arabesque sicav · arabesque sicav . with the sub-funds: arabesque sicav – arabesque prime ....

Arabesque SICAV with the sub-funds:

Arabesque SICAV – Arabesque Prime Arabesque SICAV – Arabesque Systematic

Annual Report for the year ended 31 December 2016

Investment Company in accordance with Part I of the Luxembourg Law of 17 December 2010 on Undertakings for Collective Investment, in its most recent version, in the legal form of a Société d’Investissement à Capital Variable (SICAV)

R.C.S. Luxembourg B 188325

Management Company

R.C.S. Luxembourg B 82183

Arabesque SICAV

Table of Content _____________________________________________________________________________________________________

Combined financial statements of the Arabesque SICAV 2

Fund Manager’s report for the sub-fund Arabesque SICAV – Arabesque Prime 4

Geographic and economic classification of the Arabesque SICAV – Arabesque Prime 5

Statement of net assets of the Arabesque SICAV – Arabesque Prime 7

Statement of operations of the Arabesque SICAV – Arabesque Prime 9

Statement of investments as at 31 December 2016 of the Arabesque SICAV – Arabesque Prime 10

Purchases and sales from 1 January 2016 to 31 December 2016 of the Arabesque SICAV – Arabesque Prime 20

Fund Manager’s report for the sub-fund Arabesque SICAV – Arabesque Systematic 28

Geographic and economic classification of the Arabesque SICAV – Arabesque Systematic 29

Statement of net assets of the Arabesque SICAV – Arabesque Systematic 31

Statement of operations of the Arabesque SICAV – Arabesque Systematic 33

Statement of investments as at 31 December 2016 of the Arabesque SICAV – Arabesque Systematic 34

Purchases and sales from 1 January 2016 to 31 December 2016 of the Arabesque SICAV – Arabesque Systematic 38

Notes to the financial statements as at 31 December 2016 45

Report of the Réviseur d’Entreprises agréé 51

Management, distribution and advisory 53

The Sales Prospectus including the Articles of Association, the Key Investor Information Document and the Investment Company’s annual report and semi-annual reports are available free of charge by post, fax or e-mail at the registered office of the Investment Company, Depositary, Paying Agents or distributors in the respective countries of distribution. Additional information is available at the Investment Company at all times during regular business hours. Shares subscriptions are valid only if they are made on the basis of the most recent version of the sales prospectus (including its appendices) in conjunction with the latest available annual report and any subsequent semi-annual report.

1

Arabesque SICAV

The accompanying notes form an integral part of these financial statements.

Combined financial statements

of the investment company fund Arabesque SICAV with the sub-funds

Arabesque SICAV - Arabesque Prime and Arabesque SICAV - Arabesque Systematic

Combined statement of net assets

as at 31 December 2016

USD

Investment in securities at market value 20,807,872.06

(Cost of investments: USD 19,396,370.97)

Cash at bank 2,844,985.74

Interest receivable 144.66

Dividend receivable 18,800.38

Receivable from share subscriptions 40,821.76

Receivable from securities transactions 247.35

Other assets 1) 6,797.41

23,719,669.36

Payables from share redemptions -563.85

Other liabilities 2) -39,060.70

-39,624.55

Total net assets 23,680,044.81

1) The position includes amortisation of formation expenses.

2) This position consists primarily of management fee payables and audit fees.

Combined statement of changes in total net assets

for the reporting period from 1 January 2016 to 31 December 2016

USD

Total net assets at the beginning of the reporting period 20,472,125.07

Net loss -38,321.13

Income equalisation 10,640.90

Cash inflows from subscriptions 3,415,807.81

Cash inflows from redemptions -506,089.80

Realised gains 2,154,592.98

Realised losses -2,351,647.54

Net change in unrealised appreciation on investments 595,485.93

Distribution -72,549.41

Total net assets at the end of the reporting period 23,680,044.81

2

Arabesque SICAV


Combined statement of operations


USD

Income

Dividend income 239,759.62

Income from investments 2,491.25

Bank interest 4,558.28

Other income 4,070.99

Income equalisation 12,293.43

Total income 263,173.57

Expenses

Interest expense -39.86

Management and investment adviser fee -187,648.89

Depositary fee -13,192.71

Central Administration Agent fee -4,360.22

Taxe d'abonnement -11,160.91

Publishing and auditing expenses -24,213.33

Setting, printing and shipping expenses for annual and semi-annual reports -4,203.30

Transfer agent fee -7,733.40

Government fees -11,401.15

Formation expense -2,627.09

Other expenses 1) -11,979.51

Income equalisation -22,934.33

Total expenses -301,494.70

Ordinary net income -38,321.13

1) The position consists primarily of paying agent fees and of general and administrative expenses.

3

Fund Manager’s report for the sub-fund Arabesque SICAV – Arabesque Prime

During the financial year ending on 31 December 2016, the two share classes of the Arabesque SICAV – Arabesque Prime generated the following performance:

Arabesque SICAV – Arabesque Prime (USD): 2.99% in USD

Arabesque SICAV – Arabesque Prime (EUR): 7.07% in EUR.

The sub-fund rebalances its portfolio every quarter, resetting the sub-fund’s five sub-strategies to their respective target weights and applying the stock selection process within each strategy. Stocks are selected from a global, all country investment universe which is screened using Arabesque’s Sustainability Process. This rules-based Sustainability Process incorporates more than 200 Environmental, Social and Governance (‘ESG’) factors, market filters, as well as enhanced balance sheet and business activity screenings. During this process, approximately 75% of companies are excluded from the investment universe due to ESG, balance sheet, and business activity screenings.

The sub-fund aims to be fully invested into equities, while keeping a small allocation in cash for liquidity purposes. At the end of the period, the sub-fund held 96.56% of its assets in equities. From a country perspective, the sub-fund was mainly invested in the United States. At year end, investments in the US represented 50.05% of the portfolio, followed by Japan (9.59%), and Great Britain (5.63%). From a sector perspective, the sub-fund’s largest investment was in ‘Wholesale and retail’ stocks, with a portfolio weight of 12.83% at the end of the period. This was followed by investments in ‘Raw, auxiliary & operating materials’ (8.81%) and ‘Capital Goods’ (8.13%).

Luxembourg, January 2017 The Board of Directors of the Arabesque SICAV

The information and figures provided in this report are based on past performance and are not an indication of future results.

4

Arabesque SICAV - Arabesque Prime


Annual Report 1 January 2016 - 31 December 2016

The company is entitled to create share classes with different rights. The following share classes currently exist with the following features:

Share class (EUR)

Securitiy No.: A1XCPN ISIN: LU1023698662 Subscription fee: none Redemption fee: none Management fee: 0.10 % p.a. plus 500 Euro fixed fee p.m. for

the sub-fund Minimum subsequent investment:

1,000.00 EUR

Use of income: distributing Currency: EUR

Share class (USD)

Securitiy No.: A1XCPP ISIN: LU1023699801 Subscription fee: none Redemption fee: none Management fee: 0.10 % p.a. plus 500 Euro fixed fee p.m. for


1,000.00 USD

Use of income: distributing Currency: USD

Geographic classification 1) United States of America 50.05 % Japan 9.59 % Great Britain 5.63 % Sweden 2.98 % Australia 2.64 % Canada 2.45 % Switzerland 2.35 % Finland 1.88 % France 1.79 % Netherlands 1.77 % Italy 1.76 % South Africa 1.54 % Bermuda 1.44 % Germany 1.06 % Jersey 1.04 % Cayman Islands 0.99 % Norway 0.88 % China 0.85 % South Korea 0.84 % Ireland 0.69 % Spain 0.68 % Denmark 0.63 % Singapore 0.60 % Belgium 0.58 % New Zealand 0.43 % Malaysia 0.42 % Faroe Islands 0.36 % Luxembourg 0.26 % Mexico 0.15 % Virgin Islands (GB) 0.12 % Indonesia 0.11 %

Investment in securities 96.56 % Cash at bank 3.49 % Balance of other receivables and liabilities -0.05 %

100.00 %

1) Deviations in the totals are due to rounding differences.

Economic classification 1) Wholesale and retail 12.83 % Raw, auxiliary & operating materials 8.81 % Capital Goods 8.13 % Software & Services 8.03 % Commercial & Professional Services 7.92 % Consumer Durables & Apparel 7.32 % Pharmaceuticals, Biotechnology & Life Sciences 5.91 % Health services: Equipment & services 5.19 % Automobile & components 4.74 % Food, Beverage & Tobacco 4.36 % Technology Hardware & Equipment 3.51 % Semiconductors & Semiconductor Equipment 3.11 % Transportation 3.11 % Energy 2.89 % Consumer Services 2.62 % Household & Personal Products 1.81 % Media 1.76 % Real Estate 1.51 % Telecommunication Services 1.47 % Public utilities 1.18 % Food & Staples Retailing 0.35 %

Investment in securities 96.56 % Cash at bank 3.49 % Balance of other receivables and liabilities -0.05 %

100.00 %

5



Performance since launch

Share class (EUR)

Date Total net Shares outstanding Net cash inflow Net asset Net asset

assets in in Thousand USD value per share value per share

Mio. USD USD EUR

01.07.2014 Launch 4) - - 124.83 100.00 1)

31.12.2015 1.26 10,000 1,248.30 125.85 115.41 2)

31.12.2016 1.29 10,000 0.00 128.71 122.72 3)

Share class (USD)

Date Total net Shares outstanding Net cash inflow Net asset

assets in in Thousand USD value per share

Mio. USD USD

01.07.2014 Launch 5) - - 100.00

31.12.2015 5.49 54,491 5,511.98 100.75

31.12.2016 5.62 54,568 7.49 102.97

1) conversion into US Dollar as at 04.11.2014 1 USD = 0.8011 EUR



4) 1st NAV calculation dated 4 November 2014

5) 1st NAV calculation dated 1 August 2014

6



Statement of net assets


USD

Investments in securities at market value 6,669,059.71


Cash at bank 240,951.41

Interest receivable 144.66


Receivable from securities transactions 247.35


6,919,249.97


-13,089.17




Assets by share class

Share class (EUR)

Proportion of total net assets 1,287,119.91 USD

Number of shares outstanding 10,000.000

Net asset value per share 128.71 USD

Net asset value per share 122.72 EUR 3)

Share class (USD)





7



Statement of changes in total net assets


Total Share class (EUR) Share class (USD)

USD USD USD

Total net assets at the beginning of the reporting period 6,748,594.10 1,258,461.81 5,490,132.29

Net income 49,827.40 9,285.17 40,542.23

Income equalisation -13.67 0.00 -13.67

Cash inflows from subscriptions 7,488.74 0.00 7,488.74

Realised gains 514,197.57 96,216.32 417,981.25

Realised losses -727,036.46 -135,905.90 -591,130.56

Net change in unrealised appreciation on investments 362,471.55 67,562.51 294,909.04

Distribution -49,368.43 -8,500.00 -40,868.43

Total net assets at the end of the reporting period 6,906,160.80 1,287,119.91 5,619,040.89

Statement of changes in the number of shares

Share class (EUR) Share class (USD)

No. of shares No. of shares

Shares outstanding at the beginning of the reporting period 10,000.000 54,491.246

Shares subscribed 0.000 76.369

Shares redeemed 0.000 0.000

Shares outstanding at the end of reporting period 10,000.000 54,567.615

8



Statement of operations


Total Share class (EUR) Share class (USD)

USD USD USD

Income

Dividend income 108,099.55 20,149.79 87,949.76

Income from investments 2,187.58 407.81 1,779.77

Bank interest 168.86 31.47 137.39

Other income 4,070.99 758.75 3,312.24

Income equalisation 32.28 0.00 32.28

Total income 114,559.26 21,347.82 93,211.44

Expenses

Management and investment adviser fee -34,611.14 -6,451.43 -28,159.71

Depositary fee -4,034.22 -751.91 -3,282.31

Central Administration Agent fee -1,333.07 -248.40 -1,084.67

Taxe d'abonnement -3,375.07 -629.14 -2,745,93

Publishing and auditing expenses -10,623.65 -1,980.19 -8,643.46

Setting, printing and shipping expenses for annual and semi-annual

reports

-1,737.02 -323.73 -1,413,29

Transfer agent fee -27.84 -5.19 -22.65

Government fees -4,471.34 -833.56 -3,637.78

Formation expense -1,313.51 -245.21 -1,068.30

Other expenses 1) -3,186.39 -593.89 -2,592.,50

Income equalisation -18.61 0.00 -18.61

Total expenses -64,731.86 -12,062.65 -52,669.21

Net income 49,827.40 9,285.17 40,542.23

Total transaction costs in the reporting period 2) 8,236.02

Total expense ratio as a percentage 2) 0.98 0.98

1) This position consists primarily of general and administrative expenses and legal fees.

2) See accompanying notes to this report.

9


1) TNA= Total net assets. Deviations in the totals are due to rounding differences.


Statement of investments as at 31 December 2016

ISIN Securities Purchases Sales Quantity Price Market value % TNA1)

USD

Shares, rights and participation certificates

Transferable securities admitted to an official exchange listing

Australia

AU000000BKL7 Blackmores Ltd. AUD 66 0 66 105.6500 5,030.39 0.07

AU000000CTX1 Caltex Australia Ltd. AUD 0 365 307 30.1900 6,686.36 0.10

AU000000COH5 Cochlear Ltd. AUD 65 491 106 122.0500 9,333.22 0.14

AU000000CSR5 CSR Ltd. AUD 18,075 29,433 18,075 4.6100 60,112.84 0.87

AU000000HVN7 Harvey Norman Holdings Ltd. AUD 3,679 0 3,679 5.1400 13,642.09 0.20

AU000000LLC3 Lend Lease Corporation Ltd. AUD 633 0 633 14.6800 6,703.75 0.10

AU000000NST8 Northern Star Resources Ltd. AUD 14,303 0 14,303 3.4800 35,908.26 0.52

AU000000PMV2 Premier Investments Ltd. AUD 1,306 0 1,306 14.5200 13,680.37 0.20

AU000000RRL8 Regis Resources Ltd. AUD 12,281 0 12,281 2.7800 24,630.12 0.36

AU000000SBM8 St. Barbara Ltd. AUD 4,324 0 4,324 1.8450 5,755.33 0.08

181,482.73 2.64

Belgium

BE0003739530 UCB S.A. EUR 226 0 226 61,7400 14,634.16 0.21

BE0003884047 Umicore S.A. EUR 450 0 450 54,3200 25,636.87 0.37

40,271.03 0.58

Bermuda

BMG5800U1071 Man Wah Holdings Ltd. HKD 61,600 0 61,600 5.1900 41,226.26 0.60

BMG657731060 Nordic American Tankers Ltd. USD 1,111 1,897 1,021 8.4600 8,637.66 0.13

BMG812761002 Signet Jewelers Ltd. USD 81 0 81 93.9500 7,609.95 0.11

BMG9400S1329 VTech Holdings Ltd. HKD 1,000 600 1,900 103.8000 25,431.78 0.37

BMG988031446 Yue Yuen Industrial Holding Ltd. HKD 4,500 2,000 4,500 27.6000 16,015.76 0.23

98,921.41 1.44

Canada

CA13321L1085 Cameco Corporation CAD 1,131 0 1,131 13.9600 11,709.27 0.17

CA1363751027 Canadian National Railway Co. CAD 472 667 375 91.8400 25,541.42 0.37

CA25675T1075 Dollarama Inc. CAD 474 267 798 98.4500 58,264.02 0.84

CA3518581051 FRANCO-NEVADA Corporation CAD 142 0 142 82.9200 8,732.32 0.13

CA5592224011 Magna International Inc. -A- CAD 456 1,055 436 58.9700 19,067.75 0.28

CA7677441056 Ritchie Brothers Auction. Inc. CAD 1,085 568 1,115 45.8700 37,930.23 0.55

CA92938W2022 WSP Global Inc. CAD 224 0 224 45.1300 7,497.13 0.11

168,742.14 2.45

Cayman Islands

KYG2953R1149 AAC Technologies Holdings Inc. HKD 4,000 0 4,000 70.1000 36,157.96 0.52

KYG4412G1010 Herbalife Ltd. USD 296 0 296 48.5100 14,358.96 0.21

10






USD

Cayman Islands (continued)

KYG6501M1050 Nexteer Automotive Group Ltd. HKD 5,000 0 5,000 8.9000 5,738.34 0.08

KYG9222R1065 Uni-President China Holdings

Ltd.

