boussard & gavaudan sicav · 2019-05-02 · boussard & gavaudan convertible boussard &...

as at 31/12/2018

Société d'Investissement à Capital Variable

Database Publishing System: CO-Reporter® by CO-Link, Belgium.

Audited annual report

Boussard & Gavaudan SICAV

(SICAV) under the Luxembourg law

RCS Luxembourg N B190584


Table of contents

Page Management and administration 3 Manager’s report 4 Audit report 8 Combined 11 Boussard & Gavaudan Absolute Return 15 Boussard & Gavaudan Convertible 22 BG Long Term Value 27 Boussard & Gavaudan Equity Quantitative Trading 32 BG AI Long Short Equity 37 BG AI US Equities SRI (launched on September 13, 2018) 42 Notes to the financial statements - Schedule of derivative instruments 46 Other notes to the financial statements 83 Additional information (unaudited) 94 No subscription can be received on the basis of these financial statements. Subscriptions may only be accepted on the basis of the current prospectus and the Key Investor Information Document (KIID) together with the most recent Annual Report or the most recent Semi-Annual Report if published thereafter.


Management and administration

Registered office 5, allée Scheffer L-2520 Luxembourg Grand Duchy of Luxembourg

Board of Directors of the Company Alain Guérard Mont Blanc Consult S.à r.l

Chairman of the Board of Directors

Emmanuel Gavaudan (until August 2, 2018) Co-Founder Boussard & Gavaudan Partners Limited and Boussard & Gavaudan Asset Management LP Director

Deborah Gewinner (since August 2, 2018) Head of Compliance Boussard & Gavaudan Gestion S.A.S.

François-Xavier Baud Head of Distribution Boussard & Gavaudan Asset Management LP

Management Company Boussard & Gavaudan Asset Management LP 1 Vine Street W1J 0AH London United Kingdom

Board of Directors of the Management Company

Boussard & Gavaudan Asset Management LP operates through its General Partner, Boussard & Gavaudan Partners Limited

Directors of the Management Company’s General Partner

Emmanuel Boussard Emmanuel Gavaudan Pascal Gillot Charles-Edouard Joseph

Investment Manager Boussard & Gavaudan Gestion S.A.S. 69 boulevard Haussmann F-75008 Paris France

Depositary Administration Agent CACEIS Bank, Luxembourg Branch 5, allée Scheffer L-2520 Luxembourg Grand Duchy of Luxembourg

CACEIS Bank, Luxembourg Branch 5, allée Scheffer L-2520 Luxembourg Grand Duchy of Luxembourg

Auditor Legal Advisor PricewaterhouseCoopers Société coopérative 2, rue Gerhard Mercator L-2182 Luxembourg Grand Duchy of Luxembourg

Elvinger Hoss Prussen Société anonyme 2, place Winston Churchill L-1340 Luxembourg Grand Duchy of Luxembourg


Manager’s report

Boussard & Gavaudan Absolute Return

BG Absolute Return (the “Fund”) was down -5.79% (Z Class EUR) in 2018, primarily impacted by equity strategies and trading. Volatility strategies

Mandatory Convertible Bond Arbitrage Mandatory convertible bonds contributed steadily and positively during the year. Convertible Bond Arbitrage Convertible bond arbitrage attribution was negative. Market activity was muted and there was a general decline in valuations. On the primary market front, new issues continued to look expensive from an arbitrage standpoint. The Investment Manager doubted that market liquidity would improve and sold down various positions. The size of the convertible book is very limited at the present time. Volatility Trading Volatility trading had a slightly negative contribution. Overall, volatilities were subdued with a few infrequent erratic moves, which were mainly driven by technical factors and market illiquidity and which were quite difficult to catch. Equity Strategies

Equity strategies were the main negative contributor to performance. BG Absolute Return was impacted by specific idiosyncratic news on individual names and also by significant market flows from de-risking which hurt more fundamental value positions. The negative performance was offset, to a reasonable extent, by risk arbitrage and special situation trades which performed very well in 2018, although they did not deliver enough to offset the other losses. The fund’s long gamma profile disappointingly did not fully compensate for the underperformance, however the Investment Manager will remain long gamma in line with the long term strategy. The new year starts with a much leaner portfolio in BG Absolute Return, and the Investment Manager is monitoring multiple specific opportunities ready to deploy capital on these and other opportunities as they arise. Credit Strategies

Capital Structure Arbitrage Capital structure arbitrage was marginally positive thanks to active trading around existing positions. The Investment Manager did not find enough significant discrepancies to build any new strong conviction positions and the overall exposure to this sub-strategy therefore remains limited. Credit Long / Short Credit long / short had a negative contribution to the year in the context of weak credit markets dominated by macroeconomic uncertainties rather than fundamentals. Given the persistence of this market context, the Investment Manager remains cautious overall and has reduced overall exposure while monitoring for relative dislocations or idiosyncratic opportunities that might emerge. Credit Special Situations Credit special situations contributed positively. The fund benefited from one specific position in the oil services sector where there was the successful implementation of a financial restructuring plan. This performance was partially offset by another situation where the restructuring proved a material disappointment for the Investment Manager.


Manager’s report (continued)

Trading

Trading contributed negatively to overall performance. Quantitative strategies were very accretive for the majority of the year, however they suffered from very adverse conditions in the last two months. The Investment Manager remains committed to these strategies that serve as diversifiers as well as return generators, however the allocation was pared back towards the end of the year given the unfavorable market dynamic. Boussard & Gavaudan Convertible

Boussard & Gavaudan Convertible turned in performance of -9.22% in 2018 (P Class EUR share). Most of our strategies contributed negatively to Boussard & Gavaudan Convertible’s performance which was mainly driven by delta strategies and to a lesser extent by credit strategies. The event driven strategy was also negative mainly due to unsuccessful taken over. European equity markets were massively down overall for the year – almost 14% for the Eurostoxx 50 – although with significant dispersion. 2018 was a year full of events and market drivers:

- The European Central Bank continued its Quantitative Easing programme to strengthen European economies.

- The earnings seasons were very deceptive. Technology sector was particularly painful. - Few announced taken over failed.

The Investment Manager was required to adapt the portfolio to this challenging environment:

- positions were constructed with positive convexity to limit portfolio downside risk. - delta was managed opportunistically, - positions were constantly monitored and diminished. - given the European convertible bond universe offered limited options to get involved in the key

sectors that drove much of the 2018. the Investment Manager decided to purchase Eurostoxx 50 and Nasdaq call options.

BG Long Term Value

For the year 2018 BG Long Term Value I Class EUR returned -14.23%, slightly underperforming the Eurostoxx 50© and Stoxx 600©. However, the strategy has significantly outperformed these indices on a 5 year, 10 year and inception-to-date basis. European and Global equity markets fell in 2018, with the Eurostoxx 50© Total Return declining -12%. The negative market returns were caused by a combination of factors which became of increasing concern during Q3 and Q4. Equity markets were weak on worries relating to global growth and economic fundamentals during a period where central bank policy became less supportive. This concern was exacerbated by deteriorating European, US and Chinese macro data and on-going global trade and tariff tensions, particularly related to the US and China. Political issues in Europe also weighed on local markets. Notably, ongoing Brexit negotiations, Italian deficit discussions, German state elections and French social unrest. During the year, from a corporate perspective, earnings growth become less robust and disappointments more frequent. Any earnings and revenue misses were often met by significant stock price declines. In 2018, cyclicals and financials underperformed driven by geopolitical risks and macro uncertainty, with the European banks sector reaching new relative lows. Defensives, Healthcare and Utilities outperformed. In Q4, many Tech related companies, along with ‘popular’ positions significantly underperformed as the market sell-off and industry deleveraging disproportionately impacted momentum, value and mid cap stocks. Within BGLTV, the biggest losers during the year were our financial positions along with technology & gaming related positions.



Since inception, a substantial amount of the Fund’s outperformance has been generated by our event driven and catalyst investment approach. Our goal is to have a full understanding of the enterprise value of the companies in which we invest. We believe it is of paramount importance to have a clear view on leverage, capital structure, debt instruments, non-core assets, real estate, cross holdings and unrecognized assets. It is with the insight gained from this analysis that we seek to identify the corporate position, asset cheapness and the possible events, catalysts and situations that will unlock opportunities and crystallise value. In 2017 and the beginning of 2018 the market experienced robust levels of corporate activity. While this activity slowed in H2 as equity markets sold-off, we continue to see pent up demand for corporate transactions in order to help drive earnings growth and optimise balance sheets. With the low cost of interest companies continue to pay on their debt, the ability to obtain financing, significant dry powder from financial sponsors, along with a willingness by governments and corporates to enact transactions, we remain positive on catalyst opportunities. During the year, the fund profited from a number of significant corporate situations. Notably its investment in CGG, a French geophysical services company, was very successful and led attribution in 2018. CGG stock gained significantly following the implementation of a financial restructuring which included a debt to equity swap and a share capital increase. Further subsequent positive idiosyncratic developments including credit rating upgrades, improved earnings growth and new governance also helped drive returns. Another example of a special situation where the fund benefited, was its investment in companies exposed to the reorganisation of the German utility landscape that took place via an asset swap and carve out of Innogy by E.On and RWE. The transactions were recognised by the market to be value accretive by achieving resulting companies that will be leaner and focused on different parts of the value chain, as opposed to the traditional vertically integrated utility business model Finally, the Fund generated significant attribution from a number of takeover situations including TDC and UBM. TDC, the Danish Telecom company, was a major contributor to Fund performance. After the company announced the acquisition of media assets, causing a period of stock weakness, a consortium of Danish pension funds and Macquarie Group agreed to buy TDC at a 25% premium to where the stock closed in the prior month. Likewise, UBM contributed large gains for the fund following a £4.3bn takeover offer by rival Informa which drove the stock up 21.5% during the month of January. The combination has created the largest B2B events and exhibitions organiser in the world. Boussard & Gavaudan Equity Quantitative Trading

Boussard & Gavaudan Equity Quantitative Trading turned in performance of -14.57% in 2018 (I Class EUR share). Boussard & Gavaudan Equity Quantitative Trading aims to profit from long exposures to equity or equity-linked securities of companies domiciled or exercising the predominant part of their economic activity in Europe. The genesis of Boussard & Gavaudan Equity Quantitative Trading ("BG EQT") is as a quantitative strategy which aims to both generate outperformance over benchmark indices and particularly benefit from a down trending market. BG EQT was developed as an internal risk sleeve to complement our core fundamental investment portfolio. The investment process in BG EQT – portfolio construction, selection and weighting of assets - is based on quantitative models developed by Boussard & Gavaudan Asset Management. In contrast to the main fund, the models rely on historic statistical and market technical indicators, rather than fundamental analysis. BG AI Long Short Equity

BG AI Long Short Equity turned in performance of -3.91% in 2018 (Z Class USD). In terms of assets collected, it reached above USD 80 million AUM as of 31st December 2018. In terms of performance, the strategy exhibited a negative return in 2018.



Digging more specifically, we have seen most of the 11 industrial sectors contributing negatively to the overall performance, with the exception of Communication Services, a sector which has only four months of existence though. Two major changes happened in the fund in the course of 2018. The first was the addition of a European portfolio in August 2018, up to a 50% gross exposure, with a very low correlation to the US portfolio. The second was the implementation of additional layers of risk management at the very end of the year. 2018 has been a testing year where volatility became far more prominent, and where stock idiosyncratic events had a much greater impact than normal. Until October 2018, the performance of the strategies was positive during earnings announcement periods. It has not proved true over the last reporting season, at a time of a sharp market correction marked driven by sudden changes in stock perception coupled with investment style shifts. Concentration per single stock in the strategy, combined with severe idiosyncratic shocks and some directionality have been damaging. In light of the above, we have been accelerating the implementation of additional layers of risk management, which are the result of tests performed and validated during 2018. The implementation of these developments was already scheduled for the start of 2019. It has taken place on 30 November 2018 in the European portfolio and on 21 December in the US portfolio. It does not affect the core Machine-Learning stock picking engine but complements the portfolio construction and already helped to increase the reactivity of the strategy in December, leading to a positive performance during the last month of the year. BG AI US Equities SRI

BG AI US Equities SRI turned in performance of -18.98% in 2018 (Z Class USD share). The fund has been launched on the 13th of September 2018. In terms of performance, the strategy went down quite substantially in October and December, in parallel to the market, though exhibiting an overall underperformance vs the S&P 500 Total Return index of -5.65% since inception. Digging more specifically, we have seen 5 of the 11 industrial sectors outperforming the index: Communication Services, Consumer Discretionary, Materials, Energy and Consumer Staples. However, the remaining 6 sectors, of which the three largest from a weighting standpoint: Technology, Financials, Health Care, Industrials, Utilities and Real Estate, exhibited underperformance. From a risk perspective, the Fund has generally been more volatile than the index, by nearly 5 percentage points; it showed a limited but negative asymmetry between upside & downside capture. The end of 2018 has been a testing year where volatility became far more prominent, and where stock idiosyncratic events had a much greater impact than normal. The usual expectation of performance in our strategies, traditionally positive during earnings announcement periods, has not proven true over the last reporting season of 2018, at a time of a sharp market correction, marked by sudden changes in stock perception and in investment styles. In light of the above, we have been accelerating the implementation of an additional layer of risk management, which is the result of tests performed and validated during 2018. The implementation of this development was initially scheduled for the start of 2019 and was implemented on 21 December. It does not affect in any way the core Machine-Learning stock picking engine but complements portfolio construction and already helped to increase the reactivity of the strategy. Note: The information stated in this report are historical and not necessarily indicative of future performance.

PWC

Audit report

To the Shareholders ofBoussard & Gavaudan SICAV

Our opinion

In our opinion, the accompanying financial statements give a true and fair view of the financial positionof Boussard & Gavaudan SICAV and of each of its sub-funds (the “Fund”) as at 31 December 2018, andof the results of their operations and changes in their net assets for the year then ended in accordancewith Luxembourg legal and regulatory requirements relating to the preparation and presentation of thefinancial statements.

What we have audited

The Fund’s financial statements comprise:

the statement of net assets as at 31 December 2018;the securities portfolio as at 31 December 2018;the statement of operations and changes in net assets for the year then ended; andthe notes to the financial statements, which include a summary of significant accounting policies.

Basis for opinion

We conducted our audit in accordance with the Law of 23 July 2016 on the audit profession (Law of23 July 2016) and with International Standards on Auditing (|SAs) as adopted for Luxembourg by the“Commission de Surveillance du Secteur Financier” (CSSF). Our responsibilities under the Law of23 July 2016 and |SAs as adopted for Luxembourg by the CSSF are further described in the“Responsibilities of the “Réviseur d’entreprises agréé” for the audit of the financial statements” sectionof our report.

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

We are independent of the Fund in accordance with the International Ethics Standards Board forAccountants’ Code of Ethics for Professional Accountants (IESBA Code) as adopted for Luxembourgby the CSSF together with the ethical requirements that are relevant to our audit of the financialstatements. We have fulfilled our other ethical responsibilities under those ethical requirements.

Other information

The Board of Directors of the Fund is responsible for the other information. The other informationcomprises the information stated in the annual report but does not include the financial statements andour audit report thereon.

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

PricewaterhouseCoopers, Société coopérative, 2 rue Gerhard Mercator, B.P. 1443, L—1014 LuxembourgT : +352 494848 1, F : +352 494848 2900, www.pwc.lu

Cabinet de révision agréé. Expert—comptable (autorisation gouvernementale n°10028256)R.C.S. Luxembourg B 65 477 — TVA LU25482518

pwc

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

Responsibilities of the Board of Directors of the Fund and those charged with governance forthe financial statements

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

In preparing the financial statements, the Board of Directors of the Fund is responsible for assessingthe Fund’s ability to continue as a going concern, disclosing, as applicable, matters related to goingconcern and using the going concern basis of accounting unless the Board of Directors of the Fundeither intends to liquidate the Fund or to cease operations, or has no realistic alternative but to do so.

Those charged with governance are responsible for overseeing the Fund’s financial reporting process.

Responsibilities of the “Réviseur d’entreprises agréé” for the audit of the financial statements

The objectives of our audit are to obtain reasonable assurance about whether the financial statementsas a whole are free from material misstatement, whether due to fraud or error, and to issue an auditreport that includes our opinion. Reasonable assurance is a high level of assurance, but is not aguarantee that an audit conducted in accordance with the Law of 23 July 2016 and with |SAs as adoptedfor Luxembourg by the CSSF will always detect a material misstatement when it exists. Misstatementscan arise from fraud or error and are considered material if, individually or in the aggregate, they couldreasonably be expected to influence the economic decisions of users taken on the basis of thesefinancial statements.

As part of an audit in accordance with the Law of 23 July 2016 and with |SAs as adopted for Luxembourgby the CSSF, we exercise professional judgment and maintain professional scepticism throughout theaudit. We also:

o identify and assess the risks of material misstatement of the financial statements, whether due tofraud or error, design and perform audit procedures responsive to those risks, and obtain auditevidence that is sufficient and appropriate to provide a basis for our opinion. The risk of not detectinga material misstatement resulting from fraud is higher than for one resulting from error, as fraud mayinvolve collusion, forgery, intentional omissions, misrepresentations, or the override of internalcontrol;

o obtain an understanding of internal control relevant to the audit in order to design audit proceduresthat are appropriate in the circumstances, but not for the purpose of expressing an opinion on theeffectiveness of the Fund's internal control;

o evaluate the appropriateness of accounting policies used and the reasonableness of accountingestimates and related disclosures made by the Board of Directors of the Fund;

Epwc

o conclude on the appropriateness of the Board of Directors of the Fund's use of the going concernbasis of accounting and, based on the audit evidence obtained, whether a material uncertainty existsrelated to events or conditions that may cast significant doubt on the Fund’s ability to continue as agoing concern. If we conclude that a material uncertainty exists, we are required to draw attention inour audit report to the related disclosures in the financial statements or, if such disclosures areinadequate, to modify our opinion. Our conclusions are based on the audit evidence obtained up tothe date of our audit report. However, future events or conditions may cause the Fund to cease tocontinue as a going concern;

0 evaluate the overall presentation, structure and content of the financial statements, including thedisclosures, and whether the financial statements represent the underlying transactions and eventsin a manner that achieves fair presentation.

We communicate with those charged with governance regarding, among other matters, the plannedscope and timing of the audit and significant audit findings, including any significant deficiencies ininternal control that we identify during our audit.

Pricewaterhousecoopers, Société coopérative Luxembourg, 21 March 2019Represented by

Frédéric Botteman

10

11Page

Boussard & Gavaudan SICAVCombined

The accompanying notes form an integral part of these financial statements

12Page

1,055,159,531.86Assets750,399,960.15Securities portfolio at market value 2Note837,584,563.26Cost price-87,184,603.11Unrealised loss on the securities portfolio21,533,236.89Options purchased at market value 2Note23,162,672.44Options purchased at cost

205,481,503.40Cash at banks and liquidities38,473,372.00Other liquid assets 10Note

316,284.40Interest receivable32,279.04Formation expenses, net 2Note

1,915,326.94Brokers receivable22,558.07Dividends receivable

497,377.14Unrealised net appreciation on forward foreign exchange contracts 2Note5,172,115.73Unrealised net appreciation on financial futures 2Note

31,315,518.10Receivable on swaps 2Note

48,328,876.01Liabilities4,819,688.68Options sold at market value 2Note5,994,449.18Options sold at cost

21,443.70Bank overdrafts36,980,000.00Brokers payable 10Note

121,565.45Accrued performance fees 5Note53,369.52Legal fees payable12,348.83Unrealised net depreciation on forward foreign exchange contracts 2Note2,680.00Unrealised net depreciation on financial futures 2Note

318,978.05Unrealised net depreciation on swaps 2Note3,040,780.11Accrued management fees 5Note2,350,238.89Payable on swaps 2Note

11,590.77Interest payable969.96Formation expenses payable, net 2Note

595,222.05Other liabilities

1,006,830,655.85Net asset value


Financial Statements as at 31/12/2018

Expressed in EUR

Statement of net assets as at 31/12/2018

Combined


13Page

92,154,637.47Income449,394.19Net dividends 2Note

18,984,878.30Net interest on bonds 2Note156,498.18Bank interest on cash account

59,065,858.48Dividends received on CFDs7,429.48Securities lending income 2, 9Note

13,076,105.40Interest received on swaps414,473.44Other income

70,471,134.44Expenses43,434.75Amortisation of formation expenses 2Note

15,328,887.88Management fees 5Note275,937.87Depositary fees 6Note654,449.24Taxe d'abonnement 4Note575,346.29Administration fees 6Note

1,221,141.54Research fees 14Note121,572.93Performance fees 5Note11,710.71Domiciliation fees54,995.88Audit fees

2,722,284.87Bank interest on cash account140,419.66Legal fees

3,356,899.39Transaction fees 2Note172,779.39Distribution fees

31,375,165.15Dividends paid on CFDs153,860.72Banking charges101,741.31Transfer agent fees

13,978,170.38Interest paid on swaps182,336.48Other expenses 11Note

21,683,503.03Net income from investments

Net realised profit / loss on:30,669,936.54- sales of investment securities

-92,292,123.07- options-35,101,883.26- forward foreign exchange contracts63,606,978.51- financial futures20,902,102.70- swaps

655,270.55- foreign exchange

10,123,785.00Net realised profit

Movement in net unrealised appreciation / depreciation on:-116,575,999.50- investment securities

35,435,915.11- options-5,666,687.67- forward foreign exchange contracts-5,371,691.24- financial futures

528,249.16- swaps

-81,526,429.14Decrease in net assets as a result of operations

311,488,100.00Subscription capitalisation shares-857,645,480.98Redemption capitalisation shares

-627,683,810.12Decrease in net assets

EUR

Statement of operations and changes in net assets from 01/01/2018 to 31/12/2018


Expressed in


14Page

2,926,272.91Reevaluation of opening consolidated NAV

1,631,588,193.06Net assets at the beginning of the year

1,006,830,655.85Net assets at the end of the year

EUR

Statement of operations and changes in net assets from 01/01/2018 to 31/12/2018


Expressed in

15Page

Boussard & Gavaudan SICAVBoussard & Gavaudan Absolute Return


16Page

900,622,902.09Assets616,472,643.81Securities portfolio at market value 2Note698,871,691.01Cost price-82,399,047.20Unrealised loss on the securities portfolio21,383,754.49Options purchased at market value 2Note22,840,146.35Options purchased at cost

190,335,987.72Cash at banks and liquidities34,110,382.74Other liquid assets 10Note


1,915,326.94Brokers receivable21,689.73Dividends receivable35,305.43Unrealised net appreciation on forward foreign exchange contracts 2Note

4,980,107.16Unrealised net appreciation on financial futures 2Note31,279,343.32Receivable on swaps 2Note

45,484,868.04Liabilities4,819,688.68Options sold at market value 2Note5,994,449.18Options sold at cost

36,980,000.00Brokers payable 10Note110,537.61Accrued performance fees 5Note51,062.58Legal fees payable

318,978.05Unrealised net depreciation on swaps 2Note2,719,713.58Accrued management fees 5Note

11,099.76Interest payable473,787.78Other liabilities

855,138,034.05Net asset value


Expressed in EUR


Boussard & Gavaudan SICAV Boussard & Gavaudan Absolute Return

Changes in number of shares outstanding from 01/01/2018 to 31/12/2018

Shares issued Shares redeemedShares

outstanding as at31/12/2018

Sharesoutstanding as at

01/01/2018

Z Class EUR 856,084.60 36,446.47 345,629.76 546,901.31

Z Class USD 219,882.30 10,673.77 143,170.99 87,385.08

Z Class GBP 84,834.07 371.60 19,724.58 65,481.09

S Class EUR 933.98 0.00 0.00 933.98

R Class EUR 47,930.49 1,914.83 27,185.40 22,659.92

R Class USD 8,274.74 0.00 6,154.82 2,119.92


17Page





01/01/2018


R Class GBP 500.00 0.00 0.00 500.00

I Class EUR 141,266.86 84,549.02 134,535.60 91,280.28

I Class USD 1,507.00 0.00 0.00 1,507.00

I Class GBP 5,492.13 50,982.87 56,475.00 0.00

R1 Class EUR 1,917.54 0.00 1,917.54 0.00

R1 Class USD 19,164.69 0.00 19,164.69 0.00

P Class EUR 0.00 14,105.34 5,235.09 8,870.25

P Class USD 0.00 153.94 153.94 0.00


18Page

Key figures


Total Net Assets 855,138,034.05 1,490,740,646.48 587,404,965.48

31/12/201631/12/201731/12/2018Year ending as at:

EURZ Class EUR

1,048.88546,901.31 856,084.60

1,113.38401,132.621,084.98

Number of sharesNet asset value per share EUR

Z Class USD

1,090.4887,385.08 219,882.30

1,126.0051,693.761,077.77

Number of sharesNet asset value per share USD

Z Class GBP

1,049.1565,481.09 84,834.07

1,102.0738,893.131,066.39

Number of sharesNet asset value per share GBP

S Class EUR

1,083.46933.98 933.98

1,144.4064.50

1,106.71Number of sharesNet asset value per share EUR

R Class EUR

973.5922,659.92 47,930.49

1,043.8544,050.701,027.22


R Class USD

982.922,119.92 8,274.74

1,024.535,802.75991.30


R Class GBP

930.61500.00 500.00

987.670.000.00


I Class EUR

944.7591,280.28 141,266.86

1,004.640.000.00


I Class USD

954.651,507.00 1,507.00

987.200.000.00


I Class GBP

0.000.00 5,492.13

981.800.000.00


R1 Class EUR

0.000.00 1,917.54

1,000.650.000.00


R1 Class USD

0.000.00 19,164.69

1,015.510.000.00


P Class EUR

980.158,870.25 0.00

0.000.000.00


P Class USD

0.000.00 0.00

0.000.000.00



19Page

ALIBABA GR ADR1 119.91 0.00USD

Transferable securities admitted to an official stock exchange listing and/or dealt inon another regulated market 403,659,607.98 47.20

Shares 8,026,604.08 0.94

United States of America 6,630,799.25 0.78

APPLE INC13,339 1,840,610.47 0.22USDBROADCOM - REGISTERED SHS3,198 711,356.72 0.08USDMICRON TECHNOLOGY22,270 618,140.31 0.07USDWALT DISNEY CO36,078 3,460,571.84 0.41USD

CONSTELLIUM -A-228,271 1,395,804.83 0.16USDThe Netherlands 1,395,804.83 0.16

MANDATORY EXCHANGEABL 5.75 16-19 03/06Q2,535,432 342,733,006.25 40.07USD

Bonds 342,733,006.25 40.07


AMERICA MOVIL CV 0.00 15-20 28/05U17,300,000 17,061,433.00 2.00EUR

Convertible bonds 42,897,617.60 5.02

Mexico 17,061,433.00 2.00

PT JERSEY LTD CV 0.50 14-19 19/11A12,800,000 12,470,656.00 1.46EURJersey Island 12,470,656.00 1.46

