audited annual report at march 31, 2010

MERRILL LYNCH INVESTMENT SOLUTIONSSociété d’Investissement à Capital Variable

R.C.S. Luxembourg B 133.445

Audited annual report at March 31, 2010

No subscription can be received on the basis of this report. Subscriptions are only valid if made on the basis of the current prospectus supplemented by the last available annual report of the Fund and the latest semi-annual report if published after such annual report.

Audited annual report1

Table of contents

Page(s)

Management and Administration 3

Information to the Shareholders 5

Report of the Board of Directors 7

Independent Auditor’s Report 12

Statement of net assets at March 31, 2010 14

Statement of operations and changes in net assets for the yearended March 31, 2010 16

Statistical Information 18

Notes to the fi nancial statements at March 31, 2010 22

Merrill Lynch Investment Solutions - Marshall Wace TOPS UCITS Fund(Market Neutral)

– Schedule of investments at March 31, 2010 39– Geographical and economic classifi cation of investments 65

Merrill Lynch Investment Solutions - BlueTrend UCITS Fund


Merrill Lynch Investment Solutions - York Event-Driven UCITS Fund


Merrill Lynch Investment Solutions - GLG European Opportunity UCITS Fund


Merrill Lynch Investment Solutions - CCI Healthcare Long-Short UCITS Fund



Board of Directors

Chairman of the Board of Directors: Mr Eric PersonneManaging Director, Merrill Lynch International,2 King Edward StreetLondon EC1A 1HQ, United Kingdom

Directors:Until March 1, 2010: Mr Xavier ParainPrésident, Merrill Lynch Invest SAS112, avenue Kléber75761 Paris Cedex 16, France

From March 1, 2010: Mr Riccardo FisogniBank of America Merrill LynchVia Manzoni, 520121 Milano, Italy

Mr Jean-Claude WolterAvocat Honoraire,11 B, boulevard Joseph II L-1840 LuxembourgGrand-Duchy of Luxembourg

Registered Offi ce16, boulevard RoyalL-2449 Luxembourg

Investment AdvisorsOnly for the Sub-Fund Marshall Wace Marshall Wace Asia Limited 28/F One IFC One Harbour View Road Hong Kong

Marshall Wace North America L.P.55 Railroad Avenue, GreenwichConnecticutU.S.A

Custodian and Paying AgentSociété Générale Bank & Trust11, avenue Emile ReuterL-2420 Luxembourg

Registrar AgentEuropean Fund Services S.A.18, boulevard RoyalL-2449 Luxembourg(previously 17, rue Antoine Jans, L-1820 Luxembourg until June 30, 2009)

Investment ManagersFor the Sub-Fund, Marshall Wace TOPSUCITS Fund (Market Neutral): Marshall Wace LLPThe Adelphi, 13th Floor1/11 John Adam Street London WC2N 6HT United Kingdom

For the Sub-Fund, BlueTrend UCITS Fund: BlueCrest Capital Management LLPc/o BlueCrest Capital Management Limited40 Grosvenor Place London SW1X 7 AW United Kingdom

For the Sub-Fund, York Event-Driven UCITS Fund:York UCITS Holdings, LLC767 Fifth Avenue, 17th FloorNew York 10153U.S.A.

For the Sub-Fund, GLG European OpportunityUCITS Fund: GLG Partners LPOne Curzon Street London W1J 5HB United Kingdom

For the Sub-Fund, CCI Healthcare Long- ShortUCITS Fund: Columbus Circle Investors GP Metro CenterOne Station PlaceStamford, CT 06902U.S.A.

Administrative, Corporate and Domiciliary AgentSociété Générale Securities ServicesLuxembourg16, boulevard RoyalL-2449 Luxembourg (previously named Euro-VL Luxembourg S.A.until May 13, 2009)

Management and Administration

4Audited annual report

SponsorMerrill Lynch International2 King Edward StreetLondon EC1A 1HQ United Kingdom

DistributorMerrill Lynch International2 King Edward StreetLondon EC1A 1HQ United Kingdom

Legal AdviserLinklaters LLP35, avenue John F. KennedyL-1855 Luxembourg

Listing AgentSociété Générale Bank & Trust11, avenue Emile ReuterL-2420 Luxembourg

Independent AuditorPricewaterhouseCoopers S.à r.l.Réviseur d’entreprises400, route d’EschL-1471 Luxembourg

Management and Administration (cont.)


The annual general meeting of Shareholders is held, each year, at the registered offi ce of the SICAV or at the place specifi ed in the convening notice on the last Monday of July (at 12 noon Luxembourg time) or the next following Luxembourg Business Day.

The meetings of Shareholders of Shares of a particular Sub-Fund may decide on matters which are relevant only for the Sub-Fund concerned.

Notices to Shareholders will be published in the Luxemburger Wort and / or in any other newspaper(s) in those countries where the Shares are sold, as determined by the Board of Directors.

Audited annual reports are sent to the Shareholders and are made available for shareholders’ inspection at each of the registered offi ces of the SICAV and of the Custodian Bank. They will be published within four months following the relevant accounting period, and the latest annual report is made available at least eight days before the annual general meeting. Moreover, unaudited semi-annual reports are made available for shareholders’ inspection at each of the registered offi ces of the SICAV and of the Custodian Bank and will be published within two months following the relevant accounting period.

The fi nancial year ends on March 31 of each year.

The Portfolio Turnover Rate (PTR) for the period from April 1, 2009 to March 31, 2010 are the following:

PTRSub-Fund Name %Merrill Lynch Investment Solutions - Marshall Wace TOPS UCITS Fund (Market Neutral) 2 011.79Merrill Lynch Investment Solutions- BlueTrend UCITS Fund 22.82Merrill Lynch Investment Solutions- York Event Driven UCITS Fund 249.32Merrill Lynch Investment Solutions - GLG European Opportunity UCITS Fund 608.45Merrill Lynch Investment Solutions - CCI Healthcare Long - Short UCITS Fund 289.92

The Total expense Ratios (TER) for the period from April 1, 2009 to March 31, 2010 are the following:

Sub-funds name

ShareClass Currency

Merrill LynchInvestment Solutions -

Marshall Wace TOPS UCITS

Fund (Market Neutral)

Merrill LynchInvestment Solutions - BlueTrend

UCITS Fund

Merrill LynchInvestment

Solutions- York Event Driven UCITS Fund


GLG European Opportunity UCITS Fund


Solutions - CCI Healthcare

Long -Short UCITS

Fund

Class EUR A (acc) EUR 2.74% – 1.95% – –

Class USD A (acc) USD 3.13% – 1.95% – –

Class GBP A (acc) GBP – – 1.76% – –

Class EUR A (inc) EUR 2.79% – – – –

Class GBP A (inc) GBP 2.87% – 1.94% – –

Class EUR B (acc) EUR 2.81% 2.44% 1.94% 2.47% 2.48%

Class USD B (acc) USD 3.09% 2.44% 1.94% 2.45% 2.47%

Class GBP B (acc) GBP 3.10% 2.44% 1.97% 2.19% 2.30%

Class GBP B (inc) GBP 2.89% 2.43% 1.95% 2.47% 2.30%

Class EUR C (acc) EUR 3.99% 3.34% 3.04% 3.29% 3.25%

Class USD C (acc) USD 4.01% 3.34% 3.02% 3.29% 2.90%

Information to the Shareholders


Information to the Shareholders (cont.)

Sub-funds name

ShareClass Currency


Marshall Wace TOPS UCITS

Fund (Market Neutral)

Merrill LynchInvestment Solutions - BlueTrend

UCITS Fund


Solutions- York Event Driven UCITS Fund




Solutions - CCI Healthcare

Long -Short UCITS

Fund

Class GBP C (acc) GBP 4.09% 3.35% 2.99% 3.28% 3.00%

Class GBP C (inc) GBP 4.07% 3.34% 2.99% 3.00% 3.11%

Class EUR D (acc) EUR – – 1.43% – 1.69%

Class USD D (acc) USD – – 1.43% – 1.69%

Class GBP D (acc) GBP – – 1.43% – 1.67%

Class GBP D (inc) GBP – – 1.42% – 1.66%

Class USD Management (acc) USD – – – – 0.40%

Class GBP Management (inc) GBP 0.93% 0.47% – – –

The Total Expense Ratio includes all fees (including transaction costs) but excludes performance fees. For classes launched during the year, fees have been prorated.


Report of the Board of Directors

Merrill Lynch Investment Solutions - Marshall Wace TOPS UCITS Fund (Market Neutral)

During the 12 month period covered by this review, the continued fragility of fi nancial institutions and asset managers’ own efforts to deleverage combined to heighten equity market uncertainty in the early part of 2009. However, while the fundamentals of the global economy continued to hamper belief in a sustained recovery of the cycle, market participants became more optimistic that the attempts by various governments to inject liquidity into the fi nancial system through monetary policy and fi scal stimuli may be suffi cient to stave off a deeper global recession and support the return to growth. In H2 2009 and Q1 2010, the consequent improvement in economic activity, progress in various leading confi dence indicators, low interest rate environment and injection of liquidity into the fi nancial system served as a fertile ground for global equity markets. However, within Q4 2009 and early 2010 there were sharp sector rotations within global equity markets and high levels of dispersion at the individual stock level. It is noteworthy that the Investment Manager’s composite early warning indicator spiked in Q4 2009 from a relatively benign 2 (the signal ranges between 1 and 5, where 5 is the highest level) to a more risky 3 for the fi rst time since March 2009, remaining at this level until the end of the period under review.

During H2 2009, the Investment Manager invested substantially in its global execution and trading platform, primarily in improving technology and quantitative research to promote the more automated, predictable and cost effective trading of the MW TOPS strategy. The real-time optimiser is constantly run to re-forecast intra-day volume, volatility, spreads, stock alpha, predicted impact cost, risk and overnight carry portfolios. While the scheduling algorithm continuously attempts to change market participation rates to handle changing trading portfolios and stock specifi c market parameters. Amongst the benefi ts delivered thus far are:

• A 20% reduction in the average commission rate paid by funds managed by the Investment Manager compared to 2008

• A 25% reduction in execution shortfall versus impact forecast

The MLIS Marshall Wace TOPS UCITS Fund (Market Neutral) benefi ted from these enhancements during the second half of its Financial Year.


N.B All performance fi gures refer to BlueTrend UCITS Fund Class EUR B Accumulated.

BlueTrend performance 1st April 2009 – 31st March 2010: 11.16%BlueTrend Annualised Vol 1st April 2009 – 31st March 2010: 14.06%Sharpe Ratio 1st April 2009 – 31st March 2010: 1.00

April P&L was down -4.71% MTD despite positive economic sentiment returning to the market. The model went into April holding small equity shorts and fi nished the month long most indices, with particular emphasis on the US. The equity portfolio ended the month down slightly, unable to make back the losses sustained at the beginning of the month. The fund remained long all bonds but reduced positions as they suffered on the ‘recovery’ story and came under pressure due to large government issuance. Following the more positive sentiment theme, high beta currencies caught a bid causing losses in our short GBP, CAD and SEK positions and profi ts in our short USD/ZAR and GBP/AUD positions.

BlueTrend had a strong May and returned +3.23% MTD. Throughout the month the fund added to modest equity longs which contributed 162bps to performance. However, our long position in bonds cost us 79bps as yields rose on infl ation fears. Our long positions in short rates performed impressively in eurodollars, short sterling and euribor futures as central banks stated their commitment to low rates for the foreseeable future. The USD was sold off as investors sold their ‘safe’ US assets and chased yield. NZD/USD rallied 13% while GBP/USD and AUD/USD both ended the month 10% higher.


Report of the Board of Directors (cont.)

BlueTrend fi nished June -2.48% MTD, taking year-to-date performance to -6.09%. Performance in June was driven by losses in short interest rates (particularly during the fi rst week of the month) and smaller losses in equities, bonds and metals. Energies was the most successful sector in June. Margin-to-equity at the end of the month was 10.3, one of the highest levels for the fund this year. BlueTrend fi nished July 2009 -0.02% MTD which took year-to-date performance (as at end of July 2009) to -6.11%. One contribution to the positive performance in July was a profi t from Asia as their indices outperformed while our strongest equity performance came from the OMX. Energy prices tumbled at the beginning of the month with the WTI falling 14% but prices rose half way through the month for the same reasons that equity markets rose. Even a shocking DOE inventory number was only a temporary blip as it romped back to late June levels by the end of the month. The early sell off and our subsequent risk reduction meant we did not fully benefi t from the energy rally; as a result we posted a -46bp monthly return in energies. We remained long short rates, this position yielded 116bps with the major contribution coming from Euribor.

BlueTrend performed extremely well in August 2009 making +3.57% MTD with the strong gains that risky assets experienced in July continuing as the US GDP rate of decline diminished, home sales were buoyed and confi dence bounced. The model held onto its long positions from July and added to them during the early part of the month with the European indices making the biggest contribution to the performance. Bernanke’s comments on holding rates at 0-0.25% for an extended period allowed the strategy to book solid gains in short rates. The model picked up the move in fi xed income early and added signifi cantly to long positions across all maturities with short sterling, Eurodollars and gilts performing particularly well. BlueTrend fi nished August with the portfolio well balanced and positioned to benefi t from further pickups in sentiment accompanied by dovish central bank comments and actions.

BlueTrend performed well in September (+ 2.64% MTD) and took year-to-date performance to -0.19% YTD. Equities, short term interest rates and FX were the best performers, while energies fi nished the month down. The sectors with the most risk weighting at the end of the month included equities and fi xed income. Our long positions in equities and in short term rates benefi ted from the rally in equity indices and in both Eurodollar and Euribor contracts in September. Additionally, the rally in commodity currencies together with the sell off in the sterling has also helped boost the performance of the FX sector.

In October, the fund fi nished the month +0.55% MTD. Concerns over the strength of the US consumer caused sentiment to turn in the later stages of the month. Risk was aggressively sold off and the VIX (Chicago Board Options Exchange Volatility Index) jumped by 45% in the last week of October. BlueTrend retained its long equity view across all indices with the exception of some Japanese shorts. Large short-rate positions, particularly in the Eurodollar strip, performed well, while the model’s long bond positions lost money as the curve steepened. The weakness in the longer-dated bonds was caused by growing speculation surrounding the timing of Central Bank exit strategies. Energies were the month’s star performer with the model long everything; they contributed 199bps as oil traded to a one year high. In FX, the model held long NZD and NOK positions and short GBP positions. The short GBP stance was the main FX detractor in October.

BlueTrend posted very strong returns in November of +6.36% MTD primarily on the back of large fi xed income and equity long positions. Despite fears of a Dubai default at the end of the month, equities still posted an impressive return with the S&P 500 gaining 6%. The model maintained longs across all indices (with the exception of Japan) which benefi tted returns as Japanese equities ended the month in negative territory. Short rates contributed signifi cantly to performance as dovish comments from the Federal Reserve and demand for liquidity caused the yield on 3 month T-Bills to momentarily go negative. Bonds also had a very strong November and the model maintained a long position in the vast majority of fi xed income products. In FX, the model continued to hold a short USD position which was profi table. November also provided gold with its best monthly return in ten months as it rose 12% while silver rallied a similar amount but took a far more volatile path.

Merrill Lynch Investment Solutions - BlueTrend UCITS Fund (cont.)



December was a disappointing month for the fund (-4.42% MTD). The major losses occurred in the fi rst and last weeks of the month, mainly in bonds, short interest rates and energies. Equities was the only sector to report positive returns over the month. The margin to equity level dropped quite signifi cantly during December from 18 at the beginning of the month to 14.8 at the end, demonstrating the extent to which the model reduced risk in the volatile trading conditions.

BlueTrend has had a strong fi rst quarter in 2010 with YTD returns of +6.66%. Most of this return was made in February and March, while returns in January were negative (-2.59% MTD). 2010 started on a positive note; however, as January progressed, equities fell heavily and while the model was quick to reduce longs, losses were sustained by being long equities and energies. Fixed income, on the other hand, benefi tted the most from market events. Short rates were the fi rst to react with the three major strips all printing contract highs. As the month progressed, the rally further out the curve gathered momentum culminating in US10Y trading at a one and a half month high on the fi nal day of January. The model was a good buyer of all fi xed income products over the month. The FX segment fi nished the month down 49bps as the DXY (US Dollar Index Future) ended up 2%. Trend went into the month long high beta currencies and despite largely reducing its long NZD/USD exposure, the currency pair was still the largest detractor for FX in January.

February saw very strong returns of +3.47% MTD. The top performing sectors were fi xed income (mostly through the short rates) and FX, with equities contributing negatively (but to a much less punishing extent than they did in January 2010). Of the fi xed income block, the highlight contributors were the programme’s long positions in the short rate contracts (Euribor, Eurodollar and Short Sterling). At the long end of the curve, the long Japanese Government Bonds and US 10Y positions also served the programme well. Trading in this sector has continued to benefi t from the relative steepness of the yield curve in the major economies. The return in FX came from our long-held short conviction in the EUR and GBP as the region suffered from the Greek sovereign debt situation, aggravating an already bleak economic outlook.

Performance was even stronger in March (+5.82% MTD) and was dominated by positive returns in equities and energies with bonds being the only negative contributor. All other sectors were well balanced, collectively generating a signifi cant return. Risk levels in the programme remain above average with the margin to equity ratio increasing with an expanding opportunity set. With a signifi cant component of the portfolio’s VaR in energies, the volatile path of oil as it approached year-to-date highs was largely responsible for this risk profi le. Equity strength was sustained through the month amid more upbeat language from the Federal Open Market Committee which stated that the labour market is “stabilizing”. The underperformance in the bonds sector was predominantly due to exposure to US 10Ys and US long bonds where record levels of US Treasury auctions (which were weakly received) softened the bid for the long end of the curve.


Since the Fund’s launch in the third quarter of 2009, the opportunity set in the event driven space has been quite robust as corporations continued to re-engage and restructure to adapt to the current economic environment. Against this backdrop, we generated profi ts by focusing on hard catalyst events related to merger activities, takeovers, exchange offers, spin-offs, debt restructurings, liquidations and other special situations. The Fund’s performance during the period covered by this review is 11.26%.

Despite concerns about a potential European sovereign debt crisis, the equity and credit markets continued to rally during the 1st quarter of 2010 amid strong corporate earnings, positive economic data, and a growing market sentiment that a double dip recession is unlikely. Further, reassurances from Federal Reserve offi cials that interest rates will remain low provided a positive technical backdrop for the markets. As 4th quarter 2009 earnings surpassed




analyst expectations and corporations provided upbeat guidance for the fi rst time in six quarters, corporate CEOs continued to re-engage, generating a fl urry of corporate activity.

The potent combination of better than expected profi t recovery and the thawing of the credit markets has resulted in an “arbitrage” where corporations can complete transactions that are actually accretive to earnings in the fi rst year. As such, we have seen a pick up in hostile/unsolicited deals and we expect this trend to continue in the foreseeable future as fi nancing costs are likely to stay low for some time. With this dynamic in place, we expect to deploy capital in announced deals with an emphasis on contested situations, where spreads are typically higher and in anticipatory situations, where companies with strong free cash fl ow, in attractive market segments, have positioned themselves for a sale.

With the beta move in the credit markets behind us, we continue to focus our attention on near term credit events. The inability of over-levered companies to refi nance is likely to generate distressed credit opportunities related to balance sheet restructurings, exchange offers, and liquidations.


The Fund was up 4.2% on a gross basis during the fi rst quarter while the S&P500 Index (with Income) increased 5.4%. Longs contributed 5.1% and shorts detracted 0.9%.

The markets performed well during the fi rst quarter despite numerous concerns regarding sovereign debt, Chinese monetary policy, and various U.S. political issues such as healthcare reform, bank regulation and Bernanke’s re-election. The performance was mostly driven by a strong rally in March as it became clear that these aforementioned risks were not going to jeopardize the economic expansion or the improvement in S&P earnings. The Fed has so far managed well the delicate balance between fragile economic growth and too much liquidity. Lending continues to improve, albeit slowly and housing continues to stabilize (though the impact of higher interest rates bears watching). Importantly, we are beginning to see a shift of money fl ows out of bonds and into equities as the market anticipates higher yields based on a sustainable strengthening economy.

Looking forward, we believe the concerns over sovereign debt this quarter are a harbinger of the issues that many nations will face as higher defi cits will force reduced spending, tax increases and ultimately slower global growth. Nonetheless, with credit markets generally well behaved and infl ation muted, we believe stronger earnings and M&A will allow markets to grind higher in the near-to-intermediate term though with bumps along the way.

Macro Healthcare

Though the 2.9% performance for the S&P 500 healthcare index lagged the market’s 4.9% price return, underlying performance in smaller and mid cap healthcare companies was strong driven primarily by M&A as well as a rotation into small and mid cap equities. Most if not all of the market’s 1Q stock performance occurred in March, which unfortunately for us, was the peak of the healthcare reform debate (fi nally passed in late March). As a result, we were not able to capture the performance that we would have liked. The healthcare reform debate presented Jekyll and Hyde characteristics with day to day swings of no reform, to reform, to no reform and back again with, most importantly, numerous provisions that could have had a negative impact near-term if not included. As a result, though we carried a higher net exposure, we were less concentrated in smaller and mid cap names that could have been negatively impacted near-term by various provisions (or lack thereof). Nonetheless, we commented in our 4th quarter letter that we felt that 2010 would be a better environment for healthcare investing based on a combination of low valuations, M&A, the removal of healthcare reform uncertainty and headlines, and a more balanced fl ow of funds into more secular growth stocks (as opposed to cyclical oriented stocks). This is indeed what occurred during the fi rst quarter and we expect this to continue.

Merrill Lynch Investment Solutions - York Event-Driven UCITS Fund (cont.)



Through extreme measures and political maneuvors, President Obama was able to force passage of healthcare legislation to help insure approx. 30 million individuals for a cost of approx. $950 billion. Various parts of the bill will begin in 2010 but, for the most part, the changes will begin in earnest in 2013 and will be phased in through 2019.

The general impact will be limited in the near-term. In the intermediate term, the rules and policies that will govern the various components of the healthcare bill must be ironed out and will have investment implications. Longer term, we believe healthcare costs will continue to rise and see a heightened battle to control costs. Lastly, we envision unintended and currently unseen consequences of healthcare reform as consumers and corporations adapt to new incentives and regulations.

As we highlighted above, the economic recovery is showing its staying power. However, the stronger economy will act as a double edged sword as investors begin to discount a tighter Fed policy. Though this will create volatility for the equity markets, we see it as a positive for the healthcare space which tends to perform well pre and post interest rate hikes.

Lastly, as we had anticipated and discussed, M&A is taking hold and we expect it to accelerate. A need to enhance weak pipelines, high cash balances with strong free cash fl ow, low returns on cash balances, and clarity on healthcare reform will lead to a signifi cant period of M&A across all sectors of healthcare.


The Merrill Lynch Investment Solutions - GLG European Opportunity UCITS Fund (the “Fund”) returned 0.82% for the period 19 October 2009 (inception) to 31 March 2010.

Q4 of 2009 was a challenging quarter for global equity markets due to three major developments:

– uncertainty regarding Dubai sovereign debt and its potential contagion across the region spooked investors, resulting in a material increase of risk aversion across all asset classes, and in particular, within global fi nancials (Banks and Insurance);

– speculation about fi scal policy, budget defi cit, debt repayment and credit rating of Greece; and– announcement of the “Basel III Consulting Paper” regarding new capital and liquidity ratios for the banking sector.

All three factors resulted in material volatility of global equity markets and in particular the banking sector suffered severe losses.

Q1 2010 started much the same way as Q4 2009 ended. Financial markets very quickly focused again on global credit markets, sovereign debt and the sustainability of G7’s budget defi cits.

In addition, 2009 earnings season started disappointingly faced with high expectations of many investors. As a result, global markets experienced a lot of volatility during 2010. The quarter ended on a positive note though due to a temporary reversal of an extreme sovereign risk pessimism and further evidence of economic wealth.

