SA
5.750% due 04/04/21 .......
BNP Paribas Home Loan
SFH SA
1.375% due 17/06/20 .......
3.125% due 22/03/22 .......
BPCE SA
2.000% due 24/04/18 .......
0.625% due 20/04/20 .......
2.750% due 30/11/27 .......
12.500% * ........................
Bureau Veritas SA
3.125% due 21/01/21 .......
Caisse d'Amortissement de
la Dette Sociale
0.500% due 25/05/23 .......
2.375% due 25/01/24 .......
Caisse de Refinancement de
l'Habitat SA
3.600% due 08/03/24 .......
Casino Guichard Perrachon
SA
4.726% due 26/05/21 .......
3.311% due 25/01/23 .......
3.248% due 07/03/24 .......
Council Of Europe
Development Bank
0.375% due 27/10/22 .......
0.750% due 09/06/25 .......
Credit Agricole Home Loan
SFH SA
0.375% due 24/03/23 .......
0.625% due 11/09/23 .......
Credit Agricole SA
4.000% due 29/06/21 .......
0.875% due 19/01/22 .......
2.625% due 17/03/27 .......
Credit Mutuel - CIC Home
Loan SFH
2.500% due 11/09/23 .......
Electricite de France SA
3.875% due 18/01/22 .......
4.250% * ..........................
Engie SA
1.000% due 13/03/26 .......
Faurecia
3.125% due 15/06/22 .......
France Government Bond
OAT
4.250% due 25/10/18 .......
3.750% due 25/10/19 .......
3.500% due 25/04/20 .......
2.500% due 25/10/20 .......
Fund
%
104
0.04
51
0.02
106
236
0.04
0.08
104
101
508
262
0.04
0.03
0.17
0.09
108
0.04
410
257
0.14
0.09
376
0.13
113
103
101
0.04
0.03
0.03
Principal
Amount
200,000
100,000
100,000
97,000
100,000
130,000
300,000
90,000
300,000
308
416
0.11
0.14
100,000
300,000
202
205
0.07
0.07
232
102
369
0.08
0.03
0.13
348
0.12
474
200
0.16
0.07
600
0.20
99
0.03
1,601
1,879
2,540
9,896
0.55
0.64
0.87
3.38
1,110,000
2,290,000
4,250,000
530,000
315,000
960,000
2,710,000
100,000
100,000
300,000
400,000
100,000
200,000
100,000
140,000
100,000
300,000
200,000
800,000
Fair Value
EUR ‘000
2.250% due 25/10/22 ......
1.750% due 25/11/24 ......
1.000% due 25/11/25 ......
2.750% due 25/10/27 ......
5.750% due 25/10/32 ......
4.000% due 25/10/38 ......
3.250% due 25/05/45 ......
Gecina SA
2.000% due 17/06/24 ......
HSBC SFH France SA
2.000% due 16/10/23 ......
La Banque Postale Home
Loan SFH
1.875% due 11/09/20 ......
Lafarge SA
4.750% due 23/03/20 ......
Pernod Ricard SA
2.125% due 27/09/24 ......
RCI Banque SA
1.125% due 30/09/19 ......
Renault SA
3.625% due 19/09/18 ......
3.125% due 05/03/21 ......
SA de Gestion de Stocks de
Securite
0.625% due 25/05/23 ......
Sanofi
0.875% due 22/09/21 ......
SCOR SE
3.000% due 08/06/46 ......
Societe Des Autoroutes
Paris-Rhin-Rhone
1.500% due 15/01/24 ......
Societe Generale SA
0.750% due 19/02/21 ......
Societe Generale SFH SA
2.875% due 14/03/19 ......
UNEDIC
0.300% due 04/11/21 ......
0.875% due 25/10/22 ......
0.625% due 17/02/25 ......
1.250% due 21/10/27 ......
Unibail-Rodamco SE
1.375% due 09/03/26 ......
Valeo SA
1.625% due 18/03/26 ......
Veolia Environnement
SA
1.590% due 10/01/28 ......
6.125% due 25/11/33 ......
Wendel SA
5.875% due 17/09/19 ......
Fund
%
1,275
2,584
4,487
656
548
1,485
3,923
0.44
0.88
1.53
0.22
0.19
0.51
1.34
210
0.07
112
0.04
108
0.04
112
0.04
107
0.04
134
0.05
324
100
0.11
0.03
307
0.10
103
0.04
294
0.10
105
0.04
101
0.03
327
0.11
406
105
204
106
0.14
0.04
0.07
0.04
143
0.05
102
0.03
308
320
0.11
0.11
936
0.32
31 March 2016
Principal
Amount
200,000
Fair Value
EUR ‘000
2.750% due 02/10/24 .......
Fund
%
204
0.07
44,016 15.05
200,000
200,000
2,960,000
150,000
1,700,000
150,000
4,200,000
650,000
950,000
960,000
690,000
101,000
550,000
45,000
1,553,105
100,000
400,000
380,000
250,000
200,000
150,000
500,000
550,000
300,000
110,000
780,000
Germany (7.33%)
Allianz SE
2.241% due 07/07/45 .......
4.750% * ..........................
Bundesobligation
Zero Coupon due
17/04/20 ...........................
0.250% due 16/10/20 .......
Bundesrepublik
Deutschland
3.000% due 04/07/20 .......
2.250% due 04/09/20 .......
1.000% due 15/08/24 .......
0.500% due 15/02/26 .......
5.500% due 04/01/31 .......
3.250% due 04/07/42 .......
2.500% due 15/08/46 .......
Commerzbank
AG
4.000% due 23/03/26 .......
Covestro AG
1.750% due 25/09/24 .......
Daimler AG
0.500% due 09/09/19 .......
Deutsche Bundesrepublik
Inflation Linked Bond
0.500% due 15/04/30 .......
Hella KGaA Hueck & Co
2.375% due 24/01/20 .......
KFW
0.625% due 04/07/22 .......
0.375% due 15/03/23 .......
0.625% due 15/01/25 .......
0.375% due 23/04/30 .......
1.250% due 04/07/36 .......
Muenchener
RueckversicherungsGesellschaft AG in
Muenchen
6.250% due 26/05/42 .......
ProSiebenSat.1 Media
SE
2.625% due 15/04/21 .......
RWE AG
2.750% due 21/04/75 .......
Volkswagen Bank GmbH
1.125% due 08/02/18 .......
WPP Finance Deutschland
GmbH
1.625% due 23/03/30 .......
189
217
Principal
Amount
Hong Kong (0.03%)
Dongfeng Motor Hong Kong
International Co Ltd
100,000 1.600% due 28/10/18 ......
0.06
0.07
700,000
3,011
154
1.03
0.05
1,949
168
4,566
672
1,633
1,523
997
0.67
0.06
1.56
0.23
0.56
0.52
0.34
103
0.04
568
0.19
45
0.02
1,811
0.62
107
0.04
100,000
150,000
200,000
130,000
750,000
850,000
350,000
418
391
258
190
157
0.14
0.13
0.09
0.07
0.05
Fair Value
EUR ‘000
190,000
450,000
370,000
950,000
1,210,000
1,200,000
200,000
112,000
100,000
400,000
100,000
614
0.21
300,000
581
0.20
138,000
250
0.09
200,000
320,000
111
0.04
740
0.25
21,423
7.33
886,000
100,000
700,000
Ireland (2.92%)
Allied Irish Banks Plc
2.750% due 16/04/19 ......
Bank of Ireland
1.250% due 09/04/20 ......
CRH Finance LTD
3.125% due 03/04/23 ......
DAA Finance Plc
6.587% due 09/07/18 ......
FCA Capital Ireland Plc
4.000% due 17/10/18 ......
2.625% due 17/04/19 ......
1.250% due 23/09/20 ......
GE Capital European
Funding Unlimited Co
5.375% due 23/01/20 ......
Ireland Government Bond
5.500% due 18/10/17 ......
5.000% due 18/10/20 ......
3.400% due 18/03/24 ......
1.000% due 15/05/26 ......
2.400% due 15/05/30 ......
2.000% due 18/02/45 ......
Ryanair Ltd
1.875% due 17/06/21 ......
Italy (17.48%)
Assicurazioni Generali SpA
2.875% due 14/01/20 ......
4.125% due 04/05/26 ......
7.750% due 12/12/42 ......
Autostrade per l'Italia SpA
1.625% due 12/06/23 ......
Banca Popolare di Milano
Scarl
0.875% due 14/09/22 ......
Banca Popolare di Sondrio
Scarl
0.750% due 04/04/23 ......
Cassa Depositi e Prestiti SpA
2.375% due 12/02/19 ......
2.750% due 31/05/21 ......
Davide Campari-Milano
SpA
4.500% due 25/10/19 ......
Intesa Sanpaolo SpA
3.750% due 25/09/19 ......
1.125% due 04/03/22 ......
Fund
%
101
0.03
737
0.25
101
0.04
172
0.06
229
0.08
140
787
851
0.05
0.27
0.29
418
0.14
207
552
453
975
1,413
1,291
0.07
0.19
0.16
0.33
0.48
0.44
212
0.07
8,538
2.92
122
108
482
0.04
0.04
0.16
104
0.04
304
0.10
139
0.05
212
354
0.07
0.12
973
0.33
113
697
0.04
0.24
31 March 2016
Principal
Amount
100,000
100,000
1,620,000
1,010,000
1,800,000
2,100,000
3,350,000
870,000
500,000
15,790,000
1,000,000
2,160,000
1,140,000
492,105
980,000
2,880,000
2,700,000
290,000
700,000
700,000
Fair Value
EUR ‘000
3.625% due 05/12/22 .......
0.625% due 23/03/23 .......
Italy Buoni Poliennali Del
Tesoro
4.750% due 01/06/17 .......
0.750% due 15/01/18 .......
4.500% due 01/03/19 .......
4.000% due 01/09/20 .......
0.450% due 01/06/21 .......
1.350% due 15/04/22 .......
1.450% due 15/09/22 .......
4.500% due 01/03/24 .......
2.500% due 01/12/24 .......
2.000% due 01/12/25 .......
5.250% due 01/11/29 .......
1.250% due 15/09/32 .......
5.000% due 01/09/40 .......
3.250% due 01/09/46 .......
2.700% due 01/03/47 .......
UniCredit SpA
2.750% due 31/01/20 .......
6.950% due 31/10/22 .......
2.000% due 04/03/23 .......
Fund
%
121
101
0.04
0.03
1,710
1,024
2,033
2,448
3,361
910
525
20,035
1,116
2,314
1,642
524
1,481
3,448
2,890
0.59
0.35
0.70
0.84
1.15
0.31
0.18
6.85
0.38
0.79
0.56
0.18
0.51
1.18
0.99
320
792
712
0.11
0.27
0.24
51,115 17.48
170,000
USD
110,000
EUR
560,000
300,000
560,000
500,000
440,000
360,000
230,000
935,000
350,000
300,000
750,000
340,000
Atrium European Real Estate
Ltd
3.625% due 17/10/22 .......
Delphi Automotive Plc
3.150% due 19/11/20 .......
UBS Group Funding Jersey
Ltd
1.750% due 16/11/22 .......
2.125% due 04/03/24 .......
Luxembourg (3.11%)
Alpha Trains Finance SA
2.064% due 30/06/30 .......
Eurofins Scientific SE
3.375% due 30/01/23 .......
European Financial Stability
Facility
0.500% due 20/01/23 .......
0.200% due 28/04/25 .......
European Investment Bank
0.500% due 15/11/23 .......
4.125% due 15/04/24 .......
0.125% due 15/04/25 .......
3.500% due 15/04/27 .......
1.125% due 15/09/36 .......
European Stability
Mechanism
2.125% due 20/11/23 .......
178
0.06
99
0.03
568
305
0.19
0.11
1,150
0.39
Principal
Amount
350,000
200,000
770,000
900,000
450,000
1,000,000
100,000
530,000
100,000
100,000
USD
EUR
250,000
100,000
1,000,000
150,000
100,000
120,000
140,000
300,000
520
0.18
500
0.17
300,000
170,000
455
356
0.15
0.12
237
1,238
345
397
763
0.08
0.42
0.12
0.14
0.26
392
0.13
660,000
144,000
100,000
130,000
100,000
800,000
200,000
510,000
133,000
Fair Value
EUR ‘000
1.000% due 23/09/25 ......
0.500% due 02/03/26 ......
Glencore Finance Europe SA
1.750% due 17/03/25 ......
Grand City Properties SA
1.500% due 17/04/25 ......
Hannover Finance
Luxembourg SA
5.750% due 14/09/40 ......
HeidelbergCement Finance
Luxembourg SA
8.500% due 31/10/19 ......
Holcim US Finance Sarl &
Cie SCS
2.625% due 07/09/20 ......
Mexico (0.53%)
America Movil SAB de CV
1.000% due 04/06/18 ......
1.500% due 10/03/24 ......
2.125% due 10/03/28 ......
Petroleos Mexicanos
5.500% due 24/02/25 ......
6.375% due 23/01/45 ......
Netherlands (8.29%)
ABN Amro Bank NV
4.750% due 11/01/19 ......
6.375% due 27/04/21 ......
7.125% due 06/07/22 ......
2.500% due 05/09/23 ......
2.375% due 23/01/24 ......
1.000% due 16/04/25 ......
2.875% due 30/06/25 ......
Allianz Finance II BV
5.750% due 08/07/41 ......
Bank Nederlandse
Gemeenten NV
0.250% due 22/02/23 ......
BAT Netherlands Finance
BV
3.125% due 06/03/29 ......
Coca-Cola HBC Finance BV
2.375% due 18/06/20 ......
1.875% due 11/11/24 ......
Cooperatieve Rabobank UA
4.750% due 15/01/18 ......
6.875% due 19/03/20 ......
4.000% due 11/01/22 ......
3.875% due 25/07/23 ......
1.250% due 23/03/26 ......
Fund
%
371
202
0.13
0.07
581
0.20
860
0.29
525
0.18
1,243
0.43
108
0.04
9,093
3.11
537
100
100
0.18
0.04
0.03
699
118
0.24
0.04
1,554
0.53
282
120
1,260
174
116
120
143
0.10
0.04
0.43
0.06
0.04
0.04
0.05
347
0.12
301
0.10
201
0.07
107
135
0.04
0.05
108
946
238
577
134
0.04
0.32
0.08
0.20
0.05
31 March 2016
Principal
Amount
230,000
50,000
650,000
680,000
GBP
200,000
190,000
EUR
100,000
100,000
100,000
140,000
140,000
350,000
140,000
360,000
300,000
500,000
680,000
400,000
1,550,000
3,070,000
3,950,000
160,000
320,000
170,000
578,000
200,000
100,000
270,000
440,000
Fair Value
EUR ‘000
Deutsche Telekom
International Finance BV
1.500% due 03/04/28 .......
7.500% due 24/01/33 .......
EDP Finance BV
2.625% due 15/04/19 .......
2.375% due 23/03/23 .......
Enel Finance International
NV
5.000% due 14/09/22 .......
5.625% due 14/08/24 .......
Ferrari NV
1.500% due 16/03/23 .......
Gas Natural Fenosa Finance
BV
1.375% due 21/01/25 .......
Iberdrola International BV
1.750% due 17/09/23 .......
ING Bank NV
0.700% due 16/04/20 .......
1.875% due 22/05/23 .......
6.125% due 29/05/23 .......
Koninklijke KPN NV
3.750% due 21/09/20 .......
5.625% due 30/09/24 .......
Nederlandse
Waterschapsbank NV
0.500% due 19/01/23 .......
Netherlands Government
Bond
0.500% due 15/04/17 .......
1.250% due 15/01/18 .......
1.250% due 15/01/19 .......
0.250% due 15/01/20 .......
1.750% due 15/07/23 .......
0.500% due 15/07/26 .......
5.500% due 15/01/28 .......
4.000% due 15/01/37 .......
3.750% due 15/01/42 .......
Petrobras Global Finance
BV
5.875% due 07/03/22 .......
Repsol International Finance
BV
3.875% * ..........................
Roche Finance Europe
BV
0.875% due 25/02/25 .......
RWE Finance BV
3.000% due 17/01/24 .......
Shell International Finance
BV
1.875% due 15/09/25 .......
Fund
%
235
89
0.08
0.03
Principal
Amount
300,000
100,000
686
696
0.23
0.24
255
287
0.09
0.10
99
0.03
102
0.04
107
0.04
141
156
384
0.05
0.05
0.13
160
481
0.05
0.16
306
0.10
505
701
419
1,587
3,466
4,007
253
518
283
0.17
0.24
0.14
0.54
1.19
1.37
0.09
0.18
0.10
482
0.16
177
0.06
103
0.04
301
0.10
100,000
200,000
365,000
300,000
100,000
0.16
Swiss Reinsurance Co via
ELM BV
2.600% * .........................
Telefonica Europe BV
6.500% * .........................
Teva Pharmaceutical
Finance Netherlands II BV
1.875% due 31/03/27 ......
Vonovia Finance BV
1.625% due 15/12/20 ......
2.125% due 09/07/22 ......
1.500% due 31/03/25 ......
4.000% * .........................
Norway (0.23%)
DNB Boligkreditt AS
350,000 2.750% due 21/03/22 ......
Statoil ASA
270,000 1.250% due 17/02/27 ......
Portugal (0.04%)
Brisa Concessao Rodoviaria
SA
100,000 3.875% due 01/04/21 ......
200,000
200,000
300,000
200,000
300,000
200,000
300,000
200,000
500,000
200,000
100,000
500,000
474
Fair Value
EUR ‘000
300,000
Spain (8.51%)
Banco Bilbao Vizcaya
Argentaria SA
0.750% due 20/01/22 ......
0.625% due 18/03/23 ......
Banco Popular Espanol
SA
0.875% due 28/09/21 ......
1.000% due 03/03/22 ......
Banco Santander SA
0.750% due 09/09/22 ......
6.250% * .........................
Bankinter SA
0.875% due 03/08/22 ......
BBVA Subordinated Capital
SAU
3.500% due 11/04/24 ......
FADE - Fondo de
Amortizacion del Deficit
Electrico
1.875% due 17/09/17 ......
0.850% due 17/09/19 ......
5.900% due 17/03/21 ......
Instituto de Credito Oficial
4.375% due 20/05/19 ......
Kutxabank SA
1.750% due 27/05/21 ......
Fund
%
284
0.10
106
0.04
96
0.03
207
389
302
99
0.07
0.13
0.10
0.03
24,252
8.29
402
0.14
269
0.09
671
0.23
112
0.04
205
203
0.07
0.07
308
206
0.11
0.07
308
180
0.11
0.06
307
0.11
206
0.07
513
203
126
0.18
0.07
0.04
564
0.19
322
0.11
31 March 2016
Principal
Amount
200,000
300,000
1,100,000
1,820,000
4,000,000
520,000
3,650,000
3,575,000
280,000
950,000
510,000
1,200,000
500,000
350,000
125,000
110,000
200,000
200,000
SEK
8,470,000
EUR
155,000
200,000
180,000
1,000,000
140,000
100,000
100,000
Fair Value
EUR ‘000
Santander Issuances SAU
2.500% due 18/03/25 .......
3.250% due 04/04/26 .......
Spain Government Bond
5.500% due 30/07/17 .......
4.600% due 30/07/19 .......
1.150% due 30/07/20 .......
4.850% due 31/10/20 .......
3.800% due 30/04/24 .......
2.750% due 31/10/24 .......
4.650% due 30/07/25 .......
6.000% due 31/01/29 .......
4.700% due 30/07/41 .......
2.900% due 31/10/46 .......
Telefonica Emisiones SAU
2.932% due 17/10/29 .......
Sweden (0.96%)
Skandinaviska Enskilda
Banken AB
4.000% due 12/09/22 .......
0.625% due 30/01/23 .......
Svenska Handelsbanken AB
2.656% due 15/01/24 .......
Swedbank Hypotek AB
1.125% due 07/05/20 .......
0.150% due 10/02/21 .......
Sweden Government Bond
3.500% due 30/03/39 .......
Sweden Government
International Bond
0.750% due 02/05/19 .......
Telia Co AB
4.000% due 22/03/22 .......
Vattenfall AB
3.000% due 19/03/77 .......
Switzerland (0.49%)
Credit Suisse AG
5.750% due 18/09/25
UBS AG
1.125% due 30/06/20
1.250% due 03/09/21
4.750% due 12/02/26
Fund
%
Principal
Amount
1,020,000
193
299
0.07
0.10
1,181
2,087
4,140
626
4,385
4,007
361
1,411
720
1,264
0.40
0.71
1.42
0.21
1.50
1.37
0.12
0.48
0.25
0.43
553
0.19
24,878
8.51
365
128
0.13
0.04
114
0.04
209
201
0.07
0.07
1,251
0.43
160
0.05
236
0.08
138
0.05
2,802
0.96
300,000
USD
100,000
100,000
250,000
EUR
850,000
180,000
346,000
190,000
550,000
300,000
280,000
400,000
550,000
660,000
GBP
242,000
EUR
500,000
300,000
1,000,000
EUR
114,000
270,000
.......
1,083
0.37
.......
.......
.......
145
104
105
0.05
0.03
0.04
1,437
0.49
146
100
0.05
0.03
Abbey National Treasury
Services Plc
140,000 2.000% due 14/01/19 .......
100,000 0.875% due 13/01/20 .......
Aviva Plc
102,000 6.125% due 05/07/43 .......
115
0.04
400,000
330,000
500,000
220,000
240,000
100,000
150,000
100,000
400,000
250,000
110,000
206,000
Fair Value
EUR ‘000
3.375% due 04/12/45 ......
Bank of Scotland Plc
3.875% due 07/02/20 ......
Barclays Bank Plc
6.000% due 14/01/21 ......
6.625% due 30/03/22 ......
7.750% due 10/04/23 ......
Barclays Plc
2.625% due 11/11/25 ......
BAT International Finance
Plc
3.625% due 09/11/21 ......
1.250% due 13/03/27 ......
BG Energy Capital Plc
1.250% due 21/11/22 ......
BP Capital Markets Plc
1.373% due 03/03/22 ......
1.953% due 03/03/25 ......
1.573% due 16/02/27 ......
British Telecommunications
Plc
0.625% due 10/03/21 ......
1.125% due 10/03/23 ......
1.750% due 10/03/26 ......
Dignity Finance Plc
4.696% due 31/12/49 ......
FCE Bank Plc
1.134% due 10/02/22 ......
Hammerson Plc
1.750% due 15/03/23 ......
HSBC Bank Plc
5.000% due 20/03/23 ......
HSBC Holdings Plc
1.500% due 15/03/22 ......
3.375% due 10/01/24 ......
2.500% due 15/03/27 ......
Imperial Brands Finance Plc
2.250% due 26/02/21 ......
3.375% due 26/02/26 ......
Leeds Building Society
1.375% due 05/05/22 ......
Lloyds Bank Plc
1.875% due 10/10/18 ......
1.000% due 19/11/21 ......
11.875% due 16/12/21 ....
1.375% due 08/09/22 ......
10.375% due 12/02/24 ....
Mondi Finance Plc
3.375% due 28/09/20 ......
Nationwide Building Society
0.750% due 25/06/19 ......
0.125% due 25/01/21 ......
Fund
%
923
0.32
344
0.12
113
119
231
0.04
0.04
0.08
785
0.27
210
344
0.07
0.12
195
0.07
566
315
282
0.19
0.11
0.10
400
557
682
0.14
0.19
0.23
336
0.11
494
0.17
304
0.10
1,309
0.45
404
339
524
0.14
0.12
0.18
122
316
0.04
0.11
212
0.07
250
100
162
103
493
0.09
0.03
0.05
0.03
0.17
275
0.09
113
205
0.04
0.07
31 March 2016
Principal
Amount
EUR
800,000
230,000
800,000
180,000
260,000
170,000
300,000
USD
EUR
1,000,000
752,000
480,000
500,000
700,000
200,000
200,000
610,000
750,000
270,000
620,000
GBP
225,956
290,000
EUR
100,000
390,000
510,000
GBP
EUR
USD
EUR
750,000
550,000
570,000
200,000
100,000
450,000
100,000
Fair Value
EUR ‘000
1.125% due 03/06/22 .......
0.750% due 26/10/22 .......
4.125% due 20/03/23 .......
1.250% due 03/03/25 .......
NGG Finance Plc
4.250% due 18/06/76 .......
Pearson Funding Five Plc
1.375% due 06/05/25 .......
Rolls-Royce Plc
2.125% due 18/06/21 .......
Royal Bank of Scotland
Group Plc
1.625% due 25/06/19 .......
2.500% due 22/03/23 .......
3.625% due 25/03/24 .......
4.800% due 05/04/26 .......
Royal Bank of Scotland Plc
6.934% due 09/04/18 .......
Sky Plc
1.500% due 15/09/21 .......
1.875% due 24/11/23 .......
2.250% due 17/11/25 .......
2.500% due 15/09/26 .......
Standard Chartered Plc
3.625% due 23/11/22 .......
3.125% due 19/11/24 .......
Tesco Property Finance 3 Plc
5.744% due 13/04/40 .......
Virgin Media Secured
Finance Plc
5.500% due 15/01/21 .......
Vodafone Group Plc
1.750% due 25/08/23 .......
2.200% due 25/08/26 .......
Yorkshire Building Society
1.250% due 17/03/22 .......
Zurich Finance UK Plc
6.625% * ..........................
Albemarle Corp
1.875% due 08/12/21
Finance Inc
4.900% due 01/02/46
AT&T Inc
3.550% due 17/12/32
Bank of America
Corp
2.500% due 27/07/20
1.375% due 10/09/21
1.625% due 14/09/22
Fund
%
801
235
831
177
0.27
0.08
0.28
0.06
272
0.09
165
0.06
321
0.11
1,017
750
467
441
0.35
0.26
0.16
0.15
Principal
Amount
350,000
160,000
430,000
300,000
100,000
360,000
100,000
EUR
770
0.26
205
206
634
795
0.07
0.07
0.22
0.27
263
572
0.09
0.20
670,000
260
0.09
100,000
389
0.13
200,000
104
408
0.04
0.14
200,000
1,100,000
498
0.17
900,000
1,022
0.35
24,091
8.24
120,000
300,000
USD
.......
546
0.19
EUR
.......
175,000
100,000
570,000
500,000
200,000
560
170,000
384,000
653,000
150,000
347,000
Fair Value
EUR ‘000
Berkshire Hathaway
Inc
1.125% due 16/03/27 ......
Citigroup Inc
7.375% due 04/09/19 ......
1.750% due 28/01/25 ......
2.125% due 10/09/26 ......
Coca-Cola Co
1.625% due 09/03/35 ......
General Electric Co
1.875% due 28/05/27 ......
General Mills Inc
1.000% due 27/04/23 ......
Goldman Sachs Group
Inc
4.750% due 12/10/21 ......
1.375% due 26/07/22 ......
2.000% due 27/07/23 ......
2.125% due 30/09/24 ......
3.000% due 12/02/31 ......
JPMorgan Chase & Co
1.375% due 16/09/21 ......
McDonald's Corp
2.625% due 11/06/29 ......
Mondelez International
Inc
2.375% due 06/03/35 ......
Morgan Stanley
1.750% due 11/03/24 ......
MPT Operating Partnership
LP
4.000% due 19/08/22 ......
Priceline Group Inc
2.150% due 25/11/22 ......
1.800% due 03/03/27 ......
Prologis LP
3.000% due 02/06/26 ......
Verizon Communications
Inc
3.250% due 17/02/26 ......
6.550% due 15/09/43 ......
5.012% due 21/08/54 ......
Wells Fargo & Co
2.250% due 02/05/23 ......
1.625% due 02/06/25 ......
0.19
.......
230
0.08
.......
.......
.......
108
459
103
0.04
0.16
0.04
Global Switch Holdings
Ltd
100,000 5.500% due 18/04/18 ......
and Notes ...........................
Fund
%
334
0.11
197
436
308
0.07
0.15
0.11
100
0.03
387
0.13
101
0.03
204
102
589
519
212
0.07
0.04
0.20
0.18
0.07
124
0.04
335
0.11
653
0.22
101
0.03
207
0.07
207
1,025
0.07
0.35
985
0.34
201
445
577
0.07
0.15
0.20
163
358
0.06
0.12
10,876
3.72
110
0.04
264,778 90.55
31 March 2016
Principal
Amount
Fair Value
EUR ‘000
Fund
%
Principal
Amount
Australia (0.29%)
Australia & New Zealand
Banking Group Ltd
400,000 0.286% due 04/10/16 .......
400 0.14
Westpac Banking
Corp
425,000 4.250% due 22/09/16 .......
434 0.15
834
Canada (0.14%)
Bank of Nova Scotia
400,000 0.088 % due 30/09/16 ......
400
0.14
Finland (0.03%)
Finland Government
Bond
100,000 1.750% due 15/04/16 .......
100
0.03
Germany (1.23%)
3,132,721 1.500% due 15/04/16 .......
KFW
450,000 3.125% due 04/07/16 .......
Ireland (0.15%)
GE Capital European
Funding
450,000 3.750% due 04/04/16 .......
Netherlands (0.16%)
Bond Coupon Strip
Zero Coupon
70,000 due 15/07/16 ....................
PACCAR Financial Europe
BV
400,000 0.141% due 24/06/16 .......
Sweden (0.14%)
Svenska Handelsbanken
AB
400,000 3.750% due 24/02/17 .......
847
1.07
454
0.16
3,591
1.23
70
0.02
0.14
470
0.16
Zero Coupon due
500,000 30/06/16 ..........................
Total Certificates of
Deposit ...............................
519
0.18
406
0.14
403
0.14
809
0.28
8,848
3.03
273,626 93.58
500
0.17
1,000
0.34
Commercial Paper (0.51%) (2015: 0.00%)
Netherlands (0.34%)
BMW Finance NV
Zero Coupon due
500,000 17/06/16 ..........................
500
Unilever NV
Zero Coupon due
500,000 11/04/16 ..........................
500
0.17
0.17
1,000
0.34
Procter & Gamble Co
Zero Coupon due
500,000 21/04/16 ..........................
500
0.17
Total Commercial Paper ..
1,500
0.51
Number
of Shares
0.14
Fund
%
Certificates of Deposit (0.34%) (2015: 0.00%)
Japan (0.17%)
Sumitomo Mitsui Banking
Zero Coupon due
500,000 21/04/16 ..........................
500 0.17
0.15
400
414
Total Short Term
Investments ........................
Total Transferable
Securities ...........................
0.29
3,137
450
Bank of America Corp
400,000 7.000% due 15/06/16 ......
JPMorgan Chase & Co
400,000 3.750% due 15/06/16 ......
0.14
414
France (0.29%)
OAT
845,000 3.250% due 25/04/16 .......
Lloyds Bank Plc
500,000 4.625% due 02/02/17 ......
0.29
Denmark (0.14%)
Danske Bank A/S
400,000 3.875% due 28/02/17 .......
Fair Value
EUR ‘000
Ireland (3.74%)
Russell Investment
Company III Plc - The
Sterling Liquidity Fund 92 Class R Roll-Up Shares ...
117
Russell Investment
Company III Plc - The US
Dollar Cash Fund II 252 Class R Roll-Up Shares ...
222
0.04
0.08
31 March 2016
Number
of Shares
Fair Value
EUR ‘000
Russell Investment
Company Plc - The Euro
Liquidity Fund - Class R
8,460 Roll-Up Shares ................
Russell Investment
Company Plc Russell
Global Credit Fund - Class
2,082 EH-C Shares ....................
Fund
%
8,438
2.88
2,164
0.74
10,941
3.74
Number
of Shares
Fair Value
EUR ‘000
Luxembourg (0.96%)
Pioneer Institutional Funds 2,241 Currency High Alpha ......
Total Investments
excluding Financial
Fund
%
2,805
0.96
13,746
4.70
289,872 99.13
Financial Derivative Instruments ((0.46)%) (2015: 0.00%)
Open Futures Contracts ((0.03)%)
Notional
Amount
EUR ‘000
Average
Cost Price
EUR
(2,478)
(1.18)
3,261
112.43
(1,946)
(129.74)
328
65.51
(819)
(163.88)
917
131.05
(4,524)
(156.00)
1,117
111.73
(912)
(151.97)
906
113.30
(211)
(105.55)
(1,162)
(145.23)
1,687
153.40
Unrealised
Gain (Loss)
EUR ‘000
Fund
%
21 of 10 Year Mini JGB Futures
Expiring June 2016 ...........................................................................................................
(5)
0.00
29 of 2 Year Euro Swapnote Futures
Expiring June 2016 ...........................................................................................................
(3)
0.00
15 of 5 Year Euro Swapnote Futures
Expiring June 2016 ...........................................................................................................
0
0.00
5 of 10 Year Australian Treasury Bond Futures
Expiring June 2016 ...........................................................................................................
2
0.00
5 of 30 Year Euro BUXL Bond Futures
Expiring June 2016 ...........................................................................................................
(23)
(0.01)
7 of Euro Bobl Futures
Expiring June 2016 ...........................................................................................................
0
0.00
29 of Euro OAT Futures
Expiring June 2016 ...........................................................................................................
(65)
(0.02)
10 of Euro Schatz Futures
Expiring June 2016 ...........................................................................................................
1
0.00
6 of Long Gilt Bond Futures
Expiring June 2016 ...........................................................................................................
(6)
0.00
Expiring June 2016 ...........................................................................................................
9
0.00
Expiring June 2016 ...........................................................................................................
(2)
0.00
8 of Long U.S. Long Treasury Bond Futures
Expiring June 2016 ...........................................................................................................
7
0.00
11 of U.S. Ultra Bond Futures
Expiring June 2016 ...........................................................................................................
(22)
(0.01)
31 March 2016
Notional
Amount
EUR ‘000
(5,386)
Average
Cost Price
EUR
(131.37)
Unrealised
Gain (Loss)
EUR ‘000
Fund
%
Expiring June 2016 ...........................................................................................................
11
0.01
10 of Euro Bund Futures
(1,627)
(162.74)
Expiring June 2016 ...........................................................................................................
(6)
0.00
(1,686)
(153.25)
Expiring June 2016 ...........................................................................................................
4
0.00
(2,519)
(114.49)
Expiring June 2016 ...........................................................................................................
2
0.00
3 of U.S. Long Bond Futures
427
142.33
Expiring June 2016 ...........................................................................................................
6
0.00
3 of U.S. Ultra Bond Futures
(455)
(151.80)
Expiring June 2016 ...........................................................................................................
1
0.00
(1,833)
(130.95)
Expiring June 2016 ...........................................................................................................
(2)
0.00
(1,988)
(152.94)
Expiring June 2016 ...........................................................................................................
1
0.00
40 of 10 Year U.S. Ultra Bond Futures
(4,876)
(121.90)
Expiring June 2016 ...........................................................................................................
(64)
(0.02)
1,440
130.89
Expiring June 2016 ...........................................................................................................
2
0.00
447
111.78
Expiring June 2016 ...........................................................................................................
0
0.00
2,758
131.34
Expiring June 2016 ...........................................................................................................
(5)
0.00
27 of Euro BTP Futures
3,725
137.97
Expiring June 2016 ...........................................................................................................
71
0.02
2,687
111.97
Expiring June 2016 ...........................................................................................................
(4)
0.00
(3,562)
(161.79)
Expiring June 2016 ...........................................................................................................
(31)
(0.02)
7,640
162.48
Expiring June 2016 ...........................................................................................................
36
0.02
0.05
153
(0.08)
(238)
(85)
(0.03)
31 March 2016
Open Forward Foreign Currency Exchange Contracts ((0.52)%)
Settlement
Date
07/04/2016
11/04/2016
08/06/2016
07/04/2016
14/04/2016
14/04/2016
07/04/2016
07/04/2016
13/05/2016
13/05/2016
07/04/2016
13/05/2016
07/04/2016
07/04/2016
18/05/2016
14/04/2016
14/04/2016
14/04/2016
07/04/2016
18/05/2016
13/05/2016
14/04/2016
18/05/2016
14/04/2016
14/04/2016
07/04/2016
07/04/2016
07/04/2016
07/04/2016
10/05/2016
10/05/2016
07/04/2016
13/04/2016
07/04/2016
14/04/2016
14/04/2016
07/04/2016
07/04/2016
14/04/2016
14/04/2016
14/04/2016
14/04/2016
14/04/2016
14/04/2016
13/05/2016
07/04/2016
Amount
Bought ‘000
AUD
BRL
BRL
CAD
CAD
CAD
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
GBP
GBP
GBP
GBP
GBP
GBP
GBP
INR
JPY
JPY
JPY
NOK
NZD
NZD
NZD
NZD
NZD
NZD
NZD
PLN
SEK
Unrealised
Gain (Loss)
EUR ‘000
Amount
Sold ‘000
1,497
994
225
3,663
550
388
3,959
3,430
2,812
1,167
3,448
2,774
3,385
1,503
2,390
905
905
1,186
1,487
1,027
1,413
593
488
342
214
28,312
28,317
28,312
28,299
28,028
28,050
1,000
12,953
485,731
52,415
50,694
9,338
1,611
1,462
777
352
346
346
42
12,561
13,758
EUR
USD
USD
EUR
USD
USD
NOK
SEK
PLN
SEK
CHF
USD
GBP
CAD
GBP
NZD
NZD
USD
GBP
USD
GBP
USD
USD
USD
NZD
EUR
EUR
EUR
EUR
EUR
EUR
EUR
USD
EUR
USD
USD
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
984
246
59
2,505
396
268
37,352
32,102
12,561
11,066
3,731
3,131
2,642
2,198
1,858
1,546
1,542
1,305
1,159
1,146
1,106
657
552
370
356
35,958
35,958
35,958
35,958
35,432
35,432
1,283
188
3,951
451
439
990
976
904
453
214
214
214
25
2,824
1,470
26
30
3
(20)
26
28
(4)
(45)
(145)
(31)
29
30
53
12
49
(37)
(34)
41
25
23
19
17
4
17
(3)
(251)
(245)
(251)
(266)
(115)
(86)
(22)
6
(158)
14
11
1
5
(14)
20
(3)
(3)
1
134
19
Fund
%
0.01
0.01
0.00
(0.01)
0.01
0.01
0.00
(0.02)
(0.05)
(0.01)
0.01
0.01
0.02
0.00
0.02
(0.01)
(0.01)
0.01
0.01
0.01
0.01
0.01
0.00
0.01
0.00
(0.09)
(0.09)
(0.09)
(0.09)
(0.04)
(0.03)
(0.01)
0.00
(0.05)
0.00
0.00
0.00
0.00
0.00
0.01
0.00
0.00
0.00
0.00
0.04
0.01
31 March 2016
Settlement
Date
Amount
Bought ‘000
Amount
Sold ‘000
451 JPY
53,517
14/04/2016
USD
222
25,090
14/04/2016
USD
JPY
247 INR
16,885
13/04/2016
USD
980 CNY
6,504
12/09/2016
USD
488
2,022
07/04/2016
USD
BRL
1,616 EUR
1,487
07/04/2016
USD
1,523 EUR
1,383
18/05/2016
USD
1,283 EUR
1,182
14/04/2016
USD
246 BRL
1,018
11/04/2016
USD
1,060 EUR
959
13/05/2016
USD
535 CAD
743
14/04/2016
USD
405 EUR
370
14/04/2016
USD
329
299
13/05/2016
USD
EUR
309 EUR
280
14/04/2016
USD
41 EUR
37
14/04/2016
USD
Unrealised
Gain (Loss)
EUR ‘000
Fund
%
(22)
(1)
(7)
(18)
(72)
(69)
(48)
(56)
(36)
(30)
(34)
(15)
(11)
(9)
(1)
643
(2,162)
(1,519)
(0.01)
0.00
0.00
(0.01)
(0.02)
(0.02)
(0.02)
(0.02)
(0.01)
(0.01)
(0.01)
(0.01)
0.00
0.00
0.00
0.22
(0.74)
(0.52)
Currency Options Purchase (0.02%)
Notional
Amount
EUR ‘000
Fair Value
EUR ‘000
Fund
%
Call at 6.4 USD CNY
1,900
Expiring October 2016 ................................................................................................................
56
Options purchase at fair value (Premium paid EUR 85,645) .....................................................
56
0.02
0.02
Swaptions Purchased (0.05%)
Notional
Amount
EUR ‘000
Description
Fair Value
EUR ‘000
Call at 0.97 on 10 Year RTR
Expiring February 2017 ..............................................................................................................
64
Put at 0.97 on 10 Year RTP
1,650
Expiring February 2017 ..............................................................................................................
21
1,300
Expiring March 2017 ..................................................................................................................
6
14,000
Expiring July 2016 ......................................................................................................................
15
Put at 115.00 on 5 Year CDX
5,200
Expiring April 2016 ....................................................................................................................
1
Call at 95.00 on iTraxx
4,300
Expiring April 2016 ....................................................................................................................
43
Put at 105.00 on 5 Year iTraxx
4,800
Expiring April 2016 ....................................................................................................................
Swaptions purchased at fair value (Premium paid EUR 188,638) ............................................
150
1,650
Fund
%
0.02
0.01
0.00
0.01
0.00
0.01
0.00
0.05
31 March 2016
Swaptions Written ((0.02)%)
Notional
Amount
EUR ‘000
Fair Value
EUR ‘000
Description
Fund
%
Expiring July 2016 ......................................................................................................................
(5)
Put at 130.00 on 5 Year CDX
(5,200)
Expiring April 2016 ....................................................................................................................
Call at 85.00 on iTraxx
(8,600)
Expiring April 2016 ....................................................................................................................
(50)
(4,800)
Expiring April 2016 ....................................................................................................................
Swaptions written at fair value (Premium received EUR 46,849) .............................................
(55)
(21,000)
0.00
0.00
(0.02)
0.00
(0.02)
Interest Rate Swaps (0.04%)
Ccy
Notional
Amount
‘000
Fund
Pays
AUD 6 Month
BBSW
AUD
1,697
AUD
3,364
AUD
1,286
AUD
376
AUD
401
AUD
815
3.54%
AUD 6 Month
BBSW
AUD 6 Month
BBSW
AUD 6 Month
BBSW
AUD 6 Month
BBSW
AUD
880
2.96%
CAD
5,951
EUR
3,230
1.16%
EUR 12 Month
Eonia
EUR
2,020
0.88%
EUR
770
EUR
2,040
EUR
2,070
EUR
3,530
1.52%
EUR 12 Month
Eonia
EUR 12 Month
Eonia
EUR 6 Month
LIBOR
EUR
4,190
1.05%
GBP
2,900
NZD
3,550
NZD
980
SEK
43,870
0.93%
NZD 3 Month
NZDBB
NZD 3 Month
NZDBB
SEK 3 Month
STIBOR
Fund
Receives
Termination
Date
Fair Value
EUR ‘000
Fund
%
3.02%
AUD 6 Month
BBSW
11/12/2025
37
0.01
11/12/2025
(58)
(0.02)
2.92%
13/01/2026
23
0.01
2.89%
13/01/2026
6
0.00
2.82%
25/01/2026
4
0.00
2.72%
AUD 6 Month
BBSW
CAD 6 Month
LIBOR
01/02/2026
5
0.00
09/03/2026
(1)
0.00
10/12/2020
(43)
(0.01)
0.55%
EUR 6 Month
LIBOR
EUR 6 Month
LIBOR
25/11/2024
113
0.04
12/01/2026
(73)
(0.02)
12/01/2046
(99)
(0.03)
1.28%
12/01/2036
185
0.06
1.26%
21/01/2036
177
0.06
1.30%
EUR 6 Month
LIBOR
GBP 6 Month
LIBOR
16/02/2055
92
0.03
16/02/2065
(132)
(0.05)
02/03/2020
9
0.00
4.22%
14/12/2025
58
0.02
3.57%
10/03/2026
-
0.00
0.59%
18/12/2020
98
0.03
31 March 2016
Ccy
Notional
Amount
‘000
Fund
Pays
SEK
5,825
1.37%
SEK
5,775
1.41%
USD
1,216
USD
9,400
2.14%
USD 3 Month
LIBOR
Fund
Receives
SEK 3 Month
STIBOR
SEK 3 Month
STIBOR
USD 3 Month
LIBOR
Termination
Date
Fair Value
EUR ‘000
Fund
%
15/03/2026
(5)
0.00
15/03/2026
(6)
0.00
14/12/2025
(50)
(0.02)
83
0.03
(174)
(0.06)
(86)
(0.03)
(25)
(0.01)
(8)
0.00
(10)
0.00
(3)
890
(773)
117
0.00
0.29
(0.25)
0.04
1.58%
23/01/2019
USD 3 Month
USD
9,100
2.35%
LIBOR
23/01/2023
USD 3 Month
USD
5,284
1.65%
LIBOR
18/12/2020
USD 3 Month
USD
836
2.01%
LIBOR
14/01/2026
USD 3 Month
USD
296
1.98%
LIBOR
14/01/2026
USD 3 Month
USD
560
1.90%
LIBOR
26/01/2026
USD 3 Month
USD
238
1.79%
LIBOR
02/02/2026
Interest rate swaps at positive fair value ........................................................................................
Interest rate swaps at negative fair value .......................................................................................
Interest rate swaps at fair value .................................................................................................
Credit Default Swaps (0.00%)
Notional
Amount
EUR ‘000
Security
Name
Fund
Pays
Fund
Receives
Termination
Date
Aktiebolaget
Volvo
#
1.00%
20/12/2020
-
0.00
1.00%
#
20/12/2020
-
0.00
1.00%
#
20/12/2020
(49)
(0.02)
#
Next Plc
1.00%
20/06/2021
Marks &
#
EUR
100
Spencer Plc
1.00%
20/06/2021
2
iTraxx Europe
#
EUR
4,300
S24
1.00%
20/12/2020
56
iTraxx Europe
#
EUR
2,100
S24
1.00%
20/12/2020
(28)
iTraxx Europe
#
EUR
8,000
S24
1.00%
20/12/2020
104
iTraxx Europe
#
EUR
2,100
S24
1.00%
20/12/2020
(28)
iTraxx Europe
#
EUR
3,870
S25
1.00%
20/06/2021
(55)
Credit Default Swaps at positive fair value ..................................................................................................
162
Credit Default Swaps at negative fair value .................................................................................................
(160)
Credit default swaps at fair value .............................................................................................................2
0.00
Ccy
EUR
30
EUR
60
EUR
3,800
EUR
#
Hammerson Plc
iTraxx Europe
S24
Fair Value
EUR ‘000
Fund
%
100
In the event of bankruptcy or modified restructuring, the Fund will pay/receive the notional amount to/from the counterparty.
0.00
0.02
(0.01)
0.04
(0.01)
(0.02)
0.06
(0.06)
0.00
31 March 2016
Currency Swap (0.00%)
Notional
Amount
EUR ‘000
Fund
Pays
Fund
Receives
Termination
Date
Fair Value
EUR ‘000
Fund
%
12,524
CHF 0.00%
SEK 2.16%
16/01/2024
(12)
(12)
Currency swap at fair value ......................................................................................................................
(1,346)
Total Financial Derivative Instruments ....................................................................................................
Fair Value
EUR ‘000
0.00
0.00
(0.46)
Fund
%
291,926
99.82
(99.82%) ....................................................................................................................................................
(3,400)
(1.15)
Loss ((1.15)%) ..........................................................................................................................................
288,526
98.67
(98.67%) ....................................................................................................................................................
3,896
1.33
Other Net Assets (1.33%) ........................................................................................................................
292,422
100.00
Net Assets ..................................................................................................................................................
* Perpetual bond.
% of
gross assets
Transferable securities admitted to official stock exchange listing ............................................................................
Transferable securities dealt in on another regulated market ......................................................................................
Certificate of deposits .................................................................................................................................................
Commercial papers .....................................................................................................................................................
Investment funds (UCITS) ..........................................................................................................................................
Exchange traded financial derivative instruments ......................................................................................................
Over the counter financial derivative instruments ......................................................................................................
Other assets .................................................................................................................................................................
61.29
28.88
0.33
0.49
4.53
0.05
0.62
3.81
100.00
The brokers for the open futures contracts are:
Goldman Sachs
Merrill Lynch
UBS AG
Bank of America
Barclays Bank
BNP Paribas
Citibank
Commonwealth Bank of Australia
Deutsche Bank AG
Goldman Sachs
HSBC Bank
JP Morgan Chase Bank
Merrill Lynch
Morgan Stanley
Royal Bank of Canada
Société Generale
Standard Chartered Bank
State Street Bank & Trust Company
UBS AG
UBS Limited
The counterparties for the currency options purchased is Bank of America
31 March 2016
The counterparties for the swaptions purchased and the swaptions written are:
Goldman Sachs
JPMorgan
UBS AG
Barclays Capital
Citigroup
Danske Bank
Goldman Sachs
UBS AG
The counterparties for the credit default swaps are:
Bank of America
Barclays Capital
Citigroup
Goldman Sachs
JPMorgan
Merrill Lynch
The counterparty for the currency swap is Deutsche Bank
The following tables analyse within the fair value hierarchy theFund’s financial assets and liabilities (by investment type)
As at 31 March 2016
Level 1
EUR ‘000
Assets
Transferable securities ...............................................................
Certificate of deposits ................................................................
Commercial papers ....................................................................
contracts ....................................................................................
Currency options purchased at fair value ..................................
Swaptions purchased at value ....................................................
Credit default swaps at fair value ..............................................
Total assets ......................................................................................
Liabilities
Unrealised loss on open futures contracts .................................
contracts ....................................................................................
Swaptions written at value ........................................................
Currency swap at fair value .......................................................
Level 2
EUR ‘000
Level 3
EUR ‘000
Total
EUR ‘000
153
273,626
1,000
1,500
13,746
-
-
273,626
1,000
1,500
13,746
153
153
643
56
150
890
162
291,773
-
643
56
150
890
162
291,926
(238)
-
-
(238)
(238)
(2,162)
(55)
(773)
(160)
(12)
(3,162)
-
(2,162)
(55)
(773)
(160)
(12)
(3,400)
31 March 2016
As at 31 March 2015
Level 1
EUR ‘000
Assets
contracts ....................................................................................
Total assets ......................................................................................
Liabilities
contracts ....................................................................................
Level 2
EUR ‘000
Level 3
EUR ‘000
Total
EUR ‘000
139
224,498
15,331
-
-
224,498
15,331
139
139
1,020
240,849
-
1,020
240,988
(286)
-
-
(286)
(286)
(766)
(89)
(855)
-
(766)
(89)
(1,141)
Listed below are 20 largest cumulative investment purchases and cumulative investment sales in excess of 1% of total investment
sales respectively during the year ended 31 March 2016.
Russell Investment Company plc
Russell Euro Liquidity Fund
Bundesobligation
Bundesrepublik Deutschland
0.500% due 15/02/25
Italy Buoni Poliennali Del Tesoro
4.500% due 01/03/24
1.000% due 15/08/24
Bundesobligation
0.250% due 16/10/20
France Government Bond OAT
1.000% due 25/11/25
Bundesschatzanweisungen
2.500% due 25/10/20
Bundesobligation
0.250% due 13/04/18
1.750% due 25/05/23
3.250% due 04/07/42
2.500% due 15/08/46
3.250% due 25/05/45
1.750% due 25/11/24
3.750% due 04/01/17
2.250% due 04/09/20
5.500% due 04/01/31
5.150% due 31/10/44
0.500% due 15/02/26
Acquisition Cost
EUR ‘000
178,854
33,490
24,920
20,942
15,479
12,213
11,934
11,384
10,072
8,934
7,923
7,296
7,238
6,138
6,101
5,313
4,685
4,666
4,335
4,042
Bundesobligation
0.500% due 15/02/25
1.000% due 15/08/24
Bundesobligation
0.250% due 16/10/20
Bundesschatzanweisungen
0.250% due 25/07/18
Bundesobligation
0.250% due 13/04/18
1.750% due 25/05/23
2.500% due 15/08/46
1.750% due 25/11/24
1.000% due 25/11/25
3.250% due 04/07/42
3.250% due 25/05/45
4.500% due 01/03/24
1.050% due 01/12/19
3.750% due 04/01/17
1.400% due 31/01/20
5.150% due 31/10/44
Netherlands Government Bond
3.250% due 15/07/21
2.250% due 04/09/20
3.500% due 01/06/18
Disposal Proceeds
EUR ‘000
(183,548)
(30,730)
(27,831)
(17,445)
(12,192)
(11,383)
(9,422)
(8,965)
(8,250)
(8,041)
(7,979)
(7,799)
(7,456)
(6,461)
(5,505)
(5,337)
(5,305)
(5,197)
(5,187)
(5,089)
(4,531)
(3,941)
Manager’s Report
BlueBay Asset Management Limited
Brookfield Investment Management Inc.
Colchester Global Investors Limited
Insight Asset Management
Loomis, Sayles & Company, L.P.
Pacific Investment Management Company (PIMCO)
The investment objective of Russell Global Bond (Euro Hedged) Fund (the “Fund”) is to provide income and capital growth by
investing primarily in transferable debt instruments denominated in a variety of currencies, which include but are not limited to,
municipal and government bonds, agency debt (being that issued by local authorities or public international bodies of which one
or more States is a member), mortgage related debt and corporate debt that are listed, traded or dealt in on a regulated market in
the Organisation for Economic Co-operation and Development (“OECD”) and which may have fixed or floating interest rates.
Fund Performance
During the year ended 31 March 2016, Russell Global Bond (Euro Hedged) Fund (Class B) returned 0.8 per cent on a gross of fee
basis (-0.2 per cent on a net of fee basis), while the benchmark* returned 1.8 per cent.
Market Comment
The benchmark fell by 2.3 per cent over the second quarter of 2015. This notable negative return, reflected in both safe haven as
well as riskier debt, was largely driven by the sharp selloff in German bunds, as overbought positions reverted from historically
low levels on positive Eurozone economic data. Investors also shunned riskier spread sectors due to the resurgent Greek debt
crisis and the large correction in the Chinese equity market. Government bond yields were broadly higher over the quarter, as the
continued impasse between Greece and its creditors weighed heavy on the markets. In the U.S., thinner market liquidity as well as
rising expectations of an interest rate hike later this year on the back of improving economic data over the quarter, impacted
demand for 10 year Treasuries which rose to 2.35 per cent from 1.92 per cent. In Europe, a similar trend of rising yields was
underway, as the support provided to valuations by the European Central Bank’s (ECB) asset-purchase programme began to wane
and with Mario Draghi commenting that bond investors should “get used to” volatility as a by-product of a long period of low
yields.
The benchmark rose 1.2 per cent during the third quarter of 2015. Market gyrations and volatility characterised much of the
period, tilting investor demand towards safe haven assets. Three central stories unfolded over the summer. First, China’s
devaluation of its currency (amid slowing growth) took centre stage in igniting a broad based sell-off in global markets. Secondly,
oil resumed its slide, falling over 30 per cent intra-period, re-igniting fears of dis-inflation. These events, in addition to the lack of
meaningful U.S. wage growth, served as determining factors in the U.S. Federal Reserve’s (the “Fed”) decision to not raise rates
at its September meeting. This perpetuated uncertainty regarding when the Fed will hike and increased speculation that the Fed
may stay on hold well into 2016. This calls into question the ability of the U.S. to de-couple from the rest of the world and
maintain a reasonable level of growth amid a slowing global backdrop. U.K.’s 10 year gilt yield declined 26 basis points (bps) to
1.76 per cent, as second-quarter GDP growth stood at 0.7 per cent. Whilst the unemployment rate fixed down to 5.5 per cent,
flatter retail and inflation figures convinced the Bank of England (BoE) to hold the interest rate firmly at 0.5 per cent. Eurozone
country yields were more stable after a new bailout deal was agreed with Greece and with the re-election of Alexis Tsipras as
Greece’s Prime Minister.
The benchmark declined 0.1 per cent in the last quarter of 2015. In some regards the period was a repeat of the third quarter, as
anxiety from slowing growth and policy execution in China combined with an ongoing commodities rout (especially in oil) drove
market volatility. However, before the curtains closed for the year, the Fed finally raised its benchmark interest rate, an event
which had been largely priced in by the markets. This crystallised a diverging Central Bank policy environment between the more
hawkish U.S. and (to a lesser extent) U.K. versus loose monetary policies in Europe (where the ECB eased further) and Japan. In
the U.S., the benchmark 10 year treasury increased 23 bps to 2.27 per cent. Driven by overall positive economic growth, strong
employment and housing data, The Fed’s Open Market Committee (FOMC) unanimously decided to lift the interest rate by 25
bps to 0.5 per cent. The Fed’s accompanying statement revealed that its policy would “remain accommodative” and that “the
actual path of increases in the federal funds rate will depend on the economic outlook as informed by incoming data”. In stark
contrast, a more dovish environment remained in Europe. The ECB lowered its deposit rate to -0.3 per cent from
-0.2 per cent, thereby charging banks more for depositing their spare cash. However, the ECB also fell short of market
expectations by holding quantitative easing steady, rather than increasing the amount.
The benchmark rose 3.0 per cent in the first quarter of 2016. The period was characterised by two halves. In the first half, slowing
growth in China coupled with an ongoing commodities rout (especially in oil), engendered significant market volatility and a
considerable risk-off sentiment. This firmly tilted demand towards safe haven assets such as sovereign bonds as well as gold.
Russell Global Bond (Euro Hedged) Fund 73
However in the latter part of the quarter, more accommodative central bank policies alongside oil price stabilisation thawed
sentiment for risk assets to some degree. In the U.S., the benchmark 10 year Treasury rallied with its yield decreasing 50 bps to
1.77 per cent, even though GDP growth during the fourth quarter of 2015 was revised further upwards to 1.4 per cent quarter-onquarter. At the FOMC meeting, Fed Chair Yellen explained that whilst economic “forecasts have not changed much since
December”, this was being overshadowed by “global economic and financial developments”, posing a risk to growth. As a result,
FOMC “dots” reduced to two possible interest rate hikes this year, as opposed to four. A similar dovish tone was echoed by BoE
Governor Mark Carney, who even exclaimed that policymakers had “considerable room” to ease policy if global jitters started to
hit U.K. households and businesses. Over the period, the benchmark 10 year gilt declined 55 bps to 1.42 per cent. In Europe, the
ECB President Draghi delivered on his promise to do “whatever it takes” by introducing raft of new accommodative stimulus
measures in an effort to boost Eurozone inflation and encourage new credit provision. The Central Bank reduced its main
refinancing rate to 0.0 per cent, whilst quantitative easing was increased to EUR80 billion a month. In addition, the ECB initiated
another targeted longer-term refinancing operation (TLTRO II).
The Fund continued its positive performance through the second quarter of 2015, finishing ahead of the benchmark. Currency
positioning contributed notably Colchester’s underweights in the New Zealand Dollar and Chilean Peso and overweight in the
Brazilian Real. At the sector level, overweights to non-agency mortgages (Brookfield, PIMCO), high yield (PIMCO, Loomis) and
Emerging Market Debt (EMD) (Colchester) contributed, whilst an underweight to agency mortgages held back gains slightly.
Rates largely detracted, driven by overweight to Germany and underweight Japan.
The Fund finished behind the benchmark during a difficult third quarter (2015). Country positioning held back performance
through an overweight position in Brazil (Colchester). Underweight Italy, France and U.K. were also negative. This however, was
mitigated slightly from overweights to Australia, Germany and Ireland (PIMCO, Loomis, BlueBay, Insight). Sector level
positioning was a key detractor. Overweights to EMD and corporate high yield, as well as an underweight to governments
detracted from performance. Further losses however, were contained through underweight to government-related, investmentgrade utilities and overweight commercial mortgage-backed securities (Brookfield, Loomis).
The Fund underperformed the benchmark in the final quarter of 2015. Within rates, overweights to Australia, New Zealand and
Brazil and an underweight to Canada detracted, though this was offset to a degree by positives from overweights to Ireland, Italy,
Iceland and emerging Europe (Romania, Bulgaria, and Slovenia). Within currencies, underweights to AUD and NZD and
overweights to ZAR, NOK and CAD detracted, while overweights to BRL and MYR and an underweight to GBP served to hedge
losses. Sector positioning detracted slightly, as the positives from underweights to government-related debt and agency MBS
were not enough to offset exposure to high yield (which remained under pressure due to ongoing declines in the price of oil).
Positioning in investment grade credit was neutral versus benchmark, and exposure to non-agency mortgage credit had minimal
impact on performance.
The Fund was flat against the benchmark in the first quarter of 2016. In rates, underweight France, U.S. and the U.K., offset gains
generated through overweight Brazil, New Zealand and Australia. In sector positioning, securitised assets such as overweight
non-agency RMBS and ABS, failed to find meaningful traction in the prevailing market environment. However, underweight
agency RMBS and overweight EMD, were positive. Active currency positioning drove performance, notably through overweight
Japanese Yen, Malaysian Ringgit and the Brazilian Real. Underweight Swiss Franc and Australian Dollar dragged slightly.
Outlook
* Benchmark Source: Barclays Global Aggregate EH Index
May 2016
74 Russell Global Bond (Euro Hedged) Fund
Balance Sheet
As at 31 March 2016
31 March 2016
EUR ‘000
Assets
Financial assets at fair value through profit or loss (Note 2) .....................................................
Cash at bank (Note 3) ................................................................................................................
(Note 3) ...................................................................................................................................
Debtors:
Receivable for investments sold .............................................................................................
Receivable on fund shares issued ...........................................................................................
Interest receivable ..................................................................................................................
Prepayments and other debtors ...............................................................................................
Liabilities
Financial liabilities at fair value through profit or loss (Note 2) ................................................
Cash due to brokers and counterparties for open financial derivative instruments
(Note 3) ..................................................................................................................................
Payable for investments purchased ........................................................................................
Payable on fund shares redeemed ..........................................................................................
Distributions payable on income share classes .......................................................................
Management fees payable ......................................................................................................
Custodian and Trustee fees payable .......................................................................................
Sub-custodian fees payable ....................................................................................................
Administration fees payable ...................................................................................................
Audit fees payable ..................................................................................................................
Other fees payable ..................................................................................................................
Net assets attributable to redeemable participating shareholders ......................................
31 March 2015
EUR ‘000
434,680
567,325
8,289
31,385
5,324
7,557
28,972
2,545
479,810
20,965
2,325
3,743
146
633,446
(12,739)
(20,248)
(1,609)
(54,335)
(6)
(515)
(291)
(6)
(63)
(17)
(27)
(3)
(69,611)
(1,027)
(45,462)
(200)
(585)
(404)
(8)
(28)
(23)
(28)
(24)
(68,037)
410,199
565,409
2016
EUR ‘000
Income
Dividends .....................................................................................................................
Interest income .............................................................................................................
2015
EUR ‘000
103
12,526
12,629
22
11,997
12,019
(22,974)
50,933
(10,345)
62,952
Expenses
Audit fees (Note 6) .......................................................................................................
Other fees .....................................................................................................................
Total operating expenses ...............................................................................................
(4,400)
(44)
(314)
(192)
(27)
(53)
(19)
(5,049)
(3,643)
(37)
(184)
(166)
(28)
(29)
(31)
(4,118)
(15,394)
58,834
Finance costs
Profit (loss) for the financial year before taxation .......................................................
(8,977)
(24,371)
(10,062)
48,772
Taxation
Withholding tax (Note 9) .............................................................................................
(25)
(9)
(24,396)
48,763
Account.
2016
EUR ‘000
2015
EUR ‘000
(24,396)
48,763
Share transactions
6,793
7,666
(137,607)
94,888
(155,210)
151,317
565,409
414,092
End of year ...................................................................................................................
410,199
565,409
31 March 2016
Principal
Amount
USD
AUD 4,448,000
1,820,000
101,000
USD 1,351,000
GBP
160,000
250,000
1,395,000
690,000
300,000
NZD
940,000
AUD
80,000
240,000
USD
600,000
EUR
USD
EUR
Fund
%
Principal
Amount
100,782
89,234
205,000
82.68%)
Argentina (0.02%)
YPF SA
75,000 8.500% due 23/03/21 .......
66 0.02
150,000
AUD
Fair Value
EUR ‘000
140,000
100,000
32,000
400,000
250,000
300,000
409,000
109,000
116,000
182,848
200,508
Australia (2.39%)
Asciano Finance Ltd
5.000% due 07/04/18 .......
Australia Government Bond
5.250% due 15/03/19 .......
4.750% due 21/04/27 .......
3.750% due 21/04/37 .......
Commonwealth Bank of
Australia
2.000% due 18/06/19 .......
3.000% due 04/09/26 .......
National Australia Bank Ltd
5.000% due 11/03/24 .......
New South Wales Treasury
Corp
6.000% due 01/02/18 .......
6.000% due 01/03/22 .......
2.750% due 20/11/25 .......
Queensland Treasury Corp
7.125% due 18/09/17 .......
Telstra Corp Ltd
4.000% due 15/11/17 .......
4.500% due 13/11/18 .......
Westpac Banking Corp
2.100% due 25/02/21 .......
Austria (0.16%)
Austria Government Bond
3.900% due 15/07/20 .......
1.750% due 20/10/23 .......
3.150% due 20/06/44 .......
Erste Group Bank AG
5.500% due 26/05/25 .......
Belgium (0.55%)
SA/NV
0.625% due 17/03/20 .......
0.875% due 17/03/22 .......
1.500% due 17/03/25 .......
2.000% due 17/03/28 .......
2.750% due 17/03/36 .......
Belgium Government Bond
4.000% due 28/03/19 .......
4.250% due 28/09/21 .......
USD
0.03
3,289
1,488
75
0.80
0.36
0.02
EUR
1,193
214
0.29
0.05
BRL 2,390,000
1,782,000
188
0.05
610
0.15
55
168
0.01
0.04
529
0.13
9,811
2.39
165
113
47
0.04
0.03
0.01
345
0.08
670
0.16
252
303
420
114
124
0.06
0.07
0.10
0.03
0.03
207
250
0.05
0.06
EUR
BRL
EUR
CAD
115,000
350,000
Brazil (1.37%)
Banco do Brasil SA
3.750% due 25/07/18 ......
Nacional Serie B
6.000% due 15/05/45 ......
6.000% due 15/08/50 ......
Nacional Serie F
10.000% due 01/01/21 ....
10.000% due 01/01/23 ....
10.000% due 01/01/25 ....
Brazilian Government
International Bond
2.875% due 01/04/21 ......
8.500% due 05/01/24 ......
Bulgaria (0.15%)
Bulgaria Government
International Bond
680,000 3.125% due 26/03/35 ......
160,000
405,000
313,000
590,000
450,000
1,790,000
310,000
381,000
USD
5,000
20,000
CAD
31,280
200,000
2,880,000
2,130,000
6,290,000
0.25
0.14
0.07
2.600% due 22/06/24 ......
5.000% due 28/03/35 ......
3.750% due 22/06/45 ......
Bermuda (0.10%)
Cronos Containers Program I
Ltd
212,963 3.270% due 18/11/29 ......
Global Container Assets Ltd
280,000 3.300% due 05/11/28 ......
134
1,009
560
299
Fair Value
EUR ‘000
Canada (2.06%)
Alimentation Couche-Tard
Inc
3.319% due 01/11/19 ......
Bell Canada
6.170% due 26/02/37 ......
Canadian Government
Bond
4.000% due 01/06/17 ......
1.750% due 01/09/19 ......
3.500% due 01/06/20 ......
2.500% due 01/06/24 ......
4.000% due 01/06/41 ......
3.500% due 01/12/45 ......
Cenovus Energy Inc
3.000% due 15/08/22 ......
3.800% due 15/09/23 ......
Ford Auto Securitization
Trust
1.824% due 15/07/17 ......
Fund
%
120
150
321
0.03
0.04
0.08
2,261
0.55
179
0.04
245
0.06
424
0.10
197
0.05
1,625
1,196
0.39
0.29
643
461
1,301
0.16
0.11
0.32
110
67
0.03
0.02
5,600
1.37
631
0.15
112
0.03
336
0.08
221
416
341
1,344
292
345
0.05
0.10
0.08
0.33
0.07
0.08
4
16
0.00
0.00
21
0.01
31 March 2016
Principal
Amount
EUR
115,000
CAD
EUR
100,000
275,000
CAD
300,000
USD
CAD
575,000
500,000
450,000
400,000
125,000
300,000
CAD
USD
CAD
USD
160,000
200,000
400,000
400,000
400,000
200,000
100,000
230,000
400,000
CAD
153,858
USD
350,000
520,000
500,000
557,000
137,000
857,000
Fair Value
EUR ‘000
Magna International Inc
1.900% due 24/11/23 .......
Province of British
Columbia
2.700% due 18/12/22 .......
0.875% due 08/10/25 .......
Province of Manitoba
Canada
4.400% due 05/09/25 .......
Province of Ontario Canada
3.000% due 16/07/18 .......
3.150% due 02/06/22 .......
1.950% due 27/01/23 .......