AB INDUSTRIVARDEN CV 0.00 14-19 15/05U73,000,000 7,864,696.60 0.92SEKSweden 7,864,696.60 0.92

AURELIUS SE CV 1.00 15-20 01/12A4,200,000 4,017,300.00 0.47EURGermany 4,017,300.00 0.47

BAYER CAP CORP CV 5.625 16-19 22/11A900,000 679,212.00 0.08EURThe Netherlands 1,483,532.00 0.17

VASTNED RETAIL CV 1.875 14-19 10/04S800,000 804,320.00 0.09EUR

GROUPAMA SA FL.R 14-XX 28/05A4,000,000 4,184,640.00 0.49EUR

Floating rate bonds 10,002,380.05 1.17

France 4,184,640.00 0.49

BANCO DE SABADELL SA FL.R 17-XX 18/02Q1,000,000 926,710.00 0.11EURSpain 3,004,148.00 0.35

BANKIA SUB FL.R 17-XX 18/07Q2,200,000 2,077,438.00 0.24EUR

STANDARD LIFE ABERDEEN FL.R 17-48 30/06S2,800,000 2,222,242.05 0.26USDUnited Kingdom 2,222,242.05 0.26

BANCA MONTE DEI PASCHI FL.R 18-28 18/01A1,000,000 591,350.00 0.07EURItaly 591,350.00 0.07

DIRECT LENDING 0.00 16-19 31/12U631,750 653,220.05 0.08USD

Other transferable securities 14,798,711.06 1.73

Bonds 653,220.05 0.08

Luxembourg 653,220.05 0.08

COBALT ENERGY CV DEFAULT 14-24 15/05S44,000,000 121,436.38 0.02USD

Convertible bonds 152,140.79 0.02

United States of America 152,140.79 0.02

COBALT ENERGY CV (DEFAULT) 12-19 01/12S16,175,000 30,704.41 0.00USD

DIRECT LINE INSUR SUB FL.R 17-XX 07/12S1,400,000 1,267,245.28 0.15GBP

Floating rate bonds 1,267,245.28 0.15

United Kingdom 1,267,245.28 0.15

TOTAL SA XX.XX.XX RIGHT19,000,000 12,160,000.00 1.42EUR

Warrants, Rights 12,726,104.94 1.48

France 12,160,000.00 1.42

BNP PARIBAS ISSUANCE 07.06.19 WAR13,500 322,162.45 0.04USDThe Netherlands 322,162.45 0.04

SG ISSUER 21.12.19WAR10,000 100,336.79 0.01USDLuxembourg 208,576.09 0.02

SG ISSUER 11.05.20 WAR6,626 77,192.90 0.01EURSG ISSUER 16.04.20 WAR5,880 31,046.40 0.00EUR

DEUTSCHE BK 21.03.19WAR45 35,366.40 0.00EURUnited Kingdom 35,366.40 0.00

Securities portfolio as at 31/12/2018EURExpressed in


Quantity /Nominal Denomination Quotation

currency% of net

assetsMarket value


20Page

AMUNDI MONEY MKT FD SH TERM EUR -IV-20,000 20,056,632.74 2.35EUR

Shares/Units of UCITS/UCIS 20,056,632.74 2.35

Shares/Units in investment funds 20,056,632.74 2.35

Luxembourg 20,056,632.74 2.35

ARCELORMITTAL FRANCE ZCP 21011912,500,000 12,500,861.17 1.46EUR

Money market instruments 177,957,692.03 20.81

Bonds 177,957,692.03 20.81

France 160,401,871.82 18.76

ATOS SE ZCP 1001195,000,000 5,002,237.11 0.58EUREIFFAGE ZCP 1803195,000,000 5,002,688.95 0.59EUREIFFAGE ZCP 2103195,000,000 5,002,688.95 0.59EUREUROFINS SCIENTIFIC ZCP 1803195,000,000 5,001,312.84 0.58EURFAURECIA ZCP 10011910,000,000 9,999,872.00 1.17EURFRANCE TREASURY BILL ZCP 13021925,000,000 25,042,655.99 2.94EURILIAD SA ZCP 1502195,000,000 5,001,594.95 0.58EURLAGARDERE SCA ZCP 0603195,000,000 5,001,591.48 0.58EURLAGARDERE SCA ZCP 2101195,000,000 5,001,306.60 0.58EURMICHELIN ET CIE ZCP 23011910,000,000 11,322,900.41 1.32GBPREPUBLIQUE FRANCAISE ZCP 16011925,000,000 25,019,459.58 2.94EURSTEF ZCP 07021910,000,000 10,001,661.39 1.17EURSTEF ZCP 25011910,000,000 10,001,661.39 1.17EURUBISOFT ZCP 09011915,000,000 15,005,560.39 1.75EURVALLOUREC ZCP 2801192,000,000 1,998,069.60 0.23EURVALLOUREC ZCP 2901194,500,000 4,495,749.02 0.53EUR

THYSSENKRUPP AG ZCP 09011915,000,000 14,997,308.82 1.75EURGermany 14,997,308.82 1.75

ARCELORMITTAL ZCP 0301192,500,000 2,500,383.39 0.29EURLuxembourg 2,558,511.39 0.30

SG ISSUER 0.00 18-20 14/04U24,220 58,128.00 0.01EUR

Total securities portfolio 616,472,643.81 72.09




currency% of net

assetsMarket value


21Page

Statement of operations and changes in net assets from 01/01/2018 to 31/12/2018Expressed in EUR


88,830,758.75Income323,953.23Net dividends 2Note

17,594,016.03Net interest on bonds 2Note58,443,115.51Dividends received on CFDs12,055,935.08Interest received on swaps

413,738.90Other income


13,940,812.37Management fees 5Note242,699.37Depositary fees 6Note589,189.14Taxe d'abonnement 4Note444,917.76Administration fees 6Note

1,199,628.66Research fees 14Note110,538.46Performance fees 5Note

4,200.00Domiciliation fees14,122.44Audit fees

2,705,935.86Bank interest on cash account114,721.03Legal fees

3,277,529.68Transaction fees 2Note69,944.42Distribution fees

30,928,320.30Dividends paid on CFDs134,102.92Banking charges69,156.32Transfer agent fees


22,615,551.52Net income from investmentsNet realised profit / loss on:

28,099,933.23- sales of investment securities-92,201,174.44- options-31,064,024.61- forward foreign exchange contracts61,614,949.47- financial futures29,657,739.95- swaps

491,821.73- foreign exchange

19,214,796.85Net realised profitMovement in net unrealised appreciation / depreciation on:

-104,833,488.62- investment securities35,575,010.61- options-5,579,478.05- forward foreign exchange contracts-5,555,779.81- financial futures

528,249.16- swaps

-60,650,689.86Decrease in net assets as a result of operations208,800,662.17Subscription capitalisation shares

-783,752,584.74Redemption capitalisation shares


1,490,740,646.48Net assets at the beginning of the year

855,138,034.05Net assets at the end of the year

22Page

Boussard & Gavaudan SICAVBoussard & Gavaudan Convertible


23Page

10,999,848.45Assets9,089,498.38Securities portfolio at market value 2Note9,754,344.79Cost price-664,846.41Unrealised loss on the securities portfolio149,482.40Options purchased at market value 2Note322,526.09Options purchased at cost

1,518,333.87Cash at banks and liquidities165,870.27Other liquid assets 10Note57,341.73Interest receivable19,321.80Receivable on swaps 2Note

55,316.04Liabilities2,306.94Legal fees payable

12,348.83Unrealised net depreciation on forward foreign exchange contracts 2Note2,680.00Unrealised net depreciation on financial futures 2Note

18,434.56Accrued management fees 5Note19,545.71Other liabilities



Expressed in EUR


Boussard & Gavaudan SICAV Boussard & Gavaudan Convertible





01/01/2018

I Class USD 2,700.00 0.00 0.00 2,700.00

P Class EUR 524.00 1,543.26 242.26 1,825.00

S Class EUR 6,041.49 0.00 0.00 6,041.49

S Class GBP 20.59 0.00 13.05 7.54

R Class EUR 361.00 264.00 373.00 252.00


24Page

Key figures


Total Net Assets 10,944,532.41 10,504,458.36 9,908,302.76

31/12/201631/12/201731/12/2018Year ending as at:

EURI Class USD

1,095.892,700.00 2,700.00

1,173.902,700.001,073.98


P Class EUR

1,019.661,825.00 524.00

1,123.24405.00


S Class EUR

1,031.176,041.49 6,041.49

1,132.446,041.501,053.32


S Class GBP

1,054.587.54 20.59

1,146.1430.00

1,057.15Number of sharesNet asset value per share GBP

R Class EUR

1,018.22252.00 361.00

1,130.58314.00



25Page

BAYER CAP CORP CV 5.625 16-19 22/11A400,000 301,872.00 2.76EUR


Convertible bonds 7,969,639.56 72.82

The Netherlands 2,904,657.39 26.55

BESI CV 0.50 17-24 06/12S500,000 392,100.00 3.58EURBRENNTAG FINANCE CV 1.875 15-22 02/12S500,000 403,350.39 3.69USDSONAE INV CV 1.625 14-19 11/06S500,000 500,130.00 4.57EURVASTNED RETAIL CV 1.875 14-19 10/04S800,000 804,320.00 7.36EURWERELDHAVE NV CV 1.00 14-19 22/05S500,000 502,885.00 4.59EUR

CARREFOUR SA CV 0.00 17-23 14/06U400,000 295,103.88 2.70USDFrance 1,726,206.22 15.77

CREDIT AGRICOLE CV 0.00 16-19 03/10U3,000 216,891.00 1.98EURFIGEAC AERO CV 1.125 17-22 18/10S20,000 467,095.04 4.26EURUBISOFT CV 0.00 16-21 27/09U4,500 346,878.00 3.17EURWENDEL CV 0.00 16-19 31/07U7,700 400,238.30 3.66EUR

BASF CV 0.925 17-23 09/03S500,000 395,879.81 3.62USDGermany 887,524.81 8.11

RAG STIFTUNG CV 0.00 17-23 16/03U500,000 491,645.00 4.49EUR

BEKAERT CV REGS 0.00 16-21 09/06U500,000 437,920.00 4.00EURBelgium 846,436.86 7.73

COFINIMMO SA CV 0.187 16-21 15/09A2,850 408,516.86 3.73EUR

AB INDUSTRIVARDEN CV 0.00 14-19 15/05U4,000,000 430,942.28 3.94SEKSweden 430,942.28 3.94

AMERICA MOVIL CV 0.00 15-20 28/05U400,000 394,484.00 3.60EURMexico 394,484.00 3.60

PT JERSEY LTD CV 0.50 14-19 19/11A400,000 389,708.00 3.56EURJersey Island 389,708.00 3.56

INDRA SISTEMAS REGS CV 1.25 16-21 07/10S400,000 389,680.00 3.56EURSpain 389,680.00 3.56

GROUPAMA SA FL.R 14-XX 28/05A500,000 523,080.00 4.78EUR

Floating rate bonds 523,080.00 4.78

France 523,080.00 4.78

RAG RCV 0.0 18-24 02/10U100,000 95,363.00 0.87EUR

Other transferable securities 95,363.00 0.87

Convertible bonds 95,363.00 0.87

Luxembourg 95,363.00 0.87

AMUNDI MONEY MKT FD SH TERM EUR -IV-500 501,415.82 4.58EUR

Shares/Units of UCITS/UCIS 501,415.82 4.58

Shares/Units in investment funds 501,415.82 4.58

Luxembourg 501,415.82 4.58





currency% of net

assetsMarket value


26Page



143,928.34Income123,847.94Net interest on bonds 2Note

662.65Dividends received on CFDs7,429.48Securities lending income 2, 9Note

11,988.27Interest received on swaps

231,770.35Expenses2,558.06Amortisation of formation expenses 2Note

73,702.73Management fees 5Note2,711.84Depositary fees 6Note4,587.89Taxe d'abonnement 4Note

36,008.03Administration fees 6Note2,802.47Research fees 14Note1,986.82Domiciliation fees

11,000.00Audit fees10,176.46Bank interest on cash account5,907.32Legal fees5,678.40Transaction fees 2Note

22,920.04Distribution fees9,078.13Dividends paid on CFDs

330.00Banking charges4,865.30Transfer agent fees

16,307.07Interest paid on swaps21,149.79Other expenses 11Note

-87,842.01Net loss from investmentsNet realised profit / loss on:

-255,657.33- sales of investment securities-90,948.62- options184,349.96- forward foreign exchange contracts31,299.93- financial futures

300,459.39- swaps-57,523.23- foreign exchange

24,138.09Net realised profitMovement in net unrealised appreciation / depreciation on:

-797,202.10- investment securities-139,095.50- options

14,600.53- forward foreign exchange contracts-7,920.00- financial futures

-905,478.98Decrease in net assets as a result of operations2,017,308.44Subscription capitalisation shares-671,755.41Redemption capitalisation shares

440,074.05Increase in net assets

10,504,458.36Net assets at the beginning of the year


27Page

Boussard & Gavaudan SICAVBG Long Term Value


28Page

44,339,882.14Assets44,336,140.71Securities portfolio at market value 2Note47,887,912.20Cost price-3,551,771.49Unrealised loss on the securities portfolio

804.02Cash at banks and liquidities1,315.67Formation expenses, net 2Note1,621.74Unrealised net appreciation on forward foreign exchange contracts 2Note

187,593.65Liabilities21,443.70Bank overdrafts5,450.54Accrued performance fees 5Note

124,338.41Accrued management fees 5Note36,361.00Other liabilities



Expressed in EUR


Boussard & Gavaudan SICAV BG Long Term Value





01/01/2018

I Class EUR 28,911.43 22,759.05 27,521.75 24,148.73

I Class GBP 600.00 0.00 0.00 600.00

R Class EUR 10,002.49 8,307.46 16,418.14 1,891.81

R Class USD 0.00 2,116.25 2,116.25 0.00

S Class EUR 8,026.74 55.42 1,237.00 6,845.16

P Class EUR 0.00 10,002.09 906.84 9,095.25


29Page

Key figures


Total Net Assets 44,152,288.49 59,622,450.25 27,582,298.13

31/12/201631/12/201731/12/2018Year ending as at:

EURI Class EUR

1,111.6224,148.73 28,911.43

1,295.1412,997.921,139.44


I Class GBP

865.42600.00 600.00

998.330.000.00


R Class EUR

1,022.851,891.81 10,002.49

1,203.81950.00


R Class USD

0.000.00 0.00

0.000.000.00


S Class EUR

1,016.706,845.16 8,026.74

1,178.8511,408.591,028.62


S Class GBP

0.000.00 0.00

0.0015.00

1,121.35Number of sharesNet asset value per share GBP

P Class EUR

861.459,095.25 0.00

0.000.000.00



30Page

BG LONG TERM VALUE -F- CAP42,349 44,336,140.71 100.42EUR

Shares/Units of UCITS/UCIS 44,336,140.71 100.42

Shares/Units in investment funds 44,336,140.71 100.42

France 44,336,140.71 100.42





currency% of net

assetsMarket value


31Page




701,167.19Management fees 5Note7,096.10Depositary fees 6Note

14,421.18Taxe d'abonnement 4Note26,296.21Administration fees 6Note18,710.41Research fees 14Note5,457.16Performance fees 5Note1,800.00Domiciliation fees7,122.44Audit fees1,117.19Bank interest on cash account8,065.34Legal fees5,409.00Transaction fees 2Note

34,243.90Distribution fees12,814.01Transfer agent fees17,896.06Other expenses 11Note


2,756,253.18- sales of investment securities39,487.09- forward foreign exchange contracts-2,007.71- foreign exchange

1,925,874.21Net realised profitMovement in net unrealised appreciation / depreciation on:

-9,045,297.39- investment securities6,360.52- forward foreign exchange contracts






32Page

Boussard & Gavaudan SICAVBoussard & Gavaudan Equity Quantitative Trading


33Page

15,637,259.87Assets13,626,459.65Securities portfolio at market value 2Note14,195,397.66Cost price

-568,938.01Unrealised loss on the securities portfolio1,989,908.99Cash at banks and liquidities

301.90Formation expenses, net 2Note868.34Dividends receivable

8,373.89Unrealised net appreciation on forward foreign exchange contracts 2Note11,347.10Receivable on swaps 2Note

342,538.99Liabilities29,490.85Accrued management fees 5Note

289,977.48Payable on swaps 2Note491.01Interest payable




Expressed in EUR


Boussard & Gavaudan SICAV Boussard & Gavaudan Equity Quantitative Trading





01/01/2018

I Class EUR 10,018.86 4,110.72 0.00 14,129.58

Key figures

Total Net Assets 15,294,720.88 12,695,174.89 9,931,860.73

31/12/201631/12/201731/12/2018Year ending as at:

EURI Class EUR

1,082.4614,129.58 10,018.86

1,267.139,837.861,009.55



34Page

BECHTLE2,650 179,802.50 1.18EUR


Shares 9,625,399.05 62.93

Germany 1,853,158.52 12.11

CARL ZEISS MEDITEC AG2,930 200,119.00 1.31EURDEUTSCHE BOERSE AG REG SHS1,880 197,306.00 1.29EURHANNOVER RUECKVERSICHERUNG AG REG SHS1,719 202,326.30 1.32EURMTU AERO ENGINES HOLDING AG1,112 176,140.80 1.15EURPUMA AG405 172,935.00 1.13EURSARTORIUS VORZ.OHNE STIMMRECHT.1,891 205,929.90 1.35EURTAG IMMOBILIEN15,762 313,821.42 2.04EURWIRECARD AG1,542 204,777.60 1.34EUR

AVANZA BANK HOLDING AB4,298 179,638.16 1.17SEKSweden 1,255,745.57 8.20

CASTELLUM13,023 209,897.09 1.37SEKLUNDIN PETROL9,107 198,943.25 1.30SEKNIBE INDUSTRIER -B-21,490 192,784.49 1.26SEKSWEDISH MATCH7,356 253,377.37 1.65SEKTELEFON AB L.M.ERICSSON28,759 221,105.21 1.45SEK

AKER -A-3,993 186,363.53 1.22NOKNorway 1,226,368.12 8.02

AKER BP SHS7,987 175,897.56 1.15NOKEQUINOR11,138 206,754.14 1.35NOKGRIEG SEAFOOD ASA15,580 161,013.66 1.05NOKSALMAR7,111 307,463.87 2.02NOKSCHIBSTED -A-6,447 188,875.36 1.23NOK

BARRY CALLEBAUT - NAMEN-AKT120 163,031.32 1.07CHFSwitzerland 1,063,411.92 6.95

CHOCOLADEFAB.LINDT.SPRUENGLI PARTIZIPSCH32 173,218.56 1.13CHFHELVETIA HOLDING AG376 191,686.93 1.25CHFLONZA GROUP (CHF)675 152,562.34 1.00CHFPSP SWISS PROPERTY AG2,364 203,171.00 1.32CHFSWISS LIFE HOLDING N-NAMEN REGISTERED535 179,741.77 1.18CHF

AMER SPORTS OYJ5,749 220,589.13 1.44EURFinland 1,054,833.34 6.90

KESKO CORP3,868 182,182.80 1.19EURNESTE4,063 273,683.68 1.79EURNOKIA OYJ39,756 199,972.68 1.31EURVALMET CORPORATION9,939 178,405.05 1.17EUR

FLOW TRADERS6,750 187,920.00 1.23EURThe Netherlands 909,428.78 5.95

KONINKLIJKE AHOLD NV9,133 201,610.98 1.32EURKONINKLIJKE VOPAK4,500 178,560.00 1.17EUROCI REG.SHS7,360 131,081.60 0.86EURWOLTERS KLUWER4,070 210,256.20 1.37EUR

CHRISTIAN HANSEN2,275 175,782.08 1.15DKKDenmark 655,972.07 4.29

ORSTED4,974 290,410.23 1.90DKKTOPDANMARK AS4,674 189,779.76 1.24DKK

SAIPEM - REGISTERED43,410 141,733.65 0.93EURItaly 314,893.65 2.06

TECHNOGYM SPA (ITA)18,500 173,160.00 1.13EUR

VERBUND AG8,406 313,039.44 2.05EURAustria 313,039.44 2.05

COLRUYT3,761 234,084.64 1.53EURBelgium 234,084.64 1.53

LINDE PLC1,504 208,379.20 1.36EURIreland 208,379.20 1.36

HANSA BIOPHARMA AB7,092 193,691.72 1.27SEKIsrael 193,691.72 1.27

AMADEUS IT -A-2,822 171,690.48 1.12EURSpain 171,690.48 1.12




currency% of net

assetsMarket value


35Page

GRANDE CITY PROPERTIES S.A.9,008 170,701.60 1.12EURLuxembourg 170,701.60 1.12

ARCELORMITTAL FRANCE ZCP 210119500,000 500,034.45 3.27EUR


Bonds 4,001,060.60 26.16

France 3,501,047.54 22.89

EIFFAGE ZCP 180319500,000 500,268.89 3.27EUREUROFINS SCIENTIFIC ZCP 180319500,000 500,131.28 3.27EURIPSEN ZCP 150119500,000 500,185.35 3.27EURLAGARDERE SCA ZCP 060319500,000 500,159.15 3.27EURSTEF ZCP 250119500,000 500,083.07 3.27EURUBISOFT ZCP 090119500,000 500,185.35 3.27EUR

WEIR GROUP PLC (THE) ZCP 140119500,000 500,013.06 3.27EURUnited Kingdom 500,013.06 3.27





currency% of net

assetsMarket value


36Page



494,878.39Income125,440.96Net dividends 2Note275,302.65Dividends received on CFDs94,134.78Interest received on swaps


108,599.34Management fees 5Note4,036.85Depositary fees 6Note7,293.05Taxe d'abonnement 4Note

23,758.77Administration fees 6Note1,800.00Domiciliation fees9,122.44Audit fees5,055.36Bank interest on cash account5,938.01Legal fees

10,899.09Transaction fees 2Note20,000.00Distribution fees3,290.00Dividends paid on CFDs3,927.00Banking charges3,541.64Transfer agent fees


199,014.91Net income from investmentsNet realised profit / loss on:

69,435.17- sales of investment securities6,775.82- forward foreign exchange contracts

-1,155,587.95- swaps-84,010.60- foreign exchange

-964,372.65Net realised lossMovement in net unrealised appreciation / depreciation on:

-1,900,011.40- investment securities6,642.59- forward foreign exchange contracts


2,599,545.99Increase in net assets



37Page

Boussard & Gavaudan SICAVBG AI Long Short Equity


38Page

83,172,372.44Assets66,605,499.62Securities portfolio at market value 2Note66,605,499.62Cost price11,233,664.62Cash at banks and liquidities4,415,166.36Other liquid assets 10Note


496,945.26Unrealised net appreciation on forward foreign exchange contracts 2Note218,969.61Unrealised net appreciation on financial futures 2Note

1,380.12Receivable on swaps 2Note

1,570,853.55Liabilities6,375.69Accrued performance fees 5Note

154,595.56Accrued management fees 5Note1,376,193.76Payable on swaps 2Note




Expressed in USD


Boussard & Gavaudan SICAV BG AI Long Short Equity





01/01/2018

Z Class USD 200.30 0.00 11.21 189.09

Z Class EUR 93.11 0.00 5.01 88.10

Z Class SEK 1,397.81 721.47 348.12 1,771.16

Z1 Class USD 71.63 29.52 5.32 95.83

Z1 Class EUR 86.09 208.92 81.09 213.92

R Class USD 0.00 20.00 0.00 20.00

R Class EUR 870.71 703.68 837.88 736.51


39Page

Key figures


Total Net Assets 81,601,518.89 69,676,980.08

31/12/201731/12/2018Year / Period ending as at:

USDZ Class USD

102,165.05189.09 200.30

106,321.92Number of sharesNet asset value per share USD

Z Class EUR

97,733.8188.10 93.11


Z Class SEK

97,949.911,771.16 1,397.81

104,935.59Number of sharesNet asset value per share SEK

Z1 Class USD

100,226.8795.83 71.63

104,898.26Number of sharesNet asset value per share USD

Z1 Class EUR

91,891.65213.92 86.09


R Class USD

924.7620.00 0.00

0.00Number of sharesNet asset value per share USD

R Class EUR

923.79736.51 870.71

997.74Number of sharesNet asset value per share EUR


40Page

UNIT STAT OF AMER ZCP 14031914,000,000 13,919,384.75 17.06USD


Bonds 66,605,499.62 81.62


UNIT STAT TREA BIL ZCP 0702195,000,000 4,970,867.35 6.09USDUNIT STAT TREA BIL ZCP 14021915,000,000 14,912,128.20 18.27USDUNIT STAT TREA BIL ZCP 1701194,000,000 3,977,148.88 4.87USDUNIT STAT TREA BIL ZCP 2401198,000,000 7,953,691.12 9.75USDUNIT STAT TREA BIL ZCP 2803192,000,000 1,988,690.00 2.44USDUS TREASURY BILL ZCP 0703194,000,000 3,976,279.32 4.87USDUS TREASURY BILL ZCP 2802197,000,000 6,958,550.76 8.53USD

LVMH FIN BELGIQUE SA ZCP 1101194,000,000 3,974,657.14 4.87USDBelgium 3,974,657.14 4.87

ARCELORMITTAL ZCP 1601194,000,000 3,974,102.10 4.87USDLuxembourg 3,974,102.10 4.87


Securities portfolio as at 31/12/2018USDExpressed in



currency% of net

assetsMarket value


41Page

Statement of operations and changes in net assets from 01/01/2018 to 31/12/2018Expressed in USD


2,895,478.35Income1,378,556.55Net interest on bonds

169,179.75Bank interest on cash account377,221.54Dividends received on CFDs969,680.82Interest received on swaps

839.69Other income


558,034.32Management fees 5Note21,198.37Depositary fees 6Note41,327.35Taxe d'abonnement 4Note48,115.45Administration fees 6Note6,375.70Performance fees 5Note1,767.08Domiciliation fees9,850.92Audit fees6,616.51Legal fees

61,945.74Transaction fees23,617.27Distribution fees

496,672.08Dividends paid on CFDs15,175.06Banking charges11,790.07Transfer agent fees



20.01- sales of investment securities-4,654,432.53- forward foreign exchange contracts2,488,466.92- financial futures

-6,671,648.53- swaps331,324.08- foreign exchange

-8,662,165.00Net realised lossMovement in net unrealised appreciation / depreciation on:

-151,094.31- forward foreign exchange contracts218,969.61- financial futures






42Page

Boussard & Gavaudan SICAVBG AI US Equities SRI

(launched on September 13, 2018)


43Page

12,348,833.46Assets9,842,908.76Securities portfolio at market value 2Note9,842,908.76Cost price2,068,565.27Cash at banks and liquidities

382,770.43Other liquid assets 10Note29,304.54Interest receivable19,845.53Unrealised net appreciation on forward foreign exchange contracts 2Note

525.00Unrealised net appreciation on financial futures 2Note4,913.93Receivable on swaps 2Note