During both quarters the Fund stuck to its strategy of identifying shorter term opportunistic trading ideas on both the long and the short side across all major sectors.

Luxembourg, July 12, 2010 The Board of Directors

Merrill Lynch Investment Solutions - CCI Healthcare Long-Short UCITS Fund (cont.)

Note: The fi gures stated in this report are historical and not necessarily indicative of future performance.


Audit Report

To the Board of Directors of

MERRILL LYNCH INVESTMENT SOLUTIONS

We have audited the accompanying fi nancial statements of MERRILL LYNCH

INVESTMENT SOLUTIONS and of each of its sub-funds, which comprise the statement

of net assets and the schedule of investments as at March 31, 2010 and the statement of

operations and changes in net assets for the year then ended, and a summary of signifi cant

accounting policies and other explanatory notes to the fi nancial statements.

Board of Directors of the SICAV’s responsibility for the fi nancial statements

The Board of Directors of the SICAV is responsible for the preparation and fair presentation of

these fi nancial statements in accordance with Luxembourg legal and regulatory requirements

relating to the preparation of the fi nancial statements. This responsibility includes:

designing, implementing and maintaining internal control relevant to the preparation and

fair presentation of fi nancial statements that are free from material misstatement, whether

due to fraud or error; selecting and applying appropriate accounting policies; and making

accounting estimates that are reasonable in the circumstances.

Responsibility of the “Réviseur d’entreprises agréé”

Our responsibility is to express an opinion on these fi nancial 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 whether the fi nancial 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 judgment

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.

PricewaterhouseCoopers

Société à responsabilité limitée

400, Route d’Esch

B.P. 1443

L-1014 Luxembourg

Telephone +352 494848-1

Facsimile +352 494848-2900

www.pwc.com/lu

[email protected]

Cabinet de révision agréé

Expert-comptable (autorisation gouvernementale n° 95992)

R.C.S. Luxembourg B 65 477 – Capital social EUR 516 950 - TVA LU17564447


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 fi nancial statements.

We believe that the audit evidence we have obtained is suffi cient and appropriate to provide

a basis for our audit opinion.

Opinion

In our opinion, these fi nancial statements give a true and fair view of the fi nancial position

of MERRILL LYNCH INVESTMENT SOLUTIONS and of each of its sub-funds as of

March 31, 2010, and of the results of their operations and changes in their net for the year

then ended in accordance with Luxembourg legal and regulatory requirements relating to the

preparation of the fi nancial statements.

Other matters

Supplementary information included in the annual report has been reviewed in the

context of our mandate but has not been subject to specifi c audit procedures carried out in

accordance with the standards described above. Consequently, we express no opinion on

such information. However, we have no observation to make concerning such information

in the context of the fi nancial statements taken as a whole.

PricewaterhouseCoopers S.à r.l. Luxembourg, July 12, 2010

Represented by

Didier Prime


The accompanying notes form an integral part of these fi nancial statements.

Statement of net assets at March 31, 2010(expressed in the Sub-Fund’s currency)

Merrill Lynch Investment Solutions -

Marshall Wace TOPS UCITS Fund (Market Neutral)

Merrill Lynch Investment Solutions - BlueTrend

UCITS Fund


York Event-Driven UCITS Fund

Sub-Funds Notes EUR EUR EUR

ASSETS Investments in securities at cost 2.2 148 764 011 287 059 333 199 199 085Investments in securities at market value 151 831 378 287 312 539 220 999 136Cash at bank 63 273 289 71 413 376 69 410 829Receivable on securities sold 30 819 106 – 1 772 559Receivable on options sold – – –Receivable on spot exchange – 10 099 582 19 307 777Receivable for Fund shares issued – – –Dividends receivable 225 522 – 362 173Interest on bonds – 16 048 139 437Unrealised gain on futures contracts 2.4, 9 38 191 12 107 383 –Unrealised gain on forward foreign exchange contracts 2.5, 8 616 848 3 602 350 2 044 465Options bought at market value 2.4, 10 – – 318 934Other assets – 9 676 –Swaps at market value – 7 815 871 – 246 804 334 392 376 825 314 355 310

LIABILITIES Payable on securities purchased 26 302 709 – 4 325 362Payable on options purchased – – –Payable on spot exchange – 10 096 735 19 285 008Investment management fees payable 3 394 854 809 620 298 776Performance fees payable 3 127 331 5 980 445 2 268 048Operating, administrative fees payableand distributor fees payable 4, 6 66 071 556 782 482 196Unrealised loss on futures 2.4, 9 283 032 2 024 970 240 502Unrealised loss on forward foreign exchange contracts 2.5, 8 92 115 1 889 088 3 528 031“Taxe d’abonnement” payable 7 18 251 20 423 14 622Options sold at market value 2.4, 10 – – –Other liabilities 1 070 – –Swaps at market value 5 360 701 – 1 522 756

32 646 134 21 378 063 31 965 301

Net assets at the end of the year 214 158 200 370 998 762 282 390 009



Statement of net assets at March 31, 2010 (cont.)

(expressed in the Sub-Fund’s currency)




CCI Healthcare Long- Short UCITS Fund Combined

Sub-Funds Notes EUR USD EUR

ASSETS Investments in securities at cost 2.2 30 970 367 50 448 379 703 276 367Investments in securities at market value 31 231 793 51 723 721 729 600 952Cash at bank 58 969 940 10 637 230 270 928 815Receivable on securities sold 4 699 514 7 005 395 42 468 474Receivable on options sold – 24 459 18 076Receivable on spot exchange 979 950 – 30 387 309Receivable for Fund shares issued 55 842 – 55 842Dividends receivable – 5 602 591 835Interest on bonds – – 155 485Unrealised gain on futures contracts 2.4, 9 – – 12 145 574Unrealised gain on forward foreign exchange contracts 2.5, 8 11 438 185 701 6 412 342Options bought at market value 2.4, 10 – 105 656 397 019Other assets 2 027 – 11 703Swaps at market value – – 7 815 871 95 950 504 69 687 764 1 100 989 297

LIABILITIES Payable on securities purchased 3 082 342 6 800 227 38 736 078Payable on options purchased – 3 293 2 434Payable on spot exchange 980 832 – 30 362 575Investment management fees payable 3 183 524 49 606 1 723 436Performance fees payable 3 272 518 235 236 8 822 192Operating, administrative fees payableand distributor fees payable 4, 6 178 717 76 572 1 340 355Unrealised loss on futures 2.4, 9 – – 2 548 505Unrealised loss on forward foreign exchange contracts 2.5, 8 5 678 – 5 514 912“Taxe d’abonnement” payable 7 3 362 1 679 57 898Options sold at market value 2.4, 10 – 187 816 138 804Other liabilities – – 1 070Swaps at market value 2 510 305 191 261 9 535 114

7 217 278 7 545 690 98 783 373

Net assets at the end of the year 88 733 226 62 142 074 1 002 205 924



Statement of operations and changes in net assets for the year ended March 31, 2010(expressed in the Sub-Fund’s currency)




UCITS Fund



Sub-Funds Notes EUR EUR EUR

Net assets at the beginning of the year 111 345 332 55 256 352 –INCOMEInterest on bonds – 36 343 338 542Bank interest and interest on repurchase agreements 5 991 63 022 19 242Dividends, net 1 201 369 – 548 855 1 207 360 99 365 906 639EXPENSES Interest, bank charges and transaction costs 1 393 343 330 688 30 577Investment management 3 3 079 813 2 408 386 654 490Operating, administrative fees and distributor fees 4, 6 522 367 1 556 295 1 082 249Professional fees 1 597 9 337 1 524“Taxe d’abonnement” 7 29 887 26 569 14 540Performance fees 3 292 106 6 365 604 2 332 500 5 319 113 10 696 879 4 115 880Net investment loss (4 111 753) (10 597 514) (3 209 241)

Net realised gain on sales of investments 2.6 35 660 500 296 370 14 648 960Net realised gain/(loss) on forward foreign exchangecontracts and foreign exchange translation 2.5, 2.7 (3 888 888) 3 063 653 (3 651 438)Net realised gain/(loss) on options 2.4 – – (1 161 108)Net realised gain/(loss) on futures contracts 2.4 (8 105 477) 33 031 929 (5 223 647)Net realised gain/(loss) on swaps (4 376 152) (14 807 270) 941 128Net realised gain for the year 19 289 983 21 584 682 5 553 895

Change in net unrealised appreciation/(depreciation) on: - investments 2 745 627 250 007 21 800 051- forward foreign exchange contracts 943 656 3 096 938 (1 483 566)- options 2.4 – – (201 888)- futures contracts 2.4 (136 656) 8 893 827 (240 502)- swaps (9 076 596) 8 466 271 (1 522 756)Change in net unrealised appreciation/(depreciation) (5 523 969) 20 707 043 18 351 339Increase in net assets as a result of operations 9 654 261 31 694 211 20 695 993

Movements in capitalSubscriptions 269 902 978 387 163 483 296 394 806Redemptions (176 744 371) (103 115 284) (34 700 790) 93 158 607 284 048 199 261 694 016Net assets at the end of the year 214 158 200 370 998 762 282 390 009



Statement of operations and changes in net assets for the year ended March 31, 2010 (cont.)




Merrill Lynch Investment

Solutions - CCI Healthcare Long- Short UCITS Fund Combined

Sub-Funds Notes EUR USD EUR

Net assets at the beginning of the year – – 166 601 684INCOMEInterest on bonds – – 374 884Bank interest and interest on repurchase agreements 14 209 98 102 537Dividends, net 11 564 9 072 1 768 494 25 773 9 170 2 245 915EXPENSES Interest, bank charges and transaction costs 7 347 5 911 1 766 324Investment management 3 244 544 49 670 6 423 941Operating, administrative fees and distributor fees 4, 6 237 321 76 622 3 454 860Professional fees 304 – 12 762“Taxe d’abonnement” 7 3 362 1 689 75 605Performance fees 3 270 757 235 630 9 435 108 763 635 369 522 21 168 600Net investment loss (737 862) (360 352) (18 922 685)

Net realised gain on sales of investments 2.6 3 438 595 830 433 54 658 150Net realised gain/(loss) on forward foreign exchangecontracts and foreign exchange translation 2.5, 2.7 (79 468) (490 797) (4 918 861)Net realised gain/(loss) on options 2.4 (49 107) 12 196 (1 201 201)Net realised gain/(loss) on futures contracts 2.4 (71 024) – 19 631 779Net realised gain/(loss) on swaps 840 157 (87 822) (17 467 042)Net realised gain for the year 4 079 153 264 010 50 702 825

Change in net unrealised appreciation/(depreciation) on: - investments 261 426 1 275 342 25 999 646- forward foreign exchange contracts 5 760 185 701 2 700 029- options 2.4 – (167 815) (325 910)- futures contracts 2.4 – – 8 516 669- swaps (2 510 305) (191 261) (4 784 736)Change in net unrealised appreciation/(depreciation) (2 243 119) 1 101 967 32 105 698Increase in net assets as a result of operations 1 098 172 1 005 625 63 885 838

Movements in capitalSubscriptions 90 845 868 61 136 449 1 089 489 661Redemptions (3 210 814) – (317 771 259) 87 635 054 61 136 449 771 718 402Net assets at the end of the year 88 733 226 62 142 074 1 002 205 924


Statistical information(expressed in the Sub-Fund’s currency)

Sub-Funds




UCITS Fund



Number of shares outstanding at March 31, 2009

Class EUR A (acc) 868 571.930 – –Class EUR A (inc) 960.346 – –Class GBP A (inc) 57 113.461 – –Class EUR B (acc) 143 766.773 349 822.432 –Class USD B (acc) – 133 509.063 –Class GBP B (acc) – 14 229.541 –Class GBP B (inc) 39 812.000 – –Class EUR C (acc) 13 399.511 19 354.000 –Class GBP C (acc) 70.000 – –Class GBP C (inc) – 10.000 –Class GBP Management (acc) – 61 919.500 –Class GBP Management (inc) 6 994.700 – – Number of shares outstanding at March 31, 2010

Class EUR A (acc) 685 181.183 – 249 226.615Class USD A (acc) 12 635.978 – 10 616.972Class GBP A (acc) – – 10.000Class EUR A (inc) 997.346 – –Class GBP A (inc) 120 748.642 – 10 034.828Class EUR B (acc) 224 162.942 1 530 396.782 763 976.764Class USD B (acc) 198 471.817 686 768.636 722 281.868Class GBP B (acc) 119 432.371 251 319.071 54 097.715Class GBP B (inc) 126 257.474 605 827.056 174 676.351Class EUR C (acc) 598 059.218 241 839.518 29 330.619Class USD C (acc) 13 850.870 53 094.279 988.531Class GBP C (acc) 8 468.435 11 516.929 5 613.545Class GBP C (inc) 8 350.000 34 555.255 12 248.860Class EUR D (acc) – – 642 521.124Class USD D (acc) – – 23 761.853Class GBP D (acc) – – 1 455.537Class GBP D (inc) – – 10.000Class USD Management (acc) – – –Class GBP Management (inc) 964.976 – –


Statistical information (cont.)


Sub-Funds




CCI Healthcare Long- Short UCITS Fund

Number of shares outstanding at March 31, 2009

Class EUR A (acc) – –Class EUR A (inc) – –Class GBP A (inc) – –Class EUR B (acc) – –Class USD B (acc) – –Class GBP B (acc) – –Class GBP B (inc) – –Class EUR C (acc) – –Class GBP C (acc) – –Class GBP C (inc) – –Class GBP Management (acc) – –Class GBP Management (inc) – – Number of shares outstanding at March 31, 2010

Class EUR A (acc) – –Class USD A (acc) – –Class GBP A (acc) – –Class EUR A (inc) – –Class GBP A (inc) – –Class EUR B (acc) 852 768.479 39 106.869Class USD B (acc) 10.000 39 408.988Class GBP B (acc) 10.000 10.000Class GBP B (inc) 7 535.202 10.000Class EUR C (acc) 10 254.547 160.000Class USD C (acc) 189.722 10.000Class GBP C (acc) 7 338.659 10.000Class GBP C (inc) 10.000 8 005.942Class EUR D (acc) – 175 230.898Class USD D (acc) – 265 214.208Class GBP D (acc) – 10.000Class GBP D (inc) – 10.000Class USD Management (acc) – 10.000Class GBP Management (inc) – –




Sub-Funds




UCITS Fund



Net asset value per share at March 31, 2009

Class EUR A (acc) EUR 98.2899 – –Class EUR A (inc) EUR 100.4855 – –Class GBP A (inc) GBP 95.9302 – –Class EUR B (acc) EUR 95.8661 EUR 99.7460 –Class USD B (acc) – USD 99.3044 –Class GBP B (acc) – GBP 98.7466 –Class GBP B (inc) GBP 95.3663 – –Class EUR C (acc) EUR 97.3947 EUR 97.5044 –Class GBP C (acc) GBP 91.7143 – –Class GBP C (inc) – GBP 101.0232 –Class GBP Management (acc) – GBP 104.3015 –Class GBP Management (inc) GBP 101.8429 – – Net asset value per share at March 31, 2010

Class EUR A (acc) EUR 103.3828 – EUR 110.0657Class USD A (acc) USD 101.1587 – USD 110.2767Class GBP A (acc) – – GBP 109.7346Class EUR A (inc) EUR 104.8410 – –Class GBP A (inc) GBP 100.9452 – GBP 109.6522Class EUR B (acc) EUR 100.2332 EUR 110.8811 EUR 111.2600Class USD B (acc) USD 102.8279 USD 111.0802 USD 111.4740Class GBP B (acc) GBP 100.9307 GBP 109.7337 GBP 110.6517Class GBP B (inc) GBP 100.0801 GBP 114.4870 GBP 110.9467Class EUR C (acc) EUR 100.9825 EUR 107.5365 EUR 110.5959Class USD C (acc) USD 100.1406 USD 113.8709 USD 110.8348Class GBP C (acc) GBP 95.3566 GBP 113.9137 GBP 110.2453Class GBP C (inc) GBP 100.1827 GBP 111.3670 GBP 110.2618Class EUR D (acc) – – EUR 112.4092Class USD D (acc) – – USD 112.5768Class GBP D (acc) – – GBP 111.8956Class GBP D (inc) – – GBP 111.8568Class USD Management (acc) – – –Class GBP Management (inc) GBP 109.0599 – –




Sub-Funds




CCI Healthcare Long- Short UCITS Fund

Net asset value per share at March 31, 2009

Class EUR A (acc) – –Class EUR A (inc) – –Class GBP A (inc) – –Class EUR B (acc) – –Class USD B (acc) – –Class GBP B (acc) – –Class GBP B (inc) – –Class EUR C (acc) – –Class GBP C (acc) – –Class GBP C (inc) – –Class GBP Management (acc) – –Class GBP Management (inc) – – Net asset value per share at March 31, 2010

Class EUR A (acc) – –Class USD A (acc) – –Class GBP A (acc) – –Class EUR A (inc) – –Class GBP A (inc) – –Class EUR B (acc) EUR 100.8215 EUR 102.4099Class USD B (acc) USD 101.7585 USD 101.9477Class GBP B (acc) GBP 101.9176 GBP 103.6106Class GBP B (inc) GBP 101.7969 GBP 103.6106Class EUR C (acc) EUR 101.6449 EUR 102.1107Class USD C (acc) USD 101.7434 USD 101.8500Class GBP C (acc) GBP 101.6628 GBP 103.5104Class GBP C (inc) GBP 101.7294 GBP 103.4954Class EUR D (acc) – EUR 102.6137Class USD D (acc) – USD 102.1298Class GBP D (acc) – GBP 103.9310Class GBP D (inc) – GBP 103.9297Class USD Management (acc) – USD 102.7680Class GBP Management (inc) – –


Notes to the fi nancial statementsat March 31, 2010

Note 1 - Activity

Merrill Lynch Investment Solutions (the “SICAV”) has been incorporated on November 5, 2007 under Luxembourg laws as a “Société d’Investissement à Capital Variable” for an unlimited period of time. The SICAV is governed by the provisions of Part I of the Luxembourg Law of December 20, 2002 relating to undertakings for collective investment, as may be amended from time to time.

The Articles of Incorporation created November 5, 2007 and amended on November 22, 2007 are deposited with the Register of Commerce and Companies of Luxembourg and have been published in the Mémorial C, “Recueil des Sociétés et Associations” (the “Mémorial”) on November 30, 2007. The SICAV is registered with the Register of Commerce and Companies of Luxembourg under the number B 133 445.

At March 31, 2010, fi ve Sub-Funds are available to investors:

– Merrill Lynch Investment Solutions - Marshall Wace TOPS UCITS Fund (Market Neutral) launchedon November 23, 2007

– Merrill Lynch Investement Solutions - BlueTrend UCITS Fund launched on November 6, 2008– Merrill Lynch Investement Solutions - York Event-Driven UCITS Fund launched on July 29, 2009– Merrill Lynch Investement Solutions - GLG European Opportunity UCITS Fund launched on October 19, 2009– Merrill Lynch Investement Solutions - CCI Healthcare Long-Short UCITS Fund launched on January 29, 2010

• Marshall Wace TOPS UCITS Fund (Market Neutral)

For the Sub-Fund Merrill Lynch Investment Solutions - Marshall Wace TOPS UCITS Fund (Market Neutral), the following classes of shares may be issued:

Classes EUR A (acc), EUR B (acc), USD A (acc), USD B (acc), GBP A (acc) and GBP B (acc) are available only to institutional investors and denominated in Euro, US Dollars and Sterling respectively. The Shares are non-distributing.

Classes EUR A (inc), EUR B (inc), GBP A (inc) and GBP B (inc) are available only to institutional investors and denominated in Euro and Sterling respectively.

Classes EUR C (inc) and GBP C (inc) are primarily intended for retail investors and denominated in Euro and Sterling respectively.

Classes EUR C (acc), USD C (acc) and GBP C (acc) are primarily intended for retail investors and denominated in Euro, US Dollars and Sterling respectively. The Shares are non-distributing.

Classes USD Management (acc) and GBP Management (inc) are only available for subscription by the staff of the Investment Manager and its affi liates.

As at March 31, 2010, the following 13 Classes have been issued:

Classes EUR A (acc), USD A (acc), GBP A (inc), EUR A (inc), EUR B (acc), USD B (acc), GBP B (acc), GBP B (inc),USD C (acc), EUR C (acc), GBP C (acc), GBP C (inc) and GBP Management (inc).

• BlueTrend UCITS Fund

For the Sub-Fund Merrill Lynch Investment Solutions - BlueTrend UCITS Fund, the following classes of shares may be issued:


Notes to the fi nancial statementsat March 31, 2010 (cont.)

Class GBP B (inc) is available only to institutional investors and denominated in Sterling.

Classes EUR C (acc), USD C (acc) and GBP C (acc) are available only to Retail Investors and denominated in Euro, US Dollars and Sterling respectively. The shares are non- distributing.

Class GBP C (inc) is available only to Retail Investors and denominated in Sterling.

Classes EUR Management (acc), USD Management (acc) and GBP Management (acc) are available only to the staff of the Investment Manager and its affi liates, and other investment funds under the management of the Investment Manager and are denominated in Euro, US Dollars and Sterling respectively.


Classes EUR B (acc), USD B (acc), GBP B (acc), GBP B (inc), EUR C (acc), USD C (acc), GBP C (acc) and GBP C (inc).

• York Event-Driven

For the Sub-Fund Merrill Lynch Investment Solutions - York Event-Driven UCITS Fund, the following classes of shares may be issued:

Classes EUR A (acc), EUR B (acc), USD A (acc), USD B (acc), GBP A (acc), GBP B (acc) are available only to Institutional Investors and denominated in Euro, US Dollars and Sterling respectively. The Shares are non-distributing.

Classes GBP A (inc), GBP B (inc) are available only to Institutional Investors and denominated in Sterling.

Classes EUR C (acc), USD C (acc), GBP C (acc) are available only to Retail Investors and denominated in Euro, US Dollars and Sterling respectively. The Shares are non distributing.

Class GBP C (inc) is available only to Retail Investors and denominated in Sterling.

Classes EUR D (acc), USD D (acc), GBP D (acc) are available only to Institutional Investors and denominated in Euro, US Dollars and Sterling respectively. The Shares are non-distributing.

Class GBP D (inc) is available only to Institutional Investors until such time as the Net Asset Value of the sub-fund is greater than or equal to USD 100 million, and denominated in Sterling.


Classes EUR A (acc), USD A (acc), GBP A (acc), GBP A (inc), EUR B (acc), USD B (acc), GBP B (acc), GBP B (inc), EUR C (acc), USD C (acc), GBP C (acc), GBP C (inc), EUR D (acc), USD D (acc), GBP D (acc) and GBP D (inc).

• GLG European Opportunity UCITS Fund

For the Sub-Fund Merrill Lynch Investement Solutions - GLG European Opportunity UCITS Fund, the following classes of shares may be issued:

Classes EUR B (acc), USD B (acc) and GBP B (acc) are available only to Institutional Investors and denominated in Euro, US Dollars and Sterling respectively. The shares are non-distributing.

Note 1 - Activity (cont.)





Class GBP C (inc) is primarily intended for retail investors and denominated in Sterling.


Classes EUR B (acc), USD B (acc), GBP B (acc), GBP B (inc), EUR C (acc), USD C (acc), GBP C (acc) and GBP C (inc).

• CCI Healthcare Long-Short UCITS Fund

For the Sub-Fund Merrill Lynch Investement Solutions - CCI Healthcare Long-Short UCITS Fund, the following classes of shares may be issued:

Classes EUR B (acc), USD B (acc) and GBP B (acc) are available only to institutional investors and denominated in Euro, US Dollars and Sterling respectively. The Shares are non-distributing.