HKD 8,000 0 8,000 5.4000 5,570.70 0.08

KYG9431R1039 Want Want China Holdings Ltd. HKD 11,000 0 11,000 4.8500 6,879.55 0.10

68,705.51 0.99

China

CNE1000004C8 Sinopec Shanghai

Petrochemical

HKD 94,000 0 110,000 4.1600 59,008.14 0.85

59,008.14 0.85

Denmark

DK0060079531 DSV A/S DKK 259 477 175 315.0000 7,778.06 0.11

DK0010272632 GN Store Nord AS DKK 530 0 530 147.1000 11,000.47 0.16

DK0010287234 H. Lundbeck AS DKK 233 0 233 285.3000 9,379.52 0.14

DK0060252690 Pandora AS DKK 65 255 65 922.5000 8,460.62 0.12

DK0010268606 Vestas Wind Systems AS DKK 105 190 105 449.7000 6,662.46 0.10

43,281.13 0.63

Faroe Islands

FO0000000179 Bakkafrost P/F NOK 900 934 630 345.4000 25,144.16 0,36

25,144.16 0,36

Finland

FI0009000459 Huhtamaeki OYJ EUR 195 0 195 35.4500 7,250.09 0.10

FI0009013403 Kone Corporation (New) EUR 299 0 299 42.4200 13,302.54 0.19

FI0009005318 Nokian Renkaat OYJ EUR 965 0 965 35.3200 35,747.09 0.52

FI0009014377 Orion Corporation -new- EUR 374 393 374 42.4500 16,651.06 0.24

FI0009000277 TietoEnator OYJ EUR 294 0 294 26.0100 8,020.11 0.12

FI4000074984 Valmet Oyj EUR 3,325 0 3,325 14.0200 48,891.39 0.71

129,862.28 1.88

France

FR0000124570 Compagnie Plastic-Omnium S.A. EUR 494 264 230 30.1750 7,278.93 0.11

FR0000120644 Danone S.A. EUR 198 0 198 59.5300 12,362.14 0.18

FR0000121261 Michelin -B- EUR 450 0 450 105,4000 49,744.58 0.72

FR0000121220 Sodexho S.A. EUR 443 41 468 109.0500 53,525.93 0.78

122,911.58 1.79

Germany

DE0005439004 Continental AG EUR 81 70 77 184.4500 14,895.74 0.22

DE0005552004 Dte. Post AG EUR 414 407 295 31.1600 9,640.78 0.14

11






USD

Germany (continued)

DE000A0D6554 Nordex SE EUR 565 581 914 20,5300 19,680.12 0.28

DE000LED4000 OSRAM Licht AG EUR 286 0 286 49,3200 14,793.87 0.21

DE0007493991 Ströer SE & Co. KGaA EUR 335 0 335 41,7350 14,663.51 0.21

73,674,02 1.06

Great Britain

GB0006731235 Associated British Foods Plc. GBP 323 0 323 27.3000 10,783.83 0.16

GB0009895292 Astrazeneca Plc. GBP 60 0 191 44.2700 10,340.72 0.15

GB0000904986 Bellway Plc. GBP 491 103 939 24.4300 28,054.15 0.41

GB00B0744B38 Bunzl Plc. GBP 652 0 652 20.8700 16,640.95 0.24

GB00B63QSB39 Greggs Plc. GBP 2,317 1,842 2,034 9.6850 24,091.21 0.35

GB0005576813 Howden Joinery Group Plc. GBP 6,021 2,844 7,252 3.8500 34,144.95 0.49

GB00BMJ6DW54 Informa Plc. GBP 5,890 0 5,890 6.7950 48,945.50 0.71

GB0031638363 Intertek Group Plc. GBP 638 0 638 34.3200 26,777.87 0.39

JE00BYVQYS01 IWG Plc. GBP 2,725 0 2,725 2.4600 8,198.03 0.12

GB00BYX91H57 JD Sports Fashion Plc. GBP 2,965 0 2,965 3.2000 11,603.33 0.17

GB00B5N0P849 John Wood Group Plc. GBP 752 0 752 8.7350 8,033.20 0.12

GB0033195214 Kingfisher Plc. GBP 4,499 0 4,499 3.4730 19,108.60 0.28

GB00B1CRLC47 Mondi Plc. GBP 899 510 2,409 16.6500 49,052.26 0.71

GB00B1ZBKY84 Moneysupermarket.com Group

Plc.

GBP 3,471 3,453 5,898 2.9480 21,263.76 0.31

GB0032089863 Next Group Plc. GBP 116 184 101 49.4400 6,106.72 0.09

GB00BWFGQN14 Spirax-Sarco Engineering Plc. GBP 306 0 306 41.8500 15,661.19 0.23

GB00BVVBC028 Steris Plc. USD 0 0 145 67.5400 9,793.30 0.14

GB00B2PDGW16 WH Smith Plc. -new- GBP 225 230 2,039 15.5000 38,650.66 0.56

387,250.23 5.63

Indonesia

ID1000122500 Pakuwon Jati. PT IDR 175,700 0 175,700 580.0000 7,571.03 0.11

7,571.03 0.11

Ireland

IE0005711209 Icon Plc. USD 475 210 504 75.0700 37,835.28 0.55

IE00B6330302 Ingersoll-Rand Plc. USD 127 0 127 75.5700 9,597.39 0.14

47,432.67 0.69

Italy

IT0001050910 Brembo S.p.A. EUR 0 581 745 57.1500 44,654.50 0.65

IT0001049623 Industria Macchine Aut. S.p.A.-

IMA

EUR 222 0 222 57.1500 13,306.44 0.19

IT0003828271 Recordati - Industria Chimica e

Farmaceutica S.p.A.

EUR 1,905 775 1,905 27.0600 54,064.91 0.78

12






USD

Italy (continued)

IT0004712375 Salvatore Ferragamo S.p.A. EUR 411 0 411 22.2600 9,595.32 0.14

121,621.17 1.76

Japan

JP3856000009 Adastria Co. Ltd. JPY 1,000 0 1,100 3,330.0000 31,460.96 0.46

JP3100800006 Aica Kogyo Co. Ltd. JPY 300 500 300 3,085.0000 7,948.98 0.12

JP3105250009 AIN Holdings Inc. JPY 300 100 300 7,570.0000 19,505.28 0.28

JP3126400005 Alps Electric Co. Ltd. JPY 400 600 300 2,812.0000 7,245.55 0.10

JP3122800000 Amada Co. Ltd. JPY 1,500 0 1,500 1,297.0000 16,709.61 0.24

JP3119920001 Askul Corporation JPY 500 100 600 4,030.0000 20,767.84 0.30

JP3220400000 Calsonic Kansei Corporation JPY 1,000 2,000 2,000 1,786.0000 30,679.37 0.44

JP3293200006 Coca-Cola West Japan Co. Ltd. JPY 500 500 500 3,435.0000 14,751.35 0.21

JP3493800001 Dai Nippon Printing Co. Ltd. JPY 1,000 1,000 2,000 1,166.0000 20,029.20 0.29

JP3494600004 Dainippon Sreen Co. Ltd. JPY 100 0 100 7,110.0000 6,106.67 0.09

JP3486800000 Daito Trust Construction Co. Ltd. JPY 600 100 600 17,465.0000 90,002.56 1.30

JP3818400008 Fujitsu General Ltd. JPY 0 1,000 1,000 2,457.0000 21,102.81 0.31

JP3766550002 Hakuhodo dy Holdings Inc. JPY 300 0 1,600 1,424.0000 19,568.84 0.28

JP3143900003 Itochu Techno-Solutions

Corporation

JPY 900 0 1,200 3,020.0000 31,125.99 0.45

JP3705200008 Japan Airlines Co. Ltd. JPY 600 0 600 3,408.0000 17,562.48 0.25

JP3496400007 KDDI Corporation JPY 500 0 500 2,970.5000 12,756.59 0.18

JP3247050002 Kyudenko Corporation JPY 600 0 600 3,080.0000 15,872.20 0.23

JP3965400009 Lion Corporation JPY 1,000 0 2,000 1,901.0000 32,654.81 0.47

JP3918000005 MEIJI Holdings Co. Ltd. JPY 300 200 300 9,160.0000 23,602.16 0.34

JP3926400007 Morinaga & Co. Ltd. JPY 3,000 3,400 600 4,835.0000 24,916.26 0.36

JP3914400001 Murata Manufacturing Co. Ltd. JPY 100 0 100 15,785.0000 13,557.50 0.20

JP3660400007 Nichias Corporation JPY 1,000 0 1,000 1,117.0000 9,593.75 0.14

JP3687200000 Nichi-iko Pharmaceutical Co.

Ltd.

JPY 300 0 300 1,658.0000 4,272.09 0.06

JP3715200006 Nippon Shokubai Co. Ltd. JPY 300 100 300 7,290.0000 18,783.82 0.27

JP3677600003 Nissin Electric Co. Ltd. JPY 500 0 500 1,272.0000 5,462.51 0.08

JP3379900008 NS Solutions Corporation JPY 0 0 1,000 2,081.0000 17,873.40 0.26

JP3165650007 NTT Docomo Inc. JPY 1,400 0 2,200 2,665.5000 50,365.88 0.73

JP3197600004 Ono Pharmaceutical Co. Ltd. JPY 500 300 200 2,549.5000 4,379.45 0.06

JP3977400005 Rinnai Corporation JPY 200 100 100 9,430.0000 8,099.29 0.12

JP3419400001 Sekisui Chemical Co. Ltd. JPY 0 300 1,100 1,854.0000 17,516.10 0.25

JP3358200008 Shimamura Co. Ltd. JPY 100 0 100 14,720.0000 12,642.79 0.18

JP3600200004 Toho Gas Co. Ltd. JPY 1,000 0 1,000 961.0000 8,253.89 0.12

JP3602600003 Toho Holdings Co. Ltd. JPY 600 0 600 2,337.0000 12,043.29 0.17

JP3635500006 Trusco Nakayama Corporation JPY 200 0 200 2,421.0000 4,158.72 0.06

JP3274280001 Welcia Holdings Co. Ltd. JPY 100 0 100 7,150.0000 6,141.03 0.09

13






USD

Japan (continued)

JP3437400009 Zojirushi Corporation JPY 500 0 500 1,565.0000 6,720.78 0.10

664,233.80 9.59

Jersey

JE00B783TY65 Delphi Automotive Plc. USD 0 217 156 67.3600 10,508.16 0.15

GB00B19NLV48 Experian Group Plc. GBP 884 0 884 15.7500 17,027.11 0.25

JE00BFNWV485 Wolseley Plc. GBP 314 246 725 49.5600 43,941.74 0.64

71,477.01 1.04

Luxembourg

LU0569974404 Aperam S.A. EUR 395 0 395 43.4150 17,985.80 0.26

17,985.80 0.26

Malaysia

MYL3816OO005 Malaysia International Shipping

Corporate Berhad

MYR 14,100 6,600 7,500 7.4100 12,396.75 0.18

MYL7113OO003 Top Glove Corporation Berhad MYR 14,000 0 14,000 5.3000 16,551.31 0.24

28,948.06 0.42

Mexico

MX01OM000018 Grupo Aeroportuario del Centro

Norte Sab de CV

MXN 2,368 0 2,368 89.8000 10,296.90 0.15

10,296.90 0.15

Netherlands

NL0000009132 Akzo Nobel N.V. EUR 144 110 133 59.4000 8,285.73 0.12

NL0009434992 Lyondellbasell Industries NV USD 54 354 346 86.0100 29,759.46 0.43

NL0000379121 Ranstad Holding NV EUR 559 748 844 51.6500 45,719.92 0.66

NL0000395903 Wolters Kluwer NV EUR 1,064 0 1,064 34.5200 38,521.67 0.56

122,286.78 1.77

New Zealand

NZZELE0001S1 Z Energy Ltd. NZD 4,843 989 5,950 7.2200 29,865.70 0.43

29,865.70 0.43

Norway

NO0003096208 Leroy Seafood Group ASA NOK 288 0 288 479.0000 15,940.51 0.23

NO0005052605 Norsk Hydro ASA NOK 1,764 0 1,764 41.2500 8,408.08 0.12

NO0010310956 Salmar ASA NOK 969 0 969 259.0000 28,999.99 0.42

NO0010208051 Yara International ASA NOK 296 749 193 341.1000 7,607.00 0.11

60,955.58 0.88

14






USD

Singapore

SG1P66918738 Singapore Press Holdings Ltd. SGD 4,700 0 4,700 3.5600 11,540.52 0.17

SG0531000230 Venture Corporation Ltd. SGD 4,400 0 4,400 9.8700 29,953,50 0,43

41,494,02 0,60

South Africa

ZAE000049433 AVI Ltd. ZAR 1,446 3,304 1,446 91.1300 9,657.29 0.14

ZAE000145892 Life Healthcare Group Holdings

Pte. Ltd.

ZAR 3,542 0 3,542 32.6500 8,475.35 0,12

ZAE000156550 Mondi Ltd. ZAR 1,408 1,225 818 279.0000 16,725.66 0.24

ZAE000118279 Pioneer Food Group Ltd. ZAR 881 0 881 154.6700 9,986.37 0.14

ZAE000173951 Sibanye Gold Ltd. ZAR 4,684 0 4,684 24.7000 8,478,90 0.12

ZAE000071080 Tiger Brands Ltd. ZAR 525 661 525 401.9100 15,463.72 0.22

ZAE000132577 Vodacom Group Ltd. ZAR 3,510 0 3,510 149.8500 38,546.91 0.56

107,334.20 1.54

South Korea

KR7006650006 Korea Petrochemical Industrial

Co. Ltd.

KRW 36 0 36 275,500.0000 8,212.98 0.12

KR7051910008 LG Chemical Ltd. KRW 25 0 25 261,000.0000 5,403.28 0.08

KR7051900009 LG Household & Health Care

Ltd.