3.500% due 02/06/24 .......
4.650% due 02/06/41 .......
3.450% due 02/06/45 .......
Province of Quebec Canada
0.865% due 04/09/18 .......
2.750% due 25/08/21 .......
4.250% due 01/12/21 .......
3.500% due 01/12/22 .......
3.000% due 01/09/23 .......
5.000% due 01/12/38 .......
5.000% due 01/12/41 .......
2.100% due 14/10/20 .......
2.300% due 22/03/21 .......
SCG Hotel Issuer Inc
3.442% due 12/10/18 .......
Toronto-Dominion
Bank
1.475% due 22/01/19 .......
BlueMountain CLO Ltd
2.140% due 13/04/27 .......
Cent CLO 22 Ltd
2.100% due 07/11/26 .......
NewMark Capital Funding
CLO Ltd
1.753% due 02/06/25 .......
Seagate HDD Cayman
5.750% due 01/12/34 .......
Voya CLO Ltd
1.768% due 15/04/24 .......
Chile (0.23%)
Banco Santander
Chile
200,000 1.529% due 11/04/17 .......
Corp Nacional del Cobre de
Chile
320,000 4.500% due 16/09/25 .......
Fund
%
120
0.03
72
282
0.02
0.07
238
0.06
524
369
309
301
107
217
0.13
0.09
0.08
0.07
0.03
0.05
140
184
311
302
292
176
90
0.03
0.05
0.08
0.07
0.07
0.04
0.02
203
354
0.05
0.09
107
0.03
307
0.07
8,453
2.06
456
Principal
Amount
Fair Value
EUR ‘000
Itau CorpBanca
3.875% due 22/09/19 ......
Latam Airlines 2015-1 Pass
Through Trust A
200,000 4.200% due 15/11/27 ......
381,000
343
0.08
154
0.04
958
0.23
164
0.04
193
128
0.05
0.03
485
0.12
421
142
0.10
0.04
563
0.14
317
409
666
0.08
0.10
0.16
1,392
0.34
85
0.02
1,530
0.37
780
0.19
2,395
0.58
219
500
0.05
0.12
1,058
0.26
1,777
0.43
USD
Egypt (0.04%)
African Export-Import
Bank
200,000 3.875% due 04/06/18 ......
176
0.04
EUR
Finland (0.15%)
Finland Government Bond
146,000 2.000% due 15/04/24 ......
167
0.04
Colombia (0.12%)
Colombia Government
International Bond
200,000 5.000% due 15/06/45 ......
Ecopetrol SA
200,000 7.625% due 23/07/19 ......
170,000 4.125% due 16/01/25 ......
EUR
Croatia (0.14%)
Croatia Government
International Bond
410,000 3.875% due 30/05/22 ......
150,000 3.000% due 11/03/25 ......
Cyprus (0.34%)
Cyprus Government
International Bond
300,000 4.625% due 03/02/20 ......
400,000 3.875% due 06/05/22 ......
644,000 4.250% due 04/11/25 ......
Czech Republic Government
Bond
CZK 1,940,000 2.400% due 17/09/25 ......
Czech Republic International
EUR 1,310,000 4.125% due 18/03/20 ......
EP Energy AS
720,000 5.875% due 01/11/19 ......
0.11
433
0.10
477
0.12
86
0.02
736
0.18
2,188
0.53
174
0.04
287
0.07
Fund
%
Denmark (0.43%)
Denmark Government
Bond
DKK 1,482,191 1.500% due 15/11/23 ......
3,310,000 1.750% due 15/11/25 ......
Realkredit Danmark A/S
7,800,000 1.000% due 01/04/17 ......
31 March 2016
Principal
Amount
Fair Value
EUR ‘000
Nordic Investment
Bank
NOK 4,320,000 1.375% due 15/07/20 .......
EUR
100,000
GBP
EUR
100,000
400,000
125,000
100,000
USD
400,000
270,000
EUR
380,000
230,000
100,000
200,000
300,000
USD
300,000
EUR
USD
200,000
150,000
EUR
100,000
100,000
960,000
290,000
111,932
100,412
595,000
222,193
314,133
USD
EUR
600,000
155,000
France (0.85%)
AXA SA
5.250% due 16/04/40 .......
BNP Paribas SA
5.750% due 24/01/22 .......
1.125% due 15/01/23 .......
2.375% due 17/02/25 .......
2.875% due 01/10/26 .......
BPCE SA
4.625% due 11/07/24 .......
Credit Agricole SA
4.375% due 17/03/25 .......
OAT
2.250% due 25/10/22 .......
2.750% due 25/10/27 .......
Groupama SA
6.375%* ..........................
La Banque Postale SA
2.750% due 19/11/27 .......
mFinance France SA
2.375% due 01/04/19 .......
Numericable-SFR SA
4.875% due 15/05/19 .......
Pernod Ricard SA
1.875% due 28/09/23 .......
5.500% due 15/01/42 .......
Societe Generale SA
2.625% due 27/02/25 .......
Germany (1.93%)
Allianz SE
2.241% due 07/07/45 .......
1.500% due 15/05/24 .......
1.000% due 15/08/25 .......
4.750% due 04/07/28 .......
4.750% due 04/07/34 .......
4.250% due 04/07/39 .......
2.500% due 04/07/44 .......
Bundesobligation Inflation
Linked Bond
0.750% due 15/04/18 .......
Commerzbank AG
8.125% due 19/09/23 .......
4.000% due 23/03/26 .......
Fund
%
467
0.11
634
0.15
111
0.03
141
410
124
101
0.03
0.10
0.03
0.03
Principal
Amount
918,521
0.08
233
0.06
0.24
423
102
191
0.10
0.03
0.05
123
0.03
71
0.02
714
0.17
926
0.23
86
0.02
7,900
1.93
171
0.04
218
262
0.05
0.07
480
0.12
Hong Kong (0.04%)
AIA Group Ltd
200,000 3.200% due 11/03/25 ......
177
0.04
Hungary (0.08%)
Hungary Government
Bond
HUF 92,020,000 3.500% due 24/06/20 ......
314
0.08
......
914
0.22
......
......
......
160
394
355
0.04
0.09
0.09
1,823
0.44
410,000
GBP
54,000
JPY 16,000,000
EUR
900,000
0.11
0.07
91
0.02
203
0.05
302
0.07
263
0.06
211
143
0.05
0.04
99
0.02
3,497
0.85
95
0.02
1,084
314
172
173
1,042
317
0.26
0.08
0.04
0.04
0.25
0.08
80,000
Greece (0.04%)
Hellenic Republic
Government International
Bond
JPY 24,000,000 3.800% due 08/08/17 ......
USD
USD
326
0.08
596
158
0.15
0.04
Credit Suisse Group Funding
Guernsey Ltd
250,000 3.125% due 10/12/20 ......
300,000 3.800% due 15/09/22 ......
900,000
ISK 20,800,000
47,725,321
46,361,905
100,000
700,000
436
285
0.100% due 15/04/23 ......
KFW
0.625% due 15/01/25 ......
5.750% due 07/06/32 ......
2.600% due 20/06/37 ......
Muenchener
RueckversicherungsGesellschaft AG
6.250% due 26/05/42 ......
Red & Black Auto Germany
2
0.128% due 15/09/22 ......
State of Hesse
0.375% due 04/07/22 ......
State of North RhineWestphalia
0.625% due 17/11/23 ......
Unitymedia Hessen GmbH
& Co KG
5.625% due 15/04/23 ......
Fund
%
987
71,182
344
Fair Value
EUR ‘000
Iceland (0.44%)
Iceland Government
International Bond
5.875% due 11/05/22
Iceland Rikisbref
7.250% due 26/10/22
8.000% due 12/06/25
6.500% due 24/01/31
31 March 2016
Principal
Amount
EUR
500,000
450,000
IDR
13,736,000,000
USD
200,000
810,000
185,000
150,000
EUR
100,000
150,000
250,000
221,573
168,035
2,590,000
315,000
437,280
300,000
190,000
ILS
EUR
Fair Value
EUR ‘000
Indonesia (0.68%)
Indonesia Government
International Bond
2.875% due 08/07/21 .......
3.375% due 30/07/25 .......
7.875% due 15/04/19 .......
Pertamina Persero PT
4.300% due 20/05/23 .......
Perusahaan Penerbit SBSN
Indonesia III
4.550% due 29/03/26 .......
Ireland (1.46%)
AerCap Ireland Capital Ltd
3.750% due 15/05/19 .......
4.250% due 01/07/20 .......
Allied Irish Banks Plc
4.125% due 26/11/25 .......
Aquarius and Investments
Plc for Zurich Insurance Co
Ltd
4.250% due 02/10/43 .......
Avoca CLO XI Ltd
3.251% due 15/07/27 .......
German Residential Funding
Ltd
0.949% due 27/08/24 .......
Ireland Government Bond
3.900% due 20/03/23 .......
5.400% due 13/03/25 .......
2.000% due 18/02/45 .......
Lansdowne Mortgage
Securities No 2 Plc
0.114% due 16/09/48 .......
Orwell Park CLO
Designated Activity Co
3.250% due 18/07/29 .......
Taurus 2016-1 DEU DAC
1.300% due 17/11/26 .......
Israel (0.02%)
Israel Government Bond
301,000 3.750% due 31/03/24 .......
300,000
118,261
100,000
100,000
Italy (2.95%)
2i Rete Gas SpA
1.750% due 16/07/19 .......
Asti RMBS Srl
1.009% due 27/12/60 .......
Autostrade per l'Italia SpA
1.125% due 04/11/21 .......
1.875% due 04/11/25 .......
Fund
%
Principal
Amount
Fair Value
EUR ‘000
245,000
516
451
0.13
0.11
919
0.23
172
0.04
300,000
920,000
52,071
349,787
713
0.17
2,771
0.68
157,663
161,879
162
133
0.04
0.03
96
0.02
164
0.04
224
0.06
223
0.05
209
3,654
339
0.05
0.89
0.08
311
0.08
275
0.07
190
0.05
5,980
1.46
82
0.02
116,515
GBP
EUR
85,000
289,000
100,000
698,000
595,000
1,048,579
900,000
856,810
219,000
265,000
216,526
157,000
145,000
600,000
160,000
GBP
200,000
EUR
150,942
1
173,378
314
0.08
187,972
119
0.03
138,000
103
107
0.02
0.03
34,042
1.750% due 26/06/26 ......
Banca Carige SpA
3.875% due 24/10/18 ......
Banca Monte dei Paschi di
Siena SpA
2.125% due 26/11/25 ......
Berica 8 Residential MBS
Srl
0.066% due 31/03/48 ......
Berica ABS 3 Srl
0.808% due 30/06/61 ......
Berica ABS Srl
0.058% due 31/12/55 ......
Claris ABS 2011 Srl
0.354% due 31/10/60 ......
Claris RMBS 2014 Srl
0.909% due 28/12/61 ......
Enel SpA
5.750% due 22/06/37 ......
6.500% due 10/01/74 ......
Intesa Sanpaolo SpA
2.855% due 23/04/25 ......
Tesoro
4.000% due 01/09/20 ......
5.000% due 01/03/22 ......
2.350% due 15/09/24 ......
5.000% due 01/03/25 ......
3.100% due 15/09/26 ......
4.750% due 01/09/28 ......
5.250% due 01/11/29 ......
1.250% due 15/09/32 ......
5.000% due 01/08/34 ......
4.000% due 01/02/37 ......
5.000% due 01/09/40 ......
2.700% due 01/03/47 ......
Italy Government
International Bond
6.000% due 04/08/28 ......
Marche Mutui 4 Srl
0.175% due 25/02/55 ......
Sestante Finance Srl
Zero Coupon due
23/07/46 ..........................
Siena Mortgages SpA
0.405% due 22/11/70 ......
Siviglia SPV Srl
0.251% due 25/10/55 ......
Snam SpA
1.375% due 19/11/23 ......
Vela Home Srl
0.044% due 25/10/42 ......
Fund
%
258
0.06
324
0.08
947
0.23
51
0.01
352
0.09
157
0.04
161
0.04
117
0.03
132
313
0.03
0.08
98
0.02
814
749
1,226
1,196
1,086
298
382
230
231
192
907
171
0.20
0.18
0.30
0.29
0.26
0.07
0.09
0.06
0.06
0.05
0.22
0.04
311
0.08
150
0.04
-
0.00
172
0.04
184
0.04
144
0.03
33
0.01
31 March 2016
Principal
Amount
Fair Value
EUR ‘000
Voba N 3 Srl
68,999 0.802% due 23/11/47 .......
USD
590,000
JPY 30,000,000
310,450,000
138,050,000
53,550,000
86,400,000
188,350,000
58,000,000
136,450,000
119,500,000
128,500,000
99,450,000
15,000,000
259,550,000
87,000,000
50,000,000
100,000,000
160,000,000
76,100,000
USD
417,000
EUR
300,000
USD
300,000
EUR
USD
Japan (4.96%)
Japan Bank for International
Cooperation
3.375% due 31/07/23 .......
Japan Expressway Holding
and Debt Repayment
Agency
2.850% due 18/03/39 .......
Japan Government Five
Year Bond
0.200% due 20/06/19 .......
0.100% due 20/12/19 .......
0.100% due 20/03/20 .......
Japan Government Ten Year
Bond
1.700% due 20/03/18 .......
1.100% due 20/09/21 .......
0.500% due 20/09/24 .......
Japan Government Thirty
Year Bond
2.000% due 20/12/33 .......
2.300% due 20/03/35 .......
1.700% due 20/12/43 .......
1.500% due 20/12/44 .......
1.400% due 20/12/45 .......
Japan Government Twenty
Year Bond
2.100% due 20/12/27 .......
2.100% due 20/03/30 .......
1.700% due 20/09/32 .......
1.500% due 20/06/34 .......
Japan Government Two
Year Bond
0.100% due 15/08/17 .......
Japanese Government CPI
Linked Bond
0.100% due 10/03/25 .......
Mitsubishi UFJ Financial
Group Inc
3.850% due 01/03/26 .......
SoftBank Group Corp
4.000% due 30/07/22 .......
Sumitomo Mitsui Financial
Group Inc
4.436% due 02/04/24 .......
Delphi Automotive
Plc
60,000 3.150% due 19/11/20 .......
100,000 1.500% due 10/03/25 .......
225,000 4.250% due 15/01/26 .......
Fund
%
69
0.02
12,098
2.95
563
0.14
335
0.08
2,458
1,091
423
0.60
0.27
0.10
700
1,577
477
0.17
0.38
0.12
1,373
1,259
1,304
973
144
0.33
0.31
0.32
0.24
0.03
2,520
866
482
939
0.61
0.21
0.12
0.23
1,254
0.31
Principal
Amount
UBS Group Funding Jersey
Ltd
200,000 3.000% due 15/04/21 ......
0.04
532
0.13
779
0.19
194
0.05
203
0.05
668
0.16
1,065
0.26
USD
Latvia (0.20%)
Latvia Government
International Bond
900,000 2.750% due 12/01/20 ......
806
0.20
EUR
Lithuania (0.05%)
Lithuania Government
International Bond
170,000 2.125% due 29/10/26 ......
195
0.05
225
268
278
0.05
0.07
0.07
397
0.10
86
0.02
70
0.02
4
0.00
1,306
942
62
127
41
0.32
0.23
0.01
0.03
0.01
218
0.05
EUR
Export-Import Bank of
Korea
NOK 1,775,000 3.000% due 22/05/18 ......
Kookmin Bank
USD
230,000 2.125% due 21/10/20 ......
Korea International
Bond
EUR
600,000 2.125% due 10/06/24 ......
USD
249,000
296,000
300,000
EUR
400,000
USD
100,000
381
0.09
GBP
56,012
316
0.08
EUR
3,699
AUD 1,720,000
1,230,000
USD
66,000
EUR
80,000
36,000
0.07
4.96
54
95
207
0.01
0.03
0.05
USD
Kazakhstan (0.19%)
KazAgro National
Management Holding JSC
850,000 3.255% due 22/05/19 ......
0.15
276
Fund
%
176
626
20,337
Fair Value
EUR ‘000
230,000
Luxembourg (1.01%)
Actavis Funding
SCS
3.000% due 12/03/20 ......
4.550% due 15/03/35 ......
4.750% due 15/03/45 ......
Altice Luxembourg SA
7.250% due 15/05/22 ......
ArcelorMittal
6.250% due 05/08/20 ......
Compartment Driver UK
Two SA
0.933% due 25/01/23 ......
ECAR
0.852% due 18/11/20 ......
European Investment
Bank
6.500% due 07/08/19 ......
6.000% due 06/08/20 ......
2.875% due 15/09/20 ......
4.000% due 15/10/37 ......
1.750% due 15/09/45 ......
Holcim US Finance Sarl &
Cie SCS
5.150% due 12/09/23 ......
31 March 2016
Principal
Amount
135,000
EUR
Telecom Italia Capital SA
6.375% due 15/11/33 .......
Macedonia (0.19%)
Macedonia Government
International Bond
600,000 4.875% due 01/12/20 .......
200,000 3.975% due 24/07/21 .......
MYR 5,700,000
2,080,000
7,830,000
2,120,000
5,640,000
8,210,000
USD
Fair Value
EUR ‘000
Malaysia (1.76%)
Malaysia Government
Bond
3.654% due 31/10/19 .......
3.659% due 15/10/20 .......
4.048% due 30/09/21 .......
3.795% due 30/09/22 .......
4.181% due 15/07/24 .......
3.955% due 15/09/25 .......
Mauritius (0.04%)
MTN Mauritius Investment
Ltd
200,000 4.755% due 11/11/24 .......
410,000
200,000
MXN
21,540,000
45,340,000
45,139,300
12,895,800
47,154,800
7,530,000
18,200,000
5,900,000
5,500,000
20,035,000
USD
226,000
EUR 1,230,000
200,000
Mexico (3.77%)
BBVA Bancomer SA
4.375% due 10/04/24 .......
Cemex SAB de CV
7.750% due 16/04/26 .......
Mexican Bonos
7.750% due 14/12/17 .......
8.000% due 11/06/20 .......
6.500% due 10/06/21 .......
6.500% due 09/06/22 .......
10.000% due 05/12/24 .....
5.750% due 05/03/26 .......
7.500% due 03/06/27 .......
7.750% due 29/05/31 .......
8.500% due 18/11/38 .......
7.750% due 13/11/42 .......
Mexico Government
International Bond
3.625% due 15/03/22 .......
3.625% due 09/04/29 .......
4.000% due 15/03/15 .......
Morocco (0.34%)
Morocco Government
International Bond
517,000 5.375% due 27/06/17 .......
200,000 4.500% due 05/10/20 .......
Fund
%
Principal
Amount
USD
117
0.03
4,141
1.01
600
191
0.14
0.05
791
0.19
1,295
473
1,798
479
1,296
1,867
0.32
0.11
0.44
0.12
0.32
0.45
7,208
1.76
159
0.04
EUR
USD
263,000
4.250% due 11/12/22 ......
OCP SA
200,000 5.625% due 25/04/24 ......
215,000 6.875% due 25/04/44 ......
100,000
270,000
260,000
EUR
200,000
150,000
USD
EUR
240,000
115,000
120,000
USD
270,000
300,000
373
0.09
180
0.05
1,169
2,566
2,430
693
3,105
380
1,036
341
342
1,158
0.29
0.63
0.59
0.17
0.76
0.09
0.25
0.08
0.08
0.28
Fair Value
EUR ‘000
EUR
289,273
100,000
62,600
USD
GBP
100,000
300,000
500,000
60,000
260,000
EUR
130,000
USD
161,000
Netherlands (1.14%)
ABN Amro Bank NV
2.875% due 30/06/25 ......
4.750% due 28/07/25 ......
Bharti Airtel International
Netherlands BV
5.125% due 11/03/23 ......
Cooperatieve Rabobank
UA
6.875% due 19/03/20 ......
CRH Funding BV
1.875% due 09/01/24 ......
EDP Finance BV
4.125% due 15/01/20 ......
2.375% due 23/03/23 ......
2.000% due 22/04/25 ......
Embraer Netherlands
Finance BV
5.050% due 15/06/25 ......
LeasePlan Corp NV
2.500% due 16/05/18 ......
Bond
4.000% due 15/07/19 ......
2.250% due 15/07/22 ......
3.750% due 15/01/42 ......
BV
7.875% due 15/03/19 ......
3.522% due 17/03/20 ......
4.875% due 17/03/20 ......
4.375% due 20/05/23 ......
6.250% due 14/12/26 ......
Schaeffler Finance BV
2.500% due 15/05/20 ......
BV
4.375% due 11/05/45 ......
SNS Bank NV
3.750% due 05/11/25 ......
Vonovia Finance BV
3.200% due 02/10/17 ......
2.250% due 15/12/23 ......
205
1,325
175
0.05
0.32
0.04
EUR
557,000
15,478
3.77
USD
EUR
300,000
200,000
AUD
New Zealand (2.13%)
Fonterra Co-operative Group
Ltd
400,000 4.500% due 30/06/21 ......
549
219
0.13
0.05
Fund
%
236
0.06
183
196
0.05
0.05
1,383
0.34
102
240
0.03
0.06
244
0.06
236
0.06
159
0.04
212
118
117
0.05
0.03
0.03
209
0.05
261
0.06
331
115
104
0.08
0.03
0.03
84
203
366
39
229
0.02
0.05
0.09
0.01
0.06
133
0.03
142
0.03
544
0.13
266
214
0.06
0.05
4,668
1.14
280
0.07
31 March 2016
Principal
Amount
Fair Value
EUR ‘000
NZD 3,920,000
3,420,000
450,000
1,080,000
1,513,000
1,360,000
947,000
New Zealand Government
Bond
6.000% due 15/12/17 .......
5.000% due 15/03/19 .......
3.000% due 15/04/20 .......
6.000% due 15/05/21 .......
5.500% due 15/04/23 .......
2.000% due 20/09/25 .......
2.500% due 20/09/35 .......
NOK 1,019,000
1,557,000
7,780,000
14,345,000
8,670,000
15,700,000
Norway (1.38%)
Norway Government
Bond
4.250% due 19/05/17 .......
4.500% due 22/05/19 .......
3.750% due 25/05/21 .......
2.000% due 24/05/23 .......
3.000% due 14/03/24 .......
1.500% due 19/02/26 .......
EUR
Peru (0.10%)
Peruvian Government
International Bond
410,000 3.750% due 01/03/30 .......
USD
Philippines (0.04%)
Philippine Government
International Bond
129,000 6.375% due 23/10/34 .......
PLN 1,340,000
995,000
3,221,000
EUR
280,000
65,217
150,000
535,627
420,121
Poland (0.42%)
3.250% due 25/07/19 .......
1.500% due 25/04/20 .......
4.000% due 25/10/23 .......
Poland Government
International Bond
5.625% due 20/06/18 .......
Portugal (0.30%)
Portugal Obrigacoes do
Tesouro OT
4.950% due 25/10/23 .......
5.650% due 15/02/24 .......
2.875% due 15/10/25 .......
2.875% due 21/07/26 .......
Romania (0.31%)
Romanian Government
International Bond
120,000 2.875% due 28/10/24 .......
660,000 2.750% due 29/10/25 .......
Fund
%
Principal
Amount
440,000
2,549
2,259
283
776
1,098
863
611
0.62
0.55
0.07
0.19
0.27
0.21
0.15
8,719
2.13
113
186
953
1,641
1,062
1,714
0.03
0.04
0.23
0.40
0.26
0.42
5,669
1.38
418
0.10
160
USD
SGD 1,130,000
630,000
744,000
1,190,000
EUR
800,000
490,000
600,000
EUR
100,000
0.04
332
231
837
0.08
0.06
0.20
315
0.08
1,715
0.42
ZAR 2,800,000
23,253,481
20,510,000
13,530,000
EUR
650,000
600,000
76
182
541
418
0.02
0.05
0.13
0.10
1,217
0.30
126
680
0.03
0.17
500,000
CAD
200,000
USD
EUR
200,000
200,000
EUR
3.875% due 29/10/35 ......
Singapore (0.64%)
Flextronics International Ltd
4.750% due 15/06/25 ......
Singapore Government Bond
2.000% due 01/07/20 ......
3.125% due 01/09/22 ......
3.000% due 01/09/24 ......
2.375% due 01/06/25 ......
Slovakia (0.09%)
Slovakia Government
International Bond
350,000 4.375% due 15/05/17 ......
USD
90,000
Fair Value
EUR ‘000
310,000
465,000
80,000
800,000
Slovenia (0.47%)
Slovenia Government
International Bond
4.125% due 18/02/19
5.850% due 10/05/23
5.250% due 18/02/24
Slovenska izvozna in
razvojna banka dd
0.875% due 04/08/18
......
......
......
......
Bond
8.000% due 21/12/18 ......
6.750% due 31/03/21 ......
10.500% due 21/12/26 ....
6.500% due 28/02/41 ......
Spain (1.70%)
Autonomous Community of
Catalonia
4.750% due 04/06/18 ......
Bankia SA
4.000% due 22/05/24 ......
Ibercaja Banco SA
5.000% due 28/07/25 ......
Instituto de Credito Oficial
5.000% due 31/03/20 ......
Santander Issuances SAU
5.179% due 19/11/25 ......
3.250% due 04/04/26 ......
4.000% due 30/04/20 ......
5.850% due 31/01/22 ......
5.400% due 31/01/23 ......
2.750% due 31/10/24 ......
Fund
%
458
0.11
1,264
0.31
78
0.02
763
448
529
812
0.18
0.11
0.13
0.20
2,630
0.64
368
0.09
742
497
591
0.18
0.12
0.14
102
0.03
1,932
0.47
165
1,280
1,338
560
0.04
0.31
0.32
0.14
3,343
0.81
649
0.16
577
0.14
466
0.11
149
0.04
170
200
0.04
0.05
356
605
104
897
0.09
0.15
0.02
0.22
31 March 2016
Principal
Amount
Fair Value
EUR ‘000
1,269,000
270,000
51,000
415,000
51,000
USD
1.600% due 30/04/25 .......
5.150% due 31/10/28 .......
5.750% due 30/07/32 .......
4.200% due 31/01/37 .......
4.700% due 30/07/41 .......
Telefonica Emisiones SAU
35,000 5.462% due 16/02/21 .......
235,000 4.570% due 27/04/23 .......
165,000 7.045% due 20/06/36 .......
Sweden (0.21%)
Stadshypotek AB
AUD 600,000 4.250% due 10/10/17 .......
Sweden Government
Bond
SEK 2,395,000 1.500% due 13/11/23 .......
1,295,000 2.500% due 12/05/25 .......
EUR
AUD
CHF
350,000
810,000
245,000
305,000
100,000
51,000
EUR
766,000
Switzerland (0.60%)
Credit Suisse AG
1.125% due 15/09/20 .......
Eurofima
6.250% due 28/12/18 .......
Raiffeisen Schweiz
Genossenschaft
3.000%* ..........................
Switzerland Government
Bond
3.000% due 12/05/19 .......
1.500% due 24/07/25 .......
1.250% due 27/06/37 .......
UBS AG
4.750% due 12/02/26 .......
Thailand (0.09%)
Thailand Government
Bond
THB 13,126,000 5.625% due 12/01/19 .......
Fund
%
Principal
Amount
1,304
373
78
542
72
0.32
0.09
0.02
0.13
0.02
GBP
35,594
EUR
135,000
35
226
184
0.01
0.05
0.04
USD
EUR
USD
400,000
250,000
200,000
6,987
1.70
EUR
200,000
175,000
GBP
387,892
EUR
46,162
GBP
150,000
412
0.10
282
165
0.07
0.04
859
0.21
358
0.09
69,733
598
0.14
206,098
229
0.05
315
108
59
0.08
0.03
0.01
804
0.20
2,471
0.60
EUR
100,000
GBP
71,701
250,000
97,886
EUR
120,000
365
0.09
USD
TRY
USD
Turkey (0.04%)
Turkey Government
Bond
489,407 8.800% due 14/11/18 .......
United Arab Emirates (0.06%)
DP World Ltd
100,000 6.850% due 02/07/37 .......
Emirates
Telecommunications Group
Co PJSC
200,000 2.375% due 18/06/19 .......
450,000
GBP
150
0.04
90
0.02
569,000
75,000
135,000
100,000
110,000
EUR
177
0.04
267
0.06
USD
100,000
263,000
300,000
400,000
Fair Value
EUR ‘000
Auburn Securities 4 Plc
0.911% due 01/10/41 ......
Aviva Plc
6.125% due 05/07/43 ......
Barclays Bank Plc
7.750% due 10/04/23 ......
2.625% due 11/11/25 ......
5.250% due 17/08/45 ......
British Telecommunications
Plc
0.625% due 10/03/21 ......
1.125% due 10/03/23 ......
Business Mortgage Finance
7 Plc
2.593% due 15/02/41 ......
Clavis Securities Plc
Zero Coupon due
15/12/31 ..........................
Co-Operative Bank Plc
4.750% due 11/11/21 ......
E-Carat Plc
0.977% due 18/03/22 ......
Eurosail Plc
0.751% due 10/12/44 ......
FCE Bank Plc
1.528% due 09/11/20 ......
Friary No 2 Plc
1.575% due 21/10/46 ......
Gemgarto 2015-1 Plc
2.693% due 16/02/47 ......
Gemgarto 2015-2 Plc
2.043% due 16/02/54 ......
Great Hall Mortgages No 1
Plc
0.300% due 18/06/39 ......
HBOS Plc
4.500% due 18/03/30 ......
HSBC Holdings Plc
3.400% due 08/03/21 ......
4.000% due 30/03/22 ......
5.750% due 20/12/27 ......
Intu SGS Finance Plc
4.250% due 17/09/30 ......
Legal & General Group
Plc
5.500% due 27/06/64 ......
Lloyds Bank Plc
11.875% due 16/12/21 ....
10.375% due 12/02/24 ....
3.500% due 14/05/25 ......
12.000%* ........................
Fund
%
43
0.01
152
0.04
369
231
177
0.09
0.06
0.04
200
177
0.05
0.04
477
0.12
42
0.01
211
0.05
88
0.02
252
0.06
102
0.03
90
0.02
296
0.07
124
0.03
302
0.07
132
0.03
510
69
187
0.12
0.02
0.05
134
0.03
126
0.03
108
324
273
473
0.03
0.08
0.07
0.12
31 March 2016
Principal
Amount
GBP
194,778
20,635
234,000
GBP
300,000
62,512
212,266
USD
GBP
300,000
200,000
127,769
40,680
35,640
32,376
EUR
GBP
USD
37,043
137,244
GBP
130,000
315,000
390,000
USD
GBP
320,000
300,000
USD
EUR
200,000
325,000
USD
380,000
GBP
125,000
310,000
Fair Value
EUR ‘000
Mansard Mortgages
Plc
1.241% due 15/12/49 .......
Motor Plc
1.013% due 25/08/21 .......
Network Rail Infrastructure
Finance Plc
4.375% due 09/12/30 .......
NewDay Funding
3.007% due 15/07/23 .......
OAK No.1 Plc
1.260% due 26/02/52 .......
Paragon Secured Finance No
1 Plc
2.593% due 15/11/35 .......
Pearson Dollar Finance Two
Plc
6.250% due 06/05/18 .......
Pizzaexpress Financing 2
Plc
6.625% due 01/08/21 .......
Precise Mortgage Funding
Plc
1.391% due 12/09/47 .......
Residential Mortgage
Securities 20 Plc
0.851% due 10/08/38 .......
Securities 21 Plc
0.990% due 12/11/38 .......
Securities 22 Plc
0.953% due 14/11/39 .......
Rmac 2005-Ns3 Plc
0.131% due 12/06/43 .......
0.931% due 12/12/43 .......
Group Plc
6.125% due 15/12/22 .......
5.125% due 28/05/24 .......
5.125% due 13/01/24 .......
Santander UK Group
Holdings Plc
4.750% due 15/09/25 .......
7.375%* ..........................
Sky Plc
3.750% due 16/09/24 .......
2.250% due 17/11/25 .......
5.700% due 26/03/44 .......
Tesco Plc
5.000% due 24/03/23 .......
U.K. Gilt
4.750% due 07/03/20 .......
Fund
%
Principal
Amount
Fair Value
EUR ‘000
340,000
90,000
305,000
100,000
200,000
130,000
200,000
1,105,000
516,058
232
0.06
26
0.01
374
0.09
372
0.09
79
0.02
EUR
125,000
219
0.05
GBP
270,000
100,000
283
0.07
89,734
300,000
258
0.06
USD
159
47
165,000
0.04
0.01
91,159
41
0.01
560,000
1,200,000
38
0.01
34
157
0.01
0.04
352
155,000
95,000
121
266
593
0.03
0.06
0.14
266
349
0.06
0.09
181
338
0.04
0.08
303
0.07
159
0.04
454
0.11
135,000
215,000
27,362
154,886
390,127
37,490
270,623
34,504
834,178
600,000
250,000
3.750% due 07/09/21 ......
5.000% due 07/03/25 ......
4.250% due 07/06/32 ......
4.250% due 07/03/36 ......
4.750% due 07/12/38 ......
4.250% due 07/09/39 ......
4.250% due 07/12/40 ......
3.250% due 22/01/44 ......
3.750% due 22/07/52 ......
Virgin Media Finance Plc
4.500% due 15/01/25 ......
Virgin Media Secured
Finance Plc
6.000% due 15/04/21 ......
4.875% due 15/01/27 ......
Warwick Finance
Residential Mortgages Plc
1.588% due 21/09/49 ......
2.788% due 21/09/49 ......
WPP Finance 2010
5.625% due 15/11/43 ......
A10 Term Asset Financing
LLC
2.620% due 15/11/27 ......
Accredited Mortgage Loan
Trust
0.719% due 25/04/36 ......
0.699% due 25/09/36 ......
AFC Home Equity Loan
Trust
1.149% due 22/12/27 ......
Air Lease Corp
3.750% due 01/02/22 ......
4.250% due 15/09/24 ......
Ally Financial Inc
3.500% due 27/01/19 ......
4.125% due 13/02/22 ......
Alternative Loan Trust
5.250% due 25/06/35 ......
1.787% due 25/11/35 ......
1.377% due 25/12/35 ......
6.250% due 25/08/37 ......
0.649% due 20/03/46 ......
0.623% due 25/09/46 ......
0.573% due 25/04/47 ......
American Express Credit
Account Master Trust
1.260% due 15/01/20 ......
Corp
1.125% due 05/06/17 ......
Fund
%
495
149
507
169
367
224
349
1,672
907
0.12
0.04
0.12
0.04
0.09
0.05
0.09
0.41
0.22
122
0.03
356
121
0.09
0.03
111
330
0.03
0.08
150
0.04
17,047
4.16
79
0.02
428
886
0.10
0.22
-
0.00
136
83
0.03
0.02
117
186
0.03
0.05
22
111
288
27
173
27
613
0.01
0.03
0.07
0.01
0.04
0.01
0.15
528
0.13
219
0.05
31 March 2016
Principal
Amount
311,110
100,000
200,000
160,000
410,000
234,566
210,000
180,000
55,000
215,000
519,000
280,000
570,000
764,000
400,000
200,000
200,000
79,000
410,000
300,000
300,000
195,000
280,000
200,000
510,000
220,000
550,000
77,015
50,153
Fair Value
EUR ‘000
American Home Mortgage
Assets Trust
1.051% due 25/02/47 .......
American International
Group Inc
4.800% due 10/07/45 .......
AmeriCredit Automobile
Receivables
1.520% due 10/06/19 .......
AmeriCredit Automobile
Receivables Trust
1.520% due 08/01/19 .......
Ameriquest Mortgage
Securities Asset-Backed
Pass-Through Certificates
1.549% due 25/03/35 .......
0.869% due 25/07/35 .......
Anadarko Petroleum Corp
4.850% due 15/03/21 .......
5.550% due 15/03/26 .......
6.600% due 15/03/46 .......
Finance Inc
2.650% due 01/02/21 .......
3.650% due 01/02/26 .......
4.700% due 01/02/36 .......
4.900% due 01/02/46 .......
Apple Inc
0.869% due 03/05/18 .......
AT&T Inc
1.700% due 01/06/17 .......
2.800% due 17/02/21 .......
3.400% due 15/05/25 .......
4.750% due 15/05/46 .......
5.650% due 15/02/47 .......
AvalonBay Communities
Inc
3.500% due 15/11/24 .......
Aviation Capital Group Corp
7.125% due 15/10/20 .......
4.875% due 01/10/25 .......
BA Credit Card Trust
5.170% due 15/06/19 .......
BAMLL Commercial
Mortgage Securities Trust
3.433% due 15/03/28 .......
Banc of America
Commercial Mortgage Trust
5.421% due 10/10/45 .......
5.716% due 10/06/49 .......
Banc of America Funding
Trust
2.964% due 20/07/36 .......
3.232% due 20/10/46 .......
3.023% due 20/01/47 .......
Fund
%
152
0.04
87
0.02
176
0.04
140
0.03
Principal
Amount
106,735
925,000
500,000
200,000
205,000
225,000
280,000
283
206
0.07
0.05
186
160
49
0.05
0.04
0.01
194
480
266
560
0.05
0.12
0.06
0.14
669
0.16
353
180
176
68
399
0.09
0.04
0.04
0.02
0.10
273
0.07
298
170
0.07
0.04
254
0.06
176
0.04
447
192
0.11
0.05
380,319
830,000
129,892
179,171
46,984
141,703
331,202
319,415
87,288
76,420
36,518
471
50
37
0.11
0.01
0.01
260,705
39,982
85,837
50,000
150,000
400,000
610,000
EUR
170,000
USD
200,000
780,000
450,000
Fair Value
EUR ‘000
Banc of America Mortgage
Trust
2.771% due 25/05/35 ......
Bank of America Corp
6.400% due 28/08/17 ......
6.875% due 25/04/18 ......
3.300% due 11/01/23 ......
3.950% due 21/04/25 ......
Bay Area Toll Authority
6.263% due 01/04/49 ......
Bayer US Finance LLC
3.375% due 08/10/24 ......
Bayview Commercial Asset
Trust
0.869% due 25/08/34 ......
BCAP LLC Trust
0.726% due 26/07/45 ......
2.791% due 25/01/35 ......
3.090% due 25/03/35 ......
Bear Stearns Alt-A Trust
2.792% due 25/09/35 ......
2.871% due 25/11/35 ......
2.521% due 25/01/36 ......
2.620% due 25/08/36 ......
3.111% due 25/08/36 ......
2.811% due 25/11/36 ......
Bear Stearns Asset Backed
Securities Trust
0.549% due 25/04/31 ......
Bear Stearns Second Lien
Trust
0.933% due 25/12/36 ......
Bear Stearns Structured
Products Inc
2.776% due 26/01/36 ......
2.414% due 26/12/46 ......
Becton Dickinson and
Co
3.734% due 15/12/24 ......
BLCP Hotel Trust
2.933% due 15/08/29 ......
BMW US Capital LLC
0.973% due 02/06/17 ......
Boca Hotel Portfolio
Trust
3.483% due 15/08/26 ......
BorgWarner Inc
1.800% due 07/11/22 ......
Brambles USA Inc
4.125% due 23/10/25 ......
BXHTL 2015-JWRZ
Mortgage Trust
3.283% due 15/05/29 ......
3.662% due 15/05/29 ......
Fund
%
88
0.02
863
482
177
179
0.21
0.12
0.04
0.04
279
0.07
259
0.06
303
0.07
648
111
157
0.16
0.03
0.04
34
92
238
206
57
46
0.01
0.02
0.06
0.05
0.01
0.01
32
0.01
222
0.05
27
53
0.01
0.01
47
0.01
123
0.03
350
0.09
534
0.13
175
0.04
183
0.04
650
377
0.16
0.09
31 March 2016
Principal
Amount
240,000
500,000
189,098
130,000
116,005
415,456
750,000
950,000
50,000
40,000
380,000
26,667
39,457
46,627
41,609
210,000
15,000
100,000
100,000
500,000
716,000
210,000
245,000
95,000
47,185
1
1,413,000
938,407
261,992
300,000
Fair Value
EUR ‘000
Carefree Portfolio Trust
3.017% due 15/11/19 .......
Cargill Inc
6.000% due 27/11/17 .......
CDGJ Commercial
Mortgage Trust
1.833% due 15/12/27 .......
Celgene Corp
5.000% due 15/08/45 .......
Centre Point Funding LLC
2.610% due 20/08/21 .......
CGBAM Commercial
Mortgage Trust
1.233% due 15/02/31 .......
Chase Issuance Trust
0.683% due 15/11/18 .......
0.693% due 16/12/19 .......
Chesapeake Energy Corp
6.625% due 15/08/20 .......
5.375% due 15/06/21 .......
4.875% due 15/04/22 .......
CHL Mortgage PassThrough Trust
2.880% due 19/11/33 .......
1.073% due 25/03/35 .......
2.937% due 20/10/35 .......
2.592% due 20/02/36 .......
Chubb INA Holdings Inc
3.350% due 03/05/26 .......
Cimarex Energy Co
4.375% due 01/06/24 .......
CIT Group Inc
5.250% due 15/03/18 .......
5.500% due 15/02/19 .......
Citibank Credit Card
Issuance Trust
1.020% due 22/02/19 .......
Citigroup Commercial
Mortgage Trust
1.833% due 15/06/33 .......
3.251% due 10/05/35 .......
Citigroup Inc
2.650% due 26/10/20 .......
4.000% due 05/08/24 .......
Citigroup Mortgage Loan
Trust Inc
2.885% due 25/03/34 .......
2.747% due 25/12/35 .......
0.703% due 25/08/36 .......
2.543% due 25/08/36 .......
2.932% due 25/09/37 .......
City of Chicago IL
7.375% due 01/01/33 .......
Fund
%
192
0.05
471
0.11
Principal
Amount
200,000
165
0.04
124
0.03
101
0.02
361
0.09
374,893
500,000
658
834
0.16
0.20
60,000
17
13
118
0.00
0.00
0.03
23
29
37
34
0.01
0.01
0.01
0.01
193
0.05
13
0.00
91
91
0.02
0.02
195,000
900,000
222,644
125,000
205,000
30,000
310,000
491,167
341,717
282,411
24,142
122,921
53,067
700,000
46,754
439
0.11
871,000
609
192
0.15
0.05
135,000
217
84
0.05
0.02
179,182
41
973
697
208
0.01
0.00
0.24
0.17
0.05
270
0.07
201,230
379,776
276,754
42,984
40,000
60,000
Fair Value
EUR ‘000
COBALT CMBS
5.484% due 15/04/47 ......
Columbia Pipeline Group
Inc
4.500% due 01/06/25 ......
Commercial Mortgage Pass
Through Certificates
1.337% due 11/06/27 ......
3.936% due 11/06/27 ......
2.133% due 13/05/31 ......
2.183% due 15/06/34 ......
5.736% due 10/12/49 ......
6.237% due 10/12/49 ......
Concho Resources Inc
5.500% due 01/04/23 ......
Continental Airlines Pass
Thru Certificates
6.125% due 29/04/18 ......
Continental Resources Inc
4.500% due 15/04/23 ......
3.800% due 01/06/24 ......
Countrywide Asset-Backed
Certificates
5.555% due 25/04/36 ......
5.588% due 25/08/36 ......
0.773% due 25/12/36 ......
CPS Auto Receivables Trust
1.210% due 15/08/18 ......
1.110% due 15/11/18 ......
CSAB Mortgage Backed
Trust
5.684% due 25/12/36 ......
CSMC Trust
3.280% due 15/08/30 ......
6.500% due 26/07/36 ......
CVS Health Corp
5.000% due 01/12/24 ......
Delphi Corp
4.150% due 15/03/24 ......
Delta Air Lines Pass
Through Trust
4.250% due 30/07/23 ......
Deutsche Alt-A Securities
Mortgage Loan Trust
0.623% due 25/08/47 ......
0.633% due 25/08/47 ......
Deutsche Alt-B Securities
Mortgage Loan Trust
5.886% due 25/10/36 ......
Devon Energy Corp
3.250% due 15/05/22 ......
5.850% due 15/12/25 ......
Fund
%
181
0.04
175
0.04
169
783
193
108
0.04
0.19
0.05
0.03
342
432
0.08
0.11
52
0.01
189
0.05
22
216
0.01
0.05
429
297
168
0.10
0.07
0.04
21
107
0.01
0.03
24
0.01
593
23
0.14
0.01
878
0.21
122
0.03
154
0.04
264
197
0.06
0.05
31
0.01
30
51
0.01
0.01
31 March 2016
Principal
Amount
25,000
EUR
100,000
USD
400,126
48,498
80,000
400,000
400,000
38,244
220,000
135,000
45,000
93,000
240,000
151,000
110,000
48,123
535,765
509,386
217,941
USD
86,600
235,441
7,085
651,612
839,140
USD
918,877
1,031,458
669,294
2,205,000
1,150,000
940,000
3,000,000
3,000,000
2,000,000
USD
166,906
Fair Value
EUR ‘000
Diamond Offshore Drilling
Inc
4.875% due 01/11/43 .......
Discovery Communications
LLC
1.900% due 19/03/27 .......
DSLA Mortgage Loan Trust
1.256% due 19/09/44 .......
DT Auto Owner Trust
2.640% due 15/10/19 .......
3.540% due 15/10/21 .......
eBay Inc
0.821% due 28/07/17 .......
Education Realty Operating
Partnership LP
4.600% due 01/12/24 .......
EMC Mortgage Loan Trust
1.173% due 25/05/40 .......
Energy Transfer Partners LP
3.600% due 01/02/23 .......
5.150% due 15/03/45 .......
6.125% due 15/12/45 .......
EnLink Midstream Partners
LP
5.050% due 01/04/45 .......
Extended Stay America
Trust
2.295% due 05/12/31 .......
Exxon Mobil Corp
3.043% due 01/03/26 .......
4.114% due 01/03/46 .......
Fannie Mae Grantor Trust
6.000% due 25/02/44 .......
Fannie Mae Pool
2.500% due 15/04/31 .......
3.000% due 15/04/31 .......
3.500% due 15/04/31 .......
2.255% due 01/12/34 .......
2.535% due 01/02/35 .......
1.550% due 01/10/44 .......
3.000% due 15/04/46 .......
3.500% due 15/04/46 .......
4.000% due 15/04/46 .......
4.500% due 15/04/46 .......
5.500% due 15/04/46 .......
3.000% due 15/05/46 .......
3.500% due 15/05/46 .......
4.000% due 15/05/46 .......
3.500% due 15/06/46 .......
4.000% due 15/06/46 .......
4.500% due 15/06/46 .......
Fannie Mae REMIC Trust
6.000% due 25/07/44 .......
Fund
%
15
0.00
87
0.02
335
0.08
43
71
0.01
0.02
348
0.08
348
0.08
Principal
Amount
26,331
80,450
109,998
38,155
254,983
595,400
560,007
534,552
241,549
47,152
30
0.01
168
92
36
0.04
0.02
0.01
55
0.01
164,000
211
0.05
136
103
0.03
0.02
49
0.01
483
467
202
79
217
6
587
772
862
985
659
1,981
1,055
880
2,750
2,803
1,906
0.12
0.11
0.05
0.02
0.05
0.00
0.14
0.19
0.21
0.24
0.16
0.48
0.26
0.21
0.67
0.68
0.46
170
0.04
8,271
53,722
332,379
152,926
AUD
USD
310,000
380,000
2,505,000
387,834
518,692
297,189
USD
900,000
702,637
5,000
105,000
105,000
200,000
400,000
40,000
295,000
190,000
170,000
160,000
Fair Value
EUR ‘000
Fannie Mae REMICS
1.089% due 25/09/23 ......
6.000% due 25/06/33 ......
0.559% due 25/03/34 ......
6.000% due 25/04/43 ......
0.789% due 25/09/42 ......
First Frankin Mortgage Loan
Trust
0.929% due 25/09/35 ......
First Horizon Alternative
Mortgage Securities Trust
5.500% due 25/09/35 ......
1.083% due 25/11/35 ......
1.133% due 25/12/35 ......
First Horizon Asset
Securities Inc
5.250% due 25/03/35 ......
FirstEnergy Corp
4.250% due 15/03/23 ......
Flagship Credit Auto Trust
1.320% due 16/04/18 ......
1.430% due 16/12/19 ......
0.820% due 15/12/17 ......
0.790% due 15/05/18 ......
Ford Motor Credit Co LLC
4.050% due 10/12/18 ......
3.664% due 08/09/24 ......
Freddie Mac Gold Pool
3.000% due 15/04/31 ......
3.000% due 15/04/46 ......
3.500% due 15/04/46 ......
4.000% due 15/04/46 ......
4.500% due 15/04/46 ......
5.000% due 15/04/46 ......
Freeport-McMoRan Inc
5.400% due 14/11/34 ......
5.450% due 15/03/43 ......
Fresenius US Finance II
Inc
4.500% due 15/01/23 ......
General Electric Co
4.625% due 30/01/43 ......
General Mills Inc
5.650% due 15/02/19 ......
General Motors Co
6.250% due 02/10/43 ......
General Motors Financial Co
Inc
4.375% due 25/09/21 ......
3.450% due 10/04/22 ......
4.000% due 15/01/25 ......
Gilead Sciences Inc
4.750% due 01/03/46 ......
Fund
%
23
15
96
37
223
0.01
0.00
0.02
0.01
0.05
510
0.12
434
318
145
0.11
0.08
0.04
43
0.01
150
0.04
7
47
292
134
0.00
0.01
0.07
0.03
211
337
0.05
0.08
2,297
349
476
278
858
678
0.56
0.08
0.12
0.07
0.21
0.17
3
57
0.00
0.01
94
0.02
176
0.04
390
0.09
38
0.01
268
164
145
0.07
0.04
0.04
154
0.04
31 March 2016
Principal
Amount
5,064
4,112
564,980
1,496,382
1,909,612
426,959
USD
485,000
214,069
113,762
81,477
119,588
80,929
120,513
116,233
85,391
136,053
AUD
USD
GBP
USD
600,000
90,000
106,000
282,853
295,257
399,234
296,792
500,172
399,850
200,063
129,159
491,468
55,859
210,990
210,620
35,526
43,030
70,000
500,000
100,000
135,000
Fair Value
EUR ‘000
Ginnie Mae II pool
1.875% due 20/09/25 .......
1.875% due 20/09/26 .......
3.000% due 15/04/46 .......
3.500% due 15/04/46 .......
4.000% due 15/04/46 .......
4.500% due 15/04/46 .......
3.500% due 15/05/46 .......
4.654% due 20/03/62 .......
2.755% due 20/10/63 .......
2.220% due 20/05/64 .......
4.668% due 20/05/64 .......
4.622% due 20/07/64 .......
4.674% due 20/07/64 .......
2.510% due 20/11/64 .......
2.593% due 20/11/64 .......
4.563% due 20/02/65 .......
Goldman Sachs Group Inc
4.240% due 29/11/17 .......
3.850% due 08/07/24 .......
4.250% due 29/01/26 .......
Government National
Mortgage Association
0.898% due 20/06/65 .......
1.038% due 20/07/65
(FM) ................................
1.038% due 20/07/65
(FB) .................................
1.038% due 20/09/65 .......
0.958% due 20/10/65 .......
1.188% due 20/12/65 .......
1.000% due 20/01/66 .......
GP Portfolio Trust
1.383% due 15/02/27 .......
Greenpoint Manufactured
Housing
7.270% due 15/06/29 .......
Greenpoint Mortgage
Funding Trust
0.703% due 25/11/45 .......
GSR Mortgage Loan
Trust
2.838% due 25/09/35 .......
2.910% due 25/01/36 .......
Harborview Mortgage Loan
Trust
2.809% due 19/05/33 .......
0.616% due 19/07/46 .......
HCA Holdings Inc
6.250% due 15/02/21 .......
HCA Inc
3.750% due 15/03/19 .......
6.500% due 15/02/20 .......
4.750% due 01/05/23 .......
Fund
%
Principal
Amount
85,000
5
4
514
1,387
1,790
402
449
199
107
75
118
80
120
109
81
135
0.00
0.00
0.13
0.34
0.44
0.10
0.11
0.05
0.03
0.02
0.03
0.02
0.03
0.03
0.02
0.03
410
82
146
0.10
0.02
0.04
55,000
110,000
562,000
700,000
266,000
593,263
87,289
699,957
125,000
EUR
300,000
USD
340,000
246
0.06
253
0.06
342
254
433
346
176
0.08
0.06
0.11
0.08
0.04
268,593
111
0.03
101,470
203,081
426
0.10
210,000
182,925
472,992
NZD 1,020,000
42
0.01
186
172
0.05
0.04
USD
700,000
31
22
0.01
0.01
340,000
66
0.02
205,000
451
97
121
0.11
0.02
0.03
146,410
396,629
92,000
Fair Value
EUR ‘000
5.375% due 01/02/25 ......
Hewlett Packard Enterprise
Co
6.200% due 15/10/35 ......
6.350% due 15/10/45 ......
Home Equity Asset Trust
0.849% due 25/04/36 ......
0.829% due 25/07/36 ......
0.719% due 25/08/36 ......
Home Equity Mortgage
Loan Asset-Backed Trust
0.599% due 25/07/37 ......
Home Equity Mortgage
Trust
6.000% due 25/01/37 ......
Honda Auto Receivables
Owner Trust
0.690% due 21/08/17 ......
0.920% due 20/11/17 ......
Honeywell International Inc
0.650% due 21/02/20 ......
Hudsons Bay Simon JV
Trust
4.087% due 05/08/34 ......
Hyatt Hotel Portfolio Trust
1.683% due 15/11/29 ......
Hyundai Auto Receivables
Trust
1.010% due 15/02/18 ......
IndyMac INDA Mortgage
Loan Trust
3.123% due 25/03/37 ......
3.036% due 25/07/37 ......
IndyMac INDX Mortgage
Loan Trust
0.679% due 25/07/35 ......
0.706% due 25/06/37 ......
Inter-American
Development Bank
6.000% due 15/12/17 ......
International Bank for
Reconstruction &
Development
4.750% due 15/02/35 ......
International Business
Machines Corp
0.988% due 12/02/19 ......
INVISTA Finance LLC
4.250% due 15/10/19 ......
Iowa Tobacco Settlement
Authority
6.500% due 01/06/23 ......
IXIS Real Estate Capital
Trust
0.633% due 25/03/36 ......
0.733% due 25/03/36 ......
Fund
%
76
0.02
48
95
0.01
0.02
399
473
198
0.10
0.12
0.05
311
0.08
37
0.01
614
110
0.15
0.03
303
0.07
294
0.07
183
0.04
236
0.06
149
366
0.04
0.09
77
125
0.02
0.03
656
0.16
105
0.03
611
0.15
288
0.07
181
0.04
75
209
0.02
0.05
31 March 2016
Principal
Amount
777,935
1,231,899
100,000
135,000
125,192
124,260
500,000
270,000
196,192
160,000
178,960
118,512
68,590
262,842
282,407
55,092
735,072
EUR
250,000
300,000
400,000
300,000
70,000
170,000
USD
100,000
200,000
463,000
259,593
170,000
491,000
450,000
GBP
600,000
130,000
95,000
225,000
Fair Value
EUR ‘000
0.593% due 25/08/36 .......
0.543% due 25/05/37 .......
Johnson & Johnson
3.700% due 01/03/46 .......
JP Morgan Chase
Commercial Mortgage
Securities Trust
1.633% due 15/08/27 .......
2.183% due 15/12/30 .......
1.413% due 15/07/31 .......
1.683% due 15/01/32 .......
5.440% due 15/05/45 .......
5.440% due 12/06/47 .......
6.087% due 12/02/51 .......
5.716% due 15/02/51 .......
JP Morgan Mortgage
Trust
2.689% due 25/07/35 .......
2.775% due 25/07/35 .......
2.774% due 25/08/35 .......
7.000% due 25/08/37 .......
JP Morgan Resecuritization
Trust
2.174% due 26/09/35 .......
1.975% due 26/01/37 .......
JPMorgan Chase & Co
1.538% due 25/01/18 .......
2.550% due 29/10/20 .......
2.115% due 01/03/21 .......
3.875% due 01/02/24 .......
3.125% due 23/01/25 .......
1.500% due 27/01/25 .......
KB Home
4.750% due 15/05/19 .......
Kinder Morgan Inc
4.300% due 01/06/25 .......
KLA-Tencor Corp
4.650% due 01/11/24 .......
LB-UBS Commercial
Mortgage Trust
5.430% due 15/02/40 .......
5.484% due 15/02/40 .......
6.448% due 15/09/45 .......
Lehman ABS Manufactured
Housing Contract Trust
6.630% due 15/04/40 .......
Lehman Brothers Holdings
Inc
7.875% due 08/05/18 .......
Lennar Corp
4.875% due 15/12/23 .......
4.750% due 30/05/25 .......
Liberty Mutual Group Inc
4.850% due 01/08/44 .......
Fund
%
Principal
Amount
252
366
0.06
0.09
92
0.02
118
109
109
433
239
175
147
162
0.03
0.03
0.03
0.11
0.06
0.04
0.04
0.04
103
59
230
225
0.02
0.01
0.06
0.05
48
529
0.01
0.13
220
267
357
281
62
173
0.05
0.06
0.09
0.07
0.01
0.04
88
0.02
167
0.04
410
0.10
233
149
422
0.06
0.04
0.10
418
0.10
100,000
59
0.01
545,000
115
82
0.03
0.02
55,000
430,000
5,000
100,000
85,000
381,576
529,601
1,110,585
467,327
275,182
80,000
205,000
100,000
505,000
392,491
95,457
739,000
176,598
393,181
129,593
75,000
285,000
295,352
190
120,000
EUR 1,027,000
USD
250,000
210,000
383,000
Fair Value
EUR ‘000
Los Angeles County Public
Works Financing Authority
7.488% due 01/08/33 ......
Masco Corp
3.500% due 01/04/21 ......
Mastr Asset Backed
Securities Trust
0.939% due 25/11/35 ......
1.139% due 25/11/35 ......
0.583% due 25/08/36 ......
0.643% due 25/10/36 ......
0.593% due 25/11/36 ......
McGraw Hill Financial
Inc
3.300% due 14/08/20 ......
4.400% due 15/02/26 ......
Meccanica Holdings USA
Inc
6.250% due 15/01/40 ......
Merck & Co Inc
0.978% due 18/05/18 ......
Merrill Lynch Mortgage
Investors Trust
1.053% due 25/08/28 ......
1.904% due 25/10/35 ......
2.722% due 25/12/35 ......
2.279% due 25/02/36 ......
1.039% due 25/09/36 ......
2.656% due 25/06/37 ......
MetLife Inc
4.050% due 01/03/45 ......
Micron Technology
Inc
5.250% due 01/08/23 ......
Mid-State Capital Trust
6.497% due 15/08/37 ......
Morgan Stanley
3.750% due 25/02/23 ......
1.750% due 11/03/24 ......
Morgan Stanley Capital I
Trust
5.820% due 11/06/42 ......
5.692% due 15/04/49 ......
5.574% due 12/11/49 ......
Morgan Stanley Re-REMIC
Trust
5.987% due 12/08/45 ......
Morgan Stanley
Resecuritization Trust
0.696% due 26/04/47 ......
MPLX LP
5.500% due 15/02/23 ......
4.500% due 15/07/23 ......
4.875% due 01/12/24 ......
Fund
%
120
0.03
76
0.02
210
299
457
239
144
0.05
0.07
0.11
0.06
0.03
73
197
0.02
0.05
84
0.02
444
0.11
330
81
625
153
301
109
0.08
0.02
0.15
0.04
0.07
0.03
62
0.02
206
0.05
279
0.07
110
1,031
0.03
0.25
218
189
324
0.05
0.05
0.08
90
0.02
258
0.06
47
349
4
0.01
0.08
0.00
0.05
31 March 2016
Principal
Amount
300,000
946,000
760,000
100,000
230,000
250,000
160,000
80,000
235,000
92,000
30,000
67,000
655,091
125,000
690,000
207,200
500,000
263,000
778,632
271,992
35,000
125,000
410,000
400,000
135,000
EUR
USD
145,000
65,000
200,000
Fair Value
EUR ‘000
Municipal Electric Authority
of Georgia
6.655% due 01/04/57 .......
Nationstar Home Equity
Loan Trust
0.763% due 25/09/36 .......
0.663% due 25/03/37 .......
Navient Corp
7.250% due 25/01/22 .......
New York City Water &
Sewer System
5.882% due 15/06/44 .......
New York State Dormitory
Authority
5.600% due 15/03/40 .......
Newell Brands Inc
2.600% due 29/03/19 .......
3.150% due 01/04/21 .......
4.200% due 01/04/26 .......
5.500% due 01/04/46 .......
Newfield Exploration Co
5.625% due 01/07/24 .......
NiSource Finance Corp
5.650% due 01/02/45 .......
0.720% due 15/08/18 .......
Noble Energy Inc
5.250% due 15/11/43 .......
Nomura Asset Acceptance
Corp Alternative Loan Trust
1.039% due 25/12/34 .......
2.599% due 25/10/35 .......
Nomura Resecuritization
Trust
0.586% due 26/10/36 .......
0.596% due 26/10/36 .......
1.312% due 26/06/46 .......
1.092% due 26/04/47 .......
Omnicom Group Inc
3.650% due 01/11/24 .......
OneMain Financial Issuance
Trust
4.100% due 20/03/28 .......
Park Place Securities Inc
0.903% due 25/09/35 .......
Pfizer Inc
0.768% due 15/05/17 .......
0.934% due 15/06/18 .......
Philip Morris International
Inc
2.750% due 19/03/25 .......
Pioneer Natural Resources
Co
3.450% due 15/01/21 .......
3.950% due 15/07/22 .......
Fund
%
Principal
Amount
140,000
322
0.08
592
562
0.14
0.14
800,000
65,000
82
0.02
25,000
276
0.07
279
0.07
143
72
216
88
0.03
0.02
0.05
0.02
25
0.01
70
574
0.02
0.14
95
0.02
110,000
782,641
341,205
222,312
187,625
339,357
1,054
150,000
300,000
179,889
567
169
0.14
0.04
309,229
29,863
374
198
648
228
0.09
0.05
0.16
0.06
530,000
240,000
32
0.01
1,310,162
111
0.03
180,659
50,040
850,812
323
0.08
232,540
350
118
0.09
0.03
5,000
15,000
35,000
166
0.04
200,000
57
178
0.01
0.04
179,000
610,000
Fair Value
EUR ‘000
4.450% due 15/01/26 ......
PPG Industries Inc
6.650% due 15/03/18 ......
Procter & Gamble Co
0.886% due 01/11/19 ......
PulteGroup Inc
4.250% due 01/03/21 ......
QEP Resources Inc
5.250% due 01/05/23 ......
Quicken Loans Inc
5.750% due 01/05/25 ......
RALI Trust
0.599% due 25/01/37 ......
0.709% due 25/02/46 ......
0.649% due 25/04/46 ......
0.619% due 25/06/46 ......
0.589% due 25/02/47 ......
RAMP Trust
0.996% due 25/06/32 ......
RBSCF Trust
5.695% due 16/09/40 ......
Regency Energy Partners
LP / Regency Energy
Finance Corp
4.500% due 01/11/23 ......
Resource Capital Corp Ltd
1.483% due 15/04/32 ......
RFMSI Trust
3.191% due 25/09/35 ......
3.878% due 25/02/36 ......
Santander Drive Auto
Receivables Trust
1.213% due 15/07/19 ......
2.650% due 17/08/20 ......
Saxon Asset Securities Trust
0.619% due 25/05/47 ......
Securitized Asset Backed
Receivables LLC
1.093% due 25/10/35 ......
0.569% due 25/05/37 ......
0.639% due 25/05/37 ......
Sequoia Mortgage Trust
0.782% due 20/07/33 ......
SM Energy Co
6.125% due 15/11/22 ......
5.000% due 15/01/24 ......
5.625% due 01/06/25 ......
Solvay Finance America
LLC
4.450% due 03/12/25 ......
Soundview Home Loan
Trust
0.909% due 25/03/36 ......
Fund
%
124
0.03
171
0.04
699
0.17
58
0.01
19
0.00
94
0.02
502
175
87
68
157
0.12
0.04
0.02
0.02
0.04
1
0.00
135
0.03
233
0.06
155
0.04
208
24
0.05
0.01
465
210
0.11
0.05
764
0.19
159
28
437
0.04
0.01
0.11
192
0.05
3
9
21
0.00
0.00
0.01
180
0.04
459
0.11
31 March 2016
Principal
Amount
218,000
95,571
200,000
200,000
29,094
60,419
357,459
323,510
323,266
277,215
43,624
908,689
838,112
60,000
90,000
80,500
145,000
255,000
55,000
200,000
20,766
GBP
USD
55,000
55,000
110,000
115,000
10,000
70,000
Fair Value
EUR ‘000
Spirit Airlines Pass Through
Trust
4.450% due 01/04/24 .......
SpringCastle America
Funding LLC
2.700% due 25/05/23 .......
Springleaf Finance Corp
6.900% due 15/12/17 .......
State of California
7.600% due 01/11/40 .......
Structured Adjustable Rate
Mortgage Loan Trust
2.795% due 25/02/34 .......
2.718% due 25/04/34 .......
2.707% due 25/08/35 .......
Structured Asset Investment
Loan Trust
0.619% due 25/04/36 .......
Structured Asset Mortgage
Investments II Trust
0.653% due 25/05/36 .......
0.553% due 25/08/36 .......
0.623% due 25/07/46 .......
Structured Asset Securities
Mortgage Loan Trust
0.609% due 25/01/37 .......
0.563% due 25/02/37 .......
Sysco Corp
2.500% due 15/07/21 .......
3.300% due 15/07/26 .......
TAL Advantage V LLC
3.550% due 20/11/38 .......
Targa Resources Partners
LP / Targa Resources
Partners Finance Corp
5.000% due 15/01/18 .......
Tenet Healthcare
Corp
4.500% due 01/04/21 .......
4.375% due 01/10/21 .......
Tennessee Valley
Authority
5.880% due 01/04/36 .......
Thornburg Mortgage
Securities Trust
2.407% due 25/06/47 .......
Time Warner Cable Inc
6.550% due 01/05/37 .......
5.500% due 01/09/41 .......
5.250% due 15/07/42 .......
4.500% due 15/09/42 .......
Time Warner Inc
4.900% due 15/06/42 .......
5.350% due 15/12/43 .......
Fund
%
Principal
Amount
75,000
181
0.04
767,541
84
0.02
182
0.04
273
0.07
268,956
125,000
73,402
25
53
292
0.01
0.01
0.07
252
0.06
209
182
30
0.05
0.04
0.01
676
645
0.16
0.16
53
80
0.01
0.02
68
0.02
128
0.03
226
49
0.05
0.01
239
0.06
16
0.00
53
48
129
90
0.01
0.01
0.03
0.02
9
66
0.00
0.02
92,384
385,700
2,910,000
1,660,000
USD
154,000
2,560,000
200,000
300,000
200,000
1,000,000
200,000
819,420
3,941,438
1,360,697
1,026,350
2,091,539
1,297,036
6
502,720
299,697
5,034,884
596,800
352,422
226,164
1,986,156
144,108
865,440
1,989,697
603,624
2,600,000
4,860,000
865,000
4,580,000
1,040,000
730,000
Fair Value
EUR ‘000
4.850% due 15/07/45 ......
Toyota Auto Receivables
Owner Trust
0.760% due 15/03/18 ......
Trinity Rail Leasing LLC
5.194% due 16/10/40 ......
Tyson Foods Inc
4.875% due 15/08/34 ......
United Airlines Pass
Through Trust
5.375% due 15/08/21 ......
United States Small
Business Administration
6.290% due 01/01/21 ......
U.S. Treasury Bonds
5.250% due 15/11/28 ......
5.375% due 15/02/31 ......
4.500% due 15/02/36 ......
3.500% due 15/02/39 ......
4.250% due 15/05/39 ......
3.000% due 15/05/42 ......
2.750% due 15/08/42 ......
2.750% due 15/11/42 ......
2.875% due 15/08/45 ......
2.500% due 15/02/46 ......
U.S. Treasury Inflation
Indexed Bonds
0.125% due 15/04/20 ......
0.625% due 15/07/21 ......
0.125% due 15/01/22 ......
0.125% due 15/01/23 ......
0.625% due 15/01/24 ......
0.125% due 15/07/24 ......
0.250% due 15/01/25 ......
2.375% due 15/01/25 ......
0.375% due 15/07/25 ......
0.625% due 15/01/26 ......
2.000% due 15/01/26 ......
2.375% due 15/01/27 ......
1.750% due 15/01/28 ......
2.500% due 15/01/29 ......
3.875% due 15/04/29 ......
2.125% due 15/02/41 ......
1.375% due 15/02/44 ......