Class GBP C (inc) is primarily intended for retail investors and denominated in Sterling.

Classes EUR D (acc), USD D (acc), GBP D (acc) are available only to Institutional Investors and denominated in Euro, US Dollars and Sterling respectively. The Shares are non-distributing.

Class GBP D (inc) is available only to Institutional Investors and denominated in Sterling.

Class USD Management (acc) is only available for subscription by the staff of the Investment Manager and its affi liates and is denominated in US Dollars.


Classes EUR B (acc), USD B (acc), GBP B (acc), GBP B (inc), EUR C (acc), USD C (acc), GBP C (acc), GBP C (inc),EUR D (acc), USD D (acc), GBP D (acc), GBP D (inc) and USD Management (acc).

Note 2 - Principal accounting policies

2.1 Presentation of fi nancial statements

The fi nancial statements are prepared in accordance with Luxembourg regulations relating to undertakings for collective investment.

Classes EUR B (acc), USD B (acc) and GBP B (acc) are available only to institutional investors and denominated in Euro, US Dollars and Sterling respectively. The Shares are non-distributing.

Note 1 - Activity (cont.)



2.2.1 Securities or money market instruments quoted or traded on an offi cial stock exchange or any other regulated market, are valued on the basis of the last known price, and if the securities or money market instruments are listed on several stock exchanges or regulated markets, the last known price of the stock exchange which is the principal market for security or money market in question, unless these prices are not representative.

2.2.2 For securities or money market instruments not quoted or traded on an offi cial stock exchange or any other regulated market, and for quoted securities or money market instruments, but for which the last known price is not representative, valuation is based on the probable sales price estimated prudently and in good faith by the Board of Directors of the SICAV.

2.2.3 Liquid assets and Money Market Instruments with a maturity of less than 12 months may be valued at nominal value plus any accrued interest or using an amortised cost method.

2.2.4 Investments in other open-ended UCIs are valued on the basis of the respective last available net asset value of such UCIs at each Valuation Day.

2.2.5 Units or shares of a closed-ended UCI are valued in accordance with the valuation rules set out in items 2.2.1 and 2.2.2.

2.3 Valuation of swaps

The valuation of the swaps is resultant from the sum of the unrealised, realised and other interest or fees on contracts for difference swaps.

2.4 Evaluation of the futures and option contracts

Initial margin deposits on open futures at the period-end are included in “Cash at bank”.

Unrealised appreciations or depreciations are recorded as follows:

– in “Unrealised gain/(loss) on futures contracts”, in the “Statement of net assets”;

– in “Change in net unrealised appreciation/(depreciation) on futures contracts” in the “Statement of operations and changes in net assets”.

Futures contracts are valued at their liquidation value based on the closing price on the market on which these futures are quoted.

The liquidating value of option contracts traded on exchanges or on other organised markets is based upon the last available settlement prices of these contracts on exchanges and organised markets on which the particular options contracts are traded by the SICAV; provided that if an options contract could not be liquidated on the day with respect to which net assets are being determined, the basis for determining the liquidating value of such contract is such value as the Board of Directors may deem fair and reasonable.

2.2 Valuation of investment in securities

Note 2 - Principal accounting policies (cont.)



2.5 Forward foreign exchange contracts

Forward foreign exchange contracts are valued at the forward rates applicable at the statement of net assets date for the remaining period until maturity. Gains or losses resulting from forward foreign exchange contracts are recognised in the statement of operations and changes in net assets.

2.6 Net realised gains or losses resulting from investments

The realised gains or losses resulting from the sales of investments are calculated on an average cost basis.

2.7 Foreign exchange translation

The accounts of each Sub-Fund are maintained in the reference currency of the Sub-Fund and the fi nancial statements are expressed in that currency.

The acquisition cost of securities expressed in a currency other than the reference currency is translated into the reference currency at the exchange rates prevailing on the date of purchase.

Income and expenses expressed in other currencies than the reference currency are converted at exchange rates ruling at the transaction date.

Assets and liabilities expressed in other currencies than the reference currency are converted at exchange rates ruling at the period-end. The realised or unrealised gains and losses on foreign exchange translation are recognised in the statement of operations and changes in net assets in determining the increase or decrease in net assets.

2.8 Income

Dividends are credited to income on the date upon which the relevant securities are fi rst listed as “ex-dividend”. Interest income is accrued on a daily basis.

2.9 Formation expenses

Formation expenses are supported by the Sponsor.

Note 3 - Investment Management and Performance fees

The Investment Managers receive a monthly Investment Management fee and an annual Performance fee.

The Investment Management fees, which is payable to the Investment Manager in connection with the services to be provided by them, is payable monthly in arrears and calculated on each banking day (as defi ned in the prospectus) on the net assets of each Class of Shares and at the annual rates mentioned below. The Performance fee will be equal to a percentage fi gure of any “New Net appreciation” and will be payable in arrears within 7 Banking Days(for the sub-funds Marshall Wace TOPS UCITS Fund (Market Neutral), GLG European Opportunity UCITS Fund andCCI Healthcare Long-Short UCITS Fund) and 14 Banking Days (for the sub-funds BlueTrend UCITS Fund and York Event-Driven UCITS Fund) of the end of each Calculation period at the rates mentioned below:

Note 2 - Principal accounting policies (cont.)



Investment Management fee: up to 2.50% (except for management shares : 0%)The Investment Management fee is currently set at 1.75 % for A and B shares, 2.50% for C shares and 0% for Management shares.

Performance fee: – 25% of the outperformance above the benchmark for the A share classes – 15% of the outperformance above the high watermark for the B and C share classes – no performance fee is due for the Management share classes

• Merrill Lynch Investment Solutions - BlueTrend UCITS Fund

Investment Management fee: up to 2.75% (except for management shares : 0%)The combined Investment Management fee and Distributor fee is currently set at 2.00 % for B shares, 2.75% forC shares and 0% for Management shares.

Performance fee: – 20% of new net appreciation for the B and C share classes – no performance fee is due for the Management share classes

• Merrill Lynch Investment Solutions - York Event-Driven UCITS Fund

Investment Management fee: up to 2.50%The combined Investment Management fee and Distributor fee is currently set at 1.50 % for A and B shares, 2.50% for C shares, and 1.00% for D shares.

Performance fee: – 25% of new net appreciation above the benchmark for the A share classes – 15% of new net appreciation for the B and C share classes – 10% of new net appreciation for the D share classes

• Merrill Lynch Investement Solutions - GLG European Opportunity UCITS Fund

Investment Management fee: up to 2.75%The combined Investment Management fee and Distributor fee is currently set at 2.00% for B shares, and 2.75% for C shares.

Performance fee: – 20% of the outperformance above the high Water Mark for the B and C share classes

• Merrill Lynch Investement Solutions - CCI Healthcare Long-Short UCITS Fund

Investment Management fee: up to 2.75% (except for management shares : 0%)The combined Investment Management fee and Distributor fee is currently set at 2.00 % for B shares, 2.75% forC shares, 1.5% for D shares, and 0% for Management shares.

Performance fee: – 20% of the outperformance above the high Water Mark for the B and C share classes – 15% of the outperformance above the high Water Mark for the D share classes – no performance fee is due for the Management share classes

• Merrill Lynch Investment Solutions - Marshall Wace TOPS UCITS Fund (Market Neutral)

Note 3 - Investment Management and Performance fees (cont.)



of the Investment Management Fee. The Operating and Administrative Fee shall be calculated and accrued as an expense of the relevant Share Class and shall be payable monthly in arrears.

Note 5 - Custodian, Administrator, Registrar Agent fee

Each of the Custodian, the Administrator and the Registrar Agent are entitled to receive from the Sponsor, fees pursuant to the relevant agreements between each of them and the SICAV in accordance with usual market practice. In addition, reasonable disbursements and out-of-pocket expenses incurred by such parties are charged to the SICAV as appropriate.

Note 6 - Distributor fee

The Company pays a Distributor Fee to the distributor as further specifi ed for the relevant sub-fund.

In addition to the Distribution Fee, the Distributor may be entitled to receive the Sales Charge as further specifi ed for relevant Sub-Funds.


There is neither distributor fee nor Sale Charge foreseen for this Sub-Fund.


A distributor fee is charged up to 1.25% per annum of the Net Asset Value of the relevant Share Class calculated in the same manner as for the calculation of the Investment Management fee. The combined Investment Management fee and Distributor fee is currently set at 2.00 % for B shares, 2.75% for C shares and 0% for Management shares.There is no Sale Charge foreseen for this Sub-Fund for the period.


A distributor fee is charged up to 1.75% per annum of the Net Asset Value of the relevant Share Class calculated in the same manner as for the calculation of the Investment Management fee. The combined Investment Management fee and Distributor fee is currently set at 1.50 % for A and B shares, 2.50% for C shares, and 1.00% for D shares.There is no Sale Charge foreseen for this Sub-Fund for the period.

Merrill Lynch Investement Solutions - GLG European Opportunity UCITS Fund

A distributor fee is charged up to 2.75% per annum of the Net Asset Value of the relevant Share Class calculated in the same manner as for the calculation of the Investment Management fee. The combined Investment Management fee and Distributor fee is currently set at 2.00% for B shares, and 2.75% for C shares.

Merrill Lynch Investement Solutions - CCI Healthcare Long-Short UCITS Fund

A distributor fee is charged up to 2.50% per annum of the Net Asset Value of the relevant Share Class calculated in the same manner as for the calculation of the Investment Management fee. The combined Investment Management

In respect of each sub-fund, the SICAV shall pay to the Sponsor an Operating and Administrative fee equal to a certain percentage of the Net Asset Value of the relevant Share Class calculated in the same manner as for the calculation

Note 4 - Operating and Administrative fee



Note 7 - Taxation

The SICAV’s assets are subject to tax (“Taxe d’abonnement”) in the Grand Duchy of Luxembourg of 0.05% of the net assets p.a. (except Sub-Funds or Classes of Shares reserved to Institutional Investors that can benefi t from the reduced tax rate of 0.01% of the net assets p.a. as stipulated in the Prospectus) payable quarterly. The SICAV’s income is not taxable in Luxembourg. No tax will be deducted at source from any dividends paid by the Company. Income received from the Company may be subject to withholding taxes in the country of origin of the issuer of the security, in respect of which such income is paid. No duty or tax is payable in Luxembourg in connection with the issue of Shares of the Company, except for one lump sum capital levy of EUR 1 250 which is payable at incorporation.

Investment income from dividends and interest received by the SICAV may be subject to withholding taxes at varying rates. Such withholding taxes are usually not recoverable.

Note 8 - Unrealised loss on forward foreign exchange contracts


Purchase Sale Maturity date

Unrealisedgain/(loss)

EUREUR 6 647 406 USD 9 100 000 06/04/2010 (78 063)EUR 48 798 834 GBP 43 531 000 06/04/2010 731EUR 7 956 069 USD 10 620 000 06/04/2010 107 220EUR 16 162 885 USD 21 870 000 06/04/2010 (418)GBP 36 200 000 EUR 40 373 173 06/04/2010 206 906GBP 1 300 000 EUR 1 430 340 06/04/2010 26 956GBP 1 000 000 EUR 1 117 175 06/04/2010 3 822USD 42 750 000 EUR 31 327 265 06/04/2010 267 662GBP 43 670 000 EUR 48 946 425 04/05/2010 2 154USD 21 920 000 EUR 16 199 718 04/05/2010 1 397EUR 2 228 107 GBP 2 000 000 16/06/2010 (13 634) 524 733

At March 31, 2010, the Sub-Fund has outstanding forward foreign exchange contracts resulting in a net unrealised gain of EUR 524 733.




EUREUR 74 914 AUD 110 000 01/04/2010 305EUR 204 983 HKD 2 140 000 01/04/2010 1 296EUR 576 978 JPY 72 340 000 01/04/2010 4 817

Note 6 - Distributor fee (cont.)

fee and Distributor fee is currently set at 2.00 % for B shares, 2.75% for C shares, 1.5% for D shares, and 0% for Management shares.



EUR 66 884 SEK 650 000 01/04/2010 137EUR 21 246 SGD 40 000 01/04/2010 101ZAR 720 000 EUR 73 176 01/04/2010 (735)EUR 3 267 623 AUD 4 930 000 15/04/2010 (71 425)EUR 2 817 052 CAD 3 920 001 15/04/2010 (38 536)GBP 96 815 000 EUR 106 793 501 15/04/2010 1 729 625EUR 1 115 236 HKD 11 850 000 15/04/2010 (12 776)EUR 440 682 JPY 53 479 999 15/04/2010 17 656EUR 340 410 SEK 3 310 000 15/04/2010 514EUR 50 951 SGD 100 000 15/04/2010 (1 909)SGD 100 000 EUR 51 872 15/04/2010 987USD 66 878 000 EUR 48 965 516 15/04/2010 462 287EUR 1 085 365 ZAR 11 050 000 15/04/2010 (23 575)AUD 6 341 835 EUR 4 199 977 16/06/2010 66 028AUD 5 972 814 GBP 3 599 999 16/06/2010 (17 299)AUD 13 000 066 JPY 1 065 042 963 16/06/2010 314 873AUD 14 100 027 USD 12 774 502 16/06/2010 40 425CAD 18 200 026 USD 17 774 294 16/06/2010 119 126CHF 21 420 828 GBP 13 299 937 16/06/2010 139 498USD 6 125 057 CHF 6 625 047 16/06/2010 (125 364)EUR 8 000 011 GBP 7 274 101 16/06/2010 (153 328)JPY 1 031 742 373 EUR 8 499 964 16/06/2010 (333 533)NOK 149 402 415 EUR 18 500 111 16/06/2010 32 588PLN 30 146 919 EUR 7 699 955 16/06/2010 54 412SEK 126 441 724 EUR 13 000 052 16/06/2010 (10 384)USD 20 326 670 EUR 14 999 906 16/06/2010 27 840JPY 939 025 362 GBP 6 999 954 16/06/2010 (413 730)SEK 100 953 376 GBP 9 399 994 16/06/2010 (164 913)USD 16 422 813 GBP 10 937 438 16/06/2010 (117 814)JPY 612 501 037 USD 6 990 594 16/06/2010 (320 195)MXN 264 499 273 USD 20 738 649 16/06/2010 391 521NOK 63 700 590 SEK 76 693 910 16/06/2010 22 902NOK 40 314 341 USD 6 800 029 16/06/2010 (26 573)NZD 22 700 011 USD 16 025 523 16/06/2010 (3 094)PLN 6 470 074 USD 2 300 023 16/06/2010 (36 488)SEK 41 560 637 USD 5 800 034 16/06/2010 (18 404)ZAR 141 828 807 USD 18 800 034 17/06/2010 176 399 1 713 262

At March 31, 2010, the Sub-Fund has outstanding forward foreign exchange contracts resulting in a net unrealised gain of EUR 1 713 262.




EUR

Note 8 - Unrealised loss on forward foreign exchange contracts (cont.)



EUR 1 126 081 BRL 2 800 000 16/06/2010 (14 692)EUR 3 547 906 CAD 5 000 000 16/06/2010 (94 911)EUR 9 951 167 CHF 14 550 000 16/06/2010 (269 307)EUR 547 173 CHF 800 000 16/06/2010 (14 777)EUR 201 411 DKK 1 500 000 16/06/2010 90EUR 5 070 447 GBP 4 610 000 16/06/2010 (96 774)EUR 224 883 GBP 200 000 16/06/2010 709EUR 92 909 HUF 25 000 000 16/06/2010 (318)EUR 9 390 135 JPY 1 140 000 000 16/06/2010 366 827EUR 801 565 JPY 100 000 000 16/06/2010 10 062EUR 1 724 772 MXN 30 000 000 16/06/2010 (58 786)EUR 893 687 MXN 15 000 000 16/06/2010 2 185EUR 2 591 105 NOK 21 000 000 16/06/2010 (13 932)EUR 492 896 NOK 4 000 000 16/06/2010 (3 304)EUR 6 237 244 SEK 61 000 000 16/06/2010 (29 420)EUR 358 815 SEK 3 500 000 16/06/2010 (748)EUR 176 614 742 USD 242 515 000 16/06/2010 (2 678 588)EUR 1 249 623 USD 1 700 000 16/06/2010 (7 205)EUR 952 221 USD 1 300 000 16/06/2010 (8 882)EUR 1 101 690 USD 1 500 000 16/06/2010 (7 276)EUR 8 579 735 USD 11 450 000 16/06/2010 114 569EUR 1 490 680 USD 2 000 000 16/06/2010 12 051EUR 3 250 591 USD 4 400 000 16/06/2010 (2 382)GBP 21 964 784 EUR 24 158 629 16/06/2010 461 091GBP 225 000 EUR 249 335 16/06/2010 2 861GBP 200 000 EUR 223 901 16/06/2010 273GBP 6 000 000 EUR 6 693 664 16/06/2010 31 558USD 93 727 060 EUR 68 257 965 16/06/2010 1 035 219USD 500 000 EUR 367 536 16/06/2010 2 118USD 1 000 000 EUR 734 460 16/06/2010 4 852USD 11 450 000 EUR 8 579 735 16/06/2010 (114 569)USD 6 000 000 EUR 4 479 033 16/06/2010 (43 144)EUR 5 103 571 HKD 54 300 000 17/06/2010 (69 016) (1 483 566)

At March 31, 2010, the Sub-Fund has outstanding forward foreign exchange contracts resulting in a net unrealised loss of EUR 1 483 566.





EUR



EUR 835 310 GBP 750 000 30/04/2010 (5 358)EUR 16 499 GBP 14 700 30/04/2010 22EUR 924 871 USD 1 250 000 30/04/2010 1 002GBP 763 750 EUR 850 624 30/04/2010 5 457GBP 674 250 EUR 750 944 30/04/2010 4 817GBP 19 575 EUR 21 802 30/04/2010 140GBP 49 896 EUR 56 134 30/04/2010 (206)GBP 23 500 EUR 26 377 30/04/2010 (36)USD 19 360 EUR 14 386 30/04/2010 (78) 5 760

At March 31, 2010, the Sub-Fund has outstanding forward foreign exchange contracts resulting in a net unrealised gain of EUR 5 760.




USDEUR 2 999 550 USD 4 003 500 30/04/2010 54 913EUR 18 990 834 USD 25 579 704 30/04/2010 115 014GBP 833 460 USD 1 248 231 30/04/2010 15 774 185 701

At March 31, 2010, the Sub-Fund has outstanding forward foreign exchange contracts resulting in a net unrealised gain of USD 185 701.

Note 9 - Futures contracts

Open futures contracts at March 31, 2010 are detailed below:

Merrill Lynch Investment Solutions - Marshall Wace TOPS UCITS (Market Neutral)

Currency contract Details Market Maturity

Number of contracts

bought

Number of contracts

sold Commitment

EUR

Unrealised gain/(loss)

EUREUR CAC 40 EURONEXT LIFFE PARIS Apr-10 14 556 010 3 044USD S&P 500 EMINI CME CHICAGO Jun-10 298 12 831 443 (81 470)HKD H-SHARES INDEX HONG KONG FUTURE Apr-10 26 1 533 684 (47 433)HKD HANG SENG INDEX HONG KONG FUTURE Apr-10 9 909 303 (9 361)EUR IBEX INDEX MEFF Apr-10 16 1 734 640 (43 960)JPY NIKKEI 225 SINGAPORE EXCHANGE Jun-10 121 5 306 696 (83 700)CAD S&P TSE60 MONTREAL EXCHANGE Jun-10 14 1 434 930 (3 728)


Merrill Lynch Investement Solutions - GLG European Opportunity UCITS Fund



EUR



SEK OMX30 STOCKOLM STOCK EXCHANGE Apr-10 23 240 315 (650)SGD MSCI SING IX ETS SINGAPORE EXCHANGE Apr-10 5 179 733 3 859USD RUSSELL 2000 CME CHICAGO Jun-10 117 5 854 756 1 153CHF SWISS MARKET INDEX EUREX-DEUTSCHLAND Jun-10 3 142 981 695EUR FTSE/MIB INDEX BORSA ITALIANA Jun-10 1 111 950 300EUR DJ EURO STOXX 50 EUREX-DEUTSCHLAND Jun-10 140 3 991 400 29 140AUD SPI 200 FUTURES AUSTRALIAN Jun-10 54 4 467 949 (12 159)GBP FTSE 100 EURONEXT LIFFE Jun-10 6 377 367 (571) 39 673 157 (244 841)



Number of contracts

bought

Number of contracts

sold Commitment

EUR


EURZAR AI FTSE/JSE TOP 40 SAFEX SOUTH Jun-10 821 21 483 595 311 144CAD BANK ACCEPT FUTURE MONTREAL EXCHANGE Sep-10 16 2 878 019 (9 033)EUR CAC 40 EURONEXT LIFFE PARIS Apr-10 675 26 807 625 62 575 CAD CAN 10YR BO MONTREAL EXCHANGE Jun-10 237 20 284 196 (209 069)USD DOW JONES INDUSTRIAL AVG CBOT CHICAGO Jun-10 136 5 426 029 111 063EUR SCHATZ EUREX EUREX-DEUTSCHLAND Jun-10 972 105 680 700 134 430USD ED 90 DAYS EURO$ CME CHICAGO Sep-10 3 346 614 902 613 639 892USD ED 90 DAYS EURO$ CME CHICAGO Dec-10 3 425 627 553 857 151 679USD ED 90 DAYS EURO$ CME CHICAGO Dec-11 1 122 202 585 637 107 087USD ED 90 DAYS EURO$ CME CHICAGO Mar-11 1 236 225 669 795 354 353USD ED 90 DAYS EURO$ CME CHICAGO Jun-11 1 190 216 446 586 328 015USD ED 90 DAYS EURO$ CME CHICAGO Mar-12 1 125 202 482 956 (24 869)USD ED 90 DAYS EURO$ CME CHICAGO Sep-11 1 175 212 925 852 239 133EUR AMSTERDAM INDEX EURONEXT-AMSTERDAM Apr-10 298 20 413 000 193 770EUR 3MO EURO EURIBOR EURONEXT LIFFE Jun-11 663 163 296 900 506 788EUR 3MO EURO EURIBOR EURONEXT LIFFE Sep-10 1 199 297 097 213 719 538EUR 3MO EURO EURIBOR EURONEXT LIFFE Dec-10 1 785 441 408 188 695 688EUR 3MO EURO EURIBOR EURONEXT LIFFE Mar-11 679 167 585 688 459 800EUR 3MO EURO EURIBOR EURONEXT LIFFE Mar-12 531 129 975 525 184 825EUR 3MO EURO EURIBOR EURONEXT LIFFE Sep-11 673 165 398 163 538 638EUR 3MO EURO EURIBOR EURONEXT LIFFE Dec-11 702 172 130 400 491 138CHF EUROSWISS CME CHICAGO Sep-10 46 8 043 742 5 424USD S&P 500 EMINI CME CHICAGO Jun-10 428 18 429 052 285 786USD S&P MID 400 CME CHICAGO Jun-10 46 2 679 225 31 106CHF SWISS FEDERAL BOND EUREX-DEUTSCHLAND Jun-10 10 964 016 –USD US 5YR T-NOTES CME CHICAGO Jun-10 298 25 292 615 (199 178)EUR DAX INDEX EUREX-DEUTSCHLAND Jun-10 153 23 491 238 384 750GBP LONG GILT EURONEXT LIFFE Jun-10 524 67 405 414 232 891

Note 9 - Futures contracts (cont.)

Merrill Lynch Investment Solutions - Marshall Wace TOPS UCITS (Market Neutral) (cont.)