1,011,018.62Liabilities15,508.26Accrued management fees 5Note

978,994.18Payable on swaps 2Note1,108.81Formation expenses payable, net 2Note




Expressed in USD


Boussard & Gavaudan SICAV BG AI US Equities SRI





13/09/2018

Z Class USD 0.00 81.00 0.00 81.00

Z Class EUR 0.00 52.00 0.00 52.00

Key figures

Total Net Assets 11,337,814.84

31/12/2018Period ending as at:

USDZ Class USD

81,018.2381.00Number of shares

Net asset value per share USDZ Class EUR

80,333.6752.00Number of shares

Net asset value per share EUR


44Page

ARCELORMITTAL ZCP 160119500,000 496,762.76 4.38USD


Bonds 9,842,908.76 86.81

LVMH FIN BELGIQUE SA ZCP 110119500,000 496,832.14 4.38USDUNIT STAT OF AMER ZCP 1403191,400,000 1,391,674.76 12.27USDUNIT STAT TREA BIL ZCP 1001191,400,000 1,392,108.28 12.28USDUNIT STAT TREA BIL ZCP 240119700,000 695,947.97 6.14USDUS TREASURY BILL ZCP 0703191,400,000 1,391,662.38 12.27USDUS TREASURY BILL ZCP 2102191,200,000 1,193,192.25 10.52USDUS TREASURY BILL ZCP 2802191,400,000 1,391,710.15 12.27USDUS TREASURY BILL ZCP 3101191,400,000 1,393,018.07 12.30USD


Securities portfolio as at 31/12/2018USDExpressed in



currency% of net

assetsMarket value


45Page

Statement of operations and changes in net assets from 13/09/2018 to 31/12/2018Expressed in USD


173,961.83Income69,830.94Net interest on bonds 2Note9,721.15Bank interest on cash account

19,197.38Dividends received on CFDs75,212.36Interest received on swaps


18,806.34Management fees 5Note971.55Depositary fees 6Note

3,207.47Taxe d'abonnement 4Note2,601.00Administration fees 6Note

432.22Domiciliation fees5,728.57Audit fees3,651.89Transaction fees 2Note5,728.57Distribution fees2,544.68Banking charges1,200.73Transfer agent fees



-51.69- sales of investment securities-225,070.90- forward foreign exchange contracts-247,059.34- financial futures

-2,359,818.38- swaps19,611.96- foreign exchange

-2,856,959.67Net realised lossMovement in net unrealised appreciation / depreciation on:

19,845.53- forward foreign exchange contracts525.00- financial futures



0.00Net assets at the beginning of the period

11,337,814.84Net assets at the end of the period

46Page

Notes to the financial statements - Schedule of derivativeinstruments


47Page

30,000,000.00 AUD(P)/JPY(C)OTC FEB 80.00 26.02.19 PUT AUD 18,475,181.67 191,310.51 126,642.50Options on currency

OTC options

Purchase

Quantity DenominationCommitment

CurrencyMarket value

(in EUR)(in absolute value)Unrealised

(in EUR)


2,000,000.00 AUD(P)/USD(C)OTC FEB 0.680 21.02.19 PUT USD 1,749,551.68 556,974.92 123,125.7230,000,000.00 AUD(P)/USD(C)OTC FEB 0.710 26.02.19 PUT AUD 18,475,181.67 138,194.36 67,280.5515,000,000.00 EUR(C)/GBP(P)OTC APR 0.874 15.04.19 CALL EUR 15,000,000.00 625,942.50 184,942.50

300,000.00 EUR(C)/GBP(P)OTC FEB 0.930 07.02.19 CALL EUR 300,000.00 93,000.00 -25,432.98300,000.00 EUR(C)/GBP(P)OTC FEB 0.935 07.02.19 CALL EUR 300,000.00 75,000.00 -45,594.00

2,700,000.00 EUR(C)/GBP(P)OTC JUN 1.000 13.06.19 CALL EUR 2,700,000.00 519,750.00 -649,350.00521,000.00 EUR(C)/GBP(P)OTC JUN 1.000 13.06.19 CALL EUR 521,000.00 100,292.50 -112,015.00312,500.00 EUR(C)/GBP(P)OTC JUN 1.000 13.06.19 CALL EUR 312,500.00 60,156.25 -59,994.75

15,000,000.00 EUR(P)/GBP(C)OTC APR 0.874 15.04.19 PUT EUR 15,000,000.00 174,435.00 -245,565.0025,000,000.00 EUR(P)/USD(C)OTC APR 1.120 01.04.19 PUT EUR 25,000,000.00 85,250.00 -9,750.0011,000,000.00 EUR(P)/USD(C)OTC APR 1.120 01.04.19 PUT EUR 11,000,000.00 37,510.00 -8,140.0019,830,000.00 EUR(P)/USD(C)OTC MAY 1.100 21.05.27 PUT EUR 19,830,000.00 623,128.01 -156,973.994,170,000.00 EUR(P)/USD(C)OTC MAY 1.100 21.05.27 PUT EUR 4,170,000.00 131,036.00 -9,701.50

50,000,000.00 GBP(C)/CHF(P)OTC APR 1.350 09.04.19 CALL GBP 55,707,202.94 89,967.13 -109,770.361,800,000.00 USD(C)/JPY(P)OTC APR 126.0 03.04.19 CALL USD 1,574,596.51 3,385.38 -420,740.41

617,000.00 USD(C)/JPY(P)OTC APR 126.0 03.04.19 CALL USD 539,736.69 1,160.43 -111,650.33250,000.00 USD(C)/JPY(P)OTC APR 126.0 03.04.19 CALL USD 218,693.96 470.19 -51,185.84

100,000,000.00 USD(C)/JPY(P)OTC SEP 120.0 29.09.23 CALL USD 87,477,583.87 566,592.31 -257,785.09480,000.00 USD(C)/MXN(P)OTC FEB 20.75 12.02.19 CALL USD 419,892.40 122,818.53 -188,633.63480,000.00 USD(C)/MXN(P)OTC FEB 21.00 12.02.19 CALL USD 419,892.40 89,227.14 -167,080.86

1,000,000.00 USD(P)/TRY(C)OTC OCT 5.000 30.10.19 PUT USD 874,775.84 84,197.17 38,436.62

30,000,000.00 USDLIB3M OTC DEC 2.250 21.12.20 CALL USD 26,243,275.16 343,089.10 4,456.81Options on interest rates

15,000,000.00 USDLIB3M OTC DEC 2.250 21.12.20 CALL USD 13,121,637.58 214,845.16 35,233.2530,000,000.00 USDLIB3M OTC DEC 2.500 21.12.20 CALL USD 26,243,275.16 612,790.45 97,536.6730,000,000.00 USDLIB3M OTC DEC 2.500 21.12.20 CALL USD 26,243,275.16 560,852.64 76,531.51

6,101,375.68 -1,875,177.61Total Purchase

2,000,000.00 AUD(P)/USD(C)OTC FEB 0.680 21.02.19 PUT USD 1,749,551.68 -556,974.92 -235,805.24Options on currency

OTC options

Sale

15,000,000.00 EUR(C)/GBP(P)OTC APR 0.874 15.04.19 CALL EUR 15,000,000.00 -625,942.50 19,057.50200,000.00 EUR(C)/GBP(P)OTC DEC 1.000 13.06.19 CALL EUR 200,000.00 -38,500.00 -2,140.00300,000.00 EUR(C)/GBP(P)OTC JAN 0.930 07.01.19 CALL EUR 300,000.00 -2,625.00 49,207.98300,000.00 EUR(C)/GBP(P)OTC JAN 0.935 07.01.19 CALL EUR 300,000.00 -510.00 54,984.00583,500.00 EUR(C)/GBP(P)OTC JUN 1.000 13.06.19 CALL EUR 583,500.00 -112,323.75 76,146.75

2,750,000.00 EUR(C)/GBP(P)OTC JUN 1.000 13.06.19 CALL EUR 2,750,000.00 -529,375.00 -21,612.2515,000,000.00 EUR(P)/GBP(C)OTC APR 0.874 15.04.19 PUT EUR 15,000,000.00 -174,435.00 25,440.00

267,000.00 USD(C)/JPY(P)OTC APR 126.0 03.04.19 CALL USD 233,565.15 -502.17 44,272.042,400,000.00 USD(C)/JPY(P)OTC APR 126.0 03.04.19 CALL USD 2,099,462.01 -4,513.84 194,819.30

100,000,000.00 USD(C)/JPY(P)OTC OCT 120.0 01.10.19 CALL USD 87,477,583.87 -126,580.06 348,192.27480,000.00 USD(C)/MXN(P)OTC JAN 20.75 10.01.19 CALL USD 419,892.40 -14,171.37 249,342.25480,000.00 USD(C)/MXN(P)OTC JAN 21.00 10.01.19 CALL USD 419,892.40 -6,067.45 168,266.07

30,000,000.00 USDLIB3M OTC DEC 1.500 21.12.20 CALL USD 26,243,275.16 -136,949.22 -21,296.70Options on interest rates

60,000,000.00 USDLIB3M OTC DEC 1.500 21.12.20 CALL USD 52,486,550.32 -273,898.44 -65,654.0060,000,000.00 USDLIB3M OTC DEC 1.750 21.12.20 CALL USD 52,486,550.32 -402,957.09 -61,256.4760,000,000.00 USDLIB3M OTC DEC 1.750 21.12.20 CALL USD 52,486,550.32 -402,957.09 -93,736.99

-3,409,282.90 728,226.51Total Sale

OPTIONS

As at 31/12/2018, the following option contracts were outstanding :


48Page

4,508.00 AEGON BCLR FEB 4.2 15.02.19 PUT EUR 1,893,360.00 124,195.40 11,495.40Options on equities

Listed options

Purchase of options




(in EUR)


3,005.00 AEGON BCLR MAR 4.2 15.03.19 PUT EUR 1,262,100.00 96,039.80 13,402.30628.00 AKZO NOBEL BCLR FEB 66.0 15.02.19 PUT EUR 4,144,800.00 61,299.08 -47,344.92314.00 AKZO NOBEL BCLR JAN 74 18.01.19 CALL EUR 2,323,600.00 11,696.50 -47,963.50943.00 ALSTOM SA BCLR MAR 36 15.03.19 PUT EUR 3,394,800.00 274,733.62 130,454.62300.00 ALSTOM SA BCLR MAR 38 15.03.19 CALL EUR 1,140,000.00 41,553.00 -10,047.00

1,202.00 ALSTOM SA BCLR MAR 40 15.03.19 CALL EUR 4,808,000.00 104,670.16 -5,701.84628.00 ALSTOM SA BCLR MAR 42 15.03.19 CALL EUR 2,637,600.00 33,566.60 -17,929.40189.00 APPL INC FEB 160.00 15.02.19 PUT USD 1,337,042.42 170,292.61 61,886.33150.00 APPLE INC JAN 170.00 18.01.19 PUT USD 1,769,519.91 171,893.45 83,003.29358.00 ATOS BCLR MAR 100 15.03.19 CALL EUR 3,580,000.00 15,923.84 -204,962.16370.00 ATOS BCLR MAR 115 15.03.19 CALL EUR 4,255,000.00 4,140.30 -109,449.70314.00 ATOS BCLR MAR 85 15.03.19 CALL EUR 2,669,000.00 54,083.36 -43,256.64751.00 BNP PARIBAS BCLR FEB 39 15.02.19 PUT EUR 2,928,900.00 115,068.22 -2,838.78

1,502.00 BNP PARIBAS BCLR FEB 42 15.02.19 CALL EUR 6,308,400.00 101,024.52 -96,488.48785.00 BNP PARIBAS BCLR JAN 45 18.01.19 PUT EUR 3,532,500.00 436,679.80 335,414.8078.00 BROADCOM JAN 240.00 25.01.19 PUT USD 473,785.27 32,751.61 -34,059.29

314.00 CASINO GUIC BCLR JAN 38 18.01.19 CALL EUR 1,193,200.00 38,458.72 778.724,507.00 ENGIE BCLR MAR 13 15.03.19 CALL EUR 5,859,100.00 174,105.41 57,785.412,865.00 E.ON AG REG BCLR MAR 8 15.03.19 PUT EUR 2,292,000.00 61,712.10 15,872.103,005.00 E.ON AG REG BCLR MAR 8.5 15.03.19 PUT EUR 2,554,250.00 115,181.65 35,549.155,090.00 IBERDROLA S BCLR MAR 6.25 15.03.19 PUT EUR 3,181,250.00 52,070.70 -123,045.303,005.00 IBERDROLA S BCLR MAR 6.5 15.03.19 PUT EUR 1,953,250.00 46,817.90 -55,352.103,005.00 ING GROEP BCLR FEB 10.5 15.02.19 CALL EUR 3,155,250.00 33,535.80 -40,086.702,254.00 ING GROEP BCLR FEB 9 15.02.19 PUT EUR 2,028,600.00 74,021.36 -4,305.14

12,020.00 KONINKLIJKE BCLR FEB 2.5 15.02.19 CALL EUR 3,005,000.00 161,428.60 71,278.6018,852.00 KONINKLIJKE BCLR FEB 2.7 15.02.19 CALL EUR 5,090,040.00 95,202.60 -93,317.40

601.00 MICRON JAN 34.00 18.01.19 PUT USD 1,193,314.69 147,207.28 36,081.6663.00 NETFLIX FEB 250.00 15.02.19 PUT USD 464,611.43 85,421.86 -39,623.0563.00 NETFLIX JAN 260.00 18.01.19 PUT USD 568,042.90 82,500.98 -7,157.2063.00 NETFLIX RG JAN 275.00 18.01.19 PUT USD 811,705.23 120,417.27 6,209.50

815.00 OMNICOM GR JAN 67.50 18.01.19 PUT USD 559,338.26 21,388.27 -162,104.10150.00 PRUDENTIAL BCLR MAR 13 15.03.19 PUT GBP 2,172,580.91 70,608.88 -7,421.01150.00 PRUDENTIAL BCLR MAR 13.5 15.03.19 PUT GBP 2,256,141.72 99,437.36 -4,016.67628.00 PUBLICIS GR BCLR FEB 50 15.02.19 CALL EUR 3,140,000.00 152,359.08 34,357.88818.00 PUBLICIS GR BCLR JAN 54 18.01.19 CALL EUR 4,417,200.00 14,584.94 -124,393.26327.00 RENAULT SA BCLR FEB 62 15.02.19 CALL EUR 2,027,400.00 18,985.62 -54,589.38

3,058.00 RWE AG BCLR MAR 15 15.03.19 PUT EUR 4,587,000.00 44,616.22 -114,399.782,038.00 RWE AG BCLR MAR 16 15.03.19 PUT EUR 3,260,800.00 52,009.76 -123,258.24

225.00 UNICREDIT - BCLR FEB 10 14.02.19 PUT EUR 2,250,000.00 144,337.50 27,337.50982.00 WALT DISNEY FEB 90.00 15.02.19 PUT USD 544,451.56 30,925.08 1,350.70818.00 WALT DISNEY FEB 95.00 15.02.19 PUT USD 789,398.71 48,658.53 3,212.08157.00 WPP 2012 PL BCLR JAN 9 18.01.19 CALL GBP 1,574,285.56 23,176.98 -43,773.98

804.00 EUR STOXX 50 F DVD DEC 120 23.12.19 CALL EUR 4,263,025.63 122,208.00 34,248.00Options on futures

29.00 DAX MAR 10750 15.03.19 PUT EUR 863,332.08 74,486.50 19,848.64Options on index

928.00 DJ EURO STOXX DEC 3200.0 23.12.19 CALL EUR 7,789,023.23 667,232.00 -548,512.0094.00 DJ STOXX INS JUN 230.00 21.06.19 PUT EUR 508,547.37 53,580.00 9,870.00

180.00 DJ STOXX INS JUN 240.00 24.06.19 PUT EUR 1,279,706.90 144,900.00 30,150.00126.00 DJ STOXX INS MAR 240.00 15.03.19 PUT EUR 739,154.51 45,360.00 9,450.00210.00 ESTX50 JAN 3050.0 21.01.19 PUT EUR 4,280,494.81 199,710.00 37,800.00549.00 ESTX50 MAR 3000.0 18.03.19 PUT EUR 8,324,761.50 682,407.00 187,432.00573.00 ESTX50 MAR 3200.0 15.03.19 CALL EUR 3,521,318.78 139,239.00 -144,396.00928.00 ESTX50 EUR P DEC 3200.0 23.12.19 PUT EUR 21,084,982.58 3,766,752.00 1,190,972.00756.00 ESTX50 EUR P FEB 3100.0 15.02.19 CALL EUR 6,835,601.56 266,868.00 -24,192.00600.00 ESTX50 EUR P MAR 3100.0 15.03.19 CALL EUR 6,262,761.36 317,400.00 -126,600.00600.00 EURO STOXX FEB 2800.0 15.02.19 PUT EUR 115,843.07 237,000.00 57,000.00

OPTIONS


49Page

1,200.00 EURO STOXX FEB 3000.0 15.02.19 PUT EUR 529,213.05 1,218,000.00 342,000.00




(in EUR)


152.00 FTSE 100 AU FEB 7000.0 15.02.19 PUT GBP 8,603,962.42 607,966.13 261,254.8378.00 FTSE 100 AU MAR 6600.0 15.03.19 PUT GBP 2,675,062.63 192,490.67 452.987.00 NDX NOV JAN 6800.0 18.01.19 PUT USD 3,664,514.42 287,158.29 120,185.66

60.00 SP 500 DEC 2400.0 20.12.19 CALL USD 8,146,285.55 1,303,765.91 294,434.8627.00 SP 500 MAR 2555.0 15.03.19 PUT USD 3,297,002.80 280,711.19 42,355.3960.00 S&P 500 DEC 2400.0 20.12.19 PUT USD 4,732,719.65 761,737.30 -296,798.644.00 S&P 500 MAR 2375 15.03.19 PUT USD 253,929.22 19,633.47 -18,216.45

400.00 S&P 500 MAR 3000.0 15.03.19 CALL USD 1,162,121.41 34,991.03 -368,538.54

15,282,378.81 418,785.75Total Purchase of options

1,202.00 WALT DISNEY FEB 115.00 15.02.19 CALL USD 3,710,463.61 -199,781.31 195,514.27Options on equities

Listed options

Sale of options

1,500.00 EURO STOXX FEB 2900.0 15.02.19 PUT EUR 466,365.02 -952,500.00 -262,500.00Options on index

4.00 SP 500 MAR2375 15.03.19 CALL USD 622,825.88 -63,946.11 -23,993.4227.00 SP 500 MAR 2555.0 15.03.19 CALL USD 2,571,235.88 -163,561.21 94,887.40

1,750.00 SP 500 MAR 3150.0 15.03.19 CALL USD 907,730.13 -30,617.15 442,625.74

-1,410,405.78 446,533.99Total Sale of options

OPTIONS

75.00 DJ EURO STOXX DEC 3700.0 23.12.19 CALL EUR 109,188.79 5,175.00 -148,575.00Options on index

Listed options

Purchase of options




(in EUR)


4.00 NASDAQ 100 DEC 7000.0 20.12.19 CALL USD 840,129.72 112,356.21 17,114.095.00 SP 500 DEC 3000.0 18.12.20 CALL USD 268,313.21 31,951.19 -41,582.78

149,482.40 -173,043.69Total Purchase of options


50Page

BRL 48,601,020.00 USD 12,675,000.00 28/02/2019 -163,950.61 HSBC Bank International

The contracts that are followed by * relate specifically to foreign exchange risk hedging of shares.


Currencypurchased

Maturitydate

Unrealised(in EUR) Counterparty

Quantitypurchased

Currencysale

Quantitysale

USD 13,000,000.00 BRL 51,779,000.00 06/03/2019 -261,336.24 JP Morgan SecuritiesUSD 12,675,000.00 BRL 50,484,525.00 28/02/2019 -260,470.68 Société GénéraleBRL 50,484,525.00 USD 12,675,000.00 06/03/2019 253,619.53 Société GénéraleBRL 17,216,726.00 USD 4,310,000.00 06/03/2019 97,472.30 Goldman Sachs International FinanceBRL 10,382,750.00 USD 2,500,000.00 06/03/2019 145,556.45 Goldman Sachs International FinanceUSD 6,485,000.00 BRL 26,912,750.00 06/03/2019 -374,801.86 JP Morgan SecuritiesUSD 650,000.00 BRL 2,690,155.00 06/03/2019 -35,909.09 Goldman Sachs International FinanceBRL 5,399,290.00 USD 1,300,000.00 06/03/2019 75,747.77 Goldman Sachs International FinanceNOK 21,000,000.00 CHF 2,520,422.94 07/01/2019 -115,616.08 JP Morgan SecuritiesCHF 2,507,090.25 NOK 21,000,000.00 07/01/2019 103,809.18 Goldman Sachs International FinanceBRL 7,025,400.00 USD 1,800,000.00 14/01/2019 9,569.21 Goldman Sachs International FinanceEUR 10,000,000.00 SEK 102,916,403.00 25/01/2019 -154,145.48 JP Morgan SecuritiesEUR 1,500,000.00 NOK 14,578,250.25 25/01/2019 28,515.66 JP Morgan SecuritiesEUR 33,000,000.00 JPY 4,235,603,790.00 25/01/2019 -767,765.92 JP Morgan SecuritiesEUR 4,000,000.00 HKD 35,540,444.00 25/01/2019 33,927.65 NatixisEUR 3,000,000.00 DKK 22,387,220.70 25/01/2019 -357.47 JP Morgan SecuritiesEUR 5,000,000.00 USD 5,705,305.00 26/02/2019 31,721.87 State Street Bank International

GmbHEUR 152,993,358.78 USD 175,000,000.00 26/02/2019 598,653.04 CACEIS Bank, Luxembourg BranchUSD 108,200,000.00 EUR 94,593,608.11 26/02/2019 -368,387.06 * CACEIS Bank, Luxembourg BranchUSD 3,810,000.00 EUR 3,330,883.98 26/02/2019 -12,971.85 * CACEIS Bank, Luxembourg BranchUSD 1,450,000.00 EUR 1,267,659.26 26/02/2019 -4,936.80 * CACEIS Bank, Luxembourg BranchUSD 900,000.00 BRL 3,461,670.00 14/01/2019 6,728.79 Goldman Sachs International FinanceGBP 10,000,000.00 EUR 11,102,419.15 26/02/2019 18,314.07 JP Morgan SecuritiesEUR 87,411,823.32 USD 100,000,000.00 26/02/2019 329,075.82 State Street Bank International

GmbHEUR 87,398,148.38 USD 100,000,000.00 26/02/2019 315,339.11 NatixisEUR 87,429,477.20 USD 100,000,000.00 26/02/2019 346,809.44 NatixisGBP 468,000.00 EUR 519,695.57 26/02/2019 754.74 * JP Morgan SecuritiesGBP 70,450,000.00 EUR 78,231,951.24 26/02/2019 113,614.29 * JP Morgan SecuritiesBRL 3,484,890.00 USD 900,000.00 14/01/2019 -1,486.30 Société Générale, ParisEUR 961,395.73 USD 1,101,000.00 26/02/2019 2,610.12 * NatixisGBP 100,000.00 AUD 175,407.13 25/01/2019 3,462.69 JP Morgan SecuritiesGBP 7,860.00 EUR 8,723.20 26/02/2019 17.70 * Goldman Sachs International FinanceGBP 8,000,000.00 USD 10,145,006.40 25/01/2019 48,358.96 State Street Bank International

GmbHGBP 13,505,712.00 EUR 15,000,000.00 25/01/2019 35,855.54 State Street Bank International

GmbHBRL 3,500,010.00 USD 900,000.00 14/01/2019 1,923.12 Société Générale, ParisRUB 60,238,557.00 USD 900,000.00 17/01/2019 -29,281.33 JP Morgan SecuritiesUSD 2,700,000.00 BRL 10,595,610.00 14/01/2019 -27,346.68 Goldman Sachs International FinanceEUR 663,765.99 GBP 598,500.00 26/02/2019 -1,813.16 * JP Morgan SecuritiesEUR 875,756.96 USD 999,300.00 26/02/2019 5,549.22 * NatixisAUD 1,050,000.00 TWD 23,208,696.53 25/01/2019 -19,116.21 Goldman Sachs International FinanceINR 153,300,000.00 AUD 3,000,000.00 25/01/2019 72,556.90 JP Morgan SecuritiesGBP 35,990,560.00 EUR 40,000,000.00 26/02/2019 24,141.62 State Street Bank International

GmbHRUB 53,763,871.28 USD 800,000.00 17/01/2019 -23,278.50 Goldman Sachs International FinanceAUD 360,000.00 TWD 7,926,646.07 25/01/2019 -5,682.65 Goldman Sachs International FinanceAUD 1,500,000.00 INR 76,320,000.00 25/01/2019 -32,157.72 JP Morgan SecuritiesAUD 3,000,000.00 INR 152,280,000.00 25/01/2019 -59,804.66 JP Morgan SecuritiesAUD 1,260,000.00 INR 63,973,448.28 25/01/2019 -25,316.54 Goldman Sachs International FinanceTWD 21,834,767.00 AUD 990,000.00 25/01/2019 16,802.09 Goldman Sachs International Finance

INR 141,578,550.00 AUD 2,790,000.00 25/01/2019 55,072.58 JP Morgan SecuritiesRUB 54,234,566.56 USD 800,000.00 17/01/2019 -17,355.46 Goldman Sachs International FinanceEUR 84,725.65 USD 97,500.00 26/02/2019 -182.29 * JP Morgan SecuritiesAUD 810,000.00 TWD 17,793,362.83 25/01/2019 -11,602.27 Goldman Sachs International FinanceTWD 26,841,327.77 AUD 1,230,000.00 25/01/2019 12,648.87 Goldman Sachs International Finance

INR 82,517,773.80 AUD 1,650,000.00 25/01/2019 17,396.13 Goldman Sachs International Finance


As at 31/12/2018, the following forward contracts were outstanding :

FORWARD FOREIGN EXCHANGE CONTRACTS

51Page

AUD 1,680,000.00 INR 84,924,000.00 25/01/2019 -29,070.06 JP Morgan Securities


Currencypurchased

Maturitydate


Quantitypurchased

Currencysale

Quantitysale

USD 3,300,000.00 RUB 226,511,472.00 17/01/2019 36,518.35 NatixisRUB 54,709,288.00 USD 800,000.00 17/01/2019 -11,381.77 NatixisEUR 112,460.08 USD 128,900.00 26/02/2019 209.45 * CACEIS Bank, Luxembourg BranchEUR 1,408,605.49 USD 1,615,000.00 26/02/2019 2,205.13 * NatixisEUR 699,022.17 GBP 631,800.00 26/02/2019 -3,592.33 * NatixisEUR 8,722,255.05 USD 10,000,000.00 26/02/2019 13,894.81 * JP Morgan SecuritiesGBP 1,500,000.00 JPY 209,754,000.00 25/01/2019 -2,287.14 JP Morgan SecuritiesGBP 940,000.00 HKD 9,317,530.04 25/01/2019 6,722.22 State Street Bank International