0.750% due 15/02/45 ......
U.S. Treasury Notes
1.000% due 15/02/18 ......
3.750% due 15/11/18 ......
1.500% due 31/12/18** ..
1.625% due 31/08/19 ......
1.625% due 30/11/20 ......
1.125% due 28/02/21 ......
Fund
%
67
0.02
673
0.16
230
0.06
118
0.03
66
0.02
88
0.02
463
3,661
1,999
161
2,974
191
272
181
923
171
0.11
0.89
0.49
0.04
0.72
0.05
0.07
0.04
0.22
0.04
735
3,634
1,213
909
1,913
1,143
526
269
4,621
614
378
230
2,192
181
979
1,959
514
0.18
0.89
0.30
0.22
0.47
0.28
0.00
0.13
0.07
1.13
0.15
0.09
0.06
0.53
0.04
0.24
0.48
0.13
2,293
4,592
773
4,106
931
638
0.56
1.12
0.19
1.00
0.23
0.16
31 March 2016
Principal
Amount
1,330,000
3,520,000
210,000
825,000
82,000
70,000
9,000
65,000
115,000
155,000
100,000
90,000
165,000
5,000
600,000
200,000
330,000
220,000
230,000
550,000
905,000
52,690
483,068
326,668
522,176
6,964
422,398
233,697
86,879
947,204
491,453
322,016
168,301
219,318
397,266
Fair Value
EUR ‘000
2.000% due 31/08/21 .......
2.375% due 15/08/24 .......
2.250% due 15/11/25 .......
US Bank NA
0.835% due 11/09/17 .......
Inc
2.625% due 21/02/20 .......
3.000% due 01/11/21 .......
6.400% due 15/09/33 .......
5.050% due 15/03/34 .......
4.400% due 01/11/34 .......
4.272% due 15/01/36 .......
3.850% due 01/11/42 .......
4.522% due 15/09/48 .......
Viacom Inc
4.375% due 15/03/43 .......
5.250% due 01/04/44 .......
Volkswagen Group of
America Finance LLC
1.600% due 20/11/17 .......
VOLT XLII LLC
4.250% due 26/03/46 .......
Wachovia Bank Commercial
Mortgage Trust
5.342% due 15/12/43 .......
5.383% due 15/12/43 .......
5.413% due 15/12/43 .......
6.147% due 15/02/51 .......
Wachovia Corp
0.904% due 15/06/17 .......
Wachovia Mortgage Loan
Trust LLC
2.710% due 20/03/37 .......
WaMu Asset-Backed
Certificates
0.683% due 25/04/37 .......
WaMu Mortgage Pass
Through Certificates
1.153% due 25/11/34 .......
2.432% due 25/09/36 .......
2.457% due 25/10/36 .......
3.743% due 25/12/36 .......
2.614% due 25/03/37 .......
2.269% due 25/04/37 .......
0.663% due 25/04/45 .......
0.753% due 25/08/45 .......
0.709% due 25/12/45 .......
1.077% due 25/03/47 .......
Washington Mutual
Alternative Mortgage PassThrough Certificates
5.750% due 25/01/36 .......
0.539% due 25/06/37 .......
Fund
%
Principal
Amount
1,208
3,253
192
0.29
0.79
0.05
65,314
722
0.18
74
64
10
62
102
136
80
79
0.02
0.02
0.00
0.02
0.02
0.03
0.02
0.02
112
4
0.03
0.00
180,000
65,000
125,000
521
0.13
200,000
175
0.04
400,000
200,000
217,974
311,493
215,703
82,617
13,188
261,578
123,846
23
100,000
1.317% due 25/07/46 ......
Wells Fargo & Co
2.550% due 07/12/20 ......
1.975% due 04/03/21 ......
Wells Fargo Mortgage
Backed Securities Trust
2.759% due 25/09/34 ......
2.765% due 25/03/35 ......
2.825% due 25/06/35 ......
2.831% due 25/10/35 ......
21.124% due 25/01/36 ....
2.771% due 25/05/36 ......
2.771% due 25/05/36 ......
6.000% due 25/09/36 ......
Whiting Petroleum
Corp
5.000% due 15/03/19 ......
5.750% due 15/03/21 ......
6.250% due 01/04/23 ......
Williams Partners LP
4.000% due 15/11/21 ......
Wisconsin Power & Light
Co
4.100% due 15/10/44 ......
Fund
%
36
0.01
358
179
0.09
0.04
195
275
192
72
14
218
103
-
0.05
0.07
0.05
0.02
0.00
0.05
0.02
0.00
110
38
74
0.03
0.01
0.02
153
0.04
92
0.02
169,464 41.32
296
197
199
476
0.07
0.05
0.05
0.12
790
0.19
44
0.01
180
0.04
260
413
5
325
193
65
776
399
261
111
0.06
0.10
0.00
0.08
0.05
0.02
0.19
0.10
0.06
0.03
China Shenhua Overseas
Capital Co Ltd
200,000 2.500% due 20/01/18 ......
and Notes ...........................
Brazil (0.34%)
Nacional
Zero Coupon due
BRL
200,000 01/10/16 ..........................
Nacional Serie F
5,440,000 10.000% due 01/01/17 ....
USD
170
274
176
0.04
356,540 86.92
Australia (0.15%)
National Australia Bank
Ltd
695,000 1.063% due 02/12/16 ......
611 0.15
0.04
0.07
Fair Value
EUR ‘000
Canada (0.44%)
Caisse Centrale
Desjardins
910,000 1.030% due 27/03/17 ......
Commerce
415,000 0.793% due 21/02/17 ......
46
0.01
1,349
0.33
1,395
0.34
797
0.20
364
0.09
31 March 2016
Principal
Amount
Royal Bank of
Canada
720,000 0.879% due 03/02/17 .......
France (0.42%)
Banque Federative du Credit
Mutuel SA
Zero Coupon due
EUR 1,000,000 23/03/17 ..........................
BPCE SA
Zero Coupon due
500,000 10/03/17 ..........................
Dexia Credit Local
SA
USD
250,000 1.000% due 07/11/16 .......
EUR
Greece (0.07%)
Hellenic Railways
Organization SA
200,000 4.028% due 17/03/17 .......
National Bank of Greece
SA
100,000 3.875% due 07/10/16 .......
Italy (0.40%)
Tesoro
1,597,000 4.000% due 01/02/17 .......
Fair Value
EUR ‘000
Fund
%
631
0.15
1,792
0.44
Principal
Amount
Switzerland (0.12%)
Credit Suisse AG
500,000 0.088% due 30/03/17 ......
USD
1,000
0.25
100,000
200,000
500
0.12
250,000
220
0.05
877,000
1,720
0.42
300,000
183
0.05
99
0.02
282
0.07
400,000
910,000
2,800,000
300,000
1,651
0.40
1,200,000
Japan (0.45%)
Japan Government Five
JPY
Year Bond
235,000,000 0.400% due 20/06/16 .......
800,000
1,837
0.45
400,000
USD
Netherlands (0.22%)
BV
100,000 2.000% due 20/05/16 .......
100,000 3.500% due 06/02/17 .......
BV
840,000 0.828% due 15/11/16 .......
Norway (0.17%)
Eksportfinans
ASA
700,000 2.375% due 25/05/16 .......
100,000 5.500% due 25/05/16 .......
EUR
International Bond
60,000 4.500% due 05/04/16 .......
88
87
0.02
0.02
737
0.18
912
0.22
615
88
0.15
0.02
703
0.17
200,000
400,000
905,000
EUR
300,000
USD
400,000
400,000
500,000
310,000
60
0.02
Fair Value
EUR ‘000
300,000
500,000
Ally Financial Inc
3.313% due 18/07/16 ......
3.500% due 18/07/16 ......
Corp
1.128% due 29/07/16 ......
Finance Inc
0.826% due 27/01/17 ......
Aviation Capital Group
Corp
3.875% due 27/09/16 ......
Citigroup Inc
1.402% due 01/04/16 ......
Exxon Mobil Corp
0.674% due 15/03/17 ......
Federal Home Loan Bank
Discount Notes
Zero Coupon due
27/04/16 ..........................
Zero Coupon due
03/05/16 ..........................
Zero Coupon due
13/05/16 ..........................
Ford Motor Credit Co LLC
4.250% due 03/02/17 ......
General Motors Financial Co
Inc
2.750% due 15/05/16 ......
International Lease Finance
Corp
5.750% due 15/05/16 ......
6.750% due 01/09/16 ......
Johnson & Johnson
0.706% due 28/11/16 ......
JPMorgan Chase & Co
0.202% due 19/02/17 ......
Kellogg Co
1.875% due 17/11/16 ......
Lehman Brothers Holdings
Inc
1.000% due 25/05/10 ......
6.200% due 26/09/14 ......
Sirius International Group
Ltd
6.375% due 20/03/17 ......
Sprint Communications
Inc
9.125% due 01/03/17 ......
Toyota Motor Credit Corp
0.725% due 23/09/16 ......
Fund
%
500
0.12
88
176
0.02
0.04
220
0.05
769
0.19
265
0.06
351
0.08
796
0.19
2,456
0.60
263
0.06
1,053
0.26
718
0.17
352
0.09
176
357
0.04
0.09
794
0.19
300
0.07
353
0.09
25
33
0.01
0.01
279
0.07
269
0.07
439
0.11
31 March 2016
Principal
Amount
Fair Value
EUR ‘000
Inc
645,000 2.164% due 15/09/16 .......
Total Short Term
Investments ........................
Total Transferable
Securities ............................
Fund
%
569
0.14
11,101
2.70
22,564
5.50
Principal
Amount
Ontario Teachers' Finance
Trust
Zero Coupon due
250,000 02/12/16 ..........................
ConocoPhillips
Zero Coupon due
750,000 04/04/16 ..........................
379,104 92.42
2.32%)
U.S. Treasury Bill
Zero Coupon due
3,540,000 28/04/16 ..........................
3,106 0.76
Zero Coupon due
1,900,000 21/04/16 ..........................
1,667 0.41
4,773
Japan (0.53%)
JPY
Japan Treasury Discount Bill
Zero Coupon due
280,000,000 12/05/16 ..........................
Total Money Market
Instruments ........................
2,186
6,959
AutoNation Inc
Zero Coupon due
400,000 18/04/16 ..........................
EMC Corp
Zero Coupon due
300,000 07/04/16 ..........................
HP Inc
Zero Coupon due
600,000 04/04/16 ..........................
1.17
0.53
1.70
Total Commercial Paper ..
Sweden (0.06%)
Zero Coupon due
280,000 17/08/16 ..........................
Total Certificates of
Deposit ...............................
246
903
Commercial Paper (0.60%) (2015: 0.00%)
Canada (0.16%)
National Bank of Canada
Zero Coupon due
500,000 22/06/16 ..........................
438
0.16
218
0.05
656
0.16
658
0.16
351
0.09
263
0.06
526
0.13
1,140
0.28
2,454
0.60
Ireland (6.40%)
plc - Russell Euro
Liquidity Fund - Class C
17,736 Income Shares .................
17,690
III plc - The
Sterling Liquidity Fund 131 Class R Roll-Up Shares ..
166
III plc - The
U.S. Dollar Cash Fund II 9,565 Class R Roll-Up Shares ..
8,407
0.06
0.22
0.11
Fund
%
Number
of Shares
Certificates of Deposit (0.22%) (2015: 0.23%)
Canada (0.16%)
Bank of Nova Scotia
Zero Coupon due
350,000 28/03/18 ..........................
307 0.07
National Bank of Canada
Zero Coupon due
400,000 24/05/17 ..........................
350 0.09
657
Fair Value
EUR ‘000
Luxembourg (0.47%)
Natixis International
Funds LUX I Debt and
15,662 Currencies Fund ..............
Total Investment Funds ...
Total Investments
excluding Financial
4.31
0.04
2.05
26,263
6.40
1,939
0.47
28,202
6.87
417,622 101.81
31 March 2016
Financial Derivative Instruments (1.06%) (2015: (1.68)%)
Notional
Amount
EUR '000
Average
Cost Price
EUR
3,005
100.17
(6,698)
(86.43)
(9,738)
(86.56)
(2,162)
(86.48)
(15,334)
(125.18)
(11,692)
(124.72)
(522)
(65.20)
5,893
67.35
1,513
67.26
(1,545)
(96.56)
4,414
163.47
2,137
152.65
6,815
113.58
11,565
106.10
(1,451)
(145.09)
(2,991)
(115.03)
297
148.75
Unrealised
Gain (Loss)
EUR ‘000
12 of Euro Euribor 3 Months Futures
Expiring June 2016 ...............................................
31 of 90 Days Eurodollar Futures
Expiring June 2018 ...............................................
Expiring March 2018 ............................................
Expiring September 2018 ......................................
98 of 90 Days Sterling Futures
Expiring June 2018 ...............................................
75 of 90 Days Sterling Futures
Expiring March 2018 ............................................
8 of Australia 10 Years Bond Futures
Expiring June 2016 ...............................................
35 of Bank Accept Futures
Expiring June 2016 ...............................................
Expiring September 2016 ......................................
16 of Canada 10 Years Bond Futures
Expiring June 2016 ...............................................
27 of German Euro Bund Futures
Expiring June 2016 ...............................................
14 of U.K. Long Gilt Bond Futures
Expiring June 2016 ...............................................
60 of U.S. Treasury Notes 10 Years Futures
Expiring June 2016 ...............................................
Expiring June 2016 ...............................................
Expiring June 2016 ...............................................
Expiring June 2016 ...............................................
2 of U.S. Ultra Long Treasury Bond Futures
Expiring June 2016 ...............................................
Fund
%
3
0.00
(24)
(0.01)
(27)
(0.01)
(5)
(0.00)
15
0.00
(37)
(0.01)
(5)
(0.00)
(10)
(0.00)
-
0.00
14
0.00
(4)
(0.00)
3
0.00
51
0.01
25
0.01
8
0.00
16
0.00
5
0.00
31 March 2016
Notional
Amount
EUR '000
Average
Cost Price
EUR
44,795
0.97
(340)
(113.33)
(2,687)
(95.97)
319
106.48
3,071
1.18
6,830
131.34
3,244
111.88
14,168
1.18
4,452
153.52
7,469
114.90
7,874
96.02
14,970
106.12
7,392
144.98
1,048
131.04
13,336
162.61
611
152.73
12,735
113.56
1,149
95.71
Unrealised
Gain (Loss)
EUR ‘000
370 of Euro Foreign Currency Futures
Expiring June 2016 ...............................................
Expiring June 2016 ................................................
Expiring June 2016 ...............................................
Expiring June 2016 ...............................................
26 of 10 Year Mini JGB Futures
Expiring June 2016 ...............................................
52 of German Euro Bobl Futures
Expiring June 2016 ...............................................
29 of German Euro Schatz Futures
Expiring June 2016 ...............................................
12 of Japan Government Bond 10 Years Futures
Expiring June 2016 ...............................................
Expiring June 2016 ...............................................
Expiring June 2016 ...............................................
Expiring June 2016 ...............................................
Expiring June 2016 ...............................................
Expiring June 2016 ...............................................
Expiring June 2016 ...............................................
Expiring June 2016 ...............................................
Expiring June 2016 ...............................................
Expiring June 2016 ...............................................
Expiring June 2016 ...............................................
Fund
%
1,522
0.38
(3)
(0.00)
-
0.00
-
0.00
4
0.00
(12)
(0.00)
(3)
(0.00)
8
0.00
(18)
(0.01)
(32)
(0.01)
(3)
(0.00)
22
0.01
(34)
(0.01)
1
0.00
55
0.01
1
0.00
79
0.02
3
0.00
31 March 2016
Notional
Amount
EUR '000
Average
Cost Price
EUR
1,143
142.92
(10,098)
(152.99)
2,088
65.26
6,956
66.25
386
96.57
(162)
(162.24)
(1,576)
(131.37)
(1,247)
(138.60)
(3,742)
(162.71)
314
156.90
3,553
1.18
(3,507)
(152.48)
(911)
(113.92)
(4,607)
(95.98)
(4,138)
(106.10)
(2,271)
(151.41)
(37,603)
(100.28)
9,939
67.38
Unrealised
Gain (Loss)
EUR ‘000
Expiring June 2016 ...............................................
Expiring June 2016 ...............................................
Expiring June 2016 ...............................................
Expiring June 2016 ...............................................
Expiring June 2016 ...............................................
1 of German Euro Buxl Futures 30 Year Bond
Expiring June 2016 ...............................................
Expiring June 2016 ...............................................
9 of Euro-BTP Futures
Expiring June 2016 ...............................................
Expiring June 2016 ...............................................
2 of Euro Oat Futures
Expiring June 2016 ...............................................
3 of Japan Government Bond 10 Years Futures
Expiring June 2016 ...............................................
Expiring June 2016 ...............................................
Expiring June 2016 ...............................................
Expiring June 2016 ...............................................
Expiring June 2016 ...............................................
15 of U.S. Ultra Long Treasury Bond Futures
Expiring June 2016 ...............................................
150 of Euro Euribor 3 Months Futures
Expiring March 2017 ............................................
Expiring June 2016 ...............................................
Fund
%
11
0.00
7
0.00
18
0.01
(1)
(0.00)
(3)
(0.00)
(6)
(0.00)
3
0.00
(18)
(0.01)
(14)
(0.00)
3
0.00
(10)
(0.00)
(10)
(0.00)
(4)
(0.00)
-
0.00
(9)
(0.00)
-
0.00
(7)
(0.00)
(22)
(0.01)
31 March 2016
Notional
Amount
EUR '000
1,062
Average
Cost Price
EUR
Unrealised
Gain (Loss)
EUR ‘000
Expiring June 2016 ...............................................
(131)
(130.59) 1 of German Euro Bobl Futures
Expiring June 2016 ...............................................
(1,106)
(138.19) 8 of Euro-BTP Futures
Expiring June 2016 ...............................................
(969)
(161.49) 6 of German Euro Bund Futures
Expiring June 2016 ...............................................
1,872
155.98 12 of Euro Oat Futures
Expiring June 2016 ...............................................
(447)
(111.73) 4 of German Euro Schatz Futures
Expiring June 2016 ...............................................
(36,770)
(87.37) 101 of 30 Days Fed Fund Futures
Expiring May 2016 ...............................................
4,719
1.18 4 of Japan Government Bond 10 Years Futures
Expiring June 2016 ...............................................
2,758
153.24 18 of U.K. Long Gilt Bond Futures
Expiring June 2016 ...............................................
(1,947)
(114.56) 17 of U.S. Treasury Notes 10 Years Futures
Expiring June 2016 ...............................................
3,072
96.01 16 of U.S. Treasury Notes 2 Years Futures
Expiring June 2016 ...............................................
(1,058)
(105.78) 10 of U.S. Treasury Notes 5 Years Futures
Expiring June 2016 ...............................................
144
143.72 1 of U.S. Long Bond Futures
Expiring June 2016 ...............................................
893
148.80 6 of U.S. Ultra Bond Futures
Expiring June 2016 ...............................................
Net unrealised gain (loss) on open futures contracts .................................................
Fund
%
96.57
(9)
(0.00)
(1)
(0.00)
(19)
(0.01)
(11)
(0.00)
27
0.01
-
0.00
(24)
(0.01)
6
0.00
(6)
(0.00)
2
0.00
(1)
(0.00)
(5)
(0.00)
1
0.00
16
1,929
(397)
1,532
0.01
0.47
(0.10)
0.37
Settlement
Date
Amount
Bought ‘000
04/04/2016
AUD
1,852 USD
07/04/2016
AUD
2,394 USD
08/04/2016
AUD
418 USD
26/04/2016
AUD
263 USD
Unrealised
Gain (Loss)
EUR ‘000
Amount
Sold ‘000
1,392
1,709
300
200
28
116
19
2
Fund
%
0.01
0.04
0.00
0.00
31 March 2016
Settlement
Date
26/04/2016
03/05/2016
04/04/2016
04/04/2016
04/04/2016
03/05/2016
04/10/2016
04/04/2016
04/04/2016
04/04/2016
07/04/2016
20/04/2016
08/06/2016
09/06/2016
15/06/2016
14/09/2016
14/09/2016
26/09/2016
30/09/2016
11/10/2016
11/10/2016
11/10/2016
11/10/2016
05/12/2016
07/12/2016
09/06/2016
08/06/2016
04/04/2016
03/05/2016
15/04/2016
15/04/2016
15/04/2016
15/04/2016
15/04/2016
15/06/2016
07/04/2016
15/04/2016
15/04/2016
08/06/2016
15/06/2016
03/06/2016
15/04/2016
15/04/2016
15/04/2016
06/05/2016
06/05/2016
08/06/2016
08/06/2016
15/06/2016
15/06/2016
Amount
Bought ‘000
AUD
AUD
BRL
BRL
BRL
BRL
BRL
CAD
CAD
CAD
CAD
CAD
CAD
CAD
CAD
CNY
CNY
CNY
CNY
CNY
CNY
CNY
CNY
CNY
CNY
COP
DKK
DKK
DKK
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
Unrealised
Gain (Loss)
EUR ‘000
Amount
Sold ‘000
525
1,131
6,000
1,846
926
785
1,986
3,373
361
1,433
5,860
581
2,700
3,835
803
243
3,412
2,027
1,004
1,280
2,582
2,465
458
1,317
1,395
6,068,781
28
42,785
42,785
415
800
475
83
214
509
2,939
987
5,190
321
1,283
400
82
4,156
957
687
800
2,450
1,886
16,225
1,050
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
EUR
USD
USD
AUD
CAD
CHF
CZK
DKK
DKK
GBP
GBP
GBP
GBP
GBP
HUF
ILS
JPY
JPY
JPY
JPY
JPY
JPY
JPY
JPY
400
800
1,490
463
236
213
468
2,558
267
1,058
4,351
433
2,058
2,856
618
36
501
299
148
188
378
362
68
193
205
1,875
4
6,305
6,500
643
1,232
529
2,241
1,597
3,800
2,294
762
3,970
250
1,000
123,992
353
548,809
123,913
87,355
98,696
301,469
236,500
2,018,160
130,000
3
60
178
51
22
6
56
43
11
44
158
14
26
96
3
1
21
11
6
7
17
15
2
8
8
117
210
43
(19)
(36)
(9)
(1)
46
26
184
6
24
6
(1)
(129)
(11)
5
29
96
40
470
35
Fund
%
0.00
0.01
0.05
0.01
0.01
0.00
0.01
0.01
0.00
0.01
0.05
0.00
0.01
0.02
0.00
0.00
0.01
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.04
0.00
0.06
0.01
0.00
(0.01)
0.00
0.00
0.00
0.00
0.01
0.01
0.05
0.00
0.01
0.00
0.00
(0.03)
0.00
0.00
0.01
0.02
0.01
0.11
0.01
31 March 2016
Settlement
Date
15/04/2016
08/06/2016
15/04/2016
15/04/2016
15/06/2016
15/04/2016
08/06/2016
08/04/2016
15/04/2016
20/04/2016
28/04/2016
04/05/2016
15/04/2016
29/04/2016
10/05/2016
15/04/2016
05/04/2016
15/04/2016
04/04/2016
04/04/2016
04/04/2016
04/04/2016
04/04/2016
04/04/2016
07/04/2016
08/04/2016
15/04/2016
15/04/2016
15/04/2016
15/04/2016
15/04/2016
20/04/2016
26/04/2016
03/05/2016
03/05/2016
03/05/2016
03/05/2016
03/05/2016
03/05/2016
08/06/2016
08/06/2016
08/06/2016
15/06/2016
15/06/2016
15/06/2016
15/04/2016
07/04/2016
07/04/2016
07/04/2016
07/04/2016
Amount
Bought ‘000
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
GBP
GBP
GBP
GBP
Unrealised
Gain (Loss)
EUR ‘000
Amount
Sold ‘000
1,722
373
2,298
186
607
101
907
1,030
770
400
701
404
162
793
820
76
366
138
23,238
1,852
18,962
19,687
132
254
3,906
82,642
984
408
186
619
17,830
1,200
1,458
400
965
11,737
700
23,966
23,810
13,215
1,005
431
6,298
6,288
40,215
183
1,594
19,668
19,671
19,668
MXN
MXN
NOK
NOK
NOK
NZD
NZD
PLN
PLN
PLN
PLN
PLN
SEK
SEK
SEK
SGD
THB
TRY
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
ZAR
EUR
EUR
EUR
EUR
34,600
7,392
21,685
1,765
5,700
171
1,505
4,500
3,427
1,782
3,009
1,758
1,518
7,474
7,586
119
14,317
457
25,609
2,055
20,906
21,604
148
285
4,241
90,638
1,092
448
206
691
19,507
1,304
1,645
440
1,099
13,352
769
27,177
26,685
14,422
1,140
485
6,967
6,967
44,397
3,271
2,039
24,979
24,979
24,979
(47)
(3)
(2)
(2)
4
(3)
(6)
(31)
(38)
(19)
(8)
(10)
(2)
(16)
(2)
(1)
9
(4)
765
49
616
729
3
4
184
3,115
26
15
5
13
718
57
15
15
1
30
26
138
413
584
7
6
197
187
1,341
(12)
(28)
(174)
(170)
(174)
Fund
%
(0.01)
0.00
0.00
0.00
0.00
0.00
0.00
(0.01)
(0.01)
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.19
0.01
0.16
0.19
0.00
0.00
0.04
0.77
0.01
0.00
0.00
0.00
0.19
0.01
0.00
0.00
0.00
0.01
0.01
0.04
0.11
0.15
0.00
0.00
0.05
0.05
0.33
0.00
(0.01)
(0.05)
(0.05)
(0.05)
31 March 2016
Settlement
Date
07/04/2016
15/04/2016
15/04/2016
08/06/2016
15/06/2016
04/04/2016
04/04/2016
08/04/2016
08/04/2016
26/04/2016
03/06/2016
15/06/2016
04/04/2016
04/04/2016
15/06/2016
15/04/2016
15/04/2016
15/04/2016
15/04/2016
06/05/2016
08/06/2016
15/06/2016
04/04/2016
30/06/2016
04/04/2016
04/04/2016
04/04/2016
04/04/2016
04/04/2016
07/04/2016
08/04/2016
08/04/2016
02/05/2016
02/05/2016
02/06/2016
15/06/2016
15/06/2016
24/05/2016
24/05/2016
24/05/2016
20/04/2016
28/04/2016
20/05/2016
20/05/2016
20/05/2016
09/06/2016
15/06/2016
15/06/2016
03/05/2016
24/05/2016
Amount
Bought ‘000
GBP
GBP
GBP
GBP
GBP
GBP
GBP
GBP
GBP
GBP
HUF
HUF
IDR
IDR
JPY
JPY
JPY
JPY
JPY
JPY
JPY
JPY
JPY
JPY
JPY
JPY
JPY
JPY
JPY
JPY
JPY
JPY
JPY
JPY
JPY
JPY
JPY
KRW
KRW
KRW
MXN
MXN
MXN
MXN
MXN
MXN
MXN
MXN
MYR
MYR
19,659
619
635
150
100
4,172
82
1,278
2,522
387
123,992
187,012
16,800,000
5,700,000
240,351
5,806
51,865
36,673
191,546
186,051
4,330
25,000
193,299
139,701
48,087
64,700
435,995
12,900
10,300
776,915
15,964
369,118
112,787
78,500
91,303
160,000
698,000
33,600
181,049
236,474
41,235
9,757
15,278
6,142
3,272
17,397
7,455
2,244
1,671
523
Unrealised
Gain (Loss)
EUR ‘000
Amount
Sold ‘000
EUR
EUR
EUR
EUR
EUR
USD
USD
USD
USD
USD
EUR
EUR
JPY
JPY
AUD
EUR
EUR
EUR
EUR
EUR
EUR
EUR
IDR
IDR
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
24,979
799
817
193
128
5,958
118
1,849
3,581
559
400
600
142,639
47,378
2,870
47
418
294
1,452
1,500
35
198
22,500,000
16,800,000
427
575
3,874
114
92
6,861
143
3,126
993
698
808
1,442
6,204
28
151
196
2,250
550
855
344
183
970
423
127
400
121
(185)
(18)
(16)
(4)
(3)
34
(10)
38
(2)
(6)
(7)
(2)
7
(50)
(1)
(14)
(8)
43
(47)
(1)
(2)
20
(2)
1
1
5
1
(1)
46
(1)
140
10
1
5
(13)
17
1
6
9
134
16
29
11
6
34
8
2
24
11
Fund
%
(0.06)
0.00
0.00
0.00
0.00
0.01
0.00
0.00
0.01
0.00
0.00
0.00
0.00
0.00
(0.01)
0.00
0.00
0.00
0.01
(0.01)
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.01
0.00
0.04
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.03
0.00
0.01
0.00
0.00
0.01
0.00
0.00
0.01
0.00
31 March 2016
Settlement
Date
24/05/2016
24/05/2016
24/05/2016
24/05/2016
24/05/2016
24/05/2016
24/05/2016
09/06/2016
15/06/2016
07/04/2016
09/06/2016
08/06/2016
08/06/2016
07/04/2016
08/04/2016
26/04/2016
26/04/2016
03/05/2016
08/04/2016
20/04/2016
28/04/2016
04/05/2016
09/06/2016
15/06/2016
15/04/2016
25/04/2016
29/04/2016
10/05/2016
07/04/2016
24/05/2016
24/05/2016
24/05/2016
26/04/2016
26/04/2016
03/05/2016
09/06/2016
24/05/2016
24/05/2016
24/05/2016
24/05/2016
24/05/2016
04/04/2016
08/04/2016
26/04/2016
26/04/2016
26/04/2016
03/05/2016
03/05/2016
03/05/2016
15/06/2016
Amount
Bought ‘000
MYR
MYR
MYR
MYR
MYR
MYR
MYR
MYR
NOK
NOK
NOK
NZD
NZD
NZD
NZD
NZD
NZD
NZD
PLN
PLN
PLN
PLN
PLN
PLN
RUB
RUB
SEK
SEK
SEK
THB
THB
THB
TRY
TRY
TRY
TRY
TWD
TWD
TWD
TWD
TWD
USD
USD
USD
USD
USD
USD
USD
USD
USD
Unrealised
Gain (Loss)
EUR ‘000
Amount
Sold ‘000
532
689
408
831
596
589
1,390
2,787
2,921
14,936
44,805
350
165
2,576
591
288
583
1,377
700
1,782
3,009
1,758
15,027
1,518
43,980
32,474
7,474
7,586
22,006
6,489
6,847
5,836
569
577
1,211
9,793
2,584
762
3,029
1,179
3,309
1,326
14,577
263
400
200
416
400
1,390
705
USD
USD
USD
USD
USD
USD
USD
USD
SEK
USD
USD
EUR
EUR
USD
USD
USD
USD
USD
EUR
EUR
EUR
EUR
USD
USD
USD
USD
EUR
EUR
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
AUD
AUD
AUD
AUD
AUD
AUD
AUD
AUD
AUD
125
161
96
199
140
138
325
672
2,900
1,719
5,177
210
100
1,696
392
200
400
914
161
400
700
400
3,777
400
597
406
800
800
2,555
181
191
163
200
200
415
3,259
77
23
91
35
99
1,852
20,668
345
526
267
566
565
1,852
950
9
13
7
12
11
11
26
33
(5)
76
209
2
81
16
4
35
4
20
9
14
225
6
52
67
9
21
140
3
3
2
1
3
10
139
3
1
2
1
4
(87)
(1,156)
(2)
(4)
(5)
(16)
(30)
(28)
(20)
Fund
%
0.00
0.00
0.00
0.00
0.00
0.00
0.01
0.01
0.00
0.02
0.05
0.00
0.00
0.02
0.00
0.00
0.00
0.01
0.00
0.00
0.00
0.00
0.05
0.00
0.01
0.02
0.00
0.01
0.03
0.00
0.00
0.00
0.00
0.00
0.00
0.03
0.00
0.00
0.00
0.00
0.00
(0.02)
(0.29)
0.00
0.00
0.00
0.00
(0.01)
(0.01)
0.00
31 March 2016
Settlement
Date
04/04/2016
04/04/2016
04/04/2016
11/04/2016
26/04/2016
03/05/2016
04/10/2016
04/10/2016
04/04/2016
04/04/2016
07/04/2016
20/04/2016
26/04/2016
03/05/2016
03/05/2016
08/06/2016
15/06/2016
07/04/2016
09/06/2016
15/06/2016
20/04/2016
14/09/2016
14/09/2016
26/09/2016
30/09/2016
11/10/2016
11/10/2016
11/10/2016
05/12/2016
07/12/2016
09/06/2016
01/04/2016
01/07/2016
03/04/2017
04/04/2016
04/04/2016
04/04/2016
04/04/2016
07/04/2016
07/04/2016
07/04/2016
07/04/2016
07/04/2016
08/04/2016
15/04/2016
15/04/2016
15/04/2016
15/04/2016
15/04/2016
20/04/2016
Amount
Bought ‘000
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
Unrealised
Gain (Loss)
EUR ‘000
Amount
Sold ‘000
1,467
214
492
2,055
170
99
405
405
3,658
83
2,610
400
138
2,435
519
3,697
600
5,988
7,413
243
1,100
435
115
307
153
298
738
148
198
210
971
6,303
6,509
1,203
677
2,786
1,626
26,662
14,411
14,415
1,696
14,414
14,938
2,120
799
163
3,953
34
1,210
1,310
BRL
BRL
BRL
BRL
BRL
BRL
BRL
BRL
CAD
CAD
CAD
CAD
CAD
CAD
CAD
CAD
CAD
CHF
CHF
CHF
CNH
CNY
CNY
CNY
CNY
CNY
CNY
CNY
CNY
CNY
COP
DKK
DKK
DKK
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
6,000
785
1,986
8,073
650
400
1,650
1,650
5,059
108
3,516
581
180
3,208
676
4,987
803
5,967
7,338
240
7,379
2,899
756
2,027
1,004
2,027
4,840
1,004
1,317
1,395
3,103,449
42,711
42,633
7,959
610
2,523
1,478
23,810
13,223
13,223
1,562
13,223
13,704
1,928
706
148
3,551
31
1,078
1,200
(198)
(6)
(60)
(192)
(11)
(12)
(32)
(32)
(222)
(95)
(43)
(1)
(40)
(4)
(139)
(19)
(214)
(238)
(7)
(37)
(10)
(1)
(4)
(1)
(11)
(5)
(6)
(4)
(4)
(50)
(202)
(27)
(28)
(16)
(79)
(51)
(413)
(577)
(575)
(74)
(574)
(597)
(68)
(5)
(5)
(84)
(1)
(17)
(51)
Fund
%
(0.06)
0.00
(0.01)
(0.06)
0.00
0.00
(0.01)
(0.01)
(0.06)
0.00
(0.02)
(0.01)
0.00
(0.01)
0.00
(0.04)
0.00
(0.06)
(0.07)
0.00
(0.01)
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
(0.01)
(0.05)
(0.01)
(0.01)
0.00
(0.02)
(0.01)
(0.10)
(0.15)
(0.15)
(0.02)
(0.15)
(0.16)
(0.02)
0.00
0.00
(0.02)
0.00
0.00
(0.01)
31 March 2016
Settlement
Date
03/05/2016
03/05/2016
08/06/2016
08/06/2016
08/06/2016
15/06/2016
04/04/2016
07/04/2016
08/04/2016
03/05/2016
03/05/2016
08/06/2016
08/06/2016
29/06/2016
09/06/2016
24/05/2016
04/04/2016
04/04/2016
04/04/2016
04/04/2016
04/04/2016
08/04/2016
08/04/2016
26/04/2016
02/05/2016
12/05/2016
02/06/2016
24/05/2016
24/05/2016
24/05/2016
24/05/2016
20/04/2016
20/04/2016
20/04/2016
20/04/2016
20/05/2016
20/05/2016
20/05/2016
20/05/2016
03/06/2016
09/06/2016
03/05/2016
24/05/2016
24/05/2016
24/05/2016
24/05/2016
24/05/2016
24/05/2016
07/04/2016
08/04/2016
Amount
Bought ‘000
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
Unrealised
Gain (Loss)
EUR ‘000
Amount
Sold ‘000
446
768
870
150
498
580
5,921
2,582
5,373
5,959
400
288
434
3,343
3,871
29
992
1,350
137
1,721
748
7,086
471
791
3,876
2,462
800
43
8
305
4
400
434
401
1,040
824
706
31
310
552
928
408
201
5
220
421
421
36
6,875
18,421
EUR
EUR
EUR
EUR
EUR
EUR
GBP
GBP
GBP
GBP
GBP
GBP
GBP
GBP
IDR
INR
JPY
JPY
JPY
JPY
JPY
JPY
JPY
JPY
JPY
JPY
JPY
KRW
KRW
KRW
KRW
MXN
MXN
MXN
MXN
MXN
MXN
MXN
MXN
MXN
MXN
MYR
MYR
MYR
MYR
MYR
MYR
MYR
NOK
NZD
400
700
778
137
444
517
4,254
1,854
3,697
4,172
274
200
300
2,350
52,503,589
2,031
112,787
151,195
15,600
195,500
84,000
799,985
52,612
87,947
435,995
280,000
91,303
51,935
9,664
371,957
4,847
7,157
8,231
7,172
18,676
14,531
12,405
542
5,460
10,000
16,726
1,671
878
22
929
1,741
1,866
152
59,744
27,975
(9)
(27)
(16)
(6)
(7)
(9)
(170)
(72)
51
(34)
5
2
(31)
(42)
(1)
(10)
5
(2)
(16)
(28)
2
7
(6)
(28)
(12)
(2)
(18)
(15)
(40)
(15)
(42)
(18)
(13)
(6)
(25)
(37)
(17)
(20)
(1)
(15)
(21)
(49)
(2)
(305)
(875)
Fund
%
0.00
(0.01)
0.00
0.00
0.00
0.00
(0.04)
(0.02)
0.01
(0.01)
0.00
0.00
0.00
(0.01)
(0.01)
0.00
0.00
0.00
0.00
0.00
0.00
(0.01)
0.00
0.00
0.00
(0.01)
0.00
0.00
0.00
0.00
0.00
0.00
(0.01)
0.00
(0.01)
0.00
0.00
0.00
0.00
(0.01)
(0.01)
0.00
0.00
0.00
0.00
(0.01)
(0.01)
0.00
(0.07)
(0.22)
31 March 2016
Settlement
Date
Amount
Bought ‘000
Unrealised
Gain (Loss)
EUR ‘000
Amount
Sold ‘000
26/04/2016
USD
52 NZD
76
26/04/2016
USD
400 NZD
592
26/04/2016
USD
200 NZD
294
03/05/2016
USD
900 NZD
1,377
15/06/2016
USD
2,869 NZD
4,240
09/06/2016
USD
3,223 PHP
153,499
25/04/2016
USD
400 RUB
32,474
18/05/2016
USD
233 RUB
17,970
18/05/2016
USD
418 RUB
29,984
20/04/2016
USD
1,100 SAR
4,160
07/04/2016
USD
5,962 SEK
51,347
09/06/2016
USD
8,680 SGD
12,097
24/05/2016
USD
222 THB
7,903
24/05/2016
USD
184 THB
6,737
24/05/2016
USD
124 THB
4,515
09/06/2016
USD
3,037 THB
108,176
03/05/2016
USD
400 TRY
1,211
24/05/2016
USD
121 TWD
4,062
24/05/2016
USD
210 TWD
7,017
26/04/2016
USD
200 ZAR
3,095
26/04/2016
USD
200 ZAR
3,107
12/05/2016
USD
218 ZAR
3,155
16/05/2016
USD
217 ZAR
3,500
26/04/2016
ZAR
5,982 USD
400
09/06/2016
ZAR
35,493 USD
2,220
Net unrealised gain (loss) on open forward foreign currency exchange contracts ........
Fund
%
(1)
(9)
(4)
(48)
(56)
(86)
(73)
(28)
(22)
(8)
(327)
(263)
(2)
(6)
(4)
(29)
(23)
(5)
(8)
(8)
(9)
4
(16)
4
143
13,808
(10,943)
2,865
0.00
0.00
0.00
(0.01)
(0.01)
(0.02)
(0.02)
(0.01)
(0.01)
0.00
(0.08)
(0.06)
0.00
0.00
0.00
(0.01)
(0.01)
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.03
3.37
(2.67)
0.70
Currency Options Purchase (0.00%)
Notional
Amount
EUR ‘000
Fair Value
EUR ‘000
Fund
%
800
Call at 0.68 USD/AUD
Expiring April 2016 ....................................................................................................................
Options purchase at fair value (Premium received EUR 11,701) ..............................................
-
0.00
0.00
Curency Options Written ((0.03)%)
Notional
Amount
EUR ‘000
(300)
(100)
(300)
(400)
(300)
(200)
(200)
(300)
Fair Value
EUR ‘000
Call at 18.25 USD/MXN Expiring May 2016 ...............................................................................
(1)
Put at 1.10 EUR/USD Expiring May 2016 ...................................................................................
Put at 18.20 USD/MXN Expiring April 2016 ...............................................................................
(15)
Put at 18.20 USD/MXN Expiring April 2016 ...............................................................................
(20)
Put at 1.34 USD/CAD Expiring April 2016 ..................................................................................
(9)
Call at 0.75 AUD/USD Expiring April 2016 ................................................................................
(4)
(5)
(6)
Fund
%
(0.00)
(0.00)
(0.01)
(0.01)
(0.00)
(0.00)
(0.00)
(0.00)
31 March 2016
Notional
Amount
EUR ‘000
Fair Value
EUR ‘000
Fund
%
(500) Call at 1.13 EUR/USD Expiring May 2016 ..................................................................................
(8)
(200) Call at 1.13 EUR/USD Expiring April 2016 .................................................................................
(3)
(200) Call at 18.45 USD/MXN Expiring April 2016 .............................................................................
(100) Call at 1.37 USD/CAD Expiring April 2016 ................................................................................
(1)
(200) Call at 87 USD/RUB Expiring December 2016 ............................................................................
(4)
(100) Call at 0.74 AUD/USD Expiring April 2016 ................................................................................
(2)
(700) Call at 1.13 EUR/USD Expiring April 2016 .................................................................................
(6)
(700) Put at 1.10 EUR/USD Expiring April 2016 ..................................................................................
(1)
(800) Put at 80.00 USD/JPY Expiring February 2019 ............................................................................
(10)
(700) Put at 96.00 USD/JPY Expiring September 2016 .........................................................................
(1)
(300) Put at 80.00 USD/JPY Expiring February 2016 ............................................................................
(4)
(300) Call at 18.30 USD/MXN Expiring May 2016 ...............................................................................
(1)
Currency options written at fair value (Premium received EUR 100,878) ...............................
(101)
(0.00)
(0.00)
(0.00)
(0.00)
(0.00)
(0.00)
(0.00)
(0.00)
(0.00)
(0.00)
(0.00)
(0.01)
(0.00)
(0.00)
(0.00)
(0.00)
(0.03)
Futures Options Purchased (0.01%)
Notional
Amount
EUR ‘000
Fair Value
EUR ‘000
Fund
%
72
Call at 165.00 on Euro Bund Future Option
Expiring May 2016 .....................................................................................................................
34
Futures options purchased at fair value (Premium received EUR 19,862) ...............................
34
0.01
0.01
Futures Options Written ((0.00)%)
Notional
Amount
EUR ‘000
Fair Value
EUR ‘000
Put at 161.00 on Euro Bund Future Option
Expiring April 2016 ....................................................................................................................
(2)
(8) Put at 129.50 on U.S. Treasury Notes 10 Years Futures
Expiring April 2016 ....................................................................................................................
(1)
(11) Call at 165.00 on Euro Bund Future Option
Expiring April 2016 ....................................................................................................................
(1)
(8) Call at 164.50 on Euro Bund Future Option
Expiring April 2016 ....................................................................................................................
(2)
(9) Put at 160.50 on Euro Bund Future Option
Expiring April 2016 ....................................................................................................................
(1)
Expiring April 2016 ....................................................................................................................
(4)
(5) Put at 129.25 on U.S. Treasury Notes 10 Years Futures
Expiring April 2016 ....................................................................................................................
(1)
Expiring May 2016 .....................................................................................................................
(2)
Futures options written at fair value (Premium received EUR 30,565) ....................................
(14)
Fund
%
(16)
(0.00)
(0.00)
(0.00)
(0.00)
(0.00)
(0.00)
(0.00)
(0.00)
(0.00)
31 March 2016
Swaptions Purchased (0.01%)
Notional
Amount
EUR ‘000
Description
Fair Value
EUR ‘000
Fund
%
1,400
Put at 1.25 on 1 Year IRO
Expiring July 2016 ......................................................................................................................
3,800 Put at 1.25 on 1 Year IRO
Expiring July 2016 ......................................................................................................................
Expiring July 2016 ......................................................................................................................
Expiring July 2016 ......................................................................................................................
1
200 Put at 2.94 on 30 Year IRO
Expiring August 2018 .................................................................................................................
9
Expiring July 2016 ......................................................................................................................
1
3,800 Put at 512.50 on 5 Year iTraxx
Expiring April 2016 ....................................................................................................................
2,900 Call at 100 on CDX
Expiring April 2016 ....................................................................................................................
13
Swaptions purchased at fair value (Premium paid EUR 133,376) ............................................
24
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.01
0.01
Swaptions Written ((0.00)%)
Notional
Amount
EUR ‘000
(700)
(900)
(1,100)
Description
Fair Value
EUR ‘000
Expiring April 2016 ....................................................................................................................
Expiring April 2016 ....................................................................................................................
Expiring April 2016 ....................................................................................................................
-
Expiring April 2016 ....................................................................................................................
(500) Call at 0.45 on 10 Year IRO
Expiring June 2016 .....................................................................................................................
(2)
(500) Put at 0.95 on 10 Year IRO
Expiring June 2016 .....................................................................................................................
(1)
Expiring June 2016 .....................................................................................................................
(100) Call at 0.45 on 10 Year IRO
Expiring June 2016 .....................................................................................................................
(1,200) Put at 1.87 on 10 Year IRO
Expiring April 2016 ....................................................................................................................
(1)
(2,600) Call at 1.45 on 3 Year IRO
Expiring June 2016 .....................................................................................................................
(5)
(2,600) Put at 2.05 on 3 Year IRO
Expiring June 2016 .....................................................................................................................
(2)
Expiring August 2018 .................................................................................................................
(6)
(3,800) Put at 600 on 5 Year iTraxx
Expiring April 2016 ....................................................................................................................
Swaptions written at fair value (Premium received EUR 93,071) .............................................
(17)
Fund
%
(0.00)
(0.00)
(0.00)
(500)
(0.00)
(0.00)
(0.00)
(0.00)
(0.00)
(0.00)
(0.00)
(0.00)
(0.00)
(0.00)
(0.00)
31 March 2016
Interest Rate Swaps (0.04%)
Ccy
Notional
Amount
‘000
Fund
Pays
GBP
1,500
2.25%
CAD
300
2.30%
USD
6,500
2.00%
USD
2,500
2.25%
USD
4,600
2.25%
USD
1,400
2.00%
GBP
9,800
1.00%
GBP
300
1.75%
USD
17,600
Fund
Receives
GBP 6 Month
LIBOR
CAD 3 Month
CDOR
USD 3 Month
LIBOR
USD 3 Month
LIBOR
USD 3 Month
LIBOR
USD 3 Month
LIBOR
GBP 6 Month
LIBOR
GBP 6 Month
LIBOR
USD 3 Month
LIBOR
1.50%
KRW 3 Month
KRW
1,700,000
KWCDC
1.85%
CAD 3 Month
CAD
400
CDOR
5.80%
JPY 6 Month
JPY
350,000
LIBOR
1.50%
MXN 1 Month
MXN
4,000
TIIE
7.38%
MXN 1 Month
MXN
13,500
TIIE
5.50%
MXN 1 Month
MXN
2,300
TIIE
5.61%
JPY 6 Month
JPY
100,000
LIBOR
0.50%
MXN 1 Month
MXN
7,500
TIIE
5.61%
JPY 6 Month
JPY
420,000
LIBOR
0.25%
MXN 1 Month
MXN
1,000
TIIE
6.99%
MXN 1 Month
MXN
8,100
TIIE
5.87%
MXN 1 Month
MXN
12,900
TIIE
5.43%
JPY 6 Month
JPY
70,000
LIBOR
1.25%
MXN 1 Month
MXN
18,000
TIIE
5.67%
MXN 1 Month
MXN
23,800
TIIE
5.54%
MXN 1 Month
MXN
8,000
TIIE
6.53%
MXN 1 Month
MXN
4,600
TIIE
5.94%
MXN 1 Month
MXN
17,000
TIIE
5.98%
Termination
Date
Fair Value
EUR ‘000
Fund
%
17/12/2019
(99)
(0.02)
15/12/2025
(17)
0.00
16/12/2020
(244)
(0.07)
16/12/2022
(132)
(0.03)
15/06/2026
(193)
(0.05)
15/06/2021
(43)
(0.01)
21/09/2018
(31)
(0.01)
15/03/2047
(4)
0.00
15/06/2019
(46)
(0.01)
30/07/2020
23
0.01
19/12/2023
57
0.01
19/06/2033
518
0.13
09/02/2029
21
0.01
02/09/2022
(3)
0.00
07/07/2021
2
0.00
17/09/2021
25
0.01
08/10/2021
4
0.00
20/12/2019
47
0.01
19/05/2034
2
0.00
08/09/2021
10
0.00
17/11/2021
0
0.00
17/06/2035
83
0.02
23/01/2025
(18)
0.00
11/06/2020
21
0.01
05/06/2025
18
0.00
13/07/2022
5
0.00
16/09/2022
21
0.00
31 March 2016
Ccy
Notional
Amount
‘000
Fund
Pays
Fund
Receives
Termination
Date
Fair Value
EUR ‘000
MXN 1 Month
TIIE
5.31%
22/10/2020
JPY 6 Month
JPY
70,000
LIBOR
0.30%
18/03/2026
MXN 1 Month
MXN
2,400
TIIE
5.99%
30/01/2026
MXN 1 Month
MXN
20,800
TIIE
5.10%
05/02/2021
GBP 12 Month
GBP
800
UKRPI
3.40%
15/06/2030
GBP 12 Month
GBP
100
LIBOR
3.33%
12/01/2045
GBP Less than
GBP
940
Month UKRPI
3.14%
14/01/2030
Interest rate swaps at positive fair value ........................................................................................
Interest rate swaps at negative fair value .......................................................................................
Interest rate swaps at fair value .................................................................................................
MXN
Fund
%
8,100
2
0.00
10
0.00
0
0.00
(7)
0.00
72
0.02
8
0.00
46
995
(837)
158
0.01
0.24
(0.20)
0.04
Credit Default Swaps ((0.04)%)
Ccy
USD
Notional
Amount
‘000
2,600
Security
Name
Italy
Government
International
Bond
Fund
Pays
Fund
Receives
Termination
Date
Fair Value
EUR ‘000
Fund
%
1.00%
20/09/2020
(17)
(0.00)
1.00%
20/12/2020
(1)
(0.00)
1.00%
20/12/2020
-
0.00
1.00%
20/12/2020
(1)
(0.00)
1.00%
20/12/2020
(1)
(0.00)
1.00%
20/12/2020
(1)
(0.00)
1.00%
20/12/2020
(1)
(0.00)
1.00%
20/12/2020
-
0.00
1.00%
20/12/2020
(1)
(0.00)
20/12/2020
1
0.00
20/12/2020
(2)
(0.00)
20/12/2020
-
0.00
20/12/2020
(1)
(0.00)
20/12/2020
-
0.00
20/12/2020
-
0.00
#
#
EUR
29
Volkswagen AG
#
EUR
15
Volkswagen AG
#
EUR
37
Volkswagen AG
EUR
29
Volkswagen AG
#
#
EUR
34
Volkswagen AG
#
EUR
34
Volkswagen AG
#
EUR
13
Volkswagen AG
EUR
29
Volkswagen AG
#
#
EUR
98
Telefonica SA
1.00%
#
EUR
81
Volkswagen AG
1.00%
#
EUR
21
Telefonica SA
EUR
37
Volkswagen AG
Carlsberg
Breweries A/S
Anheuser-Busch
InBev SA/NV
1.00%
#
EUR
EUR
24
24
1.00%
#
1.00%
#
1.00%
31 March 2016
Ccy
EUR
Notional
Amount
‘000
24
EUR
24
EUR
59
EUR
EUR
59
23
EUR
23
EUR
23
EUR
EUR
23
23
EUR
23
EUR
49
EUR
EUR
49
25
EUR
25
EUR
20
EUR
EUR
20
21
USD
400
USD
400
Security
Name
Carlsberg
Breweries A/S
Anheuser-Busch
InBev SA/NV
Carlsberg
Breweries A/S
Anheuser-Busch
InBev SA/NV
Carlsberg
Breweries A/S
Anheuser-Busch
InBev SA/NV
Anheuser-Busch
InBev SA/NV
Carlsberg
Breweries A/S
Carlsberg
Breweries A/S
Anheuser-Busch
InBev SA/NV
Carlsberg
Breweries A/S
Anheuser-Busch
InBev SA/NV
Anheuser-Busch
InBev SA/NV
Carlsberg
Breweries A/S
Anheuser-Busch
InBev SA/NV
Carlsberg
Breweries A/S
Vodafone Group
Plc
Newell
Rubbermaid Inc
Fund
Pays
Fund
Receives
Termination
Date
Fair Value
EUR ‘000
Fund
%
#
1.00%
20/12/2020
-
0.00
20/12/2020
-
0.00
20/12/2020
(1)
(0.00)
20/12/2020
1
0.00
20/12/2020
-
0.00
1.00%
20/12/2020
-
0.00
1.00%
20/12/2020
-
0.00
20/12/2020
-
0.00
20/12/2020
-
0.00
20/12/2020
-
0.00
20/12/2020
(1)
(0.00)
1.00%
20/12/2020
1
0.00
1.00%
20/12/2020
-
0.00
20/12/2020
-
0.00
20/12/2020
-
0.00
20/12/2020
-
0.00
20/12/2020
-
0.00
20/12/2020
(3)
(0.00)
20/12/2020
2
0.00
20/12/2020
(1)
(0.00)
20/12/2020
57
0.03
20/12/2020
(1)
(0.00)
20/12/2020
(1)
(0.00)
20/12/2020
1
0.00
20/12/2020
-
0.00
20/12/2020
(1)
(0.00)
20/12/2020
-
0.00
20/12/2020
-
0.00
#
1.00%
#
1.00%
#
1.00%
#
1.00%
#
#
#
1.00%
#
1.00%
#
1.00%
#
1.00%
#
#
#
1.00%
#
1.00%
#
1.00%
#
1.00%
#
1.00%
#
EUR
USD
58
1,081
EUR
100
EUR
65
EUR
65
Nordstrom Inc
Telekom Austria
AG
Republic of
Turkey
Vodafone Group
Plc
Carlsberg
Breweries A/S
Anheuser-Busch
InBev SA/NV
1.00%
#
1.00%
#
1.00%
#
1.00%
#
1.00%
#
1.00%
#
EUR
39
AB Volvo
1.00%
Telekom Austria
#
EUR
79
AG
1.00%
Anheuser-Busch
#
EUR
3
InBev SA/NV
1.00%
Carlsberg
#
EUR
3
Breweries A/S
1.00%
31 March 2016
Ccy
Notional
Amount
‘000
Security
Name
EUR
31
Telekom Austria
AG
Telekom Austria
AG
EUR
28
AB Volvo
EUR
11
Fund
Pays
Fund
Receives
Termination
Date
Fair Value
EUR ‘000
Fund
%
#
1.00%
20/12/2020
-
0.00
20/12/2020
(1)
(0.00)
20/12/2020
-
0.00
20/12/2020
-
0.00
20/12/2020
12
0.00
20/12/2020
28
0.01
20/12/2020
-
0.00
20/12/2020
-
0.00
20/12/2020
(2)
(0.00)
20/12/2020
28
0.01
20/12/2020
3
0.00
20/12/2020
2
0.00
20/12/2020
(3)
(0.00)
20/12/2020
-
0.00
20/12/2020
1
0.00
20/12/2020
1
0.00
20/12/2020
(5)
(0.00)
20/12/2020
(3)
(0.00)
20/12/2020
3
0.00
20/12/2020
1
0.00
20/12/2020
18
0.00
20/12/2020
7
0.00
20/12/2020
18
0.00
20/12/2020
1
0.00
20/06/2021
(4)
(0.00)
20/06/2021
(8)
(0.00)
20/06/2021
9
0.00
#
1.00%
#
1.00%
#
EUR
USD
49
415
USD
885
EUR
11
AB Volvo
Republic of
Indonesia
Republic of
Indonesia
Telekom Austria
AG
1.00%
#
1.00%
#
1.00%
#
1.00%
#
EUR
11
AB Volvo
1.00%
#
USD
212
USD
430
EUR
48
EUR
30
Republic of Italy
Russian
Federation
Anglo American
Plc
Anglo American
Plc
1.00%
#
1.00%
#
5.00%
#
5.00%
#
USD
195
EUR
6
EUR
14
EUR
USD
11
313
USD
147
EUR
59
EUR
USD
9
936
USD
428
USD
936
Stora Enso Corp
Anglo American
Plc
Anglo American
Plc
Anglo American
Plc
Republic of
Korea
Republic of
Korea
Anglo American
Plc
Anglo American
Plc
United Mexican
Sts
United Mexican
Sts
United Mexican
Sts
1.00%
#
5.00%
#
5.00%
#
5.00%
#
1.00%
#
1.00%
#
5.00%
#
5.00%
#
1.00%
#
1.00%
#
1.00%
#
USD
59
MetLife Inc
1.00%
#
EUR
256
Atlantia SpA
1.00%
#
EUR
265
Danone SA
1.00%
EUR
110
Repsol SA
1.00%
#
#
EUR
200
Fortum Oyj
1.00%
20/06/2021
(2)
(0.00)
31 March 2016
Ccy
Notional
Amount
‘000
Security
Name
Fund
Pays
Eni SpA
1.00%
Fund
Receives
Termination
Date
Fair Value
EUR ‘000
Fund
%
#
EUR
152
20/06/2021
1
0.00
20/12/2020
-
0.00
20/06/2021
-
0.00
20/06/2021
(4)
(0.00)
20/06/2021
(6)
(0.00)
20/06/2021
1
0.00
20/06/2021
1
0.00
20/06/2021
1
0.00
1.00%
20/06/2021
(5)
(0.00)
1.00%
20/06/2021
(5)
(0.00)
1.00%
20/06/2021
(3)
(0.00)
1.00%
20/06/2021
(1)
(0.00)
1.00%
20/06/2021
(1)
(0.00)
20/06/2021
-
0.00
20/06/2021
(2)
(0.00)
1.00%
20/09/2018
(1)
(0.00)
1.00%
20/12/2020
(56)
(0.03)
20/12/2020
2
0.00
20/12/2020
1
0.00
20/12/2020
(6)
(0.00)
1.00%
20/12/2020
-
0.00
1.00%
20/12/2020
-
0.00
1.00%
20/12/2020
1
0.00
EUR
200
Pearson Plc
1.00%
20/12/2020
1
0.00
#
USD
24
MetLife Inc
1.00%
EUR
246
1.00%
1.00%
#
EUR
78
Gas Nat SDG SA
Jaguar Land
Rover
Automotive Plc
Jaguar Land
Rover
Automotive Plc
USD
50
Expedia Inc
EUR
54
#
5.00%
#
5.00%
#
#
USD
50
Expedia Inc
1.00%
#
USD
62
Expedia Inc
1.00%
#
USD
490
Republic of Italy
USD
406
Republic of Italy
#
#
USD
USD
USD
243
84
61
Republic of Italy
Italy
Government
International
Bond
Italy
Government
International
Bond
#
#
#
EUR
EUR
148
54
Solvay SA
LVMH Moet
Hennessy Louis
Vuitton SE
1.00%
#
1.00%
#
EUR
EUR
EUR
EUR
USD
600
800
1,750
250
250
Volkswagen AG
Commerzbank
AG
Commerzbank
AG
Imperial
Tobacco Group
Plc
Reynolds
American Inc
#
#
1.00%
#
1.00%
#
1.00%
#
EUR
100
Pearson Plc
#
EUR
100
Pearson Plc
EUR
250
Pearson Plc
#
#
31 March 2016
Ccy
EUR
USD
EUR
USD
EUR
USD
EUR
EUR
EUR
EUR
Notional
Amount
‘000
150
200
100
100
50
50
200
150
100
100
EUR
100
USD
200
USD
USD
150
100
EUR
200
EUR
600
Security
Name
Imperial
Tobacco Group
Plc
Reynolds
American Inc
Imperial
Tobacco Group
Plc
Reynolds
American Inc
Imperial
Tobacco Group
Plc
Reynolds
American Inc
Veolia
Environnement
SA
Veolia
Environnement
SA
Gas Natural
SDG SA
Gas Natural
SDG SA
LVMH Moet
Hennessy Louis
Vuitton SE
Omnicom Group
Inc
Omnicom Group
Inc
Omnicom Group
Inc
Koninklijke KPN
NV
Fund
Pays
Fund
Receives
Termination
Date
Fair Value
EUR ‘000
Fund
%
1.00%
20/12/2020
1
0.00
20/12/2020
(5)
(0.00)
20/12/2020
-
0.00
20/12/2020
(3)
(0.00)
20/12/2020
-
0.00
20/12/2020
(1)
(0.00)
20/12/2020
(3)
(0.00)
20/12/2020
(2)
(0.00)
1.00%
20/12/2020
-
0.00
1.00%
20/12/2020
-
0.00
20/12/2020
(3)
(0.00)
20/12/2020
(5)
(0.00)
20/12/2020
(4)
(0.00)
20/12/2020
(3)
(0.00)
20/12/2020
(6)
(0.00)
20/12/2020
-
0.00
20/12/2020
(3)
(0.00)
20/12/2020
(21)
(0.01)
20/12/2020
(1)
(0.00)
20/12/2020
26
0.01
20/12/2020
(3)
(0.00)
20/06/2021
(44)
(0.02)
20/06/2021
(89)
(0.04)
#
#
1.00%
#
1.00%
#
1.00%
#
1.00%
#
1.00%
#
1.00%
#
1.00%
#
#
#
1.00%
#
1.00%
#
1.00%
#
1.00%
#
1.00%
#
EUR
USD
EUR
EUR
EUR
EUR
EUR
100
650
50
300
100
500
1,000
HSBC Bank Plc
LVMH Moet
Hennessy Louis
Vuitton SE
General Mills
Inc
LVMH Moet
Hennessy Louis
Vuitton SE
Standard
Chartered Bank
LVMH Moet
Hennessy Louis
Vuitton SE
iTraxx Europe
Crossover S25
iTraxx Europe
Crossover S25
1.00%
#
1.00%
#
1.00%
#
1.00%
#
1.00%
#
1.00%
#
5.00%
#
5.00%
31 March 2016
Ccy
Notional
Amount
‘000
Security
Name
Fund
Pays
Fund
Receives
Termination
Date
Fair Value
EUR ‘000
Fund
%
#
1.00%
20/06/2021
6
0.00
#
1.00%
20/06/2021
9
0.00
#
1.00%
20/06/2021
5
0.00
#
1.00%
20/06/2021
6
0.00
#
1.00%
20/06/2021
(5)
(0.00)
#
1.00%
20/09/2019
-
0.00
#
1.00%
20/09/2019
-
0.00
EUR
439
EUR
610
EUR
377
EUR
422
USD
1,000
USD
100
USD
100
iTraxx Europe
S25
iTraxx Europe
S25
iTraxx Europe
S25
iTraxx Europe
S25
CDX.NA.IG
MARKIT
Mexico
Government
International
Bond
Mexico
Government
International
Bond
EUR
300
Tesco Plc
#
1.00%
20/12/2019
(13)
(0.00)
EUR
200
Tesco Plc
#
1.00%
20/12/2019
(8)
(0.00)
EUR
100
#
1.00%
20/12/2019
(4)
(0.00)
USD
300
#
1.00%
20/09/2020
(4)
(0.00)
USD
500
#
1.00%
20/09/2020
(7)
(0.00)
EUR
500
#
1.00%
20/03/2017
1
0.00
USD
400
Tesco Plc
Mexico
Government
International
Bond
Mexico
Government
International
Bond
Volkswagen
International
Finance NV
CMBX.NA.AA
A MARKIT
#
0.50%
17/10/2057
(16)
0.00
USD
200
#
1.00%
20/12/2020
(2)
(0.00)
EUR
500
#
1.00%
20/12/2020
9
0.00
USD
200
#
1.00%
20/12/2020
(3)
(0.00)
USD
200
#
1.00%
20/12/2020
(3)
(0.00)
USD
200
MetLife Inc
BMW Finance
NV
Mexico
Government
International
Bond
Mexico
Government
International
Bond
Mexico
Government
International
Bond
#
1.00%
20/12/2020
(4)
(0.00)
USD
400
Citigroup Inc
#
1.00%
20/12/2020
1
0.00
31 March 2016
Ccy
Notional
Amount
‘000
Security
Name
Fund
Pays
Fund
Receives
Termination
Date
Fair Value
EUR ‘000
Fund
%
PPG Industries
#
USD
1,000
Inc
0.82%
20/03/2018
(12)
Credit default swaps at positive fair value ....................................................................................................268
Credit default swaps at negative fair value ...................................................................................................
(430)
(162)
Credit default swaps at fair value .............................................................................................................
4,319
Total Financial Derivative Instruments ....................................................................................................
(0.00)
0.06
(0.10)
(0.04)
1.06
Fair Value
EUR ‘000
Fund
%
434,680
105.97
(105.97%) .....................................................................................................................................................
(12,739)
(3.10)
Loss ((3.10)%) .............................................................................................................................................
421,941
102.87
(102.87%) ..................................................................................................................................................
(11,742)
(2.87)
Other Net Liabilities ((2.87)%) ...............................................................................................................
410,199
100.00
Net Assets ..................................................................................................................................................
#
In the event of bankruptcy or modified restructuring, the Fund will pay/receive the notional amount to/from the counterparty.
* Perpetual bond.
** Partly held as collateral by the brokers in connection with the margin requirements for futures contracts held by the Fund.
% of
gross assets
Transferable securities admitted to official stock exchange listing .......................................................................
Transferable securities dealt in on another regulated market .................................................................................
Other transferable securities of the type referred to in Regulation 68(1)(a), (b) and (c) ........................................
Money Market Instruments ....................................................................................................................................
Certificate of deposits ............................................................................................................................................
Commercial papers ................................................................................................................................................
Investment funds (UCITS) .....................................................................................................................................
Exchange traded financial derivative instruments .................................................................................................
Over the counter financial derivative instruments .................................................................................................
Other assets ............................................................................................................................................................
47.13
28.69
3.22
1.45
0.19
0.51
5.88
0.41
3.15
9.37
100.00
The brokers for the open futures contracts are:
Credit Suisse
Goldman Sachs
Merrill Lynch
RBC Capital Markets
31 March 2016
Australia & New Zealand Banking Corp
Bank of America
Barclays Bank
Barclays Capital
BNP Paribas
Citibank
Citigroup
Credit Suisse
Deutsche Bank AG
Goldman Sachs
HSBC Bank
JP Morgan Securities Plc
Merrill Lynch
Morgan Stanley
Nomura Global Financial Products Inc
Société Generale
State Street Bank
Toronto Dominion Bank
UBS AG
The counterparties for the options purchased are:
Credit Suisse
Merrill Lynch
The counterparties for the options written are:
Bank of America
Barclays Capital
Citibank
Credit Suisse
Goldman Sachs
HSBC Bank
Merrill Lynch
Morgan Stanley
UBS AG
The counterparties for the swaptions purchased are:
BNP Paribas
Citibank
Goldman Sachs
Morgan Stanley
Nomura Global Financial Products Inc
The counterparties for the swaptions written are:
Bank of America
Barclays Capital
BNP Paribas
Citibank
Goldman Sachs
JP Morgan Securities Llc
Morgan Stanley
Barclays Bank
Citibank
Credit Suisse
Goldman Sachs
Société Generale
UBS AG
The counterparties for the credit default swaps are:
Barclays Bank
BNP Capital Markets
Citibank
Credit Suisse
Deutsche Bank AG
Goldman Sachs
HSBC Bank
Merrill Lynch
Morgan Stanley
31 March 2016
As at 31 March 2016
Level 1
EUR ‘000
Assets
Commercial Paper .....................................................................
Unrealised gain on open futures contracts ......................................
contracts .........................................................................................
Futures options purchased at fair value ..........................................
Swaptions purchased at fair value ..................................................
Credit default swaps at fair value ...................................................
Total assets ......................................................................................
Liabilities
Unrealised loss on open futures contracts ......................................
contracts .........................................................................................