Number of contracts

bought

Number of contracts

sold Commitment

EUR


EUR



HKD H-SHARES INDEX HONG KONG FUTURE Apr-10 129 7 609 433 104 370HKD HANG SENG INDEX HONG KONG FUTURE Apr-10 177 17 882 957 59 183USD SGX CNX NIFTY SINGAPORE EXCHANGE Apr-10 93 723 601 3 761AUD IR90 DAY BILL AUD AUSTRALIAN SE Sep-10 5 3 349 548 (228)AUD IR90 DAY BILL AUD AUSTRALIAN SE Dec-10 3 2 008 360 (1 582)AUD IR90 DAY BILL AUD AUSTRALIAN SE Jun-10 48 32 183 878 (16 187)JPY JB JGB 10 YEARS TOKYO SE Jun-10 97 106 042 497 (588 055)GBP 90 DAYS STERLING EURONEXT LIFFE Jun-11 789 108 669 371 366 585GBP 90 DAYS STERLING EURONEXT LIFFE Sep-10 958 133 073 454 187 349GBP 90 DAYS STERLING EURONEXT LIFFE Dec-10 1 406 194 831 203 412 309GBP 90 DAYS STERLING EURONEXT LIFFE Mar-11 887 122 564 696 430 175GBP 90 DAYS STERLING EURONEXT LIFFE Mar-12 164 22 378 678 51 707GBP 90 DAYS STERLING EURONEXT LIFFE Sep-11 543 74 544 182 271 566GBP 90 DAYS STERLING EURONEXT LIFFE Dec-11 287 39 267 250 144 849JPY NIKKEI 225 SINGAPORE EXCHANGE Jun-10 319 13 990 382 653 279USD NASDAQ 100 CME CHICAGO Jun-10 330 9 539 539 152 132EUR EURO BOBL EUREX-DEUTSCHLAND Jun-10 484 56 666 720 158 300CAD S&P/TSE 60 MONTREAL EXCHANGE Jun-10 189 19 371 553 64 068SEK OMX 30 INDEX STOCKHOLM EXCHANGE Apr-10 723 7 554 258 18 676SGD MSCI SING IX ETS SINGAPORE EXCHANGE Apr-10 89 3 199 239 (30 195)USD RUSSELL 2000 CME CHICAGO Jun-10 226 11 309 186 79 152EUR EURO BUND EUREX-DEUTSCHLAND Jun-10 825 101 763 750 508 710EUR FTSE/MIB INDEX BORSA ITALIANA Jun-10 177 19 815 150 (115 475)JPY TOPIX INDEX TOKYO SE Jun-10 327 25 281 442 1 187 999USD US 2 YR T-NOTES CBOT CHICAGO Jun-10 561 89 949 524 (53 807)USD MSCI TAIWAN SINGAPORE EXCHANGE Apr-10 175 3 649 767 (3 060) USD US 10 YR TREASURY NOTE CBOT CHICAGO Jun-10 694 59 624 196 (367 295) USD US LONG BOND CBOT CHICAGO Jun-10 348 29 865 864 (314 971) EUR DJ EURO STOXX 50 EUREX-DEUTSCHLAND Jun-10 965 27 512 150 14 000AUD 10 YR AUSTRALIAN BOND AUSTRALIAN SE Jun-10 188 12 958 679 (88 397) AUD S&P ASX 200 AUSTRALIAN SE Jun-10 267 22 091 524 59 371AUD AUST 3 YR BOND AUSTRALIAN SE Jun-10 19 1 310 346 (3 569)GBP FTSE 100 EURONEXT LIFFE Jun-10 125 7 861 807 10 329 5 577 182 023 10 082 413



Number of contracts

bought

Number of contracts

sold Commitment

EUR


EURUSD S&P 500 CME CHICAGO Jun-10 78 16 792 107 (222 692) EUR DJ EURO STOXX 50 EUREX-DEUTSCHLAND Jun-10 548 15 623 480 (17 810) 32 415 587 (240 502)

Note 9 - Futures contracts (cont.)



Number of contracts

bought

Number of contracts

sold Commitment

EUR


EUR




Short / Long Currency Description Put / Call Strike price Maturity Quantity

Market valueEUR

Commitment EUR

LONG USD GOOGLE-INC-A CALL 600 04/2010 450 165 952 –LONG USD GOOGLE-INC-A CALL 580 04/2010 200 152 982 – 318 934


Short / Long Currency Description Put / Call Strike price Maturity Quantity

Market valueUSD

Commitment USD

LONG USD AETNA INC CALL 33 04/2010 192 48 384 –LONG USD CENTENE PUT 20 04/2010 157 2 355 –LONG USD COVIDIEN LTD PUT 50 04/2010 133 9 975 –LONG USD HEALTH MANAGEMENT ASSOCIATES PUT 7.5 04/2010 325 3 250 –LONG USD ECLIPSYS PUT 20 04/2010 133 5 985 –SHORT USD INTERMUNE CALL 30 04/2010 93 (136 710) 279 000SHORT USD INTERMUNE CALL 25 04/2010 13 (26 026) 32 500SHORT USD INTERMUNE CALL 42 04/2010 66 (25 080) 277 200LONG USD OWENS & MINOR INC CALL 50 04/2010 133 2 660 –LONG USD PALL CORP CALL 45 04/2010 159 1 590 –LONG USD SALIX PHARMACEUTICALS LTD PUT 25 04/2010 126 1 260 –LONG USD WNR CHILCOTT PLC A PUT 25 04/2010 133 4 655 –LONG USD ST JUDE MEDICAL INC PUT 40 04/2010 133 5 985 –LONG USD UNITEDHEALTH GROUP CALL 34 04/2010 159 4 611 –LONG USD WELLCARE HEALTH PLANS PUT 30 04/2010 159 14 946 – (82 160) 588 700

Note 11 - Contracts for Difference Swaps

• Marshall Wace TOPS UCITS Fund (Market Neutral)

The Sub-Fund Merrill Lynch Investment Solutions - Marshall Wace TOPS UCITS Fund (Market Neutral) entered into contracts for difference swaps with two counterparties (Merrill Lynch International and Deutsche Bank) with the following details:

At March 31, 2010, the Fund is engaged in the following options agreements:

Note 10 - Options



Commitment of EUR (128 819 349) for the short portfolio composed of 784 equities and 10 fundsCommitment of EUR 11 797 580 for the long portfolio composed of 117 equities and 1 fund

Market value of EUR (6 057 766) detailed as follows:-unrealised on short portfolio: EUR (2 397 512)-unrealised on long portfolio: EUR 138 482- realised result: EUR (3 798 736) corresponding to the realised on securities which is still held at the Counterparty (monthly reset)

2) Deutsche Bank

Commitment of EUR (28 746 299) for the short portfolio composed of 88 equities and 6 indexesCommitment of EUR 32 986 855 for the long portfolio composed of 133 equities and 9 indexes

Market value of EUR 697 065 detailed as follows:-unrealised on short portfolio: EUR (771 971)-unrealised on long portfolio: EUR 1 237 741- realised result: EUR 231 295 corresponding to the realised on securities which is still held at the Counterparty (monthly reset)

The total market value of the contracts for difference swaps is EUR (5 360 701).

• BlueTrend UCITS Fund

The Sub-Fund Merrill Lynch Investment Solutions - BlueTrend UCITS Fund entered into contracts for difference swaps with Merrill Lynch International with the following details:

Commitment of EUR (12 553 440) for the short portfolio composed of 9 commodities indexesCommitment of EUR 151 932 579 for the long portfolio composed of 30 commodities indexes

Market value of EUR 7 815 871 detailed as follows:-unrealised on short portfolio: EUR 1 018 791-unrealised on long portfolio: EUR 6 253 021- realised result: EUR 544 059 corresponding to the realised on securities which is still held at the Counterparty (monthly reset)

• York Event-Driven UCITS Fund

The Sub-Fund Merrill Lynch Investment Solutions - York Event-Driven UCITS Fund entered into contracts for difference swaps with two counterparties (Merrill Lynch International and Credit Suisse) with the following details:

1) Merrill Lynch International

Commitment of EUR (42 472 841) for the short portfolio composed of 14 equities and 3 fundsCommitment of EUR 31 475 653 for the long portfolio composed of 8 equities and 2 funds

1) Merrill Lynch International

Note 11 - Contracts for Difference Swap (cont.)



-unrealised on long portfolio: EUR 1 597 576- realised result: EUR (229 511) corresponding to the realised on securities which is still held at the Counterparty (monthly reset)

2) Credit Suisse

Commitment of EUR (7 803 204) for the short portfolio composed of 5 securitiesCommitment of EUR 9 001 511 for the long portfolio composed of 4 securities

Market value of EUR 217 482 detailed as follows:-unrealised on short portfolio: EUR (464 969)-unrealised on long portfolio: EUR 696 261- realised result: EUR (13 810) corresponding to the realised on securities which is still held at the Counterparty (monthly reset)

The total market value of the contracts for difference swaps is EUR (1 522 756).

• GLG European Opportunity UCITS Fund

The Sub-Fund Merrill Lynch Investment Solutions - GLG European Opportunity UCITS Fund entered into contracts for difference swaps with Credit Suisse with the following details:

Commitment of EUR (57 747 243) for the short portfolio composed of 29 equitiesCommitment of EUR 19 452 993 for the long portfolio composed of 10 equities

Market value of EUR (2 510 305) detailed as follows:-unrealised on short portfolio: EUR (3 296 143)-unrealised on long portfolio: EUR 213 678- realised result: EUR 572 160 corresponding to the realised on securities which is still held at the Counterparty (monthly reset)

• CCI Healthcare Long - Short UCITS Fund

The Sub-Fund Merrill Lynch Investment Solutions - CCI Healthcare Long - Short UCITS Fund entered into contracts for difference swaps with Merrill Lynch International with the following details:

Commitment of USD (7 149 532) for the short portfolio composed of 18 equities and 1 fund

Market value of USD (191 261) detailed as follows:-unrealised on short portfolio: USD 118 429- realised result: USD (309 690) corresponding to the realised on securities which is still held at the Counterparty (monthly reset)

Market value of EUR (1 740 238) detailed as follows:-unrealised on short portfolio: EUR (3 108 303)

Note 11 - Contracts for Difference Swap (cont.)



Note 12 - Exchange rates

1 EUR= 1.4742000 AUD 1 EUR= 4.4138500 MYR1 EUR= 2.4148500 BRL 1 EUR= 8.0315500 NOK1 EUR= 1.3727500 CAD 1 EUR= 1.9069500 NZD1 EUR= 1.4242500 CHF 1 EUR= 3.8605500 PLN1 EUR= 25.4100000 CZK 1 EUR= 39.8099000 RUB1 EUR= 7.4446500 DKK 1 EUR= 9.7382500 SEK1 EUR= 0.8920500 GBP 1 EUR= 1.8917000 SGD1 EUR= 10.5064000 HKD 1 EUR= 2.0597000 TRY1 EUR= 265.7400000 HUF 1 EUR= 42.9717500 TWD1 EUR= 4.9987000 ILS 1 EUR= 1.3531000 USD1 EUR= 126.4336500 JPY 1 EUR= 9.9371000 ZAR1 EUR= 16.6773000 MXN

Note 13 - Subsequent events

The Board of Directors approved on May 25, 2010 the launch of the Sub-Funds Merrill Lynch Investment Solutions - Theorema European Equity Long-Short UCITS Fund and Merrill Lynch Investment Solutions - Boyer Allan Asian Long-Short UCITS Fund.

The following exchange rates have been used as of March 31, 2010:




Schedule of investments at March 31, 2010 (expressed in EUR)

Quantity Description Currency CostEUR

MarketvalueEUR

Market valueas a percentage

of net assets%

Transferable securities admitted to an offi cial stock exchange or dealt in on another regulated market

Shares 6 626 AALBERTS INDUSTRIES EUR 70 639 78 253 0.04 1 159 AARON’S INC USD 23 677 28 557 0.01 4 405 ABBOTT LABORATORIES USD 175 108 171 499 0.08 22 602 ABERTIS INFRAESTRUCTURAS A EUR 333 839 322 079 0.15 11 850 ACCENTURE SHS A USD 363 101 367 384 0.17 2 325 ACE LTD USD 85 711 89 866 0.04 14 612 ACEA SPA EUR 111 976 109 809 0.05 28 386 ACERINOX SA EUR 393 379 413 726 0.19 1 222 ACORDA THERAPEUTICS USD 31 927 30 886 0.01 31 ACTELION N CHF 1 045 1 044 0.00 4 549 ACTIVISION BLIZZARD INC USD 39 719 40 545 0.02 5 502 ADC TELECOMMUNICATIONS INC USD 29 094 29 724 0.01 6 893 ADECCO CHF 280 369 289 658 0.14 713 ADP EUR 42 467 43 464 0.02 12 547 ADVANCED ENERGY INDUSTRIES USD 142 730 153 557 0.07 365 ADVANCED MICRO DEVICES INC USD 2 270 2 501 0.00 910 AECOM TECHNOLOGY USD 18 236 19 080 0.01 2 115 AEGEAN MARINE PETROLEUM NETWRK USD 44 515 44 360 0.02 6 908 AEGON NV EUR 34 572 35 024 0.02 16 143 AEON CO LTD JPY 131 053 135 468 0.06 906 AEROVIRONMENT INC USD 17 824 17 483 0.01 25 604 AES CORP USD 215 160 208 147 0.10 32 809 AFFYMETRIX INC USD 178 568 177 975 0.08 4 127 AFLAC INC USD 165 346 165 586 0.08 1 188 AGA MEDICAL HOLDINGS USD 14 194 14 267 0.01 8 955 AGILENT TECHNOLOGIES INC USD 204 998 227 598 0.11 25 218 AIR CANADA CLASS A CAD 23 099 40 599 0.02 19 146 AIR CANADA CLASS B CAD 20 833 30 963 0.01 8 185 AIR FRANCE-KLM EUR 89 176 95 805 0.04 1 647 AIRGAS USD 74 038 77 439 0.04 25 029 AIRTRAN HOLDINGS USD 91 679 93 967 0.04 11 407 AIXTRON EUR 300 416 303 711 0.14 1 639 A.J.GALLAGHER USD 29 064 29 737 0.01 7 913 AK STEEL HOLDING CORP USD 138 779 133 686 0.06 12 784 AKER KVAERNER ASA NOK 142 995 148 030 0.07 1 055 AKZO NOBEL NV-CVA EUR 44 378 44 516 0.02 217 062 ALAPIS HLDG INDUSTRIAL & COMMERCIAL SA EUR 106 850 95 507 0.04 228 ALASKA AIR GROUP INC USD 5 424 6 947 0.00 5 583 ALBEMARLE USD 163 696 175 895 0.08 9 288 ALBERTO-CULVER CO USD 183 183 179 500 0.08 20 069 ALCOA INC USD 213 975 211 206 0.10 946 ALEXCO RESOURCE CAD 2 124 2 412 0.00 4 880 ALEXION PHARMACEUTICALS INC USD 191 568 196 087 0.09 106 000 ALL NIPPON AIRWAYS JPY 244 483 223 849 0.10 852 ALLERGAN INC USD 37 571 41 130 0.02




Schedule of investments at March 31, 2010 (cont.)(expressed in EUR)


MarketvalueEUR


of net assets%

Transferable securities admitted to an offi cial stock exchange or dealt in on another regulated market (cont.)

Shares (cont.) 524 ALLIANCE DATA SYST USD 24 684 24 781 0.01 6 602 ALLIANCE OIL CIE SEK 72 944 77 794 0.04 930 ALLIANCEBERNSTEIN HOLDING USD 18 056 21 073 0.01 10 506 ALLIANT ENERGY CORP USD 256 599 258 244 0.12 9 003 ALLIANZ SE-NOM EUR 827 032 835 748 0.39 10 809 ALLIED CAPITAL USD 39 047 39 702 0.02 85 547 ALLIED GOLD AUD 18 336 18 569 0.01 731 ALLIED NEVADA GOLD CORP CAD 7 931 8 946 0.00 12 390 ALLOS THERAPEUTICS USD 67 208 68 035 0.03 1 944 ALLSTATE CORP USD 42 871 46 420 0.02 11 814 ALPHA BANK EUR 80 730 82 816 0.04 11 200 ALPS ELECTRIC CO LTD JPY 57 540 57 137 0.03 11 714 ALTRI SGPS EUR 59 305 58 336 0.03 31 055 AM EAGLE OUTFITTERS USD 425 149 425 053 0.20 297 AMEREN CORPORATION USD 5 525 5 724 0.00 7 541 AMERICAN EXPRESS CO USD 221 331 229 947 0.11 1 244 AMERICAN GREETINGS CORP -A- USD 16 209 19 160 0.01 6 978 AMERICAN INTL GRP USD 182 796 176 062 0.08 9 405 AMERICAN ITALIAN PASTA COMPANY USD 273 245 270 174 0.13 2 138 AMERICAN TOWER CORPORATION USD 67 328 67 327 0.03 278 AMERIGROUP USD 5 659 6 829 0.00 2 326 AMERIPRISE FINANCIAL USD 68 902 77 975 0.04 698 AMERISOURCEBERGEN USD 14 966 14 918 0.01 12 795 AMERISTAR CASINOS USD 177 265 172 289 0.08 2 287 AMGEN INC USD 96 014 101 006 0.05 33 312 AMICUS THERAPEUTICS USD 78 800 78 535 0.04 6 715 AMPHENOL CORPORATION-A USD 209 652 209 375 0.10 2 314 ANADARKO PETROLEUM CORP USD 121 974 124 550 0.06 3 455 ANDRITZ AG EUR 149 176 151 502 0.07 7 024 ANTENA 3 DE TELEVISION EUR 55 818 57 456 0.03 1 787 AON CORP USD 53 462 56 406 0.03 2 600 AOYAMA TRADING JPY 33 472 31 730 0.01 113 A.P. MOELLER-MAERSK B DKK 649 987 637 505 0.30 1 863 APOLLO GROUP A USD 87 248 84 386 0.04 576 APOLLO INVESTMENT USD 5 091 5 419 0.00 1 742 APPLE INC USD 284 220 302 452 0.14 8 095 ARCH COAL INC USD 142 347 136 701 0.06 7 146 ARCHER-DANIELS MIDLAND CO USD 154 674 152 627 0.07 535 ARES CAPITAL USD 5 328 5 868 0.00 15 196 ARKANSAS BEST USD 337 274 335 568 0.16 1 771 ARMSTRONG WORLD INDUSTRIES USD 44 743 47 524 0.02 862 A.SCHULMAN INC. USD 14 790 15 589 0.01 5 735 ASM INTERNATIONAL NV EUR 96 357 113 553 0.05 1 827 ASPEN TECHNOLOGY USD 13 547 13 840 0.01 19 925 ASSURANT USD 498 747 506 261 0.24






MarketvalueEUR


of net assets%


Shares (cont.) 11 889 ASSURED GUARANTY USD 191 655 193 039 0.09 1 019 ASTEC IND INC USD 24 203 21 809 0.01 4 164 ATHENAHEALTH USD 117 610 112 509 0.05 24 715 ATLANTIA SPA EUR 433 986 427 075 0.20 1 015 ATLAS AIR WORLDWIDE HLDGS USD 40 163 39 794 0.02 5 626 ATLAS ENERGY INC USD 129 572 129 393 0.06 1 997 ATMEL CORP USD 7 465 7 424 0.00 7 259 ATOS ORIGIN EUR 274 284 269 890 0.13 9 403 AT&T INC USD 183 121 179 568 0.08 3 618 AURA MINERALS INC CAD 9 843 9 198 0.00 2 382 AUTHENTEC USD 4 073 3 785 0.00 5 909 AUTODESK INC USD 130 473 128 477 0.06 7 668 AUTOLIV INC SDB SEK 302 032 294 098 0.14 9 132 AUTONATION USD 131 127 122 021 0.06 1 062 AVID TECHNOLOGY USD 10 008 10 815 0.01 11 268 AVIS BUDGET GROUP USD 97 576 95 767 0.04 369 AVISTA USD 5 536 5 648 0.00 56 395 AXA EUR 919 332 928 826 0.43 5 084 BALLANTYNE OMAHA USD 20 796 20 289 0.01 6 070 BALLY TECHNOLOGIES USD 174 808 181 862 0.08 17 646 BALTIC TRADING USD 183 291 176 708 0.08 61 496 BANCO BILBAO VIZCAYA ARGENTA EUR 638 308 622 954 0.29 10 111 BANCO ESPIRITO SANTO SA EUR 41 164 40 444 0.02 5 555 BANCORPSOUTH USD 88 995 86 049 0.04 14 145 BANK OF CYPRUS EUR 65 874 66 199 0.03 9 455 BANK OF KYOTO JPY 60 590 64 388 0.03 24 745 BANK OF YOKOHAMA LTD JPY 84 621 89 638 0.04 5 254 BARRICK GOLD CORP CAD 147 263 149 152 0.07 6 526 BASF SE EUR 294 328 299 674 0.14 343 BAXTER INTERNATIONAL INC USD 14 140 14 753 0.01 14 015 BAYER AG EUR 699 695 701 871 0.33 433 BAYTEX ENERGY TRUST CAD 8 584 10 835 0.01 757 BE AEROSPACE USD 15 270 17 035 0.01 31 790 BEBE STORES USD 215 736 209 098 0.10 2 533 BECKMAN COULTER INC USD 120 586 117 561 0.05 1 760 BECTON DICKINSON & CO USD 103 166 102 405 0.05 1 151 BED BATH & BEYOND INC USD 34 646 37 224 0.02 70 BEKAERT EUR 8 462 9 324 0.00 17 BELL-PARK CO. LTD JPY 17 601 17 547 0.01 12 980 BEMIS CO USD 281 814 275 505 0.13 857 BENEFICIAL MUTUAL BANCORP USD 5 622 6 004 0.00 7 196 BEST BUY CO INC USD 238 768 226 234 0.11 3 971 BILFINGER & BERGER AG EUR 192 399 196 148 0.09 11 816 BIOMARIN PHARMACEUTICAL INC USD 181 021 204 079 0.10 6 442 BJ’S WHOLESALE CLUB USD 174 524 176 106 0.08






MarketvalueEUR


of net assets%


Shares (cont.) 977 BLACK DIAMOND GROUP CAD 13 742 14 021 0.01 4 775 BLACKPEARL RESOURCES INC CAD 8 560 9 322 0.00 1 836 BLACKROCK INC A USD 301 825 295 475 0.14 7 623 BLACKSTONE GROUP USD 82 548 78 872 0.04 429 BLUE COAT SYSTEMS USD 9 681 9 841 0.00 8 823 BMC SOFTWARE INC USD 249 779 247 782 0.12 6 145 BNP PARIBAS EUR 334 654 349 405 0.16 287 BOEING CO USD 15 710 15 401 0.01 23 405 BOISE INC USD 101 452 106 033 0.05 3 770 BOK FINANCIAL CORP USD 128 926 146 108 0.07 2 882 BOSKALIS WESTMINSTER EUR 81 320 81 777 0.04 263 BOSTON PROPERTIES INC USD 12 455 14 663 0.01 16 977 BOSTON SCIENTIFIC CORP USD 86 919 90 588 0.04 8 494 BOUYGUES EUR 322 550 316 147 0.15 138 BP ADR USD 5 469 5 820 0.00 3 643 BPW ACQUISITION USD 29 938 33 520 0.02 16 742 BPZ RESOURCES USD 93 801 90 695 0.04 2 523 BRANCH BANKING AND TRUST CORP USD 53 036 60 395 0.03 2 437 BRE PROPERTIES INC USD 65 783 64 388 0.03 12 038 BREAKWATER RESOURCES LTD CAD 3 746 3 332 0.00 5 139 BRENNTAG AG EUR 274 730 282 645 0.13 2 211 BRIDGESTONE CORP JPY 27 909 27 910 0.01 5 627 BRIGHAM EXPLRATION USD 71 743 66 330 0.03 5 719 BRINKER INTERNATIONAL USD 87 614 81 489 0.04 3 107 BRISA (PRIVATIZ.) EUR 19 461 19 512 0.01 4 957 BRISTOL MYERS SQUIBB CO USD 93 581 97 814 0.05 60 165 BROCADE COMMUNICATIONS SYSTEMS USD 250 258 253 893 0.12 29 337 BULGARI EUR 172 905 176 902 0.08 936 BUNGE LTD USD 40 153 42 632 0.02 2 996 BUZZI UNICEM SPA EUR 28 528 27 938 0.01 2 177 BWAY HOLDING USD 32 535 32 339 0.02 2 014 BWIN INTERACTIVE EUR 85 716 87 710 0.04 3 458 CA IMMOBILIEN ANLAGEN EUR 28 454 31 018 0.01 6 308 CABLEVISION NY GRP USD 112 688 112 538 0.05 14 874 CABOT OIL & GAS USD 427 394 404 525 0.19 6 696 CAE INC CAD 41 307 48 388 0.02 11 337 CALLAWAY GOLF USD 59 757 73 899 0.03 17 704 CALPINE CORP W/I USD 157 870 155 569 0.07 4 365 CALVALLEY PETE-A CAD 10 188 10 557 0.00 14 590 CAMERON INTERNATIONAL CORP USD 461 209 462 144 0.22 1 445 CANADIAN NATURAL RESOURCES CAD 74 262 79 126 0.04 2 361 CANADIAN SOLAR USD 37 568 42 436 0.02 600 CANON INC JPY 20 653 20 548 0.01 6 650 CAP GEMINI SA EUR 238 041 242 526 0.11 54 525 CAPITALSOURCE USD 233 153 225 257 0.11