GmbHGBP 900,000.00 JPY 126,468,225.00 25/01/2019 -6,282.36 JP Morgan SecuritiesUSD 1,110,717.90 EUR 970,000.00 03/01/2019 1,549.09 NatixisGBP 800,000.00 USD 1,023,880.00 03/01/2019 -4,306.53 JP Morgan SecuritiesEUR 1,340,000.00 GBP 1,199,300.00 03/01/2019 3,851.82 Société Générale, ParisGBP 1,020,300.00 EUR 1,140,000.00 03/01/2019 -3,276.80 Société Générale, Paris

35,305.43

EUR 400,000.00 USD 455,016.88 25/01/2019 2,707.81 JP Morgan Securities


Currencypurchased

Maturitydate


Quantitypurchased

Currencysale

Quantitysale

EUR 450,000.00 SEK 4,631,226.48 25/01/2019 -6,935.40 JP Morgan SecuritiesUSD 3,030,000.00 EUR 2,648,970.73 26/02/2019 -10,316.20 * CACEIS Bank, Luxembourg BranchGBP 8,150.00 EUR 9,049.68 26/02/2019 13.72 * NatixisEUR 780,000.00 USD 890,825.52 25/01/2019 2,181.24 JP Morgan Securities

-12,348.83

USD 136,500.00 EUR 119,334.82 26/02/2019 -464.74 CACEIS Bank, Luxembourg Branch


Currencypurchased

Maturitydate


Quantitypurchased

Currencysale

Quantitysale

GBP 530,000.00 EUR 588,493.94 26/02/2019 904.92 * NatixisEUR 120,046.22 USD 136,500.00 26/02/2019 1,181.56 Natixis

1,621.74

EUR 1,200,000.00 CHF 1,346,737.92 25/01/2019 4,691.09 CACEIS Bank, Luxembourg Branch


Currencypurchased

Maturitydate


Quantitypurchased

Currencysale

Quantitysale

EUR 800,000.00 DKK 5,969,978.88 25/01/2019 -102.48 CACEIS Bank, Luxembourg BranchEUR 1,500,000.00 SEK 15,429,178.50 25/01/2019 -22,304.66 NatixisEUR 1,450,000.00 NOK 14,106,239.45 25/01/2019 26,157.80 NatixisDKK 373,197.26 EUR 50,000.00 26/02/2019 23.42 CACEIS Bank, Luxembourg BranchUSD 57,310.81 EUR 50,000.00 26/02/2019 -91.28 CACEIS Bank, Luxembourg Branch

8,373.89

EUR 120,000.00 CHF 134,720.95 25/01/2019 488.42 CACEIS Bank, Luxembourg Branch


Currencypurchased

Maturitydate

Unrealised(in USD) Counterparty

Quantitypurchased

Currencysale

Quantitysale

USD 136,482.42 EUR 120,000.00 25/01/2019 -949.36 CACEIS Bank, Luxembourg BranchUSD 350,000.00 GBP 277,979.86 25/01/2019 -4,429.33 NatixisEUR 850,000.00 USD 972,261.45 26/02/2019 3,805.09 * NatixisEUR 22,310,000.00 USD 25,519,003.47 26/02/2019 99,872.31 * NatixisEUR 9,150,000.00 USD 10,466,108.55 26/02/2019 40,960.63 * Natixis

Boussard & Gavaudan SICAVFORWARD FOREIGN EXCHANGE CONTRACTS

52Page

USD 2,055,805.20 EUR 1,800,000.00 25/01/2019 -5,687.47 Natixis


Currencypurchased

Maturitydate


Quantitypurchased

Currencysale

Quantitysale

SEK 175,350,000.00 USD 19,487,527.48 26/02/2019 376,575.22 * NatixisUSD 556,249.45 EUR 487,000.00 26/02/2019 -2,965.35 * NatixisUSD 85,305.90 EUR 75,000.00 26/02/2019 -813.87 * NatixisUSD 101,854.52 SEK 915,000.00 26/02/2019 -1,791.18 * NatixisUSD 106,025.76 EUR 92,000.00 26/02/2019 379.30 * NatixisUSD 2,885,209.99 EUR 2,520,000.00 26/02/2019 -8,499.15 * JP Morgan Securities

496,945.26

EUR 4,500,000.00 USD 5,147,266.50 26/02/2019 20,144.57 * Natixis


Currencypurchased

Maturitydate


Quantitypurchased

Currencysale

Quantitysale

USD 171,587.24 EUR 150,000.00 26/02/2019 -656.67 * CACEIS Bank, Luxembourg BranchUSD 115,190.50 EUR 100,000.00 26/02/2019 357.63 * Natixis

19,845.53

Boussard & Gavaudan SICAVFORWARD FOREIGN EXCHANGE CONTRACTS

53Page

EURO/USD 90DAY(CME) 03/19 -51,965.12-246 USD 2,151,948.56 Credit Suisse LondonFutures on interest rates

(purchase/(sale)) DenominationQuantity

Currency(in EUR)

Broker(in absolute value)

Commitment

(in EUR)Unrealised


EURO/USD 90DAY(CME) 06/19 -89,362.36-147 USD 1,285,920.48 Credit Suisse LondonEURO/USD 90DAY(CME) 09/19 -19,951.45-81 USD 708,568.43 Credit Suisse LondonFED FUND 30DAY 01/19 10,170.08-332 USD 14,521,278.92 Credit Suisse LondonFED FUND 30DAY 02/19 -929.52-234 USD 10,234,877.31 Credit Suisse LondonFED FUND 30DAY 12/18 -426.98-629 USD 27,511,700.13 Credit Suisse London3MO EURO EURIBOR 03/19 -2,512.50201 EUR 2,010,000.00 Credit Suisse London3MO EURO EURIBOR 06/19 -1,537.5063 EUR 630,000.00 Credit Suisse London3MO EURO EURIBOR 09/19 593.27247 EUR 2,470,000.00 Credit Suisse London90DAY GBP LIBOR INDX 03/19 -334.24134 GBP 746,476.52 Credit Suisse London90DAY GBP LIBOR INDX 03/20 271.57-7 GBP 38,995.04 Credit Suisse London90DAY GBP LIBOR INDX 06/19 -1,761.7498 GBP 545,930.59 Credit Suisse London90DAY GBP LIBOR INDX 06/20 181.05-7 GBP 38,995.04 Credit Suisse London90DAY GBP LIBOR INDX 09/19 382.99-10 GBP 55,707.20 Credit Suisse London90DAY GBP LIBOR INDX 09/20 208.90-6 GBP 33,424.32 Credit Suisse London90DAY GBP LIBOR INDX 12/19 334.24-9 GBP 50,136.48 Credit Suisse London

-156,639.31

CAN 10YR BOND (MSE) 03/19 14,372.6422 CAD 1,305,838.72 Credit Suisse LondonFutures on bonds

EURO BOBL FUTURE 03/19 -184,890.00-475 EUR 48,231,975.00 Credit Suisse LondonEURO BTP FUTURE -EUX 03/19 -3,580.00-2 EUR 236,370.00 Credit Suisse LondonEURO BUND FUTURE 03/19 -158,620.00-187 EUR 19,250,528.00 Credit Suisse LondonEURO SCHATZ FUTURE 03/19 5,205.0080 EUR 8,096,880.00 Credit Suisse LondonEURO-OAT-FUTURES-EUX 03/19 1,600.00-95 EUR 11,324,475.00 Credit Suisse LondonJPN 10 YEARS BOND 03/19 34,603.549 JPY 7,304,727.21 Credit Suisse LondonLONG GILT FUTURE-LIF 03/19 2,261.71-11 GBP 1,547,659.74 Credit Suisse LondonUS TREASURY BOND 03/19 -5,781.73-1 USD 107,959.64 Credit Suisse LondonUS 10 YEARS NOTE 03/19 -23,249.91-27 USD 2,423,156.41 Credit Suisse LondonUS 5 YEARS NOTE-CBT 03/19 -14,051.09-10 USD 884,412.04 Credit Suisse London

-332,129.84

CAC40 10 EURO 01/19 56,839.44-85 EUR 4,021,086.50 Credit Suisse LondonFutures on index

DAX INDEX GERMANY 03/19 461,753.13-84 EUR 22,179,150.00 Credit Suisse LondonDJ EURO INSUR (EUX) 03/19 10.00-18 EUR 220,500.00 Credit Suisse LondonDJ EURO STOXX 50 DVD 12/19 42,279.23851 EUR 10,143,920.00 Credit Suisse LondonDJ EURO STOXX 50 03/19 3,969,252.09-8,891 EUR 265,759,534.28 Credit Suisse LondonDJIA MINI FUTURE-CBT 03/19 -3,770.281 USD 102,031.49 Credit Suisse LondonDJ.STOXX600 BASI 03/19 45.00-2 EUR 39,573.00 Credit Suisse LondonDJ.STOXX600.BK(EUX) 03/19 6,440.00-28 EUR 185,360.00 Credit Suisse LondonE-MINI RUSSELL 2000 03/19 513,922.06-303 USD 17,872,255.48 Credit Suisse LondonEURO STOX BANK IDX 03/19 -149,355.971,206 EUR 5,248,512.00 Credit Suisse LondonFTSE MIB INDEX 03/19 57,660.00-23 EUR 2,093,690.00 Credit Suisse LondonFTSE 100 INDEX 03/19 -27,693.11-641 GBP 48,050,039.89 Credit Suisse LondonFTSE 250 Y2 03/19 -3,119.60-20 GBP 779,992.20 Credit Suisse LondonFTSE/XINHUA CHIN-SGX 01/19 -476.75-13 USD 118,411.84 Credit Suisse LondonHANG SENG INDEX 01/19 -944.12-1 HKD 144,386.97 Credit Suisse LondonIBEX 35 INDEX 01/19 37,624.00-16 EUR 1,366,384.00 Credit Suisse LondonMINI MSCI EMG MKT 03/19 2,449.37-7 USD 295,659.60 Credit Suisse LondonNASDAQ 100 E-MINI 03/19 12,725.3638 USD 4,208,347.67 Credit Suisse LondonNIKKEI 225 (OSAKA) 03/19 -1,993.295 JPY 793,329.97 Credit Suisse LondonNIKKEI 225 (SGX) 03/19 195,083.43-42 JPY 3,337,846.15 Credit Suisse LondonS&P 500 EMINI INDEX 03/19 -34,674.29-192 USD 21,052,145.39 Credit Suisse LondonSWISS MARKET INDEX 03/19 173,751.00-88 CHF 6,489,306.95 Credit Suisse LondonVIX FUTURE (CBF) 01/19 116,629.49-89 USD 1,979,075.36 Credit Suisse London

5,424,436.19

BRAZIL REAL 02/19 2,073.22-20 USD 451,471.81 Credit Suisse LondonFutures on currency

EUR/USD (CME) 03/19 -2,584.70-18 USD 2,267,911.04 Credit Suisse London

As at 31/12/2018, the following future contracts were outstanding :

Boussard & Gavaudan SICAVFINANCIAL FUTURES

54Page

JPN YEN CURR FUT 03/19 2,350.963 USD 300,846.35 Credit Suisse London


Currency(in EUR)


Commitment

(in EUR)Unrealised


USD/AUD (CME) 03/19 38,463.89-28 USD 1,727,297.38 Credit Suisse LondonUSD/CAD (CME) 03/19 6,886.67-20 USD 1,286,095.44 Credit Suisse LondonUSD/CHF (CME) 03/19 831.041 USD 112,015.05 Credit Suisse LondonUSD/GBP (CME) 03/19 -14,093.58-26 USD 1,818,112.23 Credit Suisse LondonUSD/NZD (CME) 03/19 -2,904.262 USD 117,569.87 Credit Suisse LondonUSD-RUB (CME) 03/19 12,399.95-9 USD 280,770.24 Credit Suisse LondonUSD/ZAR (CME) 03/19 1,016.93-8 USD 241,000.74 Credit Suisse London

44,440.12

As at December 31, 2018, the total margin deposit for futures contracts amount to EUR 34,110,382.74.

EURO BUND FUTURE 03/19 -2,680.00-2 EUR 205,888.00 Credit Suisse LondonFutures on bonds

-2,680.00


Currency(in EUR)


Commitment

(in EUR)Unrealised


As at December 31, 2018, the total margin deposit for futures contracts amount to EUR 165,870.27.

CAC40 10 EURO 01/19 107,101.72-124 EUR 6,705,781.46 Credit Suisse LondonFutures on index


Currency(in USD)


Commitment

(in USD)Unrealised


DAX INDEX GERMANY 03/19 38,481.29-7 EUR 2,112,841.28 Credit Suisse LondonSWISS MARKET INDEX 03/19 15,906.11-10 CHF 842,983.10 Credit Suisse LondonFTSE MIB INDEX 03/19 53,379.39-21 EUR 2,185,279.83 Credit Suisse LondonFTSE 100 INDEX 03/19 4,101.10-92 GBP 7,883,639.76 Credit Suisse London

218,969.61

As at December 31, 2018, the total margin deposit for futures contracts amount to USD 4,415,166.36.

S&P 500 EMINI INDEX 03/19 525.001 USD 125,342.50 Credit Suisse LondonFutures on index

525.00


Currency(in USD)


Commitment

(in USD)Unrealised


As at December 31, 2018, the total margin deposit for futures contracts amount to USD 382,770.43.

Boussard & Gavaudan SICAVFINANCIAL FUTURES


CONTRACTS FOR DIFFERENCE Some sub-funds concluded contracts for difference in which one party pays to the other the difference between the current value of an asset and its value at the contract time. (Please refer to the Note 10 for detailed collateral information). As at December 31, 2018, outstanding contracts for difference were as follows: Boussard & Gavaudan Absolute Return

Currency Quantity Long/ Short Description Maturity Notional

(local currency)

Unrealised appreciation/ depreciation

(EUR) CHF 20,000 Short NESTLE SA 03/03/2020 -1,596,000.00 0.00CHF 3,660 Short ZURICH INSURANCE GRO 03/12/2019 -1,072,746.00 0.00

TOTAL 0.00


(local currency)


(EUR) DKK 50,000 Short TRYG A/S 03/01/2020 -8,195,000.00 0.00

TOTAL 0.00


(local currency)


(EUR) EUR 37,404 Short ABN AMRO GROUP NV-CV 03/01/2020 -768,278.16 0.00EUR 45,000 Long ATOS SE 04/03/2019 3,216,600.00 0.00EUR 3,637 Short DAIMLER AG-REGISTERE 02/10/2019 -166,974.67 0.00EUR 103,731 Short DEUTSCHE TELEKOM AG- 03/03/2020 -1,537,293.42 0.00EUR 2,100,000 Long EDP-ENERGIAS DE PORT 03/01/2020 6,402,900.00 0.00EUR 627,360 Long ENEL SPA 02/10/2019 3,164,403.84 0.00EUR 7,424 Long GRIFOLS SA 03/01/2020 170,009.60 0.00EUR 28,000 Short HANNOVER RUECK SE 03/01/2020 -3,295,600.00 0.00EUR 700,000 Long ING GROEP NV 03/12/2019 6,587,000.00 0.00EUR 200,000 Long INNOGY SE 03/12/2019 8,146,000.00 0.00EUR 295,527 Short INTESA SANPAOLO 03/12/2019 -573,263.27 0.00EUR 3,105,882 Long KONINKLIJKE KPN NV 03/01/2020 7,951,057.92 0.00EUR 64,150 Short MUENCHENER RUECKVER 03/12/2019 -12,223,782.50 0.00EUR 50,000 Long ORANGE BELGIUM 03/01/2020 862,000.00 0.00EUR 1,131 Short RALLYE SA 02/10/2019 -10,190.31 0.00EUR 50,000 Long RENAULT SA 03/03/2020 2,727,500.00 0.00EUR 33,744 Long SAFRAN SA 03/12/2019 3,556,617.60 0.00EUR 50,095 Long SAP SE 03/12/2019 4,354,758.35 0.00EUR 106,515 Short TELEFONICA SA 02/08/2019 -781,713.59 0.00

TOTAL 0.00


(local currency)


(EUR) GBP 200,000 Short ANGLO AMERICAN PLC 03/03/2020 -3,495,600.00 0.00GBP 535,191 Short HSBC HOLDINGS PLC 03/03/2020 -3,462,150.58 0.00GBP 205,342 Long RSA INSURANCE GROUP 04/03/2019 1,054,636.51 0.00

TOTAL 0.00


CONTRACTS FOR DIFFERENCE (continued)


(local currency)


(EUR) SEK 75,000 Short HENNES & MAURITZ AB- 03/01/2020 -9,451,500.00 0.00SEK 50,000 Short ICA GRUPPEN AB 03/01/2020 -15,840,000.00 0.00SEK 437,228 Short TELE2 AB-B SHS 02/10/2019 -49,384,902.60 0.00

TOTAL 0.00 As a consequence of the CFDs prices reset at the end of each month, there is no unrealised appreciation or depreciation as at December 31, 2018. The counterparty of the contracts is BNP Paribas London Branch.


(local currency)


(EUR) CHF 93 Long BANQUE CANTONALE VAUDOISE 03/04/2019 68,913.00 0.00CHF 186 Long BARRY CALLEBAUT N 03/04/2019 284,766.00 0.00CHF 20 Long BELIMO HOLDING AG 03/04/2019 78,800.00 0.00CHF 1,381 Long BERNER KANTONALBANK 03/04/2019 269,018.80 0.00CHF 5,945 Long BKW N 03/04/2019 408,421.50 0.00CHF 161 Long CHOCOLADEF. LINDT & SPRUENGLI PAR 03/04/2019 982,100.00 0.00CHF 6,912 Long GALENICA 03/04/2019 299,151.36 0.00CHF 231 Long GIVAUDAN N 03/04/2019 525,756.00 0.00CHF 1,834 Long HELVETIA HOLDING 03/04/2019 1,053,633.00 0.00CHF 4,456 Long HUBER & SUHNER N 03/04/2019 291,868.00 0.00CHF 175 Long INTERROLL HOLDING 03/04/2019 254,100.00 0.00CHF 1,231 Long KARDEX 03/04/2019 139,595.40 0.00CHF 8,249 Long LIECHTENST LDSBK 03/04/2019 529,585.80 0.00CHF 3,797 Long LONZA GROUP 03/04/2019 967,095.90 0.00CHF 529 Short NESTLE N 03/04/2019 -42,214.20 0.00CHF 9,947 Long NOVARTIS N 03/04/2019 835,945.88 0.00CHF 486 Long PARTNERS GROUP HOLDING 03/04/2019 289,656.00 0.00CHF 7,513 Long PSP SWISS PROPERTY 03/04/2019 727,634.05 0.00CHF 18,222 Long ROCHE HOLDING PAR 03/04/2019 4,435,234.80 0.00CHF 1,749 Long SENSIRION HOLDING 03/04/2019 73,895.25 0.00CHF 1,353 Short SGS N 03/04/2019 -2,990,130.00 0.00CHF 1,657 Long SIEGFRIED HOLDING 03/04/2019 556,752.00 0.00CHF 4,232 Long SWISS LIFE HLDG N 03/04/2019 1,602,235.20 0.00CHF 7,884 Short SWISS RE AG 03/04/2019 -710,506.08 0.00CHF 5,180 Long SWISSQUOTE GROUP HOLDING 03/04/2019 234,395.00 0.00CHF 617 Long VALIANT HOLDING 03/04/2019 66,636.00 0.00CHF 268 Short ZURICH INSURANCE GROUP 03/04/2019 -78,550.80 0.00

TOTAL 0.00


(local currency)


(EUR) DKK 6,338 Long CHRISTIAN HANSEN HOLDING 03/05/2019 3,654,490.80 0.00DKK 9,785 Long COLOPLAST 03/05/2019 5,919,925.00 0.00DKK 8,402 Long DSV 03/05/2019 3,606,138.40 0.00DKK 5,460 Long GN STORE NORD 03/05/2019 1,328,418.00 0.00DKK 39,949 Long ORSTED 03/05/2019 17,405,779.30 0.00DKK 34,106 Long OSSUR 03/05/2019 1,060,696.60 0.00DKK 2,122 Long RINGKJOBING LANDBOBANK 03/05/2019 721,480.00 0.00DKK 2,253 Long ROCKWOOL INTERNATIONAL 03/05/2019 3,830,100.00 0.00




(local currency)


(EUR) DKK 7,715 Long ROYAL UNIBREW 03/05/2019 3,464,035.00 0.00DKK 24,779 Long TOPDANMARK 03/05/2019 7,508,037.00 0.00DKK 8,887 Short TRYG 03/05/2019 -1,456,579.30 0.00DKK 12,075 Long VESTAS WIND SYSTEMS 03/05/2019 5,942,107.50 0.00

TOTAL 0.00


(local currency)


(EUR) EUR 94,560 Long A2A 02/04/2020 148,695.60 0.00EUR 10,584 Short AB INBEV 05/05/2019 -610,696.80 0.00EUR 19,611 Long ABN AMRO GROUP 05/05/2019 402,809.94 0.00EUR 8,042 Long ACCIONA 03/05/2019 594,303.80 0.00EUR 2,925 Short ACCOR 03/04/2019 -108,546.75 0.00EUR 3,758 Long ADIDAS N 05/05/2019 685,459.20 0.00EUR 4,883 Long ADLER REAL ESTATE 05/05/2019 63,576.66 0.00EUR 7,150 Long ADO PROPERTIES 05/05/2019 325,468.00 0.00EUR 1,937 Long ADYEN 05/05/2019 920,171.85 0.00EUR 573,032 Short AEGON 05/05/2019 -2,337,397.53 0.00EUR 4,659 Long AEROPORTS DE PARIS 03/04/2019 771,064.50 0.00EUR 1,752 Long AGEAS 05/05/2019 68,853.60 0.00EUR 43,992 Long AHOLD DEL 05/05/2019 971,123.40 0.00EUR 15,211 Long AIR FRANCE-KLM 03/04/2019 144,200.28 0.00EUR 886 Long AIR LIQUIDE 03/04/2019 96,086.70 0.00EUR 16,128 Short AIRBUS 03/04/2019 -1,354,106.88 0.00EUR 25,234 Long AKZO NOBEL 05/05/2019 1,776,473.60 0.00EUR 5,004 Short ALLIANZ 05/05/2019 -876,400.56 0.00EUR 66,271 Long ALMIRALL 03/05/2019 886,043.27 0.00EUR 181,682 Long ALSTOM 03/04/2019 6,407,924.14 0.00EUR 2,311 Long ALTEN 03/04/2019 168,009.70 0.00EUR 771,780 Long ALTICE EUROPE 05/05/2019 1,311,254.22 0.00EUR 19,213 Long ALTRI SGPS 19/12/2019 111,435.40 0.00EUR 9,204 Long AMADEUS IT GROUP 03/05/2019 559,971.36 0.00EUR 29,476 Long AMER SPORTS 05/05/2019 1,130,994.12 0.00EUR 20,047 Long AMPLIFON 02/04/2020 281,660.35 0.00EUR 11,152 Long ANTALIS 03/04/2019 10,482.88 0.00EUR 16,199 Long APPLUS SERVICES 03/05/2019 156,968.31 0.00EUR 4,659 Long ARGENX 05/05/2019 396,946.80 0.00EUR 4,280 Short ARKEMA 03/04/2019 -320,828.80 0.00EUR 163,589 Long AROUNDTOWN PROPERTY HOLDINGS S 05/05/2019 1,181,112.58 0.00EUR 20,562 Long ASR NEDERLAND 05/05/2019 711,033.96 0.00EUR 222,618 Short ASSICURAZIONI GENERALI 02/04/2020 -3,250,222.80 0.00EUR 4,609 Long ATOS 03/04/2019 329,451.32 0.00EUR 919 Short AURELIUS 05/05/2019 -29,150.68 0.00EUR 39,934 Short AXA 03/04/2019 -753,075.37 0.00EUR 1,619 Long BARCO 05/05/2019 160,119.10 0.00EUR 8,594 Long BASF N 05/05/2019 519,077.60 0.00EUR 13,237 Long BASIC-FIT 05/05/2019 343,500.15 0.00EUR 14,741 Long BAYER N 05/05/2019 892,714.96 0.00EUR 4,085 Long BECHTLE 05/05/2019 277,167.25 0.00EUR 1,910 Long BEFESA 05/05/2019 71,625.00 0.00EUR 715 Short BEIERSDORF 05/05/2019 -65,179.40 0.00EUR 3,035 Long BIC 03/04/2019 270,570.25 0.00EUR 10,916 Short BMW 05/05/2019 -771,761.20 0.00




(local currency)