Currency options written at fair value ............................................
Futures options written at fair value ...............................................
Swaptions written at fair value .......................................................
Level 2
EUR ‘000
Level 3
EUR ‘000
Total
EUR ‘000
1,929
378,929
6,959
903
2,454
28,202
-
175
-
379,104
6,959
903
2,454
28,202
1,929
34
1,963
13,808
24
268
995
432,542
175
13,808
34
24
268
995
434,680
(397)
-
-
(397)
(14)
(411)
(10,943)
(101)
-
(10,943)
(101)
(14)
(17)
(430)
(837)
(12,739)
(17)
(430)
(837)
(12,328)
31 March 2016
As at 31 March 2015
Level 1
EUR ‘000
Assets
contracts .........................................................................................
Swaptions purchased at fair value ..................................................
Total assets ......................................................................................
Liabilities
contracts .........................................................................................
Options purchased at fair value ......................................................
Swaptions written at fair value .......................................................
Level 2
EUR ‘000
-
Level 3
EUR ‘000
Total
EUR ‘000
1,464
486,827
13,116
1,304
54,837
-
515
-
487,342
13,116
1,304
54,837
1,464
1,464
8,444
4
2
812
565,346
515
8,444
4
2
812
567,325
(370)
-
-
(370)
(370)
(18,002)
(46)
(13)
(37)
(1,780)
(19,878)
-
(18,002)
(46)
(13)
(37)
(1,780)
(20,248)
Statement of Changes in the Composition of Portfolio
The Euro Liquidity Fund Class R Roll-Up Shares
Russell Investment Company III plc
The U.S. Dollar Cash Fund II Class R Roll-Up Shares
Fannie Mae Pool
3.500% due 15/01/46
4.000% due 15/01/46
4.000% due 15/11/45
The Sterling Liquidity Fund Class R Roll-Up Shares
Fannie Mae Pool
3.500% due 15/10/45
3.500% due 15/12/45
4.000% due 15/12/45
3.500% due 15/02/46
4.000% due 15/09/45
3.000% due 15/05/46
3.000% due 15/01/46
3.000% due 15/12/45
U.S. Treasury Note
2.125% due 15/05/25
Fannie Mae Pool
3.500% due 15/11/45
3.500% due 15/09/45
Federal Home Loan Bank Discount Notes
iShares MBS ETF
Fannie Mae Pool
3.000% due 15/11/45
Acquisition Cost
EUR ‘000
268,094
245,678
26,025
20,819
20,811
17,743
16,178
14,716
13,748
13,069
13,002
12,382
12,168
12,097
11,405
10,979
10,743
10,697
10,294
10,129
Russell Euro Liquidity Fund Class R Roll-Up Shares
The U.S. Dollar Cash Fund II Class R Roll-Up Shares
Fannie Mae Pool
3.500% due 15/01/46
4.000% due 15/11/45
4.000% due 15/01/46
Russell Absolute Return Bond Fund Class K-H Shares
Fannie Mae Pool
3.500% due 15/10/45
3.500% due 15/12/45
4.000% due 15/12/45
3.000% due 15/04/46
3.500% due 15/02/46
4.000% due 15/09/45
3.000% due 15/12/45
3.000% due 15/01/46
3.000% due 15/05/46
U.S. Treasury Note
1.500% due 31/12/18
2.125% due 15/05/25
Fannie Mae Pool
3.500% due 15/11/45
3.500% due 15/09/45
Disposal Proceeds
EUR ‘000
(276,681)
(239,396)
(26,047)
(21,012)
(20,893)
(18,868)
(17,738)
(16,149)
(14,920)
(13,829)
(13,342)
(13,134)
(12,978)
(12,276)
(12,061)
(11,784)
(11,721)
(11,482)
(11,074)
(10,653)
Manager’s Report
Intech Investment Management, LLC
Perkins Investment Management, LLC
Russell Investment Management Company
Russell Global Defensive Equity Fund (the “Fund”) seeks to achieve long term capital appreciation with absolute volatility that is
low relative to other global equity funds.
Fund Performance
During the 12 month period ended 31 March 2016, Russell Global Defensive Equity Fund (Class A USD) returned 0.6 per cent
on a gross-of-fee basis (-0.5 per cent on a net-of-fee basis), while the benchmark* returned 0.6 per cent.
Market Comment
Global equities, as measured by the benchmark, fell 0.6 per cent in U.S. Dollar terms over the second quarter of 2015, while the
non-U.S. component rose by 0.5 per cent. Global markets gained in aggregate over the second quarter, despite Greece’s
sovereign-debt crisis casting a growing shadow over market sentiment. In the U.S., economic data trends were mixed over the
quarter, but evidence that the economy is bouncing back from its first-quarter economic slowdown materialised by the end of the
period. Employment, consumption and housing data all improved markedly, supporting expectations for a first interest rate hike
later this year. Stocks rose marginally over the period, with the pace of subsequent rate hikes at the forefront of investor concerns.
Japanese equity markets performed well over the quarter, extending year-to-date gains. Better than expected GDP growth in the
first quarter and strong corporate earnings buoyed market sentiment. Meanwhile, continental European stocks registered losses of
4.2 per cent in local currency terms (-0.6 per cent in U.S. Dollar terms), as worries over Greece outweighed evidence that the
Eurozone recovery was gaining momentum. In Emerging Markets (EM), Brazilian stocks rebounded in what was a solid quarter
overall for Latin American bourses. Meanwhile, China’s long bull market continued for much of the quarter before concerns that
the country’s stocks were overvalued led to a major sell-off in June.
Global equities, as measured by the benchmark, fell 6.3 per cent over the third quarter of 2015. The non-U.S. component fell by
12.1 per cent. Early in the quarter, the renewed bailout deal with Greece brought a degree of harmony in Europe. This positive
development soon became a distant memory, as two central stories unfolded over the period. In China, the country’s devaluation
of its currency, amid slowing growth, gave rise to a severe sell-off in global markets. This, in turn, became a lead factor in
preventing the U.S. Federal Reserve (the “Fed”) from raising its interest rate in September. The combination of these major
events engendered the fourth biggest quarterly increase in volatility in the past 10 years, as measured by the Chicago Board
Options Exchange Volatility Index. It also handed over renewed market uncertainty to the final quarter of this year. Though the
data-driven Fed saw strong upward revisions to second quarter GDP figures (first to 3.7 per cent, later revised to 3.9 per cent) and
overall positive employment numbers, lacklustre wage growth, inflation and “recent global economic and financial
developments” (alluding to China and capital market volatility) served as deterrents to a September rate rise. This decision
initially boosted equities, however investors grew anxious about global economic growth, tilting their demand away from risk. In
Europe, after a possible ‘Grexit’ was avoided, relatively positive economic data streamed through over the summer.
Global equities, as measured by the benchmark, rose by 5.2 per cent over the fourth quarter of 2015 in U.S. Dollar terms. The
non-U.S. component rose by 3.9 per cent. Global markets gained in aggregate over the fourth quarter as the negative effects of
China’s third quarter slowdown began to fade and the Fed moved towards policy tightening, exhibiting confidence in the
American economy’s steady recovery. In Europe, investors were slightly disappointed by the European Central Bank’s (ECB)
timid actions to quell sluggish growth, whilst the downward trend of the oil price weighed on EM. Driven by overall positive
economic growth, strong employment and housing data, the Fed’s Open Market Committee (FOMC) unanimously decided to lift
the interest rate by 25 basis points (bps) to 0.5 per cent. The Fed’s accompanying statement revealed that its policy would “remain
accommodative” and that “the actual path of [increases in] the federal funds rate will depend on the economic outlook as
informed by incoming data”.
Global equities, as measured by the benchmark, rose by 2.6 per cent over the first quarter of 2016 in U.S. Dollar terms. The
period was characterised by two halves. In the first half, slowing growth in China coupled with an ongoing commodities rout
(especially in oil), engendered significant market volatility and a considerable risk-off sentiment. However in the latter part of the
quarter, more accommodative Central Bank policies alongside oil price stabilisation, thawed sentiment for global equities to some
degree. At the FOMC meeting, Fed Chair Yellen explained that whilst on one hand, economic “forecasts have not changed much
since December”, this was being overshadowed by “global economic and financial developments”, posing a risk to growth. As a
result, FOMC “dots” reduced to two possible interest rate hikes this year, as opposed to four.
122 Russell Global Defensive Equity Fund
The Fund outperformed the benchmark in the second quarter of 2015. Growth factors performed positively across the qu arter
whilst value factors faced some headwinds towards the latter part. Despite headwinds, fundamental value Money Manager
Perkins added, with positive stock selection in financials. Managed volatility strategy Intech also delivered positive return s, as
volatility picked up towards the end of the quarter. Growth strategy Fiera held back gains with healthcare stocks and no
exposure to the telecommunication services sector detracting. At the Fund level, stock selection within the financials sector
was positive, however an overweight position to a poor performing utilities sector and exposure to health care, held back Fund
performance.
The Fund finished ahead of the benchmark, in a third quarter of 2015 characterised by significant market decline and
volatility. In this market environment, defensive and growth factors as well as lower-beta stocks performed better than value
styles. The Fund’s underlying strategies held their ground, however Intech was a notable outperformer, strongly positioned fo r
this prevailing environment. At the Fund level, stock selection within the consumer discretionary and financial sectors
rewarded. Stock picks in the U.S. and EM was also positive. Selection in the U.K. and within industrials and information
technology, detracted slightly.
The Fund underperformed the benchmark in the final quarter of 2015. Names within the industrials and technology sectors
generated strong gains, especially through Apple (technology) and Schindler Holding (industrials). However, consumer orientated and telecommunication stocks held back performance. On a regional basis, allocation and selection effect were
positive for Japan, whilst Asia detracted. An allocation towards the higher momentum spectrum was beneficial. We believe
that high momentum is an area of caution, from a defensive stand-point, but a potential diversifier from an alpha source
perspective.
The Fund finished behind the benchmark in the first quarter of 2016. An allocation towards the small -mid cap spectrum was
rewarded in the prevailing market environment. However this was offset by a tilt away from the higher dividend yield space.
Stock selection within the health care, technology and consumer discretionary sectors drove performance. However, names
within the financial sector, which sold off substantially over the quarter, hurt performance. Stock selection in the U.K. was
positive, whilst an underweight allocation to Emerging Markets detracted slightly.
Outlook
Global markets got off to a rough start in 2016. By mid-February global developed equities had lost nearly 20 per cent from
their 2015 peak. They rebounded by around 10 per cent by mid-March, but we expect volatility to be a headline throughout
2016. This volatility will continue to be driven by China fears, the Fed’s monetary ti ghtening, U.S. recession concerns, bank
balance sheet worries, and soft corporate profits. Moreover, the move to negative interest rates in Europe and Japan has
triggered fears that Central Banks have run out of easing options. Negative rates also tend to squeeze the margin between
banks’ borrowing and lending rates. This squeeze could, in turn, hurt bank profitability, and end up making things worse for
the markets. In our 2016 Global Market Outlook Annual report, we forecast mid -to-low single digit returns for global equities,
along with a gradual rise in long-term interest rates. We’re holding to that view, with the exception we think equity growth is
more likely to be in the low single digits. Moreover, we’re now seeing corporate profits weakening, softn ess in global trade
and manufacturing, and slightly higher risks for Emerging Markets. These elements all contribute to a less supportive
environment for equities. That said, we’re not forecasting a sustained bear market , provided the U.S. does not fall into
recession. Right now we see recession as a low probability over the next several years. It’s true we’re deep into the current
business cycle, but we’re not seeing excesses in the U.S. economy that could trigger recession.
* Benchmark Source: Russell Global Defensive Index
May 2016
Russell Global Defensive Equity Fund 123
Balance Sheet
As at 31 March 2016
31 March 2016
USD ‘000
31 March 2015
USD ‘000
Assets
Financial assets at fair value through profit or loss (Note 2) ................................................................................................................
132,985
145,280
Cash at bank (Note 3) ...........................................................................................................................................................................
1,295
4,337
(Note 3) .................................................................................................................................................................................................
511
812
Debtors:
Receivable for investments sold ......................................................................................................................
178
285
Receivable on fund shares issued ....................................................................................................................
13
Dividends receivable .......................................................................................................................................
426
458
135,408
151,172
Liabilities
Financial liabilities at fair value through profit or loss (Note 2) ...........................................................................................................
(1,066)
(148)
Payable for investments purchased .................................................................................................................
(258)
Distributions payable on income share classes ...............................................................................................
(85)
Management fees payable ...............................................................................................................................
(118)
Custodian and Trustee fees payable ................................................................................................................
(2)
Sub-custodian fees payable .............................................................................................................................
(12)
Administration fees payable ............................................................................................................................
(6)
Audit fees payable ...........................................................................................................................................
(20)
Other fees payable ...........................................................................................................................................
(5)
(1,572)
133,836
(179)
(18)
(130)
(3)
(8)
(8)
(20)
(3)
(517)
150,655
2016
USD ‘000
Income
Dividends ........................................................................................................................................................
3,957
2015
USD ‘000
6,482
(5,177)
16,389
(1,220)
22,871
Expenses
Management fees (Note 5) ..............................................................................................................................
(1,575)
Custodian and Trustee fees (Note 6) ...............................................................................................................
(13)
Sub-custodian fees (Note 6) ............................................................................................................................
(88)
Administration and transfer agency fees (Note 6) ...........................................................................................
(82)
Audit fees (Note 6) ..........................................................................................................................................
(20)
Professional fees ..............................................................................................................................................
(48)
Other fees ........................................................................................................................................................
(22)
(1,848)
(2,466)
(23)
(96)
(112)
(20)
(33)
(27)
(2,777)
(3,068)
Net income (expense) ................................................................................................................................................
20,094
Finance costs
Distributions (Note 8) .....................................................................................................................................
(1,315)
(4,383)
Profit (loss) for the financial year before taxation .................................................................................................
(2,547)
17,547
Taxation
Withholding tax (Note 9) .................................................................................................................................
(772)
(1,193)
(5,155)
16,354
Account.
2016
USD ‘000
(5,155)
Share transactions
2015
USD ‘000
16,354
1,195
1,347
(12,859)
(119,089)
(16,819)
participating shareholders .......................................................................................................................................
(101,388)
Beginning of year ............................................................................................................................................
150,655
252,043
End of year ......................................................................................................................................................
133,836
150,655
31 March 2016
Number
of Shares
Fair Value
USD ‘000
53,519
10,394
8,021
1,170
9,416
4,848
7,441
584
623
15,372
7,544
2,782
4,071
28,310
Fund
%
Common Stock (94.95%) (2015: 90.41%)
Australia (1.41%)
Banks
Australia & New Zealand
Banking Group Ltd .............
966 0.72
Brambles Ltd .......................
97 0.07
Containers and Packaging
Amcor Ltd ...........................
89 0.07
ASX Ltd ..............................
37 0.03
Entertainment
Tatts Group Ltd ...................
27 0.02
Food Products
Wesfarmers Ltd ...................
155 0.12
Woolworths Ltd ..................
127 0.09
Washington H Soul
Pattinson & Co Ltd ..............
8 0.01
Flight Centre Travel Group
Ltd .......................................
21 0.01
Insurance
Insurance Australia Group
Ltd .......................................
66 0.05
Metals and Mining
BHP Billiton Ltd .................
98 0.07
New Hope Corp Ltd ............
3 0.00
Oil and Gas
Woodside Petroleum Ltd .....
81 0.06
Telecommunications
Telstra Corp Ltd ..................
116 0.09
1,891
Austria (0.01%)
Transport
199 Oesterreichische Post AG ....
1.41
Number
of Shares
Fair Value
USD ‘000
784 HAL Trust ..........................
156 0.12
Insurance
4,300 Arch Capital Group Ltd ......
306 0.23
Axis Capital Holdings
3,051 Ltd ......................................
169 0.13
Endurance Specialty
279 Holdings Ltd .......................
18 0.01
1,200 Everest Re Group Ltd .........
237 0.18
1,831 Hiscox Ltd ..........................
26 0.02
RenaissanceRe Holdings
1,000 Ltd ......................................
120 0.09
2,900 Validus Holdings Ltd ..........
137 0.10
White Mountains Insurance
300 Group Ltd ...........................
241 0.18
Telecommunications
996 VTech Holdings Ltd ...........
12 0.01
Textile and Apparel
Yue Yuen Industrial
51,500 Holdings Ltd .......................
177 0.13
1,615
1,000
910
300
447
1,901
2,863
2,341
8
0.01
2,212
Belgium (0.11%)
Other Finance
Groupe Bruxelles Lambert
450 SA .......................................
Pharmaceuticals
1,094 UCB SA ..............................
Telecommunications
836 Proximus SADP ..................
Bermuda (1.44%)
3,600 Genpact Ltd .........................
Cheung Kong Infrastructure
24,000 Holdings Ltd .......................
37
0.03
84
0.06
29
0.02
150
0.11
98
0.07
235
0.17
Fund
%
11,230
38,893
1,837
615
1,008
2,140
2,000
900
2,466
Canada (2.48%)
Banks
Commerce ...........................
CCL Industries Inc ..............
CI Financial Corp ...............
Insurance
Fairfax Financial Holdings
Ltd ......................................
Genworth MI Canada Inc ...
Great-West Lifeco Inc ........
Intact Financial Corp ..........
Media
Thomson Reuters Corp .......
Oil and Gas
ARC Resources Ltd ............
Canadian Natural Resources
Ltd ......................................
Cenovus Energy Inc ............
Husky Energy Inc ...............
Vermilion Energy Inc .........
Pipelines
Keyera Corp ........................
Pembina Pipeline Corp .......
Retail Trade
Dollarama Inc .....................
Software
Constellation Software
Inc .......................................
Telecommunications
BCE Inc ..............................
1,932
1.44
121
0.09
191
0.14
20
0.01
169
11
53
201
0.12
0.01
0.04
0.15
95
0.07
32
0.02
305
508
23
18
0.23
0.38
0.02
0.01
31
58
0.02
0.05
141
0.11
370
0.28
113
0.09
31 March 2016
Number
of Shares
Fair Value
USD ‘000
Rogers Communications
20,267 Inc .......................................
1,355 TELUS Corp .......................
74,500
30,000
29,500
900
815
44
0.61
0.03
3,319
2.48
Hengan International Group
Co Ltd .................................
Real Estate
Cheung Kong Property
Holdings Ltd .......................
Retail Trade
CK Hutchison Holdings
Ltd .......................................
Software
NetEase Inc ADR ................
647
0.48
193
0.14
382
0.29
129
0.10
1,351
1.01
Banks
450 Komercni Banka AS ............
1,797
1,095
645
19,918
Fund
%
Denmark (0.48%)
Food Products
Chr Hansen Holding A/S .....
William Demant Holding
A/S ......................................
Insurance
Tryg A/S ..............................
Retail Trade
Matas A/S ............................
100
7,767
20,303
15,849
214
2,104
157
751
0.07
121
Societe Television
745 Francaise 1 ..........................
Pharmaceuticals
3,680 Sanofi ..................................
Software
20,165 Lectra ..................................
Germany (0.33%)
Hamburger Hafen und
14,498 Logistik AG ........................
Insurance
364 Hannover Rueck SE ............
Muenchener
Rueckversicherungs890 Gesellschaft AG ..................
4,776
0.09
2,500
110
0.08
53,500
13
0.01
7,977
404
133
Hong Kong (0.34%)
Banks
Hang Seng Bank Ltd ...........
Electric Utilities
Power Assets Holdings
Ltd ......................................
Media
Ltd ......................................
Link REIT ...........................
Transport
MTR Corp Ltd ....................
0.30
0.48
18,086
France (2.40%)
Chemicals
Air Liquide SA ....................
875
Electric Utilities
Engie SA .............................
316
Food Products
Danone SA ..........................
1,129
Sartorius Stedim Biotech .....
82
Orpea ...................................
175
Insurance
Euler Hermes Group ............
14
Media
Metropole Television
SA .......................................
14
0.10
5,926
12,334
0.66
9,752
0.24
0.84
2,714
0.06
1,998
0.13
0.01
1,552
67
0.01
Fair Value
USD ‘000
906
648
Finland (0.10%)
Insurance
2,798 Sampo OYJ .........................
Number
of Shares
India (1.21%)
Banks
HDFC Bank Ltd ADR ........
Household Products
Godrej Consumer Products
Ltd ......................................
Hindustan Unilever Ltd ......
Pharmaceuticals
Lupin Ltd ............................
Ireland (0.36%)
Building Products
James Hardie Industries
Plc .......................................
Accenture Plc ......................
Entertainment
Paddy Power Betfair
Plc .......................................
Insurance
XL Group Plc ......................
Fund
%
10
0.01
297
0.22
294
0.22
3,206
2.40
214
0.16
42
0.03
181
0.14
437
0.33
85
0.06
9
0.01
9
0.01
317
0.23
39
0.03
459
0.34
1,115
0.83
124
163
0.10
0.12
218
0.16
1,620
1.21
37
0.03
231
0.17
217
0.16
2
0.00
487
0.36
31 March 2016
Number
of Shares
Fair Value
USD ‘000
Israel (0.19%)
1,328 Elbit Systems Ltd ................
Telecommunications
Bezeq The Israeli
Telecommunication Corp
54,460 Ltd .......................................
Italy (0.11%)
Pharmaceuticals
5,859 Recordati SpA .....................
4,600
22,800
15,000
24,800
36,600
16,000
4,000
5,200
8,400
25,600
1,600
32,618
6,100
2,700
300
6,500
1,100
3,100
1,700
14,000
5,200
20,490
11,500
125
Fund
%
0.10
123
0.09
248
0.19
147
Japan (6.88%)
Agriculture
Japan Tobacco Inc ...............
192
Automobiles
Honda Motor Co Ltd ...........
626
Chemicals
Asahi Kasei Corp ................
102
Nippon Fine Chemical Co
Ltd .......................................
170
Nitto FC Co Ltd ..................
289
Toray Industries Inc ............
137
Park24 Co Ltd .....................
112
Secom Co Ltd ......................
387
Secom Joshinetsu Co Ltd ....
251
Shingakukai Co Ltd .............
134
NTT Data Corp ...................
80
Cosel Co Ltd .......................
314
Icom Inc ..............................
112
Keyence Corp ......................
1,475
Entertainment
Sankyo Co Ltd .....................
11
As One Corp ........................
246
Medikit Co Ltd ....................
35
Nakanishi Inc ......................
99
Home Furnishings
Hoshizaki Electric Co
Ltd .......................................
142
Insurance
Sompo Japan Nipponkoa
Holdings Inc ........................
397
Machinery
FANUC Corp ......................
809
Metals and Mining
Kitagawa Industries Co
Ltd .......................................
208
Office Electronics
Canon Inc ............................
343
0.11
0.14
0.47
0.08
0.13
0.21
0.10
0.08
0.29
0.19
0.10
0.06
0.24
0.08
1.10
0.01
0.18
0.03
0.07
0.11
0.30
0.60
0.16
0.26
Number
of Shares
Fair Value
USD ‘000
Personal Products
1,400 Kose Corp ...........................
Pharmaceuticals
Chugai Pharmaceutical Co
4,200 Ltd ......................................
Mitsubishi Tanabe Pharma
6,500 Corp ....................................
Ono Pharmaceutical Co
4,000 Ltd ......................................
Takeda Pharmaceutical Co
3,700 Ltd ......................................
Real Estate
Daito Trust Construction Co
600 Ltd ......................................
Retail Trade
1,800 FamilyMart Co Ltd .............
Fast Retailing Co
800 Ltd ......................................
2,100 Lawson Inc .........................
McDonald's Holdings Co
3,600 Japan Ltd ............................
Nitori Holdings Co
4,200 Ltd ......................................
1,300 Tsuruha Holdings Inc .........
Telecommunications
3,700 KDDI Corp .........................
Nippon Telegraph &
3,000 Telephone Corp ..................
8,400 NTT Docomo Inc ................
Transport
3,000 West Japan Railway Co ......
34,033 UBM Plc .............................
6,642
7,225
7,344
612
1,056
806
Agriculture
KT&G Corp ........................
Automobiles
Hyundai Motor Co ..............
Kia Motors Corp .................
Samsung SDS Co
Ltd ......................................
Insurance
Samsung Fire & Marine
Insurance Co Ltd .................
Personal Products
Amorepacific Corp .............
Mexico (1.19%)
Media
Grupo Televisa SAB
21,174 ADR ....................................
Fund
%
136
0.10
130
0.10
113
0.08
170
0.13
169
0.13
85
0.06
94
0.07
256
176
0.19
0.13
85
0.06
385
128
0.29
0.10
99
0.07
129
191
0.10
0.14
185
0.14
9,202
6.88
294
0.22
639
0.48
963
310
0.72
0.23
94
0.07
272
0.21
272
0.20
2,550
1.91
581
0.43
31 March 2016
Number
of Shares
Fair Value
USD ‘000
Telecommunications
America Movil SAB de
1,247,581 CV .......................................
62,374 Telesites SAB de CV ...........
Netherlands (1.46%)
Food Products
5,528 Koninklijke Ahold NV ........
Personal Products
40,770 Unilever NV ........................
New Zealand (0.39%)
Auckland International
55,304 Airport Ltd ..........................
Electric Utilities
2,146 Contact Energy Ltd .............
Telecommunications
104,770 Spark New Zealand Ltd .......
Norway (0.40%)
Food Products
28,295 Orkla ASA ...........................
TGS Nopec Geophysical Co
636 ASA .....................................
Telecommunications
16,221 Telenor ASA .......................
15,300
3,000
43,900
4,800
10,000
49,200
3,700
93,800
Singapore (0.50%)
Airlines
Singapore Airlines Ltd ........
SIA Engineering Co Ltd ......
SATS Ltd ............................
Singapore Exchange Ltd .....
Media
Singapore Press Holdings
Ltd .......................................
Telecommunications
Singapore
Telecommunications Ltd .....
StarHub Ltd .........................
Transport
ComfortDelGro Corp Ltd ....
Spain (0.01%)
366 Tecnicas Reunidas SA .........
Fund
%
978
35
0.73
0.03
1,594
1.19
125
0.09
1,830
1.37
1,955
1.46
Number
of Shares
Sweden (1.68%)
Agriculture
30,870 Swedish Match AB .............
Banks
89,621 AB ......................................
2,310 Skanska AB ........................
148
247
0.18
2,214
7
0.01
35
266
0.20
1,063
520
0.39
30,298
256
0.19
10
0.01
263
0.20
529
0.40
130
0.10
7,091
646
1,685
113
29,895
6,555
14,890
8
0.01
150
129
0.09
28
0.02
30
0.02
139
9
0.10
0.01
203
0.15
676
0.50
10
0.01
Fair Value
USD ‘000
335
Switzerland (7.41%)
Banks
Banque Cantonale
Vaudoise .............................
Building Products
Geberit AG .........................
SGS SA ...............................
GAM Holding AG ..............
Food Products
Nestle SA ............................
Hand and Machine Tools
Schindler Holding AG ........
Insurance
Allied World Assurance Co
Holdings AG .......................
Chubb Ltd ...........................
Pharmaceuticals
Galenica AG .......................
Novartis AG ........................
Roche Holding AG .............
Retail Trade
Cie Financiere Richemont
SA .......................................
Telecommunications
Swisscom AG .....................
Transport
Kuehne & Nagel
International AG .................
Fund
%
1,049
0.79
1,142
0.85
53
0.04
2,244
1.68
104
0.08
831
0.62
74
0.05
15
0.01
2,273
1.70
1,313
0.98
23
201
0.02
0.15
171
2,176
1,620
0.13
1.62
1.21
988
0.74
82
0.06
48
0.04
9,919
7.41
Taiwan (0.69%)
Manufacturing Co Ltd
35,437 ADR ....................................
928
0.69
Thailand (0.15%)
14,300 Bumrungrad Hospital PCL .
Telecommunications
Advanced Info Service
23,300 PCL .....................................
86
0.06
121
0.09
207
0.15
31 March 2016
Number
of Shares
20,542
233,369
94,645
3,708
61,851
175,571
98,972
26,315
61,942
178,155
177,431
6,443
1,727
21,290
35,147
12,915
27,922
17,827
6,684
2,892
45,756
3,249
189,816
787
2,480
2,643
12,204
12,015
Fair Value
USD ‘000
BAE Systems Plc ................
150
Cobham Plc .........................
728
Meggitt Plc ..........................
553
Agriculture
Plc .......................................
218
Beverages
Diageo Plc ...........................
1,673
Stock Spirits Group Plc .......
370
G4S Plc ...............................
271
Intertek Group Plc ...............
1,198
BBA Aviation Plc ...............
178
Rotork Plc ...........................
468
Food Products
Tesco Plc .............................
489
Home Builders
Barratt Developments
Plc .......................................
52
Persimmon Plc ....................
52
Taylor Wimpey Plc .............
58
Lodging
InterContinental Hotels
Group Plc ............................
1,450
Machinery
Spirax-Sarco Engineering
Plc .......................................
676
Oil and Gas
BP Plc ADR ........................
843
Royal Dutch Shell Plc .........
431
Royal Dutch Shell Plc
(Shares A) ...........................
163
Pharmaceuticals
AstraZeneca Plc ..................
162
GlaxoSmithKline Plc ...........
929
Retail Trade
Next Plc ...............................
252
Telecommunications
Vodafone Group Plc ............
603
Boeing Co ...........................
Lockheed Martin Corp ........
Raytheon Co ........................
United Technologies
Corp .....................................
Agriculture
Altria Group Inc ..................
Fund
%
0.11
0.55
0.41
0.16
1.25
0.28
0.20
0.90
0.13
0.35
0.37
0.04
0.04
0.04
1.08
0.50
0.63
0.32
0.12
0.12
0.70
0.19
0.45
11,967
8.94
100
549
324
0.08
0.41
0.24
1,222
0.91
753
0.57
Number
of Shares
Fair Value
USD ‘000
2,468 Inc .......................................
11,772 Reynolds American Inc ......
Banks
26,240 CIT Group Inc ....................
Citizens Financial Group
47,164 Inc .......................................
36,439 Fifth Third Bancorp ............
32,668 US Bancorp .........................
58,285 Wells Fargo & Co ...............
25,173 Zions Bancorporation .........
Beverages
44,299 Coca-Cola Co .....................
Dr Pepper Snapple Group
2,880 Inc .......................................
16,552 PepsiCo Inc .........................
Chemicals
9,659 Mosaic Co ...........................
4,171 Sherwin-Williams Co .........
Automatic Data Processing
2,073 Inc .......................................
22,754 Moody's Corp .....................
1,317 Machines Corp ....................
43,402 Ally Financial Inc ...............
5,100 CBOE Holdings Inc ............
15,190 MasterCard Inc ...................
1,900 Nasdaq Inc ..........................
Electric Utilities
3,200 Consolidated Edison Inc .....
1,500 Duke Energy Corp ..............
2,200 Edison International ............
29,306 Exelon Corp ........................
1,800 PG&E Corp .........................
724 Pinnacle West Capital Corp
33,728 PPL Corp ............................
6,900 Southern Co ........................
1,500 WEC Energy Group Inc ......
2,200 Xcel Energy Inc ..................
545 AVX Corp ..........................
8,225 Corning Inc .........................
1,683 Emerson Electric Co ...........
Mettler-Toledo International
2,582 Inc .......................................
3,300 Republic Services Inc .........
Food Products
1,400 Campbell Soup Co ..............
13,800 General Mills Inc ................
Fund
%
242
592
0.18
0.44
814
0.61
988
608
1,326
2,819
609
0.74
0.45
0.99
2.11
0.45
2,055
1.54
258
1,696
0.19
1.27
261
1,187
0.19
0.89
186
2,197
0.14
1.64
199
0.15
812
333
1,435
126
0.61
0.25
1.07
0.09
245
121
158
1,051
107
54
1,284
357
90
92
0.18
0.09
0.12
0.78
0.08
0.04
0.96
0.27
0.07
0.07
7
172
92
0.01
0.13
0.07
890
0.66
157
0.12
89
874
0.07
0.65
31 March 2016
Number
of Shares
Fair Value
USD ‘000
2,800 Hershey Co ..........................
258
663 JM Smucker Co ...................
86
8,875 Sysco Corp ..........................
415
12,272 Becton Dickinson and Co ....
1,863
1,451 Dentsply International Inc ...
89
3,100 ResMed Inc .........................
179
5,084 Stryker Corp ........................
545
800 Teleflex Inc .........................
126
Varian Medical Systems
10,480 Inc .......................................
839
1,500 Aetna Inc .............................
169
900 Anthem Inc ..........................
125
1,300 Cigna Corp ..........................
178
1,300 MEDNAX Inc .....................
84
1,600 UnitedHealth Group Inc ......
206
Home Builders
100 NVR Inc ..............................
173
Household Products
1,522 Clorox Co ............................
192
1,572 Kimberly-Clark Corp ..........
211
Insurance
2,729 Aflac Inc ..............................
172
American Financial Group
438 Inc .......................................
31
1,500 Assurant Inc ........................
116
1,072 Cincinnati Financial Corp ...
70
153 Erie Indemnity Co ...............
14
200 Markel Corp ........................
178
315 Mercury General Corp ........
17
3,471 ProAssurance Corp ..............
176
3,858 Progressive Corp .................
136
1,748 Travelers Cos Inc ................
204
1,958 Alphabet Inc ........................
1,494
4,535 Symantec Corp ....................
83
Machinery
10,303 BWX Technologies Inc .......
346
1,122 Cummins Inc .......................
123
12,324 Graco Inc .............................
1,035
6,476 Middleby Corp ....................
691
Miscellaneous Manufacturers
9,036 3M Co .................................
1,506
Oil and Gas
220 California Resources Corp ..
2,089 Chevron Corp ......................
199
7,387 Devon Energy Corp .............
203
3,547 Exxon Mobil Corp ...............
296
584 Helmerich & Payne Inc .......
34
Occidental Petroleum
2,356 Corp .....................................
161
Fund
%
Number
of Shares
0.19
0.07
0.31
1.39
0.07
0.13
0.41
0.09
0.63
0.13
0.09
0.13
0.06
0.16
0.13
0.14
0.16
0.13
0.03
0.09
0.05
0.01
0.13
0.01
0.13
0.10
0.15
1.12
0.06
0.26
0.09
0.77
0.52
1.12
0.00
0.15
0.15
0.22
0.03
0.12
Fair Value
USD ‘000
Personal Products
17,255 Colgate-Palmolive Co .........
1,219
26,772 Procter & Gamble Co .........
2,205
Pharmaceuticals
2,300 AmerisourceBergen Corp ...
199
2,999 Bristol-Myers Squibb Co ....
192
2,200 Cardinal Health Inc .............
180
6,491 Eli Lilly & Co .....................
467
35,277 Johnson & Johnson .............
3,818
3,913 Merck & Co Inc ..................
207
60,839 Pfizer Inc ............................
1,803
American Capital Agency
14,317 Corp ....................................
267
700 Inc .......................................
133
Equity LifeStyle Properties
1,300 Inc .......................................
95
1,000 Extra Space Storage Inc ......
93
15,638 Hatteras Financial Corp ......
224
1,314 Public Storage .....................
362
2,400 Realty Income Corp ............
150
Two Harbors Investment
68,785 Corp ....................................
546
Retail Trade
1,962 AutoZone Inc ......................
1,563
1,600 CVS Health Corp ................
166
2,100 Dollar General Corp ...........
180
2,700 Dollar Tree Inc ....................
223
4,800 Foot Locker Inc ..................
310
1,645 Gap Inc ...............................
48
2,009 Home Depot Inc ..................
268
2,039 McDonald's Corp ................
256
1,100 O'Reilly Automotive Inc .....
301
3,000 Target Corp .........................
247
18,461 TJX Cos Inc ........................
1,446
10,846 Tractor Supply Co ...............
981
Ulta Salon Cosmetics &
1,300 Fragrance Inc ......................
252
2,650 Wal-Mart Stores Inc ...........
181
Savings and Loans
New York Community
5,100 Bancorp Inc .........................
81
2,364 Analog Devices Inc .............
140
7,015 Intel Corp ............................
227
18,888 Linear Technology Corp .....
842
Microchip Technology
1,313 Inc .......................................
63
3,056 Qualcomm Inc ....................
156
2,570 Texas Instruments Inc .........
148
Software
2,097 CA Inc ................................
65
30,405 Microsoft Corp ...................
1,679
Fund
%
0.91
1.65
0.15
0.14
0.13
0.35
2.85
0.16
1.35
0.20
0.10
0.07
0.07
0.17
0.27
0.11
0.41
1.17
0.12
0.13
0.17
0.23
0.04
0.20
0.19
0.23
0.18
1.08
0.73
0.19
0.14
0.06
0.10
0.17
0.63
0.05
0.12
0.11
0.05
1.25
31 March 2016
Number
of Shares
Fair Value
USD ‘000
14,546 MSCI Inc .............................
74,467 Oracle Corp .........................
Telecommunications
1,856 Cisco Systems Inc ...............
Textile and Apparel
19,864 NIKE Inc .............................
Transport
1,800 Landstar System Inc ............
1,886 United Parcel Service Inc ....
Water Utilities
American Water Works Co
1,400 Inc .......................................
Fund
%
1,078
3,047
0.80
2.28
53
0.04
1,221
0.91
116
199
0.08
0.15
97
0.07
Number
of Shares
Ireland (4.29%)
Plc - Russell Euro Liquidity
Fund - Class R
30 Roll-Up Shares ..................
34
5,700 Roll-Up Shares ..................
5,709
Total Investments
excluding Financial
68,348 51.07
Total Transferable
Securities ............................
Fair Value
USD ‘000
5,743
Fund
%
0.02
4.27
4.29
132,822 99.24
127,079 94.95
127,079 94.95
Financial Derivative Instruments ((0.67)%) (2015: 0.37%)
Notional
Amount
USD '000
Average
Cost Price
USD
122
Unrealised
Gain (Loss)
USD ‘000
3 of Mini MSCI Emerging Markets
Expiring June 2016 ...................................................
566
1,616.46 7 of Mini MSCI Eafe
Expiring June 2016 ...................................................
(2,669)
(148.27) 36 of Yen Denom Nikkei Index Futures
Expiring June 2016 ...................................................
909
2,019.80 9 of S&P 500 E Mini Index Futures
Expiring June 2016 ...................................................
2,733
3,416.48 80 of Euro Stoxx 50 Index Futures
Expiring June 2016 ...................................................
Fund
%
812.97
3
0.00
3
0.00
(16)
(0.01)
14
0.01
(61)
20
(77)
(57)
(0.04)
0.01
(0.05)
(0.04)
Settlement
Date
07/04/2016
07/04/2016
07/04/2016
07/04/2016
07/04/2016
07/04/2016
Amount
Bought ‘000
AUD
AUD
BRL
BRL
CHF
CHF
Unrealised
Gain (Loss)
USD ‘000
Amount
Sold ‘000
14
43
237
742
8
25
USD
USD
USD
USD
USD
USD
10
31
65
202
8
25
Fund
%
1
2
2
7
1
0.00
0.00
0.00
0.01
0.00
0.00
31 March 2016
Settlement
Date
07/04/2016
07/04/2016
07/04/2016
15/06/2016
15/06/2016
07/04/2016
07/04/2016
07/04/2016
07/04/2016
07/04/2016
07/04/2016
07/04/2016
07/04/2016
07/04/2016
07/04/2016
07/04/2016
07/04/2016
07/04/2016
07/04/2016
10/05/2016
10/05/2016
07/04/2016
07/04/2016
07/04/2016
07/04/2016
07/04/2016
07/04/2016
07/04/2016
07/04/2016
07/04/2016
07/04/2016
07/04/2016
07/04/2016
14/04/2016
15/06/2016
07/04/2016
07/04/2016
07/04/2016
07/04/2016
07/04/2016
07/04/2016
07/04/2016
07/04/2016
07/04/2016
07/04/2016
07/04/2016
07/04/2016
07/04/2016
07/04/2016
14/04/2016
Amount
Bought ‘000
EUR
EUR
EUR
EUR
EUR
JPY
JPY
JPY
KRW
KRW
TWD
TWD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
20
2
5
100
2,885
11,800
2,457
7,564
192,726
603,108
6,251
19,563
584
584
373
181
58
5
2
200
64
586
586
375
9
3
759
759
485
1,892
1,125
1,892
1,210
283
124
1,280
1,281
819
46
15
330
330
211
15
5
1,057
2,037
1,057
676
141
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
AUD
AUD
AUD
BRL
BRL
BRL
BRL
BRL
BRL
CAD
CAD
CAD
CAD
CAD
CHF
CHF
CHF
EUR
EUR
EUR
EUR
EUR
EUR
GBP
GBP
GBP
GBP
GBP
HKD
HKD
HKD
HKD
HKD
JPY
JPY
JPY
JPY
JPY
Unrealised
Gain (Loss)
USD ‘000
Amount
Sold ‘000
22
2
5
112
3,192
105
22
67
165
517
192
600
818
818
523
721
230
21
7
742
237
795
795
508
12
4
759
759
485
1,736
1,031
1,736
1,110
255
110
925
925
591
33
11
2,565
2,565
1,640
118
37
119,413
231,520
119,413
76,358
16,073
2
104
3
11
2
8
(46)
(46)
(29)
(22)
(7)
(1)
(7)
(2)
(28)
(28)
(18)
(34)
(34)
(22)
(87)
(50)
(86)
(55)
(8)
(2)
(49)
(49)
(31)
(1)
(1)
(1)
(6)
(23)
(6)
(3)
(2)
Fund
%
0.00
0.00
0.00
0.00
0.08
0.00
0.00
0.00
0.00
0.01
0.00
0.01
(0.03)
(0.03)
(0.02)
(0.02)
(0.01)
0.00
0.00
(0.01)
0.00
(0.02)
(0.02)
(0.01)
0.00
0.00
(0.03)
(0.03)
(0.02)
(0.06)
(0.04)
(0.06)
(0.04)
(0.01)
0.00
(0.04)
(0.04)
(0.02)
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
(0.02)
0.00
0.00
0.00
31 March 2016
Settlement
Date
Amount
Bought ‘000
Unrealised
Gain (Loss)
USD ‘000
Amount
Sold ‘000
15/06/2016
USD
436 JPY
49,000
07/04/2016
USD
476 KRW
589,360
07/04/2016
USD
152 KRW
188,431
07/04/2016
USD
11 KRW
13,748
07/04/2016
USD
3 KRW
4,295
10/05/2016
USD
517 KRW
603,108
10/05/2016
USD
165 KRW
192,726
07/04/2016
USD
235 SEK
2,007
07/04/2016
USD
235 SEK
2,007
07/04/2016
USD
150 SEK
1,283
07/04/2016
USD
12 SEK
100
07/04/2016
USD
4 SEK
31
07/04/2016
USD
270 SGD
380
07/04/2016
USD
270 SGD
380
07/04/2016
USD
172 SGD
243
07/04/2016
USD
14 SGD
20
07/04/2016
USD
5 SGD
7
07/04/2016
USD
552 TWD
18,388
07/04/2016
USD
177 TWD
5,879
07/04/2016
USD
35 TWD
1,175
07/04/2016
USD
11 TWD
372
10/05/2016
USD
600 TWD
19,563
10/05/2016
USD
192 TWD
6,251
07/04/2016
USD
121 ZAR
1,958
07/04/2016
USD
121 ZAR
1,958
07/04/2016
USD
77 ZAR
1,252
07/04/2016
USD
7 ZAR
117
07/04/2016
USD
2 ZAR
37
Unrealised gain on open forward foreign currency exchange contracts ............................
Unrealised loss on open forward foreign currency exchange contracts .............................
Net unrealised gain (loss) on open forward foreign currency exchange contracts ....
Total Financial Derivative Instruments .........................................................................
Fund
%
(1)
(40)
(13)
(1)
(10)
(3)
(13)
(13)
(8)
(1)
(12)
(12)
(8)
(1)
(19)
(6)
(1)
(8)
(2)
(12)
(12)
(8)
(1)
143
(989)
(846)
(903)
Fair Value
USD ‘000
0.00
(0.03)
(0.01)
0.00
0.00
(0.01)
0.00
(0.01)
(0.01)
(0.01)
0.00
0.00
(0.01)
(0.01)
(0.01)
0.00
0.00
(0.01)
0.00
0.00
0.00
(0.01)
0.00
(0.01)
(0.01)
(0.01)
0.00
0.00
0.11
(0.74)
(0.63)
(0.67)
Fund
%
132,985
99.36
(99.36%) .......................................................................................................................................................
(1,066)
(0.79)
Loss ((0.79)%) .............................................................................................................................................
131,919
98.57
(98.57%) .......................................................................................................................................................
1,917
1.43
Other Net Assets (1.43%) ........................................................................................................................
133,836
100.00
Net Assets ..................................................................................................................................................
Abbreviation used:
31 March 2016
% of
gross assets
Exchange trades financial derivative instruments .....................................................................................................
Other assets ...............................................................................................................................................................
93.85
4.24
0.02
0.10
1.79
100.00
The broker for the open futures contracts is Merrill Lynch.
Bank of America
HSBC
State Street Bank
As at 31 March 2016
Level 1
EUR ‘000
Assets
20
contracts .........................................................................................
Total assets ...................................................................................... 127,099
Liabilities
contracts .........................................................................................
Level 2
EUR ‘000
Level 3
EUR ‘000
Total
EUR ‘000
5,743
-
-
127,079
5,743
20
143
5,886
-
143
132,985
(77)
-
-
(77)
(77)
(989)
(989)
-
(989)
(1,066)
31 March 2016
As at 31 March 2015
Level 1
USD ‘000
Assets
55
contracts ....................................................................................
Total assets ...................................................................................... 136,293
Liabilities
contracts ....................................................................................
Level 2
USD ‘000
Level 3
USD ‘000
Total
USD ‘000
8,344
-
-
136,238
8,344
55
643
8,987
-
643
145,280
(89)
-
-
(89)
(89)
(59)
(59)
-
(59)
(148)
Oracle Corp
Johnson & Johnson
AutoZone Inc
Alphabet Inc
Moody's Corp
Wells Fargo & Co
Ally Financial Inc
Cobham Plc
Novartis AG
Procter & Gamble Co
Fanuc Corp
Keyence Corp
Australia & New Zealand Banking Group Ltd
Citizens Financial Group Inc
Nestle SA
Mettler-Toledo International Inc
Pfizer Inc
Honda Motor Co Ltd
Sherwin-Williams Co
Acquisition Cost
USD ‘000
113,659
1,471
1,435
1,374
1,355
1,347
1,235
1,196
1,140
1,132
1,031
1,009
1,000
955
895
895
872
871
827
823
Disposal Proceeds
USD ‘000
Microsoft Corp
General Mills Inc
Johnson & Johnson
Oriental Land Co Ltd
Moody's Corp
Oracle Corp
Wells Fargo & Co
Orkla ASA
Fanuc Corp
Keyence Corp
G4S Plc
Franklin Resources Inc
WW Grainger Inc
Australia & New Zealand Banking Group Ltd
Sherwin-Williams Co
Capitol Federal Financial Inc
NIKE Inc
Becton Dickinson and Co
Medtronic Plc
(116,270)
(1,464)
(1,192)
(1,040)
(1,005)
(976)
(873)
(847)
(839)
(827)
(824)
(800)
(792)
(758)
(757)
(750)
(745)
(718)
(711)
(710)
Manager’s Report
Hermes Sourcecap Limited
Numeric Investors, L.P.
Pyramis Global Advisor
Pzena Investment Management
S.W. Mitchell Capital, LLP
Taube Hodson Stonex Partners Ltd.
Russell Pan European Equity Fund (the “Fund”) seeks to achieve capital appreciation by investing principally in equity securities
listed on regulated markets in Europe. The Fund may also invest in new issues for which application for listing on a regulated
market in Europe will be sought. The Fund may hold such securities listed or traded on regulated markets worldwide of
companies that are not incorporated, listed or traded in Europe but which receive the majority of their total revenue from
European countries. The Fund will not be concentrating on any specific industry sector but will pursue a policy of active stock
selection and active country allocation on the regulated markets in which it invests.
Fund Performance
During the year ended 31 March 2016, Russell Pan European Equity Fund (Class B) returned -11.2 per cent on a gross of fee
basis (-12.2 per cent on a net of fee basis), while the benchmark*returned -13.1 per cent.
Market Comment
European equities failed to maintain their strong start to 2015 in the second quarter. A June slump caused the Russell Developed
Europe Large Cap Net Index to slip 3.0 per cent. The fluctuating progress of Greek debt negotiations dominated market direction,
particularly towards the end of the quarter. Numerous meetings and emergency summits between the country and its International
Monetary Fund (IMF) and European creditors failed to conclude an agreement. Greece eventually missed the deadline for its
bundle of IMF payments at the very end of June. This increased uncertainty surrounding a default and the country’s place within
the Eurozone weighed on market sentiment. Earlier in the quarter, investors reacted positively to European Central Bank (the
“ECB”) signals. The Central Bank remained committed to seeing out its quantitative easing programme to September 2016 and
temporarily increased its purchase of government bonds ahead of predicted low liquidity in the summer months. European
corporate earnings were also broadly positive this period. The ongoing Eurozone economic recovery was underpinned by
economic data. The Eurozone first quarter GDP growth estimate missed consensus (at 0.4 per cent) but continued to show
improvement. Eurozone unemployment fell to its lowest level since March 2012 at 11.1 per cent in April.
The benchmark slipped 8.6 per cent in a negative risk-off environment for global equities in the third quarter of 2015.
Developments in China and its potential impact on the Eurozone dampened investor sentiment. Anxiety about the country’s
sustained equity market downturn, the slowing of economic growth and unexpected monetary policy action from the People’s
Bank of China catalysed equity sell-offs world-wide. Prior to international concerns weighing on the Index, the quarter had
started positively. European equities were the strongest performing region globally in July. Investors reacted positively to Greek
political and economic certainty, after an EUR 86 billion Eurozone bailout was agreed. Later in the quarter, the market edged
higher on accommodative comments from the ECB President Draghi. Draghi stated that quantitative easing in the Eurozone may
be extended beyond the current September 2016 end date. This came as the Central Bank revised downwards its inflation and
growth forecasts for the next three years due to a weaker global growth outlook. Economic fundamentals remained resilient.
Eurozone second quarter GDP was unexpectedly revised upwards to 0.4 per cent quarter-on-quarter (QoQ) (1.5 per cent year-onyear (YoY)), primarily due to stronger growth in Italy. First-quarter growth was also revised higher to 0.5 per cent QoQ from 0.4
per cent QoQ. Eurozone unemployment data for July surprised as it slipped to 10.9 per cent, the lowest in three years.
The benchmark climbed 5.5 per cent in the final quarter of 2015, as it recovered the majority of its third quarter decline. This
solidified a positive 9.2 per cent return for 2015. After a strong October and modest November increase, the Index tracked lower
in December after the ECB much anticipated policy action. This disappointed investors’ high expectations, which had been priced
into the market in the preceding months on President Draghi’s dovish signals. The ECB made fewer changes than expected to its
monetary policy, cutting its deposit rate to -0.3 per cent and extending quantitative easing until March 2017 from the original
September 2016 end date. Notably, this did not include an increase in the monthly amount purchased. The Euro appreciated
against the U.S. Dollar following the announcement, paring back early quarter depreciation. The market shrugged off political
uncertainty in Spain in late-December, as both main parties (Mariano Rajoy’s centre-right Popular party and opposition centreleft Socialists) failed to win an overall majority. Earlier in the quarter, the Index had recorded its best monthly return since July
2009 as global growth fears subsided. However, the market slipped on news of a greater than expected decline in Eurozone
industrial production (1.1 per cent YoY for November) and disappointing third quarter Eurozone GDP growth (0.3 per cent
QoQ).
Russell Pan European Equity Fund 139
It was a negative start to 2016 for European equities, as the benchmark slipped 7.1 per cent in the first quarter. The benchmark
failed to recover from its January losses. Early in the period, sentiment towards cyclical areas of the market weakened as investors
favoured the stability and dividend yield provided by more defensive large cap stocks. The market rebounded in late-February as
equity market and oil price volatility stabilised and commodities rallied. Having signalled in January that further supportive
stimulus was forthcoming, the ECB introduced a raft of new accommodative stimulus measures in March. However, the market
tracked lower towards quarter end as investors appeared disappointed with the ECB President Draghi’s dismissal of future deposit
rate cuts. Notably, the Euro strengthened against the U.S. Dollar over the period (4.8 per cent). In March, the ECB reduced its
main refinancing rate to 0.0 per cent, cut its deposit facility rate to -0.4 per cent and also reduced its marginal lending facility rate
to 0.25 per cent from 0.30 per cent. Quantitative easing was expanded by EUR20 billion a month to EUR80 billion to also
include the purchase of investment grade corporate bonds. In addition, the ECB initiated another targeted longer-term refinancing
operation (TLTRO II). The provision of cheap liquidity to banks, at a rate as low as the deposit facility, appears to offset the
impact of negative interest rates. However, sentiment towards the financials sector was negative over the period.
The Fund added to its 2015 outperformance in the second quarter. Significantly strong stock selection across the Fund’s Money
Managers drove outperformance in what was a more volatile period for European equities. The Fund’s overweight to small-mid
cap stocks suited the market environment and underpinned relative returns. Taube Hodson Stonex Partners Ltd (THS) rebounded
from a negative start to the year while our positioning strategy was the sole underperformer this quarter.
The Fund outperformed the benchmark in a negative and volatile third quarter of 2015 for European equities. The Fund’s tilt
towards small and mid-caps drove relative gains. The effective selection of domestically-oriented stocks underpinned returns.
Despite suffering from its value tilt, Numeric Investors, L.P. (Numeric) was a leading contributor as it benefited from its positive
momentum exposure. Pzena Investment Management’s (Prezna) low quality, value-oriented strategy was the sole underperformer
in an unfavorable factor environment. European equity valuations remain reasonably attractive against other regions and asset
classes, and the pickup in corporate earnings in the Eurozone provides additional support.
The Fund finished broadly in-line with the benchmark in the fourth quarter of 2015. The Fund’s positioning towards quality and
momentum was beneficial. An overweight to the consumer discretionary and information technology sectors, coupled with an
underweight to health care, added relative value. Individual stock selection weighed on excess returns, particularly among small
cap stocks. Stock selection was weakest for Pzena in an unfavorable environment for its value-oriented strategy. Our positioning
strategy suffered from its overweight to high dividend yielding stocks, which was an unrewarded part of the market this period. In
contrast, it was a positive factor environment for structural growth Money Manager Hermes Sourcecap Limited, which added to
its strong long-term outperformance.
The Fund marginally outperformed the benchmark in the first quarter of 2016. The Fund’s strategic overweight to small cap
stocks added to positive relative returns. The large underweight to the consumer staples sector did not suit the market
environment this period. An underweight to materials was also unrewarded. Individual stock selection was positive within the
financials sector and within Germany. Our positioning strategy was the standout performer in a positive factor environment.
Numeric and Pzena also outperformed as both benefited from strong value stock selection. THS and Hermes Sourcecap Limited
finished in-line with the benchmark. Meanwhile, Fidelity underperformed as negative stock selection within the financials sector
detracted. SW Mitchell Capital, LLP suffered from its selection of industrials stocks and exposure to Italy.
Outlook
Global markets got off to a rough start in 2016. By mid-February global developed equities had lost nearly 20% from their 2015
peak. They rebounded by around 10 per cent by mid-March, but we expect volatility to be a headline throughout 2016. This
volatility will continue to be driven by China fears, the U.S. Federal Reserve’s monetary tightening, U.S. recession concerns,
bank balance sheet worries, and soft corporate profits. Moreover, the move to negative interest rates in Europe and Japan has
triggered fears that central banks have run out of easing options. Negative rates also tend to squeeze the margin between banks’
borrowing and lending rates. This squeeze could, in turn, hurt bank profitability, and end up making things worse for the markets.
In our 2016 Global Market Outlook Annual report, we forecast mid-to-low single digit returns for global equities, along with a
gradual rise in long-term interest rates. We’re holding to that view, with the exception we think equity growth is more likely to be
in the low single digits. Moreover, we’re now seeing corporate profits weakening, softness in global trade and manufacturing, and
slightly higher risks for Emerging Markets. These elements all contribute to a less supportive environment for equities. That said,
we’re not forecasting a sustained bear market, provided the U.S. does not fall into recession. Right now we see recession as a low
* Benchmark Source: Russell Developed Europe Large Cap Net Index
May 2016
140 Russell Pan European Equity Fund
Balance Sheet
As at 31 March 2016
31 March 2016
EUR ‘000
Assets
Financial assets at fair value through profit or loss (Note 2) .....................................................
Cash at bank (Note 3) ......................................................................................................
(Note 3) .....................................................................................................................................
Debtors:
Receivable for investments sold .............................................................................................
Receivable on fund shares issued ...........................................................................................
Dividends receivable ..............................................................................................................
Prepayments and other debtors ...............................................................................................
Liabilities
Financial liabilities at fair value through profit or loss (Note 2) ................................................
Payable for investments purchased ........................................................................................
Payable on fund shares redeemed ..........................................................................................
Management fees payable ......................................................................................................
Custodian and Trustee fees payable .......................................................................................
Sub-custodian fees payable ....................................................................................................
Administration fees payable ...................................................................................................
Audit fees payable ..................................................................................................................
Other fees payable ..................................................................................................................
Net assets attributable to redeemable participating shareholders ......................................
31 March 2015
EUR ‘000
513,395
482,657
6,128
5,971
2,590
1,890
1,114
76
1,600
17
524,920
3,126
938
1,637
22
496,241
(481)
(289)
(1,140)
(310)
(476)
(7)
(31)
(21)
(16)
(4)
(2,486)
(3,363)
(636)
(465)
(7)
(40)
(20)
(16)
(4,836)
522,434
491,405
2016
EUR ‘000
2015
EUR ‘000
Income
Dividends .....................................................................................................................
14,159
11,483
(74,926)
74,602
(60,767)
86,085
Expenses
Administration and transfer agency fees (Note 6) .........................................................
Audit fees (Note 6) .......................................................................................................
Other fees .....................................................................................................................
(5,769)
(45)
(216)
(219)
(16)
(44)
(55)
(6,364)
(4,655)
(33)
(206)
(165)
(16)
(31)
(28)
(5,134)
(67,131)
80,951
Finance costs
Profit (loss) for the financial year before taxation ......................................................
(6,506)
(73,637)
(5,130)
75,821
Taxation
Withholding tax (Note 9) .............................................................................................
(1,017)
(739)
(74,654)
75,082
Account.
2016
EUR ‘000
2015
EUR ‘000
(74,654)
75,082
Share transactions
6,506
5,130
99,177
27,993
31,029
108,205
491,405
383,200
End of year ...................................................................................................................
522,434
491,405
31 March 2016
Number
of Shares
Fair Value
EUR ‘000
43,497
38,841
51,850
34,025
8,167
11,370
15,267
5,010
93,300
28,283
31,723
350
5,471
Electric Utilities
70,175 CEZ AS ...............................
12,010
10,552
2,824
96,416
Number
of Shares
Common Stock (91.99%) (2015: 93.31%)
Belgium (2.54%)
Banks
KBC Groep NV ...................
1,972 0.38
Beverages
Anheuser-Busch InBev SA
NV .......................................
4,243 0.81
Biotechnology
Ablynx NV ..........................
656 0.13
Distributors
D'ieteren SA NV .................
1,259 0.24
Food Products
Delhaize Group ...................
749 0.14
Ion Beam Applications ........
424 0.08
Household Products
Ontex Group NV .................
440 0.09
Insurance
Ageas ...................................
175 0.03
AGFA-Gevaert NV .............
366 0.07
Pharmaceuticals
UCB SA ..............................
1,902 0.36
Telecommunications
Proximus SADP ..................
953 0.18
Textile and Apparel
Van de Velde NV ................
21 0.00
Transport
bpost SA ..............................
134 0.03
Bermuda (0.00%)
48,638 Archer Ltd ...........................
75,155
Fund
%
13,294
2.54
25
0.00
Telecommunications
53,900 TDC A/S .............................
Transport
814 AP Moeller - Maersk A/S ...
3,979 Dfds A/S .............................
46,868
10,779
12,427
491,145
47,501
1,650
18,230
2,920
54,042
15,344
62,890
43,465
127,582
121,181
40,710
9,810
72,807
1,088
0.21
79,396
Denmark (1.66%)
Banks
Danske Bank A/S ................
1,866 0.36
Biotechnology
Bavarian Nordic
A/S ......................................
395 0.08
ISS A/S ................................
372 0.07
Schouw & Co ......................
155 0.03
Pharmaceuticals
Novo Nordisk A/S ...............
4,597 0.88
38,786
20,428
38,944
24,585
Fair Value
EUR ‘000
7,050
11,565
60,150
2,848
19,590
Finland (1.01%)
Machinery
Kone OYJ ...........................
Pharmaceuticals
Orion OYJ ..........................
Telecommunications
Elisa OYJ ............................
Nokia OYJ ..........................
France (15.57%)
Advertising
Publicis Groupe SA ............
Dassault Aviation SA .........
Safran SA ............................
Auto Components
Cie Generale des
Etablissements Michelin .....
Faurecia ..............................
Valeo SA ............................
Automobiles
Peugeot SA .........................
Renault SA ..........................
Banks
BNP Paribas SA ..................
Credit Agricole SA .............
Societe Generale SA ...........
Biotechnology
Cellectis SA ........................
Innate Pharma SA ...............
Building Products
Cie de Saint-Gobain ............
Bureau Veritas SA ..............
Edenred ...............................
Elior Group .........................
Sodexo SA ..........................
Atos SE ...............................
Cap Gemini SA ...................
Bouygues SA ......................
Gaztransport Et Technigaz
SA .......................................
Vinci SA .............................
Fund
%
232
0.04
939
127
0.18
0.02
8,683
1.66
1,985
0.38
313
0.06
425
2,566
0.08
0.49
5,289
1.01
2,931
0.56
1,740
1,121
0.33
0.22
263
1,799
2,099
0.05
0.35
0.40
947
3,795
0.18
0.73
5,643
1,153
1,322
1.08
0.22
0.25
235
886
0.04
0.17
3,075
0.59
759
349
750
2,329
0.14
0.07
0.14
0.45
505
955
0.10
0.18
2,156
0.41
82
1,283
0.02
0.24
31 March 2016
Number
of Shares
Fair Value
EUR ‘000
Electric Utilities
39,572 Engie SA .............................
540
103,290 Legrand SA .........................
5,087
90,559 Schneider Electric SE ..........
5,030
Food Products
4,260 Danone SA ..........................
266
17,711 Essilor International SA ......
1,923
730 Guerbet ................................
49
9,522 BioMerieux .........................
958
19,748 Orpea ...................................
1,445
Insurance
100,662 AXA SA ..............................
2,083
16,791 CNP Assurances ..................
230
4,583 Iliad SA ...............................
1,036
Media
65,230 Vivendi SA ..........................
1,205
Metals and Mining
101,451 Vallourec SA .......................
583
Oil and Gas
183,478 Total SA ..............................
7,350
Other Finance
16,447 Eurazeo SA .........................
977
Personal Products
8,158 L'Oreal SA ...........................
1,284
Pharmaceuticals
6,483 Ipsen SA ..............................
327
76,357 Sanofi SA ............................
5,411
41,797 ANF Immobilier ..................
989
3,398 Unibail-Rodamco SE ...........
822
Telecommunications
244,747 Orange SA ...........................
3,768
Textile and Apparel
11,219 Christian Dior SE ................
1,788
LVMH Moet Hennessy
8,324 Louis Vuitton SE .................
1,253
Water Utilities
Veolia Environnement
35,381 SA .......................................
749
Fund
%
0.10
Number
of Shares
0.98
0.96
45,969
16,411
8,744
8,355
0.05
51,550
0.37
0.01
0.18
0.28
0.40
0.04
0.20
0.23
0.11
18,946
2,240
6,713
51,723
40,540
10,898
7,220
1.41
54,322
0.19
22,205
4,917
0.25
19,899
0.06
1.04
152,975
0.19
0.16
34,646
52,563
0.72
12,125
0.34
37,205
0.24
1,000
0.14
64,001
8,453
81,330 15.57
Germany (12.96%)
Auto Components
11,963 Continental AG ...................
Banks
184,656 Commerzbank AG ..............
Building Products
HeidelbergCement
16,840 AG .......................................
191,900
2,393
0.46
1,411
0.27
67,013
8,731
276,546
1,267
0.24
61,242
Fair Value
EUR ‘000
Chemicals
BASF SE ............................
Brenntag AG .......................
Evonik Industries AG .........
Linde AG ............................
Wirecard AG .......................
Fraport AG Frankfurt
Airport Services
Worldwide ..........................
Hochtief AG .......................
Gerresheimer AG ................
Deutsche Boerse AG ...........
Electric Utilities
RWE AG ............................
Osram Licht AG .................
Food Products
Metro AG ............................
Fresenius SE & Co
KGaA ..................................
Insurance
Allianz SE ...........................
Hannover Rueck SE ............
Muenchener
Rueckversicherungs AG .....
Iron and Steel
Salzgitter AG ......................
Media
Axel Springer SE ................
ProSiebenSat.1 Media SE ...
Metals and Mining
Aurubis AG .........................
Siemens AG ........................
Other Finance
Aurelius SE & Co KGaA ....
Pharmaceuticals
Bayer AG ............................
Merck KGaA ......................
Real Estate
TAG Immobilien AG ..........
Software
SAP SE ...............................
Software AG .......................
Telecommunications
Deutsche Telekom AG ........
Telefonica Deutschland
Holding AG ........................
Fund
%
3,048
824
231
1,070
0.58
0.16
0.04
0.21
1,717
0.33
1,010
241
0.19
0.05
463
0.09
3,879
0.74
461
0.09
494
0.09
197
0.04
3,488
0.67
3,174
504
0.61
0.10
3,557
0.68
3,807
0.73
1,641
2,375
0.31
0.46
530
0.10
3,466
0.66
54
0.01
6,611
620
1.26
0.12
2,282
0.44
4,765
300
0.91
0.06
4,363
0.83
292
0.06
31 March 2016
Number
of Shares
Fair Value
EUR ‘000
Textile and Apparel
53,130 Adidas AG ...........................
Transport
69,314 Deutsche Post AG ...............
Fund
%
5,472
1.05
1,693
0.32
Number
of Shares
67,700 12.96
Real Estate
2,634,922 Sirius Real Estate Ltd ..........
1,166
Hungary (0.22%)
Banks
52,650 OTP Bank Plc ......................
7,658
59,775
7,509
29,511
10,588
184,612
2,058
171,950
476,946
1,198,368
265,109
8,967
615,675
78,490
59,920
528,124
307,615
Ireland (1.69%)
Building Products
CRH Plc ..............................
Seagate Technology Plc ......
Entertainment
Paddy Power Betfair
Plc .......................................
Food Products
Kerry Group Plc ..................
Insurance
Willis Towers Watson
Plc .......................................
Lodging
Dalata Hotel Group Plc .......
Oil and Gas
San Leon Energy Plc ...........
Retail Trade
Grafton Group Plc ...............
Italy (3.80%)
Banks
Banca Monte dei Paschi di
Siena SpA ............................
Intesa Sanpaolo SpA ...........
UniCredit SpA .....................
ASTM SpA .........................
Electric Utilities
Enel SpA .............................
Prysmian SpA ......................
Yoox Net-A-Porter Group
SpA .....................................
Media
Mediaset SpA ......................
Oil and Gas
Eni SpA ...............................
0.22
0.22
119,995
46,200
45,155
Advertising
WPP Plc ..............................
Distributors
Wolseley Plc .......................
Metals and Mining
Glencore Plc .......................
Pharmaceuticals
Shire Plc ..............................
Real Estate
Regus Plc ............................
Fund
%
1,388
0.27
2,772
0.53
19,833
3.80
2,462
0.47
349
0.07
92
0.02
2,255
0.43
209
0.04
5,367
1.03
190
0.04
1,807
0.34
921
0.18
3,845
2,416
0.46
3,561
1,103
0.21
822
0.16
1
0.00
1,566
0.30
3,527
8,826
1.69
Netherlands (6.34%)
Airbus Group SE .................
1,222
Automobiles
Fiat Chrysler Automobiles
NV ......................................
226
Banks
ING Groep NV ...................
7,565
Beverages
Heineken Holding NV ........
227
Heineken NV ......................
785
Chemicals
Akzo Nobel NV ..................
533
Koninklijke DSM NV .........
584
Randstad Holding NV .........
816
Boskalis Westminster .........
306
Euronext NV .......................
506
52,300
39,861
23,600
3,080
49,826
20,951
240
2,917
840
0.04
0.56
0.16
91
0.02
2,400
0.46
1,563
0.30
1,616
0.31
1,915
0.37
4,091
0.78
31,800
711,686
Beni Stabili SpA
2,104,680 SIIQ ....................................