KRW 11 13 10 857,000.0000 7,096.72 0.10

KR7036490001 SK Materials Co. Ltd KRW 66 0 66 179,400.0000 9,804.90 0.14

KR7021240007 Woongjin Coway Co. Ltd. KRW 555 181 374 88,300.0000 27,346.97 0.40

57,864.85 0.84

Spain

ES0130670112 Endesa S.A. EUR 2,203 0 2,203 20,2350 46,753.10 0.68

46,753.10 0.68

Sweden

SE0006886750 Atlas Copco AB SEK 367 0 367 278.5000 11,209.71 0.16

SE0000869646 Boliden AB SEK 0 288 503 238.0000 13,129.49 0,19

SE0000103814 Electrolux AB -B- SEK 2,152 0 2,872 225.6000 71,060.23 1,03

SE0000109290 Holmen AB SEK 0 715 426 325.2000 15,193.69 0.22

SE0001662230 Husqvarna AB SEK 5,805 1,314 5,805 70.9000 45,138.96 0.65

SE0000949331 Nobia AB SEK 4,467 0 4,467 82.7000 40,515.81 0.59

SE0000113250 Skanska AB SEK 0 1,776 422 215.8000 9,987.73 0.14

206,235.62 2.98

Switzerland

CH0010532478 Actelion Ltd. CHF 106 46 60 222.9000 13,065,06 0.19

CH0003541510 Forbo Holding AG CHF 16 0 16 1,331.0000 20,804,07 0.30

15






USD

Switzerland (continued)

CH0114405324 Garmin Ltd. USD 485 0 485 49.0100 23,769,85 0.34

CH0010645932 Givaudan S.A. CHF 9 2 17 1,858.0000 30,856.37 0.45

CH0025238863 Kühne + Nagel International AG CHF 440 176 417 135.4000 55,157.54 0.80

CH0025751329 Logitech International S.A. CHF 505 0 505 25.4500 12,555.36 0.18

CH0038388911 Sulzer AG CHF 63 0 63 106.0000 6,523.74 0.09

162,731.99 2.35

United States of America

US0009571003 ABM Industries Inc. USD 403 193 403 40.7800 16,434,34 0.24

US00507V1098 Activision Blizzard Inc. USD 238 0 238 36.4800 8,682,24 0.13

US00508Y1029 Acuity Brands Inc. USD 68 0 68 232.7900 15,829,72 0.23

US0091581068 Air Products & Chemicals Inc. USD 93 0 196 144.3700 28,296,52 0.41

US0116421050 Alarm.com Holdings Inc. USD 299 0 299 27.8900 8,339,11 0.12

US0116591092 Alaska Air Group Inc. USD 605 339 484 88.5300 42,848,52 0.62

US0162551016 Align Technology Inc. USD 98 0 98 96.9600 9,502,08 0.14

US01748X1028 Allegiant Travel Co. USD 0 102 56 166.2000 9,307,20 0.13

US02079K3059 Alphabet Inc. USD 24 0 36 802.8800 28,903,68 0.42

US02553E1064 American Eagle Outfitters Inc. USD 4,141 0 4,141 15.2700 63,233,07 0.92

US0305061097 American Woodmark

Corporation

USD 222 0 222 76.1000 16,894,20 0.24

US0311621009 Amgen Inc. USD 446 76 541 147.7800 79,948,98 1.16

US03673L1035 Antero Midstream Partners LP USD 797 0 797 30.9500 24,667,15 0.36

US8318652091 A.O. Smith Corporation USD 175 0 175 47.6600 8,340,50 0.12

US0378331005 Apple Inc. USD 0 621 97 116.7300 11,322,81 0.16

US04685W1036 athenahealth Inc. USD 179 0 179 105.2700 18,843,33 0.27

US0528001094 Autoliv Inc. USD 64 0 64 113.4100 7,258,24 0.11

US0533321024 AutoZone Inc. USD 14 14 12 798.4900 9,581,88 0.14

US0536111091 Avery Dennison USD 223 449 470 70.6200 33,191,40 0.48

US0893021032 Big Lots Inc. USD 915 148 1,265 50.6800 64,110,20 0.93

US1046741062 Brady Corp. USD 2,823 0 2,823 37.8500 106,850,55 1.55

US1101221083 Bristol-Myers Squibb Co. USD 134 508 295 58.9000 17,375,50 0.25

US1170431092 Brunswick Corporation USD 1,007 97 1,078 54.7300 58,998,94 0.85

US1273871087 Cadence Design Systems Inc. USD 350 0 350 25.5200 8,932,00 0.13

US1295001044 Caleres Inc. USD 256 0 256 33.1600 8,488,96 0.12

US1320111073 Cambrex Corporation USD 383 182 201 53.5500 10,763,55 0.16

US1344291091 Campbell Soup Co. USD 385 360 294 60.9500 17,919,30 0.26

US14149Y1082 Cardinal Health Inc. USD 74 194 306 72.3500 22,139,10 0.32

US14964U1088 Cavium Inc. USD 152 0 152 62.9800 9,572,96 0.14

US1508701034 Celanese Corporation USD 125 0 125 79.2800 9,910,00 0.14

US1713401024 Church & Dwight Co. Inc. USD 402 0 402 44.8200 18,017,64 0.26

US1729081059 Cintas Corporation USD 0 276 369 116.3200 42,922,08 0.62

US1727551004 Cirrus Logic Inc. USD 168 0 168 58.0100 9,745,68 0.14

16






USD

United States of America (continued)

US1773761002 Citrix Systems Inc. USD 691 0 821 90.0200 73,906,42 1.07

US1890541097 Clorox Co. USD 59 139 382 121.3600 46,359.52 0.67

US1897541041 Coach Inc. USD 248 0 248 35.0100 8,682.48 0.13

US1941621039 Colgate-Palmolive Co. USD 109 0 109 65.8900 7,182.01 0.10

US1999081045 Comfort Systems USA Inc. USD 563 0 799 33.6500 26,886.35 0.39

US2124851062 Convergys Corporation USD 218 0 1,137 24.8000 28,197.60 0.41

US2168311072 Cooper Tire & Rubber Co. USD 710 0 874 38.8000 33,911.20 0.49

US0673831097 C.R. Bard Inc. USD 93 0 135 224.1300 30,257.55 0.44

US2480191012 Deluxe Corporation USD 620 80 1,198 71.6800 85,872.64 1.24

US23331A1097 DR Horton Inc. USD 226 0 226 27.5300 6,221.78 0.09

US26138E1091 Dr. Pepper Snapple Group Inc. USD 151 421 264 90.9600 24,013.44 0.35

US2674751019 Dycom Industries Inc. USD 421 232 189 81.5900 15,420.51 0.22

US28176E1082 Edwards Lifesciences

Corporation

USD 104 98 374 93.7100 35,047.54 0.51

US5324571083 Eli Lilly & Co. USD 391 0 486 73.5600 35,750.16 0.52

US29084Q1004 Emcor Group Inc. USD 114 313 114 70.9700 8,090.58 0.12

US29358P1012 Ensign Group Inc. USD 364 0 364 22.3200 8,124,48 0.12

US26885B1008 EQT Midstream Partners L.P. USD 160 126 258 75.2600 19,417.08 0.28

US2987361092 Euronet Worldwide Inc. USD 151 123 135 72.3700 9,769.95 0.14

US30303M1027 Facebook Inc. USD 155 0 155 116.3500 18,034.25 0.26

US33829M1018 Five Below Inc. USD 219 0 219 39.1100 8,565.09 0.12

US3448491049 Foot Locker Inc. USD 228 600 860 70.8900 60,965.40 0.88

US34959E1091 Fortinet Inc. USD 574 0 574 30.3000 17,392.20 0.25

US34964C1062 Fortune Brands Home & Sec.Inc. USD 156 0 156 54.0500 8,431.80 0.12

US3156161024 F5 Networks Inc. USD 115 0 347 144.9200 50,287.24 0.73

US3715321028 Genesco Inc. USD 113 0 113 61.9000 6,994.70 0.10

US37253A1034 Gentherm Inc. USD 230 119 257 34.4000 8,840.80 0.13

US3746891072 Gibraltar Industries Inc. USD 425 0 425 42.5500 18,083.75 0.26

US37518B1026 Gigamon Inc. USD 170 0 170 45.9000 7,803.00 0.11

US38526M1062 Grand Canyon Education Inc. USD 0 437 444 58.9100 26,156.04 0.38

US4198791018 Hawaiian Holdings Inc. USD 135 0 135 58.2000 7,857.00 0.11

US4042511000 HNI Corp. USD 724 1,259 369 56.1200 20,708.28 0.30

US4370761029 Home Depot Inc. USD 304 131 676 135.1000 91,327.60 1.32

US4043031099 HSN Inc. USD 193 89 194 34.2000 6,634.80 0.10

US45167R1041 IDEX Corporation USD 100 0 100 89.9200 8,992.00 0.13

US45168D1046 Idexx Laboratories Inc. USD 186 144 186 118.0800 21,962.88 0.32

US4523081093 Illinois Tool Works Inc. USD 173 0 173 122.4900 21,190.77 0.31

US4523271090 Illumina Inc. USD 47 188 47 128.7200 6,049.84 0.09

US45329R1095 INC Research Holdings Inc. USD 439 0 439 52.0000 22,828.00 0.33

US4571871023 Ingredion Inc. USD 60 0 60 125.6800 7,540.80 0.11

US4581181066 Integrated Device Technology

Inc.

USD 332 462 340 24.2400 8,241.60 0.12

17






USD


US4606901001 Interpublic Group Co. Inc. USD 152 1,846 403 23.6400 9,526.92 0.14

US4612021034 Intuit Inc. USD 275 0 434 114.9200 49,875.28 0.72

US4657411066 Itron Inc. USD 310 0 310 63.8000 19,778.00 0.29

US4771431016 Jetblue Airways Corporation USD 343 0 343 22.1400 7,594.02 0.11

US4778391049 John Bean Technologies

Corporation

USD 119 0 119 84.7500 10,085.25 0.15

US4830077040 Kaiser Aluminum Corp. USD 81 0 81 78.9900 6,398.19 0.09

US4824801009 KLA-Tencor Corporation USD 126 0 126 79.2900 9,990.54 0.14

US5053361078 La-Z-Boy Inc. USD 929 263 910 31.7000 28,847.00 0.42

US5218652049 Lear Corporation USD 139 0 139 132.7000 18,445.30 0.27

US5246601075 Leggett & Platt Inc. USD 709 0 709 49.6000 35,166.40 0.51

US5356781063 Linear Technology Corporation USD 180 0 180 62.5700 11,262.60 0.16

US54142L1098 LogMeIn Inc. USD 150 75 322 97.6500 31,443.30 0.46

US5486611073 Lowe's Companies Inc. USD 248 516 468 71.3400 33,387.12 0.48

US5627501092 Manhattan Associates Inc. USD 610 0 610 53.5800 32,683.80 0.47

US5745991068 Masco Corporation USD 257 0 257 31.8900 8,195.73 0.12

US5747951003 Masimo Corp. USD 803 0 803 67.4500 54,162.35 0.78

US58155Q1031 Mc Kesson Corporation USD 58 0 139 141.7800 19,707.42 0.29

US5801351017 McDonald's Corporation USD 700 0 700 122.7900 85,953.00 1.24

US58933Y1055 Merck & Co. Inc. USD 232 0 232 59.0400 13,697.28 0.20

US5926881054 Mettler-Toledo International Inc. USD 48 0 48 420.3200 20,175.36 0.29

US6005441000 Miller Inc.. Herman USD 1,765 0 1,765 34.6000 61,069.00 0.88

US6098391054 Monolithic Power Systems Inc. USD 134 0 134 83.2200 11,151.48 0.16

US6267551025 Murphy USA Inc. USD 94 201 94 62.4900 5,874.06 0.09

US6400791090 Neenah Paper Inc. USD 178 185 127 85.5500 10,864.85 0.16

US64111Q1040 Netgear Inc. USD 171 0 171 54.5000 9,319.50 0.13

US6541061031 Nike Inc. USD 398 350 306 51.0600 15,624.36 0.23

US6556631025 Nordson Corporation USD 212 0 212 112.9100 23,936.92 0.35

US6707041058 NuVasive Inc. USD 298 0 298 67.3200 20,061.36 0.29

US67066G1040 Nvidia Corporation USD 698 0 698 111.4300 77,778.14 1.13

US6819191064 Omnicom Group Inc. USD 72 314 204 85.6800 17,478.72 0.25

US7134481081 PepsiCo Inc. USD 169 44 460 104.9900 48,295.40 0.70

US73278L1052 Pool Corporation USD 746 0 746 105.6800 78,837.28 1.14

US6935061076 PPG Industries Inc. USD 122 120 90 95.3100 8,577.90 0.12

US7434241037 Proofpoint Inc. USD 430 0 430 71.0000 30,530.00 0.44

US74876Y1010 Quintiles IMS Holdings Inc. USD 131 0 251 75.8800 19,045.88 0.28

US7565771026 Red Hat Inc. USD 268 146 384 69.6500 26,745.60 0.39

US7628191006 Rice Midstream Partners L.P. USD 632 0 632 24.1500 15,262.80 0.22

US7703231032 Robert Half International Inc. USD 0 737 219 48.8500 10,698.15 0.15

US7782961038 Ross Stores Inc. USD 0 829 625 66.3700 41,481.25 0.60

US79466L3024 Salesforce.com Inc. USD 139 184 359 69.1500 24,824.85 0.36

US81762P1021 ServiceNow Inc. USD 129 0 129 74.9400 9,667.26 0.14

18






USD


US8226341019 Shell Midstream Partners L.P. USD 410 0 410 28.7100 11,771.10 0.17

US8243481061 Sherwin-Williams Co. USD 0 171 27 271.1300 7,320.51 0.11

US8330341012 Snap-On Incorporated USD 52 0 52 172.1500 8,951.80 0.13

US8354951027 Sonoco Products Co. USD 416 226 416 53.3500 22,193.60 0.32

US8447411088 Southwest Airlines USD 0 1,477 219 50.2000 10,993.80 0.16

US8545021011 Stanley Black & Decker Inc. USD 164 0 164 115.2400 18,899.36 0.27

US8552441094 Starbucks Corporation USD 399 354 316 56.3200 17,797.12 0.26

US8636671013 Stryker Corporation USD 178 0 262 120.5200 31,576.24 0.46

US8712371033 Sykes Enterprises Inc. USD 828 282 799 28.9700 23,147.03 0.34

US87612E1064 Target Corporation USD 1,019 789 1,068 72.6200 77,558.16 1.12

US88076W1036 Teradata Corporation (Del.) USD 668 179 668 27.2500 18,203.00 0.26

US8825081040 Texas Instruments Inc. USD 847 284 1,042 74.1500 77,264.30 1.12

US8851601018 Thor Industries Inc. USD 182 151 143 100.7300 14,404.39 0.21

US89531P1057 Trex Co. Inc. USD 145 0 145 65.9800 9,567.10 0.14

US9022521051 Tyler Technologies Inc. USD 0 224 56 143.3800 8,029.28 0.12

US90384S3031 Ulta Salon Cosmetics & Fragr USD 0 66 172 257.3400 44,262.48 0.64

US9135431040 Universal Forest Products Inc. USD 149 0 149 103.8200 15,469.18 0.22

US91879Q1094 Vail Resorts Inc. USD 213 68 145 162.0900 23,503.05 0.34

US91913Y1001 Valero Energy Corporation USD 493 816 460 68.6300 31,569.80 0.46

US91914J1025 Valero Energy Partners L.P. USD 770 0 770 44.0400 33,910.80 0.49

US92220P1057 Varian Medical Systems Inc. USD 100 0 100 90.2400 9,024.00 0.13

US92839U2069 Visteon Corp. USD 104 0 104 80.1000 8,330.40 0.12

US9291601097 Vulcan Materials Co. USD 67 0 67 127.2500 8,525.75 0.12

US9418481035 Waters Corporation USD 0 0 132 134.5000 17,754.00 0.26

US9818111026 Worthington Industries Inc. USD 144 0 144 48.1000 6,926..40 0.10

US98978V1035 Zoetis Inc. USD 390 0 390 53.6200 20,911.80 0.30

3,456,534.63 50.05

Virgin Islands (GB)

VGG607541015 Michael Kors Holdings Ltd. USD 191 0 191 42.8400 8,182.44 0,12

8,182.44 0,12

Transferable securities admitted to an official exchange listing 6,669,059.71 96.56

Shares, rights and participation certificates 6,669,059.71 96.56

Investment in securities 6,669,059.71 96.56

Cash at bank - current accounts 240,951.41 3.49

Balance of other receivables and liabilities -3,850.32 -0.05

Total net assets in USD 6,906,160.80 100.00

19



Purchases and sales from 1 January 2016 to 31 December 2016 Purchases and sales of securities, bonded loans and derivatives during the reporting period, including changes without cash flows, which were not stated in the statement of investments.