(EUR) EUR 55,506 Short BNP PARIBAS ACT.A 03/04/2019 -2,191,099.35 0.00EUR 6,390 Long BORUSSIA DORTMUND 05/05/2019 50,896.35 0.00EUR 10,896 Long BUREAU VERITAS 03/04/2019 193,894.32 0.00EUR 55,506 Short BNP PARIBAS ACT.A 03/04/2019 -2,191,099.35 0.00EUR 40,557 Long CC GROUP 05/05/2019 110,517.83 0.00EUR 23,705 Long CA IMMOBILIEN ANLAGEN 04/04/2019 654,732.10 0.00EUR 10,450 Short CAPGEMINI 03/04/2019 -907,060.00 0.00EUR 20,035 Long CARL ZEISS MEDITEC 05/05/2019 1,368,390.50 0.00EUR 40,428 Long CASINO GUICHARD 03/04/2019 1,469,153.52 0.00EUR 12,951 Long CELLNEX TELECOM 03/05/2019 289,972.89 0.00EUR 2,799 Long CHRISTIAN DIOR SE 03/04/2019 934,586.10 0.00EUR 23,153 Long CNP ASSURANCES 03/04/2019 428,793.56 0.00EUR 14,776 Long COLRUYT (D) 05/05/2019 919,658.24 0.00EUR 1,824,127 Long COMPAGNIE GENERALE GEOPHYSIQUE 03/04/2019 2,108,690.81 0.00EUR 1,084 Short CONTINENTAL 05/05/2019 -130,893.00 0.00EUR 1,571 Short COVESTRO 05/05/2019 -67,835.78 0.00EUR 56,266 Short CREDIT AGRICOLE 03/04/2019 -530,588.38 0.00EUR 17,668 Long CTT CORREIOS DE PORTUGAL 19/12/2019 52,049.93 0.00EUR 13,588 Short DAIMLER N 05/05/2019 -623,825.08 0.00EUR 2,494 Long DANONE 03/04/2019 153,405.94 0.00EUR 146 Long DASSAULT AVIAT 03/04/2019 176,660.00 0.00EUR 2,480 Long DASSAULT SYSTEM 03/04/2019 257,176.00 0.00EUR 107,506 Long DAVIDE CAMPARI MILANO 02/04/2020 793,931.81 0.00EUR 8,417 Long DBX VIETNAM ETF 05/05/2019 215,517.29 0.00EUR 10,117 Long DEUTSCHE BOERSE N 05/05/2019 1,061,779.15 0.00EUR 13,664 Short DEUTSCHE TELEKOM N 05/05/2019 -202,500.48 0.00EUR 19,142 Long DEUTSCHE WOHNEN SE 05/05/2019 765,680.00 0.00EUR 16,484 Long DNA 05/05/2019 281,546.72 0.00EUR 4,962 Long DO & CO AKTIENGESELLSCHAFT 04/04/2019 400,929.60 0.00EUR 4,236 Long DSM KON 05/05/2019 302,619.84 0.00EUR 70,927 Short E.ON N 05/05/2019 -611,887.23 0.00EUR 12,793 Long EDENRED 03/04/2019 410,783.23 0.00EUR 146,719 Long EDF 03/04/2019 2,024,722.20 0.00EUR 275 Long EDP 19/12/2019 838.48 0.00EUR 5,617 Long ELIA 05/05/2019 327,471.10 0.00EUR 30,833 Long ELIOR GROUP 03/04/2019 402,678.98 0.00EUR 12,847 Long ELISA 05/05/2019 463,519.76 0.00EUR 34,535 Short ENAGAS 03/05/2019 -815,371.35 0.00EUR 54,196 Long ENCE ENERGIA Y CELULOSA 03/05/2019 297,265.06 0.00EUR 2,112 Long ENDESA 03/05/2019 42,514.56 0.00EUR 148,950 Long ENEL 02/04/2020 751,303.80 0.00EUR 70,362 Long ENGIE 03/04/2019 881,284.05 0.00EUR 29,328 Long ENI 02/04/2020 403,201.34 0.00EUR 17,126 Long ERCROS 03/05/2019 53,330.36 0.00EUR 27,818 Long ERG 02/04/2020 458,997.00 0.00EUR 13,512 Short ESSILORLUXOTTICA 03/04/2019 -1,492,400.40 0.00EUR 356 Short EUROFINS SCIENTIFIC 03/04/2019 -116,056.00 0.00EUR 9,121 Long EURONAV 05/05/2019 56,732.62 0.00EUR 1,723 Short EUTELSAT COMMUNICATIONS 03/04/2019 -29,644.22 0.00EUR 61,290 Long FAES FARMA 03/05/2019 182,031.30 0.00EUR 85,017 Long FAES FARMA DER 03/05/2019 8,671.73 0.00EUR 18,065 Long FAGRON 05/05/2019 257,968.20 0.00EUR 154,988 Long FALCK RENEWABLES 02/04/2020 363,446.86 0.00EUR 1,757 Long FERRARI 02/04/2020 152,472.46 0.00EUR 35,291 Long FERROVIAL 03/05/2019 624,474.25 0.00




(local currency)


(EUR) EUR 8,667 Short FIAT CHRYSLER AUTOMOBILES 02/04/2020 -109,914.89 0.00EUR 246,162 Long FINCANTIERI 02/04/2020 226,961.36 0.00EUR 51,198 Long FINECO BANK 02/04/2020 449,416.04 0.00EUR 24,170 Long FLOW TRADERS 05/05/2019 672,892.80 0.00EUR 7 193 Long FLUIDRA 03/05/2019 70 419.47 0.00EUR 29,468 Long FOMENTO DE CONSTRUCCIONES CONTR.ORD 03/05/2019 344,775.60 0.00EUR 51,734 Short FORTUM 05/05/2019 -988,119.40 0.00EUR 25,193 Long FUTUREN 03/04/2019 28,468.09 0.00EUR 268,712 Long GEMALTO 05/05/2019 13,612,949.92 0.00EUR 6,774 Long GETLINK 03/04/2019 79,459.02 0.00EUR 4,013 Long GLANBIA 05/05/2019 65,813.20 0.00EUR 32,262 Long GLOBAL DOMINION ACCESS 03/05/2019 138,726.60 0.00EUR 22,804 Long GRAND CITY PROPERTIES 05/05/2019 432,135.80 0.00EUR 7,900 Long GRUPO CATALANA OCCIDENTE 03/05/2019 257,540.00 0.00EUR 16,442 Long GTT 03/04/2019 1,104,080.30 0.00EUR 7,486 Short HANNOVER RUECK 05/05/2019 -881,102.20 0.00EUR 1,624 Long HENKEL& KGAA PRF 05/05/2019 154,929.60 0.00EUR 1,538 Long HYPOPORT N 05/05/2019 227,931.60 0.00EUR 45,496 Short IBERDROLA 03/05/2019 -319,290.93 0.00EUR 10,245 Long IMCD GROUP 05/05/2019 573,720.00 0.00EUR 50,404 Long INDRA SISTEMAS 03/05/2019 415,076.94 0.00EUR 211,765 Short ING GROEP 05/05/2019 -1,992,708.65 0.00EUR 4,500 Short INNOGY 05/05/2019 -167,040.00 0.00EUR 352,049 Long INNOGY 05/05/2019 14,338,955.77 0.00EUR 7,856 Long INTERPUMP GROUP 02/04/2020 204,256.00 0.00EUR 56,596 Long INTERTRUST 05/05/2019 831,395.24 0.00EUR 295,527 Long INTESA SANPAOLO 02/04/2020 573,263.27 0.00EUR 13,889 Long INWIT 02/04/2020 82,847.89 0.00EUR 31,446 Long IPSOS 03/04/2019 645,900.84 0.00EUR 31,966 Long ITALGAS 02/04/2020 159,702.14 0.00EUR 86,262 Long JUVENTUS FOOTBAL CLUB 02/04/2020 91,610.24 0.00EUR 3,692 Short KBC 05/05/2019 -209,262.56 0.00EUR 12,812 Long KESKO 05/05/2019 603,445.20 0.00EUR 13,391 Long KINGSPAN GROUP 05/05/2019 494,684.42 0.00EUR 4,823 Short KLEPIERRE REIT 03/04/2019 -130,028.08 0.00EUR 3,937 Short KONE 05/05/2019 -163,936.68 0.00EUR 17,288 Long KORIAN 03/04/2019 537,311.04 0.00EUR 3,150,030 Long KPN KON 05/05/2019 8,064,076.80 0.00EUR 175,460 Long LATECOERE 03/04/2019 487,778.80 0.00EUR 7,959 Long LEG IMMOBILIEN N 05/05/2019 725,224.08 0.00EUR 70,815 Short LEONARDO 02/04/2020 -543,717.57 0.00EUR 11,871 Long LOGISTA HOLD 03/05/2019 259,500.06 0.00EUR 620 Short L'OREAL 03/04/2019 -124,744.00 0.00EUR 1,077 Long LVMH 03/04/2019 278,081.40 0.00EUR 29,810 Long MASMOVIL IBERCOM 03/05/2019 581,295.00 0.00EUR 2,035 Long MERCK 05/05/2019 183,109.30 0.00EUR 34,585 Short METROPOLE TELEVISION 03/04/2019 -485,573.40 0.00EUR 3,593 Short MICHELIN 03/04/2019 -311,513.10 0.00EUR 2,593 Long MITHRA 05/05/2019 51,860.00 0.00EUR 6,413 Long MONCLER 02/04/2020 185,528.09 0.00EUR 2,080 Long MONTEA REIT 05/05/2019 124,384.00 0.00EUR 6,119 Long MTU AERO ENGINES HOLDING N 05/05/2019 969,249.60 0.00EUR 636 Short MUENCHENER RUECKVER N 05/05/2019 -121,189.80 0.00EUR 51,248 Long NATURGY ENERGY 03/05/2019 1,140,780.48 0.00




(local currency)


(EUR) EUR 2,126 Long NEMETSCHEK 05/05/2019 203,564.50 0.00EUR 19,158 Long NESTE 05/05/2019 1,290,482.88 0.00EUR 5,924 Short NN GROUP NV 05/05/2019 -206,155.20 0.00EUR 129,289 Long NOKIA 05/05/2019 650,323.67 0.00EUR 25,167 Long OCI 05/05/2019 448,224.27 0.00EUR 114,539 Long ORANGE 03/04/2019 1,621,299.55 0.00EUR 17,263 Long ORANGE BELGIUM 05/05/2019 297,614.12 0.00EUR 58,593 Long PAPELES Y CARTONES DE EUROPA 03/05/2019 983,190.54 0.00EUR 45,883 Long PARROT 03/04/2019 146,596.19 0.00EUR 5,633 Long PERNOD RICARD 03/04/2019 807,208.90 0.00EUR 27,963 Short PEUGEOT 03/04/2019 -521,370.14 0.00EUR 8,052 Long POYRY 05/05/2019 83,740.80 0.00EUR 40,135 Long PROMOTORA DE INFORMACIONES CLASS A 03/05/2019 70,637.60 0.00EUR 787 Short PROXIMUS 05/05/2019 -18,588.94 0.00EUR 79,633 Long PRYSMIAN 02/04/2020 1,343,408.71 0.00EUR 84,761 Long PUBLICIS GROUPE 03/04/2019 4,244,830.88 0.00EUR 1,291 Long PUMA 05/05/2019 551,257.00 0.00EUR 8,333 Long QIAGEN 05/05/2019 247,323.44 0.00EUR 55,423 Short RALLYE 03/04/2019 -499,361.23 0.00EUR 29,073 Long RECORDATI INDUSTRIA CHIM. FARMA. 02/04/2020 880,621.17 0.00EUR 4,193 Short RED ELECTRICA CORPORACION 03/05/2019 -81,742.54 0.00EUR 2,755 Short RELX 05/05/2019 -49,507.35 0.00EUR 12,395 Long RENAULT 03/04/2019 676,147.25 0.00EUR 5,572 Long ROTHSCHILD & CO 03/04/2019 171,896.20 0.00EUR 201,073 Long ROYAL DUTCH SHELL CL A 05/05/2019 5,158,527.82 0.00EUR 13,173 Long RWE 05/05/2019 249,825.95 0.00EUR 1,150 Long RWE PRF 05/05/2019 21,666.00 0.00EUR 5,090 Long S IMMO 04/04/2019 74,008.60 0.00EUR 8,988 Long S&T 05/05/2019 142,100.28 0.00EUR 72,986 Long SAFRAN 03/04/2019 7,692,724.40 0.00EUR 72,485 Long SAINT GOBAIN 03/04/2019 2,114,025.03 0.00EUR 96,756 Short SAIPEM RG 02/04/2020 -315,908.34 0.00EUR 34,557 Long SANOFI 03/04/2019 2,614,582.62 0.00EUR 2,461 Long SAP 05/05/2019 213,934.73 0.00EUR 9,155 Long SARTORIUS PRF 05/05/2019 996,979.50 0.00EUR 7,576 Long SARTORIUS STEDIM BIOTECH 03/04/2019 661,763.60 0.00EUR 6,106 Short SCHNEIDER ELECTRIC SE 03/04/2019 -364,650.32 0.00EUR 203,061 Long SCOR 03/04/2019 8,000,603.40 0.00EUR 17,087 Long SES FDR 03/04/2019 285,523.77 0.00EUR 13,115 Long SIEMENS HEALTHINEERS 05/05/2019 479,287.68 0.00EUR 2,127 Long SIXT 05/05/2019 147,188.40 0.00EUR 9,528 Long SLIGRO FOOD GROUP 05/05/2019 331,574.40 0.00EUR 6,605 Long SMURFIT KAPPA GROUP 05/05/2019 153,632.30 0.00EUR 40,973 Long SNAM 02/04/2020 156,475.89 0.00EUR 11,067 Short SOCIETE GENERALE 03/04/2019 -307,883.94 0.00EUR 3,372 Short SODEXO 03/04/2019 -301,794.00 0.00EUR 3,400 Long SOFINA 05/05/2019 563,720.00 0.00EUR 19,802 Long SOLARIA ENERGIA Y MEDIO AMBIENTE 03/05/2019 78,514.93 0.00EUR 25,991 Long SOLUTIONS 30 SE 03/04/2019 231,839.72 0.00EUR 10,424 Short SOLVAY 05/05/2019 -910,223.68 0.00EUR 71,915 Long SPIE 03/04/2019 833,494.85 0.00EUR 293 Short STADA ARZNEI N 05/05/2019 -23,586.50 0.00EUR 365,925 Long SUEZ 03/04/2019 4,219,115.25 0.00EUR 2,652 Long SYMRISE 05/05/2019 171,054.00 0.00EUR 81,051 Long TAG IMMOBILIEN 05/05/2019 1,613,725.41 0.00




(local currency)


(EUR) EUR 1,190 Long TAKEAWAY COM 05/05/2019 69,972.00 0.00EUR 29,921 Short TECHNIPFMC 03/04/2019 -528,105.65 0.00EUR 53,410 Long TECHNOGYM 02/04/2020 499,917.60 0.00EUR 20,510 Short TELEFONICA 03/05/2019 -150,522.89 0.00EUR 7,115 Long TELEPERFORMANCE 03/04/2019 993,254.00 0.00EUR 54,071 Long TELEVISION FRANCAISE 1 03/04/2019 382,822.68 0.00EUR 33,391 Long TERNA RETE ELETTRICA NAZIONALE 02/04/2020 165,385.62 0.00EUR 26,078 Long THALES 03/04/2019 2,659,956.00 0.00EUR 8,115 Short THYSSENKRUPP 05/05/2019 -121,562.70 0.00EUR 20,685 Long TLG IMMOBILIEN 05/05/2019 500,990.70 0.00EUR 76,149 Long TOTAL 03/04/2019 3,516,560.82 0.00EUR 76,149 Long TOTAL SA RTS 03/04/2019 0.00 0.00EUR 2,730 Long TRIGANO 03/04/2019 220,174.50 0.00EUR 2,612 Long UBISOFT ENTERTAIN 03/04/2019 184,093.76 0.00EUR 13,711 Long UCB 05/05/2019 977,594.30 0.00EUR 374,001 Long UNICREDIT 02/04/2020 3,700,365.89 0.00EUR 5,156 Long UNILEVER DUTCH CERT 05/05/2019 244,497.52 0.00EUR 104,908 Long UNIPER 05/05/2019 2,370,920.80 0.00EUR 460,419 Long UNIPOL GRUPPO FINANZIARIO 02/04/2020 1,619,754.04 0.00EUR 891,963 Short UNIPOLSAI 02/04/2020 -1,762,964.87 0.00EUR 10,640 Long UPM-KYMMENE 05/05/2019 235,676.00 0.00EUR 5,764 Short VALEO 03/04/2019 -147,039.64 0.00EUR 50,987 Long VALMT 05/05/2019 915,216.65 0.00EUR 4,446 Long VARTA 05/05/2019 110,616.48 0.00EUR 19,099 Short VEOLIA ENVIRONNEMENT VE 03/04/2019 -342,922.55 0.00EUR 37,877 Long VERBUND 04/04/2019 1,410,539.48 0.00EUR 1,157 Long VIRBAC 03/04/2019 131,666.60 0.00EUR 4,419 Long VISCOFAN 03/05/2019 212,642.28 0.00EUR 66,834 Long VIVENDI 03/04/2019 1,422,227.52 0.00EUR 1,981 Short VOLKSWAGEN NV PRF 05/05/2019 -275,200.52 0.00EUR 16,802 Long VOPAK 05/05/2019 666,703.36 0.00EUR 4,110 Long WDP REIT 05/05/2019 473,472.00 0.00EUR 5,268 Long WENDEL 03/04/2019 551,559.60 0.00EUR 7,434 Short WIRECARD 05/05/2019 -987,235.20 0.00EUR 21,915 Long WOLTERS KLUWER 05/05/2019 1,132,128.90 0.00EUR 3,178 Long WORLDLINE 03/04/2019 134,111.60 0.00EUR 5,040 Long ZOOPLUS 05/05/2019 599,256.00 0.00

TOTAL 0.00


(local currency)


(EUR) GBP 34,991 Long ACACIA MINING 05/05/2019 64,138.50 0.00GBP 43,240 Long ADMIRAL GROUP 05/05/2019 885,122.80 0.00GBP 66,350 Short ANGLO AMERICAN 05/05/2019 -1,159,665.30 0.00GBP 38,602 Long ASHMORE GROUP 05/05/2019 141,128.91 0.00GBP 10,791 Long ASHTEAD GROUP 05/05/2019 176,648.67 0.00GBP 21,445 Long ASTRAZENECA 05/05/2019 1,259,464.85 0.00GBP 125,587 Long AUTO TRADER GROUP 05/05/2019 571,169.68 0.00GBP 97,581 Long AVAST PLC 05/05/2019 277,130.04 0.00GBP 40,986 Long AVEVA GROUP 05/05/2019 991,861.20 0.00GBP 60,597 Long BARR A.G. 05/05/2019 478,110.33 0.00GBP 27,881 Long BEAZLEY 05/05/2019 140,380.84 0.00




(local currency)


(EUR) GBP 63,168 Long BHP GROUP PLC 05/05/2019 1,043,282.69 0.00GBP 32,285 Long BIG YELLOW GROUP REIT 05/05/2019 282,009.48 0.00GBP 8,745 Long BLUE PRISM GROUP 05/05/2019 96,719.70 0.00GBP 116,161 Long BP 05/05/2019 576,100.48 0.00GBP 77,503 Short BRITISH LAND REIT 05/05/2019 -413,246.00 0.00GBP 25,254 Long BRITVIC 05/05/2019 201,905.73 0.00GBP 80,408 Long BT GROUP 05/05/2019 191,451.45 0.00GBP 30,089 Long BTG 05/05/2019 249,738.70 0.00GBP 10,927 Long BUNZL 05/05/2019 258,860.63 0.00GBP 9,806 Long BURFORD CAPITAL 05/05/2019 162,387.36 0.00GBP 24,491 Long CHARTER COURT FINANCIAL SERVICES GRO 05/05/2019 61,227.50 0.00GBP 13,395 Long CIVITAS SOCIAL HOUSING 05/05/2019 14,265.68 0.00GBP 15,808 Long COMPASS GROUP 05/05/2019 260,832.00 0.00GBP 2,198 Long CONTOURGLOBAL PLC 05/05/2019 3,956.40 0.00GBP 123,212 Long CRODA INTERNATIONAL 05/05/2019 5,772,482.20 0.00GBP 1 Short CYBG 05/05/2019 -1.81 0.00GBP 7,315 Long DART GROUP 05/05/2019 56,471.80 0.00GBP 17,440 Long DIAGEO 05/05/2019 487,448.00 0.00GBP 42,497 Long DIPLOMA 05/05/2019 514,213.70 0.00GBP 74,251 Long DIVERSIFIED GAS & OIL 05/05/2019 86,873.67 0.00GBP 216,709 Long DRAX GROUP 05/05/2019 777,551.89 0.00GBP 173,484 Long EI GROUP 05/05/2019 315,046.94 0.00GBP 30,930 Long EMIS GROUP 05/05/2019 282,390.90 0.00GBP 28,719 Long ENERGEAN OIL & GAS PLC 05/05/2019 180,441.48 0.00GBP 220,992 Long ENQUEST 05/05/2019 48,507.74 0.00GBP 64,940 Long ENTERTAINMENT ONE 05/05/2019 231,576.04 0.00GBP 13,481 Long ESSENTRA 05/05/2019 46,158.94 0.00GBP 206,684 Long EVRAZ PLC 05/05/2019 993,116.62 0.00GBP 47,633 Long EXPERIAN 05/05/2019 907,408.65 0.00GBP 161,338 Long FAROE PETROLEUM 05/05/2019 237,166.86 0.00GBP 2,995 Long FERGUSON 05/05/2019 150,259.15 0.00GBP 6,717 Long FEVERTREE DRINKS 05/05/2019 147,706.83 0.00GBP 20,905 Long GAMES WORKSHOP GROUP 05/05/2019 635,512.00 0.00GBP 15,118 Long GB GROUP 05/05/2019 63,873.55 0.00GBP 57,847 Long GENEL ENERGY 05/05/2019 102,620.58 0.00GBP 29,104 Long GLAXOSMITHKLINE 05/05/2019 433,998.85 0.00GBP 75,452 Long GREAT PORTLAND ESTATES PLC SHS 05/05/2019 497,304.13 0.00GBP 11,231 Long GREGGS 05/05/2019 142,184.46 0.00GBP 89,904 Long GULF KEYSTONE PETROLEUM 05/05/2019 162,726.24 0.00GBP 44,911 Short GVC HOLDINGS 05/05/2019 -302,700.14 0.00GBP 836 Long HAMMERSON REIT 05/05/2019 2,753.78 0.00GBP 13,749 Long HARGREAVES LANSDOWN 05/05/2019 254,219.01 0.00GBP 44,774 Long HIGHLAND GO MINING 05/05/2019 63,489.53 0.00GBP 51,227 Long HIKMA PHARMACEUTICALS 05/05/2019 879,055.32 0.00GBP 14,084 Long HILTON FOOD GROUP 05/05/2019 127,037.68 0.00GBP 61,844 Long HISCOX DI 05/05/2019 1,002,491.24 0.00GBP 83,405 Long HOMESERVE 05/05/2019 721,870.28 0.00GBP 457,259 Long HSBC HOLDINGS 05/05/2019 2,624,208.07 0.00GBP 22,778 Long HUNTING 05/05/2019 109,334.40 0.00GBP 169,785 Long HURRICANE ENERGY 05/05/2019 74,977.06 0.00GBP 133 Long IMPERIAL BRANDS PLC 05/05/2019 3,161.41 0.00GBP 5,876 Long INMARSAT 05/05/2019 22,287.67 0.00GBP 2,319 Long INTERCONTINENTAL HOTELS GROUP 05/05/2019 98,256.03 0.00GBP 5,691 Short INTERTEK GROUP 05/05/2019 -273,168.00 0.00GBP 194,075 Long JOHN LAING GROUP 05/05/2019 644,329.00 0.00




(local currency)


(EUR) GBP 9,068 Short JOHNSON MATTHEY 05/05/2019 -253,813.32 0.00GBP 10,551 Long KEYWORDS STUDIOS 05/05/2019 112,895.70 0.00GBP 6,259 Short LAND SECURITIES GROUP REIT 05/05/2019 -50,347.40 0.00GBP 229,441 Long LEARNING TECHNOLOGIES GROUP 05/05/2019 159,232.05 0.00GBP 130,310 Long LEGAL AND GENERAL GROUP 05/05/2019 301,016.10 0.00GBP 43,620 Long LLOYDS BANKING GROUP 05/05/2019 22,616.97 0.00GBP 6,488 Long LONDON STOCK EXCHANGE GROUP 05/05/2019 263,542.56 0.00GBP 66,456 Long LONDONMETRIC PROPERTY REIT 05/05/2019 115,633.44 0.00GBP 20,945 Short MICRO FOCUS INTERNATIONAL 05/05/2019 -289,669.35 0.00GBP 16,273 Short MONDI 05/05/2019 -265,819.46 0.00GBP 203,369 Long MORRISONWM.SUPERMARKETS 05/05/2019 433,684.39 0.00GBP 87,058 Long NATIONAL EXPRESS GROUP 05/05/2019 325,596.92 0.00GBP 1,145 Short NEXT 05/05/2019 -45,696.95 0.00GBP 71,630 Long OCADO GROUP 05/05/2019 565,877.00 0.00GBP 11,133 Long OXFORD BIOMEDICA PLC SHS 05/05/2019 78,732.58 0.00GBP 7,777 Short PADDY POWER BETFAIR 05/05/2019 -497,728.00 0.00GBP 15,351 Long PATISSERIE HOLDINGS 05/05/2019 65,932.55 0.00GBP 64,209 Long PEARSON 05/05/2019 602,537.26 0.00GBP 26,914 Long PETROFAC 05/05/2019 128,379.78 0.00GBP 421,664 Long PETS AT HOME GROUP 05/05/2019 488,286.91 0.00GBP 1,519,707 Long PLAYTECH 05/05/2019 5,850,871.95 0.00GBP 18,467 Long PLUS500 05/05/2019 252,997.90 0.00GBP 19,232 Long POLYMETAL INTERNATIONAL 05/05/2019 158,087.04 0.00GBP 260,968 Long PREMIER OIL 05/05/2019 173,674.20 0.00GBP 66,691 Long PRUDENTIAL 05/05/2019 935,007.82 0.00GBP 285,748 Long QINETIQ GROUP 05/05/2019 818,382.27 0.00GBP 2,172 Long RANDGOLD RESOURCES 05/05/2019 142,179.12 0.00GBP 196 Long RECKITT BENCKISER GROUP 05/05/2019 11,785.48 0.00GBP 83,410 Long REDDE 05/05/2019 141,797.00 0.00GBP 6,180 Long RIO TINTO 05/05/2019 230,514.00 0.00GBP 36,453 Long ROYAL BANK OF SCOTLAND GROUP 05/05/2019 78,993.65 0.00GBP 50,420 Long RSA INSURANCE GROUP 05/05/2019 258,957.12 0.00GBP 14,595 Long RWS HOLDINGS 05/05/2019 69,910.05 0.00GBP 26,591 Long SABRE INSURANCE GROUP PLC 05/05/2019 72,593.43 0.00GBP 65,257 Long SAFESTORE HOLDINGS REIT 05/05/2019 330,526.71 0.00GBP 172,927 Short SAINSBURYJ 05/05/2019 -458,256.55 0.00GBP 77,474 Long SEGRO REIT 05/05/2019 456,011.96 0.00GBP 772,010 Long SHIRE 05/05/2019 35,280,857.00 0.00GBP 28,910 Long SMITH AND NEPHEW 05/05/2019 423,242.40 0.00GBP 57,662 Short SMITH DS 05/05/2019 -172,582.37 0.00GBP 9,113 Long SMURFIT KAPPA GROUP 05/05/2019 189,732.66 0.00GBP 24,004 Long SOFTCAT 05/05/2019 141,143.52 0.00GBP 37,687 Long SOUTH32 G 05/05/2019 69,344.08 0.00GBP 7,900 Long SPIRAX-SARCO ENGINEERING 05/05/2019 492,960.00 0.00GBP 21,279 Long SPIRENT COMMUNICATIONS 05/05/2019 25,194.34 0.00GBP 76,970 Long SSP GROUP 05/05/2019 498,303.78 0.00GBP 33,612 Long TATE AND LYLE 05/05/2019 221,839.20 0.00GBP 7,562 Long TELECOM PLUS 05/05/2019 108,287.84 0.00GBP 193,678 Long THE RENEWABLES INFRASTRUCTURE 05/05/2019 219,243.50 0.00GBP 67,213 Long TULLOW OIL 05/05/2019 120,378.48 0.00GBP 1,809 Short UNILEVER 05/05/2019 -74,322.77 0.00GBP 143,651 Long UNITE GROUP REIT 05/05/2019 1,157,827.06 0.00GBP 11,527 Long VICTREX 05/05/2019 263,737.76 0.00GBP 13,408,956 Short VODAFONE GROUP 05/05/2019 -20,502,293.72 0.00GBP 16,925 Long WHITBREAD 05/05/2019 774,995.75 0.00




(local currency)


(EUR) GBP 68,549 Short WILLIAM HILL 05/05/2019 -106,250.95 0.00GBP 7,110 Long WPP 05/05/2019 60,193.26 0.00

TOTAL 0.00


(local currency)