Telecommunications
2,923,534 Telecom Italia SpA .............
7,020
1,161
Fair Value
EUR ‘000
3,310
9,850
8,890
12,077
16,758
8,846
13,870
Luxembourg (0.68%)
Eurofins Scientific SE .........
1,239
Media
RTL Group SA ...................
265
Metals and Mining
Tenaris SA ..........................
436
Subsea 7 SA ........................
157
Telecommunications
Millicom International
Cellular SA .........................
148
SES SA ...............................
1,282
0.24
0.05
0.08
0.03
0.03
0.25
0.68
0.23
0.04
1.45
0.04
0.15
0.10
0.11
0.16
0.06
0.10
31 March 2016
Number
of Shares
80,118
124,628
131,753
225,033
79,353
97,867
28,206
36,562
368,050
651,825
Fair Value
EUR ‘000
Koninklijke Philips NV .......
2,006
Food Products
Koninklijke Ahold NV ........
2,464
Insurance
Aegon NV ...........................
637
Delta Lloyd NV ...................
919
NN Group NV .....................
2,282
Personal Products
Unilever NV ........................
3,854
Retail Trade
GrandVision NV .................
707
ASML Holding NV .............
3,264
STMicroelectronics NV ......
1,795
Telecommunications
Koninklijke KPN NV ..........
2,401
33,099
179,279
46,142
40,891
1,310
75,380
61,448
75,509
615,010
911,787
264,936
125,136
Norway (2.60%)
Banks
DNB ASA ...........................
Chemicals
Yara International ASA .......
Food Products
Austevoll Seafood ASA ......
Leroy Seafood Group ASA ...
Norway Royal Salmon
ASA .....................................
Orkla ASA ...........................
Home Furnishings
Ekornes ASA .......................
Metals and Mining
Norsk Hydro ASA ...............
Oil and Gas
North Energy ASA ..............
Statoil ASA .........................
Telecommunications
Telenor ASA .......................
Russia (0.65%)
Banks
56,673 ADR ....................................
214,567 ADR (US Listed) .................
Oil and Gas
460,625 Gazprom PAO ADR ............
Spain (5.63%)
Banks
Banco Bilbao Vizcaya
163,515 Argentaria SA ......................
Fund
%
0.38
0.47
0.12
0.18
0.44
0.74
0.14
0.63
0.34
0.46
6.34
1,861
0.36
1,524
0.29
295
54
0.06
0.01
876
489
0.17
0.09
735
0.14
2,223
0.42
111
3,663
0.02
0.70
1,778
0.34
13,609
2.60
346
0.07
1,307
0.25
1,743
0.33
3,396
0.65
955
0.18
Number
of Shares
Fair Value
EUR ‘000
Banco Popular Espanol
910,939 SA .......................................
131,881 Banco Santander SA ...........
4,424 CaixaBank SA ....................
CaixaBank SA
278,730 (Voting Rights) ...................
259,495 Indra Sistemas SA ...............
5,010 Acciona SA .........................
ACS Actividades de
Construccion y Servicios
53,130 SA .......................................
16,157 Aena SA ..............................
449,284 Sacyr SA .............................
Electric Utilities
105,793 Endesa SA ..........................
239,711 Iberdrola SA .......................
Gamesa Corp Tecnologica
194,103 SA .......................................
Insurance
127,338 Mapfre SA ..........................
Lodging
249,900 NH Hotel Group SA ...........
Machinery
19,644 Zardoya Otis SA .................
Media
Mediaset Espana
23,813 Comunicacion SA ...............
Oil and Gas
66,345 Repsol SA ...........................
Axiare Patrimonio Socimi
69,730 SA .......................................
Retail Trade
Industria de Diseno Textil
90,466 SA .......................................
Software
Amadeus IT Holding
140,808 SA .......................................
Telecommunications
27,900 Telefonica SA .....................
Transport
Cia de Distribucion Integral
4,062 Logista Holdings SA ...........
Fund
%
2,083
511
11
0.40
0.10
0.00
724
0.14
2,653
0.51
341
0.06
1,391
1,833
762
0.27
0.35
0.15
1,785
1,405
0.34
0.27
3,371
0.64
242
0.05
1,010
0.19
201
0.04
241
0.05
658
0.13
912
0.17
2,675
0.51
5,307
1.02
275
0.05
81
0.01
29,427
5.63
Sweden (2.77%)
Agriculture
15,235 Swedish Match AB .............
455
Banks
112,713 Swedbank AB .....................
2,134
24,345 Intrum Justitia AB ...............
755
0.09
0.41
0.14
31 March 2016
Number
of Shares
Fair Value
EUR ‘000
Home Furnishings
13,259 Electrolux AB ......................
Machinery
34,179 Atlas Copco AB ..................
Media
Modern Times Group MTG
16,220 AB .......................................
Metals and Mining
147,755 Assa Abloy AB ...................
87,390 Boliden AB .........................
22,327 Granges AB .........................
Other Finance
5,200 Investment AB Kinnevik .....
Personal Products
Svenska Cellulosa AB
22,660 SCA .....................................
Real Estate
13,560 Castellum AB ......................
28,973 Hufvudstaden AB ................
Retail Trade
97,877 Hennes & Mauritz AB .........
Telecommunications
42,326 Tele2 AB .............................
241,833 TeliaSonera AB ...................
356
127,601
319,136
2,850
25,539
60
475
358
4,859
4,229
267
1,570
67,600
12,540
287
128,908
524
Switzerland (9.06%)
Auto Components
Georg Fischer AG ...............
Banks
Credit Suisse Group AG ......
UBS Group AG ...................
Beverages
Coca-Cola HBC AG ............
Building Products
LafargeHolcim Ltd ..............
Sika AG ...............................
Chemicals
EMS-Chemie Holding AG ..
Givaudan SA .......................
Lonza Group AG .................
Syngenta AG .......................
SGS SA ...............................
Cembra Money Bank AG ....
GAM Holding AG ...............
Julius Baer Group Ltd .........
Food Products
Emmi AG ............................
Nestle SA ............................
Insurance
Helvetia Holding AG ..........
Fund
%
307
0.06
756
0.14
427
0.08
2,562
1,229
170
0.49
0.24
0.03
130
0.03
622
0.12
189
404
0.03
0.08
2,868
0.55
345
1,104
0.07
0.21
14,457
2.77
253
Number
of Shares
0.30
0.87
53
0.01
1,058
209
0.20
0.04
217
619
724
1,550
0.04
0.12
0.14
0.30
497
0.09
107,983
71,005
134,600
87,816
172,929
49,721
20,946
641,500
729,444
2,947,699
681,046
97
861
475
0.02
0.16
0.09
138
8,486
0.03
1.62
264
0.05
2,333 Swiss Life Holding AG .......
21,140 Swiss Re AG .......................
Zurich Insurance Group
4,485 AG ......................................
Machinery
61,996 ABB Ltd .............................
1,682 Bobst Group SA ..................
Personal Products
10,627 Oriflame Holding AG .........
Pharmaceuticals
19,307 Actelion Ltd ........................
49,400 Novartis AG ........................
46,257 Roche Holding AG .............
Retail Trade
33,624 SA .......................................
11,349 Dufry AG ............................
Telecommunications
Sunrise Communications
7,669 Group AG ...........................
1,179 Swisscom AG .....................
Transport
Kuehne & Nagel
3,192 International AG .................
Panalpina Welttransport
8,650 Holding AG ........................
0.05
1,591
4,530
Fair Value
EUR ‘000
45,483
82,085
52,106
213,824
20,300
Cobham Plc .........................
Meggitt Plc .........................
Rolls-Royce Holdings Plc ...
Agriculture
Plc .......................................
Imperial Tobacco Group
Plc .......................................
Airlines
Dart Group Plc ....................
Easy Jet Plc .........................
Banks
Barclays Plc ........................
HSBC Holdings Plc ............
Lloyds Banking Group Plc .
Group Plc ............................
Virgin Money Holdings UK
Plc .......................................
Beverages
Diageo Plc ..........................
SABMiller Plc ....................
Michael Page International
Plc .......................................
QinetiQ Group Plc ..............
Fund
%
547
1,722
0.10
0.33
918
0.18
1,065
89
0.20
0.02
186
0.04
2,542
3,155
10,031
0.49
0.60
1.92
1,958
1,230
0.37
0.24
463
564
0.09
0.11
400
0.08
851
0.16
47,343
9.06
296
364
1,158
0.06
0.07
0.22
4,530
0.87
8,425
1.61
416
401
0.08
0.08
1,214
3,992
2,529
0.23
0.77
0.48
1,913
0.37
212
0.04
1,948
2,797
0.37
0.54
1,151
58
0.22
0.01
31 March 2016
Number
of Shares
Fair Value
EUR ‘000
56,419 Rexam Plc ...........................
451
Distributors
63,300 Inchcape Plc ........................
578
914,972 SIG Plc ................................
1,685
57,038 Schroders Plc .......................
1,930
510,124 Worldpay Group Plc ............
1,770
Electric Utilities
52,351 SSE Plc ................................
985
Entertainment
178,160 Merlin Entertainments Plc ...
1,042
93,846 William Hill Plc ..................
387
Food Products
257,836 Ocado Group Plc .................
943
WM Morrison Supermarkets
19,500 Plc .......................................
49
59,195 Smith & Nephew Plc ...........
857
Home Builders
234,411 Barratt Developments Plc ....
1,657
Berkeley Group Holdings
32,446 Plc .......................................
1,317
15,751 Persimmon Plc ....................
414
1,371,802 Taylor Wimpey Plc .............
3,293
21,890 Carnival Plc .........................
1,036
Household Products
Reckitt Benckiser Group
46,075 Plc .......................................
3,911
Insurance
20,040 Admiral Group Plc ..............
501
216,578 Aviva Plc .............................
1,246
Direct Line Insurance Group
51,600 Plc .......................................
241
284,037 Plc .......................................
843
RSA Insurance Group
244,611 Plc .......................................
1,468
177,086 St James's Place Plc .............
2,052
13,960 ASOS Plc ............................
572
134,363 Auto Trader Group Plc ........
661
Iron and Steel
21,956 Evraz Plc .............................
25
Media
53,789 Informa Plc ..........................
471
55,698 Pearson Plc ..........................
615
168,280 Sky Plc ................................
2,173
Metals and Mining
79,225 Antofagasta Plc ...................
469
214,451 BHP Billiton Plc ..................
2,117
64,250 Rio Tinto Plc .......................
1,585
Fund
%
0.09
0.11
0.32
0.37
0.34
0.19
0.20
0.07
0.18
0.01
0.16
0.32
0.25
0.08
0.63
0.20
0.75
0.10
0.24
0.05
0.16
0.28
0.39
0.11
0.13
0.00
0.09
0.12
0.41
0.09
0.41
0.30
Number
of Shares
Fair Value
EUR ‘000
32,855 Smiths Group Plc ................
446
Oil and Gas
451,516 BP Plc .................................
1,994
386,384 (Shares A) ...........................
8,244
155,487 (Shares B) ...........................
3,334
114,170 Tullow Oil Plc ....................
284
Amec Foster Wheeler
105,075 Plc .......................................
596
Other Finance
321,000 3i Group Plc ........................
1,848
20,631 SVG Capital Plc ..................
130
36,450 Mondi Plc ...........................
614
Pharmaceuticals
57,595 AstraZeneca Plc ..................
2,835
431,976 GlaxoSmithKline Plc ..........
7,692
247,900 Indivior Plc .........................
510
Real Estate
451,682 Foxtons Group Plc ..............
927
ST Modwen Properties
52,236 Plc .......................................
199
51,502 Derwent London Plc ...........
2,048
Great Portland Estates
136,274 Plc .......................................
1,251
137,008 Hammerson Plc ...................
1,000
201,544 Hansteen Holdings Plc ........
270
Land Securities Group
53,150 Plc .......................................
738
Retail Trade
26,969 Debenhams Plc ...................
26
476,822 Home Retail Group Plc .......
997
3,580 JD Sports Fashion Plc .........
51
Marks & Spencer Group
108,739 Plc .......................................
557
123,440 N Brown Group Plc ............
509
8,657 Next Plc ..............................
590
Sports Direct International
75,836 Plc .......................................
362
58,326 Travis Perkins Plc ...............
1,344
182,968 ARM Holdings Plc .............
2,340
Software
15,935 EMIS Group Plc .................
204
Telecommunications
266,720 BT Group Plc ......................
1,482
35,774 Inmarsat Plc ........................
444
2,595,019 Vodafone Group Plc ...........
7,240
Transport
193,600 Royal Mail Plc ....................
1,174
Fund
%
0.08
0.38
1.58
0.64
0.05
0.11
0.35
0.03
0.12
0.54
1.47
0.10
0.18
0.04
0.40
0.24
0.19
0.05
0.14
0.00
0.19
0.01
0.11
0.10
0.11
0.07
0.26
0.45
0.04
0.28
0.08
1.39
0.22
31 March 2016
Number
of Shares
Fair Value
EUR ‘000
Water Utilities
35,747 Pennon Group Plc ...............
47,130 United Utilities Group Plc ...
366
549
Fund
%
Number
of Shares
0.07
0.11
121,943 23.35
480,563 91.99
Preferred Stock (1.14%) (2015: 1.88%)
Germany (0.56%)
Auto Components
25,651 Schaeffler AG ......................
362
Automobiles
23,067 Volkswagen AG ..................
2,580
2,942
Italy (0.58%)
Machinery
Danieli & C Officine
85,499 Meccaniche SpA .................
Telecommunications
2,399,330 Telecom Italia SpA ..............
Total Preferred Stock ........
0.07
0.49
0.56
1,176
0.23
1,847
0.35
3,023
0.58
5,965
1.14
Fair Value
EUR ‘000
Rights (0.04%) (2015: 0.00%)
Netherlands (0.04%)
190,558 Delta Lloyd NV ..................
Total Rights .......................
Total Transferable
Securities ...........................
233
0.04
233
0.04
486,761 93.17
Ireland (5.08%)
III Plc - The Sterling
Liquidity Fund - Class R
105 Roll-Up Shares ..................
133
Plc - Russell Liquidity Fund
26,453 - Class R Roll-Up Shares .
26,385
Total Investments
excluding Financial
Fund
%
26,518
0.03
5.05
5.08
513,279 98.25
Financial Derivative Instruments ((0.07)%) (2015: (0.01)%)
Notional
Amount
‘000
Average
Cost Price
EUR
880
439.76
2,705
4,434.22
2,487
9,948.15
8,700
2,979.59
9,349
7,663.32
636
18,180.00
895
8,947.65
1,132
148.89
Unrealised
Gain (Loss)
EUR ‘000
10 of Amsterdam Index Future
Expiring April 2016 ..................................................
61 of CAC 40 Index Futures
Expiring April 2016 ..................................................
10 of DAX Index Futures
Expiring June 2016 ...................................................
292 of Euro Stoxx 50 Index Futures
Expiring June 2016 ...................................................
122 of FTSE 100 Index Futures
Expiring June 2016 ...................................................
7 of FTSE MIB Index Futures
Expiring June 2016 ...................................................
10 of IBEX 35 Index Futures
Expiring April 2016 ..................................................
76 of OMX 30 Index Futures
Expiring April 2016 ..................................................
Fund
%
-
0.00
(31)
(0.01)
13
0.00
(142)
(0.03)
57
0.01
(17)
0.00
(26)
0.00
(25)
0.00
31 March 2016
Notional
Amount
‘000
4,428
Average
Cost Price
EUR
Unrealised
Gain (Loss)
EUR ‘000
62 of Swiss Market Index Futures
Expiring June 2016 ...................................................
Fund
%
7,141.37
(69)
70
(310)
(240)
(0.02)
0.01
(0.06)
(0.05)
Settlement
Date
Amount
Bought ‘000
Unrealised
Gain (Loss)
EUR ‘000
Amount
Sold ‘000
15/06/2016
CHF
1,708 EUR
1,561
15/06/2016
CHF
1,708 EUR
1,561
15/06/2016
CHF
700 EUR
639
15/06/2016
CHF
400 EUR
365
15/06/2016
CHF
1,100 EUR
1,010
15/06/2016
EUR
184 CHF
200
15/06/2016
EUR
183 CHF
200
15/06/2016
EUR
388 GBP
300
15/06/2016
EUR
253 GBP
200
15/06/2016
EUR
127 GBP
100
15/06/2016
EUR
252 GBP
200
15/06/2016
EUR
109 SEK
1,000
15/06/2016
EUR
54 SEK
500
15/06/2016
GBP
500 EUR
644
15/06/2016
GBP
2,700 EUR
3,441
15/06/2016
GBP
2,400 EUR
3,077
15/06/2016
GBP
2,400 EUR
3,077
15/06/2016
SEK
4,469 EUR
477
15/06/2016
SEK
4,469 EUR
477
15/06/2016
SEK
5,000 EUR
539
15/06/2016
SEK
1,000 EUR
107
Fund
%
6
6
3
2
(1)
(1)
9
1
1
(1)
(14)
(43)
(55)
(56)
7
7
3
1
46
(171)
(125)
(365)
Fair Value
EUR ‘000
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.01
0.00
0.00
0.00
0.00
0.00
0.00
(0.01)
(0.01)
(0.01)
0.00
0.00
0.00
0.00
0.01
(0.03)
(0.02)
(0.07)
Fund
%
513,395
98.27
(98.27%) .......................................................................................................................................................
(481)
(0.09)
Loss ((0.09)%) .............................................................................................................................................
512,914
98.18
(98.18%) ....................................................................................................................................................
9,520
1.82
Other Net Assets (1.82%) ........................................................................................................................
522,434
100.00
Net Assets ..................................................................................................................................................
31 March 2016
Abbreviation used:
% of
gross assets
Exchange trades financial derivative instruments .....................................................................................................
Other assets ...............................................................................................................................................................
92.73
5.05
0.01
0.01
2.20
100.00
The broker for the open futures contracts is Morgan Stanley.
Bank of America
BNP Paribas
Citibank
HSBC Bank
State Street Bank
As at 31 March 2016
Level 1
EUR ‘000
Assets
70
contracts .....................................................................................
Total assets ...................................................................................... 486,830
Liabilities
contracts .....................................................................................
Level 2
EUR ‘000
Level 3
EUR ‘000
Total
EUR ‘000
26,518
-
1
-
486,761
26,518
70
46
26,564
1
46
513,395
(310)
-
-
(310)
(310)
(171)
(171)
-
(171)
(481)
31 March 2016
As at 31 March 2015
Level 1
EUR ‘000
Assets
72
contracts .....................................................................................
Total assets ...................................................................................... 468,006
Liabilities
contracts .....................................................................................
Level 2
EUR ‘000
Level 3
EUR ‘000
Total
EUR ‘000
14,484
-
-
467,934
14,484
72
167
14,651
-
167
482,657
(134)
-
-
(134)
(134)
(155)
(155)
-
(155)
(289)
Statement of Changes in the Composition of Portfolio
Russell Investment Company Plc
Royal Dutch Shell Plc (Shares A)
Total SA
Roche Holding AG
BASF SE
Anheuser-Busch InBev SA NV
Nestle SA
Novartis AG
Vodafone Group Plc
ING Groep NV
Statoil ASA
Imperial Brands Plc
Sanofi SA
UBS Group AG
Schneider Electric SE
Telenor ASA
Bayer AG
Deutsche Telekom AG
Actelion Ltd
Adidas AG
Acquisition Cost
EUR ‘000
160,494
7,593
4,955
4,762
4,457
4,402
4,300
4,250
3,986
3,897
3,726
3,719
3,648
3,514
3,458
3,262
3,178
3,171
3,095
3,040
Russell Investment Company Plc
Novartis AG
Royal Dutch Shell Plc (Shares A)
UBS Group AG
Nestle SA
BP Plc
Vodafone Group Plc
Unilever NV
Iberdrola SA
Sanofi SA
Renault SA
Roche Holding AG
Pandora A/S
Electrolux AB
Deutsche Telekom AG
Enel SpA
Bayer AG
Orange SA
Heineken NV
Koninklijke Ahold NV
Disposal Proceeds
EUR ‘000
(148,552)
(5,058)
(4,470)
(3,926)
(3,733)
(3,686)
(3,431)
(3,061)
(3,017)
(2,921)
(2,876)
(2,804)
(2,756)
(2,729)
(2,724)
(2,700)
(2,625)
(2,600)
(2,586)
(2,484)
Manager’s Report
BlackRock International Limited
Standard Life Investments
Russell U.K. Equity Plus Fund (the “Fund”) aims to provide total returns by investing in a portfolio of predominantly U.K.
equities traded on U.K. stock exchanges, including convertibles, warrants, money market instruments, deposits and collective
investment schemes. The Fund will seek to achieve its investment objective by investing in derivative instruments that have as
their underlying exposure the foregoing (e.g. swaps and contracts for differences) and may implement bought (long) and synthetic
short (sold) positions through the use of derivatives.
Fund Performance
During the year ended 31 March 2016, Russell U.K. Equity Plus Fund (Class B) returned -2.2 per cent on a gross of fee basis
(-2.9 per cent on a net of fee basis), while the benchmark* returned -3.9 per cent.
Market Comment
A June slump caused the benchmark to slip 1.6 per cent in the second quarter of 2015. Negative sentiment overflowed from
Europe into other developed markets as the fluctuating progress in Greek debt negotiations dominated market direction. Initially
the benchmark had moved higher following the Easter break, as an oil and gas sector rally was stimulated by a stabilising oil price
and the planned acquisition of BG Group by Royal Dutch Shell. After declining ahead of the U.K. general election, the market
performed a “relief rally” in May as the Conservative party unexpectedly won a Parliamentary majority. Investors reacted
positively to the surprise political certainty despite the shadow of a proposed in/out European Union referendum in 2016.
However, these gains were lost in June as the benchmark recorded its worst monthly return since May 2012. Economic data
released over the three month period remained positive. Wage growth reached its highest level since 2007, increasing by 2.7 per
cent in the three months to April. Additionally, the unemployment rate fell to 5.5 per cent, its lowest level since mid-2008.
Inflation turned positive (0.1 per cent) in May having slipped into deflation in April for the first time since official records began.
Meanwhile, first quarter GDP was confirmed at 0.4 per cent quarter-on-quarter (QoQ).
The benchmark slipped 5.7 per cent in the third quarter of 2015; a negative and volatile environment for global equities.
Developments in China and its potential impact on U.K. companies dampened investor sentiment. Anxiety about the country’s
sustained equity market downturn, the slowing of economic growth and unexpected monetary policy action from the People’s
Bank of China catalysed equity sell-offs world-wide. Further falls in commodity prices also weighed on the benchmark,
especially energy and mining companies. Prior to international concerns weighing on the benchmark, the quarter had started
positively. Chancellor George Osborne’s business-friendly budget and the positive second-quarter GDP estimate was well
received by investors. In August, Governor Carney surprised markets by suggesting an interest rate increase, while “drawing
closer” and “data dependent”, would most likely occur next year. Domestic economic data remained healthy. The unemployment
rate was unchanged from the previous quarter at 5.5 per cent with average earnings (wages) remaining robust. The 0.7 per cent
QoQ second quarter GDP figure was in-line with estimates, as services remained strong and increased oil & gas production
supported a rise in industrial output. Inflation remained flat at 0.0 per cent year-on-year despite slipping -0.2 per cent month-onmonth (MoM) in July. Elsewhere, retail sales disappointed in June but were in-line with estimates in July and August. Halifax
house price data showed a rebound in August after July’s decrease with 2.7 per cent MoM growth.
The benchmark climbed 4.0 per cent in the final quarter of 2015, as it recovered the majority of its third-quarter decline. This
solidified a positive 1.0 per cent return for 2015. After a strong October and small November climb, the benchmark tracked lower
in December. Disappointment from Europe overflowed into U.K. equities after the European Central Bank made fewer changes
than expected to its monetary policy. A collapse in the price of oil during the month also weighed on natural resource stocks.
Earlier in the period, investors began to price in a later than expected rise in U.K. interest rates. The Bank of England’s (BoE)
quarterly inflation report detailed a significantly lower path for projected rate rises than three months ago, and a weaker outlook
for inflation. BoE Governor Carney signalled interest rates could remain on hold until 2017, a sharp contrast to his hawkish third
quarter comments. However, the Central Bank expected weaker global growth to be offset by strong domestic spending.
The benchmark edged 0.4 per cent lower in the first quarter of 2016, as it failed to recover from its January losses. Early in the
period, sentiment towards cyclical areas of the market weakened as investors favoured the stability and dividend yield provided
by more defensive large cap stocks. The market rebounded from mid-February as equity market and oil price volatility stabilised
and commodities rallied. This aided natural resource-based areas of the market. Meanwhile, the potential for a U.K. exit from the
Eurozone (Brexit) in the June referendum increased uncertainty towards domestically-oriented stocks. The value of the Pound
Sterling against the U.S. Dollar also trended downwards on Brexit fears, touching a seven year low of USD 1.38 in February.
Russell U.K. Equity Plus Fund 155
The Fund added to its 2015 outperformance in the second quarter of 2015. Significantly strong stock selection drove positive
relative returns. Additionally, the overweight to small cap stocks and higher growth areas of the market continued to underpin
gains. Standard Life remained the standout contributor among the Fund’s underlying Money Managers as it benefited from its
bottom-up stock selection. Meanwhile, BlackRock and our positioning strategy lagged the benchmark.
The Fund outperformed the benchmark in the third quarter of 2015; a negative and volatile period for global equity markets. The
Fund benefited from the tilt towards growth and overweight to small caps. BlackRock significantly outperformed as its defensive
growth-oriented strategy best suited the market environment. During the quarter we marginally reduced the Fund’s growth
exposure that has been rewarded strongly in recent years. While earnings from domestically-oriented corporates have improved,
we remain on the lookout for earnings confirmation across the wider market to support valuations that have appreciated strongly
in recent years.
The Fund finished slightly below the benchmark in the fourth quarter of 2015. The Fund’s positioning towards high momentum
and its current overweight to growth was beneficial. The selection of high momentum stocks weighed on relative returns. At the
sector level, stock picking was strong within the basic materials sector but detracted within the industrials and technology sectors.
It was a positive factor environment for BlackRock’s defensive growth strategy. In contrast, our positioning strategy and Standard
Life suffered from negative stock selection.
The Fund lagged the benchmark in the first quarter of 2016. Our positive exposure to high momentum detracted as the market
rebounded from mid-February. Our exposure to select domestically-oriented small cap stocks weighed on relative returns, with
sentiment hindered by “Brexit” concerns. Stock selection within the consumer services sector was negative this period, with
select multiline retail holdings handing back some of their 2015 outperformance. The selection of metals and mining stocks also
detracted. Standard Life handed back some of its longer-term outperformance as its selection of more volatile names went
unrewarded. Our positioning strategy mitigated additional underperformance as a large underweight to financials added to relative
returns.
Outlook
volatility will continue to be driven by China fears, the U.S. Federal Reserve’s monetary tightening, U.S. recession concerns,
bank balance sheet worries, and soft corporate profits. Moreover, the move to negative interest rates in Europe and Japan has
triggered fears that Central Banks have run out of easing options. Negative rates also tend to squeeze the margin between banks’
borrowing and lending rates. This squeeze could, in turn, hurt bank profitability, and end up making things worse for the markets.
In our 2016 Global Market Outlook Annual report, we forecast mid-to-low single digit returns for global equities, along with a
gradual rise in long-term interest rates. We’re holding to that view, with the exception we think equity growth is more likely to be
in the low single digits. Moreover, we’re now seeing corporate profits weakening, softness in global trade and manufacturing, and
slightly higher risks for Emerging Markets. These elements all contribute to a less supportive environment for equities. That said,
we’re not forecasting a sustained bear market, provided the U.S. does not fall into recession. Right now we see recession as a low
* Benchmark Source: FTSE All Share Total Return Index
May 2016
156 Russell U.K. Equity Plus Fund
Balance Sheet
As at 31 March 2016
31 March 2016
GBP ‘000
Assets
Cash at bank (Note 3) .............................................................................................................
(Note 3) ...................................................................................................................................
Debtors:
Receivable for investments sold ..........................................................................................
Receivable on fund shares issued ........................................................................................
Dividends receivable ...........................................................................................................
Liabilities
Financial liabilities at fair value through profit or loss (Note 2) .............................................
Payable for investments purchased .....................................................................................
Payable on fund shares redeemed .......................................................................................
Distributions payable on income share classes ....................................................................
Management fees payable ...................................................................................................
Performance fees payable ....................................................................................................
Custodian and Trustee fees payable ....................................................................................
Sub-custodian fees payable .................................................................................................
Administration fees payable ................................................................................................
Audit fees payable ...............................................................................................................
Net asset value attributable to redeemable participating shareholders ....................
31 March 2015
GBP ‘000
90,289
108,262
471
775
624
424
32
497
2,927
11
603
91,913
113,002
-
(101)
(21)
(20)
(252)
(63)
(626)
(1)
(1)
(4)
(10)
(998)
(1,033)
(2,298)
(180)
(80)
(357)
(2)
(5)
(5)
(10)
(4,071)
90,915
108,931
2016
GBP ‘000
2015
GBP ‘000
Income
Dividends .......................................................................................................................
3,279
3,942
Net gain (loss) on investment activities (Note 4) ...............................................................
(4,596)
4,596
Total investment income (expense) ................................................................................
(1,317)
8,538
Expenses
Management fees (Note 5) .............................................................................................
Performance fees (Note 5) ..............................................................................................
Custodian and Trustee fees (Note 6) ..............................................................................
Sub-custodian fees (Note 6) ...........................................................................................
Administration and transfer agency fees (Note 6) ..........................................................
Audit fees (Note 6) .........................................................................................................
Professional fees .............................................................................................................
Other fees .......................................................................................................................
Total operating expenses ................................................................................................
(810)
(351)
(8)
(12)
(49)
(10)
(19)
(5)
(1,264)
(1,023)
(168)
(11)
(22)
(54)
(10)
(11)
(12)
(1,311)
Net income (expense) .......................................................................................................
(2,581)
7,227
Finance costs
Distributions (Note 8) .....................................................................................................
Profit (loss) for the financial year before taxation ........................................................
(1,902)
(4,483)
(2,562)
4,665
Taxation
Withholding tax (Note 9) ...............................................................................................
(6)
(2)
(4,489)
4,663
All amounts arose solely from continuing operations. There are no recognised gains and losses other than those dealt with in the Profit and Loss
Account.
2016
GBP ‘000
(4,489)
shareholders resulting from operations .................................................................................................
Share transactions
2015
GBP ‘000
4,663
1,316
1,945
(14,843)
(29,416)
(18,016)
participating shareholders ......................................................................................................................
(22,808)
Beginning of year ...........................................................................................................
108,931
131,739
End of year .....................................................................................................................
90,915
108,931
31 March 2016
Number
of Shares
Fair Value
GBP ‘000
Fund
%
Number
of Shares
Common Stock (94.69%) (2015: 94.08%)
Bermuda (0.11%)
Insurance
18,499 Lancashire Holdings Ltd .....
102 0.11
Canada (0.21%)
Metals and Mining
First Quantum Minerals
51,676 Ltd .......................................
Germany (0.27%)
22,756 TUI AG ...............................
Ireland (0.81%)
Entertainment
7,550 Paddy Power Betfair ............
1,261,100
57,104
38,805
95,200
69,392
Building Products
Breedon Aggregates Ltd ......
Distributors
Wolseley Plc .......................
Insurance
Beazley Plc ..........................
Phoenix Group Holdings .....
Pharmaceuticals
Shire Plc ..............................
Spain (0.49%)
Airlines
International Consolidated
80,360 Airlines Group SA ...............
69,831
45,507
95,828
27,361
98,422
124,579
640,603
4,470
235,759
Cobham Plc .........................
Meggitt Plc ..........................
Agriculture
Plc .......................................
Imperial Brands Plc .............
Airlines
Easy Jet Plc .........................
Auto Components
GKN Plc ..............................
Banks
Barclays Plc .........................
BGEO Group Plc .................
HSBC Holdings Plc .............
189
246
0.21
0.27
733
0.81
886
0.98
2,249
2.47
140
898
0.15
0.99
2,747
3.02
6,920
7.61
445
0.49
152
185
0.17
0.20
3,918
1,057
4.31
1.16
1,495
1.64
360
0.40
961
91
1,023
1.06
0.10
1.12
Fair Value
GBP ‘000
Lloyds Banking Group
800,300 Plc .......................................
544
Beverages
19,764 Britvic Plc ...........................
140
38,344 Diageo Plc ..........................
721
Building Products
201,522 Marshalls Plc ......................
717
51,738 Polypipe Group Plc .............
165
141,023 Tyman Plc ...........................
418
Chemicals
51,903 Filtrona Plc .........................
429
38,394 Johnson Matthey Plc ...........
1,054
119,535 Synthomer Plc .....................
435
Babcock International Group
36,322 Plc .......................................
345
106,800 Berendsen Plc .....................
1,285
41,737 Capita Plc ............................
435
56,428 Interserve Plc ......................
245
61,218 Northgate Plc ......................
247
328,614 RELX Plc ............................
4,251
36,425 RPS Group Plc ....................
76
38,898 Savills Plc ...........................
296
131,075 St Ives Plc ...........................
297
28,880 UBM Plc .............................
174
5,632 WS Atkins Plc ....................
77
38,669 Computacenter Plc ..............
325
56,300 FDM Group Holdings Plc ...
325
192,216 Costain Group Plc ...............
683
26,072 HomeServe Plc ...................
112
29,338 Keller Group Plc .................
252
60,586 Kier Group Plc ....................
779
85,026 RPC Group Plc ...................
646
Distributors
17,757 Inchcape Plc ........................
128
42,805 Ashmore Group Plc ............
123
Brewin Dolphin Holdings
32,722 Plc .......................................
85
57,671 Hargreaves Lansdown Plc ..
775
34,816 ICAP Plc .............................
165
International Personal
109,351 Finance Plc .........................
319
9,773 PayPoint Plc ........................
73
Electric Utilities
27,202 SSE Plc ...............................
406
46,333 Electrocomponents Plc .......
112
17,350 Spectris Plc .........................
320
Fund
%
0.60
0.16
0.79
0.79
0.18
0.46
0.47
1.16
0.48
0.38
1.41
0.48
0.27
0.27
4.68
0.08
0.33
0.33
0.19
0.08
0.36
0.36
0.75
0.12
0.28
0.86
0.71
0.14
0.14
0.09
0.85
0.18
0.35
0.08
0.45
0.13
0.35
31 March 2016
Number
of Shares
210,038
49,402
211,586
873,200
510,600
80,600
179,300
162,075
36,532
21,103
144,784
96,465
60,000
232,113
29,600
11,063
48,226
85,000
152,400
403,983
75,488
25,024
193,693
73,000
8,663
1,978,664
67,981
710,105
32,851
218,321
55,534
48,863
75,124
59,538
Fair Value
GBP ‘000
Fund
%
Entertainment
Merlin Entertainments
Plc .......................................
974 1.07
William Hill Plc ..................
162 0.18
Food Products
Compass Group Plc .............
2,598 2.86
Premier Foods Plc ...............
498 0.55
WM Morrison Supermarkets
Plc .......................................
1,015 1.11
Smith & Nephew Plc ...........
925 1.02
Spire Healthcare Group
Plc .......................................
644 0.71
AA Plc .................................
429 0.47
Mitie Group Plc ...................
94 0.11
Home Builders
Bellway Plc .........................
554 0.61
Crest Nicholson Holdings
Plc .......................................
815 0.89
Redrow Plc ..........................
388 0.43
Gym Group Plc ...................
149 0.16
Thomas Cook Group Plc .....
216 0.24
Household Products
Plc .......................................
1,992 2.19
Insurance
Admiral Group Plc ..............
219 0.24
Aviva Plc .............................
220 0.24
Curtis Banks Group Plc .......
329 0.36
Direct Line Insurance Group
Plc .......................................
564 0.62
Plc .......................................
950 1.05
Prudential Plc ......................
982 1.08
St James's Place Plc .............
230 0.25
Auto Trader Group Plc ........
755 0.83
Just Eat Plc ..........................
275 0.30
Rightmove Plc .....................
365 0.40
Lodging
Snoozebox Holdings Plc .....
52 0.06
Media
Informa Plc ..........................
472 0.52
ITV Plc ................................
1,713 1.88
Pearson Plc ..........................
287 0.32
Sky Plc ................................
2,236 2.46
Metals and Mining
BHP Billiton Plc ..................
435 0.48
Bodycote Plc .......................
295 0.32
Rio Tinto Plc .......................
1,469 1.62
Vedanta Resources Plc ........
204 0.22
Number
of Shares
Fair Value
GBP ‘000
20,532 Smiths Group Plc ................
221
Oil and Gas
356,779 BP Plc .................................
1,249
180,000 Cairn Energy Plc .................
360
301,414 Ophir Energy Plc ................
232
20,381 (A Shares) ...........................
343
137,156 (B Shares) ...........................
2,332
36,552 Soco International Plc .........
58
Other Finance
226,500 John Laing Group Plc .........
517
146,083 Melrose Industries Plc ........
521
130,872 DS Smith Plc ......................
534
Personal Products
20,716 Unilever Plc ........................
653
Pharmaceuticals
82,081 AstraZeneca Plc ..................
3,202
171,840 GlaxoSmithKline Plc ..........
2,426
Real Estate
Capital & Counties
239,010 Properties Plc ......................
788
65,700 Grainger Plc ........................
149
Retail Trade
60,300 Carpetright Plc ....................
206
38,324 Dixons Carphone Plc ..........
163
206,722 Enterprise Inns Plc ..............
197
22,923 Halfords Group Plc .............
91
Marks & Spencer Group
63,924 Plc .......................................
260
39,028 Next Plc ..............................
2,108
85,306 Pets at Home Group Plc ......
230
Sports Direct International
44,369 Plc .......................................
168
25,640 SuperGroup Plc ...................
364
73,521 ARM Holdings Plc .............
746
Imagination Technologies
160,760 Group Plc ............................
304
Software
9,770 AVEVA Group Plc .............
154
4,346 Fidessa Group Plc ...............
106
100,152 Sage Group Plc ...................
630
Telecommunications
448,773 BT Group Plc ......................
1,977
CityFibre Infrastructure
560,000 Holdings Plc .......................
274
70,597 Gooch & Housego Plc ........
628
21,768 Inmarsat Plc ........................
214
67,623 Kcom Group Plc .................
73
Spirent Communications
168,500 Plc .......................................
148
Fund
%
0.24
1.37
0.40
0.26
0.38
2.56
0.06
0.57
0.57
0.59
0.72
3.52
2.67
0.87
0.16
0.23
0.18
0.22
0.10
0.29
2.32
0.25
0.18
0.40
0.82
0.33
0.17
0.12
0.69
2.17
0.30
0.69
0.24
0.08
0.16
31 March 2016
Number
of Shares
Fair Value
GBP ‘000
1,025,221 Vodafone Group Plc ............
Transport
National Express Group
157,900 Plc .......................................
176,123 Stagecoach Group Plc .........
Warehousing
101,334 Wincanton Plc .....................
Water Utilities
22,433 Pennon Group Plc ...............
10,810 Severn Trent Plc ..................
United Utilities Group
27,904 Plc .......................................
Fund
%
2,268
2.50
542
444
0.59
0.49
170
0.19
182
235
0.20
0.26
258
0.28
Number
of Shares
77,451 85.19
Total Transferable
Securities ............................
86,086 94.69
Fair Value
GBP ‘000
Fund
%
Ireland (4.61%)
III plc
The Sterling Liquidity
Fund - Class R Roll-Up
4,145 Shares ...............................
4,159
III plc
The US Dollar Cash Fund
II - Class R Roll-Up
41 Shares ..............................
29
Total Investments
excluding Financial
4.58
0.03
4,188
4.61
90,274 99.30
86,086 94.69
Financial Derivative Instruments (0.02%) (2015: (0.09)%)
Notional
Amount
GBP '000
3,103
Average
Cost Price
GBP
Unrealised
Gain (Loss)
GBP ‘000
51 of FTSE 100 Index Future
Expiring June 2016 .........................................
Fund
%
6,083.68
15
15
15
Fair Value
GBP ‘000
0.02
0.02
0.02
Fund
%
90,289
99.32
(99.32%) .......................................................................................................................................................
626
0.68
Other Net Assets (0.68%) .........................................................................................................................
90,915
100.00
Net Assets ..................................................................................................................................................
Transferable securities admitted to an official stock exchange listing ................................................................
Investment funds (UCITS) ..................................................................................................................................
Exchange traded financial derivative instruments ...............................................................................................
Other assets .........................................................................................................................................................
The broker for the open futures contracts is UBS AG.
% of
gross assets
93.66
4.56
0.02
1.76
100.00
31 March 2016
As at 31 March 2016
Level 1
GBP ‘000
Assets
Unrealised gain on open futures contracts .............................
Total assets ......................................................................................
86,086
15
86,101
Level 2
GBP ‘000
Level 3
GBP ‘000
4,188
4,188
Total
GBP ‘000
-
86,086
4,188
15
90,289
As at 31 March 2015
Level 1
GBP ‘000
Assets
Total assets ...................................................................................... 102,550
Liabilities
(101)
(101)
Level 2
GBP ‘000
Level 3
GBP ‘000
Total
GBP ‘000
5,712
5,712
-
102,550
5,712
108,262
-
-
(101)
(101)
RELX Plc
The Sterling Liquidity Fund Class C Shares
Legal & General Group Plc
Royal Bank of Scotland Group Plc
Smith & Nephew Plc
Shire Plc
AstraZeneca Plc
Barclays Plc
Diageo Plc
Direct Line Insurance Group Plc
Betfair Group Plc
Unilever Plc
BP Plc
Capita Plc
Bellway Plc
National Express Group Plc
Imperial Brands Plc
Easy Jet Plc
Acquisition Cost
GBP ‘000
41,738
1,748
1,466
1,058
1,043
1,025
945
828
740
697
697
661
620
608
534
531
523
456
426
421
The Sterling Liquidity Fund Class C Shares
BG Group Plc
BP Plc
Travis Perkins Plc
Close Brothers Group Plc
Rio Tinto Plc
Lloyds Banking Group Plc
British American Tobacco Plc
Reckitt Benckiser Group Plc
HSBC Holdings Plc
Wolseley Plc
AstraZeneca Plc
Paragon Group of Cos Plc
Paysafe Group Plc
RELX Plc
Barclays Plc
HellermannTyton Group Plc
Next Plc
Disposal Proceeds
GBP ‘000
(37,596)
(7,150)
(1,412)
(1,312)
(1,263)
(1,226)
(1,207)
(1,140)
(1,049)
(988)
(976)
(967)
(904)
(893)
(848)
(827)
(809)
(776)
(752)
(743)
Russell U.S. Growth Fund
Balance Sheet
As at 31 March 2015
31 March 2015*
USD ‘000
Assets
Cash at bank (Note 3) ...............................................................................................................................................
Liabilities
Payable on fund shares redeemed ..................................................................................................................
133
133
(103)
(2)
(1)
(15)
(12)
(133)
-
Russell U.S. Growth Fund 165
2015*
USD ‘000
Income
Dividends .......................................................................................................................................................
65
363
428
Expenses
Audit fees (Note 6) .........................................................................................................................................
Other fees .......................................................................................................................................................
(47)
(12)
(13)
(15)
(12)
(18)
(117)
311
Taxation
Withholding tax (Note 9) ...............................................................................................................................
(20)
Net increase (decrease) in net assets attributable to redeemable participating shareholders
resulting from operations ........................................................................................................................................
291
All amounts arose solely from terminating operations. There are no recognised gains or losses other than those dealt with in the Profit and Loss
Account.
* The Fund ceased trading on 14 October 2014.
166 Russell U.S. Growth Fund
For the year ended 31 March 2015.
2015*
USD ‘000
291
Share transactions
transactions (Note 10) ....................................................................................................................................
(15,860)
Total net increase (decrease) in net assets attributable to redeemable participating
shareholders ..............................................................................................................................................................
(15,569)
15,569
End of year .....................................................................................................................................................
-
* The Fund ceased trading on 14 October 2014.
Russell U.S. Growth Fund 167
Manager’s Report
Aronson and Johnson and Ortiz, L.P.
Jacobs Levy Equity Management Inc.
PanAgora Asset Management Inc.
Russell Investments Management Company
Russell U.S. Quant Fund (the “Fund”) seeks to achieve capital appreciation by investing primarily in U.S. equity securities,
including common stock, American depository receipts, global depository receipts, convertibles and warrants listed, traded or
dealt in on a regulated market in the U.S.. The Fund will seek to achieve its investment objective by investing in derivative
instruments that have as their underlying exposure the foregoing (e.g. swaps and contracts for differences) and may implement
bought (long) and synthetic short (sold) positions through the use of derivatives.
Fund Performance
During the year ended 31st March 2016, the Russell U.S. Quant Fund (Class B) returned 0.8 per cent on a gross of fee basis (1.9
per cent on a net of fee basis), while the benchmark* returned 0.1 per cent.
Market Comment
The benchmark edged up 0.1 per cent over the second quarter of 2015. Although U.S. economic data trends were mixed over
the quarter, evidence that the U.S. economy is bouncing back from its first quarter economic slowdown materialised by the
end of the period. Severe winter weather and labour disruptions at major ports drove a contraction in U.S. output in the firs t
quarter of 2015. However, the contraction was less severe than originally thought, with the final first quarter GDP estimate
upwardly revised to -0.2 per cent from -0.7 per cent due to better personal consumption figures. During the quarter, the U.S.
Federal Reserve (the “Fed”) clearly communicated its expectation to hike interest rates this year and that the decision aroun d
exactly when to do so will be data-driven. The consensus view is that a first rate hike will occur in September, however the
pace of subsequent rate hikes was at the forefront of investor concerns. The market welcomed dovish signals from the Federal
Open Market Committee’s (FOMC) June meeting, with Fed Chair Yellen stating that “economic conditions are currently
anticipated to evolve in a manner that will only warrant gradual increases in the federal f unds rate”. However, two Fed
members voiced their support for two rate adjustments before the end of the year.
The benchmark declined 7.0 per cent over the third quarter of 2015. China’s currency devaluation, amid slowing economic
growth, gave rise to a severe sell-off in U.S. and global markets. These adverse international developments, in turn, became a
lead factor in preventing the Fed from raising its interest rate in September. While the market initially spiked higher follo wing
news of the Fed hike delay, investors grew more concerned about global economic growth, tilting demand away from risk and
towards safe haven assets, such as treasuries. After the Fed’s September meeting, Fed Chair Yellen stated that, despite recen t
international developments, domestically “the economy has been performing well, and we expect it to continue to do so”. At
the time, second quarter GDP had been revised upwards to 3.7 per cent, and was later revised higher to 3.9 per cent.
Unemployment slipped to 5.1 per cent for August, its lowest in seven years, assisted by a decline in the participation rate.
However, non-farm payrolls missed expectations at 173,000 in August, following upwardly revised readings for June
(245,000) and July (223,000).
The benchmark rose 6.5 per cent over the fourth quarter of 2015. In some regards the period was a repeat of the third quarter,
as anxiety from slowing growth and policy execution in China, combined with an ongoing commodities rout (especially in oil)
drove market volatility. However, before the curtains closed for the year, the Fed finally raised its benchmark interest rate, an
event which had been largely priced in by the markets. The central bank’s accompanying statement revealed that its policy
would “remain accommodative” and that “the actual path of [increases in] the federal funds rate will depend on the economic
outlook as informed by incoming data”. This crystallised a diverging Central Bank policy environment between the more
hawkish U.S. and (to a lesser extent) U.K., versus loose monetary policies in Europe (where the European Central Bank eased
further) and Japan.
The benchmark rose 1.0 per cent over the first quarter of 2016. The period was characterised by two halves. The first half of
the quarter was characterised by slowing growth in China coupled with an ongoing commodities r out (especially in oil), which
contributed to significant market volatility and substantial risk-off sentiment. However, in the latter part of the quarter there
was a rebound in the traditional cyclical areas of the market driven in part by more dovish rhe toric from the Fed alongside oil
price stabilisation. At the first quarter FOMC meeting, Fed Chair Yellen explained that even though domestic “economic
forecasts have not changed much since December”, this was being overshadowed by “global economic and fin ancial
developments”, posing a risk to growth. As a result, FOMC “dots” reduced to two possible interest rate hikes this year down
from four earlier in the year.
168 Russell U.S. Quant Fund
The Fund finished ahead of the benchmark over the second quarter of 2015, extending year-to-date gains. Stock selection at the
lower end of the market cap scale relative to the benchmark was additive. Selection among discounted stocks (low price-to-book
ratios) and higher beta stocks was also rewarded. In particular, stock picks within the technology, health care and financial
services sectors accounted for the majority of excess returns. However, names penalised in the producer durables and consumer
discretionary sectors weighed on more sizeable outperformance. An overweight to transportation and freight companies was a
hindrance.
The Fund extended its year-to-date outperformance in a negative and volatile third quarter of 2015 for U.S. equities. Positive
relative returns were driven by strong stock selection, primarily within smaller capitalisation and dividend paying stocks. Stock
selection within the producer durables and energy sectors underpinned gains. An underweight to energy also added value
following a renewed slump in oil prices. Avoiding the lowest momentum and highest growth stocks both contributed
meaningfully to outperformance. Aronson was the sole underperforming Money Manager this quarter, as its financial services
names weighed on returns.
The Fund underperformed the benchmark in the final quarter of 2015. Exposure to value and an underweight to the highest
dividend yielding stocks weighed on returns. However, the Fund’s tilt away from low momentum and effective selection of high
momentum stocks helped mitigate additional underperformance. An underweight to and negative selection of the largest market
cap stocks was a key detractor. Aside from Aronson and Pan Agora, all strategies finished behind the benchmark this quarter.
However, all five Money Managers recorded positive relative performance in 2015.
The Fund underperformed the benchmark in the first quarter of 2016. It was an unfavorable environment for the Fund’s value tilt.
However, the Fund’s tilt away from the top-end of the capitalisation opportunity set was beneficial as this area of the market
underperformed over the period. Sector selection was also unrewarded, particularly the overweight to health care. The Fund’s
exposure to underperforming holdings within the financial services, industrials and energy sectors detracted from performance.
All Money Managers underperformed for the quarter.
Outlook
* Benchmark Source: Russell 1000 Net 30% Index
May 2016
Russell U.S. Quant Fund 169
Balance Sheet
As at 31 March 2016
31 March 2016
USD ‘000
Assets
Cash at bank (Note 3) ..................................................................................................................
(Note 3) ........................................................................................................................................
Debtors:
Receivable for investments sold ................................................................................................
Receivable on fund shares issued ..............................................................................................
Dividends receivable .................................................................................................................
Liabilities
Payable for investments purchased ...........................................................................................
Payable on fund shares redeemed ..............................................................................................
Management fees payable .........................................................................................................
Custodian and Trustee fees payable ..........................................................................................
Sub-custodian fees payable .......................................................................................................
Administration fees payable ......................................................................................................
Audit fees payable ......................................................................................................................
Net assets attributable to redeemable participating shareholders .........................................
31 March 2015
USD ‘000
269,359
209,379
2,515
1,422
1,055
351
366
10
164
273,469
1,216
1,551
138
214,057
(9,083)
(64)
(199)
(3)
(8)
(9)
(19)
(9,385)
(1,293)
(6)
(178)
(3)
(11)
(9)
(19)
(1,519)
264,084
212,538
2016
USD ‘000
2015
USD ‘000
Income
Dividends .......................................................................................................................
4,635
3,077
Net gain (loss) on investment activities (Note 4) ...............................................................
(3,744)
19,586
Total investment income (expense) ................................................................................
891
22,663
Expenses
Management fees (Note 5) .............................................................................................
Custodian and Trustee fees (Note 6) ..............................................................................
Sub-custodian fees (Note 6) ...........................................................................................
Administration and transfer agency fees (Note 6) ..........................................................
Audit fees (Note 6) .........................................................................................................
Professional fees .............................................................................................................
Other fees .......................................................................................................................
Total operating expenses .................................................................................................
(2,329)
(20)
(90)
(102)
(19)
(31)
(2,591)
(1,633)
(14)
(77)
(73)
(19)
(14)
(19)
(1,849)
Net income (expense) .......................................................................................................
(1,700)
20,814
Finance costs
Distributions (Note 8) .....................................................................................................
Profit (loss) for the financial year before taxation ........................................................
(788)
(2,488)
(402)
20,412
Taxation
Withholding tax (Note 9) ...............................................................................................
(1,312)
(863)
shareholders resulting from operations .........................................................................
(3,800)
19,549
Account.
2016
USD ‘000
2015
USD ‘000
(3,800)
19,549
Share transactions
788
402
54,558
47,785
51,546
67,736
Beginning of year ...........................................................................................................
212,538
144,802
End of year .....................................................................................................................
264,084
212,538
31 March 2016
Number
of Shares
Fair Value
USD ‘000
7,600
785
3,232
4,895
580
1,171
775
4,865
426
1,054
28,748
26,874
Common Stock (92.39%) (2015: 95.41%)
Bermuda (1.00%)
Agriculture
Bunge Ltd ............................
431 0.16
Genpact Ltd .........................
21 0.01
Invesco Ltd ..........................
99 0.04
Insurance
Arch Capital Group Ltd .......
348 0.13
Aspen Insurance Holdings
Ltd .......................................
28 0.01
Ltd .......................................
65 0.03
Endurance Specialty
Holdings Ltd .......................
51 0.02
Everest Re Group Ltd ..........
960 0.36
RenaissanceRe Holdings
Ltd .......................................
51 0.02
Validus Holdings Ltd ..........
50 0.02
Oil and Gas
Nabors Industries Ltd ..........
264 0.10
Marvell Technology Group
Ltd .......................................
277 0.10
2,645
1.00
157
0.06
Canada (0.06%)
Media
3,876 Thomson Reuters Corp ........
Curacao (0.05%)
1,811 Schlumberger Ltd ................
134
14,325 Amdocs Ltd .........................
1,278
3,230
3,242
7,200
273
5,200
Fund
%
866
Ireland (0.51%)
Accenture Plc ......................
Medtronic Plc ......................
Insurance
XL Group Plc ......................
Eaton Corp Plc ....................
Pharmaceuticals
Allergan Plc .........................
Mallinckrodt Plc ..................
0.05
Number
of Shares
Auto Components
3,496 Delphi Automotive Plc .......
0.10
Marshall Islands (0.00%)
Transport
1,100 Teekay Corp .......................
10
0.00
Netherlands (0.30%)
Chemicals
LyondellBasell Industries
9,254 NV ......................................
792
0.30
Panama (0.29%)
14,400 Carnival Corp .....................
760
0.29
Singapore (0.09%)
Flextronics International
20,300 Ltd ......................................
245
0.09
Switzerland (0.16%)
Insurance
1,189 Holdings AG .......................
3,200 Chubb Ltd ...........................
42
381
0.02
0.14
423
0.16
702
72
0.27
0.03
319
0.12
1,093
0.42
246
253
0.09
0.10
1,735
1,380
0.66
0.52
723
1,065
1,396
943
0.27
0.40
0.53
0.36
814
129
844
0.31
0.05
0.32
Oil and Gas
67,663 Ensco Plc ............................
4,500 Rowan Cos Plc ....................
Telecommunications
13,900 ARRIS International Plc .....
0.33
0.06
242
0.09
119
0.04
450
0.17
73
319
0.03
0.12
1,350
0.51
Fund
%
262
10,732
3,043
147
Fair Value
USD ‘000
13,666
10,504
6,100
4,810
7,054
7,690
17,948
4,100
8,431
Advertising
Interpublic Group of Cos
Inc .......................................
Omnicom Group Inc ...........
Boeing Co ...........................
General Dynamics Corp ......
L-3 Communications
Holdings Inc .......................
Northrop Grumman Corp ....
Raytheon Co .......................
Spirit AeroSystems Holdings
Inc .......................................
Triumph Group Inc .............
United Technologies Corp ..
31 March 2016
Number
of Shares
Agriculture
64,252 Altria Group Inc ..................
23,889 Inc .......................................
10,284 Reynolds American Inc .......
Airlines
6,191 Alaska Air Group Inc ..........
220 Allegiant Travel Co .............
American Airlines Group
18,055 Inc .......................................
52,553 Delta Air Lines Inc ..............
18,693 JetBlue Airways Corp .........
17,137 Southwest Airlines Co .........
United Continental Holdings
9,769 Inc .......................................
Auto Components
American Axle &
Manufacturing Holdings
2,500 Inc .......................................
Cooper-Standard Holding
1,000 Inc .......................................
Goodyear Tire & Rubber
30,021 Co ........................................
10,801 Lear Corp ............................
607 Visteon Corp .......................
Automobiles
370 AMERCO ............................
52,891 Ford Motor Co .....................
36,635 General Motors Co ..............
Banks
80,079 Bank of America Corp ........
Bank of New York Mellon
2,252 Corp .....................................
18,766 BB&T Corp .........................
6,300 CIT Group Inc .....................
54,059 Citigroup Inc .......................
37,657 Inc .......................................
12,015 Comerica Inc .......................
6,499 East West Bancorp Inc ........
20,424 Fifth Third Bancorp .............
Goldman Sachs Group
12,483 Inc .......................................
700 Home BancShares Inc .........
23,580 JPMorgan Chase & Co ........
13,100 KeyCorp ..............................
4,220 M&T Bank Corp .................
30,361 Morgan Stanley ...................
7,000 Northern Trust Corp ............
PNC Financial Services
10,200 Group Inc ............................
72,300 Regions Financial Corp .......
1,540 Signature Bank ....................
18,373 SunTrust Banks Inc .............
660 SVB Financial Group ..........
Fair Value
USD ‘000
Fund
%
4,026
1.52
2,344
517
0.89
0.20
508
39
0.19
0.02
740
2,558
395
768
0.28
0.97
0.15
0.29
585
0.22
38
0.01
72
0.03
990
1,201
48
0.38
0.45
0.02
132
714
1,151
0.05
0.27
0.44
1,083
0.41
83
624
195
2,257
0.03
0.24
0.07
0.85
789
455
211
341
0.30
0.17
0.08
0.13
1,960
29
1,396
145
468
759
456
0.74
0.01
0.53
0.05
0.18
0.29
0.17
863
568
210
663
67
0.33
0.21
0.08
0.25
0.03
Number
of Shares
Fair Value
USD ‘000
4,815 Synovus Financial Corp ......
45,073 Wells Fargo & Co ...............
2,800 Western Alliance Bancorp ..
Beverages
23,811 Coca-Cola Co .....................
Coca-Cola Enterprises
16,029 Inc .......................................
7,410 Inc .......................................
Molson Coors Brewing
3,192 Co .......................................
38,736 PepsiCo Inc .........................
Biotechnology
1,300 Acorda Therapeutics Inc .....
Alnylam Pharmaceuticals
3,600 Inc .......................................
19,758 Amgen Inc ..........................
510 Biogen Inc ..........................
Charles River Laboratories
1,720 International Inc ..................
29,540 Gilead Sciences Inc .............
8,402 Incyte Corp .........................
Intercept Pharmaceuticals
260 Inc .......................................
Regeneron Pharmaceuticals
621 Inc .......................................
United Therapeutics
6,146 Corp ....................................
Vertex Pharmaceuticals
3,011 Inc .......................................
Building Products
4,587 Masco Corp .........................
Chemicals
Air Products & Chemicals
3,580 Inc .......................................
1,300 Axiall Corp .........................
1,686 Celanese Corp .....................
CF Industries Holdings
2,152 Inc .......................................
414 Chemours Co ......................
7,959 Dow Chemical Co ...............
3,288 Ecolab Inc ...........................
EI du Pont de Nemours &
2,017 Co .......................................
5,900 Monsanto Co .......................
2,146 Mosaic Co ...........................
3,000 Olin Corp ............................
1,720 Sherwin-Williams Co .........
5,300 Westlake Chemical Corp ....
1,800 Advisory Board Co .............
7,518 Global Payments Inc ...........
561 Graham Holdings Co ..........
McGraw Hill Financial
2,580 Inc .......................................
5,132 PayPal Holdings Inc ...........
Fund
%
139
2,180
93
0.05
0.83
0.04
1,105
0.42
813
0.31
663
0.25
307
3,970
0.12
1.50
34
0.01
226
2,962
133
0.09
1.12
0.05
131
2,714
609
0.05
1.03
0.23
33
0.01
224
0.09
685
0.26
239
0.09
144
0.05
516
28
110
0.19
0.01
0.04
67
3
405
367
0.03
0.00
0.15
0.14
128
518
58
52
490
245
0.05
0.20
0.02
0.02
0.19
0.09
58
491
269
0.02
0.19
0.10
255
198
0.10
0.07
31 March 2016
Number
of Shares
Fair Value
USD ‘000
1,682
829
2,521
3,398
7,900
109,621
8,341
800
900
431
1,572
27,200
7,302
584
4,900
6,568
10,026
4,700
11,190
700
9,180
540
6,621
3,763
6,097
1,257
1,988
1,100
3,661
1,896
4,605
703
234
1,210
8,297
500
1,040
7,219
663
4,149
1,545
Robert Half International
Inc .......................................
Rollins Inc ...........................
United Rentals Inc ...............
Western Union Co ...............
3D Systems Corp .................
Apple Inc .............................
Brocade Communications
Systems Inc .........................
CACI International Inc ........
Cray Inc ...............................
DST Systems Inc .................
Fortinet Inc ..........................
HP Inc .................................
Machines Corp ....................
Leidos Holdings Inc ............
Lexmark International
Inc .......................................
NCR Corp ...........................
NetApp Inc ..........................
NetScout Systems Inc ..........
Synopsys Inc .......................
Virtusa Corp ........................
Western Digital Corp ..........
TopBuild Corp ....................
Crown Holdings Inc ............
Graphic Packaging Holding
Co ........................................
Owens-Illinois Inc ...............
Sonoco Products Co ............
WestRock Co ......................
Distributors
Core-Mark Holding Co
Inc .......................................
Fastenal Co ..........................
Genuine Parts Co .................
HD Supply Holdings Inc .....
LKQ Corp ...........................
Watsco Inc ...........................
Alliance Data Systems
Corp .....................................
American Express Co ..........
Ameriprise Financial Inc .....
CBOE Holdings Inc ............
E*Trade Financial Corp ......
FNF Group ..........................
FNFV Group .......................
Intercontinental Exchange
Inc .......................................
Fund
%
78
22
157
66
0.03
0.01
0.06
0.02
122
11,948
0.05
4.52
88
85
38
49
48
335
0.03
0.03
0.02
0.02
0.02
0.13
1,106
29
0.42
0.01
164
197
274
108
542
26
434
0.06
0.08
0.10
0.04
0.21
0.01
0.16
16
0.01
328
0.12
48
97
61
78
0.02
0.04
0.02
0.03
90
179
188
152
22
32
0.03
0.07
0.07
0.06
0.01
0.01
266
509
47
68
177
22
45
0.10
0.19
0.02
0.03
0.07
0.01
0.02
363
0.14
Number
of Shares
Fair Value
USD ‘000
7,100 MasterCard Inc ...................
NorthStar Asset
3,853 Management Group Inc ......
Santander Consumer USA
25,600 Holdings Inc .......................
15,963 Synchrony Financial ...........
3,246 T Rowe Price Group Inc .....
519 Visa Inc ...............................
Electric Utilities
34,760 AES Corp ............................
1,900 Ameren Corp ......................
American Electric Power Co
25,995 Inc .......................................
1,100 DTE Energy Co ..................
7,484 Duke Energy Corp ..............
17,549 Entergy Corp .......................
3,956 Eversource Energy ..............
2,902 Exelon Corp ........................
8,324 FirstEnergy Corp ................
677 Great Plains Energy Inc ......
13,704 NextEra Energy Inc ............
8,489 PG&E Corp .........................
Pinnacle West Capital
904 Corp ....................................
9,197 Southern Co ........................
2,668 TECO Energy Inc ...............
1,050 Acuity Brands Inc ...............
8,661 Agilent Technologies Inc ....
3,768 Amphenol Corp ..................
3,500 Arrow Electronics Inc .........
4,576 Avnet Inc ............................
1,900 Fitbit Inc .............................
1,660 Gentex Corp ........................
1,977 GoPro Inc ............................
Honeywell International
11,464 Inc .......................................
Keysight Technologies
6,540 Inc .......................................
3,000 Sanmina Corp .....................
1,200 First Solar Inc .....................
Entertainment
DreamWorks Animation
4,900 SKG Inc ..............................
3,020 Republic Services Inc .........
2,509 Waste Management Inc ......
Food Products
1,000 Dean Foods Co ...................
11,923 General Mills Inc ................
1,815 Hershey Co .........................
3,500 Hormel Foods Corp ............
Fund
%
671
0.25
44
0.02
269
457
238
40
0.10
0.17
0.09
0.01
410
95
0.15
0.04
1,726
100
604
1,229
1,391
231
104
299
22
1,622
507
0.65
0.04
0.23
0.46
0.53
0.09
0.04
0.11
0.01
0.61
0.19
68
476
73
0.03
0.18
0.03
229
345
218
225
203
29
26
24
0.09
0.13
0.08
0.08
0.08
0.01
0.01
0.01
1,285
0.49
181
70
0.07
0.02
82
0.03
122
0.05
144
148
0.05
0.06
17
755
167
151
0.01
0.29
0.06
0.06
31 March 2016
Number
of Shares
6,230
1,490
29,685
1,300
1,300
7,395
14,900
9,500
2,695
945
9,957
5,500
1,829
2,030
2,434
1,663
2,068
463
12,201
6,099
9,300
7,037
958
4,280
800
370
1,072
2,889
3,163
5,010
352
4,348
5,200
1,675
3,172
2,105
2,995
290
3,671
1,210
1,700
1,164
13,468
Fair Value
USD ‘000
Ingredion Inc .......................
665
JM Smucker Co ...................
193
Kroger Co ............................
1,135
Safeway Casa Ley Inc .........
1
Safeway Inc .........................
Sysco Corp ..........................
346
Tyson Foods Inc ..................
993
Whole Foods Market Inc .....
296
Gas Utilities
CenterPoint Energy Inc .......
56
National Fuel Gas Co ..........
47
NiSource Inc .......................
235
One Gas Inc .........................
336
Hand and Machine Tools
Lincoln Electric Holdings
Inc .......................................
107
Snap-on Inc .........................
319
Stanley Black & Decker
Inc .......................................
256
Baxter International Inc .......
68
Becton Dickinson and Co ....
314
Bio-Techne Corp .................
44
Boston Scientific Corp ........
230
Bruker Corp .........................
171
CR Bard Inc ........................
1,885
Edwards Lifesciences
Corp .....................................
621
Henry Schein Inc .................
165
Hologic Inc ..........................
148
ICU Medical Inc ..................
83
Intuitive Surgical Inc ...........
222
Patterson Cos Inc .................
50
ResMed Inc .........................
167
St Jude Medical Inc .............
174
Stryker Corp ........................
538
Teleflex Inc .........................
55
Thermo Fisher Scientific
Inc .......................................
616
VWR Corp ..........................
141
Aetna Inc .............................
188
Anthem Inc ..........................
441
Centene Corp .......................
130
Cigna Corp ..........................
411
DaVita HealthCare Partners
Inc .......................................
21
HCA Holdings Inc ...............
287
LifePoint Health Inc ............
84
Magellan Health Inc ............
115
Mednax Inc .........................
75
UnitedHealth Group
Inc .......................................
1,736
Fund
%
Number
of Shares
0.25
0.07
0.43
0.00
0.00
0.13
0.38
0.11
0.02
0.02
0.09
0.13
0.04
0.12
0.10
0.03
0.12
0.02
0.09
0.07
0.71
0.24
0.06
0.06
0.03
0.08
0.02
0.06
0.07
0.20
0.02
0.23
0.05
0.07
0.17
0.05
0.15
0.01
0.11
0.03
0.04
0.03
0.66
Fair Value
USD ‘000
Fund
%
Universal Health Services
2,517 Inc .......................................
314 0.12
WellCare Health Plans
400 Inc .......................................
37 0.01
19,000 Leucadia National Corp ......
307 0.12
Home Builders
8,200 DR Horton Inc ....................
248 0.09
483 NVR Inc ..............................
837 0.32
515 Thor Industries Inc ..............
33 0.01
Home Furnishings
771 Leggett & Platt Inc ..............
37 0.01
627 Polaris Industries Inc ..........
62 0.02
Household Products
2,658 Avery Dennison Corp .........
192 0.07
1,630 Church & Dwight Co Inc ....
150 0.06
2,314 Clorox Co ...........................