MarketvalueEUR


of net assets%


Shares (cont.) 33 786 CAPSTONE TURBINE USD 28 806 31 711 0.01 3 516 CARDTRONICS USD 31 182 32 663 0.02 2 724 CARMAX USD 45 018 50 570 0.02 6 797 CARPENTER TECHN.CP. USD 172 760 183 852 0.09 9 208 CARREFOUR SA EUR 330 531 328 587 0.15 5 119 CASH AMER INTL USD 148 632 149 359 0.07 342 CELGENE CORP USD 16 302 15 661 0.01 3 182 CELLSEED JPY 38 725 31 786 0.01 208 CELTIC EXPLORATION CAD 3 050 2 962 0.00 408 CENTENE USD 5 535 7 249 0.00 1 945 CENTERSTATE BKS FL USD 15 362 17 609 0.01 1 679 CENTURYTEL INC USD 42 393 44 001 0.02 3 498 CEPHALON USD 185 704 175 223 0.08 209 CHANGYOU.COM LIMITED ADS USD 5 087 4 757 0.00 3 870 CHARLES RIVER LABORATORIES USD 108 620 112 430 0.05 5 743 CHART INDUSTRIES USD 82 725 84 887 0.04 1 010 CHEMICAL FINANCIAL USD 15 520 17 631 0.01 563 000 CHINA CONSTRUCTION BANK H HKD 326 494 340 809 0.16 268 CHINA MOBILE ADR USD 9 552 9 531 0.00 2 397 CHINA ONE MEDICAL USD 26 721 27 830 0.01 93 CHINA PETROL.& CHEM. ADR H USD 5 431 5 652 0.00 2 755 CHINA RITAR POWER USD 9 003 8 613 0.00 2 625 CHIPOTLE MEXICAN GRILL CL A USD 198 409 218 579 0.10 4 960 CHIQUITA BRANDS INTERNATIONAL USD 54 815 57 661 0.03 341 CHUBB CORP USD 13 214 13 067 0.01 4 000 CHUO MITSUI TRUST HLDGS JPY 11 321 11 105 0.01 1 453 CHURCHILL CORP CLASS A CAD 21 467 20 629 0.01 4 060 CIENA CORP USD 46 077 45 728 0.02 2 310 CIGNA CORP USD 55 548 62 449 0.03 970 CIMENTS FRANCAIS EUR 71 931 68 860 0.03 11 086 CINEMARK HOLDINGS USD 139 421 150 260 0.07 4 975 CISCO SYSTEMS INC USD 93 844 95 706 0.04 7 491 CIT GROUP INC USD 216 035 215 689 0.10 12 878 CITIZENS REPUBLIC BANCORP USD 7 119 11 231 0.01 2 267 CITY NATIONAL CORP. USD 83 209 90 422 0.04 24 479 CLARIANT (NAMEN) CHF 185 349 230 482 0.11 2 252 CLEAN ENERGY FUEL CORP USD 34 670 37 913 0.02 14 000 CLINE MINING CAD 17 986 17 847 0.01 666 CLOUD PEAK ENERGY USD 7 904 8 190 0.00 4 686 CMS ENERGY CORP USD 52 990 53 540 0.03 12 516 COBALT INTERNATIONAL ENERGY USD 126 452 125 798 0.06 3 296 COCA-COLA CO USD 132 076 133 974 0.06 12 265 COCA-COLA ENTERPRISES INC USD 233 934 250 720 0.12 1 619 COGNIZANT TECH SO-A USD 54 130 60 998 0.03 2 083 COINSTAR USD 45 015 50 031 0.02






MarketvalueEUR


of net assets%


Shares (cont.) 3 419 COLLECTIVE BRANDS INC USD 56 522 57 459 0.03 5 915 COLUMBIA BANKING SYSTEM USD 89 718 88 784 0.04 2 065 COMMUNITY HEALTH SYSTEMS USD 60 734 56 360 0.03 1 934 COMPAGNIE DE SAINT-GOBAIN SA EUR 68 807 68 850 0.03 20 902 COMPLETE PRODUCTION SERVICES USD 181 815 178 419 0.08 32 497 CONACHER OIL AND GAS CAD 32 233 35 273 0.02 16 045 CONAGRA FOODS USD 309 245 297 279 0.14 2 985 CONCHO RESOURCES USD 103 913 111 096 0.05 4 145 CONOCOPHILLIPS USD 155 886 156 751 0.07 30 414 CONSECO USD 126 983 139 809 0.07 19 888 CONSOL ENERGY INC USD 632 807 627 021 0.29 7 318 CONSTELLATION BRANDS INC-A USD 84 688 88 913 0.04 116 CONSTRUCCION Y AUXILIAR DE FER EUR 47 495 50 576 0.02 16 730 CONTINENTAL AG EUR 614 978 628 128 0.29 4 238 CONVERGYS CORP USD 35 935 38 399 0.02 3 063 CON-WAY INC USD 75 622 79 501 0.04 5 349 COOPER TIRE & RUBBER CO USD 83 294 75 189 0.04 153 COPA HOLDINGS CLASS A USD 5 566 6 875 0.00 3 857 COPART USD 99 991 101 478 0.05 9 476 CORNING INC USD 131 981 141 534 0.07 88 443 COSMO OIL JPY 155 829 158 092 0.07 4 193 COVIDIEN PLC EUR 159 275 155 665 0.07 1 254 CRACKER BARREL USD 36 883 42 983 0.02 74 409 CREDIT AGRICOLE SA EUR 907 289 964 341 0.45 7 069 CREDIT SAISON CO LTD JPY 75 278 81 071 0.04 894 CREW ENERGY INC CAD 7 279 11 312 0.01 1 013 CUMMINS INC USD 47 509 46 379 0.02 10 822 CVB FINANCIAL USD 73 437 79 419 0.04 12 177 CVR ENERGY USD 72 757 78 744 0.04 420 CVS CAREMARK CORP USD 10 589 11 348 0.01 2 715 CYBERSOURCE CORP USD 33 868 35 395 0.02 12 850 DAIEI INC JPY 41 012 40 755 0.02 558 DAI-ICHI MUTUAL LIFE INSURANCE COMPANY JPY 639 642 617 873 0.29 21 525 DAIICHI SANKYO CO LTD JPY 308 398 298 103 0.14 25 008 DAIKYO INC JPY 36 628 35 999 0.02 9 231 DAIWA SECURITIES GROUP INC JPY 33 852 35 921 0.02 951 DANIELI C OFFICINE MECCANICHE EUR 17 994 18 906 0.01 1 909 DANISCO DKK 104 504 105 391 0.05 1 345 DANONE EUR 59 073 59 987 0.03 19 845 DANSKE BANK A/S DKK 348 449 361 465 0.17 16 150 DARLING INTERNATL USD 99 464 106 943 0.05 13 040 DAVIDE CAMPARI-MILANO SPA EUR 105 598 103 212 0.05 661 DAVIS + HENDERSON INCOME FUND CAD 7 188 8 528 0.00 3 800 DEAN FOODS USD 41 106 44 063 0.02 3 856 DELL INC USD 40 676 42 775 0.02






MarketvalueEUR


of net assets%


Shares (cont.) 8 547 DENBURY RESOURCES USD 96 425 106 561 0.05 14 780 DENSO CORP JPY 315 797 325 564 0.15 2 057 DEUTSCHE BOERSE AG EUR 109 957 112 888 0.05 14 376 DEUTSCHE LUFTHANSA NOM EUR 176 603 176 537 0.08 41 187 DEUTSCHE POST AG-NOM EUR 536 692 529 047 0.25 8 988 DEVON ENERGY CORPORATION USD 435 450 427 978 0.20 1 751 DEXCOM USD 12 397 12 591 0.01 13 402 DIALOG SEMICONDUCTOR EUR 156 992 153 051 0.07 20 804 DIAMONDROCK HOSPITALITY USD 153 983 155 442 0.07 3 894 DICK’S SPORTING GOODS USD 73 565 75 140 0.04 2 256 DIGIMARC - SHS USD 31 907 28 794 0.01 985 DIGITALGLOBE USD 16 561 20 346 0.01 2 600 DISCO CORPORATION JPY 122 401 118 244 0.06 23 241 DISCOVER FINANCIAL SERVICES USD 250 559 255 924 0.12 6 800 DNB NOR ASA NOK 56 234 57 488 0.03 1 494 DOLLAR THRIFTY AUTO USD 35 971 35 476 0.02 1 918 DOLLAR TREE STORES USD 79 422 83 944 0.04 4 358 DOLLARAMA INC CAD 68 219 69 684 0.03 12 113 DOMINION RESOURCES USD 355 792 368 018 0.17 1 582 DOMTAR CORP USD 69 268 75 306 0.04 22 000 DOWA HOLDINGS JPY 100 716 97 964 0.05 6 176 DR HORTON INC USD 59 667 57 511 0.03 2 645 DRAKA HOLDING EUR 33 549 34 544 0.02 5 405 DSV DKK 68 472 71 513 0.03 7 767 DSW INC. USD 148 554 146 546 0.07 2 951 DUN AND BRADSTREET USD 162 569 162 304 0.08 24 267 DYAX USD 65 212 61 156 0.03 18 281 E TRADE FINANCIAL USD 20 213 22 292 0.01 12 121 EADS EUR 181 105 180 542 0.08 4 500 EAST JAPAN RAILWAY CO JPY 226 341 231 347 0.11 834 ECHO GLOBAL LOGISTIC USD 7 473 7 957 0.00 33 046 EDF EUR 1 286 806 1 335 058 0.63 1 689 EDF ENERGIES NOUVELLES EUR 62 385 59 816 0.03 5 396 EDUCATION MANAGEMENT CORP USD 78 062 87 335 0.04 2 185 EFG EUROBANK ERGASIAS EUR 14 478 14 858 0.01 734 EIFFAGE EUR 29 465 28 109 0.01 6 434 ELAN CORP ADR USD 33 799 36 043 0.02 10 426 ELDORADO GOLD CORP CAD 98 064 93 646 0.04 11 631 ELECTROLUX B SEK 204 378 197 070 0.09 9 593 ELECTRONIC ARTS INC USD 125 027 132 293 0.06 23 253 ELISA OYJ EUR 343 345 355 073 0.17 19 683 ELPIDA MEMORY INC JPY 279 153 286 604 0.13 30 985 EMC CORP USD 426 381 413 103 0.19 7 193 EMCOR GROUP INC USD 132 912 130 932 0.06 2 721 ENAGAS EUR 44 172 44 148 0.02






MarketvalueEUR


of net assets%


Shares (cont.) 2 776 ENCANA USD 62 810 63 661 0.03 7 821 ENDO PHARMACEUTICALS HLDGS INC USD 139 400 136 930 0.06 1 190 ENERGYSOLUTIONS USD 5 405 5 655 0.00 1 949 ENERSYS USD 31 907 35 520 0.02 160 ENI SP ADR USD 5 422 5 549 0.00 17 575 ENTROPIC COMMUNICATIONS USD 43 239 65 983 0.03 22 066 E.ON AG EUR 599 334 603 174 0.28 1 517 EPIQ SYSTEMS INC USD 14 077 13 936 0.01 271 EQUINIX USD 19 456 19 495 0.01 13 085 EQUINOX MINERALS CAD 35 140 36 507 0.02 4 469 ESSILOR INTERNATIONAL EUR 206 874 211 250 0.10 1 657 EURAZEO EUR 86 297 85 220 0.04 17 558 EV3 USD 193 905 205 801 0.10 7 199 EXPEDIA USD 118 125 132 797 0.06 7 340 EXPEDIT INTL WASH USD 207 269 200 276 0.09 1 156 EXXON MOBIL CORP USD 56 625 57 223 0.03 15 680 FAIRBNE ENGY TRST CAD 44 660 43 519 0.02 11 161 FAMILY DOLLAR STORE USD 296 252 301 976 0.14 900 FANUC LTD JPY 71 022 70 614 0.03 400 FAST RETAILING JPY 51 910 51 410 0.02 4 234 FASTWEB EUR 59 873 58 641 0.03 7 442 FAURECIA EUR 105 472 110 737 0.05 37 458 FERROVIAL SA EUR 268 678 269 698 0.13 10 731 FIAT EUR 104 611 103 447 0.05 5 246 FIBRIA CELULOSE SA USD 86 775 84 829 0.04 1 855 FIDELITY NATIONAL INFORM SVCES USD 32 367 32 135 0.02 668 FIFTH STREET FINANCE USD 5 469 5 732 0.00 6 347 FINISH LINE INC A USD 63 832 76 552 0.04 23 650 FINMECCANICA SPA EUR 230 967 233 662 0.11 51 737 FIRST CALIFORNIA FINL GROUP USD 96 423 100 943 0.05 79 346 FIRST HORIZON FRACTIONAL SHS USD 0 0 0.00 384 FIRST HORIZON NATIONAL USD 0 3 987 0.00 4 528 FIRST MIDW BANCORP USD 43 954 45 344 0.02 9 341 FIRST NIAGARA FINANCIAL GROUP USD 94 965 98 166 0.05 20 297 FIRST POTOMAC REALTY TRUST USD 221 022 225 456 0.11 874 FIRST QUANTUM MINERALS LTD CAD 54 345 53 207 0.02 9 207 FIRSTMERIT USD 142 684 146 770 0.07 5 326 FLEXTRONICS INTL USD 29 155 30 859 0.01 5 332 FLINT ENERGY SERVICES CAD 48 782 47 581 0.02 6 385 FLIR SYSTEMS USD 133 240 133 070 0.06 132 000 FOOK WOO GROUP HOLDINGS LTD HKD 29 613 33 922 0.02 375 FOOT LOCKER USD 3 985 4 168 0.00 6 689 FOREST LABORATORIES USD 154 001 155 027 0.07 10 383 FOREST OIL USD 196 591 198 130 0.09 1 193 FORMFACTOR USD 14 502 15 659 0.01






MarketvalueEUR


of net assets%


Shares (cont.) 79 509 FORTIS EUR 214 555 209 586 0.10 10 219 FOSTER WHEELER AG USD 192 513 204 969 0.10 1 223 FPL GROUP INC USD 42 691 43 683 0.02 22 661 FRANCE TELECOM EUR 399 843 401 440 0.19 1 711 FRANKLIN ELECTRIC USD 38 039 37 922 0.02 1 177 FRAPORT EUR 46 150 45 885 0.02 14 056 FREENET EUR 145 625 128 612 0.06 537 FREEPORT MCMORAN COPPER&GLD INC-B USD 33 839 33 154 0.02 1 056 FRESENIUS AG VORZ EUR 58 953 59 030 0.03 4 382 FRESENIUS MEDICAL CARE AG & CO EUR 174 664 183 058 0.09 6 069 FTI CONSULTING USD 177 328 176 360 0.08 2 676 FUGRO NV CERTIFICAT-CVA EUR 128 464 129 492 0.06 24 000 FUJITSU LTD JPY 117 164 116 172 0.05 6 495 FUNAI ELECTRIC JPY 207 486 202 401 0.09 45 745 FURUKAWA ELECTRIC JPY 180 875 175 840 0.08 3 680 GABRIEL RESOURCES CAD 11 454 11 286 0.01 9 750 GAM HOLDING CHF 86 583 88 652 0.04 11 887 GAMESTOP A USD 185 179 192 480 0.09 1 044 GARMIN USD 27 818 29 690 0.01 15 887 GAS NATURAL SDG EUR 221 466 217 175 0.10 7 514 GASTAR EXPLORATION USD 27 351 26 988 0.01 17 268 GAYLORD ENT-A USD 323 016 373 793 0.17 1 971 GAZPROM OAO-SPON ADR REG USD 34 038 33 984 0.02 9 188 GDF SUEZ EUR 258 016 262 777 0.12 637 GECINA EUR 50 601 52 196 0.02 115 141 GEMINA EUR 68 765 73 748 0.03 5 216 GENERAC HOLDINGS USD 51 939 54 006 0.03 13 175 GENERAL ELECTRIC CO USD 171 199 177 212 0.08 591 GENERAL MILLS INC USD 31 975 30 919 0.01 5 800 GENMAB DKK 75 455 54 029 0.03 275 GENOPTIX USD 7 156 7 213 0.00 8 687 GENPACT USD 101 574 107 665 0.05 20 364 GENWORTH FINANCIAL USD 268 409 276 015 0.13 6 886 GENZYME CORP USD 268 785 263 766 0.12 100 GEORG FISCHER AG NAMEN CHF 26 991 27 172 0.01 4 746 GERRESHEIMER AG EUR 114 083 109 870 0.05 5 903 GILEAD SCIENCES INC USD 201 245 198 410 0.09 844 GIVAUDAN N CHF 515 004 548 148 0.26 33 867 GLACIER BANCORP USD 379 774 381 195 0.18 537 GLATFELTER USD 5 375 5 751 0.00 10 505 GLG PARTNERS INC USD 22 086 23 834 0.01 6 639 GLIMCHER REALTY-SBI USD 20 742 24 876 0.01 2 019 GLOBAL PAYMENTS USD 65 746 67 966 0.03 7 325 GLOBAL POWER EQUIPMENT USD 9 371 8 986 0.00 25 414 GN GREAT NORDIC DKK 106 758 112 653 0.05






MarketvalueEUR


of net assets%


Shares (cont.) 8 380 GRACO INC. USD 198 982 198 182 0.09 12 326 GRAN TIERRA ENERGY INC USD 52 151 53 746 0.03 4 985 GRANDE CACHE COAL CAD 29 347 29 995 0.01 6 628 GRANITE CONSTRUCTION INC USD 145 262 148 029 0.07 13 929 GREAT BASIN GOLD CAD 17 477 17 554 0.01 9 599 GROUPE EUROTUNNEL EUR 68 754 72 424 0.03 4 987 GRUPO EMPRESARIAL ENCE EUR 13 065 13 365 0.01 6 700 GRUPPO EDITORIALE L’ESPRESSO S EUR 14 339 14 037 0.01 16 215 GSI COMMERCE USD 305 925 331 586 0.15 47 699 GT SOLAR INTL INC USD 182 478 184 366 0.09 575 HAJIME CONSTRUCTION JPY 15 876 14 098 0.01 11 975 HALLIBURTON CO USD 271 441 266 652 0.12 911 HAMBURGER HAFEN UND EUR 24 562 25 590 0.01 4 800 HANCOCK HOLDING USD 144 473 148 317 0.07 2 727 HANESBRANDS USD 52 886 56 068 0.03 1 765 HANSEN NATURAL USD 56 563 56 585 0.03 709 HARBIN ELECTRIC USD 11 830 11 313 0.01 10 354 HARTFORD FINANCIAL SERVICES GRP USD 211 787 217 472 0.10 456 692 HASEKO CORP JPY 326 934 314 253 0.15 36 872 HAVAS EUR 122 046 137 422 0.06 362 HAWAIIAN ELECTR IND USD 5 512 6 006 0.00 9 337 HEIDELBERGCEMENT AG EUR 397 186 385 618 0.18 30 856 HELIX ENERGY SOLUTIONS GROUP USD 263 481 297 135 0.14 9 461 HELLENIC TELECOMMUNICATIONS ORGANIZATIONS OTE EUR 85 821 86 947 0.04 9 092 HELMERICH & PAYNE INC USD 257 684 255 874 0.12 38 HELVETIA HOLDING CHF 9 040 9 865 0.00 10 319 HENKEL KGAA VZ EUR 396 461 411 315 0.19 24 337 HERSHA HOSP-SBI-A USD 85 251 93 168 0.04 2 301 HEWLETT PACKARD CO USD 83 451 90 384 0.04 4 493 HHGREGG USD 86 450 83 810 0.04 5 505 HITACHI CHEMICAL CO LTD JPY 86 007 87 952 0.04 6 100 HITACHI CONSTRUCTION MACHINERY JPY 105 719 106 577 0.05 58 670 HITACHI LTD JPY 154 740 161 949 0.08 6 204 HOLLY CORP USD 129 664 127 968 0.06 6 113 HOLMEN B SEK 121 396 122 094 0.06 2 506 HOLOGIC INC USD 36 010 34 337 0.02 292 HOMEX DEVELOPMENT ADR USD 6 056 6 103 0.00 771 HONEYWELL INTERNATIONAL INC USD 23 142 25 795 0.01 9 563 HOSPITALITY PROPERTIES TRUST USD 169 819 169 266 0.08 9 665 HSBC HOLDINGS PLC HKD 73 514 72 765 0.03 17 112 HUDBAY MINERALS CAD 163 769 158 436 0.07 5 295 HUDSON HIGHLAND GROUP USD 17 161 17 218 0.01 9 617 HUDSON VALLEY HOLDING USD 144 879 171 999 0.08 2 273 HUMAN GENOME SCIENCES INC USD 52 472 50 731 0.02 11 111 HUNTINGTON BANCSHARES INC USD 45 861 44 096 0.02