ISIN Securities Purchases Sales



Australia

AU000000ANN9 Ansell Ltd. AUD 0 439

AU000000CSL8 CSL Ltd. AUD 0 319

AU000000FXJ5 Fairfax Media Ltd. AUD 0 53,559

AU000000SPO4 Spotless Group Holdings Ltd. AUD 0 12,885

AU000000TLS2 Telstra Corporation Ltd. AUD 0 10,395

AU000000WPL2 Woodside Petroleum Ltd. AUD 0 519

Austria

AT0000A18XM4 AMS AG CHF 518 518

AT0000730007 Andritz AG EUR 574 715

AT0000APOST4 Österreichische Post AG EUR 292 608

Bermuda

BMG8162K1137 Sihuan Pharmaceutical Holdings Group Ltd. HKD 0 21,000

Canada

CA00900Q1037 Aimia Inc. CAD 0 570

CA21037X1006 Constellation Software Inc. CAD 0 45

Cayman Islands

KYG040111059 Anta Sports Products Ltd. HKD 2,000 7,000

KYG2198S1093 CIMC Enric Holdings Ltd. HKD 0 10,000

KYG4402L1510 Hengan International Group Co. Ltd. HKD 500 3,000

US64110W1027 NetEase Inc. ADR USD 57 57

KYG730611061 Qinqin Foodstuffs Group Cayman Co Ltd. HKD 300 300

KYG8087W1015 Shenzhou International Group Holdings Ltd. HKD 2,000 2,000

KYG9829N1025 Xinyi Solar Holdings Ltd. HKD 0 20,000

China

CNE1000002V2 China Telecom Corporation Ltd. HKD 14,000 14,000

Curacao

AN8068571086 Schlumberger NV (Ltd.) USD 87 253

Denmark

DK0015998017 Bavarian Nordic AS DKK 0 183

DK0060534915 Novo-Nordisk AS DKK 106 848

Finland

FI0009005870 Konecranes Oyj EUR 0 285

France

FR0000121667 Essilor International S.A. EUR 0 67

FR0010259150 Ipsen S.A. EUR 0 218

20





France (continued)

FR0000120578 Sanofi S.A. EUR 66 530

FR0000130338 Valéo S.A. EUR 29 90

Germany

DE000BAY0017 Bayer AG EUR 0 63

DE0005158703 Bechtle AG EUR 67 67

DE0005200000 Beiersdorf AG EUR 0 96

DE0005565204 Dürr AG EUR 115 115

DE000EVNK013 Evonik Industries AG EUR 182 929

DE0005772206 Fielmann AG EUR 0 388

DE000KSAG888 K+S AG EUR 170 684

DE0006916604 Pfeiffer Vacuum Technology AG EUR 0 114

DE0007164600 SAP SE EUR 0 116

Great Britain

GB00BK1PTB77 Aggreko Plc. GBP 0 360

GB0000811801 Barratt Developments Plc. GBP 1,721 1,721

GB0030913577 BT Group Plc. GBP 0 1,144

GB0008220112 D S Smith Plc. GBP 0 1,408

GB0009457366 Daily Mail & General Trust Plc. GBP 0 545

GB0059822006 Dialog Semiconductor Plc. EUR 0 1,048

GB00B4Y7R145 Dixons Carphone Plc. GBP 1,828 1,828

GB00B7KR2P84 EASYJET Plc. GBP 0 1,667

GB0002418548 Elementis Plc. GBP 0 2,934

GB00B012TP20 Halfords Ltd. GBP 0 2,416

GB00BD2MGK60 Informa Plc. BZR 25.10.16 GBP 1,473 1,473

GB00BMNQZP86 JD Sports Fashion Plc. GBP 593 593

GB00BZ4BQC70 Johnson Matthey Plc. GBP 163 163

GB00B70FPS60 Johnson Matthey Plc. GBP 0 332

GB0004657408 Mitie Group Plc. GBP 2,238 2,238

GB00B135BJ46 Savills Plc. GBP 0 583

GB00B8C3BL03 The Sage Group Plc. GBP 0 2,347

Hong Kong

HK0285041858 BYD Electronic (Intl) Co. Ltd. HKD 0 5,500

HK0014000126 Hysan Development Co. Ltd. HKD 3,000 3,000

HK0669013440 Techtronic Industries Co. Ltd. HKD 2,500 2,500

Indonesia

ID1000061302 PT Indocement Tunggal Prakarsa Tbk IDR 0 6,700

ID1000111602 PT Perusahaan Gas Negara Tbk IDR 0 28,600

ID1000106800 PT Semen Indonesia (Persero) Tbk IDR 0 10,200

ID1000129000 PT Telekomunikasi Indonesia Persero Tbk IDR 0 37,100

ID1000058407 PT United Tractors Tbk IDR 11,600 71,700

ID1000130008 Samit Sumbermas Sarana Tbk PT IDR 0 59,100

Ireland

IE00B4XKTT64 Fleetmatics Group Plc. USD 410 559

IE0003864109 Greencore Group Plc. GBP 583 2,738

21





Ireland (continued)