292 0.11
222 0.08
Insurance
5,041 Aflac Inc .............................
318 0.12
1,239 Alleghany Corp ...................
615 0.23
38,833 Allstate Corp .......................
2,616 0.99
American Equity Investment
3,600 Life Holding Co ..................
60 0.02
3,098 Inc .......................................
218 0.08
21,952 Group Inc ............................
1,187 0.45
AmTrust Financial Services
4,468 Inc .......................................
116 0.04
2,092 Arthur J Gallagher & Co .....
93 0.04
7,129 Berkshire Hathaway Inc ......
1,011 0.38
1,444 Brown & Brown Inc ...........
52 0.02
132 0.05
700 CNA Financial Corp ...........
23 0.01
Hanover Insurance Group
2,611 Inc .......................................
236 0.09
Hartford Financial Services
4,600 Group Inc ............................
212 0.08
400 Kemper Corp ......................
12 0.01
6,000 Lincoln National Corp ........
235 0.09
174 Markel Corp ........................
155 0.06
Principal Financial Group
14,710 Inc .......................................
580 0.22
555 0.21
8,308 Prudential Financial Inc ......
600 0.23
Reinsurance Group of
2,396 America Inc ........................
231 0.09
986 0.37
45,391 Voya Financial Inc ..............
1,351 0.51
4,221 WR Berkley Corp ...............
237 0.09
1,621 Alphabet Inc (Class A) .......
1,237 0.47
4,555 Alphabet Inc (Class C) ........
3,393 1.28
31 March 2016
Number
of Shares
Fair Value
USD ‘000
3,144
3,200
59,303
4,178
5,484
17,752
15,100
1,344
432
76,529
5,649
1,946
1,967
7,562
3,100
326
970
733
8,918
709
430
58,081
36,800
60,821
2,300
8,600
1,100
4,941
931
360
6,900
7,288
2,587
733
9,900
7,593
121,097
5,200
91
1,100
9,687
Amazon.com Inc .................
comScore Inc .......................
eBay Inc ..............................
Expedia Inc .........................
F5 Networks Inc ..................
Facebook Inc .......................
Groupon Inc ........................
Liberty Ventures ..................
Priceline Group Inc .............
Symantec Corp ....................
VeriSign Inc ........................
Yahoo! Inc ...........................
Lodging
Choice Hotels International
Inc .......................................
Hilton Worldwide Holdings
Inc .......................................
Machinery
Babcock & Wilcox
Enterprises Inc .....................
Graco Inc .............................
IDEX Corp ..........................
SPX FLOW Inc ...................
Xylem Inc ............................
Media
AMC Networks Inc .............
Cable One Inc ......................
Comcast Corp ......................
News Corp ...........................
Sirius XM Holdings Inc ......
Time Inc ..............................
Time Warner Inc .................
Tribune Media Co ...............
Viacom Inc ..........................
Walt Disney Co ...................
Metals and Mining
Compass Minerals
International Inc ..................
Colfax Corp .........................
General Electric Co .............
ITT Corp .............................
SPX Corp ............................
Trinity Industries Inc ...........
Office Electronics
Pitney Bowes Inc .................
Xerox Corp ..........................
Oil and Gas
Antero Resources Corp .......
California Resources
Corp .....................................
Carrizo Oil & Gas Inc .........
Chevron Corp ......................
Fund
%
1,866
96
1,415
450
580
2,026
60
53
557
1,407
500
72
0.71
0.04
0.53
0.17
0.22
0.77
0.02
0.02
0.21
0.53
0.19
0.03
106
0.04
170
0.06
66
27
80
18
365
0.02
0.01
0.03
0.01
0.14
46
188
3,548
470
240
36
624
42
204
92
0.02
0.07
1.34
0.18
0.09
0.01
0.24
0.02
0.08
0.03
26
0.01
197
232
95
11
181
0.07
0.09
0.04
0.00
0.07
164
1,351
0.06
0.51
129
0.05
34
924
0.00
0.01
0.35
Number
of Shares
Fair Value
USD ‘000
Cobalt International Energy
28,600 Inc .......................................
21,323 Devon Energy Corp ............
Diamond Offshore Drilling
3,700 Inc .......................................
15,300 EP Energy Corp ..................
33,956 Exxon Mobil Corp ..............
5,200 Gulfport Energy Corp .........
4,100 HollyFrontier Corp .............
17,900 Laredo Petroleum Inc ..........
85,300 Marathon Oil Corp ..............
Marathon Petroleum
20,894 Corp ....................................
Memorial Resource
5,200 Development Corp ..............
1,700 Murphy USA Inc ................
8,669 PBF Energy Inc ..................
14,400 QEP Resources Inc .............
4,900 Rice Energy Inc ..................
9,111 Tesoro Corp ........................
39,459 Valero Energy Corp ............
6,466 WPX Energy Inc .................
443 Dril-Quip Inc ......................
21,578 FMC Technologies Inc .......
3,900 NOW Inc ............................
Oceaneering International
7,292 Inc .......................................
Oil States International
1,874 Inc .......................................
Superior Energy Services
8,211 Inc .......................................
Targa Resources
12,700 Corp ....................................
10,498 International Paper Co ........
Personal Products
19,017 Procter & Gamble Co .........
Pharmaceuticals
8,000 AbbVie Inc .........................
5,120 Akorn Inc ............................
AmerisourceBergen
16,709 Corp ....................................
3,535 Baxalta Inc ..........................
8,100 Eli Lilly & Co .....................
Express Scripts Holding
10,843 Co .......................................
63,035 Johnson & Johnson .............
7,913 McKesson Corp ..................
20,322 Merck & Co Inc ..................
91,203 Pfizer Inc ............................
Portola Pharmaceuticals
900 Inc .......................................
5,186 Zoetis Inc ............................
Fund
%
85
585
0.03
0.22
80
69
2,838
147
145
142
950
0.03
0.03
1.07
0.06
0.05
0.05
0.36
777
0.29
53
104
288
203
68
784
2,531
45
0.02
0.04
0.11
0.08
0.03
0.30
0.96
0.02
27
590
69
0.01
0.22
0.03
242
0.09
59
0.02
110
0.04
379
0.15
431
0.16
1,565
0.59
457
120
0.17
0.05
1,446
143
1,524
583
0.55
0.05
0.58
0.22
745
6,820
1,244
1,075
2,703
0.28
2.58
0.47
0.41
1.02
18
230
0.01
0.09
31 March 2016
Number
of Shares
Fair Value
USD ‘000
3,003
28,500
16,243
488
1,186
1,197
4,215
2,411
1,361
498
1,406
1,796
1,565
2,342
1,881
361
652
856
2,025
15,166
1,400
4,189
285
1,757
9,400
3,352
2,334
1,278
2,562
2,509
2,927
8,508
11,200
2,966
595
372
597
Pipelines
Columbia Pipeline Group
Inc .......................................
Kinder Morgan Inc ..............
Real Estate
CBRE Group Inc .................
Four Corners Property Trust
Inc .......................................
Jones Lang LaSalle Inc .......
American Campus
Communities Inc .................
American Tower Corp .........
Annaly Capital Management
Inc .......................................
Inc .......................................
Boston Properties Inc ..........
Care Capital Properties
Inc .......................................
Communications Sales &
Leasing Inc ..........................
Crown Castle International
Corp .....................................
Equity LifeStyle Properties
Inc .......................................
Equity Residential ...............
Essex Property Trust Inc .....
Extra Space Storage Inc ......
Federal Realty Investment
Trust ....................................
General Growth Properties
Inc .......................................
HCP Inc ...............................
Macerich Co ........................
MFA Financial Inc ..............
Mid-America Apartment
Communities Inc .................
National Retail Properties
Inc .......................................
Paramount Group Inc ..........
Post Properties Inc ...............
Public Storage .....................
Realty Income Corp ............
Regency Centers Corp .........
Retail Properties of America
Inc .......................................
Senior Housing Properties
Trust ....................................
Simon Property Group
Inc .......................................
SL Green Realty Corp .........
Starwood Property Trust
Inc .......................................
Tanger Factory Outlet
Centers Inc ..........................
Taubman Centers Inc ..........
UDR Inc ..............................
Fund
%
75
509
0.03
0.19
468
0.18
9
139
0.00
0.05
56
431
0.02
0.16
25
0.01
259
63
0.10
0.02
38
0.02
40
0.02
135
0.05
170
141
84
61
0.07
0.05
0.03
0.02
134
0.05
60
494
111
29
0.02
0.19
0.04
0.01
29
0.01
81
150
200
644
80
192
0.03
0.06
0.08
0.24
0.03
0.07
40
0.02
52
0.02
1,767
1,085
0.67
0.41
56
0.02
22
26
23
0.01
0.01
0.01
Number
of Shares
Fair Value
USD ‘000
4,120 Ventas Inc ...........................
259
Weingarten Realty
3,064 Investors .............................
115
1,620 Welltower Inc .....................
112
6,360 Weyerhaeuser Co ................
197
Xenia Hotels & Resorts
7,100 Inc .......................................
111
Retail Trade
4,200 Ascena Retail Group Inc .....
46
570 AutoZone Inc ......................
454
8,800 Bed Bath & Beyond Inc ......
437
20,797 Best Buy Co Inc ..................
675
1,334 Big Lots Inc ........................
60
500 Children's Place Inc ............
42
Chipotle Mexican Grill
900 Inc .......................................
424
15,314 CVS Health Corp ................
1,589
604 Darden Restaurants Inc .......
40
Dick's Sporting Goods
2,343 Inc .......................................
110
3,426 Dollar General Corp ...........
293
3,479 Domino's Pizza Inc .............
459
9,211 Foot Locker Inc ..................
594
16,780 Home Depot Inc ..................
2,239
J Alexander's Holdings
875 Inc .......................................
9
600 Kohl's Corp .........................
28
2,489 L Brands Inc .......................
219
10,900 Liberty Interactive Corp ......
275
16,681 Lowe's Cos Inc ....................
1,264
8,992 McDonald's Corp ................
1,130
552 Nordstrom Inc .....................
32
490 O'Reilly Automotive Inc .....
134
4,800 PVH Corp ...........................
475
6,100 Ross Stores Inc ...................
353
2,000 Sears Holdings Corp ...........
31
27,728 Staples Inc ..........................
306
11,111 Starbucks Corp ...................
663
5,653 Target Corp .........................
465
804 Tiffany & Co ......................
59
Ulta Salon Cosmetics &
287 Fragrance Inc ......................
56
42,865 Wal-Mart Stores Inc ...........
2,936
3,800 World Fuel Services Corp ...
185
1,035 Yum! Brands Inc .................
85
Savings and Loans
5,700 EverBank Financial Corp ....
86
New York Community
6,040 Bancorp Inc .........................
96
People's United Financial
3,305 Inc .......................................
53
Advanced Micro Devices
35,000 Inc .......................................
100
Fund
%
0.10
0.04
0.04
0.08
0.04
0.02
0.17
0.17
0.26
0.02
0.02
0.16
0.60
0.02
0.04
0.11
0.17
0.23
0.85
0.00
0.01
0.08
0.10
0.48
0.43
0.01
0.05
0.18
0.13
0.01
0.12
0.25
0.18
0.02
0.02
1.11
0.07
0.03
0.03
0.04
0.02
0.04
31 March 2016
Number
of Shares
Fair Value
USD ‘000
864 Cree Inc ...............................
Cypress Semiconductor
10,068 Corp .....................................
67,495 Intel Corp ............................
2,983 Linear Technology Corp .....
5,381 NVIDIA Corp ......................
7,600 ON Semiconductor Corp .....
16,062 Qualcomm Inc .....................
1,300 Rovi Corp ............................
1,673 Skyworks Solutions Inc .......
Shipbuilding
Huntington Ingalls Industries
6,050 Inc .......................................
Software
5,300 Adobe Systems Inc ..............
Allscripts Healthcare
4,700 Solutions Inc .......................
3,200 Aspen Technology Inc ........
Broadridge Financial
1,493 Solutions Inc .......................
3,732 Cerner Corp .........................
14,630 Citrix Systems Inc ...............
11,852 Electronic Arts Inc ..............
1,404 Fiserv Inc .............................
Jack Henry & Associates
1,019 Inc .......................................
900 Medidata Solutions Inc ........
94,700 Microsoft Corp ....................
590 MicroStrategy Inc ................
24,524 Oracle Corp .........................
4,041 Paychex Inc .........................
7,673 Red Hat Inc .........................
600 Synnex Corp ........................
4,400 Verint Systems Inc ..............
3,600 VMware Inc ........................
29,900 Zynga Inc ............................
Telecommunications
1,500 Anixter International Inc .....
1,900 Arista Networks Inc ............
46,249 AT&T Inc ............................
20,766 CenturyLink Inc ..................
1,500 Ciena Corp ..........................
Fund
%
25
0.01
87
2,183
133
192
73
821
27
130
0.03
0.83
0.05
0.07
0.03
0.31
0.01
0.05
828
0.31
497
0.19
62
116
0.02
0.04
89
198
1,150
784
144
0.03
0.08
0.44
0.30
0.05
86
35
5,230
106
1,003
218
572
56
147
188
68
0.03
0.01
1.98
0.04
0.38
0.08
0.22
0.02
0.06
0.07
0.03
78
120
1,812
664
29
3,448
0.03
0.05
0.69
0.25
0.01
1.31
Number
of Shares
2,100
21,691
11,800
31,900
4,400
2,845
800
82,954
20,100
20,594
5,016
4,984
3,000
870
8,737
Fair Value
USD ‘000
Finisar Corp ........................
Juniper Networks Inc ..........
Polycom Inc ........................
Sprint Corp .........................
T-Mobile US Inc .................
Telephone & Data Systems
Inc .......................................
Ubiquiti Networks Inc ........
Inc .......................................
Viavi Solutions Inc .............
Textile and Apparel
NIKE Inc ............................
Transport
CH Robinson Worldwide
Inc .......................................
FedEx Corp .........................
Hub Group Inc ....................
Old Dominion Freight Line
Inc .......................................
United Parcel Service Inc ...
Fund
%
38
553
132
111
169
0.01
0.21
0.05
0.04
0.06
87
28
0.03
0.01
4,487
139
1.70
0.05
1,267
0.48
373
812
123
0.14
0.31
0.05
62
922
0.02
0.35
233,994 88.60
Textile and Apparel
Michael Kors Holdings
22,163 Ltd ......................................
Total Transferable
Securities ...........................
1,262
0.48
243,993 92.39
243,993 92.39
Ireland (9.48%)
24,995 Roll-Up Shares ..................
25,034
9.48
25,034
9.48
Total Investments
excluding Financial
269,027 101.87
Notional
Amount
USD ‘000
13,549
Average
Cost Price
USD
1,119.79
Unrealised
Gain (Loss)
USD ‘000
Fund
%
121 of Russell 1000 Mini Index Futures
Expiring June 2016 ...........................................................................................................
170
0.06
31 March 2016
Notional
Amount
USD ‘000
13,480
Average
Cost Price
USD
Unrealised
Gain (Loss)
USD ‘000
Fund
%
2,027.04
133 of S&P 500 E Mini Index Futures
Expiring June 2016 ...........................................................................................................
162
0.06
332
0.12
332
0.12
Fair Value
USD ‘000
Fund
%
269,359
101.99
(101.99%) ......................................................................................................................................................
(5,275)
(1.99)
264,084
100.00
Net Assets ..................................................................................................................................................
% of
gross assets
Transferable securities and money market instruments admitted to an official stock exchange listing .................
Investment funds (UCITS) .....................................................................................................................................
Exchange traded financial derivative instruments .................................................................................................
Other assets ............................................................................................................................................................
89.22
9.15
0.12
1.51
100.00
The broker for the open futures contracts is Merrill Lynch.
As at 31 March 2016
Level 1
USD ‘000
Assets
332
Total assets ...................................................................................... 244,324
Level 2
USD ‘000
Level 3
USD ‘000
25,034
25,034
Total
USD ‘000
1
1
243,993
25,034
332
269,359
As at 31 March 2015
Level 1
USD ‘000
Assets
43
Total assets ...................................................................................... 202,838
Level 2
USD ‘000
6,541
6,541
Level 3
USD ‘000
Total
USD ‘000
-
202,795
6,541
43
209,379
Russell Investment Company III Plc
Apple Inc
Johnson & Johnson
Wal-Mart Stores Inc
UnitedHealth Group Inc
Verizon Communications Inc
PepsiCo Inc
Pfizer Inc
Microsoft Corp
Altria Group Inc
Cisco Systems Inc
Citigroup Inc
Alphabet Inc (Class C)
Procter & Gamble Co
Gilead Sciences Inc
Symantec Corp
Comcast Corp
Home Depot Inc
Boeing Co
Acquisition Cost
USD ‘000
139,218
6,771
4,966
4,414
4,322
4,274
4,114
3,891
3,857
3,708
3,694
3,682
3,555
3,321
3,020
2,968
2,883
2,812
2,574
2,566
Disposal Proceeds
USD ‘000
Russell Investment Company III Plc
Microsoft Corp
General Dynamics Corp
UnitedHealth Group Inc
AbbVie Inc
Pfizer Inc
Apple Inc
Walgreens Boots Alliance Inc
Southwest Airlines Co
Intuit Inc
Merck & Co Inc
Procter & Gamble Co
Cameron International Corp
Cisco Systems Inc
Exxon Mobil Corp
Walt Disney Co
Home Depot Inc
Valero Energy Corp
Archer-Daniels-Midland Co
(120,738)
(3,118)
(3,114)
(3,016)
(2,990)
(2,980)
(2,877)
(2,706)
(2,460)
(2,430)
(2,368)
(2,328)
(2,313)
(2,288)
(2,263)
(2,246)
(2,241)
(2,223)
(2,205)
(2,126)
Russell U.S. Value Fund
Balance Sheet
As at 31 March 2015
31 March 2015*
USD ‘000
Assets
Cash at bank (Note 3) ...............................................................................................................................................
Liabilities
Payable on fund shares redeemed ..................................................................................................................
78
78
(48)
(1)
(2)
(15)
(12)
(78)
* As the Fund ceased trading 14 October 2014, final termination financial statements were prepared for the Fund for the year ended 31 March
2015. The Fund’s Balance Sheet, Profit and Loss Account and Statement of Changes in Net Assets Attributable to Redeemable Participating.
Shareholders are disclosed solely for presentation purposes only to correspond with the Company’s prior period combined financial statements.
182 The U.S. Value Fund
-
2015*
USD ‘000
Income
Dividends .......................................................................................................................................................
165
580
745
Expenses
Custodian and Trustee fees (Note 6) ..............................................................................................................
Audit fees (Note 6) .........................................................................................................................................
Other fees .......................................................................................................................................................
(101)
(1)
(9)
(16)
(15)
(15)
(27)
(184)
561
Taxation
Withholding tax (Note 9) ...............................................................................................................................
(47)
514
All amounts arose solely from terminating operations. There are no recognised gains or losses other than those dealt with in the Profit and Loss
Account.
* The Fund ceased trading 14 October 2014.
Russell U.S. Value Fund 183
For the year ended 31 March 2015.
2015*
USD ‘000
514
Share transactions
transactions (Note 10) ....................................................................................................................................
(28,553)
Total net increase (decrease) in net assets attributable to redeemable participating
shareholders ..............................................................................................................................................................
(28,039)
28,039
End of year .....................................................................................................................................................
-
* The Fund ceased trading 14 October 2014.
184 Russell U.S. Value Fund
Manager’s Report
Axiom International Investors, LLC
Harris Associates, L.P.
MFS Investment Management
Sustainable Growth Advisors, L.P.
Russell World Equity Fund (the “Fund”) seeks to achieve capital appreciation by investing predominantly in equity securities,
including common stock, convertibles and warrants, listed, traded or dealt in on any regulated market worldwide. The Fund may
also invest in new issues for which application for listing on a regulated market will be sought. The Fund may hold not more than
20 per cent of its net assets in equity securities of companies whose securities are listed, traded or dealt in on any regulated market
in the Emerging Markets (EM).
Fund Performance
During the year ended 31 March 2016, the Russell World Equity Fund (Class B) returned -2.1 per cent on a gross-of-fee basis
(-3.0 per cent on a net-of-fee basis), while the benchmark* returned -3.4 per cent.
Market Comment
Global equities, as measured by the benchmark, rose by 0.2 per cent in U.S. Dollar terms over the second quarter of 2015,
while the non-U.S. component rose by 0.5 per cent. Global markets gained in aggregate over the second quarter, despite
Greece’s sovereign-debt crisis casting a growing shadow over market sentiment. In the U.S., economic data trends were mixed
over the quarter, but evidence that the economy is bouncing back from its first quarter economic slowdown materialised by the
end of the period. Employment, consumption and housing data all improved markedly, supporting expectations for a first
interest rate hike later this year. Stocks rose marginally over the period, with the pace of subsequent rate hikes at the for efront
of investor concerns. Japanese equity markets performed well over the quarter, extending year-to-date gains. Better than
expected GDP growth in the first quarter and strong corporate earnings buoyed market sentiment. Meanwhile, continental
European stocks registered losses of 4.2 per cent in local currency terms (-0.6 per cent in U.S. Dollar terms), as worries over
Greece outweighed evidence that the Eurozone recovery was gaining momentum. In EM, Brazilian stocks rebounded in what
was a solid quarter overall for Latin American bourses. Meanwhile, China’s long bull market continued for much of the
quarter before concerns that the country’s stocks were overvalued led to a major sell -off in June.
Global equities, as measured by the benchmark, fell by 8.4 per cent over the third quarter of 2015. The non-U.S. component
fell by 12.1 per cent. Early in the quarter, the renewed bailout deal with Greece brought a degree of harmony in Europe. This
positive development soon became a distant memory, as two central stories unfolded over the period. In China, the country’s
devaluation of its currency, amid slowing growth, gave rise to a severe sell-off in global markets. This, in turn, became a lead
factor in preventing the U.S. Federal Reserve (the “Fed”) from raising its interest rate in September. The combination of these
major events engendered the fourth biggest quarterly increase in volatility in the past 10 years, as measured by the Chicago
Board Options Exchange Volatility Index. It also handed over renewed market uncertainty to the final quarter of this year.
Global equities, as measured by the benchmark, rose by 5.3 per cent over the last quarter of 2015 in U.S. Dollar terms. The
non-U.S. component rose by 3.9 per cent. Global Markets gained in aggregate over the fourth quarter as the negative effects of
China’s third quarter slowdown began to fade and the Fed moved towards policy tightening, exhibiting confidence in the
American economy’s steady recovery. In Europe, investors were slightly disappointed by the European Central Bank’s ( the
“ECB”) timid actions to quell sluggish growth, whilst the downward trend of the oil price weighed on EM. In Japan, equities
surged 9.2 per cent with the nation’s economy escaping a technical recession as third quarter GDP growth was revised upwards
from -0.8 per cent to +1.0 per cent on an annualised basis. The Bank of Japan also left its interest rate unchanged and would
continue to buy government bonds at an annual pace of JPY 80 trillion. EM had a positive quarter in aggregate, gaining 2.6 per
cent. China recovered well, with equity markets moving up by 9.3 per cent. While exports figures were poor, other domestic
economic data proved encouraging, including improving industrial production figures and retail sales, as well as annualised
GDP growth that exceeded expectations.
Global equities, as measured by the benchmark, fell by 0.2 per cent over the first quarter of 2016 in U.S. Dollar terms. The
non-U.S. component fell by 0.2 per cent. The period was characterised by two halves. In the first half, slowing grow th in China
coupled with an ongoing commodities rout (especially in oil), engendered significant market volatility and a considerable ris koff sentiment. However in the latter part of the quarter, more accommodative central bank policies alongside oil pric e
stabilisation, thawed sentiment for global equities to some degree. At the Federal Open Market Committee (FOMC) meeting,
Fed Chair Yellen explained that whilst economic “forecasts have not changed much since December”, this was being
overshadowed by “global economic and financial developments”, posing a risk to growth. As a result, FOMC “dots” reduced
to two possible interest rate hikes this year, as opposed to four. In Europe, ECB President Draghi delivered on his promise t o
do “whatever it takes” by introducing raft of new accommodative stimulus measures in an effort to boost Eurozone inflation
Russell World Equity Fund 185
and encourage new credit provision. The Central Bank reduced its main refinancing rate to 0.0 per cent, whilst quantitative
easing was increased to EUR 80 billion a month. In addition, the ECB initiated another targeted longer-term refinancing
operation (TLTRO II).
The Fund outperformed the benchmark in what proved to be a challenging second quarter of 2015 for glob al equity markets. A
combination of growth and value factors were rewarded in the prevailing market environment. This includes a factor tilt away
from high dividend yielding stocks. Underlying value strategies generated most notable returns despite headwin ds towards the
end of the quarter, with growth strategies adding further gains throughout. At the Fund level, stock selection within the
financial sector drove performance. Underweight exposure to Japan and selection within the U .K. weighed on more sizeable
outperformance for the Fund.
The Fund finished ahead of the benchmark in a third quarter of 2015 characterised by volatility and significant market declin e.
In this prevailing environment, our underlying defensive and growth strategies generated positiv e returns, whilst our value
Money Managers struggled to find meaningful traction. At a sector level, the Fund benefited from an al location tilt away from
energy, a sector which underperformed owing to lower commodity prices. Stock selection within the info rmation technology
sector was also positive. A key detractor to performance was U.K. materials company, Glencore, whose stock price fell as
questions were raised about the company’s financial health.
The Fund finished ahead of the benchmark in the fourth quarter of 2015. After an initial bounce in value, the period adopted
the wider theme prevalent during the year which saw growth and stocks with favourable price momentum, find more traction.
Technology stocks, such as Alphabet, Alibaba and Apple, drove performance. Stock picks in the industrials and materials
sectors detracted slightly. Stock selection in the U.S. generated most gains whilst an underweight allocation to Japan detracted.
The Fund finished behind the benchmark in the first quarter of 2016. From a factor perspective, holdings within the small cap
space generated some alpha, however a tilt away from the higher dividend yield spectrum detracted. In sectors, health care
contributed through an exposure away from struggling names such as Valeant Pharmaceuticals. Overall stock selection within
the industrials and materials sectors was also beneficial. However, names within financials and underweight allocation toward s
energy, utilities and telecommunications, pulled back gains. In regions, holdings in the U.S. offset positive performance from
stocks in the U.K.
Outlook
Global markets got off to a rough start in 2016. By mid-February global developed equities had lost nearly 20 per cent from
their 2015 peak. They rebounded by around 10 per cent by mid-March, but we expect volatility to be a headline throughout
2016. This volatility will continue to be driven by China fears, the Fed’s monetary tightening, U.S. recession concerns, bank
balance sheet worries, and soft corporate profits. Moreover, the move to negative interest rates in Europe and Japan has
triggered fears that Central Banks have run out of easing options. Negative rates also tend to squeeze the margin between
banks’ borrowing and lending rates. This squeeze could, in turn, hurt bank profit ability, and end up making things worse for
the markets. In our 2016 Global Market Outlook Annual report, we forecast mid -to-low single digit returns for global equities,
along with a gradual rise in long-term interest rates. We’re holding to that view, with the exception we think equity growth is
more likely to be in the low single digits. Moreover, we’re now seeing corporate profits weakening, softness in global trade
and manufacturing, and slightly higher risks for EM. These elements all contribute to a less supportive environment for
equities. That said, we’re not forecasting a sustained bear market, provided the U.S. does not fall into recession. Right now we
see recession as a low probability over the next several years. It’s true we’re deep into the c urrent business cycle, but we’re not
seeing excesses in the U.S. economy that could trigger recession.
* Benchmark Source: Russell Global Large Cap Net Index
May 2016
186 Russell World Equity Fund
Balance Sheet
As at 31 March 2016
31 March 2016
USD ‘000
Assets
Cash at bank (Note 3) ........................................................................................................
(Note 3) ..............................................................................................................................
Debtors:
Dividends receivable .............................................................................................................
Liabilities
Financial liabilities at fair value through profit or loss (Note 2) ........................................
Cash due to brokers and counterparties for open financial derivative positions ....................
Distributions payable on income share classes ......................................................................
Net assets attributable to redeemable participating shareholders ............................
31 March 2015
USD ‘000
1,853,279
2,801,356
2,127
13,936
-
10,550
17,320
9,090
3,728
1,885,544
9,183
1,626
5,635
2,842,286
(9,543)
(18,814)
(1,269)
(1,929)
(73,644)
(45)
(1,617)
(17)
(54)
(52)
(25)
(7)
(88,202)
(11,494)
(275)
(622)
(2,399)
(32)
(70)
(95)
(24)
(23)
(33,848)
1,797,342
2,808,438
2016
USD ‘000
Income
Dividends ..............................................................................................................................
2015
USD ‘000
43,954
61,262
(59,771)
150,064
(15,817)
211,326
Expenses
(22,362)
Custodian and Trustee fees (Note 6) .....................................................................................
(156)
Sub-custodian fees (Note 6) ..................................................................................................(note 3) (404)
Administration and transfer agency fees (Note 6) .................................................................
(681)
Audit fees (Note 6) ................................................................................................................
(25)
Professional fees ....................................................................................................................
(126)
Other fees ..............................................................................................................................
(84)
(23,838)
(30,135)
(211)
(471)
(853)
(24)
(185)
(178)
(32,057)
(39,655)
179,269
Finance costs
Distributions (Note 8) ............................................................................................................
Profit (loss) for the financial year before taxation ......................................................
(12,260)
(51,915)
(17,471)
161,798
Taxation
Withholding tax (Note 9) ......................................................................................................
(8,091)
(10,787)
(60,006)
151,011
Account.
2016
USD ‘000
2015
USD ‘000
(60,006)
151,011
Share transactions
11,503
15,584
(962,593)
(800,035)
(1,011,096)
(633,440)
Beginning of year ..................................................................................................................
2,808,438
3,441,878
End of year ............................................................................................................................
1,797,342
2,808,438
31 March 2016
Number
of Shares
1,099,445
365,800
30,854
62,300
185,200
23,430
3,458
25,541
14,480
21,537
2,377
24,794
45,425
312,100
401,800
22,521
696,900
51,000
4,881
372,100
212,440
92,961
47,800
89,682
19,300
93,000
410,300
Fair Value
USD ‘000
Fund
%
Number
of Shares
Transferable Securities (100.49%) (2015:
96.84%)
Common Stock (99.82%) (2015: 96.12%)
Australia (1.40%)
Airlines
Qantas Airways Ltd .............
3,442 0.19
Building Products
CSR Ltd ..............................
929 0.05
Brambles Ltd .......................
288 0.02
CIMIC Group Ltd ...............
1,666 0.09
Downer EDI Ltd ..................
547 0.03
Amcor Ltd ...........................
259 0.01
ASX Ltd ..............................
110 0.01
Entertainment
Tatts Group Ltd ...................
74 0.00
Food Products
Wesfarmers Ltd ...................
462 0.03
Woolworths Ltd ..................
366 0.02
Washington H Soul
Pattinson & Co Ltd ..............
31 0.00
Flight Centre Travel Group
Ltd .......................................
825 0.04
Insurance
Insurance Australia Group
Ltd .......................................
195 0.01
Iron and Steel
BlueScope Steel Ltd ............
1,486 0.08
Lodging
Star Entertainment Grp
Ltd .......................................
1,756 0.10
Metals and Mining
BHP Billiton Ltd .................
292 0.02
Evolution Mining Ltd ..........
815 0.05
Mineral Resources Ltd ........
236 0.01
New Hope Corp Ltd ............
5 0.00
Northern Star Resources
Ltd .......................................
982 0.05
OZ Minerals Ltd ..................
822 0.05
Sandfire Resources NL ........
408 0.02
Oil and Gas
Caltex Australia Ltd ............
1,251 0.07
Woodside Petroleum
Ltd .......................................
1,791 0.10
Dexus Property Group .........
118 0.01
Mirvac Group ......................
138 0.01
Vicinity Centres ..................
1,007 0.05
Fair Value
USD ‘000
Retail Trade
66,100 JB Hi-Fi Ltd ........................
Software
1,353,199 MYOB Group Ltd ...............
Telecommunications
84,372 Telstra Corp Ltd ..................
Austria (0.13%)
Banks
82,519 Erste Group Bank AG .........
Transport
Oesterreichische Post
651 AG ......................................
32,703
58,533
1,330
2,467
23,834
8,605
45,399
135,600
70,114
854
2,500
5,322
48,140
238,300
216,500
3,100
8,784,000
Belgium (0.29%)
Beverages
SA/NV ................................
AGFA-Gevaert NV .............
Other Finance
Groupe Bruxelles Lambert
SA .......................................
Telecommunications
Proximus SADP ..................
Transport
bpost SA .............................
Bermuda (0.86%)
Banks
Credicorp Ltd ......................
Insurance
Aspen Insurance Holdings
Ltd ......................................
Assured Guaranty Ltd .........
Ltd ......................................
Endurance Specialty
Holdings Ltd .......................
Everest Re Group Ltd .........
Hiscox Ltd ..........................
Validus Holdings Ltd ..........
Real Estate
Hongkong Land Holdings
Ltd ......................................
Kerry Properties Ltd ...........
Telecommunications
VTech Holdings Ltd ...........
Textile and Apparel
China Hongxing Sports
Ltd ......................................
Fund
%
1,199
0.07
3,404
0.19
346
0.02
25,250
1.40
2,323
0.13
27
0.00
2,350
0.13
4,071
0.23
262
0.01
110
0.01
84
0.00
663
0.04
5,190
0.29
1,127
0.06
2,166
3,431
0.12
0.19
3,889
0.22
56
494
74
2,272
0.00
0.03
0.00
0.13
1,427
597
0.08
0.03
37
0.00
-
0.00
15,570
0.86
31 March 2016
Number
of Shares
Fair Value
USD ‘000
Brazil (0.64%)
Banks
Itau Unibanco Holding SA
560,979 ADR ....................................
Beverages
539,732 Ambev SA ...........................
721,990 Ambev SA ADR .................
78,500
4,780
2,689
16,835
783
5,609
2,547
12,800
6,973
18,700
6,900
6,515
5,448
1,818
2,985
6,367
20,325
18,100
41,900
102,800
45,555
8,900
7,292
3,993
Canada (1.16%)
Advertising
Aimia Inc .............................
Banks
Commerce ...........................
CI Financial Corp ................
Food Products
George Weston Ltd .............
Insurance
Genworth MI Canada
Inc .......................................
Great-West Lifeco Inc .........
Intact Financial Corp ...........
Media
Cogeco Communications
Inc .......................................
Thomson Reuters Corp ........
Metals and Mining
Barrick Gold Corp ...............
Dominion Diamond Corp ....
Oil and Gas
ARC Resources Ltd .............
Husky Energy Inc ................
Vermilion Energy Inc ..........
Pipelines
Keyera Corp ........................
Pembina Pipeline Corp ........
Boardwalk Real Estate
Cominar Real Estate
Dream Office Real Estate
H&R Real Estate Investment
Trust ....................................
Smart Real Estate
Retail Trade
Canadian Tire Corp Ltd .......
Telecommunications
BCE Inc ...............................
TELUS Corp .......................
Fund
%
Number
of Shares
Fair Value
USD ‘000
Transport
Canadian National Railway
163,436 Co .......................................
4,819
0.27
2,866
3,740
0.16
0.21
11,425
0.64
513
0.03
359
0.02
60
0.00
1,513
0.08
19
155
179
0.00
0.01
0.01
685
282
0.04
0.01
499,593 Tencent Holdings Ltd .........
Lodging
276,800 Sands China Ltd ..................
0.01
0.01
95
68
53
0.01
0.00
0.00
91
173
0.01
0.01
814
0.05
241
0.01
672
0.04
1,668
0.09
1,195
0.07
930
0.05
334
131
0.02
0.01
10,208
0.57
20,769
1.16
10,209
0.57
1,126
0.06
11,335
0.63
China (0.08%)
Insurance
Ping An Insurance Group Co
293,500 of China Ltd ........................
1,406
0.08
Banks
5,175 Komercni Banka AS ...........
1,145
0.06
5,258
0.29
1,612
0.09
3,187
0.18
38
0.00
9,546
0.53
19,641
1.09
386
0.02
5,530
0.31
222
0.01
4,968
372
0.28
0.02
18,253
2,102
1.01
0.12
8,373
0.47
2,515
0.14
55,087
22,810
47,393
254
77
Fund
%
1,961
175,713
Denmark (1.09%)
Beverages
Carlsberg A/S .....................
Vestas Wind Systems
A/S ......................................
Food Products
Chr Hansen Holding A/S ....
Insurance
Tryg A/S .............................
Pharmaceuticals
Novo Nordisk A/S ..............
Finland (0.02%)
Insurance
8,108 Sampo OYJ .........................
126,143
23,300
289,480
3,740
362,150
56,780
74,977
22,318
France (6.06%)
Advertising
JCDecaux SA ......................
Airlines
Air France-KLM .................
Automobiles
Peugeot SA .........................
Renault SA ..........................
Banks
BNP Paribas SA ..................
Societe Generale SA ...........
Beverages
Pernod Ricard SA ...............
Chemicals
Air Liquide SA ...................
31 March 2016
Number
of Shares
Fair Value
USD ‘000
39,390 Atos SE ...............................
88,716 Legrand SA .........................
98,281 Schneider Electric SE ..........
Food Products
323,914 Danone SA ..........................
Insurance
126,675 AXA SA ..............................
274 Euler Hermes Group ............
Lodging
35,479 Accor SA .............................
Media
Metropole Television
1,314 SA .......................................
Societe Television
2,266 Francaise 1 ..........................
Retail Trade
61,700 Kering .................................
Textile and Apparel
12,863 Christian Dior SE ................
2,874 Hermes International ...........
LVMH Moet Hennessy
58,911 Louis Vuitton SE .................
40,662
30,214
187,650
38,122
52,472
19,763
35,483
38,126
31,323
75,400
1,075
14,147
144,278
49,149
Germany (5.17%)
MTU Aero Engines
AG .......................................
Automobiles
Bayerische Motoren Werke
AG .......................................
Daimler AG .........................
Chemicals
Brenntag AG .......................
Linde AG .............................
Gerresheimer AG ................
Deutsche Boerse AG ...........
OSRAM Licht AG ..............
Food Products
Metro AG ............................
Insurance
Allianz SE ...........................
Hannover Rueck SE ............
Muenchener
RueckversicherungsGesellschaft AG .................
Pharmaceuticals
Bayer AG ............................
Merck KGaA .......................
Fund
%
Number
of Shares
Software
90,236 SAP SE ADR ......................
Telecommunications
484,382 Deutsche Telekom AG ........
Textile and Apparel
17,739 Adidas AG ..........................
3,213
0.18
4,978
6,220
0.28
0.34
23,073
1.28
2,987
25
0.17
0.00
14,100
1,506
0.08
70,000
24
0.00
29
0.00
11,046
0.62
2,336
1,013
0.13
0.06
4,424
10,103
0.56
151,000
108,888
6.06
1,607
469,000
2,509,998
27,000
263,200
145,000
3,906
0.22
505,500
0.16
0.80
24,809
2,181
7,657
0.12
0.43
India (0.32%)
Banks
92,544 HDFC Bank Ltd ADR ........
1,552
0.09
3,032
0.17
198,335
1,968
0.11
8,013
972
0.05
135,845
12,283
125
0.68
0.01
137,318
2,882
0.16
16,984
4,106
0.94
0.23
222
Fund
%
7,257
0.40
8,707
0.48
2,082
0.12
92,879
5.17
Hong Kong (1.29%)
Banks
Hang Seng Bank Ltd ...........
250 0.01
Electric Utilities
CLP Holdings Ltd ...............
634 0.04
Power Assets Holdings
Ltd ......................................
16 0.00
Wharf Holdings Ltd ............
2,564 0.14
Insurance
AIA Group Ltd ...................
14,222 0.79
Media
Ltd ......................................
16 0.00
Real Estate
Hysan Development Co
Ltd ......................................
643 0.03
Sun Hung Kai Properties
Ltd ......................................
330 0.02
Swire Properties Ltd ...........
714 0.04
Wheelock & Co Ltd ............
648 0.04
Link REIT ...........................
2,995 0.17
Transport
MTR Corp Ltd ....................
122 0.01
2,779
14,406
Fair Value
USD ‘000
23,154
1.29
5,703
0.32
Ireland (1.76%)
Building Products
CRH Plc ..............................
5,612
James Hardie Industries
Plc .......................................
110
Accenture Plc ......................
15,677
Medtronic Plc .....................
10,299
Insurance
XL Group Plc ......................
8
Israel (0.54%)
Banks
292,289 Bank Hapoalim BM ............
0.31
0.01
0.87
0.57
0.00
31,706
1.76
1,516
0.08
31 March 2016
Number
of Shares
Fair Value
USD ‘000
Bank Leumi Le-Israel
242,566 BM ......................................
300,455 Israel Discount Bank Ltd .....
Pharmaceuticals
Taro Pharmaceutical
1,500 Industries Ltd ......................
Teva Pharmaceutical
68,100 Industries Ltd ADR .............
Software
Check Point Software
33,764 Technologies Ltd .................
Italy (0.62%)
Banks
1,340,201 Intesa Sanpaolo SpA ...........
169,290 Prysmian SpA ......................
Oil and Gas
237,320 Eni SpA ...............................
3,500
14,300
252,400
236,900
408,900
33,300
27,900
87,200
200,000
148,900
27,300
2,147,000
81,600
1,000
42,000
Japan (4.66%)
Advertising
Asatsu-DK Inc .....................
Agriculture
Japan Tobacco Inc ...............
Automobiles
Fuji Heavy Industries Ltd ....
Toyota Motor Corp ..............
Banks
Mitsubishi UFJ Financial
Group Inc ............................
Sumitomo Mitsui Financial
Group Inc ............................
Beverages
Coca-Cola West Co Ltd ......
Chemicals
Mitsubishi Chemical
Holdings Corp .....................
Toppan Printing Co Ltd .......
Hazama Ando Corp .............
Distributors
Canon Marketing Japan
Inc .......................................
Daiwa Securities Group
Inc .......................................
Hoya Corp ...........................
Entertainment
Sankyo Co Ltd .....................
Food Products
Morinaga & Co Ltd .............
Fund
%
870
508
0.05
0.03
215
0.01
3,644
0.21
2,953
0.16
9,706
0.54
3,717
0.21
3,841
0.21
3,597
0.20
11,155
0.62
90
0.01
597
0.03
8,926
12,545
0.49
0.70
1,897
0.10
1,011
0.06
692
0.04
456
0.02
1,680
0.09
726
0.04
478
0.03
13,225
0.74
3,108
0.17
37
0.00
214
0.01
Number
of Shares
Fair Value
USD ‘000
Nippon Suisan Kaisha
235,100 Ltd ......................................
Home Builders
69,000 Haseko Corp .......................
Iida Group Holdings Co
61,200 Ltd ......................................
109,000 Tokyo Dome Corp ..............
Iron and Steel
Tokyo Steel Manufacturing
175,300 Co Ltd .................................
Machinery
36,600 Amada Holdings Co Ltd .....
106,500 Nikon Corp .........................
Office Electronics
14,700 Canon Inc ............................
Oil and Gas
64,100 Inpex Corp ..........................
Pharmaceuticals
Kaken Pharmaceutical Co
31,600 Ltd ......................................
Mitsubishi Tanabe Pharma
26,100 Corp ....................................
Sumitomo Dainippon
40,800 Pharma Co Ltd ....................
Takeda Pharmaceutical Co
11,300 Ltd ......................................
Real Estate
Daito Trust Construction Co
1,800 Ltd ......................................
Retail Trade
8,000 Lawson Inc .........................
15,170 Ryohin Keikaku Co Ltd ......
Shipbuilding
Mitsui Engineering &
466,000 Shipbuilding Co Ltd ...........
Telecommunications
Nippon Telegraph &
242,800 Telephone Corp ..................
326,700 NTT Docomo Inc ................
Toys, Games and Hobbies
18,630 Nintendo Co Ltd .................
Transport
Central Japan Railway
10,400 Co .......................................
Advertising
436,246 WPP Plc ..............................
Auto Components
51,168 Delphi Automotive Plc .......
Metals and Mining
7,662,000 Glencore Plc .......................
Fund
%
1,144
0.07
643
0.03
1,195
0.07
495
0.03
1,045
0.06
358
0.02
1,632
0.09
439
0.02
487
0.03
1,915
0.11
454
0.02
470
0.03
516
0.03
256
0.01
670
3,212
0.04
0.18
697
0.04
10,473
7,419
0.58
0.42
2,652
0.15
1,842
0.10
83,696
4.66
10,202
0.57
3,839
0.21
17,323
0.96
31,364
1.74
31 March 2016
Number
of Shares
Fair Value
USD ‘000
Fund
%
Personal Products
20,533 Amorepacific Corp ..............
6,939
LG Household & Health
3,068 Care Ltd ...............................
2,535
13,196 Ltd .......................................
15,139
Luxembourg (0.03%)
75,100 Subsea 7 SA ........................
Mexico (0.31%)
Banks
Grupo Financiero Banorte
375,018 SAB de CV ..........................
Beverages
Fomento Economico
Mexicano SAB de CV
36,280 ADR ....................................
69,338
98,813
284,359
173,712
2,137,500
44,954
103,190
1,077,999
Netherlands (3.00%)
Beverages
Heineken NV .......................
Chemicals
Akzo Nobel NV ...................
Food Products
Koninklijke Ahold NV ........
Insurance
NN Group NV .....................
Machinery
CNH Industrial NV .............
Core Laboratories NV .........
Personal Products
Unilever NV ........................
Telecommunications
Koninklijke KPN NV ..........
New Zealand (0.01%)
Auckland International
17,570 Airport Ltd ..........................
Electric Utilities
7,051 Contact Energy Ltd .............
Norway (0.42%)
Metals and Mining
777,000 Norsk Hydro ASA ...............
Oil and Gas
46,260 Statoil ASA .........................
0.39
0.14
0.84
24,613
1.37
569
0.03
2,143
Number
of Shares
Panama (0.70%)
238,300 Carnival Corp .....................
Puerto Rico (0.06%)
Banks
38,100 Popular Inc ..........................
0.12
5,100
3,494
0.19
5,637
0.31
6,293
0.35
6,745
0.37
28,700
6,406
0.36
15,830
5,692
0.32
1,150,800
14,554
0.81
5,053
0.28
148,000
11,600
4,631
0.26
38,100
4,524
0.25
53,898
3.00
13,200
13,800
24
0.00
102
0.01
3,201
0.18
729
0.04
Fund
%
30
0.00
3,519
0.20
7,479
0.42
12,575
0.70
1,090
0.06
Singapore (0.29%)
Airlines
Singapore Airlines Ltd ........
1,229
SIA Engineering Co Ltd .....
14
SATS Ltd ............................
39
Singapore Exchange Ltd .....
81
Media
Singapore Press Holdings
Ltd ......................................
85
Broadcom Ltd .....................
2,446
Shipbuilding
Yangzijiang Shipbuilding
Holdings Ltd .......................
838
Telecommunications
Singapore
Telecommunications Ltd ....
418
StarHub Ltd ........................
29
Transport
ComfortDelGro Corp Ltd ...
83
Food Products
422,767 Shoprite Holdings Ltd .........
Media
22,928 Naspers Ltd .........................
0.01
TGS Nopec Geophysical Co
1,938 ASA ....................................
Telecommunications
217,403 Telenor ASA .......................
144,900
78
Fair Value
USD ‘000
Spain (0.21%)
ACS Actividades de
Construccion y Servicios
6,200 SA .......................................
18,285 Aena SA ..............................
640 Tecnicas Reunidas SA ........
0.07
0.00
0.00
0.00
0.00
0.14
0.05
0.03
0.00
0.00
5,262
0.29
4,991
0.28
3,213
0.18
8,204
0.46
185
2,364
18
0.01
0.13
0.00
31 March 2016
Number
of Shares
Fair Value
USD ‘000
Gamesa Corp Tecnologica
57,440 SA .......................................
37,641
7,376
164,940
461,509
1,137
0.07
3,704
0.21
Sweden (1.03%)
Intrum Justitia AB ...............
1,330
Skanska AB .........................
169
Metals and Mining
Boliden AB .........................
2,643
Personal Products
Svenska Cellulosa AB
SCA .....................................
14,443
18,585
1,348
938,317
484,103
280,725
14,638
82,261
104
3,080
345,296
256,234
24,655
1,758
32,351
10,179
24,085
36,403
64,691
35,427
226,886
444
Fund
%
Switzerland (6.91%)
Auto Components
Georg Fischer AG ...............
1,094
Banks
Credit Suisse Group
AG .......................................
13,335
UBS Group AG ...................
7,830
Building Products
LafargeHolcim Ltd ..............
13,259
Chemicals
Lonza Group AG .................
2,487
Adecco SA ..........................
5,382
SGS SA ...............................
221
GAM Holding AG ...............
45
Julius Baer Group
Ltd .......................................
14,891
Food Products
Nestle SA ............................
19,225
Sonova Holding AG ............
3,162
Insurance
Holdings AG .......................
61
Chubb Ltd ...........................
3,855
Swiss Life Holding AG .......
2,718
Swiss Re AG .......................
2,236
Pharmaceuticals
Actelion Ltd ........................
5,462
Novartis AG ........................
4,708
Roche Holding AG ..............
8,756
Retail Trade
SA .......................................
15,056
Telecommunications
Swisscom AG ......................
242
0.07
Number
of Shares
Fair Value
USD ‘000
Transport
Kuehne & Nagel
992 International AG .................
0.15
60,675
0.80
10,996
132,320
1.03
359,618
0.06
723,446
0.74
0.44
20,637
146,046
0.74
302,535
0.14
627,888
0.30
0.01
0.00
0.83
19,071
79,860
17,863
63,033
1.07
154,781
0.18
143,046
0.00
0.22
0.15
0.12
135,671
54,276
347,242
0.30
0.26
0.49
63,880
132,713
0.84
0.01
142
0.01
124,167
6.91
1,229
0.07
444
0.03
646
7,347
0.04
0.41
2,443
0.14
19,564
1.09
357
0.02
1,519
0.08
1,422
0.08
11,082
0.62
154
0.01
3,694
535
172
0.20
0.03
0.01
14,972
0.83
14,941
0.83
760
0.04
3,089
0.17
5,111
0.28
1,795
0.10
3,227
0.18
1,918
0.11
386
0.02
Thailand (0.07%)
Banks
247,100 Kasikornbank PCL ..............
0.01
292,399
20,076
Fund
%
BAE Systems Plc ................
Agriculture
Plc .......................................
Imperial Brands Plc ............
Banks
Standard Chartered Plc .......
Beverages
Diageo Plc ..........................
Berendsen Plc .....................
Distributors
Inchcape Plc ........................
Entertainment
William Hill Plc ..................
Food Products
Compass Group Plc ............
Home Builders
Barratt Developments Plc ...
Berkeley Group Holdings
Plc .......................................
Persimmon Plc ....................
Taylor Wimpey Plc .............
Household Products
Plc .......................................
Insurance
Aon Plc ...............................
Auto Trader Group Plc .......
Lodging
Whitbread Plc .....................
Media
Sky Plc ................................
Metals and Mining
Rio Tinto Plc .......................
Oil and Gas
Royal Dutch Shell Plc .........
Other Finance
3i Group Plc ........................
Mondi Plc ...........................
31 March 2016
Number
of Shares
Fair Value
USD ‘000
Pharmaceuticals
8,592 AstraZeneca Plc ..................
482
26,247 GlaxoSmithKline Plc ...........
533
177,823 Indivior Plc ..........................
417
20,110 Derwent London Plc ............
911
Great Portland Estates
131,505 Plc .......................................
1,376
43,200 Hammerson Plc ...................
359
Retail Trade
2,971 Next Plc ...............................
231
386,046 ARM Holdings Plc ..............
5,626
Textile and Apparel
179,207 Burberry Group Plc .............
3,516
Transport
319,100 Royal Mail Plc .....................
2,205
111,234
73,317
2,325
2,895
4,901
96,400
89,960
95,076
29,700
7,356
11,963
198,600
9,970
27,970
391,400
244,137
284,700
234,266
86,554
144,700
30,500
95,000
Advertising
Omnicom Group Inc ............
Boeing Co ...........................
Raytheon Co ........................
Spirit AeroSystems Holdings
Inc .......................................
United Technologies
Corp .....................................
Agriculture
Altria Group Inc ..................
Bunge Ltd ............................
Inc .......................................
Reynolds American Inc .......
Airlines
Delta Air Lines Inc ..............
Auto Components
Lear Corp ............................
WABCO Holdings Inc ........
Automobiles
General Motors Co ..............
Banks
Bank of New York Mellon
Corp .....................................
Citigroup Inc .......................
Inc .......................................
Goldman Sachs Group
Inc .......................................
JPMorgan Chase & Co ........
KeyCorp ..............................
Morgan Stanley ...................
Fund
%
Number
of Shares
0.03
0.03
0.02
0.05
0.08
0.02
0.01
0.31
0.20
0.12
6.19
6,102
0.34
295
641
601
0.02
0.04
0.03
4,373
0.24
9,005
0.50
5,957
1,683
0.33
0.10
722
602
0.04
0.04
9,668
0.54
1,108
2,991
0.06
0.17
12,302
0.68
8,992
11,886
0.50
0.66
4,908
0.27
13,587
8,569
337
2,376
0.76
0.48
0.02
0.13
Fair Value
USD ‘000
170,372 State Street Corp .................
202,400 Wells Fargo & Co ...............
Beverages
15,582 Coca-Cola Co .....................
28,400 Coca-Cola Enterprises Inc ..
25,800 Constellation Brands Inc .....
3,815 Inc .......................................
37,912 PepsiCo Inc .........................
Biotechnology
81,412 Amgen Inc ..........................
115,180 Gilead Sciences Inc .............
Regeneron Pharmaceuticals
10,321 Inc .......................................
33,100 United Therapeutics Corp ...
Building Products
22,500 Lennox International Inc .....
Chemicals
International Flavors &
69,852 Fragrances Inc .....................
55,166 Monsanto Co .......................
45,827 Praxair Inc ..........................
Automatic Data Processing
6,181 Inc .......................................
35,688 FleetCor Technologies Inc ..
65,100 Global Payments Inc ...........
75,464 PayPal Holdings Inc ...........
66,800 Amdocs Ltd ........................
146,210 Apple Inc ............................
Brocade Communications
320,300 Systems Inc .........................
7,754 CACI International Inc .......
27,400 HP Inc .................................
30,643 IHS Inc ................................
3,898 Machines Corp ....................
34,700 NCR Corp ...........................
21,000 Sykes Enterprises Inc ..........
6,970 Synopsys Inc .......................
756 TopBuild Corp ....................
173,000 Berry Plastics Group Inc .....
Distributors
18,592 WW Grainger Inc ...............
111,691 American Express Co .........
3,900 Ameriprise Financial Inc ....
14,120 BlackRock Inc ....................
145,358 Franklin Resources Inc .......
364,214 Visa Inc ...............................
Fund
%
9,970
9,788
0.56
0.54
723
1,441
3,898
0.04
0.08
0.22
341
3,885
0.02
0.21
12,206
10,580
0.68
0.59
3,720
3,688
0.21
0.20
3,042
0.17
7,947
4,840
5,245
0.44
0.27
0.29
554
5,309
4,251
2,913
0.03
0.30
0.24
0.16
4,036
15,935
0.22
0.89
3,389
827
338
3,805
0.19
0.05
0.02
0.21
590
1,039
634
338
0.03
0.06
0.03
0.02
22
0.00
6,254
0.35
4,340
0.24
6,858
367
4,809
5,676
27,855
0.38
0.02
0.27
0.32
1.55
31 March 2016
Number
of Shares
Fair Value
USD ‘000
Electric Utilities
39,900 Ameren Corp .......................
1,999
American Electric Power Co
74,200 Inc .......................................
4,927
6,384
38,098 Entergy Corp .......................
3,020
Pinnacle West Capital
2,131 Corp .....................................
160
72,886 Amphenol Corp ...................
4,214
960 AVX Corp ...........................
12
24,336 Corning Inc .........................
508
5,044 Emerson Electric Co ............
274
Honeywell International
130,410 Inc .......................................
14,612
22,600 Tech Data Corp ...................
1,735
44,004 Waters Corp ........................
5,805
25,000 Tetra Tech Inc .....................
746
Food Products
66,200 Dean Foods Co ....................
1,147
44,969 Ingredion Inc .......................
4,802
1,865 JM Smucker Co ...................
242
134,574 Kellogg Co ..........................
10,302
Mondelez International
122,975 Inc .......................................
4,934
80,300 Tyson Foods Inc ..................
5,353
Gas Utilities
72,399 UGI Corp .............................
2,917
81,600 Baxter International Inc .......
3,352
35,292 Cooper Cos Inc ....................
5,434
16,300 CR Bard Inc ........................
3,304
37,500 Hologic Inc ..........................
1,294
45,068 Dentsply Sirona Inc .............
2,778
149,687 St Jude Medical Inc .............
8,233
97,221 Stryker Corp ........................
10,431
Thermo Fisher Scientific
109,345 Inc .......................................
15,482
Zimmer Biomet Holdings
91,642 Inc .......................................
9,772
6,600 Anthem Inc ..........................
917
46,400 Molina Healthcare Inc .........
2,992
3,700 UnitedHealth Group Inc ......
477
Universal Health Services
32,330 Inc .......................................
4,032
Home Furnishings
28,260 Whirlpool Corp ...................
5,096
15,103 Harley-Davidson Inc ...........
775
Household Products
2,428 Clorox Co ............................
306
631
Fund
%
0.11
0.27
0.36
0.17
0.01
0.23
0.00
0.03
0.02
0.81
0.10
0.32
0.04
0.06
0.27
0.01
0.57
0.28
0.30
0.16
0.19
0.30
0.18
0.07
0.16
0.46
0.58
0.86
0.54
0.05
0.17
0.03
0.22
0.28
0.04
0.02
0.03
Number
of Shares
Fair Value
USD ‘000
Insurance
8,074 Aflac Inc .............................
106,800 Allstate Corp .......................
1,294 Inc .......................................
258,700 Group Inc ............................
467 Erie Indemnity Co ...............
118,100 MBIA Inc ............................
554 Mercury General Corp ........
1,135 ProAssurance Corp .............
151,300 Voya Financial Inc ..............
33,935 Alphabet Inc (Class A) .......
12,222 Alphabet Inc (Class C) ........
9,105 Amazon.com Inc .................
385,006 eBay Inc ..............................
122,900 Facebook Inc .......................
28,307 LinkedIn Corp .....................
35,456 MercadoLibre Inc ...............
8,587 Priceline Group Inc .............
166,105 Symantec Corp ...................
Lodging
11,717 Wynn Resorts Ltd ...............
Machinery
111,700 Caterpillar Inc .....................
74,549 Cummins Inc .......................
30,330 Rockwell Automation Inc ...
33,500 SPX FLOW Inc ..................
Media
Charter Communications
17,600 Inc .......................................
153,000 Comcast Corp .....................
63,600 Gannett Co Inc ....................
33,725 Time Warner Cable Inc .......
204,886 Time Warner Inc .................
129,908 Walt Disney Co ..................
63,435 3M Co .................................
Smith & Wesson Holding
9,100 Corp ....................................
Office Electronics
594,300 Xerox Corp .........................
Oil and Gas
Anadarko Petroleum
84,975 Corp ....................................
California Resources
652 Corp ....................................
6,226 Chevron Corp .....................
66,300 EOG Resources Inc .............
Fund
%
510
7,195
0.03
0.40
91
0.01
13,983
192
43
1,045
31
57
400
602
4,504
0.78
0.01
0.00
0.06
0.00
0.00
0.02
0.03
0.25
25,889
9,105
5,405
9,186
14,023
3,237
4,178
11,068
3,053
1.44
0.51
0.30
0.51
0.78
0.18
0.23
0.62
0.17
1,095
0.06
8,550
8,196
3,450
840
0.47
0.46
0.19
0.05
3,563
9,345
963
6,901
14,864
12,901
0.20
0.52
0.05
0.38
0.83
0.72
10,570
0.59
242
0.01
6,632
0.37
3,957
0.22
1
594
4,812
0.00
0.03
0.27
31 March 2016
Number
of Shares
10,548 Exxon Mobil Corp ...............
1,732 Helmerich & Payne Inc .......
Marathon Petroleum
39,400 Corp .....................................
Occidental Petroleum
6,974 Corp .....................................
45,800 Tesoro Corp .........................
118,200 Valero Energy Corp ............
National Oilwell Varco
58,084 Inc .......................................
31,945 NOW Inc .............................
166,736 Schlumberger Ltd ................
Other Finance
116,441 American Capital Ltd ..........
Personal Products
201,568 Colgate-Palmolive Co .........
9,062 Procter & Gamble Co ..........
Pharmaceuticals
34,300 AmerisourceBergen Corp ....
103,024 Bristol-Myers Squibb Co ....
7,665 Eli Lilly & Co ......................
Express Scripts Holding
91,800 Co ........................................
111,755 Johnson & Johnson .............
11,588 Merck & Co Inc ..................
160,182 Pfizer Inc .............................
11,300 American Homes 4 Rent .....
17,477 Equinix Inc ..........................
32,200 Equity Commonwealth ........
6,200 Post Properties Inc ...............
2,702 Public Storage .....................
12,750 Taubman Centers Inc ..........
Retail Trade
6,218 AutoZone Inc ......................
13,900 Children's Place Inc .............
49,870 CVS Health Corp ................
17,500 Darden Restaurants Inc .......
70,100 Express Inc ..........................
8,000 Foot Locker Inc ...................
4,850 Gap Inc ................................
5,983 Home Depot Inc ..................
95,254 Lowe's Cos Inc ....................
59,695 McDonald's Corp ................
Sally Beauty Holdings
138,746 Inc .......................................
141,600 Starbucks Corp ....................
8,700 Target Corp .........................
43,000 Tiffany & Co .......................
166,498 Urban Outfitters Inc ............
17,144 Wal-Mart Stores Inc ............
Fair Value
USD ‘000
Fund
%
882
102
0.05
0.01
1,465
0.08
477
3,939
7,581
0.03
0.22
0.42
1,806
566
12,297
0.10
0.03
0.68
1,775
0.10
14,241
746
0.79
0.04
2,969
6,581
254
552
0.17
0.37
0.01
0.03
6,306
12,092
613
4,748
0.35
0.67
0.03
0.27
180
5,780
909
370
745
908
0.01
0.32
0.05
0.02
0.04
0.05
4,954
1,160
5,173
1,160
1,501
516
143
798
7,215
7,502
0.28
0.06
0.29
0.06
0.08
0.03
0.01
0.04
0.40
0.42
Number
of Shares
6,991 Analog Devices Inc .............
414
256,100 Applied Materials Inc .........
5,424
203,285 Intel Corp ............................
6,576
Microchip Technology
87,881 Inc .......................................
4,236
9,105 Qualcomm Inc ....................
466
7,680 Texas Instruments Inc .........
441
Shipbuilding
Huntington Ingalls Industries
32,900 Inc .......................................
4,505
Software
114,100 Activision Blizzard Inc .......
3,861
66,000 Adobe Systems Inc .............
6,191
32,272 Aspen Technology Inc ........
1,166
6,189 CA Inc ................................
191
83,500 Citrix Systems Inc ...............
6,561
312,637 Microsoft Corp ...................
17,267
Nuance Communications
86,000 Inc .......................................
1,607
249,007 Oracle Corp .........................
10,187
46,418 Red Hat Inc .........................
3,459
48,384 Salesforce.com Inc ..............
3,572
Telecommunications
155,600 CenturyLink Inc ..................
4,973
4,078
26,800 NETGEAR Inc ...................
1,082
Textile and Apparel
30,700 Mohawk Industries Inc .......
5,860
Transport
Atlas Air Worldwide
17,900 Holdings Inc .......................
756
48,984 Kansas City Southern .........
4,185
40,224 Union Pacific Corp .............
3,199
91,475 United Parcel Service Inc ...
9,648
Fund
%
0.02
0.30
0.37
0.24
0.03
0.02
0.25
0.21
0.34
0.07
0.01
0.37
0.96
0.09
0.57
0.19
0.20
0.27
0.23
0.06
0.33
0.04
0.23
0.18
0.54
901,242 50.14
4,493
8,454
716
3,155
5,509
1,174
0.25
0.47
0.04
0.18
0.31
0.06
Fair Value
USD ‘000
Textile and Apparel
Michael Kors Holdings
32,800 Ltd ......................................
1,867
0.10
1,794,175 99.82
Preferred Stock (0.22%) (2015: 0.33%)
Germany (0.22%)
Household Products
36,065 Henkel AG & Co KGaA .....
3,982
0.22
3,982
0.22
1,985
0.11
2,834
0.16
Total Preferred Stock .......
Warrants (0.45%) (2015: 0.39%)
Switzerland (0.45%)
19,310 UBS AG London ................
UBS AG London Delta
3,648,000 One .....................................
31 March 2016
Number
of Shares
Fair Value
USD ‘000
UBS AG London Delta One
437,293 (Swiss listing) ......................
Total Warrants ..................
Total Transferable
Securities ............................
Fund
%
3,242
0.18
8,061
0.45
1,806,218 100.49
Principal
Amount
USD
2,400,000
4,000,000
7,000,000
6,000,000
0.00%)
U.S. Treasury Bills
Zero Coupon due
26/05/16* ..........................
2,400
Zero Coupon due
23/06/16* ..........................
3,998
Zero Coupon due
21/07/16* ..........................
6,994
Zero Coupon due
11/08/16* ..........................
5,993
Total Money Market
19,385
Instruments ........................
0.14
0.22
0.39
Number
of Shares
Fair Value
USD ‘000
Ireland (0.90%)
III Plc The Sterling Liquidity
77 Shares ...............................
111
III Plc The U.S. Dollar Cash
Fund II - Class R Roll-Up
16,102 Shares ...............................
16,127
Plc Russell Euro Liquidity
13 Shares ...............................
15
Total Investments
excluding Financial
16,253
Fund
%
0.01
0.89
0.00
0.90
1,841,856 102.48
0.34
1.09
Financial Derivative Instruments (0.10%) (2015: (0.52%))
Notional
Amount
USD ‘000
Average
Cost Price
USD
1,677
5,083.06
1,714
11,427.18
1,499
3,407.58
(56,843)
(3,409.88)
13,648
8,748.48
2,624
2,623.59
(80,875)
(794.45)
389
168.94
8,980
1,381.59
Unrealised
Gain (Loss)
USD ‘000
Fund
%
33 of CAC 40 10 Euro Futures
Expiring April 2016 ..........................................................................................................
(29)
0.00
6 of DAX Index Futures
Expiring June 2016 ...........................................................................................................
(5)
0.00
44 of Euro STOXX 50 Index Futures
Expiring June 2016 ...........................................................................................................
(30)
0.00
1667 of Euro STOXX 50 Index Futures
Expiring June 2016 ...........................................................................................................
1,164
0.06
156 of FTSE 100 Index Futures
Expiring June 2016 ...........................................................................................................
59
0.00
20 of Hang Seng Index Futures
Expiring April 2016 ..........................................................................................................
59
0.00
2036 of Mini MSCI Emerging Markets
Expiring June 2016 ...........................................................................................................
(4,016)
(0.22)
23 of OMX 30 Index Futures
Expiring April 2016 ..........................................................................................................
(7)
0.00
65 of S&P MIDCAP 400 E Mini Index
Expiring June 2016 ...........................................................................................................
387
0.02
31 March 2016
Notional
Amount
USD ‘000
Average
Cost Price
USD
6,700
Unrealised
Gain (Loss)
USD ‘000
Fund
%
609.12
55 of S&P TSX 60 Index Futures
Expiring June 2016 ...........................................................................................................
(7)
0.00
109,951
1,995.49 1102 of S&P 500 E Mini Index Futures
Expiring June 2016 ...........................................................................................................
3,086
0.17
5,093
3,917.90 52 of SPI 200 Index Futures
Expiring June 2016 ...........................................................................................................
(27)
0.00
1,218
8,118.62 15 of Swiss Market Index Futures
Expiring June 2016 ...........................................................................................................
(16)
0.00
15,774
11.86 133 of Topix Index Futures
Expiring June 2016 ...........................................................................................................