MarketvalueEUR


of net assets%


Shares (cont.) 3 760 HUSKY ENERGY CAD 76 651 79 788 0.04 109 263 HUSQVARNA SEK 581 734 589 049 0.28 785 HYATT HOTELS CORP USD 19 785 22 603 0.01 3 962 IAMGOLD CAD 42 345 38 963 0.02 18 280 IBERDROLA RENOVABLES EUR 56 741 56 211 0.03 7 932 IBERDROLA SA EUR 49 703 49 773 0.02 6 502 IBERIA LINEAS AEREAS DE ESPANA EUR 15 178 16 827 0.01 5 645 IBERIABANK USD 238 419 250 356 0.12 4 100 IBIDEN CO LTD JPY 103 045 104 418 0.05 1 647 ICADE ACT EUR 121 100 135 729 0.06 818 ICON SP.ADR USD 15 131 15 960 0.01 219 IDACORP USD 5 447 5 603 0.00 2 640 IESI BFC LTD CAD 34 812 33 770 0.02 2 408 IGATE USD 17 210 17 316 0.01 902 ILIAD EUR 68 878 68 868 0.03 3 988 ILLINOIS TOOL WORKS INC USD 140 496 139 584 0.07 3 342 IMAX USD 38 682 44 433 0.02 1 249 IMERYS SA EUR 50 226 57 004 0.03 30 343 IMMOEAST IMMOBILIEN ANLAGEN EUR 106 579 123 193 0.06 2 953 IMPAX LABS USD 37 366 39 021 0.02 124 648 IMPREGILO SPA EUR 320 899 318 787 0.15 9 979 INCYTE USD 86 885 102 954 0.05 5 340 INDITEX EUR 264 363 260 619 0.12 63 624 INFINEON TECHNOLOGIES AG-NOM EUR 310 081 326 964 0.15 4 792 INFOGROUP USD 27 165 27 624 0.01 16 688 ING GROEP NV-CVA EUR 122 322 123 358 0.06 1 957 INGERSOLL RAND PLC USD 45 298 50 433 0.02 3 119 INMET MINING CAD 130 687 134 076 0.06 305 INNOPHOS HLDGS USD 5 403 6 289 0.00 13 INPEX HOLDINGS INC JPY 71 560 70 535 0.03 30 485 INTEGRATED DEVICE TECH USD 135 099 138 107 0.06 3 147 INTEL CORP USD 51 826 51 772 0.02 889 INTERCELL EUR 17 938 19 122 0.01 3 252 INTERDIGITAL INC USD 62 739 66 958 0.03 3 626 INTERMUNE USD 114 476 119 437 0.06 12 710 INTERNAP NETWORK SERVICES CORP USD 55 848 52 602 0.02 41 335 INTERNATIONAL COAL GROUP INC USD 135 771 139 606 0.07 11 656 INTESA SANPAOLO SPA EUR 32 811 32 141 0.02 3 389 INTL BUSINESS MACHINES CORP USD 318 666 321 217 0.15 25 175 INTL GAME TECHNOLOG USD 314 819 343 270 0.16 2 240 INTL SPEEDWAY-A USD 43 478 42 661 0.02 1 552 INTUIT USD 37 034 39 388 0.02 8 964 INVESCO LTD USD 138 362 145 149 0.07 626 INVESTORS BANCORP USD 5 588 6 107 0.00 3 767 IPSEN EUR 136 444 136 196 0.06






MarketvalueEUR


of net assets%


Shares (cont.) 2 254 ITRON INC USD 115 078 120 887 0.06 76 ITT EDUCATIONAL SVC USD 6 161 6 318 0.00 8 093 JA SOLAR HOLDINGS ADS USD 29 629 33 554 0.02 6 907 JABIL CIRCUIT INC USD 85 512 82 643 0.04 713 JACK HENRY & ASSOCIATES USD 11 958 12 678 0.01 3 950 JAMES RIVER COAL COMPANY USD 53 070 46 416 0.02 13 237 JAZZTEL EUR 32 868 41 035 0.02 2 102 J.B HUNT TRANSPORT SERVICES USD 55 292 55 739 0.03 6 132 JC PENNEY CO INC USD 133 071 145 789 0.07 681 JDA SOFTWARE USD 13 958 14 001 0.01 7 631 JDS UNIPHASE CORP USD 67 813 70 665 0.03 6 875 JERONIMO MARTINS SGPS SA EUR 47 240 51 563 0.02 71 431 JETBLUE AIRWAYS USD 284 408 294 572 0.14 3 052 JFE HOLDINGS JPY 88 574 90 884 0.04 165 JO-ANN STORES USD 4 694 5 119 0.00 10 980 JOHNSON CONTROLS INC USD 260 581 267 704 0.13 5 613 J.P.MORGAN CHASE & CO USD 176 804 185 634 0.09 5 700 JSR CORP JPY 89 357 88 047 0.04 5 100 JTEKT CORPORATION JPY 44 283 44 532 0.02 4 132 JULIUS BAER GRUPPE CHF 108 193 110 970 0.05 215 JUPITER TELECOMMUNICATIONS JPY 186 577 183 654 0.09 9 104 K & S AG EUR 411 263 409 043 0.19 8 981 KANSAS CITY SOUTHERN USD 227 511 240 073 0.11 40 429 KAWASAKI KISEN KAISHA LTD JPY 114 836 119 272 0.06 3 198 KB HOME USD 40 946 39 588 0.02 3 866 KBC GROUPE EUR 122 588 138 615 0.06 12 813 KBR INC USD 201 301 209 841 0.10 10 560 KEMIRA OYJ EUR 85 215 83 530 0.04 18 604 KENNAMETAL INC USD 395 542 386 627 0.18 26 190 KEY ENERGY SERVICES INC USD 206 738 184 846 0.09 25 703 KEYCORP USD 146 956 147 216 0.07 5 206 KFORCE USD 58 524 58 520 0.03 3 435 KIMBERLY-CLARK CORP USD 157 384 159 628 0.07 3 897 KINNEVIK INVESTMENT AB-B SEK 43 106 53 223 0.02 1 639 KIRBY CORP USD 46 513 46 211 0.02 4 000 KIRIN HOLDINGS CO LTD JPY 43 031 43 628 0.02 15 757 KKR FINANCIAL USD 94 726 95 606 0.04 9 966 KLOECKNER & CO AG EUR 219 930 218 106 0.10 3 237 KNIGHT CAPITAL GROUP USD 38 198 36 482 0.02 1 058 KNIGHT TRANSPORTATION INC. USD 16 167 16 490 0.01 19 318 KOMATSU LTD JPY 300 221 299 472 0.14 72 000 KONGSBERG AUTOMOTIVE HOLDING NOK 42 676 42 851 0.02 78 079 KONINKLIJKE AHOLD NV EUR 731 633 770 640 0.36 757 KONINKLIJKE DSM NV EUR 24 957 24 992 0.01 4 129 KONINKLIJKE VOPAK EUR 226 574 240 762 0.11






MarketvalueEUR


of net assets%


Shares (cont.) 312 KRATON PERFORM USD 3 405 4 118 0.00 1 239 KYOCERA CORP JPY 86 436 89 274 0.04 805 L & L ENERGY INC USD 4 965 7 306 0.00 11 721 LAMAR ADVERTISING COMPANY A USD 280 214 297 551 0.14 9 557 LATTICE SEMICONDUCTOR CORP USD 25 939 25 921 0.01 5 257 LAZARD LTD-CLASS A USD 142 346 138 700 0.06 2 786 LDK SOLAR CO ADS USD 14 480 13 507 0.01 261 LEAR CORP USD 15 655 15 306 0.01 6 038 LEGACY OIL + GAS CAD 48 886 57 752 0.03 14 089 LEGGETT & PLATT INC USD 228 442 225 324 0.11 737 LENDER PROCESSING SERVICES USD 21 077 20 561 0.01 15 281 LENNAR A USD 185 625 194 358 0.09 57 835 LEOPALACE21 JPY 219 521 221 855 0.10 723 LIBERTY GLOBAL CLASS A USD 12 870 15 581 0.01 1 822 LIBERTY MEDIA CORP USD 68 234 73 629 0.03 1 885 LIBERTY MEDIA HLDG INTER SR A USD 19 202 21 328 0.01 3 664 LIFE TECH USD 140 625 141 540 0.07 3 104 LINCOLN EDUCATIONAL SERVICES USD 52 041 58 038 0.03 2 240 LINDE AG EUR 194 324 197 882 0.09 9 320 LINN ENERGY PARTNERSHIPS UNITS USD 175 938 177 156 0.08 44 639 LIZ CLAIRBORNE INC USD 238 669 245 117 0.11 11 564 LOGITECH INTERNATIONAL NOM CHF 140 645 140 871 0.07 42 465 LOUISIANA PACIFIC CORP USD 262 146 284 021 0.13 12 608 LOWE’S COMPANIES INC USD 227 672 225 865 0.11 6 519 LTX-CREDENCE CORP USD 13 701 14 598 0.01 4 386 LUBRIZOL CORP. USD 305 116 297 305 0.14 8 977 LUNDIN MINING CAD 32 980 35 248 0.02 2 922 LUNDIN PETROLEUM SEK 16 981 18 348 0.01 49 MACERICH CO USD 1 421 1 387 0.00 687 MADISON SQUARE GARDEN INC USD 9 872 11 033 0.01 1 617 MAIDENFORM BRANDS INC USD 26 065 26 111 0.01 17 992 MAIRE TECNIMONT SPA EUR 45 815 50 737 0.02 8 000 MAKINO MILLING MACHINE JPY 39 955 38 344 0.02 4 800 MAKITA JPY 118 666 116 931 0.05 19 535 MAN AG EUR 1 136 539 1 210 779 0.58 1 052 MANITOBA TELECOM SERVICES CAD 23 964 24 446 0.01 5 048 MANPOWER INC USD 217 016 213 097 0.10 5 890 MARATHON OIL CORP USD 134 270 137 728 0.06 20 703 MARFIN INVESTMENT REG SHS EUR 36 095 35 195 0.02 580 239 MARINE HARVEST NOK 373 417 381 453 0.18 7 065 MARRIOTT INTERNATIONAL-A USD 158 384 164 577 0.08 8 972 MARVELL TECHNOLOGY USD 132 939 135 134 0.06 9 705 MASSEY ENERGY CO USD 368 931 375 046 0.18 548 MASTERCARD USD 100 544 102 869 0.05 5 399 MAXIM INTEGRATED PRODUCTS INC USD 72 907 77 368 0.04






MarketvalueEUR


of net assets%


Shares (cont.) 2 662 MB FINANCIAL USD 40 790 44 324 0.02 3 590 MC DONALD’S CORP USD 179 259 177 019 0.08 3 991 MCAFEE INC USD 120 198 118 364 0.06 2 247 MCDERMOTT INTERNATIONAL INC USD 38 413 44 704 0.02 1 507 MCKESSON CORP USD 72 799 73 195 0.03 5 057 MDS INC CAD 31 024 30 134 0.01 1 436 MEAD JOHNSON NUTRITION USD 50 827 55 218 0.03 4 709 MEADWESTVACO USD 88 376 88 918 0.04 566 MECHEL OAO ADR USD 10 560 11 888 0.01 3 015 MEDCO HEALTH SOLUTIONS INC USD 141 371 143 854 0.07 9 582 MEDICA EUR 134 812 144 688 0.07 1 317 MEDIDATA SOLUTIONS USD 15 125 14 794 0.01 1 474 MEDIFAST USD 26 266 27 375 0.01 39 023 MEDIOBANCA SPA EUR 306 944 310 428 0.14 28 636 MEDIOLANUM EUR 123 038 124 065 0.06 3 543 MEDIVATION USD 33 877 27 467 0.01 672 MEGACHIPS JPY 7 700 7 441 0.00 40 020 MEMC ELECTRONIC MAT USD 388 160 453 408 0.21 9 509 MERCATOR MINERALS LT CAD 19 397 17 664 0.01 9 264 MERCER INTERNATIONAL SBI USD 37 234 36 081 0.02 5 102 MERCK AND CO INC USD 143 198 140 832 0.07 4 499 MERCK KGAA EUR 268 884 269 940 0.13 1 568 METHANEX CORP CAD 28 847 28 099 0.01 8 309 METLIFE INC USD 259 065 266 139 0.12 17 722 METRO EUR 746 851 778 350 0.36 31 354 METROPCS COMMUNICATIONS USD 150 677 164 058 0.08 23 511 METSO OYJ EUR 578 065 562 148 0.26 27 183 MFA FINANCIAL SHS USD 147 203 147 858 0.07 12 121 MGM MIRAGE USD 107 212 107 495 0.05 70 925 MICRON TECHNOLOGY INC USD 549 288 544 609 0.25 4 013 MICROSEMI CORP USD 51 015 51 427 0.02 11 640 MICROSOFT CORP USD 250 708 251 794 0.12 951 MILLICOM INTL CELLULAR SDB SEK 57 382 63 086 0.03 296 737 MINING MACHINE HKD 136 627 116 645 0.05 17 155 MIRABELA NICKEL AUD 28 644 28 627 0.01 6 200 MITSUBISHI CORPORATION JPY 122 083 120 142 0.06 19 000 MITSUBISHI ESTATE CO LTD JPY 228 321 229 923 0.11 96 581 MITSUBISHI UFJ FINANCIAL GROUP JPY 375 299 374 305 0.17 57 412 MITSUI & CO LTD JPY 717 495 713 372 0.33 45 000 MITSUI CHEMICALS INC JPY 103 623 100 725 0.05 3 927 MITSUI FUDOSAN CO LTD JPY 49 505 49 292 0.02 64 358 MITSUI O.S.K.LINES LTD JPY 333 438 341 556 0.16 82 800 MIZUHO FINANCIAL GROUP INC JPY 122 058 121 154 0.06 431 MONTPELIER RE HOLDINGS USD 5 272 5 354 0.00 3 470 MORGAN STANLEY USD 76 508 75 114 0.04






MarketvalueEUR


of net assets%


Shares (cont.) 1 522 MORGANS HOTEL GROUP USD 6 122 7 210 0.00 7 047 MOSAIC CO USD 312 345 316 493 0.15 38 603 MOTOROLA INC USD 202 076 200 276 0.09 4 894 MOVE USD 7 360 7 559 0.00 8 365 MSC INDL DIRECT-A USD 293 161 313 556 0.15 5 655 MYRIAD GENETICS USD 101 688 100 512 0.05 4 M3 INC JPY 10 144 10 124 0.00 7 962 NARA BANCORP INC USD 52 497 51 546 0.02 3 783 NATIONAL BANK OF GREECE EUR 56 666 56 367 0.03 3 214 NATIONAL FINANCIAL PARTNERS USD 29 836 33 492 0.02 1 764 NATIONAL PENN BANCSHARES USD 7 743 8 995 0.00 4 128 NATIONAL SEMICONDUCTOR CORP USD 43 115 44 084 0.02 93 390 NATIXIS EUR 347 393 373 093 0.17 3 937 NATL FUEL GAS CO USD 152 174 147 081 0.07 11 766 NAVIGANT CONSULTING INC. USD 106 739 105 477 0.05 386 NAVIGATORS GROUP USD 10 789 11 220 0.01 6 921 NAVISTAR INTERNATIONAL USD 223 247 228 790 0.11 3 594 NBTY INC. USD 132 123 127 441 0.06 116 446 NEC CORP JPY 254 730 258 802 0.12 3 800 NEC NETWORKS & SYSTEM INTEGRAT JPY 36 375 37 239 0.02 11 830 NEKTAR THERAPEUTICS USD 129 675 132 979 0.06 9 050 NETLOGIC MICROSYSTEMS USD 199 322 196 838 0.09 9 221 NEW YORK COMMUNITY BANCORP USD 107 868 112 716 0.05 566 NEWELL RUBBERMAID INC USD 5 783 6 358 0.00 2 258 NEWMARKET CORP USD 173 763 171 866 0.08 1 648 NEWMONT MINING CORP USD 63 168 62 030 0.03 4 745 NEXANS SA EUR 300 846 299 457 0.14 5 277 NEXEN CAD 90 523 96 602 0.05 5 157 NH HOTELES EUR 16 437 16 270 0.01 12 400 NICHICON JPY 115 827 112 885 0.05 2 876 NIDEC CORP JPY 216 107 227 926 0.11 1 219 NIKE INC -B- USD 59 999 66 216 0.03 5 100 NIKON CORP JPY 84 626 82 329 0.04 2 200 NINTENDO CO LTD JPY 549 516 544 633 0.25 7 804 NIPPON CARBON CO LTD JPY 17 187 18 949 0.01 66 302 NIPPON COKE AND ENGINEERING JPY 67 411 73 416 0.03 21 404 NIPPON ELECTRIC GLASS JPY 228 265 222 955 0.10 79 000 NIPPON LIGHT METAL JPY 86 150 84 977 0.04 28 328 NIPPON OIL CORP JPY 107 515 105 530 0.05 6 000 NIPPON SHEET GLASS CO LTD JPY 13 187 13 098 0.01 4 000 NIPPON STEEL CORP JPY 11 801 11 611 0.01 5 186 NIPPON SYNTHETIC CHEMICAL INDU JPY 27 131 26 374 0.01 72 382 NIPPON YUSEN JPY 200 858 211 249 0.10 2 736 NISSIN ELECTRIC JPY 10 400 10 690 0.00 2 300 NISSIN FOOD PRODUCTS CO LTD JPY 57 832 57 212 0.03






MarketvalueEUR


of net assets%


Shares (cont.) 3 900 NITTO DENKO JPY 114 496 111 972 0.05 5 900 NOBLE ENERGY USD 313 300 318 306 0.15 161 236 NOBLE GROUP LTD SGD 267 108 260 814 0.12 6 258 NOKIA OYJ EUR 70 549 72 155 0.03 13 249 NOKIAN RENKAAT OYJ EUR 257 559 254 778 0.12 46 500 NOMURA HLDGS INC JPY 250 067 253 402 0.12 1 100 NOMURA REAL ESTATE HOLDINGS JPY 12 647 12 546 0.01 4 440 NORDEX EUR 46 950 37 518 0.02 644 NORDSTROM INC USD 17 252 19 442 0.01 10 560 NORTH AMERICAN PALLADIUM CAD 33 655 31 770 0.01 687 NORTHWEST BANCSHARES INC/MD USD 5 505 5 961 0.00 290 NORTHWESTERN USD 5 547 5 746 0.00 9 273 NOVATEL WIRELESS INC USD 44 979 46 122 0.02 13 946 NOVAVAX USD 24 852 23 808 0.01 10 186 NOVELL INC USD 43 600 45 092 0.02 1 779 NPC INCORPORATED JPY 31 966 28 141 0.01 9 339 NPS PHARMACEUTICALS USD 27 215 34 786 0.02 24 NTT DATA JPY 58 993 59 130 0.03 140 NTT DOCOMO INC JPY 161 021 157 680 0.07 34 NTT URBAN DEVELOPMENT JPY 20 790 21 244 0.01 4 402 NUTRECO HOLDING NV EUR 193 895 205 353 0.10 7 179 NUTRI/SYSTEM USD 94 237 94 493 0.04 3 326 NUVASIVE USD 108 207 111 104 0.05 5 116 NXSTAGE MEDICAL USD 35 001 43 292 0.02 23 874 NYRSTAR EUR 247 652 262 137 0.12 1 475 O REILLY AUTOMOTIVE USD 42 994 45 468 0.02 25 000 OBAYASHI JPY 80 817 82 059 0.04 149 OBIC JPY 19 926 20 011 0.01 26 615 OBRASCON HUARTE LAIN SA EUR 533 548 569 561 0.27 367 ODYSSEY HEALTHCARE USD 4 834 4 912 0.00 6 609 OESTERREICHISCHE POST AG EUR 130 404 142 688 0.07 13 583 OFFICEMAX USD 156 766 164 831 0.08 8 700 OLD NATL BANCORP USD 73 415 76 835 0.04 10 439 OMEGA HEALTHCARE INVESTORS INC USD 157 197 150 363 0.07 6 737 OMNIAMERICAN BANCORP USD 58 003 57 407 0.03 5 107 ON SEMICONDUCTOR USD 29 308 30 194 0.01 435 ONEX CORP SUB VTG CAD 7 259 9 155 0.00 7 978 ONXY PHARM USD 191 876 178 534 0.08 8 802 OPAP SA EUR 137 564 147 874 0.07 13 756 ORACLE CORP USD 261 760 261 172 0.12 9 650 ORIENT PAPER USD 58 847 59 550 0.03 7 134 ORIENTAL FINANCIAL GROUP INC. USD 60 041 71 177 0.03 279 ORION MARION GROUP USD 3 683 3 722 0.00 4 727 ORIX CORP JPY 305 584 309 940 0.14 28 200 ORKLA ASA NOK 178 907 184 511 0.09






MarketvalueEUR


of net assets%


Shares (cont.) 8 428 OSHKOSH USD 233 300 251 264 0.12 732 OSI PHARMACEUTICALS USD 30 775 32 215 0.02 3 763 OSISKO MINING CORP CAD 24 130 24 260 0.01 2 377 OUTOKUMPU OYJ A EUR 39 259 38 626 0.02 8 411 OUTOTEC SHS EUR 195 516 224 153 0.10 6 428 OWENS CORNING USD 114 981 120 855 0.06 869 OXFORD IND INC USD 14 605 13 057 0.01 9 641 PA RESOURCES SEK 25 060 24 651 0.01 11 291 PACCAR INC USD 318 795 361 652 0.17 17 834 PACIFIC METALS CO LTD JPY 106 436 109 599 0.05 3 163 PACTIV CORP USD 59 694 58 861 0.03 5 067 PACWEST BANCORP USD 76 882 85 455 0.04 1 121 PAINTED PONY PETROLEUM CLASS A CAD 5 523 5 880 0.00 5 483 PALL CORP USD 163 280 164 073 0.08 58 909 PALM USD 173 097 163 697 0.08 25 833 PALTAC CORP JPY 438 027 387 188 0.18 17 300 PANASONIC CORP JPY 196 204 195 668 0.09 9 554 PARMALAT SPA EUR 18 639 19 371 0.01 5 084 PATTERSON COMPANIES USD 112 309 116 664 0.05 7 488 PENSKE AUTO GROUP USD 83 213 79 800 0.04 23 000 PENTA-OCEAN CONSTRUCTION CO LT JPY 24 383 23 467 0.01 14 537 PEOPLES UNITED FINANCIAL USD 167 784 168 028 0.08 1 969 PERFECT WORLD ADR USD 57 307 54 496 0.03 8 580 PERKINELMER INC USD 148 569 151 550 0.07 253 PERNOD RICARD EUR 15 967 15 906 0.01 644 PERRIGO USD 23 735 27 947 0.01 296 PERRY ELLIS INTL USD 4 590 4 955 0.00 780 PETROBAKKEN ENERGY CAD 16 444 15 069 0.01 20 441 PETROHAWK ENERGY USD 320 753 306 366 0.14 7 038 PETROLEUM DEVELOPMT USD 112 765 120 516 0.06 770 PETROMINERALES LTD CAD 19 008 18 690 0.01 25 429 PETROPLUS HOLDINGS CHF 339 618 349 766 0.16 21 496 PFIZER INC USD 276 378 272 453 0.13 2 309 PG&E CORP USD 71 813 72 388 0.03 2 322 PHARMACEUTICAL DEV USD 38 471 40 756 0.02 300 PIGEON JPY 8 357 8 257 0.00 2 865 PIONEER NATURAL RES USD 109 510 119 250 0.06 344 PITNEY BOWES INC USD 5 762 6 216 0.00 960 PNC FINANCIAL SERVICES GROUP USD 40 146 42 356 0.02 1 544 POLO RALPH LAUREN CORP SHS A USD 87 570 97 038 0.05 2 919 POLYCOM USD 66 961 65 969 0.03 10 389 POLYPORE INTERNATIONAL INC USD 130 754 134 057 0.06 27 511 POPULAR USD 56 944 59 166 0.03 7 025 PORSCHE AUTOMOBIL HOLDING SE EUR 313 883 317 425 0.15 689 POTASH CORP OF SASKATCHEWAN CAD 60 884 60 872 0.03