AU000000JHX1 James Hardie Industries Plc. AUD 0 1,295

IE0004927939 Kingspan Group Plc. EUR 0 678

IE00BLS09M33 Pentair Plc. USD 0 146

Italy

IT0001479374 Luxottica Group S.p.A. EUR 0 145

Japan

JP3111200006 Asahi Kasei Corporation JPY 0 2,000

JP3937200008 Azbil Corporation JPY 200 200

JP3242800005 Canon Inc. JPY 0 1,100

JP3496600002 Daihatsu Motor Co. Ltd. JPY 500 500

JP3802400006 Fanuc Corporation JPY 0 100

JP3814800003 Fuji Heavy Industries Ltd. JPY 700 1,400

JP3785000005 Hitachi Chemical Co. Ltd. JPY 600 900

JP3294600006 Hitachi Kokusai Electric Inc. JPY 1,000 1,000

JP3894900004 Isetan Mitsukoshi Holdings Ltd. JPY 500 500

JP3104890003 IT Holdings Corporation JPY 300 600

JP3230600003 Kandenko Co. Ltd. JPY 1,000 1,000

JP3277230003 Keihin Corporation JPY 0 500

JP3263000006 Kinden Corporation JPY 500 500

JP3304200003 Komatsu Ltd. JPY 0 400

JP3300600008 Konica Minolta Holding Inc. JPY 0 2,000

JP3283650004 Kose Corporation JPY 0 200

JP3906000009 Minebea Co. Ltd. JPY 0 1,000

JP3902400005 Mitsubishi Electric Corporation JPY 1,000 4,000

JP3469000008 Mitsubishi Tanabe Pharma Corporation JPY 1,600 1,600

JP3742600004 NHK Spring Co. Ltd. JPY 0 700

JP3164800009 Nok Corporation JPY 0 900

JP3172100004 OKUMA Corporation JPY 0 1,000

JP3188200004 Otsuka Corporation JPY 0 300

JP3244800003 Q.P. Corporation JPY 300 300

JP3755200007 Relo Group Inc. JPY 0 200

JP3400400002 SCSK Corp. JPY 0 400

JP3357200009 Shimadzu Corporation JPY 0 1,000

JP3347200002 Shionogi & Co. Ltd. JPY 0 200

JP3405400007 Sumitomo Heavy Industries Ltd. JPY 0 4,000

JP3351100007 Sysmex Corporation JPY 0 800

JP3443600006 Taisei Corporation JPY 3,000 3,000

JP3452000007 Taiyo Yuden Co. Ltd. JPY 500 500

JP3538800008 TDK Corporation JPY 100 200

JP3546800008 Terumo Corporation JPY 300 300

JP3535400000 Tsubakimoto Chain Co. JPY 0 3,000

JP3949400000 United Arrows Ltd. JPY 200 400

JP3725400000 Zeon Corporation JPY 1,000 3,000

Jersey

JE00B3CGFD43 Regus Plc. GBP 2,725 2,725

US92932M1018 WNS (Holdings) Ltd. ADR USD 289 289

22





Malaysia

MYL6947OO005 Digi.Com Berhad MYR 0 13,300

Mexico

MXP000511016 Alfa SAB de CV MXN 4,197 4,197

MX01GA000004 Grupo Aeroportuario del Pacifico S.A. MXN 461 3,403

Netherlands

NL0010060661 AVG Technologies NV USD 566 1,263

NL0000852580 Boskalis Westminster NV EUR 0 373

NL0009272269 Cimpress NV USD 90 90

NL0009538784 NXP Semiconductors NV USD 0 536

NL0000009355 Unilever NV EUR 112 825

New Zealand

NZFAPE0001S2 Fisher & Paykel Healthcare Corporation NZD 0 2,581

NZTELE0001S4 Spark New Zealand Ltd. NZD 0 9,350

Poland

PLPGNIG00014 Polish Oil & Gas PLN 0 28,468

Singapore

SG9999006241 Avago Technologies Ltd. USD 159 365

SG9999014823 Broadcom Ltd. USD 546 546

SG1U89935555 M1 Ltd./Singapore SGD 0 3,400

South Africa

ZAE000216537 Bid Corp. Ltd. ZAR 894 894

ZAE000117321 New Bidvest Group Ltd. ZAR 3,572 3,572

ZAE000044897 Telkom South Africa SOC Ltd. ZAR 0 1,130

South Korea

KR7090430000 Amorepacific Corporation KRW 0 68

KR7011170008 Honam Petrochemical Co. Ltd. KRW 27 27

KR7005930003 Samsung Electronics Co. Ltd. KRW 0 7

Spain

ES0112501012 Ebro Foods S.A. EUR 334 1,494

ES0148396007 Industria de Diseño Textil S.A. EUR 0 250

Sweden

SE0007100581 Assa-Abloy AB SEK 0 960

SE0000862997 Billerud AB SEK 0 892

SE0000112724 Svenska Cellulosa AB -B- SEK 1,269 1,269

Switzerland

CH0012138605 Adecco Group AG CHF 68 333

CH0012032048 Roche Holding AG Genussscheine CHF 33 33

23





Taiwan

TW0003474003 Inotera Memories Inc. TWD 0 8,000

TW0002325008 Siliconware Precision Industries Co. TWD 0 25,000

TW0002330008 Taiwan Semiconductor Manufacturing Co. Ltd. TWD 0 9,000


US0025671050 Abaxis Inc. USD 0 143

US0153511094 Alexion Pharmaceuticals Inc. USD 0 58

US01861G1004 Alliance Hldgs Group L.P. USD 0 398

US02052T1097 Alon USA Partners L.P. USD 677 2,231

US0234361089 Amedisys Inc. USD 0 182

US0298991011 American States Water Co. USD 0 443

US03073E1055 AmerisourceBergen Corporation USD 0 152

US0375981091 Apogee Enterprises Inc. USD 0 155

US0383361039 AptarGroup Inc. USD 0 235

US0394831020 Archer-Daniels-Midland Corporation USD 0 191

US0453271035 Aspen Technology Inc. USD 0 521

US0736851090 Beacon Roofing Supply Inc. USD 163 163

US0758961009 Bed Bath & Beyond Inc. USD 0 103

US09062X1037 Biogen Inc. USD 87 87

US09739D1000 Boise Cascade Co. USD 0 247

US1113201073 Broadcom Corporation -A- USD 0 435

US13342B1052 Cameron International Corporation USD 0 122

US1475281036 Casey's General Stores Inc. USD 67 67

US12504L1098 CBRE Group Inc. USD 0 257

US15670R1077 Cepheid Inc. USD 166 305

US1567821046 Cerner Corporation USD 0 234

US16359R1032 Chemed Corporation USD 24 424

US22410J1060 Cracker Barrel Old Country Store Inc. USD 0 688

US1263491094 CSG Systems International Inc. USD 234 234

US2310211063 Cummins Inc. USD 0 80

US2435371073 Deckers Outdoor Corporation USD 0 197

US2533931026 Dick's Sporting Goods Inc. USD 0 128

US26168L2051 Drew Industries Inc. USD 170 310

US2635341090 E.I. du Pont de Nemours & Co. USD 0 136

US2855121099 Electronic Arts Inc. USD 0 241

US2944291051 EQUIFAX USD 334 492

US30219E1038 Express Inc. USD 863 1,224

US30219G1085 Express Scripts Holding Co. USD 0 81

US3612681052 G & K Services Inc. USD 0 139

US36467W1099 Gamestop Corporation -NEW- USD 146 613

US36237H1014 G-III Apparel Group Ltd. USD 0 201

US3755581036 Gilead Sciences Inc. USD 91 162

US38268T1034 GoPro Inc. USD 0 269

US4180561072 Hasbro Inc. USD 0 188

US42235N1081 Heartland Payment Services Inc. USD 84 84

US4571531049 Ingram Micro Inc. USD 189 189

US45778Q1076 Insperity Inc. USD 504 627

US4581401001 Intel Corporation USD 0 1,018

US4586653044 Interface Inc. USD 0 721

24






US46069S1096 Intersil Corporation USD 436 1,431

US44980X1090 IPG Photonics Corporation USD 0 201

US4262811015 Jack Henry & Associates Inc. USD 0 267

US4783661071 Johnson Controls Inc. USD 190 190

US4990641031 Knight Transportation Inc. USD 0 597

US4989042001 Knoll Inc. USD 961 1,622

US5017971046 L Brands Inc. USD 161 253

US5150981018 Landstar Systems Inc. USD 0 102

US5261071071 Lennox International Inc USD 152 292

US5339001068 Lincoln Electric Holdings Inc. USD 0 337

US5500211090 Lululemon Athletica Inc. USD 0 180

US5590792074 Magellan Health Services Inc. USD 99 99

US5590801065 Magellan Midstream Partners LP USD 0 235

US56585A1025 Marathon Petroleum Corporation USD 455 572

US57772K1016 Maxim Integrated Products Inc. USD 0 495

US5779331041 Maximus Inc. USD 0 249

US57776J1007 MaxLinear Inc. USD 445 445

US5797802064 McCormick & Company Inc. USD 151 151

US5950171042 Microchip Technology Inc. USD 0 429

US5951121038 Micron Technology Inc. USD 0 327

US5949724083 Microstrategy Inc. -A- USD 0 40

US64115T1043 Netscout Systems Inc. USD 0 202

US6658261036 Northern Tier Energy L.P. USD 0 561

US67072V1035 NxStage Medical Inc. USD 373 373

US6795801009 Old Dominion Freight Line Inc. USD 0 265

US67103H1077 O'Reilly Automotive Inc.[New] USD 101 101

US6914973093 Oxford Industries Inc. USD 0 186

US69840W1080 Panera Bread Co. USD 38 38

US7043261079 Paychex Inc. USD 293 1,262

US7185461040 Phillips 66 USD 261 261

US72147K1088 Pilgrim's Pride Corporation USD 0 776

US7274931085 Plantronics Inc. USD 414 414

US7291321005 Plexus Corporation USD 0 172

US7475821044 Quality Systems Inc. USD 813 813

US74758T3032 Qualys Inc. USD 0 456

US75606N1090 RealPage Inc. USD 399 859

US7766961061 Roper Industries Inc. USD 43 43

US8000131040 Sanderson Farms Inc. USD 0 108

US8010561020 Sanmina Corporation USD 0 628

US8101861065 Scotts Miracle-Gro Co. USD 131 131

US81616X1037 Select Comfort Corporation USD 147 1,028

US83416B1098 Solarwinds Inc. USD 0 237

US8354511052 Sonic Corporation USD 269 269

US8485771021 Spirit Airlines Inc. USD 0 447

US7908491035 St. Jude Medical Inc. USD 60 447

US8550301027 Staples Inc. USD 0 1,043

US8581552036 Steelcase Inc. USD 0 2,067

US86800U1043 Super Micro Computer Inc. USD 0 261

US8715031089 Symantec Corporation USD 0 710

25






US87157D1090 Synaptics Inc. USD 0 233

US87157B1035 Synchronoss Technologies Inc. USD 0 198

US88164L1008 Tessera Technologies Inc. USD 0 420

US88162G1031 Tetra Tech Inc. USD 337 585

US88677Q1094 Tile Shop Holdings Inc. USD 402 402

US8919061098 Total System Services Inc. USD 86 734

US8923561067 Tractor Supply Co. USD 0 842

US90385D1072 Ultimate Software Group Inc. USD 146 189

US9078181081 Union Pacific Corporation USD 0 83

US9113121068 United Parcel Service -B- USD 0 292

US90328M1071 USANA Health Sciences Inc. USD 0 377

US9507551086 Werner Enterprises Inc. USD 0 264

US98138H1014 Workday Inc. USD 0 106

Securities listed or included on organised markets

Germany

DE000CLS1001 Celesio AG EUR 0 250


US92532W1036 Versum Materials Inc. USD 65 65

26



Exchange rates

For the valuation of assets in foreign currencies, conversions into US Dollar were performed using the following exchange rates as at 31 December 2016.

Australian Dollar AUD 1 1.3862

British Pound GBP 1 0.8177

Canadian Dollar CAD 1 1.3484

Danish Crown DKK 1 7.0872

Euro EUR 1 0.9535

Hong Kong dollar HKD 1 7.7549

Indonesian Rupiah IDR 1 13,460.0000

Japanese Yen JPY 1 116.4300

Malaysian ringgit MYR 1 4.4830

Mexican Peso MXN 1 20.6515

New Zealand Dollar NZD 1 1.4384

Norwegian Crown NOK 1 8.6542

Polish Zloty PLN 1 4.2048

Singapore Dollar SGD 1 1.4498

South African Rand ZAR 1 13.6450

South Korean Won KRW 1 1,207.6000

Swedish Crown SEK 1 9.1179

Swiss Franc CHF 1 1.0236

27

Fund Manager’s report for the sub-fund Arabesque SICAV – Arabesque -Systematic

During the financial year ending on 31 December 2016, the three share classes of the Arabesque SICAV – Arabesque Systematic generated the following performance:

Arabesque SICAV – Arabesque Systematic (USD): 0.60% in USD

Arabesque SICAV – Arabesque Systematic (EUR): 4.59% in EUR

Arabesque SICAV – Arabesque Systematic R: 4.11% in EUR

The differences in performance are mainly due to different fee structures or due to different share class currency.

The financial year of 2016 started with a continuation of the market correction caused by turbulences in China. In February, the sub-fund achieved its goal to reduce investors’ drawdowns significantly by increasing cash exposure. The sub-fund did not participate fully during the following recovery that lasted until the British referendum. The strong market reaction to the British referendum (initial correction and quick recovery within 19 days) resulted in some turnover in the portfolio. Overall, the sub-fund performed well during this phase mainly due to its low pre-Brexit exposure to Great Britain. During the earnings release season of listed companies in the 3rd quarter of 2016, we observed a common theme in the portfolio: A couple of stocks hit their earnings targets or even were positively surprising, but the stock prices dropped due to lowered expectations for future earnings. Following the US election, the markets anticipated large policy changes with regards to regulations, free trade agreements, and foreign affairs in the US. Furthermore, the OPEC reached an agreement to limit oil production. Those developments potentially marked the end of two very long running industry trends that benefited the sub-fund in the past (underperformance of finance and energy).

Stocks are selected from a global, all country investment universe which is screened using Arabesque’s Sustainability Process. Over 200 Environmental, Social and Governance (‘ESG’) factors, market filters, as well as enhanced balance sheet and business activity screenings are used for the rules-based Arabesque Sustainability Process. During this process, approximately 75% of companies are excluded from the investment universe due to ESG, balance sheet, and business activity screenings.

Luxembourg, January 2017 The Board of Directors of the Arabesque SICAV

The information and figures provided in this report are based on past performance and are not an indication of future results.

28

Arabesque SICAV - Arabesque Systematic


Annual report 1 January 2016 - 31 December 2016

The company is entitled to create share classes with different rights. The following share classes currently exist with the following features:

Share class (EUR)

Securitiy No.: A1XCPQ ISIN: LU1023698746 Subscription fee: none Redemption fee: none Management fee: 0.10 % p.a. plus 500 Euro fixed fee p.m. for


1,000.00 EUR


Share class (USD)

Securitiy No.: A1XCPR ISIN: LU1023699983 Subscription fee: none Redemption fee: none Management fee: 0.10 % p.a. plus 500 Euro fixed fee p.m. for


1,000.00 USD

Use of income: distributing Currency: USD

Share class R

Securitiy No.: A12HQR ISIN: LU1164757400 Subscription fee: up to 3.00 % Redemption fee: none Management fee: 0.10 % p.a. plus 500 Euro fixed fee p.m. for


none


Geographic classification 1) United States of America 45.95 % Japan 14.05 % Switzerland 5.24 % Ireland 2.94 % Germany 2.87 % Sweden 1.97 % Canada 1.96 % Great Britain 1.04 % Netherlands 1.03 % South Korea 0.97 % Italy 0.96 % South Africa 0.96 % Spain 0.95 % Cayman Islands 0.86 % Australia 0.83 % Finland 0.82 % Bermuda 0.81 % Norway 0.10 %

Investment in securities 84.31 % Cash at bank 15.52 % Balance of other receivables and liabilities 0.17 %

100.00 %

1) Deviations in the totals are due to rounding differences.

Economic classification 1) Capital Goods 13.31 % Raw, auxiliary & operating materials 10.13 % Semiconductors & Semiconductor Equipment 9.44 % Wholesale and retail 7.92 % Food, Beverage & Tobacco 7.14 % Software & Services 6.88 % Technology Hardware & Equipment 5.05 % Commercial & Professional Services 4.84 % Pharmaceuticals, Biotechnology & Life Sciences 4.78 % Health services: Equipment & services 4.22 % Consumer Durables & Apparel 3.63 % Transportation 2.08 % Real Estate 1.98 % Media 1.95 % Automobile & components 0.96 %

Investment in securities 84.31 % Cash at bank 15.52 % Balance of other receivables and liabilities 0.17 %

100.00 %

29



Performance since launch

Share class (EUR)



Mio. USD USD EUR

01.07.2014 Launch 2) - - 124.83 100.00 1)

31.12.2015 4.30 32,582 4,251.51 131.87 120.93 6)

30.12.2016 5.23 39,569 907.63 132.30 126.14 7)

Share class (USD)

Date Total net Shares outstanding Net cash inflow Net asset

assets in in Thousand USD value per share

Mio. USD USD

01.07.2014 Launch 3) - - 100.00

31.12.2015 8.88 83.452 8,592.65 106.36

30.12.2016 9.19 86,004 267.29 106.87

Share class R



Mio. USD USD EUR

21.01.2015 Launch 4) - - 115.71 100.00 5)

31.12.2015 0.55 4,570 548.29 120.49 110.49 6)

30.12.2016 2.35 19,482 1,727.32 120.50 114.89 7)

1) conversion into USD as at 04.11.2014 1 USD = 0.8011 EUR

2) 1st NAV calculation dated 4 November 2014

3) 1st NAV calculation dated 1 August 2014

4) 1st NAV calculation dated 21 January 2015




30



Statement of net assets


USD

Investments in securities at market value 14,138,812.35


Cash at bank 2,604,034.33


Receivable from share subscriptions 40,821.76


16,800,419.39

Payables from share redemptions -563.85


-26,535.38




Allocations by share class

Share class (EUR)





Share class (USD)




Share class R





3) conversion into USD as at 31.12.2016 1 USD = 0,9535 EUR



Statement of changes in total net assets


Total Share class (EUR) Share class (USD) Share class R

USD USD USD USD

Total net assets at the beginning of the reporting period 13,723,530.97 4,296,607.52 8,876,239.33 550,684.12

Net loss -88,148.53 -24,310.94 -42,343.24 -21,494.35

Income equalisation 10,654.57 3,109.71 1,196.19 6,348.67

Cash inflows from subscriptions 3,408,319.07 908,980.66 619,221.22 1,880,117.19

Cash outflows from redemptions -506,089.80 -1,353.84 -351,934.00 -152,801.96

Realised gains 1,640,395.41 494,248.16 944,623.00 201,524.25

Realised losses -1,624,611.08 -492,376.90 -969,967.94 -162,266.24

Net change in unrealised appreciation on investments 233,014.38 61,457.94 124,549.43 47,007.01

Distribution -23,180.98 -11,532.68 -10,121.05 -1,527.25

Total net assets at the end of the reporting period 16,773,884.01 5,234,829.63 9,191,462.94 2,347,591.44

Statement of changes in the number of shares

Share class (EUR) Share class (USD) Share class R

No. of shares No. of shares No. of shares

Shares outstanding at the beginning of the reporting period 32,581.873 83,452.059 4,570.451

Shares subscribed 6,997.398 5,851.786 16,191.215

Shares redeemed -10.548 -3,300.000 -1,279.267

Shares outstanding at the end of reporting period 39,568.723 86,003.845 19,482.399

32



Statement of operations


Total Share class (EUR) Share class (USD) Share class R

USD USD USD USD

Income

Dividend income 131,660.07 39,719.32 76,283.12 15,657.63

Income from investments 303.67 94.76 194.69 14.22

Bank interest 4,389.42 1,345.68 2,727.84 315.90

Income equalisation 12,261.15 5,219.84 2,195.43 4,845.88

Total income 148,614.31 46,379.60 81,401.08 20,833.63

Expenses

Interest expense -39.86 -12.00 -23.83 -4.03

Management and investment adviser fee -153,037.75 -43,992.93 -84,807.64 -24,237.18

Depositary fee -9,158.49 -2,763.91 -5,346.86 -1,047.72

Central Administration Agent fee -3,027.15 -913.50 -1,767.29 -346.36

Taxe d'abonnement -7,785.84 -2,350.13 -4,545.96 -889.75

Publishing and auditing expenses -13,589.68 -4,087.63 -7,994.63 -1,507.42

Setting, printing and shipping expenses for annual and semi-annual

reports

-2,466.28 -729.60 -1,419.21 -317.47

Transfer agent fee -7,705.56 -2,316.47 -4,475.44 -913.65

Government fees -6,929.81 -2,138.35 -4,248.16 -543.30

Formation expense -1,313.58 -396.61 -770.05 -146.92

Other expenses 1) -8,793.12 -2,659.86 -4,953.63 -1,179.63

Income equalisation -22,915.72 -8,329.55 -3,391.62 -11,194.55

Total expenses -236,762.84 -70,690.54 -123,744.32 -42,327.98

Ordinary net loss -88,148.53 -24,310.94 -42,343.24 -21,494.35

Total transaction costs in the reporting period 2) 32,223.47

Total expense ratio as a percentage 2) 1.38 1.37 1.81

1) This position consists primarily of paying agent fees and general and administrative expenses.

2) See accompanying notes to this report.

33






USD



Australia

AU000000ABC7 Adelaide Brighton Ltd. AUD 36,000 0 36,000 5.3900 139,984.28 0.83

139,984.28 0.83

Bermuda

BMG3922B1072 Genpact Ltd. USD 0 0 5,630 24.2600 136,583.80 0.81

136,583.80 0.81

Canada

CA7677441056 Ritchie Brothers Auction. Inc. CAD 4,600 0 4,600 45.8700 156,483.45 0.93

CA8029121057 Saputo Inc. CAD 4,900 0 4,900 47.5300 172,721.24 1.03

329,204.69 1.96

Cayman Islands

KYG2953R1149 AAC Technologies Holdings Inc. HKD 16,000 0 16,000 70.1000 144,631.83 0.86

144,631.83 0.86

Finland

FI0009013403 Kone Corporation (New) EUR 6,050 2,950 3,100 42.4200 137,919.30 0.82

137,919.30 0.82

Germany

DE000A1EWWW0 adidas AG EUR 1,200 200 1,000 147.9500 155,169.96 0.93

DE0005552004 Dte. Post AG EUR 5,200 0 5,200 31.1600 169,939.16 1.01

DE0006231004 Infineon Technologies AG EUR 19,200 10,200 9,000 16.5950 156,643.52 0.93

481,752.64 2.87

Great Britain

GB00BWFGQN14 Spirax-Sarco Engineering Plc. GBP 3,400 0 3,400 41.8500 174,013.27 1.04

174,013.27 1.04

Ireland

IE00B6330302 Ingersoll-Rand Plc. USD 2,050 0 2,050 75.5700 154,918.50 0.92

AU000000JHX1 James Hardie Industries Plc. AUD 10,000 0 10,000 22.0800 159,289.48 0.95

IE00BYTBXV33 Ryanair Holdings Plc. EUR 11,600 0 11,600 14.7000 178,841.38 1.07

493,049.36 2.94

34






USD

Italy

IT0003828271 Recordati - Industria Chimica e

Farmaceutica S.p.A.