172
0.01
4,927
0.26
(4,137)
(0.22)
790
0.04
Settlement
Date
07/04/2016
07/04/2016
07/04/2016
07/04/2016
07/04/2016
07/04/2016
07/04/2016
07/04/2016
15/06/2016
15/06/2016
15/06/2016
15/06/2016
07/04/2016
07/04/2016
07/04/2016
07/04/2016
15/06/2016
15/06/2016
15/06/2016
15/06/2016
07/04/2016
07/04/2016
07/04/2016
07/04/2016
07/04/2016
07/04/2016
07/04/2016
07/04/2016
Amount
Bought ‘000
AUD
AUD
AUD
AUD
AUD
AUD
AUD
AUD
AUD
AUD
AUD
AUD
CAD
CAD
CAD
CAD
CAD
CAD
CAD
CAD
CHF
CHF
CHF
CHF
CHF
CHF
CHF
CHF
72
79
103
85
151
261
23
84
100
646
646
6,732
201
39
197
347
200
839
939
8,840
85
77
141
100
158
278
31
119
EUR
EUR
EUR
GBP
USD
USD
USD
USD
USD
USD
USD
USD
EUR
GBP
USD
USD
USD
USD
USD
USD
EUR
EUR
EUR
GBP
USD
USD
USD
USD
Unrealised
Gain (Loss)
USD ‘000
Amount
Sold ‘000
48
54
68
43
111
194
16
60
75
479
479
4,997
136
21
147
259
151
627
703
6,621
78
70
130
72
160
283
31
120
2
3
5
6
1
5
2
17
17
165
5
9
4
22
23
214
(1)
1
6
8
1
5
Fund
%
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.02
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.02
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
31 March 2016
Settlement
Date
15/06/2016
15/06/2016
15/06/2016
15/06/2016
07/04/2016
07/04/2016
07/04/2016
07/04/2016
07/04/2016
07/04/2016
07/04/2016
07/04/2016
07/04/2016
07/04/2016
07/04/2016
07/04/2016
07/04/2016
07/04/2016
07/04/2016
07/04/2016
07/04/2016
07/04/2016
07/04/2016
07/04/2016
07/04/2016
07/04/2016
07/04/2016
07/04/2016
07/04/2016
07/04/2016
15/06/2016
15/06/2016
15/06/2016
07/04/2016
07/04/2016
07/04/2016
07/04/2016
07/04/2016
07/04/2016
07/04/2016
07/04/2016
07/04/2016
07/04/2016
07/04/2016
07/04/2016
07/04/2016
07/04/2016
07/04/2016
07/04/2016
07/04/2016
Amount
Bought ‘000
CHF
CHF
CHF
CHF
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
GBP
GBP
GBP
GBP
GBP
GBP
GBP
GBP
GBP
GBP
GBP
GBP
GBP
GBP
GBP
GBP
GBP
Unrealised
Gain (Loss)
USD ‘000
Amount
Sold ‘000
200
758
758
790
2,940
3,795
42
4,282
2,081
2,081
2,081
65
247
2,082
1,190
2,564
2,564
2,564
2,565
1,569
532
20
524
919
17,819
17,814
17,814
52
176
19,437
196
196
6,000
833
1,076
1,214
110
124
1,079
1,079
1,079
1,079
329
727
727
727
727
431
152
228
USD
USD
USD
USD
AUD
CAD
CAD
CHF
GBP
GBP
GBP
GBP
GBP
GBP
HKD
JPY
JPY
JPY
JPY
SEK
SGD
SGD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
AUD
CAD
CHF
EUR
EUR
EUR
EUR
EUR
EUR
HKD
JPY
JPY
JPY
JPY
SEK
SGD
USD
202
767
766
817
4,495
5,610
62
4,670
1,639
1,639
1,639
51
193
1,639
10,083
315,736
315,736
315,736
315,736
14,610
816
31
576
1,022
19,419
19,419
19,419
57
191
21,184
216
216
6,772
1,618
2,019
1,682
141
156
1,370
1,370
1,370
1,370
3,547
113,663
113,663
113,663
113,663
5,101
296
322
8
27
28
11
(107)
(12)
2
17
16
17
1
4
18
56
113
112
112
113
(14)
22
25
888
882
883
3
9
967
7
7
80
(47)
(15)
(11)
(3)
(11)
(11)
(11)
(12)
16
33
33
33
33
(10)
(2)
6
Fund
%
0.00
0.00
0.00
0.00
(0.02)
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.02
0.02
0.02
0.01
0.00
0.00
0.00
0.00
0.00
0.05
0.05
0.05
0.00
0.00
0.05
0.00
0.00
0.00
(0.01)
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
31 March 2016
Settlement
Date
07/04/2016
07/04/2016
07/04/2016
07/04/2016
07/04/2016
15/06/2016
15/06/2016
15/06/2016
15/06/2016
15/06/2016
15/06/2016
07/04/2016
07/04/2016
07/04/2016
07/04/2016
07/04/2016
15/06/2016
15/06/2016
07/04/2016
07/04/2016
07/04/2016
07/04/2016
07/04/2016
07/04/2016
07/04/2016
15/06/2016
15/06/2016
15/06/2016
15/06/2016
15/06/2016
07/04/2016
07/04/2016
07/04/2016
15/06/2016
15/06/2016
15/06/2016
07/04/2016
07/04/2016
07/04/2016
07/04/2016
07/04/2016
07/04/2016
07/04/2016
07/04/2016
07/04/2016
15/06/2016
15/06/2016
15/06/2016
07/04/2016
07/04/2016
Amount
Bought ‘000
GBP
GBP
GBP
GBP
GBP
GBP
GBP
GBP
GBP
GBP
GBP
HKD
HKD
HKD
HKD
HKD
HKD
HKD
JPY
JPY
JPY
JPY
JPY
JPY
JPY
JPY
JPY
JPY
JPY
JPY
SEK
SEK
SEK
SEK
SEK
SEK
SGD
SGD
SGD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
398
5,051
5,050
5,049
5,047
200
922
80
1,022
400
9,128
367
27
177
627
177
24,611
900
42,791
76,771
40,522
41,571
73,655
17,536
68,276
40,000
198,907
218,907
118,000
1,891,827
516
510
887
1,861
1,861
1,700
30
30
52
748
371
748
748
748
370
297
150
149
966
478
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
EUR
GBP
USD
USD
USD
USD
USD
EUR
EUR
GBP
USD
USD
USD
USD
USD
USD
USD
USD
USD
EUR
USD
USD
USD
USD
USD
EUR
USD
USD
AUD
AUD
AUD
AUD
AUD
AUD
AUD
AUD
AUD
CAD
CAD
Unrealised
Gain (Loss)
USD ‘000
Amount
Sold ‘000
564
6,991
6,991
6,991
6,991
285
1,307
113
1,450
576
12,949
42
2
23
81
23
3,170
116
340
626
258
367
653
156
606
355
1,769
1,946
1,053
16,823
56
60
107
220
220
208
20
21
37
1,049
519
1,049
1,049
1,049
519
400
200
200
1,309
648
8
268
268
267
264
3
18
2
19
(1)
174
(1)
5
(6)
(30)
(10)
3
3
2
2
4
6
(1)
44
3
3
10
10
2
1
1
(58)
(29)
(59)
(59)
(59)
(29)
(9)
(3)
(5)
(47)
(23)
Fund
%
0.00
0.01
0.01
0.01
0.01
0.00
0.00
0.00
0.00
0.00
0.01
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
(0.01)
0.00
(0.01)
(0.01)
0.00
0.00
0.00
0.00
0.00
0.00
0.00
31 March 2016
Settlement
Date
07/04/2016
07/04/2016
07/04/2016
07/04/2016
07/04/2016
07/04/2016
15/06/2016
15/06/2016
15/06/2016
07/04/2016
07/04/2016
07/04/2016
07/04/2016
07/04/2016
07/04/2016
15/06/2016
15/06/2016
15/06/2016
15/06/2016
07/04/2016
07/04/2016
07/04/2016
07/04/2016
07/04/2016
07/04/2016
07/04/2016
15/06/2016
15/06/2016
15/06/2016
15/06/2016
15/06/2016
15/06/2016
15/06/2016
07/04/2016
07/04/2016
07/04/2016
07/04/2016
07/04/2016
07/04/2016
07/04/2016
07/04/2016
07/04/2016
15/06/2016
15/06/2016
15/06/2016
15/06/2016
15/06/2016
15/06/2016
07/04/2016
07/04/2016
Amount
Bought ‘000
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
USD
Unrealised
Gain (Loss)
USD ‘000
Amount
Sold ‘000
966
966
966
478
54
11
601
76
416
1,090
539
1,090
1,089
1,090
539
611
103
11,806
407
2,899
3,873
1,918
3,874
3,874
3,874
1,918
13,272
13,575
681
13,173
13,173
17,347
13,177
2,117
1,048
2,117
2,118
2,118
1,049
228
93
18
1,421
87
141
285
571
145
146
1,183
CAD
CAD
CAD
CAD
CAD
CAD
CAD
CAD
CAD
CHF
CHF
CHF
CHF
CHF
CHF
CHF
CHF
CHF
CHF
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
EUR
GBP
GBP
GBP
GBP
GBP
GBP
GBP
GBP
GBP
GBP
GBP
GBP
GBP
GBP
GBP
HKD
HKD
1,309
1,309
1,309
648
73
15
800
100
550
1,090
539
1,090
1,090
1,090
539
600
100
11,625
400
2,602
3,554
1,760
3,554
3,554
3,554
1,760
11,996
12,256
600
11,906
11,906
15,300
11,906
1,529
757
1,529
1,529
1,529
757
164
67
13
1,000
60
100
200
400
100
1,138
9,197
(47)
(47)
(46)
(23)
(3)
(1)
(18)
(2)
(9)
(49)
(24)
(49)
(49)
(49)
(24)
(17)
(2)
(372)
(12)
(66)
(177)
(88)
(176)
(176)
(176)
(87)
(429)
(422)
(4)
(424)
(425)
(126)
(420)
(81)
(40)
(81)
(81)
(80)
(40)
(7)
(3)
(1)
(17)
1
(3)
(3)
(4)
1
(2)
Fund
%
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
(0.03)
0.00
0.00
(0.02)
0.00
(0.01)
(0.01)
(0.01)
0.00
(0.03)
(0.03)
0.00
(0.03)
(0.03)
(0.01)
(0.03)
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
31 March 2016
Settlement
Date
Amount
Bought ‘000
Amount
Sold ‘000
07/04/2016
USD
146 HKD
1,138
07/04/2016
USD
31 HKD
243
07/04/2016
USD
7 HKD
55
15/06/2016
USD
129 HKD
1,000
15/06/2016
USD
129 HKD
1,000
07/04/2016
USD
2,608 JPY
294,718
07/04/2016
USD
1,291 JPY
145,925
07/04/2016
USD
2,609 JPY
294,718
07/04/2016
USD
2,609 JPY
294,718
07/04/2016
USD
2,610 JPY
294,718
07/04/2016
USD
1,292 JPY
145,925
15/06/2016
USD
1,507 JPY
170,000
15/06/2016
USD
267 JPY
30,000
15/06/2016
USD
891 JPY
100,000
15/06/2016
USD
518 JPY
58,000
07/04/2016
USD
192 SEK
1,637
07/04/2016
USD
1,548 SEK
13,227
07/04/2016
USD
192 SEK
1,637
07/04/2016
USD
53 SEK
453
07/04/2016
USD
12 SEK
104
15/06/2016
USD
121 SEK
1,000
15/06/2016
USD
48 SEK
400
15/06/2016
USD
83 SEK
700
07/04/2016
USD
67 SGD
95
07/04/2016
USD
541 SGD
762
07/04/2016
USD
67 SGD
95
07/04/2016
USD
23 SGD
32
07/04/2016
USD
5 SGD
7
Unrealised
Gain (Loss)
USD ‘000
Fund
%
(14)
(7)
(14)
(14)
(13)
(6)
(9)
(1)
(1)
1
(10)
(85)
(10)
(3)
(1)
(3)
(1)
(4)
(3)
(25)
(3)
(1)
6,496
(5,406)
1,090
1,880
Fair Value
USD ‘000
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.36
(0.30)
0.06
0.10
Fund
%
1,853,279
103.10
(103.10%) .....................................................................................................................................................
(9,543)
(0.52)
Loss ((0.52)%) .............................................................................................................................................
1,843,736
102.58
(102.58%) ..................................................................................................................................................
(46,394)
(2.58)
1,797,342
100.00
Net Assets ..................................................................................................................................................
* Held as collateral by brokers in connection with the margin requirements for futures contracts held by the Fund.
31 March 2016
Abbreviation used:
% of
gross assets
Transferable securities admitted to an official stock exchange listing .....................................................................
Money market instruments ........................................................................................................................................
Investment funds (UCITS) ........................................................................................................................................
Exchange traded financial derivative instruments ....................................................................................................
Other assets ..............................................................................................................................................................
95.79
1.03
0.86
0.26
0.34
1.72
100.00
The broker for the open futures contracts is Morgan Stanley.
Bank of America
BNP Paribas
Citibank
HSBC
State Street Bank and Trust Company
UBS AG
As at 31 March 2016
Level 1
USD ‘000
Assets
Transferable securities ............................................................... 1,800,142
4,927
contracts .........................................................................................
Total assets ...................................................................................... 1,805,069
Liabilities
Unrealised loss on open futures contracts ...................................... (4,137)
contracts .........................................................................................
Total liabilities ................................................................................ (4,137)
Level 2
USD ‘000
Level 3
USD ‘000
Total
USD ‘000
6,076
19,385
16,253
-
-
1,806,218
19,385
16,253
4,927
6,496
48,210
-
6,496
1,853,279
-
-
(4,137)
(5,406)
(5,406)
-
(5,406)
(9,543)
31 March 2016
As at 31 March 2015
Level 1
USD ‘000
Assets
Transferable securities ............................................................... 2,709,080
923
contracts .........................................................................................
Total assets ...................................................................................... 2,710,003
Liabilities
Unrealised loss on open futures contracts ...................................... (3,316)
contracts .........................................................................................
Total liabilities ................................................................................ (3,316)
Level 2
USD ‘000
Level 3
USD ‘000
Total
USD ‘000
10,778
77,047
-
-
2,719,858
77,047
923
3,528
91,353
-
3,528
2,801,356
-
-
(3,316)
(15,498)
(15,498)
-
(15,498)
(18,814)
Class A Shares
U.S. Treasury Bill
Comcast Corp
eBay Inc
Alphabet Inc (Class A)
PepsiCo Inc
Deutsche Telekom AG
Gilead Sciences Inc
Citigroup Inc
U.S. Treasury Bill
Visa Inc
Morgan Stanley
Amorepacific Corp
LyondellBasell Industries NV
Zimmer Biomet Holdings Inc
Vestas Wind Systems A/S
Telenor ASA
Microsoft Corp
U.S. Treasury Bill
Acquisition Cost
USD ‘000
884,929
18,345
17,299
16,360
15,937
15,494
14,568
12,388
11,921
11,712
11,490
11,305
11,287
10,691
10,381
10,332
9,848
9,761
9,693
Disposal Proceeds
USD ‘000
Class A Shares
Apple Inc
Visa Inc
Mitsubishi UFJ Financial Group Inc
U.S. Treasury Bill
Danone SA
PepsiCo Inc
Sanofi
American International Group Inc
Facebook Inc
Biogen Inc
Franklin Resources Inc
State Street Corp
Amazon.com Inc
Amgen Inc
Intel Corp
McDonald's Corp
Morgan Stanley
Pfizer Inc
(945,016)
(29,158)
(25,291)
(19,812)
(17,300)
(16,367)
(15,599)
(14,672)
(14,474)
(14,350)
(13,931)
(13,745)
(13,554)
(13,550)
(13,521)
(13,472)
(13,416)
(13,262)
(13,199)
(12,897)
9,598
Notes to the Financial Statements
31 March 2016
1.
Basis of Preparation
a) Statement of Compliance
The Company’s financial statements are prepared in accordance with accounting standards generally accepted in Ireland
(“Irish GAAP”) including Financial Reporting Standard (“FRS”) 102, the financial reporting standard applicable in the UK
and Republic of Ireland for the first time, Irish statute comprising the Companies Act 2014 and under the European
Communities (Undertakings for Collective Investment in Transferable Securities) Regulations, 2011 (as amended). Irish
GAAP, in preparing financial statements which present a true and fair view are those promulgated by the Institute of
Chartered Accountants in Ireland (the “Institute”) and issued by the Financial Reporting Council (“FRC”). The Companies
Acts prescribed formats for financial statements have been adapted to make them more applicable to investment funds.
The Company has availed of the exemption available to open ended investment funds that hold a substantial proportion of
highly liquid and fair valued investments under Section 7 of FRS 102 and is not presenting cash flow statements. The
information required by FRS 102 to be included in a statement of comprehensive income, is, in the opinion of the Directors,
contained in the Profit and Loss Account of each Fund.
Investments on each individual Schedule of Investments less than 500 in value in the presentation currency of the respective
Fund are rounded to zero.
b) Transition to FRS 102
In 2012, 2013 and 2014 the FRC revised Financial Reporting Standards in the United Kingdom and Republic of Ireland. The
revisions fundamentally reformed financial reporting, replacing the extant standards with a number of new Financial
Reporting Standards. The new standards relevant to the Company are FRS 102: the Financial Reporting Standard applicable
in the UK and Republic of Ireland and FRS 104: Interim Financial Reporting. FRS 102 and FRS 104 are effective for
accounting periods beginning on or after 1 January 2015 with early adoption permitted.
The Directors, on the recommendation of the Manager’s Audit Committee, resolved to adopt and prepare the Company’s
financial statements in accordance with FRS 102, the Financial Reporting Standard applicable in the UK and Republic of
Ireland.
The date of transition to the new accounting framework is 1 April 2014 and accordingly the comparative amounts presented
for the year ended 31 March 2015 are based on the Company’s financial statements for that year after adjustment for the
transition to FRS 102.
The accounting policies applied in preparing these financial statements under FRS 102 are consistent with the accounting
policies applied, except where noted, in preparing the prior year financial statements under the previous accounting
framework. Please refer to note 2 to the financial statements for details of changes to the Company’s accounting policies as a
result of adoption of FRS 102.
c) Combined Financial Statements
The combined financial statements of the Company are measured using Euro. The Company has also adopted Euro as the
presentation currency. The accounts of the individual Funds are translated into Euro and accumulated for preparation of the
combined financial statements.
For the purpose of producing the Combined Balance Sheet, respective financial period end exchange rates are used. For the
purpose of producing the Combined Profit and Loss Account and the Combined Statement of Changes in Net Assets
Attributable to Redeemable Participating Shareholders, the average exchange rates for the relevant period are used. The
currency gain or loss on re-translation of opening net assets, and the average rate difference arising on the translation of the
Combined Profit and Loss Account and the Combined Statement of Changes in Net Assets Attributable to Redeemable
Participating Shareholders, is included in the Combined Statement of Changes in Net Assets Attributable to Redeemable
Participating Shareholders. This translation adjustment does not impact the net asset value per share of any of the individual
Funds.
208 Notes to the Financial Statements
Notes to the Financial Statements - continued
31 March 2016
1.
Basis of Preparation - continued
d) Estimates and judgements
The preparation of financial statements in conformity with Irish GAAP requires the use of certain critical accounting
estimates. It also requires the Board of Directors, based on advice of the Manager, to exercise its judgement in the process of
applying the Company’s accounting policies. Management also makes estimates and assumptions concerning the future. The
resulting accounting estimates will, by definition, seldom equal the related actual results. The areas involving a higher degree
of judgement or complexity, or areas where assumptions and estimates are significant to the financial statements are
determining fair values of certain financial instruments, as discussed in section b) of Note 2 to the financial statements and
determining the functional currency of the Company and individual Funds as discussed in section e) of Note 2 to the financial
statements.
2.
Accounting Policies
The significant accounting policies adopted by the Company for the year ended 31 March 2016 are as follows:
a) Changes to the Company’s Accounting Policies
Changes in the Company’s accounting policies have been made as required in accordance with the transitional provisions in
FRS 102.
i)
Fair value measurement and recognition
On initial application of FRS 102, in accounting for its financial instruments at fair value through profit and loss a
reporting entity is required to apply either:
the full provisions of section 11 “Basis Financial Instruments” and section 12 “Other Financial Instruments” of FRS
102; or
b) the recognition and measurement provisions of IAS 39 Financial Instruments: Recognition and Measurement and
only the disclosure requirements of Sections 11 and 12 of FRS 102; or
c) the recognition and measurement provisions of IFRS 9 Financial Instruments and/or IAS 39 (as amended following
the publication of IFRS 9) and only the disclosure requirements of Sections 11 and 12 of FRS 102.
a)
The Company has chosen to implement the recognition and measurement provisions of IAS 39 and only the disclosure
requirements of Sections 11 and 12 of FRS 102.
As a result the Company changed its fair valuation input to utilise last traded market price for both financial assets and
liabilities. Where the last traded price is not within the bid ask spread, management will determine the point within the
bid ask spread which is most representative of fair value. Under the previous financial reporting standards the market
price used for financial assets held by the Company was the current bid price, the quoted market price for financial
liabilities was the current ask price. The Company’s prior year end Balance Sheet, as at 31 March 2015, has been
restated within these Financial Statements to recognise the fair value of the Company’s financial assets at fair value
through profit or loss using last traded market prices. The Company’s Profit and Loss Account for the year ended 31
March 2015 has also been restated to reflect the use of last traded market prices.
The following tables summaries the respective restatements reflected on the Balance Sheet as of 31 March 2015 and the
Profit and Loss Account for year ended 31 March 2015.
Balance Sheet as at 31 March 2015
Russell
Emerging
Market Debt
Local Currency
Fund
USD ’000
Russell
Emerging
Markets
Extended
Opportunities
Fund
USD ’000
Russell Euro
Fixed Income
Fund
EUR ’000
Russell
Global Bond
(Euro Hedged)
Fund
EUR ’000
Financial assets at fair value through profit or
loss (at bid market prices) ..............................................................................................................................................
334,552
820,177
240,776
………….
566,470
Adjustment from bid market prices to last
traded market prices .......................................................................................................................................................
705
2,482
212
……….….
855
335,257
822,659
240,988
567,325
loss (at last traded market prices) ...................................................................................................................................
Russell Global
Defensive Equity
Fund
USD ’000
145,246
34
145,280
Notes to the Financial Statements 209
31 March 2016
2.
Accounting Policies - continued
Russell Pan
European
Equity Fund
EUR ’000
Russell U.K.
Equity Plus
Fund
GBP ’000
Russell U.S.
Quant
Fund
USD ’000
Russell World
Equity
Fund
USD ’000
Combined
EUR ’000
loss (at bid market prices) ..............................................................................................................................................
482,482
108,196
209,362
………….
2,800,976
Adjustment from bid market prices to last
175
66
17
380
traded market prices .......................................................................................................................................................
……….….
loss (at last traded market prices) ...................................................................................................................................
482,657
108,262
209,379
2,801,356
5,452,600
4,702
5,457,302
Profit and Loss Account for the year ended 31 March 2015
Russell
Emerging
Market Debt
Local Currency
Fund
USD ’000
Russell
Emerging
Markets
Extended
Opportunities
Fund
USD ’000
Russell Euro
Fixed Income
Fund
EUR ’000
Russell
Global Bond
(Euro Hedged)
Fund
EUR ’000
Russell Global
Defensive Equity
Fund
USD ’000
Net gain (loss) on investment activities (at
bid market prices) ................................................................................................................................................................
(59,408)
(57,720)
35,561
………….
50,755
Movement in adjustment from bid market prices
to last traded market prices ..................................................................................................................................................
231
(644)
4
……….
178
last traded market prices) .....................................................................................................................................................
(59,177)
(58,364)
35,565
…………..
50,933
Russell Pan
European
Equity Fund
EUR ’000
Russell U.K.
Equity Plus
Fund
GBP ’000
Russell U.S.
Growth Fund
USD ’000
Russell U.S.
Quant
Fund
USD ’000
74,586
4,619
364
………….
19,576
16
(23)
(1)
……….
10
74,602
4,596
363
…………..
19,586
Russell World
Equity Fund
USD ’000
16,463
(74)
16,389
Russell U.S.
Value Fund
USD ’000
581
(1)
580
Combined
EUR ’000
150,454
222,362
………….
(390)
295
……….
150,064
222,657
…………..
b) Financial Instruments at Fair Value through Profit or Loss
This category has two sub-categories: financial assets and liabilities held for trading, and those designated by Directors at fair
value through profit and loss at inception. All instruments on each Fund’s Schedule of Investments are classified at fair value
through profit or loss. Subsequent to initial recognition, all instruments classified at fair value through profit or loss are
measured at fair value with changes in their fair value recognised in the Profit and Loss Account.
i)
Investments
Securities listed on a recognised stock exchange or traded on any other regulated market are valued at the current last
traded market price as of the balance sheet date on the stock exchange or market which constitutes the principal market
for such securities. If for specific assets the current last traded market price does not, in the opinion of the Directors,
reflect their fair value or are not available, the price of the most recent transaction provides evidence of the current fair
value as long as there has not been a significant change in economic circumstances since the time of the transaction.
31 March 2016
2.
In the case of any security not listed, quoted or dealt on a regulated market or for which no quotation or value is
available which would provide a fair valuation, or in respect of which the price is unrepresentative, the fair value of such
security is determined on the basis of the probable realisation value and is determined by the Directors, a stockbroker or
other competent person appointed by the Directors and approved for the purpose by the Custodian and Trustee, using
valuation techniques. There was no requirement during the current year for the Directors to appoint a competent person
for such purposes. The Manager or relevant Money Manager, in consultation with the Administrator’s Emergency Price
Committee (the “Pricing Committee”) and the Russell Securities Valuation Committee (“RSVC”), may also determine
the value of such securities using unobservable inputs, and used methods and made assumptions that were based on
market conditions existing at each balance sheet date based on the best information available. Such securities are
classified as Level 3 for fair value hierarchy purposes (see Note 12 b)) for further details on valuation of same) the
values of which are disclosed within the fair value hierarchy tables as disclosed at the base of each Fund’s Schedule of
Investments. The Company uses a variety of methods and makes assumptions that are based on market conditions
existing at each balance sheet date. Valuation techniques used include the use of comparable recent arm’s length
transactions, discounted cash flow analysis and option pricing models. If there is a valuation technique commonly used
by market participants to price the instrument and that technique has been demonstrated to provide reliable estimates of
prices obtained in actual market transactions, the Company uses that technique. Estimation methods and valuation
models may be used to calculate fair value. Due to the dynamic nature of assumptions used in estimating fair value and
market volatility, the values reflected in the financial statements for these investments may differ from the values that
would be determined by negotiations held between parties in a near term sales transaction, and those differences could be
material.
Commercial paper is valued on an amortised basis with reference to the maturity date of these instruments, which
approximates fair value.
Deposits with credit institutions are valued at par.
Investments in open-ended investment funds are valued at fair value at the latest available unaudited net asset value for
the shares or units obtained from the relevant administrator. The changes in the daily net asset value of these shares are
recognised as net gain (loss) on investment activities in the Profit and Loss Account.
ii) Warrants
Warrants are sometimes used to gain exposure to emerging market equities where custody, liquidity, or other issues
make ownership of local shares sub-optimal.
The valuation of the warrants depends on the level of trading. If the warrants are actively traded in the market then the
market price is used. If the warrants are not actively traded in the market then either the intrinsic value of the warrant
based on underlying equity price and warrant strike price or modified Black Scholes derived value, adjusted for
liquidity/other risks deemed appropriate are used.
iii) To Be Announced (“TBA”) Commitments
Certain Funds may enter into TBA purchase commitments to purchase securities for a fixed unit price at a future date
beyond customary settlement time. Although the unit price has been established, the principal value has not been
finalised.
These Funds hold, and maintain until settlement date, cash or high-grade debt obligations in an amount sufficient to meet
the purchase price, or the Funds may enter into offsetting contracts for the forward sale of other securities they own.
Income on the securities will not be earned until settlement date. TBA purchase commitments may be considered
securities in themselves, and involve a risk of loss if the value of the security to be purchased declines prior to settlement
date, the risk of which is in addition to the risk of decline in the value of a Fund’s other assets.
Unsettled TBA purchase commitments are valued at the current fair value of the underlying securities, according to the
procedures described under the Investments section of this note.
31 March 2016
2.
Although the Funds may enter into TBA purchase commitments with the intention of acquiring securities for their
portfolios or for delivery pursuant to options contracts they have entered into, the Funds may dispose of a commitment
prior to settlement if the Money Manager deems it appropriate to do so. The TBA is accounted for in line with the
accounting policy for the underlying instruments.
Certain Funds may enter into TBA sale commitments to hedge their portfolio positions or to sell mortgage backed
securities they own under delayed delivery arrangements. Proceeds of TBA sale commitments are not received until the
contractual settlement date.
During the time a TBA sale commitment is outstanding, equivalent deliverable securities, or an offsetting TBA purchase
commitment deliverable on or before the sale commitment date, are held as “cover” for the transaction.
Unsettled TBA sale commitments are valued at the current fair value of the underlying securities. The contract is
marked-to-market daily and the change in market value is recorded by the Fund as an unrealised gain or loss. If the TBA
sale commitment is closed through the acquisition of an offsetting purchase commitment, the Funds realise a gain or
loss. If the Funds deliver securities under the commitment, the Funds realise a gain or loss from the sale of the securities
based upon the unit price established at the date the commitment was entered into.
iv) Forward and Spot Foreign Currency Exchange Contracts
The fair value of open forward foreign currency exchange contracts and open foreign currency exchange spot contracts is
calculated as the difference between the contracted rate and the current forward rate that would close out the contract on
the balance sheet date. For each relevant Fund, gains or losses on open foreign currency exchange spot contracts are
included in cash at bank in the Balance Sheet and gains or losses on open forward foreign currency exchange contracts
are included in financial assets or liabilities at fair value through profit or loss, as appropriate, on the Balance Sheet and
Schedule of Investments.
v) Futures Contracts
Initial margin deposits are made upon entering into futures contracts and are generally made in cash or cash equivalents.
The fair value of futures contracts is based upon their current quoted daily settlement prices on the relevant exchange as
of the balance sheet date. Changes in the value of open futures contracts are recognised as unrealised gains or losses on
futures contracts until the contracts are terminated, at which time realised gains and losses are recognised. For each
relevant Fund, gains or losses on open futures contracts are shown in the Schedule of Investments and as appropriate, on
the Balance Sheet as financial assets or liabilities at fair value through profit or loss.
vi) Options
Each Fund may purchase and sell (write) call and put options on securities, securities indices and foreign currencies
traded on a national securities exchange or in an over-the-counter market.
When a Fund writes a call or a put option, a premium is received by the Fund. The premium is subsequently marked to
market to reflect the fair value of the option written, which is reported within financial assets or liabilities at fair value
through profit or loss on the Balance Sheet for each relevant Fund. The difference between the premium amount and the
fair value reported on the Balance Sheet gives rise to an unrealised gain (loss).
When a Fund purchases a call or a put option, a premium is paid by the Fund. The premium on purchased put options
exercised is subtracted from the proceeds of the sale of the underlying security or foreign currency in determining the
realised gain or loss. The premium on purchased call options exercised is included in determining initial fair value of the
securities or foreign currency purchased. Premiums paid on the purchase of options which expire unexercised are treated
as realised losses. The option is subsequently marked to market to reflect the fair value of the option purchased, which is
reported within financial assets at fair value through profit or loss on the Balance Sheet for each relevant Fund.
31 March 2016
2.
The over-the-counter options are valued at close of business on the dealing day at the settlement price as provided by the
counterparty/broker and the values are independently valued, at a minimum, weekly. The fair value of exchange traded
options are based upon their quoted daily settlement prices on the relevant exchange. In the event of it being impossible
or incorrect to carry out a valuation of a specific investment in accordance with the valuation rules, or if such valuation is
not representative of a security’s fair market value, the Directors are entitled to use other generally recognised valuation
methods in order to reach a proper valuation of that specific instrument, provided that such method of valuation has been
approved by the Custodian and Trustee.
If an option which a Fund has written either expires on its stipulated expiration date or a Fund enters into a closing
purchase transaction, a Fund realises a gain (or loss, if the cost of a closing purchase transaction exceeds the premium
received when the option was sold) without regard to any unrealised gain or loss on the underlying security, and the
liability related to such option is extinguished. If a call option which a Fund has written is exercised, a Fund realises a
capital gain or loss from the sale of the underlying security, and the proceeds from such sales are increased by the
premium originally received. When a put option which a Fund has written is exercised, the amount of the premium
originally received will reduce the cost of the security which a Fund purchases upon exercise of the option.
vii) Interest Rate Swaps, Currency Swaps and Credit Default Swaps
Interest rate swaps are valued using standard net present value methodologies whereby all future cash flows of the
interest rate swaps are discounted to their present value using the appropriate interest rate.
A currency swap is an interest rate swap in which the cash flows are in different currencies. Upon initiation of a currency
swap, the counterparties make an initial exchange of notional principals in the two currencies. During the life of the
swap, each party pays interest (in the currency of the principal received) to the other. At the maturity of the swap, the
parties make a final exchange of the initial principal amounts, reversing the initial exchange at the same spot rate.
The primary pricing source for interest rate swaps is the counterparty price, the secondary source is the price provided by
the relevant Money Manager and the tertiary source is Reuters/Bloomberg.
Over-the-counter credit default swaps are valued using standard net present value methodologies whereby all future
cashflows of the fixed side of the swap are discounted to their present value using the appropriate interest rate and
whereby all future cashflows of the default side of the swap are discounted to their present value based on the cost of
default to the default payer. This cost is determined by the recovery rate, notional amount of the contract, and default
probability among other factors. An upfront payment received by a Fund, as protection seller, is recorded as a liability on
the Fund’s books. An upfront payment made by a Fund, as protective buyer, is recorded as an asset on the Fund’s books.
The fair value of exchange traded credit default swaps are based upon their quoted daily settlement prices on the relevant
exchange. Yearly payments received or paid are recorded as realised gains or losses and recognised in the Profit and
Loss Account.
The primary pricing source for credit default swaps is the counterparty price, the secondary source is the price provided
by the relevant Money Manager and the tertiary source is Markit.
The notional amount of swap contracts is subsequently marked-to-market to reflect the fair value of the swap which is
reported as a financial asset or liability at fair value through profit or loss as appropriate on the Balance Sheet for each
relevant Fund.
The net amounts of interest payments and receipts on swaps are accrued in the Profit and Loss Account.
viii) Total Return Swaps
A total return swap is an agreement in which one party makes payments based on a set rate, either fixed or variable,
while the other party makes payments based on the return of an underlying asset, which includes both the income it
generates and any capital gains. In total return swaps, the underlying asset, referred to as the reference asset, is usually a
stock or fixed income index. This is owned by the party receiving the set rate payment. Total return swaps allow the
party receiving the total return to gain exposure and benefit from a reference asset without actually having to own it.
31 March 2016
2. Accounting Policies - continued
ix) Swaptions
This instrument combines the features of two other financial instruments, namely an option and a swap. A swaption
involves writing/purchasing options to enter into a swap. Swaptions are priced using the standard Black Scholes pricing
model where the inputs required are the term of the option, the price and volatility of the underlying instrument (the
swap), the strike price of the option and the risk free rate of return (yield curve).
A Fund records an unrealised gain (loss) for the amount expected to be received or paid under the swaption agreement if
the agreement was terminated on the balance sheet date and is reported within financial assets or financial liabilities at
fair value through profit or loss on the Fund’s Balance Sheet and Schedule of Investments.
When a Fund writes a swaption, a premium is received by the Fund and the swaption is initially recognised at the
amount of the premium. The swaption is subsequently marked-to-market to reflect the fair value of the swaption written,
which is reported within financial liabilities at fair value through profit or loss on the Fund’s Balance Sheet and Schedule
of Investments. The difference between the premium received and the fair value reported on the Balance Sheet gives rise
to an unrealised gain (loss). When a swaption which the Fund has written is exercised, the amount of the premium
originally received will offset the cost of the swap upon exercise of the option in arriving at the movement in unrealized
gain or loss to be included in the Profit and Loss Account. Premiums received on swaptions written which expire
unexercised are treated as realised gains.
When a Fund purchases a swaption, a premium is paid by the Fund and the swaption is initially recognised at the amount
of the premium. The swaption is subsequently marked-to-market to reflect the fair value of the swaption purchased,
which is reported within financial assets at fair value through profit or loss on the Fund’s Balance Sheet. When a
swaption which the Fund holds is exercised, the amount of the premium originally paid will offset the cost of the swap
upon exercise of the option in arriving at the movement in unrealised gain or loss to be included in the Profit and Loss
Account. Premiums paid from the purchase of swaptions which expire unexercised are treated as realised losses.
c)
Net Gain (Loss) on Investment Activities
In respect of each instrument type classified as financial instruments at fair value through profit or loss, the movement in
unrealised gains (losses) since the prior year end and realised gains (losses) are recognised within net gain (loss) on
investment activities in the Profit and Loss Account for each relevant Fund.
See Note 4 for details of realised gains (losses) and movement in unrealised gains (losses) since the prior financial year end.
Gains and losses on options, swaps and swaptions are included in the investments figure for each relevant Fund. Gains and
losses on foreign currency exchange contracts are included in foreign currency exchange gains (losses).
d) Accounting for Investment Transactions, Income and Expenses
Purchases and sales of investments are recognised on trade date, the date on which the Fund commits to purchase or sell the
asset, provided the trade instructions have been received by the Custodian and Trustee prior to the calculation of the Fund’s
net asset value, being 2.30pm (Irish time) on each dealing day (the “Valuation Point”). Any trade instructions received by the
Custodian and Trustee after the Valuation Point will be recognised on the next dealing day. Investments are initially
recognised at fair value and transaction costs for all financial assets and financial liabilities carried at fair value through profit
or loss are expensed as incurred.
Investments are recognised when the rights to receive cash flows from the investments are transferred to the Fund or the
Fund has exposure to substantially all risks and rewards of ownership. Investments are derecognised when the rights to
receive cash flows from the investments have expired or the Fund has transferred substantially all risks and rewards of
ownership.
Realised gains and losses on investment transactions are calculated using the average cost method. Realised gains and losses
on investments transactions in debt instruments are calculated as the difference between sales proceeds and the amortised
cost of the instrument. Amortised cost is arrived at using the effective interest method. The effective interest method is a
method of calculating the amortised cost of a financial asset or financial liability and of allocating the interest income or
interest expense over the relevant period. Interest income and expense are recognised in the Profit and Loss Account for all
relevant instruments using the effective interest method. Gains and losses realised on the sale of all financial assets and
financial liabilities carried at fair value through profit or loss are recognised in the Profit and Loss Account.
Bank interest is recognised on an accruals basis.
31 March 2016
2.
Dividends are credited to the Profit and Loss Account on the dates on which the relevant securities are listed as “exdividend”.
Income is accounted for gross of any non reclaimable/irrecoverable withholding taxes and net of any tax credits. The
withholding tax is shown separately in the Profit and Loss Account.
Each Fund pays all of its expenses and such proportion of the Company’s expenses as is allocated to that Fund, other than
those expressly assumed by the Manager. The costs and gains (losses) of any hedging transactions will be attributable to the
relevant Share Class. To the extent that expenses are attributable to a specific Share Class of a Fund, that Share Class bears
such expenses. All expenses, as disclosed in the Profit and Loss Account, with the exception of Professional and Other fees,
are accrued on a daily basis. Professional fees and other fees recognised in the Profit and Loss Account are generally charged
and paid when billed to the Funds.
e)
Foreign Currency Transactions
In accordance with Section 30 of FRS 102, items included in the individual Fund’s financial statements are measured using
the currency of the primary economic environment in which it operates (functional currency). The Directors’ selection of the
functional currency is attributable to the functional currency being: (a) the major component of the Fund’s benchmarks; or
(b) the common currency of monies received on subscriptions and paid out on redemptions of shares for most clients in the
Funds’ varied client base or (c) the common currency of the majority of the investments held on the Fund. The functional
currency assessment is done on a Fund by Fund basis. The functional currency of the Company is the Euro.
Each individual Fund has also adopted its functional currency as the presentation currency. Foreign currency transactions are
translated to the functional currency of the relevant Fund at the rate of exchange ruling on the date of the transaction.
For each relevant Fund:
(i) Currency gains and losses can arise where there is a difference between the amounts of foreign dividends and interest
recorded on the Fund’s books and the Fund’s functional currency equivalent to the amounts actually received or paid.
These gains or losses are included where appropriate in the dividend and interest income figure in the Fund’s Profit and
Loss Account;
(ii) Currency gains and losses realised on securities purchase and sales transactions are included in net gain (loss) on
investment activities in the relevant Fund’s Profit and Loss Account;
(iii) Unrealised currency gains and losses on securities held at year end are included in net gain (loss) on investment
activities in the relevant Fund’s Profit and Loss Account;
(iv) Monetary assets and liabilities denominated in currencies other than the Fund’s functional currency are translated at the
rate of exchange ruling at the close of business on the relevant reporting date and exchange differences are included in
net gain (loss) on investment activities in the relevant Fund’s Profit and Loss Account; and
(v) Share transactions which are settled in a currency other than the functional currency of a Fund are settled using the
applicable foreign currency exchange rate as of the trade date. As a result, there is no foreign currency impact on the
Funds for such transactions.
f)
Redeemable Participating Shares
Redeemable participating shares are redeemable at the shareholder’s option and are classified as financial liabilities. The
redeemable shares can be repurchased by the Company at any time for cash equal to a proportionate share of the Company’s
net asset value. The redeemable share is carried at the redemption amount that is payable at the balance sheet date if a
shareholder exercised his or her right to have the Company repurchase his or her share. In accordance with the Prospectus,
for the relevant Funds, the Company is contractually obliged to redeem shares at dealing prices and the liability to
redeemable participating shareholders has been adjusted to reflect this. Monetary value share transactions during the year are
recognised in the Statement of Changes in Net Assets Attributable to Redeemable Participating Shareholders of the relevant
Fund.
31 March 2016
2.
g) Distributions
Distributions on Income Share Classes, and deemed distributions on Accumulating Share Classes with an ex date during the
financial year are included as a finance cost in the Profit and Loss Account. The reinvestment of the deemed distribution on
the Accumulation Share Classes are included as a share transaction in the Statement of Changes in Net Assets Attributable to
Redeemable Participating Shareholders. Roll-Up Share Classes do not declare or distribute net income and the net asset value
therefore reflects net income.
h) Swing Pricing/Dilution Adjustments
Swing pricing (also known as dilution adjustment) is applied to a Fund once net subscriptions or redemptions for a Fund
relating to a Fund’s net asset value for a given dealing day is determined by the Administrator to exceed certain predetermined percentage thresholds. In calculating the swing pricing, the net asset value of a Fund is swung by a “swing factor”
on the following basis:
Net subscriptions - the price used to process all transactions is adjusted upwards by the swing factor to a notional offer price.
Net redemptions - the price used to process all transactions is adjusted downwards by the swing factor to a notional bid price.
If the net asset value of a Fund is swung on a specific dealing day the official price for a Fund will be the derived swing
price. In addition, all dealing activity for this dealing day will be dealt at the swing price. Swing pricing applied to a Fund
during the year is recognised within the share transactions figure on the Statement of Changes in Net Assets Attributable to
Redeemable Shareholders.
i)
Collateral
i)
Counterparty Owned Collateral
Counterparty cash received by a Fund as collateral for financial derivative instruments (“FDIs”) transactions is recorded
as an asset on the Balance Sheet within ‘Cash held with brokers and counterparties for open financial derivative
instruments’ and a related liability to repay the collateral is disclosed within creditors less than one year within ‘Cash
due to brokers and counterparties for open financial derivative instruments’.
Non cash collateral received by the Funds does not form part of the Net Asset Value of the Fund and is recorded at the
base of each relevant Schedule of Investments for reference purposes only.
ii) Collateral Pledged by Funds
A Fund’s assets may be deposited by or on behalf of the Fund for collateral purposes with brokers, for options and
futures contracts, and counterparties, in respect of over-the-counter FDIs and TBA positions, held on the Funds. Such
assets remain in the ownership of the relevant Fund and are recorded as an asset on the Balance Sheet. Cash pledged by
the Funds as collateral is recognised on the Balance Sheet within ‘Cash held with brokers and counterparties for open
derivative instruments’. Investments pledged by the Funds as collateral are recognised at fair value in the relevant Fund’s
Schedule of Investments and such investments are referenced accordingly at the base of the Schedule of Investments.
See Note 3 for details of cash collateral received and pledged by the Funds to and from counterparties for FDIs.
iii) Impairment of Collateral
The Adviser has considered the recoverability of collateral due from relevant brokers and counterparties at year end/prior
year end and has considered the need to write-down the value of such collateral. The Adviser is satisfied that the full
value of the collateral is recoverable from all brokers and counterparties at the respective financial year end dates.
j)
Transaction Costs
Transaction costs are defined as the incremental costs that are directly attributable to the acquisition, issue or disposal of a
financial asset or financial liability. An incremental cost is one that would not have been incurred if the entity had not
acquired, issued or disposed of the financial instrument. When a financial asset or financial liability is recognised initially, an
entity shall measure it at its fair value through profit or loss plus, transaction costs that are directly attributable to the
acquisition or issue of the financial asset or financial liability.
Transaction costs relating to the brokers commission on the purchase and sale of a financial asset or financial liability, are
included in its purchase and sale price. Transaction costs of the Custodian and Trustee or sub-custodian as the case may be
are embedded in the relevant fees in the Profit and Loss Account.
31 March 2016
3.
Cash at Bank and Cash Held with/due to Brokers and Counterparties
a) Cash at Bank
Cash at bank balances are comprised of cash balances held within State Street Bank and Trust Company’s (“State Street”)
custodian network*, unrestricted margin accounts held by brokers for exchange traded derivative instruments held by the
Funds and net unrealised gains and losses on open spot foreign currency exchange contracts. The names of brokers used by
each individual Fund can be found at the base of each relevant Fund’s Schedule of Investments.
The tables in this section of the note details all such cash held on the Funds, including relevant broker and location of broker,
as of 31 March 2016 and 31 March 2015. All cash at bank balances are within State Street’s custodian network for those
Funds not listed below.
Cash held in U.S. Dollar bank accounts with State Street automatically transfer into the demand deposit account at State
Street Bank and Trust New York in the name of State Street Bank and Trust Company - London.
As at 31 March 2016
Russell
Russell
Emerging
Emerging
Russell
Market Debt
Markets
Global Bond
Local
Russell Euro
(Euro
Russell Global
Extended
Currency Opportunities Fixed Income
Hedged)
Defensive
Fund
Fund
Fund
Fund
Equity Fund
Held with
Location
USD ‘000
USD ‘000
EUR ‘000
EUR ‘000
USD ‘000
State Street Bank and Trust .............................................
Multiple
32,530
9,144
7,483
744
Credit Suisse Securities (Europe) Ltd .............................
London, United Kingdom
446
Goldman Sachs Group, Inc. .............................................
New York, U.S.A.
3,341
360
JP Morgan .......................................................................
284
126
Merrill Lynch International .............................................
44
551
Morgan Stanley & Co. International Plc ........................
UBS AG .......................................................................................................................................................................................
39
UBS Securities LLC .....................................................................................................................................................................
Jersey City, U.S.A.
32,814
12,485
209
8,289
1,295
Total
Russell Pan Russell U.K.
European
Equity Plus
Equity Fund
Fund
Total
Held with
Location
EUR ‘000
GBP ‘000
EUR ‘000
Multiple
5,716
448
50,986
Credit Suisse Securities (Europe) Ltd .............................
446
Goldman Sachs Group, Inc. .............................................
New York, U.S.A.
3,292
JP Morgan .......................................................................
375
528
412
412
UBS AG .......................................................................................................................................................................................
39
UBS Securities LLC .....................................................................................................................................................................
Jersey City, U.S.A.
23
29
6,128
471
56,107
Total
As at 31 March 2015
Russell
Russell
Emerging
Emerging
Russell
Market Debt
Markets
Global Bond
Local
Russell Euro
(Euro
Russell Global
Extended
Hedged)
Defensive
Fund
Fund
Fund
Fund
Equity Fund
Held with
Location
USD ‘000
USD ‘000
EUR ‘000
EUR ‘000
USD ‘000
Multiple
30,386
16,941
1,959
31,251
3,574
Goldman Sachs & Co. .....................................................
New York, U.S.A.
2,694
10
JP Morgan Chase Bank ...................................................
369
196
53
Merrill Lynch & Co. Inc. ................................................
115
81
763
UBS AG .......................................................................................................................................................................................
66
30,755
19,635
2,346
31,385
4,337
Total
* Certain cash balances may be held by sub-custodians, as approved and appointed by State Street, in markets where State Street does not operate as a
custodian. Such cash and all cash held within the State Street custodian network is included within the State Street Bank and Trust figures in the tables
contained within this note.
31 March 2016
3.
Cash at Bank and Cash Held with/due to Brokers and Counterparties - continued
Russell
European
Equity Plus Russell U.S. World Equity
Equity Fund
Fund
Quant Fund
Fund
Held with
Location
EUR ‘000
GBP ‘000
USD ‘000
USD ‘000
Multiple
5,882
766
838
12,678
Goldman Sachs & Co. .....................................................
New York, U.S.A.
584
89
1,258
UBS AG .......................................................................................................................................................................................
9
5,971
775
1,422
13,936
Total
Total
EUR ‘000
100,129
2,518
593
740
1,971
78
106,029
b) Cash held with brokers and counterparties for open financial derivative instruments
Cash is also deposited by or on behalf of the Funds for initial margin purposes with brokers for options and futures contracts
and as collateral with counterparties in respect of OTC FDIs and TBA positions held on the Funds. As this amount is the
minimum deemed by the brokers and counterparties for collateral requirements the cash is as such restricted and is reported
separately to the unrestricted cash on the Funds’ Balance Sheets. Cash collateral pledged by counterparties and held by the
Funds is recognised within these tables also. Such cash remains in the ownership of the relevant counterparty and a related
liability to repay the cash is recognised within “Cash due to brokers and counterparties for open financial derivative
instruments” on the relevant Fund’s Balance Sheet. See section c) of this note for further details of same.
All such cash held on the Funds, including relevant broker and location of broker, as of 31 March 2016 and 31 March 2015
are detailed in the tables below.
As at 31 March 2016
Held with
Location
Bank of America .............................................................
New York, U.S.A.
BNP Paribas ....................................................................
New York, U.S.A.
Citibank ...........................................................................
New York, U.S.A.
Credit Suisse AG .............................................................
Deutsche Bank ................................................................
New York, U.S.A.
Goldman Sachs Group, Inc. ............................................
New York, U.S.A.
Goldman Sachs International ..........................................
HSBC ..............................................................................
New York, U.S.A.
JP Morgan .......................................................................
Morgan Stanley ...............................................................
New York, U.S.A.
Morgan Stanley & Co. International plc .........................
RBC Capital Market ........................................................
Toronto, Canada
Societe Generale ..............................................................
Paris, France
UBS AG ..........................................................................
UBS Securities LLC ........................................................
Jersey City, U.S.A.
Total
Russell
Russell
Emerging
Emerging
Russell
Market Debt
Markets
Global Bond
Russell
Local
Russell Euro
(Euro
Global
Extended
Hedged)
Defensive
Fund
Fund
Fund
Fund
Equity Fund
USD ‘000
USD ‘000
EUR ‘000
EUR ‘000
USD ‘000
410
47
613
310
260
724
97
310
494
2,345
502
35
1,200
465
4,620
216
245
50
511
447
7
35
124
506
7,110
502
1,126
5,324
511
31 March 2016
3.
Held with
Location
Bank of America .............................................................
New York, U.S.A.
BNP Paribas ....................................................................
New York, U.S.A.
Citibank ...........................................................................
New York, U.S.A.
Credit Suisse AG .............................................................
Deutsche Bank ................................................................
New York, U.S.A.
New York, U.S.A.
Goldman Sachs International ..........................................
HSBC ..............................................................................
New York, U.S.A.
JP Morgan .......................................................................
Morgan Stanley ...............................................................
New York, U.S.A.
RBC Capital Market ........................................................
Toronto, Canada
Paris, France
UBS AG ..........................................................................
UBS Securities LLC ........................................................
Jersey City, U.S.A.
Total
European
Equity Plus Russell U.S.
Equity Fund
Fund
Quant Fund
EUR ‘000
GBP ‘000
USD ‘000
1,055
2,590
624
2,590
624
1,055
Total
EUR ‘000
1,020
272
228
724
97
3,111
476
1,518
4,270
1,669
447
2,590
7
35
630
787
17,881
As at 31 March 2015
Held with
Location
Bank of America .............................................................
New York, U.S.A.
Citigroup Global Markets Holdings Inc. ........................
New York, U.S.A.
Credit Suisse Securities (USA) LLC ..............................
New York, U.S.A.
Deutsche Bank ................................................................
Goldman Sachs & Co. .....................................................
New York, U.S.A.
HSBC ..............................................................................
New York, U.S.A.
Paris, France
UBS AG ..........................................................................
Total
Russell
Russell
Emerging
Emerging
Russell
Market Debt
Markets
Global Bond
Russell
Local
Extended
Russell Euro
(Euro
Global
Hedged)
Defensive
Fund
Fund
Fund
Fund
Equity Fund
USD ‘000
USD ‘000
EUR ‘000
EUR ‘000
USD ‘000
1,003
260
424
1,173
950
4,952
311
2,768
19
3,518
128
261
246
812
754
37
603
90
168
3,778
5,555
775
7,557
812
Held with
Location
Bank of America .............................................................
New York, U.S.A.
Citigroup Global Markets Holdings Inc. ........................
New York, U.S.A.
Credit Suisse Securities (USA) LLC ..............................
New York, U.S.A.
Deutsche Bank ................................................................
Goldman Sachs & Co. .....................................................
New York, U.S.A.
HSBC ..............................................................................
New York, U.S.A.
Paris, France
UBS AG ..........................................................................
Total
Russell
European
Equity Plus Russell U.S. World Equity
Equity Fund
Fund
Quant Fund
Fund
EUR ‘000
GBP ‘000
USD ‘000
USD ‘000
351
1,890
10,550
424
1,890
424
351
10,550
Total
EUR ‘000
1,003
666
1,173
950
7,690
19
3,665
573
13,223
37
1,405
30,404
c) Cash due to brokers and counterparties for open financial derivative instruments
Cash amounts pledged as collateral by counterparties for OTC FDIs and held by the relevant Funds and cash amounts owed
to brokers for exchange traded FDI transactions at each balance sheet date are detailed in the tables below.
Cash amounts pledged as collateral by counterparties form part of the net assets of the respective Funds and a related asset is
included within “Cash held with brokers and counterparties for financial derivative instruments” on the Balance Sheet and
section b) of this note.
31 March 2016
3.
As at 31 March 2016
Due to
Location
Bank of America .............................................................
New York, U.S.A.
BNP Paribas ....................................................................
New York, U.S.A.
Citibank ...........................................................................
Credit Suisse AG .............................................................
Deutsche Bank ................................................................
New York, U.S.A.
New York, U.S.A.
HSBC ..............................................................................
JP Morgan .......................................................................
Morgan Stanley ...............................................................
New York, U.S.A.
Paris, France
UBS AG ..........................................................................
Total
Russell
Russell
Emerging
Emerging
Russell
Market Debt
Markets
Global Bond
Local
Extended
(Euro
Russell
Currency Opportunities
Hedged)
World Equity
Fund
Fund
Fund
Fund
USD ‘000
USD ‘000
EUR ‘000
USD ‘000
(316)
(310)
(260)
(179)
(97)
(310)
(557)
(10)
(465)
(31)
(1,269)
(447)
(35)
(29)
(880)
(557)
(1,609)
(1,269)
Total
EUR ‘000
(316)
(272)
(228)
(179)
(97)
(771)
(465)
(31)
(1,114)
(447)
(35)
(29)
(3,984)
As at 31 March 2015
Due to
Location
Deutsche Bank ................................................................
Royal Bank of Scotland ..................................................
Paris, France
Total
4.
Russell
Global Bond
(Euro
Hedged)
Fund
EUR ‘000
(950)
(40)
(37)
(1,027)
Total
EUR ‘000
(950)
(40)
(37)
(1,027)
Net Gain (Loss) on Investment Activities
All gains and losses on investments other than futures contracts and forward foreign currency exchange contracts are
included within the investments figure in the tables below.
a) Year ended 31 March 2016
i)
Net realised gain (loss):
Russell
Russell
Emerging
Emerging
Market Debt
Markets
Local
Extended
Russell Euro
Currency
Opportunities
Fixed Income
Fund
Fund
Fund
USD ‘000
USD ‘000
EUR ‘000
Investments ...........................................................................................................................
(62,537)
(83,401)
5,867
Futures contracts ..................................................................................................................
(2,191)
(4,415)
(489)
Foreign currency exchange ..................................................................................................
514
(2,671)
(10,448)
(64,214)
(90,487)
(5,070)
Russell U.K.
Equity Plus
Russell U.S.
Russell World
Fund
Quant Fund
Equity Fund
GBP ‘000
USD ‘000
USD ‘000
Investments ...........................................................................................................................
4,281
5,978
182,798
(323)
435
7,211
1
(1,525)
3,959
6,413
188,484
Russell Global
Bond (Euro
Hedged) Fund
EUR ‘000
17,687
936
(3,577)
15,046
Russell Global
Defensive
Equity Fund
USD ‘000
2,809
(613)
709
2,905
Russell Pan
European
Equity Fund
EUR ‘000
4,527
(2,002)
(428)
2,097
31 March 2016
4.
Net Gain (Loss) on Investment Activities - continued
ii) Net change in unrealised gain (loss) on:
Russell
Russell
Emerging
Emerging
Market Debt
Markets
Local
Extended
Russell Euro
Currency
Opportunities
Fixed Income
Fund
Fund
Fund
USD ‘000
USD ‘000
EUR ‘000
Investments ...........................................................................................................................
32,928
(25,936)
(8,463)
2
(678)
61
105
562
(1,587)
33,035
(26,052)
(9,989)
Russell Global
Bond (Euro
Hedged) Fund
EUR ‘000
(52,148)
437
13,691
(38,020)
Russell Global
Defensive
Equity Fund
USD ‘000
(6,663)
(22)
(1,397)
(8,082)
Russell Pan
European
Equity Fund
EUR ‘000
(76,525)
(178)
(320)
(77,023)
Russell Global
Bond (Euro
Hedged) Fund
EUR ‘000
15,046
(38,020)
Russell Global
Defensive
Equity Fund
USD ‘000
2,905
(8,082)
Russell Pan
European
Equity Fund
EUR ‘000
2,097
(77,023)
(22,974)
(5,177)
(74,926)
Russell Global
Bond (Euro
Hedged) Fund
EUR ‘000
26,542
(8,987)
(18,611)
(1,056)
Russell Global
Defensive
Equity Fund
USD ‘000
21,296
340
1,530
23,166
Russell Pan
European
Equity Fund
EUR ‘000
30,930
2,767
1,829
35,526
Russell U.K.
Equity Plus
Russell U.S.
Russell World
Fund
Quant Fund
Equity Fund
GBP ‘000
USD ‘000
USD ‘000
Investments ...........................................................................................................................
(8,668)
(10,446)
(264,878)
116
289
3,183
(3)
13,440
(8,555)
(10,157)
(248,255)
iii) Net gain (loss) on investment activities:
Russell
Russell
Emerging
Emerging
Market Debt
Markets
Local
Extended
Russell Euro
Currency
Opportunities
Fixed Income
Fund
Fund
Fund
USD ‘000
USD ‘000
EUR ‘000
Net realised gain (loss) .........................................................................................................
(64,214)
(90,487)
(5,070)
Net change in unrealised gain (loss)
33,035
(26,052)
(9,989)
Net gain (loss) on investment
activities ................................................................................................................................
(31,179)
(116,539)
(15,059)
Russell U.K.
Equity Plus
Russell U.S.
Russell World
Fund
Quant Fund
Equity Fund
GBP ‘000
USD ‘000
USD ‘000
3,959
6,413
188,484
(8,555)
(10,157)
(248,255)
activities ................................................................................................................................
(4,596)
(3,744)
(59,771)
b) Year ended 31 March 2015
i)
Net realised gain (loss):
Russell
Russell
Emerging
Emerging
Market Debt
Markets
Local
Extended
Russell Euro
Currency
Opportunities
Fixed Income
Fund
Fund
Fund
USD ‘000
USD ‘000
EUR ‘000
Investments ...........................................................................................................................
(20,564)
(8,888)
14,232
2,974
3,674
(1,866)
(5,009)
(50)
13,159
(22,599)
(5,264)
25,525
31 March 2016
4.
Net Gain (Loss) on Investment Activities - continued
Russell U.K.
Equity Plus
Russell U.S.
Russell U.S.
Fund
Growth Fund
Quant Fund
GBP ‘000
USD ‘000
USD ‘000
Investments ...........................................................................................................................
12,520
3,291
14,772
376
(221)
917
12,896
3,070
15,689
Russell U.S.
Value Fund
USD ‘000
6,598
(450)
6,148
Russell World
Equity Fund
USD ‘000
261,168
27,070
(19,002)
269,236
Russell
Russell
Emerging
Emerging
Market Debt
Markets
Local
Extended
Russell Euro
Currency
Opportunities
Fixed Income
Fund
Fund
Fund
USD ‘000
USD ‘000
EUR ‘000
Investments ...........................................................................................................................
(36,624)
(52,300)
9,582
(5)
(1,154)
(94)
51
384
552
(36,578)
(53,100)
10,040
Russell Global
Bond (Euro
Hedged) Fund
EUR ‘000
57,947
1,169
(7,127)
51,989
Russell Global
Defensive
Equity Fund
USD ‘000
(7,050)
(376)
649
(6,777)
Russell U.K.
Equity Plus
Russell U.S.
Russell U.S.
Fund
Growth Fund
Quant Fund
GBP ‘000
USD ‘000
USD ‘000
Investments ...........................................................................................................................
(8,174)
(2,701)
3,929
(130)
(6)
(32)
4
(8,300)
(2,707)
3,897
Russell U.S.
Value Fund
USD ‘000
(5,530)
(38)
(5,568)
Russell World
Equity Fund
USD ‘000
(111,281)
2,409
(10,300)
(119,172)
Russell Global
Bond (Euro
Hedged) Fund
EUR ‘000
(1,056)
51,989
Russell Global
Defensive
Equity Fund
USD ‘000
23,166
(6,777)
Russell Pan
European
Equity Fund
EUR ‘000
35,526
39,076
50,933
16,389
74,602
Russell U.S.
Value Fund
USD ‘000
6,148
(5,568)
Russell World
Equity Fund
USD ‘000
269,236
(119,172)
580
150,064
ii) Net change in unrealised gain (loss) on:
Russell Pan
European
Equity Fund
EUR ‘000
39,192
(175)
59
39,076
iii) Net gain (loss) on investment activities:
Russell
Russell
Emerging
Emerging
Market Debt
Markets
Local
Extended
Russell Euro
Currency
Opportunities
Fixed Income
Fund
Fund
Fund
USD ‘000
USD ‘000
EUR ‘000
(22,599)
(5,264)
25,525
(36,578)
(53,100)
10,040
activities ................................................................................................................................
(59,177)
(58,364)
35,565
Russell U.K.
Equity Plus
Russell U.S.
Russell U.S.
Fund
Growth Fund
Quant Fund
GBP ‘000
USD ‘000
USD ‘000
12,896
3,070
15,689
(8,300)
(2,707)
3,897
activities ................................................................................................................................
4,596
363
19,586
31 March 2016
5.
Transactions with Related Parties
a) Related Parties
Parties are considered to be related if one party has the ability to control the other party or is able to exercise significant
influence over the other party, in making financial or operational decisions. The following entities were related parties to the
Company during the years ended 31 March 2016 and 31 March 2015:
Details
disclosed
in section
Relation to the Company
Name of entity
of this note
Manager .............................................................................................................................
Russell Investments Ireland Limited ................................................................................
b), i)
Adviser and Distributor (the “Adviser”) ...........................................................................
Russell Investments Limited .............................................................................................
b), ii)
Promoter ............................................................................................................................
Frank Russell Company ....................................................................................................
b), iii)
Affiliated Money Manager ................................................................................................
Affiliated Russell entities ..................................................................................................
b), iv)
Affiliated Broker ...............................................................................................................
Russell Implementation Services Inc. ...............................................................................
b), iv)
Currency Implementation ...................................................................................................
Russell Implementation Services Inc. ...............................................................................
b), iv)
Directors of the Company .................................................................................................
As listed in the Administration of the Company page .....................................................
b), v)
Related Party Investors and Investees ...............................................................................
Affiliated Russell entities and Russell managed funds ....................................................
b), vi)
b) Related Party Transactions
i) Manager, Management Fee and Performance Fee
Russell Investments Ireland Limited, a wholly owned subsidiary of Frank Russell Company, which in turn is a 100 per
cent owned subsidiary of The London Stock Exchange Group ("LSEG"), is the Manager of the Company. The Manager
is engaged in the business of providing investment management and administrative services to collective investment
schemes. The Manager has: (a) appointed the Adviser to advise it on the Funds’ investments; (b) delegated the
administration of the Company to the Administrator; and (c) appointed the Adviser to market and promote the shares of
the Funds.
a) Management Fee
For services rendered under the management agreement, the Company pays the Manager a fee, accrued daily and
paid monthly in arrears, at the following annual rates based on the respective average daily net asset values of each
class of shares.
Russell Emerging Market
Debt Local Currency Fund
Class B Euro
Class I AUD Income
Class I Sterling
Class I Sterling Income
Class I USD
Class U Euro
1.70%
1.00%
1.00%
1.00%
1.00%
2.20%
Russell Global
Bond (Euro Hedged) Fund
Class A
Class B
Class DH-B
Class GBPH I Income
Class MZ Income
Russell Emerging Markets
Extended Opportunities Fund
Class A
1.30%
Russell Global
Defensive Equity Fund
1.50%
0.90%
0.90%
0.70%
0.40%
Class A
Class B Income
Class C
Class U
Class USD-H
Class USD-H Income
Russell Euro
Fixed Income Fund
Class B
Class F
Class GBPH I Income
Class I
Class P Income
Class S
0.80%
1.60%
0.65%
0.60%
1.00%
1.02%
Russell Pan
European Equity Fund
0.95%
0.80%
2.70%
2.00%
1.20%
1.20%
Class A
Class B
Class F
Class I
Class L
Class PAMEU
Class R Roll-Up
1.60%
1.00%
1.80%
0.90%
1.80%
2.30%
1.25%
31 March 2016
5.
Transactions with Related Parties - continued
Class B
0.65%
Class I Income
0.65%
Class P Income
1.25%
Class R
2.25%
Class B
Class C
Class I
Class P Income
Class R I Roll-Up
1.00%
1.60%
0.80%
1.50%
1.20%
Class B
Class C
Class D
Class EH-T
Class H Income
Class I
Class I Income
Class J
Class N
Class R
Class SH-B
Class SH-B Income
Class TYA
Class TYC
Class TYHC
Class USD-H
Class USD-H Income
0.90%
1.60%
0.75%
1.15%
0.90%
0.90%
0.25%
1.60%
2.30%
2.60%
0.95%
0.95%
0.68%
0.58%
0.61%
1.15%
1.15%
Rates for classes of shares not yet funded as at 31 March 2016 are not listed.
b) Performance Fee
A performance fee (the “Performance Fee”) is payable to the Manager in respect of the Funds (with the exception of
Russell Euro Fixed Income Fund) on an annual basis who in turn pays the Performance Fee to the Money Manager
of each Fund that is entitled to a performance fee as described based on the calculation methodology as detailed
within the Prospectus.
Performance Fees for the year ended 31 March 2016 amounted to EUR 1,198,126 (year ended 31 March 2015:
EUR 860,894). These charges related to Russell Emerging Market Debt Local Currency Fund, Russell Emerging
Markets Extended Opportunities Fund and Russell U.K. Equity Plus Fund.
ii) Adviser
The Manager discharges all fees payable to the Adviser out of its management fee.
iii) Promoter
Frank Russell Company acts as promoter to the Company (the “Promoter”). The Promoter is not entitled to a fee in its
capacity as Promoter to the Company.
iv) Affiliated Money Managers, Affiliated Broker and Currency Implementation
Russell Implementation Services Inc. and Russell Implementation Services Limited (collectively called “RIS”) and
Russell Investments Management Company are affiliated group companies to the Manager and the Adviser. The Adviser
and these entities can be appointed as a Money Manager to the Funds. Please refer to each Fund’s Manager Report
section for list of Money Manager as at 31 March 2016.
The appointment of Russell group companies as Money Manager to the Funds is subject to the same procedures as
appointing an external Money Manager and an intercompany agreement and investment guidelines are applied.
The Funds effect certain transactions through RIS and its global network of unaffiliated correspondent brokers. Trades
placed through RIS and its correspondents are made (i) to manage trading associated with changes in Money Managers,
rebalancing across existing Money Managers, cash flows and other portfolio transitions or (ii) to execute portfolio
securities transactions for each Fund’s assets where RIS has been appointed as Money Manager.