(EUR) HKD 322,340 Short AIA 14/04/2020 -20,952,100.00 0.00

TOTAL 0.00


(local currency)


(EUR) JPY 515,672 Short TAKEDA PHARM 12/04/2019 -1,910,564,760.00 0.00

TOTAL 0.00


(local currency)


(EUR) NOK 9,797 Long AKER 03/05/2019 4,526,214.00 0.00NOK 11,802 Long AKER BP 03/05/2019 2,572,836.00 0.00NOK 21,903 Long AUSTEVOLL SEAFOOD 03/05/2019 2,339,240.40 0.00NOK 9,778 Long BAKKAFROST 03/05/2019 4,138,049.60 0.00NOK 47,217 Long BW OFFSHORE 03/05/2019 1,494,418.05 0.00NOK 338,590 Long DNO 03/05/2019 4,249,304.50 0.00NOK 40,560 Long EQUINOR 03/05/2019 7,452,900.00 0.00NOK 217,602 Long FLEX LNG 03/05/2019 2,687,384.70 0.00NOK 29,631 Long FRONTLINE 03/05/2019 1,445,992.80 0.00NOK 66,125 Long GRIEG SEAFOOD 03/05/2019 6,764,587.50 0.00NOK 138,852 Long LEROY SEAFOOD GROUP 03/05/2019 9,155,900.88 0.00NOK 42,669 Long MOWI 03/05/2019 7,795,626.30 0.00NOK 12,938 Long NORTHERN DRILLING 03/05/2019 657,250.40 0.00NOK 11,289 Long NORWAY ROYAL SALMON 03/05/2019 2,020,731.00 0.00NOK 29,969 Long SALMAR 03/05/2019 12,826,732.00 0.00NOK 62,415 Long SCATEC SOLAR 03/05/2019 4,606,227.00 0.00NOK 29,809 Long SCHIBSTED 03/05/2019 8,644,610.00 0.00NOK 36,737 Long SPAREBANK 1 NORD-NORGE 03/05/2019 2,307,083.60 0.00NOK 21,068 Long SPAREBANK 1 SMN 03/05/2019 1,773,925.60 0.00NOK 47,568 Long SPAREBANK 1 SR-BANK 03/05/2019 4,243,065.60 0.00NOK 64,195 Long STOREBRAND 03/05/2019 3,956,979.80 0.00NOK 9,317 Long TELENOR 03/05/2019 1,560,597.50 0.00NOK 12,213 Long TGS NOPEC GEOPHYSICAL 03/05/2019 2,550,074.40 0.00NOK 34,635 Long TOMRA SYSTEMS 03/05/2019 6,746,898.00 0.00NOK 26,065 Long VEIDEKKE 03/05/2019 2,525,698.50 0.00

TOTAL 0.00




(local currency)


(EUR) SEK 64,016 Long AAK 05/05/2019 7,854,763.20 0.00SEK 4,039 Long AF 05/05/2019 647,855.60 0.00SEK 15,018 Long ALFA LAVAL 05/05/2019 2,848,163.70 0.00SEK 9,124 Long AMBEA 05/05/2019 792,875.60 0.00SEK 92,241 Long ARJO 05/05/2019 2,615,032.35 0.00SEK 19,584 Short ATLAS COPCO A 05/05/2019 -4,122,432.00 0.00SEK 8,055 Long ATRIUM LJUNGBERG 05/05/2019 1,224,360.00 0.00SEK 20,790 Long AVANZA BANK HOLDING 05/05/2019 8,806,644.00 0.00SEK 13,442 Long BEIJER REF 05/05/2019 1,960,918.96 0.00SEK 43,875 Long BETSSON AB SHS 05/05/2019 3,202,875.00 0.00SEK 24,385 Long BILIA AB SHS 05/05/2019 2,020,297.25 0.00SEK 11,249 Long BIOARCTIC 05/05/2019 922,418.00 0.00SEK 38,149 Long BIOTAGE 05/05/2019 4,158,241.00 0.00SEK 34,188 Long BRAVIDA HOLDING 05/05/2019 2,095,724.40 0.00SEK 79,653 Long CASTELLUM 05/05/2019 13,011,317.55 0.00SEK 5,696 Long CATENA 05/05/2019 1,255,968.00 0.00SEK 7,399 Long CATENA MEDIA 05/05/2019 726,211.85 0.00SEK 10,319 Long CELLAVISION 05/05/2019 1,976,088.50 0.00SEK 43,019 Long CHERRY 05/05/2019 3,725,445.40 0.00SEK 15,416 Long DIOS FASTIGHETER 05/05/2019 868,691.60 0.00SEK 12,362 Long DUSTIN GROUP 05/05/2019 906,134.60 0.00SEK 78,365 Long ELEKTA 05/05/2019 8,255,752.75 0.00SEK 176,750 Long ERICSSON 05/05/2019 13,772,360.00 0.00SEK 22,691 Short EVOLUTION GAMING GROUP 05/05/2019 -11,561,064.50 0.00SEK 78,410 Long FABEGE AB 05/05/2019 9,264,925.60 0.00SEK 18,129 Long FASTIGHETS BALDER 05/05/2019 4,568,508.00 0.00SEK 26,397 Long HANSA BIOPHARMA 05/05/2019 7,306,689.60 0.00SEK 30,578 Long HEMBLA AB 05/05/2019 4,525,544.00 0.00SEK 58,946 Long HEMFOSA FASTIGHETER 05/05/2019 4,120,325.40 0.00SEK 73,427 Short HENNES & MAURITZ 05/05/2019 -9,253,270.54 0.00SEK 3,560 Long HEXAGON 05/05/2019 1,452,480.00 0.00SEK 10,762 Long HOLMEN B 05/05/2019 1,882,704.28 0.00SEK 180,122 Short ICA GRUPPEN 05/05/2019 -57,062,649.60 0.00SEK 18,375 Long KAMBI GROUP 05/05/2019 3,491,250.00 0.00SEK 27,639 Long KUNGSLEDEN 05/05/2019 1,738,493.10 0.00SEK 14,632 Long LATOUR INVESTMENT 05/05/2019 1,638,784.00 0.00SEK 10,743 Long LIFCO 05/05/2019 3,518,332.50 0.00SEK 12,833 Long LUNDIN PETROLEUM 05/05/2019 2,841,226.20 0.00SEK 8,294 Long MYCRONIC 05/05/2019 979,521.40 0.00SEK 89,275 Long NIBE INDUSTRIER 05/05/2019 8,116,883.00 0.00SEK 25,498 Long NYFOSA 05/05/2019 1,090,166.99 0.00SEK 12,603 Long ONCOPEPTIDES 05/05/2019 1,656,034.20 0.00SEK 7,812 Long RECIPHARM 05/05/2019 884,318.40 0.00SEK 15,169 Long RESURS HOLDING 05/05/2019 829,744.30 0.00SEK 21,276 Short SANDVIK 05/05/2019 -2,688,222.60 0.00SEK 16,159 Long SECURITAS 05/05/2019 2,298,617.75 0.00SEK 15,349 Short SKF 05/05/2019 -2,063,673.05 0.00SEK 45,620 Long SVENSKA CELLULOSA AKTIEBOLAGET 05/05/2019 3,135,006.40 0.00SEK 4,696 Long SWECO 05/05/2019 924,642.40 0.00SEK 12,879 Long SWEDBANK 05/05/2019 2,546,822.25 0.00SEK 12,547 Long SWEDISH MATCH 05/05/2019 4,380,157.70 0.00SEK 9,474 Long SWEDISH ORPHAN BIOVITRUM 05/05/2019 1,828,482.00 0.00SEK 416,720 Short TELE2 05/05/2019 -47,068,524.00 0.00SEK 75,597 Short TELIA COMPANY 05/05/2019 -3,173,562.06 0.00SEK 23,576 Long THQ NORDIC 05/05/2019 3,404,374.40 0.00




(local currency)


(EUR) SEK 46,684 Long VICTORIA PARK 05/05/2019 1,689,960.80 0.00SEK 14,074 Long VITROLIFE 05/05/2019 2,068,878.00 0.00SEK 7,617 Long WALLENSTAM B 05/05/2019 626,117.40 0.00SEK 13,376 Long WIHLBORGS FASTIGHETER 05/05/2019 1,369,702.40 0.00

TOTAL 0.00


(local currency)


(EUR) USD 6,416 Long ABBOTT LABORATORIES 08/05/2019 464,069.28 0.00USD 930 Long ACCELERON PHARMA 08/05/2019 40,501.50 0.00USD 1,627 Long ACCENTURE CL A 08/05/2019 229,423.27 0.00USD 2,135 Long ADDUS HOMECARE 08/05/2019 144,923.80 0.00USD 2,125 Short ADOBE 08/05/2019 -480,760.00 0.00USD 892 Long ADVANCE AUTO PARTS 08/05/2019 140,454.32 0.00USD 2,227 Long ADVANCED MICRO DEVICES 08/05/2019 41,110.42 0.00USD 1,031 Long AEROVIRONMENT 08/05/2019 70,056.45 0.00USD 22,669 Long AES 08/05/2019 327,793.74 0.00USD 4,320 Long AGREE REALTY REIT 08/05/2019 255,398.40 0.00USD 2,803,341 Short ALIBABA GROUP HOLDING ADR REP 1 08/05/2019 -384,253,950.87 0.00USD 1,533 Long ALLIANCEBERNSTEIN HOLDING UNT 23/04/2020 41,881.56 0.00USD 2,400 Long ALTERYX CL A 08/05/2019 142,728.00 0.00USD 2,772 Long AMC ENTERTAINMENT HOLDINGS CL A 08/05/2019 34,040.16 0.00USD 526 Long AMEDISYS 08/05/2019 61,599.86 0.00USD 4,465 Long AMERICAN ASSETS REIT 08/05/2019 179,359.05 0.00USD 3,260 Long AMERICAN STATES WATER 08/05/2019 218,550.40 0.00USD 206 Long AMERICAN TOWER REIT 08/05/2019 32,587.14 0.00USD 14,760 Long AMERICOLD REALTY 08/05/2019 376,970.40 0.00USD 2,275 Long ANALOG DEVICES 08/05/2019 195,263.25 0.00USD 1,336 Long ANTHEM 08/05/2019 350,873.68 0.00USD 2,071 Long AON CL A 08/05/2019 301,040.56 0.00USD 3,751 Long APOLLO COMM REAL EST FIN REIT 08/05/2019 62,491.66 0.00USD 4,553 Short APPLE 08/05/2019 -718,190.22 0.00USD 35,380 Long ARBOR REALTY REIT 08/05/2019 356,276.60 0.00USD 22,864 Long ARCOS DORADOS HOLDINGS CL A 08/05/2019 180,625.60 0.00USD 3,187 Long ARGO GROUP INTERNATIONAL HLDGS 08/05/2019 214,325.75 0.00USD 3,307 Long ARTHUR J GALLAGHER 08/05/2019 243,725.90 0.00USD 12,380 Long ASCENA RETAIL GROUP 08/05/2019 31,073.80 0.00USD 11,531 Long ASHLAND GLOBAL 08/05/2019 818,239.76 0.00USD 4,192 Long ASPEN INSURANCE HOLDINGS 08/05/2019 176,022.08 0.00USD 485 Long ASPEN TECHNOLOGY 08/05/2019 39,857.30 0.00USD 24,457 Short AT&T 08/05/2019 -698,002.78 0.00USD 590 Long ATARA BIOTHERAPEUTICS 08/05/2019 20,496.60 0.00USD 867 Long ATLASSIAN CL A 08/05/2019 77,145.66 0.00USD 665 Long ATN INTERNATIONAL 08/05/2019 47,567.45 0.00USD 281 Long ATRION 08/05/2019 208,243.48 0.00USD 322 Long AUTOMATIC DATA PROCESSING 08/05/2019 42,220.64 0.00USD 28 Long AUTOZONE 08/05/2019 23,473.52 0.00USD 3,369 Long BADGER METER 08/05/2019 165,788.49 0.00USD 19,495 Short BAKER HUGHES A GE COMPANY CL A 08/05/2019 -419,142.50 0.00USD 4,478 Long BALL 08/05/2019 205,898.44 0.00USD 3,136 Long BANDWIDTH CL A 08/05/2019 127,792.00 0.00USD 1,288 Long BANK NT BUTTERFIELD AND SON 08/05/2019 40,378.80 0.00USD 1,843 Long BAUSCH HEALTH COMPAN 08/05/2019 34,040.21 0.00




(local currency)


(EUR) USD 15,140 Long BELMOND CL A 08/05/2019 378,954.20 0.00USD 1,701 Long BENEFITFOCUS 08/05/2019 77,769.72 0.00USD 390 Long BIO TECHNE 08/05/2019 56,440.80 0.00USD 11,119 Long BIOCRYST PHARMACEUTICALS 08/05/2019 89,730.33 0.00USD 1,496 Long BIOTELEMETRY 08/05/2019 89,341.12 0.00USD 1,642 Long BJS RESTAURANTS 08/05/2019 83,035.94 0.00USD 3,136 Long BLACK HILLS 08/05/2019 196,878.08 0.00USD 2,186 Long BLACKSTONE MORTGAGE CL A REIT 08/05/2019 69,645.96 0.00USD 262 Long BOEING 08/05/2019 84,495.00 0.00USD 2,558 Long BOOT BARN HOLDINGS 08/05/2019 43,562.74 0.00USD 2,367 Long BOOZ ALLEN HAMILTON HOLDING CL A 08/05/2019 106,680.69 0.00USD 170 Long BOSTON BEER CL A 08/05/2019 40,942.80 0.00USD 2,198 Long BOSTON SCIENTIFIC 08/05/2019 77,677.32 0.00USD 1,276 Long BOTTOMLINE TECHNOLOGIES 08/05/2019 61,248.00 0.00USD 1,127 Long BRIGHT HORIZONS FAMILY SOLUTIONS 08/05/2019 125,604.15 0.00USD 1,560 Long BRINKER INTERNATIONAL 08/05/2019 68,608.80 0.00USD 4,255 Short BROADCOM 08/05/2019 -1,081,961.40 0.00USD 1,323 Long BURLINGTON STORES 08/05/2019 215,212.41 0.00USD 287 Long CABLE ONE 08/05/2019 235,368.70 0.00USD 2,921 Long CACTUS CL A 08/05/2019 80,064.61 0.00USD 4,095 Long CALIFORNIA WATER SERVICE GROUP 08/05/2019 195,167.70 0.00USD 2,846 Long CALLAWAY GOLF 08/05/2019 43,543.80 0.00USD 422 Long CANADA GOOSE HOLDINGS SUB VTG 08/05/2019 18,449.84 0.00USD 275 Long CANADIAN PACIFIC RAILWAY 08/05/2019 48,845.50 0.00USD 13,652 Long CAPITOL FEDERAL FINANCIAL 08/05/2019 174,336.04 0.00USD 7,850 Long CAREDX 08/05/2019 197,349.00 0.00USD 9,465 Long CARETRUST REIT 08/05/2019 174,723.90 0.00USD 14,198 Long CASELLA WASTE CL A 08/05/2019 404,501.02 0.00USD 8,440 Short CBS CL B 08/05/2019 -368,996.80 0.00USD 397 Long CENTENE 08/05/2019 45,774.10 0.00USD 6,496 Long CENTERPOINT ENERGY 08/05/2019 183,382.08 0.00USD 1,016 Long CF INDUSTRIES HOLDINGS 08/05/2019 44,206.16 0.00USD 2,778 Long CHEFS' WAREHOUSE 08/05/2019 88,840.44 0.00USD 1,342 Long CHURCH AND DWIGHT 08/05/2019 88,249.92 0.00USD 8,285 Long CIENA 08/05/2019 280,944.35 0.00USD 843 Long CIGNA 08/05/2019 160,102.56 0.00USD 2,962 Long CISCO SYSTEMS 08/05/2019 128,343.46 0.00USD 1,730 Long CITRIX SYSTEMS 08/05/2019 177,255.80 0.00USD 5,179 Long CLEVELAND CLIFFS 08/05/2019 39,826.51 0.00USD 7,343 Long CME GROUP CL A 08/05/2019 1,381,365.16 0.00USD 5,725 Long COCA COLA EUROPEAN PARTNERS 08/05/2019 262,491.25 0.00USD 3,789 Long COCA-COLA 08/05/2019 179,409.15 0.00USD 14,092 Long CODEXIS 08/05/2019 235,336.40 0.00USD 675 Long CONOCOPHILLIPS 08/05/2019 42,086.25 0.00USD 467,471 Long CONSTELLIUM CL A 08/05/2019 3,267,622.29 0.00USD 2,783 Long CORVEL 08/05/2019 171,766.76 0.00USD 20,744 Long COSAN CL A 08/05/2019 182,547.20 0.00USD 444 Long COSTCO WHOLESALE 08/05/2019 90,447.24 0.00USD 1,202 Long CRACKER BARREL OLD COUNTRY STORE 08/05/2019 192,151.72 0.00USD 7,151 Long CRAY 08/05/2019 154,390.09 0.00USD 1,771 Long CRESTWOOD EQUITY PARTNERS UNT 23/04/2020 49,428.61 0.00USD 6,726 Long CROCS 08/05/2019 174,741.48 0.00USD 9,595 Long CRONOS GROUP 08/05/2019 99,692.05 0.00USD 3,812 Long CSX 08/05/2019 236,839.56 0.00USD 1,125 Long CVR ENERGY 08/05/2019 38,790.00 0.00




(local currency)


(EUR) USD 977 Long CYBER ARK SOFTWARE 08/05/2019 72,434.78 0.00USD 1,357 Long DARLING INGREDIENTS 08/05/2019 26,108.68 0.00USD 720 Long DECKERS OUTDOOR 08/05/2019 92,124.00 0.00USD 12,709 Long DENBURY RESOURCES 08/05/2019 21,732.39 0.00USD 480 Long DEXCOM 08/05/2019 57,504.00 0.00USD 10,192 Long DHT HOLDINGS 08/05/2019 39,952.64 0.00USD 446 Long DIAMONDBACK ENERGY 08/05/2019 41,344.20 0.00USD 1,660 Long DINE BRANDS GLOBAL 08/05/2019 111,784.40 0.00USD 4,076 Long DISCOVERY SRS A 08/05/2019 100,840.24 0.00USD 9,947 Long DOMINION ENERGY MIDSTREAM PARTNER 23/04/2020 179,443.88 0.00USD 2,597 Long DOMINOS PIZZA 08/05/2019 644,030.03 0.00USD 1,665 Long DULUTH HOLDINGS CL B 08/05/2019 42,007.95 0.00USD 463 Long ECOLAB 08/05/2019 68,223.05 0.00USD 185 Long EDWARDS LIFESCIENCES 08/05/2019 28,336.45 0.00USD 1,066 Long EHEALTH 08/05/2019 40,955.72 0.00USD 2,834 Long ELI LILLY 08/05/2019 327,950.48 0.00USD 7,077 Long EMERGENT BIOSOLUTIONS 08/05/2019 419,524.56 0.00USD 841 Long ENCOMPASS HEALTH 08/05/2019 51,889.70 0.00USD 3,579 Long ENDO INTERNATIONAL 08/05/2019 26,126.70 0.00USD 504 Long ENERSYS 08/05/2019 39,115.44 0.00USD 4,424 Long ENPHASE ENERGY 08/05/2019 20,925.52 0.00USD 2,424 Long ENSIGN GROUP 08/05/2019 94,026.96 0.00USD 859 Long EQUITY COMMONWEALTH REIT 08/05/2019 25,778.59 0.00USD 256 Long EQUITY LIFESTYLE PROP REIT 08/05/2019 24,865.28 0.00USD 198 Long ERIE INDEMNITY CL A 08/05/2019 26,395.38 0.00USD 866 Long EVERBRIDGE 08/05/2019 49,154.16 0.00USD 2,690 Long EVERSOURCE ENERGY 08/05/2019 174,957.60 0.00USD 2,617 Long EVERTEC 08/05/2019 75,107.90 0.00USD 1,066 Long EVO PAYMENTS CL A 08/05/2019 26,298.22 0.00USD 1,988 Long EVOLENT HEALTH CL A 08/05/2019 39,660.60 0.00USD 10,456 Long EW SCRIPPS CL A 08/05/2019 164,472.88 0.00USD 2,387 Long EXACT SCIENCES 08/05/2019 150,619.70 0.00USD 8,933 Long EXELIXIS 08/05/2019 175,712.11 0.00USD 881 Long EXPONENT 08/05/2019 44,675.51 0.00USD 1,636 Long FABRINET 08/05/2019 83,943.16 0.00USD 10,382 Long FATE THERAPEUTICS 08/05/2019 133,201.06 0.00USD 1,558 Long FIREEYE 08/05/2019 25,255.18 0.00USD 18,648 Long FIRST BANCORP 08/05/2019 160,372.80 0.00USD 2,235 Long FIRST FINANCIAL BANKSHARES 08/05/2019 128,937.15 0.00USD 714 Long FIRSTENERGY 08/05/2019 26,810.70 0.00USD 2,711 Long FIVE BELOW 08/05/2019 277,389.52 0.00USD 717 Long FORTINET 08/05/2019 50,498.31 0.00USD 5,367 Long FORTIS 08/05/2019 179,043.12 0.00USD 5,447 Long FRANKLIN RESOURCES 08/05/2019 161,558.02 0.00USD 3,928 Long FRESHPET 08/05/2019 126,324.48 0.00USD 3,864 Long FRONTLINE 08/05/2019 21,367.92 0.00USD 718 Long GATX 08/05/2019 50,841.58 0.00USD 1,213 Long GENESCO 08/05/2019 53,735.90 0.00USD 2,339 Long GENOMIC HEALTH 08/05/2019 150,654.99 0.00USD 5,661 Long GETTY REALTY REIT 08/05/2019 166,490.01 0.00USD 5,742 Long GILDAN ACTIVEWEAR A 08/05/2019 174,327.12 0.00USD 471 Long GLAUKOS 08/05/2019 26,456.07 0.00USD 10,405 Long GLU MOBILE 08/05/2019 83,968.35 0.00USD 319 Long GRAHAM HOLDINGS CL B 08/05/2019 204,345.02 0.00USD 437 Long GRAND CANYON EDUCATION 08/05/2019 42,013.18 0.00




(local currency)


(EUR) USD 1,290 Long GRANITE POINT MORTGAGE TRUST 08/05/2019 23,258.70 0.00USD 2,195 Long GREEN DOT CL A 08/05/2019 174,546.40 0.00USD 1,250 Long HAEMONETICS 08/05/2019 125,062.50 0.00USD 24,541 Short HALLIBURTON 08/05/2019 -652,299.78 0.00USD 2,624 Long HANGER 08/05/2019 49,724.80 0.00USD 1,276 Long HCA HEALTHCARE 08/05/2019 158,798.20 0.00USD 6,309 Long HCP REIT 08/05/2019 176,210.37 0.00USD 1,402 Long HEALTH INSURANCE INNOVATION CL A 08/05/2019 37,475.46 0.00USD 687 Long HEALTHEQUITY 08/05/2019 40,979.55 0.00USD 2,626 Long HEICO 08/05/2019 203,462.48 0.00USD 2,098 Long HELEN OF TROY 08/05/2019 275,215.64 0.00USD 286 Long HENRY SCHEIN 08/05/2019 22,456.72 0.00USD 3,177 Long HERBALIFE NUTRITION 08/05/2019 187,284.15 0.00USD 50,510 Short HILTON WORLDWIDE HOLDINGS 08/05/2019 -3,626,618.00 0.00USD 3,120 Long HMS HOLDINGS 08/05/2019 87,765.60 0.00USD 4,215 Long HOLOGIC 08/05/2019 173,236.50 0.00USD 6,250 Long HORMEL FOODS 08/05/2019 266,750.00 0.00USD 19,501 Long HOUGHTON MIFFLIN HARCOURT 08/05/2019 172,778.86 0.00USD 2,438 Long HUDSON CL A 08/05/2019 41,811.70 0.00USD 135 Long HUMANA 08/05/2019 38,674.80 0.00USD 1,284 Long IAC INTERACTIVE 08/05/2019 235,023.36 0.00USD 359 Long ICAHN ENTERPRISES UNT 23/04/2020 20,491.72 0.00USD 12,697 Long INNOVIVA 08/05/2019 221,562.65 0.00USD 14,106 Long INOVALON HOLDINGS CL A 08/05/2019 200,023.08 0.00USD 2,751 Long INSPERITY 08/05/2019 256,833.36 0.00USD 606 Long INTEGER HOLDINGS 08/05/2019 46,213.56 0.00USD 6,131 Long INTEGRATED DEVICE TECHNOLOGY 08/05/2019 296,924.33 0.00USD 4,637 Long INTELSAT 08/05/2019 99,185.43 0.00USD 1,237 Long INTERNATIONAL FLAVORS & FRAGRANS 08/05/2019 166,091.99 0.00USD 20,570 Short INTERNATIONAL PAPER 08/05/2019 -830,205.20 0.00USD 211 Long INTUIT 08/05/2019 41,535.35 0.00USD 346 Long INTUITIVE SURGICAL 08/05/2019 165,706.32 0.00USD 459 Long IQVIA HOLDINGS 08/05/2019 53,322.03 0.00USD 4,163 Long IRIDIUM COMMUNICATIONS 08/05/2019 76,807.35 0.00USD 1,630 Long JACK HENRY AND ASSOCIATES 08/05/2019 206,227.60 0.00USD 6,438 Long JBG SMITH PROPERTIES 08/05/2019 224,106.78 0.00USD 1,271 Long JOHNSON & JOHNSON 08/05/2019 164,022.55 0.00USD 1,363 Long K12 08/05/2019 33,788.77 0.00USD 4,688 Long KEURIG DR PEPPER 08/05/2019 120,200.32 0.00USD 3,627 Long KEYSIGHT TECHNOLOGIES 08/05/2019 225,164.16 0.00USD 2,108 Long KINSALE CAPITAL GROUP 08/05/2019 117,120.48 0.00USD 9,229 Long KIRKLAND LAKE GOLD 08/05/2019 240,784.61 0.00USD 697 Long KOHL'S 08/05/2019 46,238.98 0.00USD 8,095 Long LADDER CAPITAL CL A 08/05/2019 125,229.65 0.00USD 2,574 Long LAMB WESTON HOLDINGS 08/05/2019 189,343.44 0.00USD 1,655 Long LANCASTER COLONY 08/05/2019 292,703.30 0.00USD 6,397 Long LATTICE SEMICONDUCTOR 08/05/2019 44,267.24 0.00USD 4,038 Long LIBERTY PROPERTY REIT 08/05/2019 169,111.44 0.00USD 1,553 Long LIBERTY TRIPADVISOR HOLDIG SRS A 08/05/2019 24,677.17 0.00USD 530 Long LIVANOVA 08/05/2019 48,479.10 0.00USD 442 Long LIVE NATION ENTERTAINMENT 08/05/2019 21,768.50 0.00USD 2,645 Long LIVERAMP HOLDINGS 08/05/2019 102,176.35 0.00USD 515 Long LULULEMON ATHLETICA 08/05/2019 62,629.15 0.00USD 1,424 Long LUXFER HOLDINGS 08/05/2019 25,105.12 0.00USD 5,253 Long MAGNOLIA OIL GAS CL A 08/05/2019 58,886.13 0.00