MarketvalueEUR


of net assets%


Shares (cont.) 640 PPG INDUSTRIES INC USD 30 220 30 933 0.01 6 023 PRECISION DRILLING TRUST CAD 37 104 34 311 0.02 9 935 PROGRESS ENERGY INC USD 288 668 288 997 0.13 2 297 PROGRESS ENERGY RESOURCES CORP CAD 20 899 19 695 0.01 1 123 PROLOGIS SBI USD 10 691 10 955 0.01 11 035 PROSIEBEN SAT 1 MEDIA VZ EUR 123 913 137 938 0.06 5 130 PROSPERITY BANCSHS INC USD 157 496 155 443 0.07 1 697 PRUDENTIAL FINANCIAL USD 69 903 75 877 0.04 2 943 PSP SWISS PROPERTY N CHF 122 842 139 892 0.07 1 687 PSYCHIATRIC SOLUTIONS USD 36 178 37 154 0.02 11 271 PT TELECOM SGPS N EUR 93 081 93 301 0.04 8 251 PUBLICIS GROUPE EUR 254 605 261 392 0.12 6 555 PULTE HOMES USD 52 684 54 500 0.03 841 PUMA AG EUR 180 145 197 257 0.09 11 118 Q-CELLS SE EUR 82 791 81 828 0.04 2 642 QIAGEN NV EUR 42 378 45 046 0.02 2 661 QUALCOMM INC USD 75 701 82 577 0.04 5 136 QUANEX BUILDING PRODUCTS CORP. USD 60 104 62 743 0.03 6 477 QUANTA SERVICES USD 89 730 91 715 0.04 9 786 QUESTAR CORP USD 308 472 312 435 0.15 6 707 QUESTERRE ENERGY CORPORATION USD 20 664 19 406 0.01 10 942 QUINSTREET USD 131 924 137 553 0.06 601 RACKSPACE HOSTING USD 8 571 8 319 0.00 9 974 RADIAN GROUP USD 103 255 115 286 0.05 22 207 RADIOSHACK CORP USD 345 247 371 402 0.17 3 065 RALCORP HOLDINGS INC. USD 154 935 153 533 0.07 2 495 RANDSTAD HOLDING NV EUR 88 061 87 787 0.04 917 RAYTHEON CO USD 35 978 38 710 0.02 5 625 RCN USD 63 756 62 689 0.03 8 721 RED ELECTRICA CORPORACION, SA EUR 329 859 346 529 0.16 9 088 REDDY ICE HOLDINGS USD 29 097 31 030 0.01 11 625 REED ELSEVIER NV EUR 100 489 104 602 0.05 20 310 REGIONS FINANCIAL CORP USD 113 884 117 828 0.06 1 270 REHABCARE GROUP INC. USD 23 979 25 595 0.01 4 051 REINSURANCE GROUP OF AMERICA USD 148 572 157 238 0.07 11 610 RELIANCE STEEL & ALUMINUM CO. USD 413 537 422 408 0.20 499 RENAISSANCERE HOLDINGS LTD USD 19 099 20 932 0.01 1 382 RENASANT USD 15 542 16 526 0.01 4 642 RENAULT SA EUR 158 919 161 077 0.08 7 800 RENEWABLE ENERGY CORPORATION NOK 24 931 26 999 0.01 95 823 REPSOL YPF SA EUR 1 705 286 1 679 776 0.79 1 400 RESONA HOLDINGS JPY 13 275 13 088 0.01 10 337 RESOURCES CONNECTN USD 147 738 146 449 0.07 2 649 RHEINMETALL AG EUR 138 279 140 476 0.07 7 176 RHODIA (REGROUPE) EUR 103 181 110 080 0.05






MarketvalueEUR


of net assets%


Shares (cont.) 15 136 RHOEN KLINIKUM EUR 271 595 286 827 0.13 7 000 RICOH COMPANY LTD JPY 80 875 80 833 0.04 2 698 RITCHIE BRO AUCTION USD 42 718 42 930 0.02 169 980 RITE AID CORP USD 218 220 188 434 0.09 6 464 ROCHE HOLDING AG-BON JOUISSANCE CHF 786 136 776 088 0.36 7 862 ROCK-TENN COMPANY-A USD 267 890 264 778 0.12 1 162 ROMARCO MINERALS INC CAD 1 668 1 651 0.00 2 908 ROPER INDUSTRIES USD 125 539 124 306 0.06 2 483 ROSETTA RESOURCES USD 44 892 43 215 0.02 1 367 ROYAL BANK OF CANADA CAD 56 727 59 191 0.03 9 740 ROYAL CARIBBEAN CRUISES USD 236 578 237 471 0.11 13 994 ROYAL DUTCH SHELL PLC-A EUR 303 143 299 682 0.14 141 ROYAL DUTCH SHELL PLC-ADR USD 5 771 6 029 0.00 3 998 R.R.DONNELEY & SONS CO USD 62 982 63 083 0.03 44 739 RRI ENERGY INC USD 125 549 122 006 0.06 10 969 RSC HOLDINGS USD 64 510 64 528 0.03 4 296 RTI BIOLOGICS USD 13 787 13 747 0.01 6 986 RTI INTL METALS USD 161 293 156 593 0.07 1 779 RYANAIR HOLDINGS ADR USD 35 024 35 722 0.02 14 554 RYDER SYSTEM INC USD 389 476 416 904 0.19 17 431 SAFE BULKERS EUR 90 055 99 130 0.05 65 805 SAFILO GROUP EUR 27 174 28 165 0.01 1 606 SAFRAN EUR 30 930 30 996 0.01 5 382 SAIZERIYA JPY 71 634 71 812 0.03 4 643 SALESFORCE.COM USD 265 601 255 466 0.12 7 033 SALIX PHARMACEUTICALS LTD USD 159 926 193 614 0.09 1 176 SANDISK USD 24 818 30 097 0.01 85 417 SANDRIDGE ENERGY INC USD 476 634 486 077 0.23 17 000 SANKEN ELECTRIC JPY 48 080 48 001 0.02 1 100 SANKYO CO LTD JPY 42 195 40 239 0.02 2 288 SANMINA SCI USD 29 145 27 900 0.01 286 SAP ADR 1 SH USD 9 555 10 182 0.00 31 211 SAP AG EUR 1 071 861 1 119 226 0.52 163 390 SARAS SPA EUR 314 621 330 048 0.15 17 717 SATCON TECHNOLOGY USD 32 526 31 818 0.01 7 393 SAVIENT PHARMACEUTICALS USD 80 872 78 951 0.04 3 083 SBA COMMUNICATIONS CORP USD 79 577 82 184 0.04 5 334 SCANIA AB B SEK 53 078 62 552 0.03 575 SCBT FINANCIAL USD 15 577 15 740 0.01 8 460 SCHIBSTED NOK 142 005 158 002 0.07 968 SCHINDLER HOLDING PS CHF 63 049 63 072 0.03 608 SCHLUMBERGER LTD USD 28 277 28 515 0.01 4 489 SCHNITZER STEEL-A USD 160 025 174 272 0.08 1 623 SCHWEITZER-MAUDUIT INTERNATION USD 57 512 57 047 0.03 16 749 SCHWEIZERISCHE RUCKVERS.GESEL-NOM CHF 604 418 610 337 0.28






MarketvalueEUR


of net assets%


Shares (cont.) 2 355 SCRIPPS NETWORKS INTER USD 69 731 77 189 0.04 11 782 SEABRIGHT INSURANCE HOLDINGS USD 92 120 95 869 0.04 27 942 SEADRILL LTD NOK 482 123 481 846 0.22 401 SEARS HOLDINGS USD 29 194 32 134 0.02 56 028 SEIKO CORP JPY 101 175 109 013 0.05 4 341 SEIKO EPSON CORP JPY 50 831 49 853 0.02 1 000 SEKISUI HOUSE LTD JPY 7 505 7 387 0.00 5 678 SEMPRA ENERGY USD 203 884 209 395 0.10 2 826 SENECA FOODS-A USD 53 340 60 818 0.03 22 649 SENSATA TECHNOLOGIE USD 302 774 300 625 0.14 42 508 SES GLOBAL FDR EUR 764 711 794 687 0.37 118 001 SEVAN MARINE NOK 125 295 136 637 0.06 14 700 SEVEN & I HOLDINGS CO LTD JPY 263 653 262 646 0.12 310 SHANDA INTERACTIVE ENTERT ADR USD 10 411 9 987 0.00 16 000 SHARP CORPORATION JPY 140 321 147 935 0.07 285 SHAWCOR LTD SUB. VOT. CL A CAD 5 888 5 842 0.00 3 000 SHIMAMURA JPY 201 705 196 467 0.09 11 115 SHIN-ETSU CHEMICAL CO LTD JPY 476 775 477 361 0.22 6 142 SHIN-ETSU POLYMER JPY 28 557 34 540 0.02 34 200 SHINKO ELECTRIC INDUSTRIES CO JPY 397 143 391 140 0.18 1 800 SHOWA CORP JPY 10 121 10 592 0.00 193 000 SHOWA DENKO KK JPY 319 328 322 090 0.15 9 541 SIEMENS AG-NOM EUR 695 676 707 465 0.33 11 209 SILVER WHEATON CAD 127 268 130 238 0.06 874 SINA CORPORATION USD 25 418 24 345 0.01 1 146 SINO FOREST CORPORATION CAD 16 891 16 613 0.01 762 SL GREEN REALTY CORPOR USD 26 904 32 252 0.02 3 148 SMART BALANCE USD 14 053 15 076 0.01 2 668 SMART MODULAR TECHNOLOGIES USD 16 271 15 202 0.01 2 943 SMITH MICRO SFTWARE USD 20 205 19 227 0.01 924 SNAP ON INC USD 29 395 29 596 0.01 16 421 SNS REAAL EUR 74 243 76 210 0.04 34 997 SOCIETE GENERALE EUR 1 585 435 1 629 634 0.77 4 900 SOFTBANK CORP JPY 90 721 89 254 0.04 2 099 SOFTWARE EUR 182 423 185 069 0.09 276 SOHU.COM USD 10 001 11 137 0.01 4 215 SOLAR MILLENNIUM EUR 109 886 74 816 0.03 5 196 SOLARWINDS USD 76 222 83 176 0.04 1 806 SOLVAY EUR 128 529 137 455 0.06 12 200 SONGA OFFSHORE NOK 47 052 41 013 0.02 476 SONOVA HOLDING AG CHF 44 784 43 782 0.02 1 200 SONY CORP JPY 34 492 33 978 0.02 44 SONY FINANCIAL HOLDINGS INC JPY 105 992 106 839 0.05 996 SOUTHERN COPPER USD 23 674 23 312 0.01 5 041 SOUTHGOBI ENERGY RESOURCES CAD 57 791 58 939 0.03






MarketvalueEUR


of net assets%


Shares (cont.) 2 660 SOUTHWEST BANCORP USD 15 467 16 258 0.01 11 819 SOUTHWESTERN ENERGY USD 356 514 355 679 0.17 3 506 SOVRAN SELF STRG USD 88 027 90 325 0.04 8 932 SPIRIT AEROSYSTEMS HLDGS CL A USD 133 435 154 335 0.07 2 278 SPRINT NEXTEL CORP USD 6 540 6 397 0.00 1 856 SPX CORP USD 92 014 90 969 0.04 26 900 SQUARE ENIX JPY 424 490 434 881 0.20 1 682 ST JUDE MEDICAL INC USD 52 257 51 028 0.02 9 767 STADA ARZNEIMITTEL EUR 294 201 284 903 0.13 6 423 STANCORP FINANCIAL GROUP INC USD 219 960 226 094 0.11 8 026 STANDARD PARKING USD 92 087 97 396 0.05 1 794 STANLEY BLACK AND DECKER INC. USD 78 296 76 117 0.04 5 894 STAPLES INC USD 98 833 101 885 0.05 4 272 STARBUCKS USD 79 365 76 625 0.04 4 074 STATE STREET CORP USD 140 062 135 910 0.06 912 STATOILHYDRO ASA NOK 15 575 15 625 0.01 23 954 STEEL DYNAMICS USD 303 520 309 272 0.14 6 494 STERLING BANCSHARES INC USD 22 587 26 780 0.01 4 164 STERLING RESOURCES CAD 5 616 6 522 0.00 3 109 STEVEN MADDEN USD 95 903 112 127 0.05 66 825 STMICROELECTRONICS NV EUR 476 127 492 500 0.23 113 715 STORA ENSO OYJ-R EUR 546 729 641 353 0.30 66 754 STOREBRAND ASA NOK 374 427 390 556 0.18 7 093 STR HOLDINGS USD 88 146 123 188 0.06 5 347 STRABAG SE-BR EUR 110 451 100 631 0.05 5 599 STRATEGIC HOTELS & RESORTS USD 14 866 17 586 0.01 9 302 STRYKER CORP USD 401 741 393 364 0.18 4 675 SUCCESSFACTORS USD 68 214 65 784 0.03 800 SUMCO CORP JPY 12 726 12 579 0.01 11 315 SUMITOMO BAKELITE JPY 43 104 47 969 0.02 4 336 SUMITOMO ELECTRIC INDUSTRIES JPY 39 449 39 302 0.02 68 000 SUMITOMO METAL INDUSTRIES JPY 156 168 152 206 0.07 8 000 SUMITOMO METAL MINING CO LTD JPY 88 337 88 015 0.04 53 044 SUMITOMO MITSUI FINANCIAL GRP JPY 1 269 845 1 296 379 0.62 4 000 SUMITOMO REALTY & DEVELOPMENT JPY 56 899 56 282 0.03 3 062 SUN LIFE FINANCIAL CAD 64 322 72 872 0.03 3 811 SUNCOR ENERGY INC. (NOUV. STE) CAD 89 816 91 697 0.04 4 458 SUNPOWER CLASS A USD 62 577 62 269 0.03 458 SUPERTEX INC USD 8 617 8 662 0.00 398 SVB FINANCIAL GROUP USD 11 811 13 725 0.01 55 562 SWEDBANK A SHS A SEK 411 335 422 781 0.20 12 175 SWEDISH MATCH AB SEK 194 330 215 789 0.10 631 SXC HEALTH SOLUTIONS CORP CAD 26 225 31 611 0.01 4 650 SYMANTEC CORP USD 57 828 58 146 0.03 12 057 SYMRISE EUR 198 014 212 565 0.10






MarketvalueEUR


of net assets%


Shares (cont.) 3 148 SYNTHES INC CHF 283 567 290 874 0.14 1 391 SYSCO CORP USD 28 661 30 326 0.01 40 333 TAIHEIYO CEMENT CORP JPY 40 147 42 747 0.02 17 306 TAIWAN SEMICONDUCTOR-SP ADR USD 123 406 134 166 0.06 1 000 TAIYO YUDEN CO LTD JPY 11 784 11 682 0.01 9 259 TAKAOKA ELECTRIC MFG JPY 23 738 23 654 0.01 30 719 TAKE TWO INTERACTIVE SOFTWARE USD 209 481 223 621 0.10 12 990 TALBOTS USD 112 486 124 418 0.06 1 063 TALISMAN ENERGY CAD 13 868 13 451 0.01 16 000 TAMURA CORP JPY 41 944 40 875 0.02 7 430 TANDBERG ASA NOK 139 701 156 805 0.07 99 577 TCL MULTIMEDIA TEC HKD 70 864 76 296 0.04 35 687 TD AMERITRADE HOLDING USD 478 658 502 693 0.23 19 476 T&D HOLDINGS INC JPY 338 497 340 893 0.16 1 800 TDK CORPORATION JPY 88 599 88 552 0.04 14 609 TECHNICOLOR EUR 16 183 15 734 0.01 6 208 TECK RESOURCES LTD-B CAD 189 030 200 112 0.09 1 364 TECNICAS REUNIDAS EUR 61 296 63 494 0.03 2 299 TEKELEC USD 26 734 30 855 0.01 95 180 TELECOM ITALIA-RNC EUR 79 527 79 475 0.04 171 TELEKOM AUSTRIA AG EUR 1 644 1 770 0.00 6 021 TELENET GROUP HOLDING EUR 127 131 134 720 0.06 11 492 TELENOR NOK 114 812 115 327 0.05 2 863 TELEPERFORMANCE EUR 67 812 73 007 0.03 1 000 TELEVISION BROADCASTS LTD HKD 3 303 3 579 0.00 4 250 TELUS NON VTG CAD 110 666 112 508 0.05 6 427 TEMENOS GROUP AG-NOM CHF 128 270 140 115 0.07 1 943 TEMPUR-PEDIC INTERNATIONAL USD 44 496 43 309 0.02 25 239 TENET HEALTHCARE CORP USD 115 624 106 694 0.05 61 586 TERNA SPA EUR 194 593 197 229 0.09 1 727 TERREMARK WORLDWIDE USD 8 316 8 947 0.00 1 600 TERUMO CORP JPY 64 545 63 021 0.03 8 117 TEVA PHARMACEUTICAL IND. ADR USD 365 111 378 405 0.18 21 135 TFS FINANCIAL USD 211 538 208 523 0.10 5 414 TF1 EUR 73 979 74 361 0.03 5 447 THALES SA EUR 160 320 161 885 0.08 258 THE BUCKLE INC. USD 7 027 7 009 0.00 30 217 THE PMI GROUP INC. USD 101 816 121 038 0.06 1 477 THERMO FISHER SCIE USD 53 616 56 150 0.03 5 400 THK CO LTD JPY 88 954 87 129 0.04 5 135 THOMPSON CREEK CAD 52 029 51 322 0.02 1 891 THORATEC USD 45 542 46 747 0.02 4 746 TIBCO SOFTWARE USD 38 100 37 846 0.02 550 TIFFANY & CO USD 19 005 19 303 0.01 2 442 TIMBERLAND-A USD 37 616 38 513 0.02






MarketvalueEUR


of net assets%


Shares (cont.) 3 413 TIMKEN USD 59 701 75 696 0.04 242 197 TISCALI EUR 39 775 41 755 0.02 7 571 TITAN INTERNATIONAL USD 45 481 48 847 0.02 3 425 TITAN MACHINERY INC USD 31 395 34 652 0.02 15 330 TITANIUM METALS USD 175 327 187 957 0.09 21 914 TIVO INC USD 248 034 277 265 0.13 759 TJX COMPANIES INC USD 24 522 23 851 0.01 16 922 TNT NV EUR 354 911 359 254 0.17 405 TODA KOGYO JPY 2 428 2 210 0.00 1 772 TOGNUM AG EUR 24 326 24 666 0.01 5 400 TOHO TITANIUM JPY 93 227 98 874 0.05 8 000 TOKYO ELECTRIC POWER JPY 159 873 157 680 0.07 1 800 TOKYO ELECTRON LTD JPY 86 338 88 268 0.04 26 237 TOMTOM EUR 157 432 164 270 0.08 6 000 TOPPAN PRINTING JPY 39 655 40 053 0.02 3 TORIDOLL JPY 3 902 4 005 0.00 156 915 TOSHIBA JPY 596 333 599 444 0.28 25 394 TOSOH CORP JPY 47 376 47 802 0.02 13 260 TOTAL EUR 567 559 569 915 0.27 5 400 TOYODA GOSEI CO LTD JPY 113 911 111 943 0.05 10 100 TOYOTA BOSHOKU CP JPY 144 634 143 471 0.07 10 210 TOYOTA MOTOR CORP JPY 293 551 302 423 0.14 1 128 TRACTOR SUPPLY USD 43 114 48 393 0.02 2 788 TRANSDIGM USD 112 364 109 286 0.05 5 074 TREEHOUSE FOODS USD 164 916 164 508 0.08 11 164 TRICAN OILWELL SVC CAD 109 797 106 862 0.05 1 130 TRICO BANCSHARES USD 15 592 16 619 0.01 2 878 TRINA SOLAR ADS USD 43 219 51 919 0.02 3 354 TRIUMPH GROUP USD 173 166 173 736 0.08 4 787 TRUSTMARK USD 82 573 86 429 0.04 4 306 TRYGVESTA DKK 205 817 210 423 0.10 4 000 TS TECH JPY 56 396 55 428 0.03 4 700 TSUMURA & CO JPY 103 438 100 926 0.05 101 TUPPERWARE BRANDS CORP USD 3 271 3 599 0.00 21 619 TYCO INTERNATIONAL LTD USD 598 767 611 135 0.29 484 UAL NEW USD 7 330 6 993 0.00 16 127 UBS AG NOM CHF 194 434 194 079 0.09 5 400 ULVAC INC JPY 104 324 103 658 0.05 15 297 UMICORE EUR 383 086 395 504 0.18 12 560 UMPQUA HOLDINGS CORP USD 113 755 123 084 0.06 893 UNIBAIL RODAMCO EUR 132 664 133 950 0.06 488 774 UNICREDIT SPA EUR 1 051 677 1 069 193 0.50 90 644 UNILEVER CVA EUR 2 019 655 2 029 971 0.96 2 938 UNION PACIFIC CORP USD 155 434 159 157 0.07






MarketvalueEUR


of net assets%


Shares (cont.) 2 800 UNIPRES JPY 29 451 29 233 0.01 263 UNISOURCE ENERGY USD 5 824 6 111 0.00 8 080 UNITED NATURAL FOODS INC USD 172 978 167 978 0.08 9 574 UNITED PARCEL SERVICE-B USD 416 464 455 740 0.21 33 696 UNITED RENTALS INC USD 230 505 233 588 0.11 701 UNITED THERAPEUTICS CORP USD 30 158 28 665 0.01 1 246 UNITEDHEALTH GROUP USD 30 527 30 084 0.01 497 UNIVERSAL AMER FIN USD 5 507 5 656 0.00 843 UNIVERSAL DISPLAY USD 7 352 7 333 0.00 2 106 UNIVERSAL HEALTH SERV CL B USD 56 661 54 615 0.03 354 UNUM GROUP USD 5 885 6 480 0.00 3 867 UPM KYMMENE OYJ EUR 37 937 37 993 0.02 7 180 URANIUM ONE CAD 15 959 14 017 0.01 3 901 US BANCORP USD 70 404 74 612 0.03 30 473 U-STORE-IT TRUST USD 163 687 162 150 0.08 3 656 UTI WORLDWIDE USD 42 308 41 394 0.02 9 798 UTS ENERGY CAD 16 841 17 344 0.01 2 V TECHNOLOGY JPY 7 743 7 878 0.00 7 621 VALE SA - ADR USD 178 321 181 302 0.08 1 822 VALERO ENERGY CORPORATION (NEW USD 26 936 26 527 0.01 71 162 VANTAGE DRILLING COMPANY USD 73 976 77 836 0.04 5 530 VARIAN MEDICAL SYSTEMS INC USD 219 662 226 129 0.11 6 099 VARIAN SEMICONDUCTOR EQUIP ASS USD 137 977 149 286 0.07 11 952 VERIFONE HOLDINGS USD 181 846 178 516 0.08 4 062 VERIGY USD 31 084 33 562 0.02 4 991 VERIZON COMMUNICATIONS INC USD 112 101 114 419 0.05 4 194 VERMILLION INC USD 98 075 89 112 0.04 2 597 VIACOM INC-B USD 56 790 65 985 0.03 2 655 VIASAT USD 67 146 67 910 0.03 1 581 VIENNA INSURANCE EUR 54 381 61 817 0.03 16 283 VIRGIN MEDIA USD 204 899 207 704 0.10 980 VITAMIN SHOPPE USD 14 474 16 260 0.01 2 177 VIVUS USD 14 864 14 030 0.01 4 730 VOESTALPINE AG EUR 131 634 141 664 0.07 8 286 VOLCANO USD 144 228 147 949 0.07 5 459 VOLCOM USD 71 136 78 752 0.04 15 423 VOLKSWAGEN AG-PFD EUR 1 042 442 1 047 222 0.49 17 228 VOLKSWAGEN AG-PFD RIGHT 10 EUR 0 9 923 0.00 205 VOSSLOH AG EUR 16 177 16 207 0.01 10 499 VTECH HOLDINGS HKD 83 074 83 941 0.04 890 VUELING AIRLINES EUR 10 431 11 392 0.01 4 765 VULCAN MATERIALS CO USD 156 219 166 358 0.08 3 237 WABASH NATIONAL CORPORATION USD 17 437 16 770 0.01 3 905 WACKER CHEMIE EUR 384 581 431 112 0.20