EUR 5,700 0 5,700 27.0600 161,769.01 0.96

161,769.01 0.96

Japan

JP3100800006 Aica Kogyo Co. Ltd. JPY 5,800 0 5,800 3,085.0000 153,680.30 0.92

JP3942400007 Astellas Pharma Inc. JPY 0 0 8,600 1,603.5000 118,441.11 0.71

JP3486800000 Daito Trust Construction Co. Ltd. JPY 2,100 1,000 1,100 17,465.0000 165,004.70 0.98

JP3766550002 Hakuhodo dy Holdings Inc. JPY 13,400 0 13,400 1,424.0000 163,889.01 0.98

JP3853000002 Horiba Ltd. JPY 3,600 0 3,600 5,410.0000 167,276.45 1.00

JP3254200003 Kyowa Exeo Corporation JPY 11,000 0 11,000 1,675.0000 158,249.57 0.94

JP3880800002 Miura Co. Ltd. JPY 8,300 1,500 6,800 1,762.0000 102,908.17 0.61

JP3926400007 Morinaga & Co. Ltd. JPY 4,900 25,600 4,300 4,835.0000 178,566.50 1.06

JP3660400007 Nichias Corporation JPY 15,000 0 15,000 1,117.0000 143,906.19 0.86

JP3756100008 Nitori Co. Ltd. JPY 1,600 1,600 1,600 13,390.0000 184,007.53 1.10

JP3188200004 Otsuka Corporation JPY 3,400 0 3,400 5,440.0000 158,859.38 0.95

JP3357200009 Shimadzu Corporation JPY 11,000 8,550 11,000 1,845.0000 174,310.72 1.04

JP3360250009 SHO-BOND Holdings Co. Ltd. JPY 3,600 0 3,600 4,910.0000 151,816.52 0.91

JP3274280001 Welcia Holdings Co. Ltd. JPY 2,800 0 2,800 7,150.0000 171,948.79 1.03

JP3942600002 Yamaha Corporation JPY 5,300 0 5,300 3,555.0000 161,826.83 0.96

2,354,691.77 14.05

Netherlands

NL0010273215 ASML Holding NV EUR 1,550 0 1,550 106.1000 172,480.40 1.03

172,480.40 1.03

Norway

NO0003096208 Leroy Seafood Group ASA NOK 300 0 300 479.0000 16,604.70 0.10

16,604.70 0.10

South Africa

ZAE000049433 AVI Ltd. ZAR 24,000 0 24,000 91.1300 160,287.02 0.96

160,287.02 0.96

South Korea

KR7036490001 SK Materials Co. Ltd KRW 1,100 0 1,100 179,400.0000 163,415.04 0.97

163,415.04 0.97

Spain

ES0148396007 Industria de Diseño Textil S.A. EUR 4,700 3,550 4,700 32.3500 159,464.80 0.95

159,464.80 0.95

35






USD

Sweden

SE0006886750 Atlas Copco AB SEK 5,300 0 5,300 278.5000 161,884.08 0.97

SE0000170375 Hufvudstaden AB SEK 10,800 0 10,800 142.1000 168,314.25 1.00

330,198.33 1.97

Switzerland

CH0011795959 dorma+kaba Holding AG CHF 20 0 235 764.0000 175,392.65 1.05

CH0016440353 Ems-Chemie Holding AG CHF 346 0 346 518.5000 175,256.86 1.04

CH0024638196 Schindler Holding AG CHF 1,010 810 1,010 179.8000 177,403.11 1.06

CH0000587979 Sika AG CHF 70 33 37 4,910.0000 177,473.45 1.06

CH0012280076 Straumann Holding AG CHF 450 0 450 394.2500 173,314.30 1.03

878,840.37 5.24


US00724F1012 Adobe Systems Inc. USD 1,600 0 1,600 103.6800 165,888.00 0.99

US0091581068 Air Products & Chemicals Inc. USD 1,950 950 1,000 144.3700 144,370.00 0.86

US0162551016 Align Technology Inc. USD 1,900 0 1,900 96.9600 184,224.00 1.10

US0311621009 Amgen Inc. USD 1,176 0 1,176 147.7800 173,789.28 1.04

US0382221051 Applied Materials Inc. USD 6,000 600 5,400 32.6600 176,364.00 1.05

US0536111091 Avery Dennison USD 2,080 0 2,080 70.6200 146,889.60 0.88

US0893021032 Big Lots Inc. USD 3,600 500 3,100 50.6800 157,108.00 0.94

US1273871087 Cadence Design Systems Inc. USD 6,400 0 6,400 25.5200 163,328.00 0.97

US1320111073 Cambrex Corporation USD 6,809 3,559 3,250 53.5500 174,037.50 1.04

US1729081059 Cintas Corporation USD 0 0 1,573 116.3200 182,971.36 1.09

US1727551004 Cirrus Logic Inc. USD 9,236 6,286 2,950 58.0100 171,129.50 1.02

US1924221039 Cognex Corp. USD 3,200 300 2,900 64.0600 185,774.00 1.11

US0673831097 C.R. Bard Inc. USD 800 0 800 224.1300 179,304.00 1.07

US2480191012 Deluxe Corporation USD 2,250 2,200 2,250 71.6800 161,280.00 0.96

US2855121099 Electronic Arts Inc. USD 300 0 2,200 80.1600 176,352.00 1.05

US3032501047 Fair Isaac & Corporation USD 1,200 0 1,200 120.5200 144,624.00 0.86

US3156161024 F5 Networks Inc. USD 1,200 0 1,200 144.9200 173,904.00 1.04

US4180561072 Hasbro Inc. USD 1,900 0 1,900 77.9300 148,067.00 0.88

US45168D1046 Idexx Laboratories Inc. USD 1,650 200 1,450 118.0800 171,216.00 1.02

US4523081093 Illinois Tool Works Inc. USD 1,400 0 1,400 122.4900 171,486.00 1.02

US4571871023 Ingredion Inc. USD 1,350 0 1,350 125.6800 169,668.00 1.01

US4595061015 International Flavors &

Fragrances

USD 1,200 0 1,200 118.9000 142,680.00 0.85

US46069S1096 Intersil Corporation USD 7,800 0 7,800 22.3200 174,096.00 1.04

US5138471033 Lancaster Colony Corporation USD 0 0 1,200 142.3400 170,808.00 1.02

US5246601075 Leggett & Platt Inc. USD 2,900 0 2,900 49.6000 143,840.00 0.86

US5356781063 Linear Technology Corporation USD 2,700 0 2,700 62.5700 168,939.00 1.01

US5370081045 Littelfuse Inc. USD 2,450 1,350 1,100 152.8400 168,124.00 1.00

US5486611073 Lowe's Companies Inc. USD 2,000 0 2,000 71.3400 142,680.00 0.85

36






USD


US5745991068 Masco Corporation USD 4,800 0 4,800 31.8900 153,072.00 0.91

US5926881054 Mettler-Toledo International Inc. USD 410 0 410 420.3200 172,331.20 1.03

US6098391054 Monolithic Power Systems Inc. USD 2,200 0 2,200 83.2200 183,084.00 1.09

US6556631025 Nordson Corporation USD 1,650 0 1,650 112.9100 186,301.50 1.11

US67066G1040 Nvidia Corporation USD 3,200 1,350 1,850 111.4300 206,145.50 1.23

US6819191064 Omnicom Group Inc. USD 1,900 0 1,900 85.6800 162,792.00 0.97

US7134481081 PepsiCo Inc. USD 1,650 0 1,650 104.9900 173,233.50 1.03

US73278L1052 Pool Corporation USD 0 0 1,630 105.6800 172,258.40 1.03

US7782961038 Ross Stores Inc. USD 4,850 2,300 2,550 66.3700 169,243.50 1.01

US8330341012 Snap-On Incorporated USD 1,000 850 1,000 172.1500 172,150.00 1.03

US8585861003 Stepan Co. USD 2,100 0 2,100 81.5000 171,150.00 1.02

US8716071076 Synopsys Inc. USD 2,700 0 2,700 59.4200 160,434.00 0.96

US88166T1016 Tessera Holding Corporation USD 4,100 0 4,100 44.8000 183,680.00 1.10

US8825081040 Texas Instruments Inc. USD 6,950 4,600 2,350 74.1500 174,252.50 1.04

US8851601018 Thor Industries Inc. USD 2,200 600 1,600 100.7300 161,168.00 0.96

US90384S3031 Ulta Salon Cosmetics & Fragr USD 1,950 2,103 660 257.3400 169,844.40 1.01

US9662441057 WhiteWave Foods Co. USD 3,400 600 2,800 55.5500 155,540.00 0.93

US9818111026 Worthington Industries Inc. USD 3,500 500 3,000 48.1000 144,300.00 0.86

7,703,921.74 45.95

Transferable securities admitted to an official exchange listing 14,138,812.35 84.31

Shares, rights and participation certificates 14,138,812.35 84.31

Investment in securities 14,138,812.35 84.31

Cash at bank - current accounts 2,604,034.33 15.52

Balance of other receivables and liabilities 31,037.33 0.17

Total net assets in USD 16,773,884.01 100.00

37



Purchases and sales from 1 January 2016 to 31 December 2016

Purchases and sales of securities, bonded loans and derivatives during the reporting period, including changes without cash flows, which were not

stated in the statement of investments.




Belgium

BE0003884047 Umicore S.A. EUR 2,800 2,800

Canada

CA0084741085 Agnico Eagle Mines Ltd. CAD 2,800 2,800

CA11777Q2099 B2Gold Corporation CAD 53,000 53,000

CA1363751027 Canadian National Railway Co. CAD 2,400 2,400

CA39945C1095 CGI Group Inc. CAD 3,300 3,300

CA2506691088 Detour Gold Corporation CAD 13,300 13,300

CA25675T1075 Dollarama Inc. CAD 2,100 2,100

CA32076V1031 First Majestic Silver Corporation CAD 11,400 11,400

CA3518581051 FRANCO-NEVADA Corporation CAD 2,300 2,300

CA5592224011 Magna International Inc. -A- CAD 3,800 3,800

Cayman Islands

US22943F1003 Ctrip.com International Ltd. ADR USD 3,300 3,300

US64110W1027 NetEase Inc. ADR USD 810 810

KYG8167W1380 Sino Biopharmaceutical Ltd. HKD 0 162,000

Denmark

DK0060079531 DSV A/S DKK 0 3,312

DK0010287234 H. Lundbeck AS DKK 8,000 8,000

DK0060534915 Novo-Nordisk AS DKK 0 2,350

DK0060252690 Pandora AS DKK 1,000 2,083

Finland

FI0009000285 Amer Sports Corporation EUR 0 4,800

FI0009013296 Neste Oyj EUR 12,021 12,021

France

FR0000120644 Danone S.A. EUR 2,015 2,015

FR0000130650 Dassault Systemes S.A. EUR 0 1,708

FR0000125346 Ingenico S.A. EUR 0 1,140

FR0000120321 L'Oreal S.A. EUR 0 760

FR0000051807 Téléperformance SE EUR 0 1,711

38







Germany

DE0005200000 Beiersdorf AG EUR 0 1,420

DE000A0D6554 Nordex SE EUR 0 3,700

DE0007042301 Rhön-Klinikum AG EUR 4,600 4,600

DE0005089031 United Internet AG EUR 0 2,682

DE000A0CAYB2 Wincor Nixdorf AG EUR 1,900 1,900

Great Britain

GB0000904986 Bellway Plc. GBP 4,300 7,870

GB00B0744B38 Bunzl Plc. GBP 0 4,303

JE00B5TT1872 Centamin Plc. GBP 75,000 75,000

GB0004052071 Halma Plc. GBP 13,800 13,800

GB0031638363 Intertek Group Plc. GBP 3,500 3,500

GB0006825383 Persimmon Plc. GBP 0 4,219

GB00B01C3S32 Randgold Resources Ltd. GBP 2,800 2,800

GB00B24CGK77 Reckitt Benckiser Group Plc. GBP 1,750 1,750

GB00BVVBC028 Steris Plc. USD 150 2,071

GB00B10RZP78 Unilever Plc. GBP 3,400 3,400

GB00B2PDGW16 WH Smith Plc. -new- GBP 6,200 6,200

Hong Kong

HK0669013440 Techtronic Industries Co. Ltd. HKD 0 35,000

Ireland

IE00B4BNMY34 Accenture Plc. USD 0 1,250

Italy

IT0003977540 Ansaldo STS S.p.A. EUR 0 12,700

IT0003115950 De'Longhi S.p.A. EUR 4,560 4,560

IT0003492391 DiaSorin S.p.A. EUR 2,350 2,350

Japan

JP3220580009 Calbee Inc. JPY 3,000 3,000

JP3209000003 Casio Computer Co. Ltd. JPY 0 5,900

JP3494600004 Dainippon Sreen Co. Ltd. JPY 4,800 4,800

JP3818400008 Fujitsu General Ltd. JPY 23,400 23,400

JP3230600003 Kandenko Co. Ltd. JPY 19,000 19,000

JP3205800000 Kao Corporation JPY 2,670 2,670

JP3496400007 KDDI Corporation JPY 9,700 9,700

JP3240400006 Kikkoman Corporation JPY 3,900 3,900

JP3263000006 Kinden Corporation JPY 10,400 10,400

39







Japan (continued)

JP3283650004 Kose Corporation JPY 200 1,530

JP3965400009 Lion Corporation JPY 12,000 26,000

JP3469000008 Mitsubishi Tanabe Pharma Corporation JPY 8,000 8,000

JP3670800006 Nissan Chemical Industries Ltd. JPY 10,000 10,000

JP3677600003 Nissin Electric Co. Ltd. JPY 13,000 13,000

JP3197600004 Ono Pharmaceutical Co. Ltd. JPY 3,200 3,200

JP3170800001 OSG Corporation JPY 0 6,800

JP3780100008 Park24 Co. Ltd. JPY 4,800 4,800

JP3982400008 Rohto Pharmaceutical Co. Ltd. JPY 7,000 7,000

JP3976300008 Ryohin Keikaku Co. Ltd. JPY 0 644

JP3347200002 Shionogi & Co. Ltd. JPY 200 3,500

JP3351100007 Sysmex Corporation JPY 4,100 4,100

JP3546800008 Terumo Corporation JPY 4,300 4,300

Jersey

JE00B783TY65 Delphi Automotive Plc. USD 2,100 2,100

Mexico

MXP554091415 Industrias Peñoles S.A.B.de CV MXN 7,400 7,400

Netherlands

NL0000334118 ASM International NV EUR 0 3,500

NL0009272269 Cimpress NV USD 0 1,500

NL0000009355 Unilever NV EUR 0 3,100

NL0000395903 Wolters Kluwer NV EUR 3,900 3,900

New Zealand

NZFAPE0001S2 Fisher & Paykel Healthcare Corporation NZD 0 25,000

South Korea

KR7010130003 Korea Zinc Co. Ltd. KRW 340 340

KR7021240007 Woongjin Coway Co. Ltd. KRW 1,800 1,800

Spain

ES0109067019 Amadeus IT Group S.A. EUR 3,600 3,600

ES0143416115 Gamesa Corporacion Tecnologica S.A. EUR 14,300 14,300

Sweden

SE0007100581 Assa-Abloy AB SEK 0 6,500

SE0000862997 Billerud AB SEK 0 7,684

40







Sweden (continued)