(local currency)


(EUR) USD 1,148 Long MALIBU BOATS CL A 08/05/2019 39,950.40 0.00USD 652 Long MARATHON PETROLEUM 08/05/2019 38,474.52 0.00USD 3,350 Long MARCUS 08/05/2019 132,325.00 0.00USD 29,160 Short MARRIOTT INTERNATIONAL CL A 08/05/2019 -3,165,609.60 0.00USD 458 Long MASIMO 08/05/2019 49,175.46 0.00USD 1,075 Long MATCH GROUP 08/05/2019 45,977.75 0.00USD 15,098 Long MAXIM INTEGRATED PRODUCTS 08/05/2019 767,733.30 0.00USD 2,587 Long MAXIMUS 08/05/2019 168,387.83 0.00USD 2,658 Long MCCORMICK 08/05/2019 370,099.92 0.00USD 1,642 Long MCDONALD'S 08/05/2019 291,569.94 0.00USD 16,679 Long MEDICAL PROPERTIES REIT 08/05/2019 268,198.32 0.00USD 278 Long MEDIFAST 08/05/2019 34,755.56 0.00USD 300 Long MELLANOX TECHNOLOGIES 08/05/2019 27,714.00 0.00USD 3,622 Long MERCK & CO 08/05/2019 276,757.02 0.00USD 11,905 Long MERIDIAN BIOSCIENCE 08/05/2019 206,670.80 0.00USD 1,795 Long MERIT MEDICAL SYSTEMS 08/05/2019 100,178.95 0.00USD 1,044 Long MESA LABORATORIES 08/05/2019 217,559.16 0.00USD 679 Long METHANEX 08/05/2019 32,707.43 0.00USD 17,725 Long MICRON TECHNOLOGY 08/05/2019 562,414.25 0.00USD 14,417 Long MICROSOFT 08/05/2019 1,464,334.69 0.00USD 460 Long MOLINA HEALTHCARE 08/05/2019 53,461.20 0.00USD 2,076 Long MONGODB CL A 08/05/2019 173,844.24 0.00USD 314 Long MONRO 08/05/2019 21,587.50 0.00USD 4,348 Long MOSAIC 08/05/2019 127,005.08 0.00USD 636 Long MOTOROLA SOLUTIONS 08/05/2019 73,165.44 0.00USD 5,123 Long NATIONAL RETAIL PROPERTIES REIT 08/05/2019 248,516.73 0.00USD 4,615 Long NEOGENOMICS 08/05/2019 58,195.15 0.00USD 2,149 Long NETFLIX 08/05/2019 575,201.34 0.00USD 3,433 Long NEW YORK TIMES CL A 08/05/2019 76,521.57 0.00USD 973 Long NEXPOINT RESIDENTIAL 08/05/2019 34,103.65 0.00USD 177 Long NEXTERA ENERGY 08/05/2019 30,766.14 0.00USD 1,314 Long NINE ENERGY SERVICE 08/05/2019 29,617.56 0.00USD 499 Long NJ RESOURCES 08/05/2019 22,789.33 0.00USD 2,569 Long NOMAD FOODS 08/05/2019 42,953.68 0.00USD 2,290 Long NORDSTROM 08/05/2019 106,736.90 0.00USD 12,144 Long NORTHSTAR REALTY EUROPE 08/05/2019 176,573.76 0.00USD 3,051 Long NOVANTA 08/05/2019 192,213.00 0.00USD 2,003 Long NOVOCURE 08/05/2019 67,060.44 0.00USD 9,742 Long NRG ENERGY 08/05/2019 385,783.20 0.00USD 579 Long NV5 GLOBAL 08/05/2019 35,058.45 0.00USD 4,120 Long OAKTREE CAPITAL GROUP CL A UNT 23/04/2020 163,770.00 0.00USD 8,522 Long OFG BANCORP 23/04/2020 140,272.12 0.00USD 5,301 Long OGE ENERGY 08/05/2019 207,746.19 0.00USD 1,975 Long OLLIES BARGAIN OUTLET HLDG 08/05/2019 131,357.25 0.00USD 8,017 Long OMEGA HEALTHCARE REIT 08/05/2019 281,797.55 0.00USD 1,078 Long OMNICELL 08/05/2019 66,016.72 0.00USD 20,807 Short OMNICOM GROUP 08/05/2019 -1,523,904.68 0.00USD 408 Long O'REILLY AUTOMOTIVE 08/05/2019 140,486.64 0.00USD 3,722 Long OTTER TAIL 08/05/2019 184,760.08 0.00USD 3,300 Long PACIFIC BIOSCIENCES OF CALIFRNIA 08/05/2019 24,420.00 0.00USD 4,990 Long PANDORA MEDIA 08/05/2019 40,369.10 0.00USD 1,298 Long PBF ENERGY CL A 08/05/2019 42,405.66 0.00USD 3,598 Long PENNYMAC MORTGAGE INVEST REIT 08/05/2019 66,994.76 0.00USD 6,940 Long PFIZER 08/05/2019 302,931.00 0.00USD 2,036 Long PINNACLE WEST 08/05/2019 173,467.20 0.00




(local currency)


(EUR) USD 4,249 Long PNM RESOURCES 08/05/2019 174,591.41 0.00USD 2,951 Long POPULAR 08/05/2019 139,346.22 0.00USD 424 Long PRIMERICA 08/05/2019 41,429.04 0.00USD 1,935 Long PROCTER & GAMBLE 08/05/2019 177,865.20 0.00USD 1,990 Long PROGRESSIVE 08/05/2019 120,056.70 0.00USD 8,973 Long PROQR THERAPEUTICS 08/05/2019 141,593.94 0.00USD 474 Long QUAKER CHEMICAL 08/05/2019 84,234.54 0.00USD 5,189 Long QUINSTREET 08/05/2019 84,217.47 0.00USD 3,111 Long RAPID7 08/05/2019 96,938.76 0.00USD 3,238 Long REALTY INCOME REIT 08/05/2019 204,123.52 0.00USD 6,794 Long RENEWABLE ENERGY GROUP 08/05/2019 174,605.80 0.00USD 1,948 Long REPLIGEN 08/05/2019 102,737.52 0.00USD 327 Long REPUBLIC SERVICES 08/05/2019 23,573.43 0.00USD 2,035 Long RESMED 08/05/2019 231,725.45 0.00USD 1,298 Long RH 08/05/2019 155,526.36 0.00USD 711 Long RLI 08/05/2019 49,051.89 0.00USD 9,202 Long ROLLINS 08/05/2019 332,192.20 0.00USD 1,289 Long ROSS STORES 08/05/2019 107,244.80 0.00USD 8,123 Short SALESFORCE.COM 08/05/2019 -1,112,607.31 0.00USD 3,851 Long SCANA 08/05/2019 184,000.78 0.00USD 16,004 Short SCHLUMBERGER 08/05/2019 -577,424.32 0.00USD 2,427 Long SEAWORLD ENTERTAINMENT 08/05/2019 53,612.43 0.00USD 2,722 Long SENDGRID 08/05/2019 117,508.74 0.00USD 3,063 Long SERVICE CORPORATION INTERNATIONL 08/05/2019 123,316.38 0.00USD 2,429 Long SERVICEMASTER GLOBAL HOLDINGS 08/05/2019 89,241.46 0.00USD 4,569 Long SHENANDOAH TELECOMMUNICATIONS 08/05/2019 202,178.25 0.00USD 2,902 Long SHOE CARNIVAL 08/05/2019 97,246.02 0.00USD 150 Long SHOPIFY CL A SUB VTG 08/05/2019 20,767.50 0.00USD 366 Long SIMON PROP GRP REIT 08/05/2019 61,484.34 0.00USD 7,511 Long SIMPLY GOOD FOODS 08/05/2019 141,957.90 0.00USD 814 Long SPIRIT AIRLINES 08/05/2019 47,146.88 0.00USD 748 Long SPIRIT REALTY CAPITAL REIT 08/05/2019 26,367.00 0.00USD 1,564 Long SPROUTS FARMERS MARKET 08/05/2019 36,769.64 0.00USD 704 Long SQUARE CL A 08/05/2019 39,487.36 0.00USD 2,545 Long SSR MINING 08/05/2019 30,769.05 0.00USD 10,192 Long STAAR SURGICAL 08/05/2019 325,226.72 0.00USD 2,924 Long STARBUCKS 08/05/2019 188,305.60 0.00USD 1,108 Long STARWOOD PROPERTY REIT 08/05/2019 21,838.68 0.00USD 249 Long STERIS 08/05/2019 26,605.65 0.00USD 2,395 Long STORE CAPITAL 08/05/2019 67,802.45 0.00USD 304 Long STRATEGIC EDUCATION 08/05/2019 34,479.68 0.00USD 249 Long SUN COMMUNITIES REIT 08/05/2019 25,325.79 0.00USD 2,490 Long SUNRUN 08/05/2019 27,116.10 0.00USD 761 Long SURMODICS 08/05/2019 35,964.86 0.00USD 189 Long TABLEAU SOFTWARE CL A 08/05/2019 22,680.00 0.00USD 1,504 Long TABULA RASA HEALTHCA 08/05/2019 95,895.04 0.00USD 1,979 Long TACTILE SYSTEMS TECHNOLOGY 08/05/2019 90,143.45 0.00USD 3,177 Long TANDEM DIABETES CARE 08/05/2019 120,630.69 0.00USD 682 Long TARGET 08/05/2019 45,073.38 0.00USD 242 Long TELEDYNE TECH 08/05/2019 50,110.94 0.00USD 521 Long TESLA 08/05/2019 173,388.80 0.00USD 14,321 Long TEXAS INSTRUMENTS 08/05/2019 1,353,334.50 0.00USD 11,211 Long TFS FINANCIAL 08/05/2019 180,833.43 0.00USD 1,551 Long THERMO FISHER SCIENTIFIC 08/05/2019 347,098.29 0.00USD 3,762 Long THOMSON REUTERS 08/05/2019 181,742.22 0.00




(local currency)


(EUR) USD 4,323 Long TJX 08/05/2019 193,411.02 0.00USD 5,368 Long TOOTSIE ROLL INDUSTRIES 08/05/2019 179,291.20 0.00USD 545 Long TOTAL SYSTEM SERVICES 08/05/2019 44,303.05 0.00USD 528 Long TRACTOR SUPPLY 08/05/2019 44,056.32 0.00USD 4,623 Long TRIBUNE MEDIA CL A 08/05/2019 209,791.74 0.00USD 3,755 Long TURNING POINT BRANDS 08/05/2019 102,211.10 0.00USD 5,568 Long TWENTY FIRST CENTURY FOX CL A 08/05/2019 267,932.16 0.00USD 729,690 Long TWENTY FIRST CENTURY FOX CL B 08/05/2019 34,864,588.20 0.00USD 935 Long TWILIO CL A 08/05/2019 83,495.50 0.00USD 669 Long UBIQUITI NETWORKS 08/05/2019 66,505.29 0.00USD 531 Long UGI 08/05/2019 28,328.85 0.00USD 190 Long ULTA BEAUTY 08/05/2019 46,519.60 0.00USD 171 Long ULTIMATE SOFTWARE GROUP 08/05/2019 41,872.77 0.00USD 366 Long UNION PACIFIC 08/05/2019 50,592.18 0.00USD 7,063 Long UNISYS 08/05/2019 82,142.69 0.00USD 864 Long UNITED CONTINENTAL HOLDINGS 08/05/2019 72,342.72 0.00USD 5,050 Long UNITED STATES CELLULAR 08/05/2019 262,448.50 0.00USD 1,545 Long UNITEDHEALTH GRP 08/05/2019 384,890.40 0.00USD 188 Long UNIVERSAL HEALTH SERVICES CL B 08/05/2019 21,913.28 0.00USD 1,602 Long UNIVERSAL INSURANCE HOLDINGS 08/05/2019 60,747.84 0.00USD 1,955 Long UNIVERSAL LO 08/05/2019 35,365.95 0.00USD 4,195 Long VALERO ENERGY PARTNERS COM UNT 23/04/2020 176,903.15 0.00USD 1,409 Long VANDA PHARMACEUTICALS 08/05/2019 36,817.17 0.00USD 2,882 Long VENTAS REIT 08/05/2019 168,856.38 0.00USD 400 Long VERISK ANALYTICS 08/05/2019 43,616.00 0.00USD 831 Long VERIZON COMMUNICATIONS 08/05/2019 46,718.82 0.00USD 5,134 Long VERSO CL A 08/05/2019 115,001.60 0.00USD 548 Long VF 08/05/2019 39,094.32 0.00USD 3,987 Long VIAVI SOLUTIONS 08/05/2019 40,069.35 0.00USD 8,193 Long VICI PPTYS 08/05/2019 153,864.54 0.00USD 1,958 Long VIPER ENERGY PARTNERS UNT 08/05/2019 50,986.32 0.00USD 5,302 Long VOCERA COMMUNICATIONS 08/05/2019 208,633.70 0.00USD 2,213 Long WALGREEN BOOTS ALLIANCE 08/05/2019 151,214.29 0.00USD 1,804 Long WALMART 08/05/2019 168,042.60 0.00USD 50,171 Short WALT DISNEY 08/05/2019 -5,501,250.15 0.00USD 396 Long WD-40 08/05/2019 72,570.96 0.00USD 262 Long WELLCARE HEALTH 08/05/2019 61,855.58 0.00USD 3,255 Long WILLSCOT 08/05/2019 30,662.10 0.00USD 2,380 Long WINGSTOP 08/05/2019 152,772.20 0.00USD 183 Long WORKDAY CL A 08/05/2019 29,221.44 0.00USD 3,411 Long WORKIVA CL A 08/05/2019 122,420.79 0.00USD 821 Long WORLD WRESTLING ENTERTAINM CL A 08/05/2019 61,345.12 0.00USD 271 Long XILINX 08/05/2019 23,081.07 0.00USD 1,951 Long YUM BRANDS 08/05/2019 179,335.92 0.00USD 452 Long ZEBRA TECHNOLOGIES CL A 08/05/2019 71,971.96 0.00USD 820 Long ZENDESK 08/05/2019 47,863.40 0.00USD 4,642 Long ZOETIS CL A 08/05/2019 397,076.68 0.00

TOTAL 0.00

As a consequence of the CFDs prices reset at the end of each month, there is no unrealised appreciation or depreciation as at December 31, 2018. The counterparty of the contracts is Credit Suisse International London.




(local currency)


(EUR) EUR 1,058 Short AGEAS 30/11/2021 -42,320.00 0.00EUR 2,602 Long ALSTOM 30/11/2021 100,853.52 0.00EUR 59,773 Long APPLUS SERVICES SA 30/11/2021 634,191.53 0.00EUR 25,537 Short ASSICURAZIONI GENERALI 30/11/2021 -380,245.93 0.00EUR 85,000 Long ATOS 30/11/2021 6,375,000.00 0.00EUR 450,822 Long AXA 30/11/2021 9,699,435.33 0.00EUR 63,985 Long BNP PARIBAS 30/11/2021 2,623,385.00 0.00EUR 328,134 Long BUREAU VERITAS SA 30/11/2021 6,405,175.68 0.00EUR 16,000 Short CAP GEMINI SA 30/11/2021 -1,648,800.00 0.00EUR 11,426 Long COMPAGNIE DE SAINT-GOBAIN 30/11/2021 374,030.11 0.00EUR 228,933 Long CREDIT AGRICOLE 30/11/2021 2,510,937.14 0.00EUR 168,073 Long DANONE 30/11/2021 11,102,902.38 0.00EUR 289,887 Short DEUTSCHE TELEKOM AG 30/11/2021 -4,488,900.20 0.00EUR 17,492 Short ENAGAS 30/11/2021 -424,530.84 0.00EUR 995,698 Long ENERGIAS DE PORTUGAL SA 30/11/2021 3,073,719.73 0.00EUR 318,646 Long GROUPE EUROTUNNEL SA -REGR 30/11/2021 3,656,462.85 0.00EUR 4,532 Short HANNOVER RUECKV REG 30/11/2021 -556,076.40 0.00EUR 311,347 Long INNOGY SE 30/11/2021 12,608,191.86 0.00EUR 28,000 Long IPSOS 30/11/2021 628,320.00 0.00EUR 2,038,713 Long KPN NV 30/11/2021 5,327,157.07 0.00EUR 11,008 Short L'OREAL 30/11/2021 -2,288,563.20 0.00EUR 144,976 Short NN GROUP NV 30/11/2021 -5,446,748.32 0.00EUR 13,809 Short RED ELECTRICA CORPORATION 30/11/2021 -262,578.14 0.00EUR 85,290 Short RELX NV 30/11/2021 -1,568,483.10 0.00EUR 3,562 Long SAP AG 30/11/2021 323,857.04 0.00EUR 14,000 Short SCHNEIDER ELECTRIC SA 30/11/2021 -899,920.00 0.00EUR 327,945 Long SCOR SE REGPT 30/11/2021 13,917,985.80 0.00EUR 40,000 Long SMURFIT KAPPA GROUP PLC 30/11/2021 953,600.00 0.00EUR 250,000 Long SPIE SA 30/11/2021 3,147,500.00 0.00EUR 5,337 Short TECHNIPFMC LTD 30/11/2021 -109,301.76 0.00EUR 153,928 Long TF1 30/11/2021 1,302,230.88 0.00EUR 24,000 Long THALES 30/11/2021 2,599,200.00 0.00EUR 694 Long TRIGANO 30/11/2021 64,715.50 0.00EUR 50,000 Short VEOLIA ENVIRONNEMENT 30/11/2021 -938,750.00 0.00EUR 333,012 Long VIVENDI UNIVERSAL 30/11/2021 7,284,264.00 0.00EUR 15,000 Long WENDEL INVESTISSEMENT 30/11/2021 1,609,500.00 0.00EUR 53,707 Long WORLDLINE SA 30/11/2021 2,531,747.98 0.00

TOTAL 0.00




(local currency)


(EUR) GBP 544,876 Short HSBC HOLDINGS PLC 30/11/2021 -3,576,711.27 0.00GBP 95,896 Long IMPERIAL BRANDS PLC 30/11/2021 2,311,093.60 0.00GBP 165,259 Long INTERCONTINENTAL HOTELS GROUP 30/11/2021 6,940,878.00 0.00GBP 58,436 Short LAND SECURITIES GROUP PLC 30/11/2021 -475,201.55 0.00GBP 7,233 Short LEGAL AND GENERAL 30/11/2021 -17,713.62 0.00GBP 164,499 Long LLOYDS TSB GROUP 30/11/2021 91,066.65 0.00GBP 200,000 Long PRUDENTIAL PLC 30/11/2021 3,081,000.00 0.00GBP 16,970 Long RECKITT BENCKISER PLC 30/11/2021 1,105,086.40 0.00GBP 195,753 Long ROYAL BANK OF SCOTLAND PLC 30/11/2021 427,133.05 0.00GBP 554,518 Long RSA INSURANCE GROUP PLC 30/11/2021 3,008,814.67 0.00GBP 91,197 Long SHIRE PHARMACEUTICALS GROUP 30/11/2021 4,149,463.50 0.00GBP 42,053 Long SPIRENT PLC 30/11/2021 54,500.69 0.00GBP 5,171 Short UNILEVER PLC 30/11/2021 -219,431.39 0.00

TOTAL 0.00 As a consequence of the CFDs prices reset at the end of each month, there is no unrealised appreciation or depreciation as at December 31, 2018. The counterparty of the contracts is Natixis Paris.


(local currency)


(EUR) CHF 15,892 Short NESTLE SA REGISTERED 31/03/2021 -1,268,181.60 0.00

TOTAL 0.00


(local currency)


(EUR) EUR 65,358 Short AEGON NV 31/03/2021 -266,595.282 0.00EUR 8,091 Long AEROPORTS DE PARIS 31/03/2021 1,339,060.50 0.00EUR 60,000 Short AGEAS 31/03/2021 -2,358,000.00 0.00EUR 191,633 Long AKZO NOBEL 31/03/2021 13,490,963.20 0.00EUR 100,397 Long ALSTOM SA 31/03/2021 3,541,002.19 0.00EUR 24,082 Long APPLUS SERVICES SA 31/03/2021 233,354.58 0.00EUR 23,191 Long ATOS SE 31/03/2021 1,657,692.68 0.00EUR 205,939 Long AXA SA 31/03/2021 3,883,597.66 0.00EUR 13,739 Long BAYER AG 31/03/2021 832,033.84 0.00EUR 251,739 Long BNP PARIBAS SA 31/03/2021 9,937,397.03 0.00EUR 160,000 Long CREDIT AGRICOLE SA 31/03/2021 1,508,800.00 0.00EUR 29,106 Long DANONE SA 31/03/2021 1,790,310.06 0.00EUR 2,400 Long DASSAULT AVIATION SA 31/03/2021 2,904,000.00 0.00EUR 1,020,588 Long EDP - ENERGIAS DE PORTUGAL SA 31/03/2021 3,111,772.81 0.00EUR 83,314 Long GETLINK SE 31/03/2021 977,273.22 0.00EUR 4,063 Short HANNOVER RUECK SE 31/03/2021 -478,215.10 0.00EUR 117,240 Short IBERDROLA SA 31/03/2021 -822,790.32 0.00EUR 476,728 Long INNOGY SE 31/03/2021 19,417,131.44 0.00EUR 27,000 Long IPSOS 31/03/2021 554,580.00 0.00EUR 22,737 Short KLEPIERRE SA 31/03/2021 -612,989.52 0.00EUR 1,600,000 Long KONINKLIJKE KPN NV 31/03/2021 4,096,000.00 0.00EUR 1,328 Short MUENCHENER RUECKVERSICHERUNGS-

GESELLSCHAFT AG IN MUENCHEN 31/03/2021 -253,050.40 0.00

EUR 71,333 Long ORANGE BELGIUM 31/03/2021 1,229,780.92 0.00




(local currency)


(EUR) EUR 28,000 Long PARROT SA 31/03/2021 89,460.00 0.00EUR 20,355 Short PROXIMUS 31/03/2021 -480,785.10 0.00EUR 61,427 Long PRYSMIAN SPA 31/03/2021 1,036,273.49 0.00EUR 6,284 Short RALLYE SA 31/03/2021 -56,618.84 0.00EUR 30,000 Long RENAULT SA 31/03/2021 1,636,500.00 0.00EUR 30,000 Long SAFRAN SA 31/03/2021 3,162,000.00 0.00EUR 30,428 Long SANOFI 31/03/2021 2,302,182.48 0.00EUR 18,556 Long SAP SE 31/03/2021 1,613,073.08 0.00EUR 185,347 Long SCOR SE 31/03/2021 7,302,671.80 0.00EUR 40,000 Long SMURFIT KAPPA GROUP PLC 31/03/2021 930,400.00 0.00EUR 157,500 Long SPIE SA 31/03/2021 1,825,425.00 0.00EUR 29,982 Long TOTAL SA 31/03/2021 1,384,568.76 0.00EUR 257 Long TRIGANO 31/03/2021 20,727.05 0.00EUR 142,224 Long VIVENDI SA. 31/03/2021 3,026,526.72 0.00

TOTAL 0.00


(local currency)


(EUR) GBP 1,606,103 Short ANGLO AMERICAN PLC/ 31/03/2021 -28,071,468.23 0.00GBP 70,000 Long CRODA INTERNATIONAL PLC 31/03/2021 3,279,500.00 0.00GBP 224,381 Long ESSENTRA PLC 31/03/2021 768,280.54 0.00GBP 447,739 Long HAMMERSON PLC 31/03/2021 1,474,852.27 0.00GBP 726,908 Short HSBC HOLDINGS PLC 31/03/2021 -4,702,367.85 0.00GBP 102,476 Long INTERCONTINENTAL HOTELS GROUP PLC 31/03/2021 4,341,908.12 0.00GBP 24,000 Short INTERTEK GROUP PLC 31/03/2021 -1,152,000.00 0.00GBP 961,207 Short LEGAL & GENERAL GROUP PLC 31/03/2021 -2,220,388.17 0.00GBP 2,965,593 Long LLOYDS BANKING GROUP PLC 31/03/2021 1,537,659.97 0.00GBP 41,667 Long PETS AT HOME GROUP PLC 31/03/2021 48,250.39 0.00GBP 450,000 Long PLAYTECH PLC 31/03/2021 1,732,500.00 0.00GBP 980,000 Long PRUDENTIAL PLC 31/03/2021 13,739,600.00 0.00GBP 558,936 Long ROYAL BANK OF SCOTLAND GROUP PLC/ 31/03/2021 1,211,214.31 0.00GBP 1,761,606 Long RSA INSURANCE GROUP PLC 31/03/2021 9,047,608.42 0.00GBP 508,235 Long SHIRE PLC 31/03/2021 23,226,339.50 0.00GBP 261,982 Long SMITH & NEPHEW PLC 31/03/2021 3,835,416.48 0.00GBP 242 Long VODAFONE GROUP PLC 2% 16 25/02/19 31/03/2021 20,694,272.26 100,698.29GBP 190 Long VOLCAN HOLDINGS II PLC 3.875% 17 10/10/20 31/03/2021 23,279,284.29 101,917.03GBP 101 Long VOLCAN HOLDINGS PLC 4.125% 17 11/04/20 31/03/2021 13,385,752.31 19,669.86

TOTAL 222,285.18


(local currency)


(EUR) JPY 450,000 Short TAKEDA PHARMACEUTICAL CO LTD 31/03/2021 -1,667,250,000.00 0.00

TOTAL 0.00




(local currency)


(EUR) SEK 40 000 Short HENNES & MAURITZ AB 31/03/2021 -5,040,800.00 0.00

TOTAL 0.00

As a consequence of the CFDs prices reset at the end of each month, there is no unrealised appreciation or depreciation as at December 31, 2018. Due to a difference of pricing valuation between the Prime Broker and the price applied in the Net Asset Value, the CFDs VODAFONE GROUP PLC 2% 16 25/02/19, VOLCAN HOLDINGS II PLC 3.875% 17 10/10/20 and VOLCAN HOLDINGS PLC 4.125% 17 11/04/20 valued in GBP were not submitted to that end-month reset process, the unrealised appreciation as at December 31, 2018 amounted to EUR 222,285.18. The counterparty of the contracts is Société Générale Paris. Boussard & Gavaudan Convertible


(local currency)


(EUR) EUR 543 Short BAYER N 03/04/2019 -32,884.08 0.00EUR 900 Short UBISOFT ENTERTAIN 03/04/2019 -63,432.00 0.00

TOTAL 0.00


(local currency)


(EUR) SEK 13,000 Short ICA GRUPPEN 05/05/2020 -4,118,400.00 0.00

TOTAL 0.00 As a consequence of the CFDs prices reset at the end of each month, there is no unrealised appreciation or depreciation as at December 31, 2018. The counterparty of the contracts is Credit Suisse International London. Boussard & Gavaudan Equity Quantitative Trading