MarketvalueEUR


of net assets%


Shares (cont.) 5 815 WALGREEN CO USD 159 802 159 396 0.07 4 419 WAL-MART STORES INC USD 175 444 181 580 0.08 5 537 WALT DISNEY COMPANY USD 124 467 142 855 0.07 460 WALTER ENERGY INC USD 31 681 31 368 0.01 1 439 WALTER INVESTMENT MANAGEMENT CORP USD 15 094 17 016 0.01 9 751 WASHINGTON FEDERAL USD 141 604 146 434 0.07 1 823 WASTE CONNECTIONS USD 46 728 45 754 0.02 35 487 WAVIN EUR 49 911 51 456 0.02 2 451 WEATHERFORD INTERNATIONAL USD 29 081 28 729 0.01 4 086 WELLCARE HEALTH PLANS USD 93 255 89 988 0.04 4 661 WELLS FARGO & CO USD 94 090 107 199 0.05 1 546 WENDEL ACT EUR 60 672 68 171 0.03 3 034 WERNER ENTERPRISES USD 51 616 51 953 0.02 3 662 WEST ENERGY LTD CAD 7 564 13 231 0.01 82 WEST JAPAN RAILWAY CO JPY 212 315 208 837 0.10 2 887 WESTAMER BANCORP USD 117 203 123 003 0.06 7 507 WESTERN COAL CORP CAD 34 094 33 249 0.02 9 102 WESTERN UNION CO USD 109 025 114 086 0.05 751 WESTJET AIRLINES CAD 6 903 7 468 0.00 650 WESTPORT INNOVATIONS CAD 7 713 7 912 0.00 10 931 WEYERHAEUSER CO USD 363 971 365 713 0.17 114 WHITE MOUNTAINS USD 29 156 29 909 0.01 4 493 WHITING PETROLEUM HOLDINGS USD 262 564 268 431 0.13 1 519 WILLBROS GROUP USD 14 172 13 483 0.01 2 243 WILLIAM DEMANT HOLDING DKK 113 002 117 503 0.05 5 049 WINTRUST FINANCIAL USD 122 406 138 847 0.06 7 841 WIRECARD EUR 54 607 54 887 0.03 18 529 WNR CHILCOTT PLC A USD 354 563 349 875 0.16 9 573 WOLTERS KLUWER CVA EUR 143 762 153 695 0.07 229 WORLD ACCEPTANCE USD 7 119 6 106 0.00 2 557 W.R. GRACE AND COMPANY USD 53 999 52 459 0.02 4 703 WRIGHT MEDICAL GRP USD 61 105 61 764 0.03 23 125 XEROX CORPORATION USD 158 199 166 631 0.08 2 818 XL CAPITAL USD 35 569 39 362 0.02 30 392 YAHOO INC USD 361 921 371 281 0.17 8 496 YAMANA GOLD CAD 63 315 62 200 0.03 4 791 YINGLI GREEN ENERGY ADR USD 44 272 45 109 0.02 12 501 YIT OYJ EUR 216 294 213 767 0.10 713 YORK WATER COMPANY USD 7 042 7 245 0.00 2 015 ZHONGPIN USD 18 493 18 913 0.01 40 500 ZHONGSHENG GROUP HOLDINGS LTD HKD 38 957 44 330 0.02 1 924 ZON MULTIMEDIA EUR 7 374 7 304 0.00 9 654 ZORAN CORP USD 77 923 76 770 0.04 22 926 ZYMOGENETICS USD 97 764 97 085 0.05






MarketvalueEUR


of net assets%


Shares (cont.) 1 724 1ST FINL HOLDINGS USD 15 368 19 188 0.01 2 323 3 M USD 145 636 143 473 0.07 1 785 3PAR USD 13 351 13 166 0.01

Total shares 148 480 789 151 509 592 70.75

Warrants 53 491 AIR CANADA WARRANT 27/10/12 CAD 8 297 26 497 0.01 4 507 JP MORGAN CHASE WARRANT 28/10/18 USD 44 339 51 196 0.03 12 345 NORTH AMERICAN PALLADIUM LTD WARRANT 30/09/11 CAD 4 676 9 802 0.00

Total Warrants 57 312 87 495 0.04

Investment funds 3 947 AMERICAN CAMPUS COMMUNITI REIT USD 78 705 80 684 0.04 7 606 SEL SEC TECH SPDR USD 124 183 129 793 0.06 1 157 SEMICONDUCTOR HOLDRS TRUST 40 USD 23 022 23 814 0.01

Total investment funds 225 910 234 291 0.11

Total investments 148 764 011 151 831 378 70.90


Economic classifi cation of investments(as a percentage of net assets at March 31, 2010) %

Geographical classifi cation of investments(as a percentage of net assets at March 31, 2010) %


United States 31.09Japan 8.97Germany 6.99France 5.14Netherlands 2.77Spain 2.37Switzerland 2.15Italy 1.85Canada 1.50Finland 1.16Sweden 0.93Norway 0.87Denmark 0.78Bermuda 0.75Belgium 0.60Ireland 0.45Austria 0.40Luxembourg 0.40Cayman Islands 0.29United Kingdom 0.27Greece 0.26China 0.20Marshall Islands 0.13Portugal 0.13Brazil 0.12Liberia 0.11Puerto Rico 0.06Cyprus 0.03Panama 0.03Australia 0.02British Virgin Islands 0.02Russia 0.02Bahamas 0.01Hong Kong 0.01Netherlands Antilles 0.01Singapore 0.01 70.90

Banking and fi nance 9.57Gas, water and multi-utilities 7.62Pharmaceuticals and biotechnology 4.99Software and computer 4.87Mining 4.49Transportation 4.34Diversifi ed industries 3.86General retailers 3.85Constructions and materials 3.48Travel and tourism 3.45Food products 3.25Chemicals 3.17Insurance 2.99Electronic and electrical equipment 2.72Telecommunications 2.20Durable household products 1.79Media 1.64Support services 1.11Aerospace and defence 0.71Industrial goods and services 0.31Clothing and accessories 0.14Tobacco 0.13Investment Funds 0.11Non cyclicals 0.11 70.90





MarketvalueEUR


of net assets%


Bonds


100 BUND 3.75% 04/01/17 EUR 103 107 0.00 1 000 CANADA GOVT 4.25% 01/06/18 CAD 672 769 0.00 50 000 JAPAN 1.50% 20/09/18 JPY 406 406 0.00 1 000 SUISSE 3% 12/05/19 CHF 698 772 0.00 100 TREASURY NOTE 3.75% 15/11/18 USD 81 74 0.00 100 UK TREASURY 4.50% 07/03/19 GBP 122 118 0.00

Total Bonds 2 082 2 246 0.00

Money market instruments 13 000 000 BON DU TRESOR FRANCAIS 01/07/10 EUR 12 966 418 12 983 648 3.50 17 000 000 BON DU TRESOR FRANCAIS 03/06/10 EUR 16 955 436 16 984 982 4.58 6 000 000 BON DU TRESOR FRANCAIS 06/05/10 EUR 5 982 451 5 996 710 1.62 16 000 000 BON DU TRESOR FRANCAIS 10/02/11 EUR 15 909 426 15 919 597 4.29 20 000 000 BON DU TRESOR FRANCAIS 10/03/11 EUR 19 885 923 19 888 362 5.36 29 000 000 BON DU TRESOR FRANCAIS 16/12/10 EUR 28 889 173 28 902 370 7.79 10 000 000 BON DU TRESOR FRANCAIS 22/04/10 EUR 9 987 261 9 997 498 2.69 15 000 000 BON DU TRESOR FRANCAIS 26/08/10 EUR 14 944 671 14 965 594 4.03 8 000 000 BON DU TRESOR FRANCAIS 29/07/10 EUR 7 977 198 7 986 971 2.15 11 000 000 DUTCH TREASURY 30/06/10 EUR 10 968 452 10 985 278 2.96 11 000 000 DUTCH TREASURY 30/07/10 EUR 10 980 851 10 986 529 2.96 17 000 000 DUTCH TREASURY 30/09/10 EUR 16 927 509 16 950 195 4.57 67 000 000 DUTCH TREASURY 31/12/10 EUR 66 729 194 66 752 555 18.00 15 000 000 FINLAND T BILL 08/06/10 EUR 14 978 288 14 989 809 4.04

Total money market instruments 254 082 251 254 290 098 68.54

Investment funds 33 013 915 JPM LIQUIDITY FUNDS C D EUR 32 975 000 33 020 195 8.90

Total investment funds 32 975 000 33 020 195 8.90





Government 68.54Investment Funds 8.90 77.44

France 36.02Germany 25.52Luxembourg 8.90Finland 4.04Netherlands 2.96 77.44







MarketvalueEUR


of net assets%


Bonds 1 022 000 BANK OF IRELAND 10% 12/02/20 EUR 911 980 1 114 324 0.39 690 000 CHEMTURA 6.875% 01/06/16 Defaulted USD 421 217 599 180 0.21 1 193 514 CITIGROUP 10.25% 01/05/16 USD 818 047 912 931 0.32 270 824 CITIGROUP 10.25% 01/05/17 USD 159 697 207 656 0.07 79 284 CITIGROUP 7% 01/05/15 USD 34 101 54 409 0.02 52 856 CITIGROUP 7% 01/05/13 USD 22 734 38 086 0.01 1 079 284 CITIGROUP 7% 01/05/14 USD 660 984 753 848 0.27 132 141 CITIGROUP 7% 01/05/16 USD 56 835 89 573 0.03 184 997 CITIGROUP 7% 01/05/17 USD 79 570 125 542 0.04 1 375 000 FIRST DATA CORP 9.875% 24/09/15 Defaulted USD 845 083 882 150 0.31 4 250 000 FORTIS BANQUE EURIB3 19/12/49 CV EUR 2 281 750 2 543 519 0.91 5 000 000 FORTIS LU EURIB3 PERP EXCH EUR 2 311 632 2 604 930 0.93 9 500 000 GENERAL MOTORS 8.375% 15/07/33 USD 1 718 875 2 632 844 0.94 3 000 000 GLITNIR BANK EURIB3 27/01/10 Defaulted EUR 655 625 705 000 0.25 2 293 000 GLITNIR BANK 4.375% 05/02/10 Defaulted EUR 490 015 573 250 0.20 1 015 000 HARRAHS OPERATING 10% 15/12/08 USD 573 635 624 483 0.22 380 000 HELLAS TE3 MULTCPN 15/10/13 REGS EUR 211 600 119 510 0.04 735 000 HELLAS TE5 EURIB3 12 15/10/12 REGS EUR 561 825 520 406 0.18 3 280 000 INTELSAT 11.50% 04/02/17 USD 2 481 360 2 481 635 0.89 3 060 000 JEFFERSON SMURFIT 8.25% 01/10/12 Defaulted USD 1 634 689 2 018 365 0.71 3 330 000 KAUPTHING BANK LIB3M TV 15/01/10 Defaulted USD 424 725 658 322 0.23 3 000 000 KAUPTHNG BANK EURIB3 25/05/10 Defaulted EUR 657 500 765 000 0.27 1 798 000 LEHMAN BROTHERS HOLDINGS 5.625%

24/01/13 Defaulted USD 271 180 305 624 0.11 12 270 000 LEHMAN BROTHERS HOLDINGS 6.875%

02/05/18 Defaulted USD 1 900 402 2 176 336 0.78 2 422 000 WASHINGTON MUTUAL BANK L3M

01/05/09 Defaulted USD 521 981 827 858 0.29

Total Bonds 20 707 042 24 334 781 8.62

Shares 44 592 AIR PRODUCTS & CHEMICALS INC USD 2 292 431 2 437 054 0.86 271 240 AIRGAS USD 12 555 352 12 753 151 4.53 70 173 ALCON USD 8 018 666 8 378 649 2.97 141 652 ALLERGAN INC USD 5 719 215 6 838 156 2.42 101 985 ALPHA NATURAL RESOURCES USD 2 926 897 3 760 278 1.33 56 351 ATLAS ENERGY INC USD 1 395 341 1 296 019 0.46 2 880 000 BANK OF COMMUNICATIONS HKD 2 278 036 2 535 597 0.90 155 646 BEST BUY CO INC USD 5 002 447 4 893 342 1.73 714 870 CB RICHARD ELLIS GROUP A USD 5 996 934 8 373 874 2.97 260 000 CERMAQ NOK 1 918 499 2 249 877 0.80 22 205 CHRISTIAN DIOR EUR 1 491 811 1 753 751 0.62 276 476 COCA-COLA ENTERPRISES INC USD 5 233 276 5 651 708 2.00




MarketvalueEUR


of net assets%


Shares (cont.)



251 300 DIRECTV USD 5 682 239 6 279 250 2.22 103 000 GDF SUEZ EUR 2 915 373 2 945 800 1.04 12 607 GOOGLE INC-A USD 5 254 677 5 282 902 1.87 349 727 GRUPO MODELO SHS C MXN 1 357 689 1 524 117 0.54 48 983 HJ HEINZ CO USD 1 585 616 1 651 108 0.58 147 374 IVANHOE MINES USD 1 421 616 1 896 224 0.67 14 470 IVANHOE MINES CAD 129 247 187 101 0.07 100 000 KABEL DEUTSCHLAND HOLDING AG EUR 2 167 339 2 093 000 0.74 50 139 KELLOGG CO USD 1 939 947 1 979 844 0.70 31 571 LIMITED BRANDS USD 600 400 574 442 0.20 50 626 MANPOWER INC USD 2 156 468 2 137 135 0.76 74 546 MARTIN MARIETTA USD 4 511 691 4 602 999 1.63 178 888 MEAD JOHNSON NUTRITION USD 5 414 030 6 878 681 2.44 57 779 MONSTER WORLDWIDE USD 702 033 709 267 0.25 126 064 NORDSTROM INC USD 3 747 974 3 805 864 1.35 297 160 OSI PHARMACEUTICALS USD 12 313 282 13 078 026 4.64 2 587 000 POLY (HONG KONG) INVESTMENTS HKD 2 116 214 2 440 148 0.86 59 440 PRIDE INTERNATIONAL INC USD 1 331 428 1 322 695 0.47 560 165 REED ELSEVIER NV EUR 4 481 927 5 040 365 1.78 48 077 RESMED USD 2 245 730 2 261 548 0.80 148 238 STANLEY BLACK AND DECKER INC. USD 6 033 336 6 289 516 2.23 382 230 SWEDBANK A SHS A SEK 2 440 862 2 908 453 1.03 186 722 SWEDISH MATCH AB SEK 2 833 360 3 309 446 1.17 115 328 SYMRISE EUR 1 861 706 2 033 233 0.72 528 800 T&D HOLDINGS INC JPY 8 401 268 9 255 720 3.28 87 838 TECK RESOURCES LTD-B CAD 1 939 136 2 831 420 1.00 784 540 TELMEX INTERNACIONAL SAB-L MXN 549 334 563 097 0.20 508 542 TNT NV EUR 9 695 679 10 796 347 3.82 701 854 UBS AG NOM CHF 7 800 983 8 446 395 2.99 1 050 000 UNICREDIT SPA EUR 2 188 590 2 296 875 0.81 175 459 USG PEOPLE NV EUR 2 544 302 2 452 917 0.87 165 682 VITERRA INC CAD 1 052 962 1 157 451 0.41 65 697 VULCAN MATERIALS CO USD 2 388 173 2 293 641 0.81 35 743 WALTER ENERGY INC USD 1 706 820 2 437 371 0.86 74 052 WASHINGTON FEDERAL USD 1 021 877 1 112 066 0.39 794 113 XEROX CORPORATION USD 4 480 551 5 722 121 2.03 421 263 YAHOO INC USD 4 649 279 5 146 314 1.82

Total shares 178 492 043 196 664 355 69.64






Banking and fi nance 12.10Pharmaceuticals and biotechnology 10.03Food products 7.06Chemicals 6.32Constructions and materials 5.41Telecommunications 5.00General retailers 4.91Media 4.74Mining 4.19Support services 3.82Durable household products 3.65Insurance 3.28Gas, water and multi-utilities 2.83Software and computer 2.34Tobacco 1.17Transportation 0.94Industrial goods and services 0.25Travel and tourism 0.22 78.26

United States 45.88Netherlands 6.48Switzerland 5.96Japan 3.28Sweden 2.20Canada 2.15France 1.66Germany 1.46Luxembourg 1.15Iceland 0.96Belgium 0.90China 0.90Bermuda 0.88Hong Kong 0.86Italy 0.81Australia 0.80Norway 0.80Mexico 0.74Ireland 0.39 78.26






MarketvalueEUR


of net assets%


Shares 111 383 ALSTOM EUR 5 385 722 5 142 554 5.79 15 647 CHESAPEAKE ENERGY CORP USD 271 629 273 369 0.31 46 186 CONTINENTAL AG EUR 1 720 281 1 734 053 1.95 70 796 DANONE EUR 3 064 304 3 157 502 3.56 6 879 DEVON ENERGY CORPORATION USD 329 471 327 554 0.37 65 245 EADS EUR 966 319 971 824 1.10 65 641 EDF EUR 2 541 411 2 651 896 2.99 167 831 E.ON AG EUR 4 477 127 4 587 660 5.17 650 601 FORTIS EUR 1 708 824 1 714 984 1.93 45 383 HEIDELBERGCEMENT AG EUR 1 853 465 1 874 318 2.11 243 588 ING GROEP NV-CVA EUR 1 777 485 1 800 603 2.03 30 110 K & S AG EUR 1 364 979 1 352 842 1.52 19 166 LAFARGE SA EUR 1 003 545 998 549 1.13 9 357 PERNOD RICARD EUR 562 832 588 275 0.66 7 824 RANGE RESOURCES CORPORATION USD 270 523 271 015 0.31 13 783 SAP AG EUR 481 989 494 258 0.56 33 041 VOLKSWAGEN AG EUR 2 147 665 2 243 484 2.53 13 930 VOLKSWAGEN AG-PFD EUR 938 168 945 847 1.07

Total shares 30 865 739 31 130 587 35.09

Investment funds 19 818 UNITED STATES NATURAL GAS FUND ETF USD 104 628 101 206 0.11

Total investment funds 104 628 101 206 0.11






Gas, water and multi-utilities 8.16Diversifi ed industries 5.79Transportation 5.55Food products 4.22Insurance 3.96Constructions and materials 3.24Chemicals 1.52Aerospace and defence 1.10Mining 0.99Software and computer 0.56Investment Funds 0.11 35.20

Germany 14.92France 14.13Netherlands 3.12Belgium 1.93United States 1.10 35.20



Quantity Description Currency CostUSD

MarketvalueUSD


of net assets%


Shares

Schedule of investments at March 31, 2010 (expressed in USD)

5 945 ABBOTT LABORATORIES USD 325 278 313 183 0.50 27 641 AETNA INC USD 903 249 970 476 1.56 5 898 ALEXION PHARMACEUTICALS INC USD 326 905 320 674 0.52 32 816 ALIGN TECHNOLOGY USD 611 917 634 661 1.02 16 493 ALLSCRIPTS-MISYS HEALTHCARE SOLUTION USD 304 968 322 603 0.52 18 876 AMAG PHARMACEUTICALS INC USD 701 684 658 961 1.06 49 974 AMERICAN MEDICAL SYSTEMS HLDGS USD 935 589 928 517 1.49 19 984 AMYLIN PHARMACEUTIC USD 447 253 449 440 0.72 43 691 BARCLAYS BANK IPATH S&P 500 VIX SHORT-TERM FUTURES EXCHANGE TRADED NOTE USD 1 060 158 917 948 1.48 4 863 BARD (CR) INC USD 408 587 421 233 0.68 39 438 BIOMARIN PHARMACEUTICAL INC USD 880 426 921 666 1.48 60 285 BROOKDALE SENIOR LIVING USD 1 213 198 1 255 737 2.02 90 501 BRUKER BIOSCIENCES USD 1 253 856 1 325 840 2.13 21 464 CELGENE CORP USD 1 341 575 1 329 909 2.14 23 073 CERNER CORP USD 1 957 232 1 962 589 3.16 22 187 CIGNA CORP USD 802 366 811 600 1.31 6 861 COMMUNITY HEALTH SYSTEMS USD 272 616 253 377 0.41 44 958 COVIDIEN PLC EUR 2 275 242 2 258 413 3.62 36 340 CVS CAREMARK CORP USD 1 272 970 1 328 590 2.14 12 886 DANAHER CORP USD 1 036 881 1 029 720 1.66 18 346 DENTSPLY INTERNATIONAL USD 622 833 639 358 1.03 102 888 EMERGENT BIOSOLUTIONS USD 1 565 200 1 727 490 2.78 60 113 EV3 USD 926 353 953 392 1.53 63 033 EXELIXIS USD 396 394 382 610 0.62 7 889 EXPRESS SCRIPTS USD 747 453 802 785 1.29 5 952 GENZYME CORP USD 348 267 308 492 0.50 13 396 GILEAD SCIENCES INC USD 642 596 609 250 0.98 21 291 GIVEN IMAGING USD 425 122 502 681 0.81 31 266 HEALTH MANAGEMENT ASSOCIATES USD 254 782 268 888 0.43 43 227 HEALTHSOUTH CORP USD 803 127 808 345 1.30 18 996 HEARTWARE INTERNATIONAL USD 762 655 844 752 1.36 5 653 HOSPIRA USD 302 641 320 242 0.52 10 496 HUMAN GENOME SCIENCES INC USD 323 416 316 979 0.51 31 961 ICON SP.ADR USD 804 065 843 770 1.36 21 053 INTERMUNE USD 796 659 938 332 1.51 650 INTUITIVE SURGICAL USD 226 587 226 285 0.36 67 170 MAKO SURGICAL USD 905 623 905 452 1.46 27 183 MASIMO CORPORATION USD 734 318 721 709 1.16 12 102 MCKESSON CORP USD 755 558 795 343 1.28 6 042 MEDNAX INC USD 345 244 351 584 0.57 20 701 MEDTRONIC INC USD 942 525 932 166 1.50 32 697 NATUS MEDICAL USD 473 368 520 209 0.84 17 888 NBTY INC. USD 862 323 858 266 1.38 182 965 NPS PHARMACEUTICALS USD 673 783 922 144 1.48




16 421 OMNICARE INC USD 448 770 464 550 0.75 6 721 PERRIGO USD 383 696 394 657 0.64 92 279 PFIZER INC USD 1 614 105 1 582 585 2.55 15 751 QUALITY SYSTEMS USD 927 277 967 741 1.56 43 618 SALIX PHARMACEUTICALS LTD USD 1 467 562 1 624 771 2.61 57 644 SAVIENT PHARMACEUTICALS USD 822 258 832 956 1.34 17 112 SIRONA DENTAL SYSTEMS USD 623 266 650 769 1.05 27 599 ST JUDE MEDICAL INC USD 1 103 189 1 132 939 1.82 11 750 STERICYCLE USD 646 469 640 375 1.03 5 412 SXC HEALTH SOLUTIONS CORP CAD 335 800 366 856 0.59 16 581 TEVA PHARMACEUTICAL IND. ADR USD 1 010 569 1 045 929 1.68 42 790 THERMO FISHER SCIE USD 2 115 991 2 201 118 3.53 9 780 THORATEC USD 330 002 327 141 0.53 5 726 UNITED THERAPEUTICS CORP USD 323 487 316 820 0.51 21 405 UNITEDHEALTH GROUP USD 707 337 699 301 1.13 10 776 VERMILLION INC USD 340 739 309 810 0.50 16 548 VOLCANO USD 398 676 399 800 0.64 30 585 WELLCARE HEALTH PLANS USD 923 150 911 433 1.47 25 080 WNR CHILCOTT PLC A USD 646 196 640 794 1.03 16 508 ZOLL MEDICAL USD 445 471 435 151 0.70 69 674 3SBIO ADS USD 861 527 862 564 1.39

Total shares 50 448 379 51 723 721 83.23


Schedule of investments at March 31, 2010 (cont.)(expressed in USD)

Quantity Description Currency CostUSD

MarketvalueUSD


of net assets%


Shares (cont.)





Pharmaceuticals and biotechnology 60.80Durable household products 5.90Software and computer 5.24Chemicals 3.84Electronic and electrical equipment 1.66Banking and fi nance 1.48Food products 1.38Insurance 1.31Gas, water and multi-utilities 1.03Telecommunications 0.59 83.23

United States 74.33Ireland 6.02United Kingdom 1.48Israel 0.81Canada 0.59 83.23


PRISMA 10/1375 MLIS AR 0310

audited annual report at march 31, 2010

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