SE0000869646 Boliden AB SEK 8,300 8,300

SE0007074281 Hexpol AB SEK 0 13,000

SE0000872095 Swedish Orphan Biovitrum AB SEK 8,808 8,808

Switzerland

CH0010532478 Actelion Ltd. CHF 900 900

CH0001752309 Georg Fischer AG CHF 175 175

CH0010645932 Givaudan S.A. CHF 0 73

CH0025238863 Kühne + Nagel International AG CHF 0 990

CH0010570759 Lindt & Sprüngli AG CHF 0 2

CH0025751329 Logitech International S.A. CHF 15,750 15,750

CH0013841017 Lonza Group AG CHF 1,800 1,800

CH0002497458 SGS S.A. CHF 71 71


US0025671050 Abaxis Inc. USD 2,459 2,459

US00508Y1029 Acuity Brands Inc. USD 1,160 1,160

US0051251090 Acxiom Corporation USD 6,500 6,500

US02079K3059 Alphabet Inc. USD 376 376

US0234361089 Amedisys Inc. USD 3,000 3,000

US0017441017 AMN Healthcare Services Inc. USD 3,900 3,900

US8318652091 A.O. Smith Corporation USD 3,800 3,800

US0462241011 Astec Industries Inc. USD 2,800 2,800

US0533321024 AutoZone Inc. USD 0 187

US0736851090 Beacon Roofing Supply Inc. USD 3,810 3,810

US09227Q1004 Blackbaud Inc. USD 0 2,100

US1011371077 Boston Scientific Corporation USD 6,600 6,600

US1101221083 Bristol-Myers Squibb Co. USD 2,100 2,100

US1344291091 Campbell Soup Co. USD 4,700 4,700

US14149Y1082 Cardinal Health Inc. USD 0 1,600

US1475281036 Casey's General Stores Inc. USD 0 1,100

US16359R1032 Chemed Corporation USD 1,112 2,062

US1773761002 Citrix Systems Inc. USD 1,850 1,850

US1890541097 Clorox Co. USD 1,100 1,100

US22160N1090 CoStar Group Inc. USD 770 770

US22410J1060 Cracker Barrel Old Country Store Inc. USD 1,020 1,020

US25278X1090 Diamondback Energy Inc. USD 1,700 1,700

US26168L2051 Drew Industries Inc. USD 2,200 2,200

US2674751019 Dycom Industries Inc. USD 1,750 1,750

US28176E1082 Edwards Lifesciences Corporation USD 1,696 1,696

41








US5324571083 Eli Lilly & Co. USD 0 1,600

US29414B1044 EPAM Systems Inc. USD 1,734 1,734

US2944291051 EQUIFAX USD 0 1,300

US2987361092 Euronet Worldwide Inc. USD 3,850 3,850

US3020811044 ExlService Holdings Inc. USD 3,033 3,033

US30219E1038 Express Inc. USD 6,900 6,900

US30303M1027 Facebook Inc. USD 1,300 1,300

US3377381088 Fiserv Inc. USD 0 1,450

US3448491049 Foot Locker Inc. USD 0 2,013

US34964C1062 Fortune Brands Home & Sec.Inc. USD 2,700 2,700

US3755581036 Gilead Sciences Inc. USD 1,364 1,364

US4026353049 Gulfport Energy Corporation USD 6,000 6,000

US42235N1081 Heartland Payment Services Inc. USD 1,420 1,420

US8064071025 Henry Schein Inc. USD 862 862

US4042511000 HNI Corp. USD 3,100 3,100

US4370761029 Home Depot Inc. USD 1,050 2,121

US45778Q1076 Insperity Inc. USD 2,700 2,700

US4612021034 Intuit Inc. USD 1,350 1,350

US46120E6023 Intuitive Surgical Inc. USD 465 465

US48123V1026 j2 Global Inc. USD 0 1,700

US4830077040 Kaiser Aluminum Corp. USD 1,700 1,700

US5017971046 L Brands Inc. USD 0 1,453

US5218652049 Lear Corporation USD 1,300 1,300

US5261071071 Lennox International Inc USD 1,050 1,050

US53220K5048 Ligand Pharmaceuticals Inc. USD 1,200 1,200

US5627501092 Manhattan Associates Inc. USD 0 1,773

US5747951003 Masimo Corp. USD 9,000 9,000

US57686G1058 Matson Inc. USD 3,250 3,250

US58733R1023 MercadoLibre Inc. USD 880 880

US5950171042 Microchip Technology Inc. USD 2,800 2,800

US6081901042 Mohawk Industries Inc. USD 770 770

US64111Q1040 Netgear Inc. USD 2,900 2,900

US6541061031 Nike Inc. USD 0 2,080

US6707041058 NuVasive Inc. USD 2,700 2,700

US62944T1051 NVR Inc. USD 0 84

US6780261052 Oil States International Inc. USD 13,500 13,500

US67103H1077 O'Reilly Automotive Inc.[New] USD 570 570

US7043261079 Paychex Inc. USD 0 2,480

US7434241037 Proofpoint Inc. USD 2,100 2,100

US69370C1009 PTC Inc. USD 0 3,800

42








US79466L3024 Salesforce.com Inc. USD 1,900 3,650

US81762P1021 ServiceNow Inc. USD 2,100 2,100

US8269191024 Silicon Laboratories Inc. USD 5,800 5,800

US8290731053 Simpson Manufacturing Co. Inc. USD 3,800 3,800

US83416B1098 Solarwinds Inc. USD 0 2,300

US8447411088 Southwest Airlines USD 0 2,900

US8552441094 Starbucks Corporation USD 2,400 2,400

US8636671013 Stryker Corporation USD 1,300 1,300

US8712371033 Sykes Enterprises Inc. USD 650 5,000

US87612E1064 Target Corporation USD 240 1,900

US88164L1008 Tessera Technologies Inc. USD 4,100 4,100

US88162G1031 Tetra Tech Inc. USD 4,800 4,800

US8910921084 Toro Co. USD 3,300 3,300

US8919061098 Total System Services Inc. USD 0 2,578

US89531P1057 Trex Co. Inc. USD 2,700 2,700

US89785X1019 TrueBlue Inc. USD 5,400 5,400

US9022521051 Tyler Technologies Inc. USD 940 1,810

US90385D1072 Ultimate Software Group Inc. USD 750 1,419

US9043111072 Under Armour Inc. USD 0 1,400

US9135431040 Universal Forest Products Inc. USD 3,500 3,500

US92839U2069 Visteon Corp. USD 2,200 2,200

US9291601097 Vulcan Materials Co. USD 1,270 1,270

US9418481035 Waters Corporation USD 1,100 1,100

US9553061055 West Pharmaceutic.Services Inc USD 2,000 2,000

Securities listed or included on organised markets


US92532W1036 Versum Materials Inc. USD 500 500

43



Exchange rates

For the valuation of assets in foreign currencies, conversions into US Dollar were performed using the following exchange rates as at 31 December 2016.

Australian Dollar AUD 1 1.3862

British Pound GBP 1 0.8177

Canadian Dollar CAD 1 1.3484

Danish Crown DKK 1 7.0872

Euro EUR 1 0.9535

Hong Kong Dollar HKD 1 7.7549

Hungarian Forint HUF 1 296.2910

Japanese Yen JPY 1 116.4300

Mexican Peso MXN 1 20.6515

New Zealand Dollar NZD 1 1.4384

Norwegian Crown NOK 1 8.6542

Singapore Dollar SGD 1 1.4498

South African Rand ZAR 1 13.6450

South Korean Won KRW 1 1,207.6000

Swedish Crown SEK 1 9.1179

Swiss Franc CHF 1 1.0236

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Notes to the financial statements for the period ended 31 December 2016 __________________________________________________________________________________________

1.) General

The investment company is a Luxembourg investment company (société d’Investissement à capital variable) that has been established for an unlimited period in the form of an umbrella fund ("Investment Company") with one or more sub-funds ("sub-funds") in accordance with Part I of the Luxembourg Law of 17 December 2010 on Undertakings for Collective Investment in Transferable Securities (the “Law of 17 December 2010”) as amended and the law of 10 August 1915 as amended.

The Investment Company is a limited company with variable capital (société d’investissement à capital variable), under Luxembourg law with its registered office at 4, rue Thomas Edison, L-1445 Strassen, Luxemburg. It was established on 1 July 2014 for an unlimited period in the form of an umbrella fund with sub-funds. Its Articles of Association were published on 24 July 2014 in the Mémorial, Recueil des Sociétés et Associations, the official journal of the Grand Duchy of Luxembourg ("Mémorial"). The Mémorial was replaced on 1 June 2016 by the new information platform Recueil Électronique des Sociétés et Associations ("RESA") of the Trade and Companies Register in Luxembourg. The Articles of Association were most recently completely revised on 13 October 2016 and were published in the RESA. The Investment Company is entered in the commercial register in Luxembourg under registration number R.C.S. Luxembourg B 188325.

The Board of Directors appointed the Management Company IPConcept (Luxemburg) S.A., a public limited company under the law of the Grand Duchy of Luxembourg with its registered office located at 4, rue Thomas Edison, L-1445 Strassen, Luxemburg (“Management Company”), with the duties of asset management, administration and distribution of the shares of the Investment Company. The Management Company was incorporated for an indefinite period on 23 May 2001. Its Articles of Association were published in the Mémorial on 19 June 2001. The latest amendment to the Articles of Association of the Management Company came into effect on 12 October 2016 and were published in the RESA on 10 November 2016. The Management Company is listed in the commercial register in Luxembourg under registration number R.C.S. Luxembourg B 82.183.

2.) Significant accounting and valuation policies; Calculation of the net asset value

These financial statements are prepared under the responsibility of the Board of Directors of the Investment Company in accordance with the legal provisions applicable in Luxembourg and the standards for the preparation and presentation of financial statements.

1. The net assets of the Investment Company are denominated in US-Dollar (USD) (“reference currency”).

2. The value of a share ("net asset value per share") is denominated in the currency laid down in the relevant Annex to the SalesProspectus (“sub-fund currency”), unless any other currency is stipulated for any other share classes in the relevant Annex to the Sales Prospectus (“share class currency”).

3. The net asset value per share is calculated by the Investment Company or a third party commissioned for this purpose by theInvestment Company, under the supervision of the Depositary, on each banking day in Luxembourg with the exception of 24 and 31 December of each year (“valuation day”) and rounded to two decimal places. The Board of Directors may decide to apply different regulations to individual sub-funds, but the net asset value per share must be calculated at least twice a month.

4. In order to calculate the net asset value per share, the value of the assets of each sub-fund, less the liabilities of each sub-fund(“net assets”) is determined on each day specified in the relevant Annex ("valuation day") and is divided by the number of shares outstanding in the respective sub-fund on the valuation day. The Investment Company can, however, decide to determine the net asset value per share on the 24 and 31 December of a year without these determinations of net asset value per share being calculations of the net asset value per share on a valuation day within the meaning of the above clause 1 of this point 4. Consequently, the shareholders may not demand the issue, redemption or exchange of shares on the basis of a net asset value determined on 24 December and/or 31 December of a year.

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5. Insofar as information on the situation of the net assets of the company must be specified in the financial statements or semi-annual reports and/or other financial statistics pursuant to the applicable legislative provisions or in accordance with the conditions of the Articles of Association, the value of the assets of each sub-fund will be converted to the reference currency. The net assets will be calculated according to the following principles:

a) Transferable securities, money market instruments, derivative financial instruments (derivatives) and other assets officially listed on a stock exchange are valued at the latest available trade price which provides a reliable valuation on the trading day preceding the valuation day.

The Management Company may stipulate for individual sub-funds that transferable securities, money market instruments, derivative financial instruments (derivatives) and other assets officially listed on a securities exchange are valued at the latest available closing price which provides a reliable valuation. Details on this can be found in the Annex to the sales prospectus of the relevant sub-funds.

If transferable securities, money market instruments, derivative financial instruments (derivatives) and other assets are officially listed on several stock exchanges, the one with the highest liquidity shall be decisive

b) Transferable securities, money market instruments, derivative financial instruments (derivatives) and other assets which are not officially listed on a securities exchange (or whose stock exchange rate is not deemed representative, e.g. due to lack of liquidity) but which are traded on another regulated market, shall be valued at a price no less than the bid price and no more than the offer price of the trading day preceding the valuation day, and which the Management Company considers in good faith to be the best possible price at which the transferable securities, money market instruments, derivative financial instruments (derivatives) and other investments can be sold.

The Management Company may, on behalf of individual sub-funds, determine that transferable securities, money market instruments, derivative financial instruments (derivatives) and other assets which are not officially listed on a securities exchange (or whose stock exchange rate is not deemed representative, e.g. due to lack of liquidity) but which are traded on another regulated market, shall be valued at the latest available price there, and which the Management Company considers in good faith to be the best possible price at which the transferable securities, money market instruments, derivative financial instruments (derivatives) and other investments can be sold. Details on this can be found in the Annex to the sales prospectus of the relevant sub-funds.

c) OTC derivatives shall be evaluated on a daily basis using a method to be determined and validated by the investment company in good faith on the basis of the sale value that is likely attainable and using generally accepted valuation models which can be verified by an auditor.

d) UCITS and UCIs are valuated at the most recently established and available redemption price. In the event that the redemption of the investment units is suspended, or no redemption prices are established, these units together with all other assets will be valued at their appropriate market value, as determined in good faith by the Management Company and in accordance with generally accepted valuation standards approved by the auditors.

e) If the respective prices are not fair market prices and if no prices are set for securities other than those listed under paragraphs a) and b), these securities and the other legally permissible assets will be valued at the current trading value, which will be established in good faith by the Investment Company on the basis of the sale value that is in all probability achievable.

f) Cash and cash equivalents are valued at their nominal value plus interest.

g) Amounts due (e.g. deferred interest claims and liabilities) shall, in principle, be rated at their par value.

h) The market value of securities and other investments which are denominated in a currency other than the currency of the relevant sub-fund shall be converted into the currency of the sub-fund at the exchange rate of the trading day preceding the valuation day, using WM/Reuters fixing at 17:00 (16:00 GMT). Gains and losses from foreign exchange transactions will on each occasion be added or subtracted.

The Management Company may stipulate for individual sub-funds that the transferable securities, money market instruments, derivative financial instruments (derivatives) and other assets denominated in a currency other than that of the sub-fund shall be converted into the sub-fund currency at the exchange rate of the trading day. Profits and losses from foreign exchange

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transactions shall, on each occasion, be added or subtracted. Details on this can be found in the Annex to the sales prospectus of the relevant sub-funds.

Any distributions paid out to the shareholders of the relevant sub-fund will be deducted from the net assets of the sub-fund.

6. The net asset value per share is calculated separately for each sub-fund pursuant to the aforementioned criteria. However, if there are different share classes within a sub-fund, the net asset value per share will be calculated separately for each share class within this sub-fund pursuant to the aforementioned criteria. The composition and allocation of assets always occurs separately for each sub-fund.

The tables published in this report may, for arithmetical reasons, contain rounding differences of + / - one unit (currency, percentage, etc.).

3.) Taxation

Taxation of the Investment Company In the Grand Duchy of Luxembourg, the assets of the Fund are subject to a subscription tax known as the “taxe d‘abonnement”, which is currently levied at a rate of 0.05% p.a. The “taxe d‘abonnement” is payable quarterly on the total net assets reported as at the end of each respective quarter. The amount of the “taxe d‘abonnement” is specified for the fund or share classes in the relevant Annex to the Sales Prospectus. If all or some sub-fund assets are invested in other Luxembourg investment funds that are already subject to the taxe d’abonnement, the assets invested in such funds are exempt from the tax.