RIS may also amend by the Company to carry out foreign currency implementation trading for which a fee of 0.02 per
cent per trade is charged.
For the year ended 31 March 2016, the total commission earned by RIS, encompassing the range of services provided,
amounted to EUR 902,683 (year ended 31 March 2015: EUR 1,374,590).
31 March 2016
5.
v) Directors and Directors’ Fees
The Articles of Association provide that the Directors are entitled to a fee by way of remuneration at a rate to be
determined from time to time by the Directors. Directors’ fees are paid to non-executive Directors not employed by
Russell group companies. Directors’ fees shall not exceed the limits contained in the Prospectus and the Directors are
entitled to certain additional expenses as listed in the Prospectus. Directors’ fees charged during the year ended 31 March
2016 were EUR 60,027 (year ended 31 March 2015: EUR 55,310), these amounts are included in other fees in the
Combined Profit and Loss Account.
All of the Directors of the Company are also directors of the Russell Funds discussed below.
All of the Directors of the Company are also directors of the Manager. The following Directors of the Company are
employed by Russell group companies: Mr. James Beveridge, Mr. Peter Gonella, Mr. Neil Jenkins, Mr. John McMurray,
and Mr. Kenneth Willman.
Mr. James Firn is a former employee of Russell Investments who retired in June 2014. He continues to act as a Director
of Russell Investments Ireland Limited and the Funds managed by Russell Investments Ireland Limited.
The Adviser operates a defined contribution pension plan for its employees which invests in Russell managed funds
including the Funds. The pension fund is subject to a management fee rebate. The Directors who are employed by the
Russell group companies may be indirectly exposed to the Company through the pension scheme.
vi) Related Party Investors and Investees
a) Investment in other Russell Funds
The Funds may invest in the sub-funds of other funds managed by the Manager as listed in the table below. Details
of the Fund’s investments in these sub-funds can be found in the Schedule of Investments of each relevant Fund.
Type of Fund
Management
Fund Structure Name
Structure
Fee Rate
Russell Investment Company plc ..............................................................................................................................................................................
UCITS Umbrella
0.05% - 2.80%
Russell Investment Company III plc .........................................................................................................................................................................
UCITS Umbrella
0.05%
b) Related Party Shareholder of the Company
During the year ended 31 March 2016 and the year ended 31 March 2015, certain Funds of open-ended collective
investment schemes also managed by the Manager and administered by the Administrator were invested in the
Funds. In accordance with Section 33 of FRS 102 these entities are deemed related party shareholders to the
Company.
The table below discloses the value of related shareholders in the Company and the percentage of this value against
the Company’s combined net asset value as at the respective balance sheet dates.
31 March 2016
Company
31 March 2015
Company
Related Party Shareholders
EUR ‘000
%
EUR ‘000
%
Russell Institutional Funds plc .......................................................................................................................................
131,134
3.08%
42,797
0.77%
Russell Investment Company plc ...................................................................................................................................
29,791
0.70%
32,542
0.59%
Russell Investment Company V plc ...............................................................................................................................
124,807
2.93%
171,181
3.09%
c) Fund Mergers
i) Year ended 31 March 2016
There were no Fund mergers during the year ended 31 March 2016.
ii) Year ended 31 March 2015
Europe Focus Equity, a sub-fund of OpenWorld plc, an open ended investment company authorised by the
Central Bank and managed by the Manager, merged with Russell Pan European Equity Fund, on 12 December
2014.
31 March 2016
5.
vii) FTSE Russell Indices
Each of the following Funds’ benchmark is a FTSE Russell index. FTSE Russell is wholly owned by LSEG. No fees are
payable by the Company to FTSE Russell for this service.
Fund
Index
Russell Emerging Markets Extended Opportunities Fund ..........
Russell Emerging Extended Index Net
Russell Global Defensive Equity Fund .........................................
Russell Global Defensive Index
Russell Pan European Equity Fund ...........................................
Russell Developed Europe Large Cap Net Index
Russell U.S. Quant Fund ...........................................................
Russell 1000 Value Net 30% Index
Russell World Equity Fund .......................................................
Russell Developed Large Cap Net Index
6.
Significant Agreements
i)
Custodian and Trustee
State Street Custodial Services (Ireland) Limited is the Company’s Custodian and Trustee. The Custodian and Trustee has
appointed its parent, State Street, as its global sub-custodian who in turn has appointed a network of local sub-custodial
agents. The sub-custodian fees are paid at annual rates based on the total assets held in each individual country in which the
Funds invest plus applicable transaction charges.
Custodian and Trustee fees accrue daily and are paid monthly in arrears.
Included within the Custodian agreement is a right of set off for fees owing to and monies lent by the Custodian and Trustee.
ii) Administrator and Transfer Agency
State Street Fund Services (Ireland) Limited is the Company’s Administrator. The Administrator is responsible for the daily
determination of net asset value, maintaining the books and records of the Funds in respect of the Company and other
administrative services. The Manager has also appointed the Administrator as the Company’s Transfer Agent.
Such fees accrue daily and are paid monthly in arrears. The Manager shall discharge reasonable out of pocket expenses
payable to the Administrator out of the Funds’ assets.
The Administrator is also entitled to shareholder services fees as disclosed in the administration agreement and reporting
services fees of USD 7,000 per Fund per annum.
Transfer agency fees are charged based on the number of Funds in the umbrella structure, the number of shareholders,
number of statements issued, number of share classes and volume of shareholder transactions in a period and are subject to
adequate thresholds. Transfer agency fees charged and are charged and paid on a daily basis and are recognised within
Administration and transfer agency fees in the Profit and Loss Account for each Fund.
The Custodian and Trustee and Administration fees disclosed in the Profit and Loss Account include minimum fees. If the
total of the minimum fees is in excess of the combined administration and trustee percentage charges, the share class fee, the
reporting service fee and the shareholder service fee, after the deduction of any discount, then this minimum will apply. The
minimum fee for new Funds will be waived for one year from the launch of the new Fund.
The aggregate of the Administration and Custodian and Trustee Fees will not exceed 0.35 percent of the Net Asset Value of
any Fund.
iii) Transaction Costs
Transaction costs relating to the broker commission on the purchase and sale of bonds, equities, exchange traded FDIs and
OTC FDIs, are included in the purchase and sale price of the investment.
Transaction costs on the purchase and sale of bonds and OTC FDIs cannot be practically or reliably gathered as they are
embedded in the cost of the investment and cannot be separately verified or disclosed. Transaction costs on purchases and
sales of equities and exchange traded FDIs are readily identifiable.
31 March 2016
6.
Significant Agreements - continued
Total transaction costs, incorporating broker commissions and transaction costs of the Custodian and Trustee and subcustodians are as follows:
Functional
Fund
Currency
Russell Emerging Market Debt Local Currency Fund ........................USD
Russell Emerging Markets Extended Opportunities Fund ..................USD
Russell Euro Fixed Income Fund ........................................................EUR
Russell Global Bond (Euro Hedged) Fund ..........................................EUR
Russell Global Defensive Equity Fund ...............................................USD
Russell Pan European Equity Fund .....................................................EUR
Russell U.K. Equity Plus Fund ............................................................GBP
Russell U.S. Growth Fund ...................................................................USD
Russell U.S. Quant Fund .....................................................................USD
Russell U.S. Value Fund ......................................................................USD
Russell World Equity Fund .................................................................USD
Year ended
31 March 2016
‘000
291
3,086
141
451
239
1,209
324
205
2,603
Year ended
31 March 2015
‘000
199
3,256
61
224
525
1,138
385
13
169
10
4,472
iv) Auditors’ Remuneration
The remuneration for all work carried out by the statutory audit firm in respect of the financial year under review and prior
financial year is as follows:
2016
2015
EUR ‘000
EUR ‘000
Statutory audit of accounts* ....................................................................................................................................................................................................
145
161
Tax advisory services** ..........................................................................................................................................................................................................
34
45
179
206
Total ........................................................................................................................................................................................................................................
* The fees for statutory audit of the accounts disclosed in the table above are exclusive of VAT. The audit fees recognised in the Profit and Loss Account
are inclusive of VAT.
** Exclusive of VAT
There were no fees for other assurance services or other non-audit services during the year ended 31 March 2016 (year ended
31 March 2015: Nil).
7.
Soft Commissions and Commission Recapture Programme
The Adviser retains the right to request that the Money Managers participate in Russell’s soft commission and commission
recapture programme (the “Programme”) by executing a portion of their securities transactions through certain brokers (the
“Correspondent Broker Networks”). Money Manager participation in the Programme is not mandatory and the appropriate
participation percentage target is determined on a Money Manager by Money Manager basis, based upon asset class,
investment mandate, trading habits, and tolerance for participation and is always subject to a Money Manager’s ability to
obtain best execution.
The Programme, including the Correspondent Broker Networks, is administered by Recapture Services, a division of BNY
ConvergEx Execution Solutions LLC (“BNY”) and State Street Global Markets (“SSGM”).
A portion of the commission earned by the Correspondent Broker Networks as a result of this trading activity will be set
aside in the Programme as “credits”. These credits are then earmarked for purchase of third party research (“Soft
Commission Credits”) or commission recapture (“Commission Credits”).
i)
Soft Commission Credits
All soft commission use is overseen by Russell’s soft commission committee (the “Committee”) which is made up of
senior level investment personnel. The Committee, with the guidance of Russell’s investment strategy committee,
establishes an annual soft commission research budget for the use of the Soft Commission Credits.
Soft Commission Credits are used by Russell to purchase third party research that will aid Russell in its investment
decision-making process. Research purchased through the Programme is obtained from unaffiliated third parties at
market rates.
31 March 2016
7.
Soft Commissions and Commission Recapture Programme - continued
ii) Recapture Credits
Once the soft commission research budget has been met the Committee will instruct BNY and SSGM to recapture the
Commission Credits which are then rebated directly back to the relevant Fund from which the commission was
generated. Recapture Credits are recognised within other income in the relevant Fund’s Profit and Loss Account. Russell
does not receive any revenue (directly or indirectly from Recapture Credits) from the commission recapture component
of the Programme.
8.
Distributions
The Company conducts its affairs so as to enable U.K. reporting fund status to be obtained under the United Kingdom
Income and Corporation Taxes Act, 1988 for the purposes of U.K. taxation for each applicable Fund.
With the exception of Roll-Up Class Shares, the distribution policy of each Fund is to distribute out of net income. Roll-Up
Class Shares do not declare or distribute net income and their net asset value reflects net income. Distributions declared by
Income Class Shares are paid in cash unless the shareholder chooses to reinvest part or all of the amount in the capital of the
relevant Share Class. Accumulation Class Shares declare a distribution which is then reinvested in the capital of the relevant
share class.
The distributions in respect of the Funds are calculated and declared on a calendar quarterly basis (i.e. quarterly periods
ended 31 March, 30 June, 30 September and 31 December).
9.
Taxation
Under current law and practice the Company qualifies as an investment undertaking as defined in Section 739B of the Taxes
Consolidation Act, 1997, as amended (the “TCA”). On that basis, it is not chargeable to Irish tax on its income or gains.
However, Irish tax may arise on the occurrence of a “chargeable event”. A chargeable event includes any distribution
payments to shareholders or any encashment, redemption, transfer or cancellation of shares and any deemed disposal of
shares for Irish tax purposes arising as a result of holding shares in the Company for a period of eight years or more.
No Irish tax will arise in respect of chargeable events in respect of a shareholder who is an Exempt Irish Investor (as defined
in Section 739D of the TCA) or who is neither Irish resident nor ordinarily resident in Ireland for tax purposes at the time of
the chargeable event, provided, in each case, that an appropriate valid declaration in accordance with Schedule 2B of the
TCA is held by the Company or where the Company has been authorised by Irish Revenue to make gross payments in
absence of appropriate declarations.
Distributions, interest and capital gains (if any) received on investments made by the Company may be subject to
withholding taxes imposed by the country of origin and such taxes may not be recoverable by the Company or its
shareholders.
10. Number of Shares in Issue and Net Assets Attributable to Redeemable Participating Shareholders
a) Authorised Share Capital
The authorised share capital of the Company is 39,000 subscriber shares of no par value and 500 billion participating shares
of no par value. Subscriber shares do not form part of the net asset value of the Company. They are disclosed in the financial
statements by way of this note only.
Holders of subscriber shares are not entitled to dividends or any surplus of assets over liabilities upon the winding-up of the
Company. The subscriber shares are held by the Promoter and the Adviser.
b) Redeemable Participating Shares
Each of the shares entitles the holder to participate equally on a pro rata basis in the profits and dividends of the relevant
Fund attributable to such shares and to attend and vote at meetings of the Company and of the relevant Fund represented by
those shares. No class of shares confers on the holder thereof any preferential or pre-emptive rights or any rights to
participate in the profits and dividends of any other class of shares or any voting rights in relation to matters relating solely to
any other class of shares.
31 March 2016
10. Number of Shares in Issue and Net Assets Attributable to Redeemable Participating Shareholders - continued
Each share represents an individual beneficial interest in the Company. The shares are not debt obligations or guaranteed by
the Company. The return on an investment in the Company will depend solely upon the investment performance of the assets
of the relevant Fund and the increase or decrease (as the case may be) in the net asset value of the shares. The amount
payable to a shareholder in respect of each share upon liquidation of the Company or a Fund will equal the net asset value per
share. However, in a relatively illiquid market, a Fund may not be able to dispose of its investments quickly and as such a
Fund may experience adverse price movements upon liquidation of its investments. Settlement of transactions may be subject
to delay and administrative uncertainties and the price repaid to the shareholders in such circumstances will not equal the
final published net asset value per share.
Net assets attributable to shareholders represent a liability on the Balance Sheet, carried at the redemption amount that would
be payable at the balance sheet date if the shareholder exercised the right to redeem the shares in the Company.
Participating Share Transactions
All cash amounts are in the functional currency of the relevant Fund not the currency of the class.
Number of Shares in issue
Year ended 31 March 2015
Beginning
Shares
Shares
Share Class
of year
Issued
Redeemed
Class B Euro .....................................................
17,094
44,707
(4,589)
Class I AUD Income ........................................
70,249
46,893
(1,883)
Class I Sterling .................................................
121,083
28,338
(18,996)
Class I Sterling
Income ...............................................................
16,621
Class I USD ......................................................
78
107,655
(55,434)
Class U Euro .....................................................
1
-
End
of year
57,212
115,259
130,425
16,621
52,299
1
Shares
Shares
End
Issued
Redeemed
of year
85,964
(1,143)
142,033
66,519
(59,625)
122,153
2,175
(7,294)
125,306
18,240
24,950
-
(16,836)
(45,645)
-
18,025
31,604
1
Value of Share Transactions
Subscriptions
Redemptions
Share Class
USD ‘000
USD ‘000
Class B Euro .....................................................
46,411
(5,401)
Class I AUD Income ........................................
40,194
(1,511)
41,052
(25,473)
Class I Sterling .................................................
Class I Sterling
Income ..............................................................
25,386
Class I USD ......................................................
97,880
(49,744)
Class U Euro .....................................................
-
Subscriptions
Redemptions
USD ‘000
USD ‘000
86,626
(1,130)
43,309
(38,570)
2,828
(8,347)
25,335
20,344
-
(24,062)
(33,722)
-
Beginning
Shares
Shares
Share Class
of year
Issued
Redeemed
Class A ..............................................................
893,193
9,374
(36,577)
End
of year
865,990
Shares
Shares
End
Issued
Redeemed
of year
60,930
(117,966)
808,954
Subscriptions
Redemptions
Share Class
USD ‘000
USD ‘000
Class A ..............................................................
10,236
(39,082)
Subscriptions
Redemptions
USD ‘000
USD ‘000
50,745
(92,125)
31 March 2016
Beginning
Shares
Shares
Share Class
of year
Issued
Redeemed
64,753
16,496
(17,871)
Class B ..............................................................
Class F ..............................................................
97
8
Class GBPH I Income ......................................
8,035,469
305,203
(730,362)
Class I ...............................................................
28,544
2,640
(2,182)
Class P Income .................................................
139,098
23,412
(55,061)
Class S ..............................................................
32,684
20,627
(8,100)
End
of year
63,378
105
7,610,310
29,002
107,449
45,211
Shares
Shares
End
Issued
Redeemed
of year
40,913
(25,097)
79,194
159
(16)
248
3,310,503
(784,881)
10,135,932
7,785
(4,665)
32,122
8,567
(35,201)
80,815
8,464
(25,806)
27,869
Subscriptions
Redemptions
Share Class
EUR ‘000
EUR ‘000
Class B ..............................................................
29,060
(29,871)
Class F ..............................................................
12
4,193
(9,811)
Class I ...............................................................
75
(59)
Class P Income .................................................
337
(785)
Class S ..............................................................
2,833
(1,125)
Subscriptions
Redemptions
EUR ‘000
EUR ‘000
72,388
(44,713)
245
(25)
50,278
(11,590)
229
(134)
125
(510)
1,180
(3,587)
Beginning
Shares
Shares
Share Class
of year
Issued
Redeemed
1,388
674
(267)
Class A ..............................................................
Class B ..............................................................
150,076
146,492
(101,470)
Class DH-B .......................................................
2,720,124
793,044
(476,706)
8,189,388
426,655
(587,960)
Class MZ Income .............................................
4,129
384,901
(167,915)
End
of year
1,795
195,098
3,036,462
8,028,083
221,115
Subscriptions
Redemptions
Share Class
EUR ‘000
EUR ‘000
Class A ..............................................................
1,210
(481)
Class B ..............................................................
288,449
(199,734)
Class DH-B .......................................................
10,528
(6,082)
5,754
(7,601)
Class MZ Income .............................................
5,000
(2,155)
Subscriptions
Redemptions
EUR ‘000
EUR ‘000
1,475
(526)
42,438
(179,028)
11,005
(3,903)
5,576
(13,606)
5,188
(6,226)
Shares
Shares
End
Issued
Redeemed
of year
813
(290)
2,318
21,324
(90,748)
125,674
744,439
(264,943)
3,515,958
393,898
(956,063)
7,465,918
406,784
(485,110)
142,789
31 March 2016
Beginning
Shares
Shares
Share Class
of year
Issued
Redeemed
65,763
77,711
(66,272)
Class A ..............................................................
Class B Income .................................................
107,885
16,476
(119,644)
Class C ..............................................................
1
1
Class U ..............................................................
1
3
Class USD-H ....................................................
24,512
12,683
(6,993)
Class USD-H Income
-
End
of year
77,202
4,717
2
4
30,202
-
Shares
Shares
End
Issued
Redeemed
of year
21,937
(36,131)
63,008
719
(4,192)
1,244
19
21
899
903
3,587
(25,228)
8,561
35,035
35,035
Subscriptions
Redemptions
Share Class
USD ‘000
USD ‘000
Class A ..............................................................
102,179
(88,096)
Class B Income .................................................
21,908
(161,289)
Class C ..............................................................
2
Class U ..............................................................
4
Class USD-H ....................................................
15,198
(8,995)
Class USD-H Income
-
Subscriptions
Redemptions
USD ‘000
USD ‘000
29,724
(45,974)
993
(5,752)
31
1,455
4,622
(32,795)
34,837
-
Beginning
Shares
Shares
Share Class
of year
Issued
Redeemed
2,456
282
(491)
Class A ..............................................................
Class B ..............................................................
256,169
72,391
(50,345)
Class F ..............................................................
19,586
11,764
(9,560)
Class I ...............................................................
24,887
1,409
(1,644)
Class L ..............................................................
1,088
(499)
241,810
121,770
(26,447)
Class PAMEU ..................................................
Class R Roll-Up ................................................
378,980
35,942
(56,072)
End
of year
2,247
278,215
21,790
24,652
589
337,133
358,850
Shares
Shares
End
Issued
Redeemed
of year
2,843
(1,688)
3,402
109,091
(35,498)
351,808
4,100
(5,459)
20,431
3,116
(1,760)
26,008
(169)
420
78,865
(263,379)
152,619
60,294
(17,568)
401,576
Subscriptions
Redemptions
Share Class
EUR ‘000
EUR ‘000
Class A ..............................................................
333
(547)
Class B ..............................................................
87,770
(60,960)
Class F ..............................................................
19,314
(16,830)
Class I ...............................................................
36
(41)
Class L ..............................................................
1,370
(676)
Class PAMEU ..................................................
1,967
(434)
Class R Roll-Up ................................................
4,444
(7,753)
Subscriptions
Redemptions
EUR ‘000
EUR ‘000
3,314
(1,925)
145,498
(47,283)
7,204
(10,151)
89
(48)
(253)
1,545
(4,404)
7,928
(2,337)
31 March 2016
Beginning
Shares
Shares
Share Class
of year
Issued
Redeemed
601,847
41,633
(214,136)
Class B ..............................................................
Class I Income ..................................................
122,614
20,243
(13,529)
Class P Income .................................................
124,333
17,454
(16,311)
Class R ..............................................................
50,940
4,869
(21,170)
End
of year
429,344
129,328
125,476
34,639
Shares
Shares
End
Issued
Redeemed
of year
42,674
(122,007)
350,011
16,865
(17,471)
128,722
17,528
(22,418)
120,586
2,017
(6,849)
29,807
Subscriptions
Redemptions
Share Class
GBP ‘000
GBP ‘000
Class B ..............................................................
6,413
(34,485)
Class I Income ..................................................
2,448
(1,690)
Class P Income .................................................
2,204
(2,091)
Class R ..............................................................
668
(2,883)
Subscriptions
Redemptions
GBP ‘000
GBP ‘000
6,820
(20,152)
2,047
(2,189)
2,246
(2,912)
279
(982)
Beginning
Shares
Shares
Share Class
of year
Issued
Redeemed
Class A Income .................................................
1,800
(1,800)
Class B ..............................................................
757,425
44,523
(801,948)
Class C ..............................................................
4
(4)
Class I ...............................................................
19,370
431
(19,801)
89,889
6,165
(96,054)
Class I Income ..................................................
End
of year
-
Subscriptions
Redemptions
Share Class
USD ‘000
USD ‘000
Class A Income .................................................
(28)
Class B ..............................................................
754
(14,024)
(9)
Class C ..............................................................
Class I ...............................................................
10
(462)
Class I Income ..................................................
147
(2,248)
Beginning
Shares
Shares
Share Class
of year
Issued
Redeemed
4,294,926
3,520,161
(1,142,802)
Class B ..............................................................
Class C ..............................................................
2
(1)
Class I ...............................................................
1,751,697
135,846
(147,093)
Class P Income .................................................
454,513
72,284
(128,852)
Class R1 Roll-Up ..............................................
-
End
of year
6,672,285
1
1,740,450
397,945
-
Shares
Shares
End
Issued
Redeemed
of year
5,216,857
(3,145,574)
8,743,568
4,668
4,669
90,430
(286,121)
1,544,759
58,661
(108,217)
348,389
1,078,996
1,078,996
31 March 2016
Subscriptions
Redemptions
Share Class
USD ‘000
USD ‘000
73,877
(23,578)
Class B ..............................................................
Class C ..............................................................
(2)
Class I ...............................................................
3,673
(4,269)
Class P Income .................................................
2,500
(4,416)
Class R1 Roll-Up
-
Subscriptions
Redemptions
USD ‘000
USD ‘000
110,431
(66,822)
7,819
2,549
(8,438)
2,089
(3,860)
10,790
-
Beginning
Shares
Shares
Share Class
of year
Issued
Redeemed
Class A Income .................................................
35,590
(35,590)
Class B ..............................................................
1,209,878
29,099
(1,238,977)
57
17
(74)
Class C ..............................................................
Class I ...............................................................
19,021
537
(19,558)
Class I Income ..................................................
83,342
2,983
(86,325)
End
of year
-
Subscriptions
Redemptions
Share Class
USD ‘000
USD ‘000
(644)
Class A Income .................................................
Class B ..............................................................
602
(25,636)
Class C ..............................................................
41
(171)
Class I ...............................................................
15
(547)
Class I Income ..................................................
81
(2,294)
Beginning
Shares
Shares
Share Class
of year
Issued
Redeemed
Class B ..............................................................
33,917,626
13,048,368
(16,025,172)
Class C ..............................................................
6,634,385
9,247
(5,481,335)
Class D ..............................................................
2,687,003
22,342
(393,054)
Class EH-T .......................................................
9,728,053
243,036
(910,718)
Class H Income .................................................
13,426,620
(296,079)
Class I ...............................................................
27,424,767
75,172
(5,628,937)
Class I Income ..................................................
12,945,526
44,616
(12,990,142)
Class J ...............................................................
59,299
5,085
Class N ..............................................................
20,921
1,911
(5,032)
362,296
270,557
(43,380)
Class R ..............................................................
Class SH-B .......................................................
1,399,454
2,207
(982,931)
Class SH-B Income ..........................................
1,272,035
2,622
(14,098)
Class TYA ........................................................
1,948,084
1,000
(5,314)
Class TYC ........................................................
7,683,062
(4,851,413)
Class TYHC ......................................................
5,025,844
184,700
(4,315,569)
143,361
45,855
(57,352)
Class USD-H ....................................................
Class USD-H Income .......................................
-
End
of year
30,940,822
1,162,297
2,316,291
9,060,371
13,130,541
21,871,002
64,384
17,800
589,473
418,730
1,260,559
1,943,770
2,831,649
894,975
131,864
-
Shares
Shares
End
Issued
Redeemed
of year
7,508,311
(15,663,772)
22,785,361
12,794
(1,780)
1,173,311
19,615
(36,056)
2,299,850
147,845
(884,029)
8,324,187
(13,130,541)
145,718
(5,095,248)
16,921,472
9,400
73,784
1,514
(2,165)
17,149
108,707
(53,963)
644,217
951
(202,988)
216,693
(1,260,559)
(584,614)
1,359,156
2,831,649
(894,975)
36,423
(152,276)
16,011
131,558
(4,815)
126,743
31 March 2016
Subscriptions
Redemptions
Share Class
USD ‘000
USD ‘000
283,668
(350,912)
Class B ..............................................................
Class C ..............................................................
228
(134,215)
Class D ..............................................................
748
(13,117)
Class EH-T .......................................................
4,110
(16,005)
Class H Income .................................................
225,406
(4,982)
Class I ...............................................................
2,960
(218,990)
Class I Income ..................................................
735
(225,406)
Class J ...............................................................
102
Class N ..............................................................
288
(781)
Class R ..............................................................
48,789
(7,916)
Class SH-B ........................................................
548
(241,958)
444
(2,531)
Class SH-B Income ..........................................
Class TYA ........................................................
13
(73)
Class TYC ........................................................
(81,904)
Class TYHC ......................................................
2,291
(54,443)
Class USD-H ....................................................
65,277
(82,409)
Class USD-H Income .......................................
-
Subscriptions
Redemptions
USD ‘000
USD ‘000
167,635
(350,220)
325
(45)
678
(1,219)
2,328
(14,654)
(232,431)
5,745
(205,493)
184
229
(322)
19,867
(9,945)
222
(47,462)
(232,247)
(8,448)
(11,025)
56,162
(228,969)
131,112
(4,600)
All share classes are Accumulation Class Shares unless otherwise indicated in the name of the share class.
c)
Swing Pricing/Dilution Adjustments
Swing pricing (also known as dilution adjustment) is applied to a Fund once net subscriptions or redemptions for a Fund for a
given dealing day is determined by the Administrator to exceed certain predetermined percentage thresholds relating to a
Fund’s net asset value. In calculating the swing pricing, the net asset value of a Fund is swung by a “swing factor”.
The swing factors applied during the year under review and year ended 31 March 2015 ranged from 0.00% to 0.65% on
subscriptions and from 0.00% to 0.45% on redemptions.
d) Significant Shareholders
Parties are considered to be related if one party has the ability to control the other party or is able to exercise significant
influence over the other party, in making financial or operational decisions. The following table details the number of
shareholders with significant holdings of at least 20 per cent of the relevant Fund’s and the aggregate value and percentage of
that holding as at 31 March 2016.
Number of
Significant
Fund
Shareholders
Russell Emerging Markets Debt Local Currency Fund ..............................
2
Russell Emerging Markets Extended Opportunities Fund .........................
3
Russell Global Bond (Euro Hedged) Fund .................................................
1
Russell Global Defensive Equity Fund .......................................................
2
Russell Pan European Equity Fund ............................................................
1
Russell U.K. Equity Plus Fund ...................................................................
1
Aggregate
Value of Holding
Shareholding
‘000
as a % of the Fund
USD
297,570
68.28%
USD
640,885
92.10%
EUR
83,379
20.33%
USD
70,242
52.48%
EUR
119,182
22.81%
GBP
19,117
21.03%
The following table details the number of shareholders with significant holdings of at least 20 per cent of the relevant Fund’s
and the aggregate value and percentage of that holding as at 31 March 2015.
Number of
Significant
Fund
Shareholders
Russell Emerging Markets Debt Local Currency Fund ..............................
1
Russell Emerging Markets Extended Opportunities Fund .........................
2
Russell Euro Fixed Income Fund ................................................................
1
Russell Global Bond (Euro Hedged) Fund .................................................
1
Russell Global Defensive Equity Fund .......................................................
1
Russell Pan European Equity Fund ............................................................
1
Aggregate
Value of Holding
Shareholding
‘000
as a % of the Fund
USD
159,461
41.74%
USD
635,791
75.17%
EUR
58,210
23.85%
EUR
173,863
30.75%
USD
35,434
23.52%
EUR
114,399
23.28%
31 March 2016
11. Efficient Portfolio Management
The Company may enter into securities lending arrangements and repurchase agreements (together “Efficient Portfolio
Management Techniques”) and may invest in OTC FDIs, subject to the restrictions set forth the Prospectus and to the extent
consistent with the Fund’s investment objective and policies.
The use of techniques and instruments relating to transferable securities, money market instruments and/or other financial
instruments in which the Funds invest for efficient portfolio management purposes will generally be made for one or more of
the following reasons:
i)
the reduction of risk;
ii) the reduction of cost; or
iii) the generation of additional capital or income for the relevant Fund with an appropriate level of risk, taking into account
the risk profile of the Fund and the risk diversification rules set out in the UCITS Regulations issued by the Central
Bank.
All the revenues arising from Efficient Portfolio Management Techniques employed shall be returned to the relevant Fund
following the deduction of any direct and indirect operational costs and fees arising. Such direct and indirect operational
costs and fees, (which are all fully transparent) which shall not include hidden revenue, shall include fees and expenses
payable to repurchase/reverse repurchase agreements counterparties and/or securities lending agents engaged by the
Company from time to time. Such fees and expenses of any repurchase/reverse repurchase agreements counterparties and/or
stocklending agents engaged by the Company, which will be at normal commercial rates together with VAT, if any, thereon,
will be borne by the Company or the Fund in respect of which the relevant party has been engaged.
Money Manager(s) on behalf of a Fund may employ techniques and instruments relating to transferable securities, money
market instruments and/or other financial instruments in which they invest for efficient portfolio management purposes. At
any time a Fund may hold a combination of derivative instruments such as futures, forward contracts, options, swaps and
swaptions, forward foreign exchange contracts, caps, floors and credit derivatives, any of which may be listed or over-thecounter. Please refer to Note 2 b) Financial Instruments at Fair Value through Profit or Loss for a range of FDIs that the
Company may employ for the purpose of efficient portfolio management.
12. Financial Risks
The activities of each Fund expose it to various financial risks such as market risk (including market price risk, interest rate
risk, and currency risk), credit risk and liquidity risk.
Some Funds delegate some of the management of its portfolio to external Money Managers. The Adviser primarily monitors
and manages market risk (including market price risk, interest rate risk, and currency risk), credit risk and liquidity risk by
the following techniques:





The Adviser monitors each Fund’s characteristics in detail with the Money Manager(s) at least quarterly and in some
cases monthly.
The Adviser also reviews the portfolio characteristics of each Fund in its entirety.
This review may include as appropriate a review of country allocations, country weights, capitalisation, distribution,
industry sector weights, price/book levels, currency exposure, portfolio maturity, portfolio duration, sector exposure and
quality exposure and other key risk measures.
In addition to monitoring investment activity and exposure at the point of execution by a Money Manager, the Adviser
also receives daily exposure reporting from the Administrator and Money Managers, with which they can review various
event exposures on the Funds.
The Adviser also oversees and monitors the overall level of risk in a Fund.
31 March 2016
12. Financial Risks - continued
a) Global Exposure
The Funds will use advanced risk measurement methodology, namely Value at Risk (“VaR”) as a risk measurement
technique, in addition to other techniques, to measure, monitor and manage market risk. The absolute or relative VaR
approach is executed in accordance with the CESR (Committee of European Securities Regulators) 10/788 guidelines. VaR
quantifies the estimate of the maximum potential loss due to market risk at a given confidence level over a specified time
period under the prevailing market conditions.
VaR is a model-based estimate. As with any model-derived figure, it is subject to imprecision due to such factors as data and
measurement errors and model risk. The calculation of VaR is based on daily unaudited accounting book of record position
data. In addition, VaR assumes that future asset return distributions and correlations remain stable and consistent with the
prevailing market conditions. The Funds utilise additional measures such as stress testing analysis and exposure
measurement to provide a holistic view to the Funds’ market risk that includes tail risk and derivative exposure
quantification. Furthermore, accuracy of the VaR models is regularly checked via out-of-time/out-of-sample back testing.
VaR is calculated with Monte Carlo simulations approach (1000 paths) using granular market risk models. The approach
estimates VaR by simulating random scenarios for each relevant pricing inputs (e.g., specific equity, commodity prices,
foreign exchange and interest rates, implied volatility, etc.) used in valuing securities held in the portfolio and revaluing the
positions for each of the paths generated for pricing inputs. For Funds using the absolute VaR approach, the VaR of the Fund
shall not exceed 3.16 per cent of the Net Asset Value of the Fund, based on a 1 day holding period and a “one-tailed” 95 per
cent confidence interval using observation period of at least 1 year. For Funds using the relative VaR approach, the VaR of
the Fund shall not exceed twice that of the VaR of the reference portfolio based on a 1 day holding period and a “one-tailed”
95 per cent confidence interval using historical observation period of at least 1 year. A Fund VaR of 1 per cent means that
there is a 5 per cent chance that the Fund will lose more than 1 per cent of its value over any given day, assuming that the
prevailing market conditions continue into the future.
The below table details the VaR expressed as a percentage of the NAV at year end 31 March 2016 and year end 31 March
2015, VaR approach for each Fund and for those Funds utilising the relative VaR methodology, the reference portfolio is also
listed.
Global Exposure Calculation Methodology and VaR as at the year end
Fund Name
Approach
Reference Portfolio
Russell Emerging Market Debt Local Currency Fund ...................................
Absolute
N/A
Russell Emerging Markets Extended Opportunities Fund .............................
Relative
Russell Emerging Markets Index Net
Russell Euro Fixed Income Fund ...................................................................
Absolute
N/A
Russell Global Bond (Euro Hedged) Fund ....................................................
Absolute
N/A
Russell Global Defensive Equity Fund ..........................................................
Relative
Russell Global Defensive Index
Russell Pan European Equity
Russell Developed Europe Large Cap Net
Fund ................................................................................................................
Relative
Index
Russell U.K. Equity Plus Fund .......................................................................
Relative
FTSE All-Share Total Return Index
Russell U.S. Quant Fund ................................................................................
Relative
Russell 1000 Net 30% Index
Russell World Equity Fund ............................................................................
Relative
Russell Developed Large Cap Net Index
VaR as at
VaR as at
31 March 2016 31 March 2015
1.3%
1.3%
2.0%
1.0%
0.8%
0.7%
0.5%
0.4%
1.2%
1.1%
2.6%
1.9%
1.8%
1.5%
1.5%
1.3%
1.4%
1.2%
VaR utilisation measures the Fund’s VaR relative to the Fund’s VaR limit. The below table details the minimum, maximum
and average daily VaR utilisation that occurred during the one year period ending 31 March 2016 and one year period ending
31 March 2015.
31 March 2016
Daily VaR Utilisation*
31 March 2016
Fund Name
Minimum
Maximum
Russell Emerging Market Debt Local Currency Fund ..................................
28.4%
47.3%
Russell Emerging Markets Extended Opportunities Fund ............................
<0%
11.2%
16.8%
32.7%
9.6%
18.2%
<0%
12.7%
Russell Pan European Equity Fund ................................................................
<0%
12.7%
Russell U.K. Equity Plus Fund ......................................................................
<0%
9.1%
Russell U.S. Growth Fund ..............................................................................
1.9%
16.5%
Russell U.S. Value Fund ................................................................................
<0%
13.3%
Average
36.3%
0.6%
23.1%
14.6%
2.2%
4.0%
1.6%
9.1%
2.3%
Minimum
19.7%
<0%
7.0%
5.2%
<0%
<0%
<0%
<0%
<0%
<0%
<0%
31 March 2015
Maximum
41.7%
7.7%
21.0%
13.7%
9.8%
17.5%
17.9%
15.1%
8.8%
14.2%
13.2%
Average
29.6%
<0%
13.8%
8.7%
<0%
2.6%
5.7%
<0%
2.6%
<0%
4.8%
* Absolute VaR Limit Utilisation = VaR (95% CI, 1 day) / 3.16%
Relative VaR Limit Utilisation = [Fund VaR / Benchmark VaR] - 1
Utilisation >100% equates to breaking the limit
The Daily VaR Utilisation calculation excludes VaR values occurring during Fund opening or closing due to accounting and timing issues.
The below table details the Fund’s VaR relative to the Fund’s VaR limit at the year end 31 March 2016 and 31 March 2015.
VaR Utilisation
Year ended
31 March 2016
Fund Name
Level
40%
9%
24%
15%
<0%
11%
<0%
14%
10%
Year ended
31 March 2015
Level
39%
<0%
20%
12%
1%
5%
<0%
3%
4%
The average level of leverage figures provided below are calculated as the sum of the absolute value of notionals of the
derivatives used as is required by the UCITS Regulations. This figure does not take into account any netting and hedging
arrangements that the Funds may have in place at any time even though these netting and hedging arrangements are used for
risk reduction purposes. As these netting and hedging arrangements, if taken into account, may reduce the level of leverage,
this calculation may not provide an accurate measure of the Funds’ actual leverage position. Below is the daily average level
of leverage for each Fund during the one year period ending 31 March 2016 and 31 March 2015.
Level of Leverage*
Year ended
Fund Name
31 March 2016
92.8%
11.9%
95.3%
224.7%
27.9%
6.4%
4.9%
Russell U.S. Growth Fund ..............................................................................
3.9%
Russell U.S. Value Fund ................................................................................
39.2%
Year ended
31 March 2015
70.8%
14.8%
82.8%
214.8%
23.3%
6.6%
5.6%
9.1%
4.0%
5.9%
40.4%
* The Daily Average Leverage calculation excludes distorted daily leverage values occurring during Fund opening or closing due to accounting and timing
issues.
31 March 2016
b) Market Price Risk
Market price risk is defined in FRS 102 as the risk that the fair value of a financial instrument or its future cash flows will
fluctuate because of changes in market prices other than those caused by interest rate risk or currency risk.
All investments present a risk of loss of capital. The Funds’ investments are susceptible to market risk arising from
uncertainties about future prices of the instruments. Except for derivatives, maximum risk resulting from financial
instruments is determined by fair value of the financial instruments. Possible losses from certain derivatives can be unlimited.
The Adviser moderates this risk by diversifying the management of its assets by allocating them between one or more Money
Managers. The Funds’ Money Manager monitors its portfolio holdings on a daily basis.
i)
Fair valuation hierarchy
FRS 102 Section 11.27 on “Fair Value: Disclosure” requires the Company to classify fair value measurements using a
fair value hierarchy that reflects the significance of the inputs used in making the measurements. On 8 March 2016, the
Financial Reporting Council (FRC) issued Amendments to FRS 102 - Fair value hierarchy disclosures. The amendment
is effective for accounting periods commencing 1 January 2017, however, the Board of Directors have agreed to early
adopt this amendment in preparing these financial statements for the year ended 31 March 2016.
The fair value hierarchy of inputs is summarised in the three broad levels listed below.
 Level 1: Quoted prices (unadjusted) in active markets for identical assets or liabilities.
 Level 2: Inputs other than quoted prices included within Level 1 that are observable for the asset or liability, either
directly (that is, as prices) or indirectly (that is, derived from prices).
 Level 3: Inputs for the asset or liability that are not based on observable market data (that is, unobservable inputs).
The level in the fair value hierarchy within which the fair value measurement is categorised in its entirety is determined
on the basis of the lowest level input that is significant to the fair value measurement in its entirety. For this purpose, the
significance of an input is assessed against the fair value measurement in its entirety. If a fair value measurement uses
observable inputs that require significant adjustment based on unobservable inputs, that measurement is a Level 3
measurement. Assessing the significance of a particular input to the fair value measurement in its entirety requires
judgement, considering factors specific to the asset or liability.
The determination of what constitutes ‘observable’ requires significant judgement by the Directors. The Directors
consider observable data to be that market data that is readily available, regularly distributed or updated, reliable and
verifiable, not proprietary, and provided by independent sources that are actively involved in the relevant market.
Investments whose values are based on quoted market prices in active markets, and therefore classified within Level 1,
include active listed equities and exchange traded derivatives. The Funds do not adjust the quoted price for these
instruments.
Financial instruments that trade in markets that are not considered to be active but are valued based on quoted market
prices, dealer quotations or alternative pricing sources supported by observable inputs are classified within Level 2.
These include stale priced listed equities, unlisted equities, bonds, investment funds and OTC FDIs.
Investments classified within Level 3 have significant unobservable inputs, as they trade infrequently. Level 3 securities
are securities that may be priced by a single pricing vendor or may have prolonged stale prices or may have no valid
market information (indications or comparable security types) available.
Please refer to the base of each Fund’s Schedule of Investments for analysis, within the fair value hierarchy, of each
Fund’s financial assets and liabilities (by investment type) measured at fair value at 31 March 2016 and 31 March 2015.
c) Interest Rate Risk
The Funds’ interest bearing financial assets and liabilities expose it to risks associated with the effects of fluctuations in the
prevailing level of interest rates. The Funds may employ investment techniques and FDIs in order to hedge against interest
rate risk or gain exposure to the underlying market. In addition, mortgage and asset backed securities are also subject to
prepayment risk, which is the risk that borrowers pay off the debt underlying the mortgage backed/asset backed securities
sooner than anticipated and therefore shorten the average maturity of the Funds.
31 March 2016
The tables below summarise each relevant Fund’s exposure to interest rate risks. It includes each relevant Fund’s assets and
trading liabilities at fair values, categorised by the earlier of contractual re-pricing or maturity dates.
The Funds not mentioned below are mainly investing in non-interest bearing assets or its investments have a very short time
to maturity. As a result, those Funds are not subject to significant amounts of risk due to fluctuations in the prevailing levels
of market interest rates.
As at 31 March 2016
Up to
1 year
i) ‘000
Ccy
USD
42,599
EUR
13,369
Russell Global Bond (Euro Hedged) Fund .....................................................
EUR
94,825
1 to
5 years
‘000
124,138
78,247
80,821
Over
5 years
‘000
247,480
184,927
225,774
Non-interest
bearing
‘000
21,590
15,879
8,779
Net
Assets
‘000
435,807
292,422
410,199
1 to
5 years
‘000
111,951
57,990
138,970
Over
5 years
‘000
205,976
164,933
279,420
Non-interest
bearing
‘000
15,991
16,538
26,735
Net
Assets
‘000
382,034
244,067
565,409
As at 31 March 2015
Up to
1 year
i) ‘000
Ccy
USD
48,116
EUR
4,606
Russell Global Bond (Euro Hedged) Fund .....................................................
EUR
120,284
d) Currency Risk
The Funds may hold assets and liabilities denominated in currencies other than the functional currency of the Fund. They are
therefore exposed to currency risk, as the value of the securities denominated in other currencies will fluctuate due to changes
in exchange rates. A Fund may use financial instruments to hedge against fluctuations in the relative values of their portfolio
positions in addition to making active currency selections.
No Fund had monetary assets or liabilities with material foreign currency exposures as at 31 March 2016 or 31 March 2015.
e) Credit Risk
The Funds take on credit risk which is the risk that a counterparty or issuer will be unable to pay amounts in full when due.
Impairment provisions are provided for losses that have been incurred by the balance sheet date, if any.
The Funds’ main credit risk concentrations arise from trading equity and debt securities, investment funds and FDIs in
addition to cash balances held at the Custodian and Trustee.
The Funds minimise concentrations of credit risk by undertaking transactions with a large number of counterparties. The
Company’s Prospectus and the UCITS Regulations list various investment restrictions with regard to issuer and counterparty
concentration limits and minimum counterparty credit ratings. Each relevant Fund’s Money Managers conduct periodic
reviews of the counterparties with whom they conduct transactions. The Adviser also monitors each Fund’s counterparty
exposures. In addition, risk exposure to a counterparty may be reduced by collateral provided to the Fund by the counterparty
in accordance with the UCITS Regulations.
The Adviser employs a credit research team that performs robust quantitative and qualitative analysis on banks, insurance
companies, and other counterparties. The credit research analyst assigned to a particular counterparty performs full credit
analysis and writes a credit research report and subsequently sets investment parameters on OTC counterparty ratings and
exposures where appropriate. The credit research team only reviews counterparties for those assets directly managed by
Russell Investments. The individual Money Managers have their own research process for the assets under their
management. Each Fund’s Money Managers monitor each credit position on a daily basis.
31 March 2016
The tables below detail the Schedule of Investments by rating category for all Funds which invest in debt securities.
Russell Emerging Market
Debt Local Currency Fund
% of Investments
% of Investments
Portfolio by rating category As at 31 March 2016
As at 31 March 2015
Investment Grade ..................................................................
85.71%
94.78%
Non Investment Grade ..........................................................
13.04%
3.04%
No Rating ..............................................................................
1.25%
2.18%
100.00%
100.00%
Russell Euro Fixed
Income Fund
% of Investments
% of Investments
As at 31 March 2016
As at 31 March 2015
86.54%
89.08%
3.95%
2.42%
9.51%
8.50%
100.00%
100.00%
% of Investments
% of Investments
Portfolio by rating category As at 31 March 2016
As at 31 March 2015
Investment Grade ..................................................................
69.52%
72.97%
Non Investment Grade ..........................................................
13.60%
9.74%
No Rating ..............................................................................
16.88%
17.29%
100.00%
100.00%
Each Fund may enter transactions in OTC markets that expose it to the credit of its counterparties and their ability to satisfy
the terms of such contracts. Where the Funds enter into credit default swaps and other swap arrangements and derivative
techniques, they will be exposed to the risk that the counterparty may default on its obligations to perform under the relevant
contract. In the event of a bankruptcy or insolvency of a counterparty, the Funds could experience delays in liquidating the
position and may incur significant losses. There is also a possibility that ongoing derivative transactions will be terminated
unexpectedly as a result of events outside the control of the Company, for instance, bankruptcy, supervening illegality or a
change in the tax or accounting laws relative to those transactions at the time the agreement was originated.
The names of brokers and counterparties used by each individual Fund can be found at the base of each relevant Fund’s
Schedule of Investments.
Collateral may be pledged by the Funds, generally by way of cash or cash equivalents, and held by the counterparties. Details
of non-cash collateral held at year-end by counterparties are asterisked within the Schedule of Investments of the Funds.
Amounts of cash collateral held at year-end by counterparties are disclosed on the Balance Sheet of the Funds. See Note 3 to
the financial statements for full details of cash collateral pledged to or by the relevant Funds as at 31 March 2016 and 31
March 2015.
All securities, cash at bank balances and bank overdrafts and cash or non-cash collaterals received by the Funds are held by
the Custodian and Trustee through its affiliate, State Street or through a sub-custodian within the State Street custodial
network. All OTC FDIs, investment funds, term deposits margin or other similar investments/monies deposited by or entered
into on behalf of the Company with a counterparty, options exchange, clearing broker or other parties are not held within the
State Street custodial network. The Custodian and Trustee are therefore not liable in any way for the default of any
counterparty.
Bankruptcy or insolvency of the Custodian and Trustee a or a State Street affiliate company may cause the Company’s rights
with respect to cash and securities held by State Street to be delayed or limited and the Company would be treated as a
general creditor of that entity in respect of its cash balances. Periodic monitoring and an annual credit review are performed
on the Custodian and Trustee by the Adviser. This review may include as appropriate an assessment of the Custodian and
Trustee’s liquidity position, income streams, asset quality and credit ratings. The long term credit rating of State Street as of
31 March 2016 was Aa2 (31 March 2015: Aa3), as rated by Moody’s rating agency.
f)
Liquidity Risk
The liquidity risks associated with the need to satisfy shareholders’ requests for redemptions are mitigated by maintaining a
pool of cash to satisfy usual levels of demand. Generally, the Funds’ assets comprise publicly traded and securities with
various degree of liquidity. In highly volatile market conditions, the Funds may not easily liquidate assets needed for
redemption or settlement. In such conditions, the Manager may restrict redemptions and borrow monies on a temporary basis
as detailed in the Company’s Prospectus.
31 March 2016
As at 31 March 2016 and 31 March 2015, with the exception of the Funds mentioned below, the Funds’ liabilities, including
net assets attributable to redeemable participating shareholders, were payable within three months. As at 31 March 2016
Russell Emerging Market Debt Local Currency Fund, Russell Global Bond (Euro Hedged) Fund and Russell Euro Fixed
Income Fund had financial liabilities at fair value through profit and loss with maturity dates greater than three months. As at
31 March 2015, Russell Emerging Markets Extended Opportunities Fund, Russell Global Bond (Euro Hedged) Fund and
Russell Euro Fixed Income Fund also had financial liabilities at fair value through profit and loss with maturity dates greater
than three months, however the total value of such liabilities amounted to less than 1 per cent of the respective Fund’s net
asset value as of the respective balance sheet dates.
The tables below analyse each Fund’s FDIs that will be settled on a gross basis into relevant maturity groupings based on the
remaining period at the Balance Sheet to the contractual maturity date.
Currency
Inflows .............................................................
USD
Outflows ..........................................................
USD
Less than
3 months
USD ‘000
290,763
290,338
3 months to
1 year
USD ‘000
8,833
8,267
1 year to
5 years
USD ‘000
40,599
41,043
Currency
Inflows .............................................................
USD
Outflows ..........................................................
USD
Less than
3 months
USD ‘000
21,562
21,249
Currency
Inflows .............................................................
EUR
Outflows ..........................................................
EUR
Less than
3 months
EUR ‘000
273,486
274,987
3 months
to 1 year
EUR ‘000
855
873
Currency
Inflows .............................................................
EUR
Outflows ..........................................................
EUR
Less than
3 months
EUR ‘000
821,912
819,000
3 months to
1 year
EUR ‘000
15,320
15,340
1 year to
5 years
EUR ‘000
1,042
1,069
Currency
Inflows .............................................................
EUR
Outflows ..........................................................
EUR
Less than
3 months
EUR ‘000
18,404
18,529
Currency
Inflows .............................................................
USD
Outflows ..........................................................
USD
Less than
3 months
USD ‘000
31,951
32,797
31 March 2016
Currency
Inflows .............................................................
USD
Outflows ..........................................................
USD
Less than
3 months
USD ‘000
412,476
411,386
Currency
Inflows .............................................................
USD
Outflows ..........................................................
USD
Less than
3 months
USD ‘000
204,373
203,145
3 months to
1 year
USD ‘000
1,580
1,702
Currency
Inflows .............................................................
USD
Outflows ..........................................................
USD
Less than
3 months
USD ‘000
50,121
49,723
Currency
Inflows .............................................................
EUR
Outflows ..........................................................
EUR
Less than
3 months
EUR ‘000
159,629
159,375
Currency
Inflows .............................................................
EUR
Outflows ..........................................................
EUR
Less than
3 months
EUR ‘000
977,491
988,102
Currency
Inflows .............................................................
EUR
Outflows ..........................................................
EUR
Less than
3 months
EUR ‘000
22,609
22,597
Currency
Inflows .............................................................
USD
Outflows ..........................................................
USD
Less than
3 months
USD ‘000
33,936
33,352
Currency
Inflows .............................................................
USD
Outflows ..........................................................
USD
Less than
3 months
USD ‘000
639,042
651,012
3 months to
1 year
EUR ‘000
22,690
21,637
31 March 2016
13. Exchange Rates
Where applicable, the Administrator used the exchange rates listed below to translate foreign currency amounts, market value
of investments and other assets and liabilities into Euro at the following rates for each EUR 1.
31 March 2016
Australian Dollar
AUD
Botswana Pula
BWP
Brazil Real
BRL
British Pound
GBP
Canadian Dollar
CAD
Chilean Peso
CLP
Chinese Yuan Renminbi CNY
Colombian Peso
COP
Czech Republic Koruna
CZK
Danish Krone
DKK
Egyptian Pound
EGP
Hong Kong Dollar
HKD
Hungarian Forint
HUF
Iceland Krona
ISK
Indian Rupee
INR
Indonesian Rupiah
IDR
Israeli Shekel
ILS
1.4814
12.3529
4.0386
0.7928
1.4740
762.1997
7.3702
3,422.3778
27.0485
7.4503
10.1192
8.8390
314.1802
140.3983
75.4639
15,110.4395
4.2841
31 March 2016
Japanese Yen
JPY
Kenyan Shilling
KES
Kuwaiti Dollar
KWD
Lithuania Litas
LTL
Malaysian Ringgit
MYR
Mauritian Rupee
MUR
Mexican Peso
MXN
Moroccan Dirham
MAD
New Romanian Leu RON
New Zealand Dollar NZD
Nigerian Naira
NGN
Norwegian Krone
NOK
Pakistan Rupee
PKR
Peruvian Nouveau Sol PEN
Philippine Peso
PHP
Polish Zloty
PLN
Qatari Rial
QAR
128.0798
115.5504
0.3444
3.4528
4.4460
40.1464
19.5293
10.9744
4.4693
1.6413
226.7933
9.4255
119.3451
3.7943
52.4706
4.2413
4.1496
31 March 2015
Argentine Peso
ARS
Australian Dollar
AUD
Brazil Real
BRL
British Pound
GBP
Canadian Dollar
CAD
Chilean Peso
CLP
Chinese Yuan Renminbi CNY
Colombian Peso
COP
Czech Republic Koruna
CZK
Danish Krone
DKK
Egyptian Pound
EGP
Hong Kong Dollar
HKD
Hungarian Forint
HUF
Iceland Krona
ISK
Indian Rupee
INR
9.4715
1.4059
3.4326
0.7235
1.3602
669.5314
6.6584
2,789.9557
27.5560
7.4707
8.1947
8.3268
299.8499
147.3528
67.2122
31 March 2015
Indonesian Rupiah
IDR
Israeli Shekel
ILS
Japanese Yen
JPY
Kenyan Shilling
KES
Kuwaiti Dollar
KWD
Malaysian Ringgit
MYR
Mexican Peso
MXN
Moroccan Dirham
MAD
New Romanian Leu RON
New Zealand Dollar NZD
Nigerian Naira
NGN
Norwegian Krone
NOK
Pakistan Rupee
PKR
Peruvian Nouveau Sol PEN
Philippine Peso
PHP
14,042.5454
4.2710
128.7994
99.2376
0.3230
3.9776
16.3616
10.6993
4.4142
1.4322
213.7796
8.6555
109.4889
3.3278
48.0078
31 March 2016
Russian Rouble
RUB
76.1903
Serbian Dinar
RSD
122.7410
Singapore Dollar
SGD
1.5345
South African Rand
ZAR
16.7605
South Korean Won
KRW 1,303.1899
Swedish Krona
SEK
9.2380
Swiss Franc
CHF
1.0913
Taiwan Dollar
TWD
36.6753
Thai Baht
THB
40.0894
Tunisian Dinar
TND
2.2944
Turkish Lira
TRY
3.2086
UAE Dirham
AED
4.1856
Uruguayan Peso
UYU
36.3232
U.S. Dollar
USD
1.1396
Vietnam Dong
VND 25,403.9991
Yuan Renminbi Offshore CNH
7.3591
31 March 2015
Polish Zloty
PLN
Qatari Rial
QAR
Russian Rouble
RUB
Singapore Dollar
SGD
South African Rand
ZAR
South Korean Won
KRW
Sri Lankan Rupee
LKR
Swedish Krona
SEK
Swiss Franc
CHF
Taiwan Dollar
TWD
Thai Baht
THB
Turkish Lira
TRY
UAE Dirham
AED
U.S. Dollar
USD
4.0721
3.9107
62.4286
1.4732
13.0128
1,191.5489
143.0299
9.2622
1.0432
33.6054
34.9479
2.7886
3.9447
1.0740
The Administrator used the average exchange rates for each reporting period as listed below to translate into Euro the Profit
and Loss Account and Statement of Changes in Net Assets Attributable to Redeemable Participating Shareholders of those
Funds not prepared in Euro in preparing the Company’s Combined Profit and Loss Account and the Combined Statement of
Changes in Net Assets Attributable to Redeemable Participating Shareholders at the following rates for each EUR 1.
British Pound
GBP
0.7340 British Pound GBP
0.7833
U.S. Dollar
USD
1.1002 U.S. Dollar
USD
1.2654
14. Comparative Dealing Net Assets
Class B Euro
EUR ‘000
Total net asset value
31 March 2016 ................................................
31 March 2015 ................................................
31 March 2014 ................................................
124,280
54,853
14,634
Class B Euro
EUR
Net asset value per share
31 March 2016 ................................................
31 March 2015 ................................................
31 March 2014 ................................................
875.01
958.78
858.26
Class I AUD
Income
AUD ‘000
108,952
110,784
66,298
Class I AUD
Income
AUD
891.93
961.17
946.12
Class I Sterling
GBP ‘000
Class I Sterling
Income
GBP ‘000
111,471
115,295
108,377
17,438
16,653
-
Class I Sterling
GBP
Class I Sterling
Income
GBP
889.59
884.00
897.30
967.45
1,001.97
-
Class I USD
USD ‘000
Class U Euro
EUR ‘000
25,091
42,609
72
Class I USD
USD
793.91
814.72
928.54
1
1
1
Class U Euro
EUR
864.71
950.96
853.57
31 March 2016
14. Comparative Dealing Net Assets - continued
Class A
USD ‘000
31 March 2016 ................................................
31 March 2015 ................................................
31 March 2014 ................................................
695,844
845,804
925,855
Class A
USD
31 March 2016 ................................................
31 March 2015 ................................................
31 March 2014 ................................................
860.18
976.69
1,036.57
Class B
EUR ‘000
31 March 2016 ................................................
31 March 2015 ................................................
31 March 2014 ................................................
143,745
115,974
106,162
Class B
EUR
31 March 2016 ................................................
31 March 2015 ................................................
31 March 2014 ................................................
1,815.09
1,829.88
1,639.48
Class P Income
GBP ‘000
31 March 2016 ................................................
31 March 2015 ................................................
31 March 2014 ................................................
947
1,175
1,584
Class P Income
GBP
31 March 2016 ................................................
31 March 2015 ................................................
31 March 2014 ................................................
Class F
EUR ‘000
11.72
10.94
11.39
388
167
140
Class F
EUR
1,567.36
1,592.90
1,438.55
Class GBPH I
Income
GBP ‘000
Class I
GBP ‘000
112,737
86,066
82,499
Class GBPH I
Income
GBP
11.12
11.31
10.27
753
624
628
Class I
GBP
23.45
21.53
22.00
Class S
EUR ‘000
3,952
6,478
4,205
Class S
EUR
141.80
143.28
128.65
Class A
EUR ‘000
31 March 2016 ................................................
31 March 2015 ................................................
31 March 2014 ................................................
4,259
3,326
2,404
Class A
EUR
31 March 2016 ................................................
31 March 2015 ................................................
31 March 2014 ................................................
1,837.53
1,852.19
1,731.15
Class B
EUR ‘000
253,016
393,557
281,272
Class B
EUR
2,013.27
2,017.23
1,874.19
Class DH-B
USD ‘000
59,030
50,683
42,145
Class DH-B
USD
16.79
16.69
15.49
Class GBPH I
Income
GBP ‘000
78,719
85,689
82,493
Class GBPH I
Income
GBP
10.54
10.67
10.07
Class MZ
Income
EUR ‘000
1,836
2,895
53
Class MZ
Income
EUR
12.86
13.09
12.80
31 March 2016
Class A
USD ‘000
31 March 2016 ................................................
31 March 2015 ................................................
31 March 2014 ................................................
84,446
104,017
83,249
Class A
USD
31 March 2016 ................................................
31 March 2015 ................................................
31 March 2014 ................................................
1,340.23
1,347.33
1,265.90
Class B Income
AUD ‘000
Class C
EUR ‘000
2,181
8,455
151,199
Class B Income
AUD
1,753.09
1,792.47
1,401.49
Class U
EUR ‘000
30
3
1
Class C
EUR
1,406.57
1,525.72
1,134.70
1,299
6
1
Class U
EUR
Class USD-H
USD ‘000
11,208
40,170
28,652
Class USD-H
USD
1,438.80
1,548.08
1,144.34
1,309.22
1,330.04
1,168.90
Class USD-H
Income
USD ‘000
34,990
Class USD-H
Income
USD
998.73
-
Class A
EUR ‘000
31 March 2016 ................................................
31 March 2015 ................................................
31 March 2014 ................................................
3,802
2,876
2,648
Class A
EUR
31 March 2016 ................................................
31 March 2015 ................................................
31 March 2014 ................................................
1,117.53
1,279.81
1,078.35
Class PAMEU
EUR ‘000
31 March 2016 ................................................
31 March 2015 ................................................
31 March 2014 ................................................
2,520
6,423
3,909
Class PAMEU
EUR
31 March 2016 ................................................
31 March 2015 ................................................
31 March 2014 ................................................
16.51
19.05
16.16
Class B
EUR ‘000
430,392
387,451
298,804
Class B
EUR
1,223.37
1,392.63
1,166.43
Class F
EUR ‘000
Class I
GBP ‘000
33,671
41,207
31,271
Class F
EUR
1,648.02
1,891.09
1,596.61
Class L
GBP ‘000
540
531
512
Class I
GBP
20.75
21.54
20.59
442
650
Class L
GBP
1,052.87
1,102.67
-
Class R
Roll-Up
EUR ‘000
50,811
51,816
45,949
Class R
Roll-Up
EUR
126.53
144.39
121.24
Class B
GBP ‘000
31 March 2016 ................................................
31 March 2015 ................................................
31 March 2014 ................................................
56,144
70,943
93,850
Class B
GBP
31 March 2016 ................................................
31 March 2015 ................................................
31 March 2014 ................................................
160.41
165.24
155.94
Class I Income
GBP ‘000
Class P Income
GBP ‘000
15,645
16,547
15,141
15,065
16,500
15,781
Class I Income
GBP
Class P Income
GBP
121.54
127.95
123.48
124.93
131.50
126.92
Class R
GBP ‘000
4,061
4,940
6,968
Class R
GBP
136.24
142.62
136.78
31 March 2016
Class B
USD ‘000
31 March 2016 ................................................
31 March 2015 ................................................
31 March 2014 ................................................
186,867
145,314
83,021
Class B
USD
31 March 2016 ................................................
31 March 2015 ................................................
31 March 2014 ................................................
21.37
21.78
19.33
Class C
EUR ‘000
6,934
1
2
Class C
EUR
1,485.18
1,611.72
1,119.65
Class I
GBP ‘000
32,006
35,513
28,191
Class I
GBP
20.72
20.40
16.09
Class P Income
GBP ‘000
Class R 1 RollUp
USD'000
8,624
9,770
8,865
10,917
-
Class P Income
GBP
Class R 1 RollUp
USD
24.75
24.55
19.50
10.12
-
Class B
USD ‘000
31 March 2016 ................................................
31 March 2015 ................................................
31 March 2014 ................................................
501,039
700,820
718,293
Class B
USD
31 March 2016 ................................................
31 March 2015 ................................................
31 March 2014 ................................................
21.97
22.65
21.18
Class I
GBP ‘000
31 March 2016 ................................................
31 March 2015 ................................................
31 March 2014 ................................................
465,095
599,527
625,894
Class I
GBP
31 March 2016 ................................................
31 March 2015 ................................................
31 March 2014 ................................................
27.45
27.41
22.82
Class SH-B
GBP ‘000
31 March 2016 ................................................
31 March 2015 ................................................
31 March 2014 ................................................
34,646
70,177
204,365
Class SH-B
GBP
31 March 2016 ................................................
31 March 2015 ................................................
31 March 2014 ................................................
159.73
167.59
146.03
Class C
EUR ‘000
25,247
27,526
115,265
Class C
EUR
21.50
23.68
17.37
Class I
Income
GBP ‘000
130,926
Class I
Income
GBP
10.11
Class SH-B
Income
GBP ‘000
148,956
131,743
Class SH-B
Income
GBP
118.17
103.57
Class D
GBP ‘000
54,067
54,225
52,288
Class D
GBP
23.49
23.41
19.46
Class J
USD ‘000
1,476
1,336
1,159
Class J
USD
19.99
20.76
19.54
Class TYA
JPY ‘000
2,093,173
3,283,920
2,636,819
Class TYA
JPY
1,538.51
1,689
1,354
Class EH-T
EUR ‘000
121,583
138,535
130,279
Class EH-T
EUR
14.59
15.29
13.39
Class N
USD ‘000
2,576
2,793
3,113
Class N
USD
150.08
156.93
148.80
Class TYC
JPY ‘000
5,360,496
5,872,574
12,753,368
Class TYC
JPY
1,891.17
2,074
1,660
Class H
Income
GBP ‘000
154,121
Class H
Income
GBP
11.74
-
Class R
EUR ‘000
101,344
103,089
46,957
Class R
EUR
157.16
174.88
129.61
Class TYHC
JPY ‘000
1,380,486
6,731,684
Class TYHC
JPY
1,542
1,339
31 March 2016
Class USD-H
USD ‘000
31 March 2016 ................................................
31 March 2015 ................................................
31 March 2014 ................................................
23,458
201,967
192,122
Class USD-H
USD
31 March 2016 ................................................
31 March 2015 ................................................
31 March 2014 ................................................
Class USD-H
Income
USD ‘000
123,716
Class USD-H
Income
USD
1,463.68
1,531.63
1,340.13
975.14
-
15. Segregated Liability
Each Fund will be responsible for paying its fees and expenses regardless of the level of its profitability. The Company has
availed of the segregated provisions of Companies Act 2014. The adoption of segregated liability ensures that liability
incurred on behalf of a Fund will generally be discharged solely out of the assets of that Fund and there can generally be no
recourse to other Funds to satisfy these liabilities. Notwithstanding the foregoing there can be no guarantee that should an
action be brought against the Company in the court of another jurisdiction that the segregated nature of the Funds would
necessarily be upheld.
16. Significant Events During the Year
a)
Revised Prospectus (Principal Amendments)
A revised prospectus was issued on 15 September 2015. The following principal changes, inter alia, were made:
i) References to the Companies Act 2014 have been inserted.
ii) Disclosures in relation to Hong-Kong Stock Connect have been inserted.
iii) References to certain closed/launched share classes have been updated.
Prospectus Addendum - 21 December 2015
The changes made to the prospectus are as follows:
Update to the first paragraph of the section “ADMINISTRATION OF THE FUNDS; Subscription Price”.
A new share class, Class USD-H Income, has been added to Russell Global Defensive Equity Fund and Russell World Equity
Fund.
Second Addendum to the prospectus dated 7 March 2016 incorporated the following changes:
i) the addition of new share classes, namely, Class R1 Roll-Up in Russell U.S. Quant Fund (the “Fund”); and
ii) amendment to the table relating to fees payable in respect of the Fund in order to add the fees for the new share classes.
b) Frank Russell Company
LSEG announced on 8 October 2015 that it had agreed the proposed sale of the investment management and solutions
business of Russell Investments to TA Associates and Reverence Capital Partners, subject to customary closing adjustments
and regulatory and other required approvals.
31 March 2016
17. Significant Events Since the Year End
The third addendum to the prospectus dated 13 April 2016 incorporated the following changes:
i) Russell U.K. Equity Plus Fund - addition of the following share class - Class N.
ii) Russell World Equity Fund - addition of the following share class - Class M.
The fourth addendum to the prospectus dated 28 April 2016 incorporated the following changes:
i)
Russell Emerging Markets Extended Opportunities Fund - addition of the following share class - Class I.
The sale of Russell Investments by LSEG to TA Associates and Reverence Capital Partners concluded on 1 June 2016.
18. Approval of the Financial Statements
The financial statements were approved by the Directors on 12 July 2016.
Russell Investments
Rex House
10 Regent Street, St James’
London, SW1Y 4PE
tel +44 (0) 20 7024 6000
fax +44 (0) 20 7024 6001
www.russell.com

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