The income of the Investment Company or its sub-funds from investing its assets is not taxed in the Grand Duchy of Luxembourg. However, such income may be subject to taxation at source in countries in which the sub-fund assets are invested. In such cases, neither the depositary nor the Investment Company are obliged to collect tax certificates.

Taxation of income from shares of the Investment Company held by the shareholder

On 1 January 2015, the agreement of the EU member states on the automatic exchange of information between national tax authorities, which specifies that all interest payments should be taxed according to the provisions of the country of residence, was transposed into Luxembourg law in accordance with Directive 2003/48/EC. This renders obsolete the former regulation establishing a withholding tax (35 % of the interest payment) instead of information exchange, which the government of Luxembourg had decided upon as a temporary solution. Since 1 January 2015, information on the amounts of interest paid by banks in Luxembourg directly to individuals who are resident in another member state of the European Union were automatically forwarded to the Luxembourg tax authorities, who informed the tax authority of the country in which the beneficiary is resident. The first exchange of information took place in 2016 and applied to interest paid during the tax year 2015. As a result, the system of non-recoverable withholding tax of 35 % on interest payments was abolished on 1 January 2015. Shareholders who are not resident in the Grand Duchy of Luxembourg, or who do not maintain a permanent establishment there, do not have to pay income, inheritance, or wealth tax on shares or income from shares in the Grand Duchy of Luxembourg. They are subject to the national tax regulations of their country of residence. Since 1 January 2006, in accordance with the Luxembourg law implementing the Directive, natural persons who are resident in the Grand Duchy of Luxembourg and who are not resident for tax purposes in another country have to pay a final withholding tax of 10 % on the interest income mentioned in the legislation. Under certain conditions, this withholding tax may also apply to the interest income of an investment fund. At the same time, the wealth tax was abolished in the Grand Duchy of Luxembourg.

It is recommended that shareholders ensure they are informed about laws and regulations which apply to the purchase, ownership and redemption of shares and seek advice if necessary.

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Prospective shareholders should ensure they are informed about laws and regulations which apply to the purchase, ownership and redemption of shares and obtain advice if necessary. Information for investors liable to taxation in Germany:

The tax rules subject to § 5 section 1 InvStG (“Investmentsteuergesetz”) are published on www.bundesanzeiger.de under „Kapitalmarkt – Besteuerungsgrundlagen“ within the publication timeframe required by law.

4.) Use of Income

Further details on the use of income of each sub-fund are provided in the relevant Annex of the Sales Prospectus.

5.) Information relating to fees and expenses

Please refer to the current Sales Prospectus for information regarding management and depositary fees.

6.) Total Expense Ratio (TER)

The following calculation method was used to calculate the total expense ratio (TER):

Total expense in sub-fund currency TER = ------------------------------------------------------------------------------ x 100

Average total net assets of the sub-fund (basis: daily TNA*)

* TNA = Total net assets

The TER indicates the level of expenses charged to the relevant sub-fund. It covers management and depositary fees and the taxe d’abonnement as well as all other costs with the exception of transaction costs incurred by the relevant sub-fund. It shows the total amount of these costs as a percentage of the average total net assets in the reporting period.

7.) Transaction Costs

Transaction costs include all costs which, during the reporting period, were shown or calculated separately on behalf of the relevant sub-fund and which are directly connected with the purchase or sale of assets.

8.) Income Equalisation

The income equalisation is included in the ordinary net income. This covers net income arising during the period under review which the purchaser of shares pays for as part of the issue price and the seller of shares receives as part of the redemption price.

9.) Risk Management

The Management Company employs a risk management process enabling it to monitor and assess the risk connected with the investments, as well as their share in the total investment portfolio risk profile of the funds it manages, at all times. In accordance with the Law of 17 December 2010 and the applicable prudential supervisory requirements of the Commission de Surveillance du Secteur Financier (“CSSF”), the Management Company reports regularly to the CSSF about the risk management process used. Within the framework of the risk management process and using the necessary and appropriate methods, the Management Company ensures that the overall risk associated with derivatives of the funds managed does not exceed the total net value of their portfolios. To this end, the Management Company makes use of the following methods:

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Commitment approach

With the commitment approach, the positions from derivative financial instruments are converted into their corresponding underlying equivalents using the delta approach. In doing so, the netting and hedging effects between derivative financial instruments and their underlying assets are taken into account. The total of these underlying equivalents may not exceed the total net value of the relevant sub-fund’s portfolio.

VaR approach

The value-at-risk (VaR) figure is a mathematical-statistical concept and is used as a standard risk measure in the financial sector. VaR indicates the possible loss of a portfolio that will not be exceeded during a certain period (the holding period) with a certain probability (the confidence level).

Relative VaR approach

With the relative VaR approach, the VaR of the Fund may not exceed the VaR of a reference portfolio by more than a factor dependent on the amount of the Fund’s risk profile. The maximum permissible factor specified by the supervisory authority is 200%. The reference portfolio is essentially an accurate reflection of the Fund's investment policy.

Absolute VaR approach

With the absolute VaR approach, the VaR (99% confidence level, 20-day holding period) of the Fund may not exceed a portion of the Fund's assets dependent on the Fund’s risk profile. The maximum permissible factor specified by the supervisory authority is 20% of the Fund assets.

For funds whose total risk is determined using the VaR approach, the Management Company estimates the anticipated leverage effect. Depending on market conditions, this degree of leverage may deviate from the actual value and may either exceed or be less than that value. Investors should note that no conclusions about the risk content of the any sub-fund may be drawn from this data. In addition, the published expected degree of leverage is explicitly not to be considered an investment limit. The method used to determine the total risk and, if applicable, the disclosure of the benchmark portfolio and of the anticipated leverage effect, as well as its method of calculation, will be indicated in the specific Annex of the relevant sub-fund.

In accordance with the prospectus valid at the end of the reporting period, the commitment approach was used to monitor and measure the total risk associated with derivatives for the two sub-funds.

10.) Significant events during the reporting period

With effect from 18 March 2016 the following amendments were made to the Articles of Association and the Sales Prospectus of the Investment Company:

- regulatory amendments with regard to the UCITS V Directive

With effect from 13 October 2016 the following amendments were made to the Articles of Association and the Sales Prospectus of the Investment Company:

- regulatory amendments with regard to the UCITS V Directive - regulatory amendments with regards to the SFTR (Securities Financing Transactions Regulation)

There were no other significant events during the reporting period.

11.) Significant events after the reporting period

There were no significant events after the reporting period.

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Arabesque SICAV


12.) Information on the Remuneration Policy (unaudited)

The management company IPConcept (Luxemburg) S.A. has established a remuneration policy which complies with and applies the legal requirements. The remuneration policy is designed in such a way that it is reconcilable with solid and effective risk management and does not encourage employees to take risks that are not reconcilable with the risk profiles, contractual terms or articles of association of the undertakings for collective investment in securities (hereinafter „UCITS“) under management, or prevent IPConcept (Luxemburg) S.A. from acting dutifully in the best interest of the UCITS. Employee remuneration consists of an appropriate fixed annual salary and a variable performance and result-related remuneration. The remuneration policy of DZ PRIVATBANK S.A. applies comprehensively to the employees of the management company. The members of the Executive Board of IPConcept (Luxemburg) S.A. are subject to the Remuneration policy for Risk Takers of DZ PRIVATBANK S.A. Further details of the up-to-date remuneration policy, including, but not limited to, a description of how remuneration and benefits are calculated, the identities of persons responsible for awarding the remuneration and benefits including the composition of the remuneration committee, where such a committee exists, may be downloaded free of charge from the Management Company‘s website www.ipconcept.com. A hardcopy will be made available free of charge to investors on request. The total remuneration of the 53 employees of IPConcept (Luxemburg) S.A. amounted to EUR 3,494,479.66 as at 31 December 2015.The above remuneration figure refers to all the UCITS and alternative investment funds („AIF“) managed by IPConcept (Luxemburg) S.A. All employees are involved with the management of all the funds such that it is not possible to show a split per fund. The IPConcept (Luxemburg) S.A. remuneration policy is currently being adjusted to the remuneration provisions of the Law of 17 December 2010 (in its current form), where necessary. The information is provided on a best efforts basis. Further detailed information on remuneration can only be provided after IPConcept (Luxemburg) S.A. has completed its first full performance year after the UCITS-V remuneration provisions become effective (year end of the management company: 31/12.). 13.) Transparency of Securities Financing Transactions and their reuse (unaudited)

IPConcept (Luxemburg) S.A. is acting as a management company of undertakings for collective investment in transferable securities (“UCITS”) and as alternative investment fund manager (“AIFM”) and thus falls by definition within the scope of Regulation (EU) 2015/2365 of the European Parliament and of the Council of 25 November 2015 on transparency of securities financing transactions and of reuse and amending Regulation (EU) No 648/2012 (“SFTR”). During the financial year of the investment company no investments have been undertaken in securities financing transactions or total return swaps as defined in this regulation. Therefore, the notes specified in Article 13 of this regulation will not be disclosed in the financial statements. Detailed information on the investment company‘s investment strategy and the financial instruments used can be found in the current sales prospectus and on the Management Company‘s website (www.ipconcept.com).

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KPMG Luxembourg, Société coopérative 39, Avenue John F. Kennedy L-1855 Luxembourg

Tel.: +352 22 51 51 1 Fax: +352 22 51 71 E-mail: [email protected] Internet: www.kpmg.lu

To the Shareholders of Arabesque SICAV 4, rue Thomas Edison L-1445 Strassen, Luxembourg

REPORT OF THE REVISEUR D’ENTREPRISES AGREE

We have audited the accompanying financial statements of Arabesque SICAV and each of its sub-funds, which comprise the statement of net assets and the statement of investments and other net assets as at 31 December 2016 and the statement of operations and the statement of changes in net assets for the year then ended, and a summary of significant accounting policies and other explanatory information. Board of Directors of the SICAV responsibility for the financial statements

The Board of Directors of the SICAV is responsible for the preparation and fair presentation of these financial statements in accordance with Luxembourg legal and regulatory requirements relating to the preparation of the financial statements, and for such internal control as the Board of Directors of the SICAV determines is necessary to enable the preparation of financial statements that are free from material misstatement, whether due to fraud or error.

Responsibility of the Réviseur d’Entreprises agréé

Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit in accordance with International Standards on Auditing as adopted for Luxembourg by the Commission de Surveillance du Secteur Financier. Those standards require that we comply with ethical requirements and plan and perform the audit to obtain reasonable assurance about whether the financial statements are free from material misstatement.

An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on the judgement of the Réviseur d’Entreprises agréé, including the assessment of the risks of material misstatement of the financial statements, whether due to fraud or error. In making those risk assessments, the Réviseur d’Entreprises agréé considers internal control relevant to the entity’s preparation and fair presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the entity’s internal control.

An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of accounting estimates made by the Board of Directors of the SICAV, as well as evaluating the overall presentation of the financial statements.

We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion.

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Opinion

In our opinion, the financial statements give a true and fair view of the financial position of Arabesque SICAV and each of its sub-funds as of 31 December 2016, and of the results of their operations and changes in their net assets for the year then ended in accordance with Luxembourg legal and regulatory requirements relating to the preparation of the financial statements.

Other information

The Board of Directors of the SICAV is responsible for the other information. The other information comprises the information included in the annual report but does not include the financial statements and our report of Réviseur d’Entreprises agréé thereon.

Our opinion on the financial statements does not cover the other information and we do not express any form of assurance conclusion thereon.

In connection with our audit of the financial statements, our responsibility is to read the other information and, in doing so, consider whether the other information is materially inconsistent with the financial statements or our knowledge obtained in the audit or otherwise appears to be materially misstated. If, based on the work we have performed, we conclude that there is a material misstatement of this other information, we are required to report this fact. We have nothing to report in this regard.

Luxembourg, 27 April 2017 KPMG Luxembourg Société coopérative Cabinet de révision agréé M. Wirtz-Bach

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Arabesque SICAV

Management, distribution and advisory __________________________________________________________________________________________

Investment Company Arabesque SICAV

4, rue Thomas Edison

L-1445 Strassen, Luxembourg

Board of Directors of the Investment Company Chairwoman of the Board of Directors

Anja Mikus

Member of the Board of Managing Directors

Arabesque Asset Management Ltd

Deputy Chairman of the Board of Directors

Tarek Selim


Arabesque Asset Management Ltd

Member of the Board of Directors

Ulrich Juchem (unitl 12 October 2016)

Director of DZ PRIVATBANK S.A.

Christian Stampfer (since 13 October 2016)

IPConcept (Luxemburg) S.A.

Auditor of the Investment Company KPMG Luxembourg, Société coopérative

Cabinet de Révision agréé

39, Avenue John F. Kennedy

L-1855 Luxembourg

Management Company IPConcept (Luxemburg) S.A.



Supervisory Board of the Management Company Chairman of the Supervisory Board

Dr. Frank Müller


DZ PRIVATBANK S.A.

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Arabesque SICAV


Deputy Chairman of the Supervisory Board

Ralf Bringmann (until 12 October 2016)


DZ PRIVATBANK S.A.

Member of the Supervisory Board

Julien Zimmer (until 12 October 2016)

General Manager Investment Fund

DZ PRIVATBANK S.A.

Dr. Johannes Scheel (as of 13 October 2016)

Bernhard Singer (as of 13 October 2016)

Executive Board of the Management Company Nikolaus Rummler

(management body) Michael Borelbach

Auditor of the Management Company Ernst & Young S.A.

35E, Avenue John F. Kennedy

L-1855 Luxembourg

Depositary DZ PRIVATBANK S.A.



Central Administration Agent and DZ PRIVATBANK S.A.

Registrar and Transfer Agent 4, rue Thomas Edison


Paying Agents

Grand Duchy of Luxembourg DZ PRIVATBANK S.A.



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Arabesque SICAV


Germany DZ BANK AG

Deutsche Zentral-Genossenschaftsbank, Frankfurt am Main

Platz der Republik

D-60265 Frankfurt am Main

Fund Manager Arabesque Asset Management Ltd

68 Brook St

London

W1K 5DZ

United Kingdom

Information for investors in Austria

Credit institution within the meaning of §141(1) Erste Bank der oesterreichischen Sparkassen AG

Investmenfondsgesetz (Investment Fund Act - InvFG) 2011 Am Belvedere 1

A-1100 Wien

Office from which the unitholders can obtain the information Erste Bank der oesterreichischen Sparkassen AG

stipulated under § 141 InvFG 2011 Am Belvedere 1

A-1100 Wien

Domestic tax representative within the Erste Bank der oesterreichischen Sparkassen AG

meaning of § 186(2)(2) InvFG 2011 Am Belvedere 1

A-1100 Wien

Additional Information for Switzerland for the Sub-Fund Arabesque SICAV – Arabesque Systematic

Paying Agent in Switzerland DZ PRIVATBANK (Schweiz) AG Münsterhof 12 CH-8022 Zürich Jurisdiction and Place of fulfilment IPConcept (Schweiz) AG In Gassen 6 CH-8022 Zürich Representative and Information Agent IPConcept (Schweiz) AG in Switzerland In Gassen 6 CH-8022 Zürich

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