(local currency)


(EUR) EUR 1,472 Long ADP 04/02/2020 243,616.00 0.00EUR 13,023 Long ALMIRALL SA 04/02/2020 174,117.51 0.00EUR 40,630 Long AROUNDTOWN SA 03/03/2020 293,348.60 0.00EUR 8,126 Long ASR NEDERLAND NV 03/03/2020 280,997.08 0.00EUR 6,729 Long EDENRED 04/02/2020 216,068.19 0.00EUR 15,736 Long EDF 04/02/2020 217,156.80 0.00EUR 3,062 Long GAZTRANSPORT ET TECH 04/02/2020 205,613.30 0.00EUR 6,232 Long KORIAN 04/02/2020 193,690.56 0.00EUR 8,875 Long MASMOVIL IBERCOM SA 04/02/2020 173,062.50 0.00EUR 142 Short PUMA SE 02/07/2019 0.00 0.00EUR 2,032 Long SAFRAN SA 04/02/2020 214,172.80 0.00EUR 1,988 Long SARTORIUS STEDIM BIO 04/02/2020 173,651.80 0.00EUR 4,943 Long SCOR SE 04/02/2020 194,754.20 0.00EUR 11,014 Long SES 04/02/2020 184,043.94 0.00EUR 1,247 Long TELEPERFORMANCE 04/02/2020 174,081.20 0.00EUR 1,750 Long THALES SA 04/02/2020 178,500.00 0.00

TOTAL 0.00




(local currency)


(EUR) GBP 2,847 Long ASTRAZENECA PLC 04/02/2020 167,204.31 0.00GBP 9,106 Long AVEVA GROUP PLC 04/02/2020 220,365.20 0.00GBP 3,798 Long CRODA INTERNATIONAL 04/02/2020 177,936.30 0.00GBP 42,980 Long DRAX GROUP PLC 04/02/2020 154,212.24 0.00GBP 53,281 Long EVRAZ PLC 04/02/2020 256,015.21 0.00GBP 23,639 Long GREAT PORTLAND ESTAT 04/02/2020 155,804.65 0.00GBP 10,476 Long HIKMA PHARMACEUTICAL 04/02/2020 179,768.16 0.00GBP 37,384 Long OCADO GROUP PLC 04/02/2020 295,333.60 0.00GBP 3,976 Long SHIRE PLC 04/02/2020 181,703.20 0.00GBP 19,500 Long UNITE GROUP PLC 04/02/2020 157,170.00 0.00GBP 3,922 Long WHITBREAD PLC 04/02/2020 179,588.38 0.00

TOTAL 0.00


(local currency)


(EUR) USD 940 Long CME GROUP INC 03/01/2020 176,832.80 0.00

TOTAL 0.00 As a consequence of the CFDs prices reset at the end of each month, there is no unrealised appreciation or depreciation as at December 31, 2018. The counterparty of the contracts is BNP Paribas London Branch. BG AI Long Short Equity


(local currency)


(EUR) CHF 221 Long SGS N 03/03/2020 488,410.00 0.00

TOTAL 0.00


(local currency)


(EUR) EUR 5,022 Long AEROPORTS DE PARIS 03/03/2020 831,141.00 0.00EUR 127,308 Long BANCO SANTANDER 03/03/2020 505,794.68 0.00EUR 2,606 Long CHRISTIAN DIOR SE 10/02/2020 870,143.40 0.00EUR 12,403 Long CNP ASSURANCES 03/03/2020 229,703.56 0.00EUR 16,730 Long DEUTSCHE WOHNEN SE 10/02/2020 669,200.00 0.00EUR 18,353 Long EXOR 03/03/2020 867,362.78 0.00EUR 29,944 Long FERROVIAL 03/03/2020 529,859.08 0.00EUR 2,966 Long FRAPORT 03/03/2020 185,256.36 0.00EUR 1,824 Long HERMES INTERNATIONAL 10/02/2020 884,275.20 0.00EUR 7,907 Long IPSEN 03/03/2020 892,304.95 0.00EUR 6,233 Long KBC 03/03/2020 353,286.44 0.00EUR 10,183 Long LUXOTTICA GROUP 03/03/2020 526,461.10 0.00EUR 9,377 Long SAMPO 03/03/2020 360,170.57 0.00EUR 3,735 Long SANOFI 03/03/2020 282,590.10 0.00EUR 4,498 Long SARTORIUS PRF 03/03/2020 489,832.20 0.00EUR 1,706 Long WENDEL 03/03/2020 178,618.20 0.00EUR 7,219 Long WOLTERS KLUWER 03/03/2020 372,933.54 0.00

TOTAL 0.00




(local currency)


(EUR) GBP 38,582 Long ADMIRAL GROUP 03/03/2020 789,773.54 0.00GBP 47,378 Long COMPASS GROUP 03/03/2020 781,737.00 0.00GBP 57,699 Long HOWDEN JOINERY GROUP 03/03/2020 251,336.84 0.00GBP 336,877 Long LEGAL AND GENERAL GROUP 03/03/2020 778,185.87 0.00GBP 23,393 Long PRUDENTIAL 03/03/2020 327,969.86 0.00GBP 48,245 Long RELX 03/03/2020 779,880.43 0.00GBP 117,869 Long SAGE GROUP 03/03/2020 708,864.17 0.00

TOTAL 0.00


(local currency)


(EUR) SEK 55,756 Long ASSA ABLOY 03/03/2020 8,817,811.40 0.00SEK 23,427 Long INVESTOR 03/03/2020 8,799,181.20 0.00SEK 556 Short SAAB 03/03/2020 -171,136.80 0.00SEK 556 Long SAAB PAID SUBSCR SHS 10/02/2020 169,802.40 0.00SEK 89,723 Long SVENSKA HANDELSBANKEN 03/03/2020 8,819,770.90 0.00SEK 20,917 Long SWEDBANK 03/03/2020 4,136,336.75 0.00

TOTAL 0.00


(local currency)


(EUR) USD 8,725 Short ABBOTT LABORATORIES 03/03/2020 -631,079.25 0.00USD 4,569 Short ABBVIE 10/02/2020 -421,216.11 0.00USD 3,186 Long ACCENTURE CL A 03/03/2020 449,257.86 0.00USD 9,401 Short ALLSTATE 10/02/2020 -776,804.63 0.00USD 2,020 Short ALPHABET CL A 03/03/2020 -2,110,819.20 0.00USD 9,954 Short AMERICAN CAMPUS COMM REIT 03/03/2020 -411,996.06 0.00USD 12,170 Short ARRIS GROUP 03/03/2020 -372,036.90 0.00USD 3,130 Short AUTODESK 03/03/2020 -402,549.30 0.00USD 5,175 Short AUTOMATIC DATA PROCESSING 03/03/2020 -678,546.00 0.00USD 11,251 Long BANK OF NEW YORK MELLON 03/03/2020 529,584.57 0.00USD 6,818 Short BAXTER INTERNATIONAL 03/03/2020 -448,760.76 0.00USD 7,123 Long BB AND T 03/03/2020 308,568.36 0.00USD 11,702 Short BRISTOL MYERS SQUIBB 03/03/2020 -608,269.96 0.00USD 4,926 Short BROADRIDGE FINANCIAL SOLUTIONS 03/03/2020 -474,127.50 0.00USD 13,606 Short CADENCE DESIGN SYSTEMS 03/03/2020 -591,588.88 0.00USD 11,407 Short CAMPBELL SOUP 03/03/2020 -376,316.93 0.00USD 9,039 Long CHARLES SCHWAB 10/02/2020 375,389.67 0.00USD 4,026 Long CHUBB 03/03/2020 520,078.68 0.00USD 2,661 Long CIGNA 03/03/2020 505,377.12 0.00USD 8,059 Long CINEMARK HOLDINGS 03/03/2020 288,512.20 0.00USD 2,459 Long CME GROUP CL A 03/03/2020 462,587.08 0.00USD 66,578 Short CONAGRA BRANDS INC 03/03/2020 -1,422,106.08 0.00USD 3,471 Long CULLEN FROST BANKERS 10/02/2020 305,239.74 0.00USD 3,865 Short CURTISS WRIGHT 03/03/2020 -394,693.80 0.00USD 289 Short CVS HEALTH 03/03/2020 -18,935.28 0.00USD 3,815 Long DARDEN RESTAURANTS 03/03/2020 380,965.90 0.00USD 4,686 Long DOMINOS PIZZA 03/03/2020 1,162,081.14 0.00USD 6,414 Short DUNKIN' BRANDS GROUP 03/03/2020 -411,265.68 0.00USD 8,217 Short DXC TECHNOLOGY 03/03/2020 -436,897.89 0.00




(local currency)


(EUR) USD 7,343 Long ENTERGY 03/03/2020 632,012.01 0.00USD 21,595 Short EQT 03/03/2020 -407,929.55 0.00USD 6,064 Long F5 NETWORKS 03/03/2020 982,549.92 0.00USD 4,823 Short FIDELITY NATIONAL INFORMATN SVCS 03/03/2020 -494,598.65 0.00USD 12,951 Short FIRST AMERICAN FINANCIAL 03/03/2020 -578,132.64 0.00USD 6,685 Long GARTNER 10/02/2020 854,610.40 0.00USD 3,440 Short GOLDMAN SACHS GROUP 03/03/2020 -574,652.00 0.00USD 3,800 Long HANOVER INSURANCE GROUP 03/03/2020 443,726.00 0.00USD 10,410 Short HESS 03/03/2020 -421,605.00 0.00USD 4,712 Short HILL ROM HOLDINGS 03/03/2020 -417,247.60 0.00USD 26,600 Long HOLOGIC 03/03/2020 1,093,260.00 0.00USD 1,598 Long ILLUMINA 03/03/2020 479,288.14 0.00USD 17,611 Long INGERSOLL RAND 03/03/2020 1,606,651.53 0.00USD 8,421 Short INTEL 03/03/2020 -395,197.53 0.00USD 6,775 Long INTERCONTINENTAL EXCHANGE 03/03/2020 510,360.75 0.00USD 3,381 Short INTERNATIONAL BUSINESS MACHINES 03/03/2020 -384,318.27 0.00USD 4,042 Short INTERNATIONAL FLAVORS & FRAGRANS 03/03/2020 -542,719.34 0.00USD 6,285 Long JACK HENRY AND ASSOCIATES 03/03/2020 795,178.20 0.00USD 40,851 Long JOHNSON CONTROLS INTERNATIONAL 03/03/2020 1,211,232.15 0.00USD 13,224 Short KELLOGG 03/03/2020 -753,900.24 0.00USD 5,750 Short LAMAR ADVERTISING CL A REIT 03/03/2020 -397,785.00 0.00USD 9,319 Long LENNOX INTERNATIONAL 03/03/2020 2,039,556.34 0.00USD 11,553 Short LIVE NATION ENTERTAINMENT 03/03/2020 -568,985.25 0.00USD 2,635 Long M&T BANK 03/03/2020 377,147.55 0.00USD 1,582 Long MARKETAXESS HOLDINGS 03/03/2020 334,292.42 0.00USD 4,615 Long MAXIMUS 03/03/2020 300,390.35 0.00USD 728 Short METTLER TOLEDO 03/03/2020 -411,742.24 0.00USD 10,470 Long MORGAN STANLEY 03/03/2020 415,135.50 0.00USD 8,299 Long MOTOROLA SOLUTIONS 03/03/2020 954,716.96 0.00USD 3,962 Short MSCI 03/03/2020 -584,117.66 0.00USD 16,263 Short MURPHY OIL 03/03/2020 -380,391.57 0.00USD 4,266 Long NASDAQ 03/03/2020 347,977.62 0.00USD 890 Long NEWMARKET 03/03/2020 366,760.10 0.00USD 4,443 Short NORTHERN TRUST 03/03/2020 -371,390.37 0.00USD 5,663 Short PACKAGING CORP OF AMERICA 03/03/2020 -472,633.98 0.00USD 9,531 Short PERRIGO 03/03/2020 -369,326.25 0.00USD 5,217 Short PPG INDUSTRIES 03/03/2020 -533,333.91 0.00USD 7,761 Short PTC 03/03/2020 -643,386.90 0.00USD 5,652 Short PVH 03/03/2020 -525,353.40 0.00USD 8,561 Short RALPH LAUREN CL A 03/03/2020 -885,721.06 0.00USD 3,054 Short RED HAT 03/03/2020 -536,404.56 0.00USD 10,700 Long RESMED 03/03/2020 1,218,409.00 0.00USD 17,225 Long RPM 03/03/2020 1,012,485.50 0.00USD 5,376 Short S&P GLOBAL 03/03/2020 -913,597.44 0.00USD 30,436 Long SKYWORKS SOLUTIONS 03/03/2020 2,039,820.72 0.00USD 5,592 Short STATE STREET 03/03/2020 -352,687.44 0.00USD 10,022 Long STERIS 10/02/2020 1,070,850.70 0.00USD 39,847 Short STERLING BAN 03/03/2020 -657,873.97 0.00USD 6,204 Long SUNTRUST BANKS 03/03/2020 312,929.76 0.00USD 7,552 Short SYNOPSYS 03/03/2020 -636,180.48 0.00USD 2,514 Long TELEDYNE TECH 10/02/2020 520,573.98 0.00USD 1,468 Short TELEFLEX 03/03/2020 -379,448.64 0.00USD 3,047 Long TRAVELERS COMPANIES 03/03/2020 364,878.25 0.00USD 36,971 Long TWENTY FIRST CENTURY FOX CL A 03/03/2020 1,779,044.52 0.00USD 10,428 Long TYLER TECHNOLOGIES 10/02/2020 1,937,730.96 0.00




(local currency)


(EUR) USD 6,721 Long ULTIMATE SOFTWARE GROUP 03/03/2020 1,645,771.27 0.00USD 8,038 Long UNITED THERAPEUTICS 03/03/2020 875,338.20 0.00USD 3,056 Long UNITEDHEALTH GRP 03/03/2020 761,310.72 0.00USD 18,342 Short UNUM 03/03/2020 -538,887.96 0.00USD 3,333 Short VARIAN MEDICAL SYSTEMS 03/03/2020 -377,662.23 0.00USD 11,431 Short VF 03/03/2020 -815,487.54 0.00USD 2,969 Short VISA CL A 03/03/2020 -391,729.86 0.00USD 18,867 Long WALT DISNEY 03/03/2020 2,068,766.55 0.00USD 6,455 Long WATERS 03/03/2020 1,217,735.75 0.00USD 13,096 Short WEBSTER FINANCIAL 03/03/2020 -645,501.84 0.00USD 29,503 Short WEYERHAEUSER REIT 03/02/2020 -644,935.58 0.00USD 9,039 Long YUM BRANDS 03/03/2020 830,864.88 0.00USD 4,113 Short ZIMMER BIOMET HOLDINGS 03/03/2020 -426,600.36 0.00USD 6,721 Long ULTIMATE SOFTWARE GROUP 03/03/2020 1,645,771.27 0.00USD 8,038 Long UNITED THERAPEUTICS 03/03/2020 875,338.20 0.00USD 3,056 Long UNITEDHEALTH GRP 03/03/2020 761,310.72 0.00USD 18,342 Short UNUM 03/03/2020 -538,887.96 0.00USD 3,333 Short VARIAN MEDICAL SYSTEMS 03/03/2020 -377,662.23 0.00USD 11,431 Short VF 03/03/2020 -815,487.54 0.00USD 2,969 Short VISA CL A 03/03/2020 -391,729.86 0.00USD 18,867 Long WALT DISNEY 03/03/2020 2,068,766.55 0.00USD 6,455 Long WATERS 03/03/2020 1,217,735.75 0.00USD 13,096 Short WEBSTER FINANCIAL 03/03/2020 -645,501.84 0.00USD 29,503 Short WEYERHAEUSER REIT 03/02/2020 -644,935.58 0.00USD 9,039 Long YUM BRANDS 03/03/2020 830,864.88 0.00USD 4,113 Short ZIMMER BIOMET HOLDINGS 03/03/2020 -426,600.36 0.00

TOTAL 0.00

As a consequence of the CFDs prices reset at the end of each month, there is no unrealised appreciation or depreciation as at December 31, 2018. The counterparty of the contract is Credit Suisse International London. BG AI US Equities SRI


(local currency)


(EUR) USD 851 Long ACCENTURE CL A 27/01/2020 119,999.51 0.00USD 3,005 Long BANK OF NEW YORK MELLON 27/01/2020 141,445.35 0.00USD 1,903 Long BB AND T 27/01/2020 82,437.96 0.00USD 2,415 Long CHARLES SCHWAB 27/01/2020 100,294.95 0.00USD 1,075 Long CHUBB 27/01/2020 138,868.50 0.00USD 711 Long CIGNA 27/01/2020 135,033.12 0.00USD 2,153 Long CINEMARK HOLDINGS 27/01/2020 77,077.40 0.00USD 657 Long CME GROUP CL A 27/01/2020 123,594.84 0.00USD 927 Long CULLEN FROST BANKERS 27/01/2020 81,520.38 0.00USD 1,019 Long DARDEN RESTAURANTS 27/01/2020 101,757.34 0.00USD 1,252 Long DOMINOS PIZZA 27/01/2020 310,483.48 0.00USD 1,961 Long ENTERGY 27/01/2020 168,783.27 0.00USD 1,620 Long F5 NETWORKS 27/01/2020 262,488.60 0.00USD 1,786 Long GARTNER 27/01/2020 228,322.24 0.00USD 1,015 Long HANOVER INSURANCE GROUP 27/01/2020 118,521.55 0.00USD 7,105 Long HOLOGIC 27/01/2020 292,015.50 0.00USD 427 Long ILLUMINA 27/01/2020 128,070.11 0.00




(local currency)


(EUR) USD 4,704 Long INGERSOLL RAND 27/01/2020 429,145.92 0.00USD 1,810 Long INTERCONTINENTAL EXCHANGE 27/01/2020 136,347.30 0.00USD 1,679 Long JACK HENRY AND ASSOCIATES 27/01/2020 212,427.08 0.00USD 10,912 Long JOHNSON CONTROLS INTERNATIONAL 27/01/2020 323,540.80 0.00USD 2,489 Long LENNOX INTERNATIONAL 27/01/2020 544,742.54 0.00USD 704 Long M&T BANK 27/01/2020 100,763.52 0.00USD 423 Long MARKETAXESS HOLDINGS 27/01/2020 89,384.13 0.00USD 1,233 Long MAXIMUS 27/01/2020 80,255.97 0.00USD 2,797 Long MORGAN STANLEY 27/01/2020 110,901.05 0.00USD 2,217 Long MOTOROLA SOLUTIONS 27/01/2020 255,043.68 0.00USD 1,140 Long NASDAQ 27/01/2020 92,989.80 0.00USD 238 Long NEWMARKET 27/01/2020 98,077.42 0.00USD 2,858 Long RESMED 27/01/2020 325,440.46 0.00USD 4,601 Long RPM 27/01/2020 270,446.78 0.00USD 8,130 Long SKYWORKS SOLUTIONS 27/01/2020 544,872.60 0.00USD 2,677 Long STERIS 27/01/2020 286,037.45 0.00USD 1,657 Long SUNTRUST BANKS 27/01/2020 83,579.08 0.00USD 671 Long TELEDYNE TECH 27/01/2020 138,943.97 0.00USD 814 Long TRAVELERS COMPANIES 27/01/2020 97,476.50 0.00USD 9,876 Long TWENTY FIRST CENTURY FOX CL A 27/01/2020 475,233.12 0.00USD 2,785 Long TYLER TECHNOLOGIES 27/01/2020 517,508.70 0.00USD 1,795 Long ULTIMATE SOFTWARE GROUP 27/01/2020 439,541.65 0.00USD 2,147 Long UNITED THERAPEUTICS 27/01/2020 233,808.30 0.00USD 817 Long UNITEDHEALTH GRP 27/01/2020 203,531.04 0.00USD 5,039 Long WALT DISNEY 27/01/2020 552,526.35 0.00USD 1,724 Long WATERS 27/01/2020 325,232.60 0.00USD 2,415 Long YUM BRANDS 27/01/2020 221,986.80 0.00

TOTAL 0.00

As a consequence of the CFDs prices reset at the end of each month, there is no unrealised appreciation or depreciation as at December 31, 2018. The counterparty of the contract is Credit Suisse International London.


CREDIT DEFAULT SWAPS The sub-fund Boussard & Gavaudan Absolute Return concluded credit default swaps contracts in which two parties enter into an agreement whereby one party pays to the other a fixed periodic coupon for the specified life of the agreement. (Please refer to the Note 10 for detailed collateral information). As at December 31, 2018, outstanding credit default swaps contracts were as follows: Boussard & Gavaudan Absolute Return

Currency Buy/ Sell Credit Default Cover Counterparty Notional Maturity

Unrealised Appreciation/ depreciation

(EUR) EUR B COMMERZBANK AG EUR MM SN Citigroup Global Markets Ltd London 3,500,000 20/12/2023 47 184.69EUR S DEUTSCHE BK AG EUR MM SN BNP Paribas London Branch 400,000 20/12/2023 -19 862.45EUR S DEUTSCHE BK AG EUR MM SN Credit Suisse International London 800,000 20/12/2021 -19 729.66EUR S DEUTSCHE BK AG EUR MM SN JP Morgan Securities Ltd 7,000,000 20/06/2022 -213 206.37EUR S DEUTSCHE BK AG EUR MM SN BNP Paribas London Branch 4,500,000 20/06/2022 -137 061.22EUR S DEUTSCHE BK AG EUR MM SN Société Générale Paris 800,000 20/06/2022 -24 366.47EUR S DEUTSCHE BK AG EUR MM SN Credit Suisse International London 3,000,000 20/06/2022 -91 374.17EUR S DEUTSCHE BK AG EUR MM SN BNP Paribas London Branch 1,600,000 20/06/2022 -48 732.91EUR S DEUTSCHE BK AG EUR MM SN Barclays Capital Ltd 6,700,000 20/06/2022 -204 068.94EUR S DEUTSCHE BK AG EUR MM SN BNP Paribas London Branch 900,000 20/12/2022 -32 551.99EUR S DEUTSCHE BK AG EUR MM SN Barclays Capital Ltd 1,000,000 20/12/2021 -24 662.01EUR S DEUTSCHE BK AG EUR MM SN Société Générale Paris 1,000,000 20/06/2022 -30 458.02EUR S DEUTSCHE BK AG EUR MM SN Credit Suisse International London 200,000 20/12/2021 -4 932.38EUR S DEUTSCHE BK AG EUR MM SN Credit Suisse International London 3,000,000 20/06/2022 -91 374.17EUR B ITRAXX EUR SNR FINANCIAL S29 V1 HSBC Bank Internationaé 1,500,000 20/06/2023 -1 411.00EUR B ITRAXX EUR SNR FINANCIAL S29 V1 BNP Paribas London Branch 17,300,000 20/06/2023 -16 273.21EUR B ITRAXX SUB FINANCIALS S29 V1 MKT Citigroup Global Markets Ltd London 2,100,000 20/06/2023 99 882.84EUR B ITRAXX SUB FINANCIALS S29 V1 MKT Citigroup Global Markets Ltd London 4,000,000 20/06/2023 190 253.00EUR B ITRAXX SUB FINANCIALS S29 V1 MKT Citigroup Global Markets Ltd London 1,900,000 20/06/2023 90 370.13EUR B ITRAXX SUB FINANCIALS S29 V1 MKT Citigroup Global Markets Ltd London 200,000 20/06/2023 9 512.61USD B COX COMMUNICATIONS USD SN JP Morgan Securities Ltd 3,200,000 20/12/2023 -21 458.94

As at December 31, 2018, the unrealised net depreciation on credit default swaps amounted to EUR 544,320.61. EQUITY SWAPS The sub-fund Boussard & Gavaudan Absolute Return concluded equity swaps in which one party pays to the other the difference between the current value of an asset and its value at the contract time. (Please refer to the Note 10 for detailed collateral information). As at December 31, 2018, outstanding equity swaps contracts were as follows:

Notional Currency Maturity Counterparty Sub-fund pays Sub-fund received

Unrealised Appreciation/ depreciation

(EUR) 60,604.52 USD 08/07/2019 Société Générale Paris USD LIBOR 3 MONTHS SGBGSBS INDEX -6,691.78

58,199.82 USD 09/07/2019 Société Générale Paris RUSSELL 2000 TOTAL RETURN IDX

USD LIBOR 3 MONTHS 9,749.16

As at December 31, 2018, the unrealised net appreciation on equity swaps amounted to EUR 3,057.38.

83Page

Boussard & Gavaudan SICAVOther notes to the financial statements


Other notes to the financial statements as at December 31, 2018

1. ORGANISATION Boussard & Gavaudan SICAV (the “Company”) is an investment company organised as a société anonyme, incorporated on September 17, 2014 under the laws of the Grand-Duchy of Luxembourg and is qualified as a Société d’Investissement à Capital Variable (SICAV) subject to Part I of the modified law of December 17, 2010 on undertakings for collective investment. The Company is registered with the Registre de Commerce et des Sociétés of Luxembourg under number B190584 and is established at 5, allée Scheffer, L-2520 Luxembourg. Boussard & Gavaudan Asset Management LP, incorporated as a limited partnership under the laws of England and Wales and registered with the Company House of Cardiff under the number LP8216, has been designated to serve as Management Company of the Company in accordance with the provisions of the UCI Law. The Board of Directors of the Company decided to launch the sub-fund BG AI US Equities SRI on September 13, 2018. The Board of Directors of the Company decided to change the name of the sub-fund BG AI Long Short Equity US into BG AI Long Short Equity as of August 10, 2018. As at December 31, 2018, the following sub-funds (the “sub-funds”) are active: Sub-funds Currency Boussard & Gavaudan Absolute Return EUR Boussard & Gavaudan Convertible EUR BG Long Term Value EUR Boussard & Gavaudan Equity Quantitative Trading EUR BG AI Long Short Equity USD BG AI US Equities SRI USD The Company may issue different Classes of Shares as determined by the Board of Directors, which may differ in their specific sales or redemptions charge structure, fee structure, minimum investment amount, taxation, distribution policy and other any features. The following Classes of Shares are available at the date of the report: Classes Z, I1, R and R1 Shares are open to all type of investors (retail and institutional). Class I Shares are reserved to institutional investors. Class D Shares are reserved for subscriptions by funds or accounts managed, advised or sub-advised by the Management Company or any affiliated manager. Class P and P1 Shares are open to all type of professional investors (with the meaning of Annex II of MIFiD). Class S Shares are available, at the discretion of the Management Company, to the staff and other connected parties of the Investment Manager, the Management Company and their affiliates. The Company may also issue currency hedged Classes of Shares with respect to which the Management Company seeks to hedge the exposure of a sub-fund’s portfolio to currencies other than the reference currency of the relevant sub-fund. The sub-fund Boussard & Gavaudan Absolute Return was closed to new subscriptions from existing shareholders as well as new investors from July 31, 2017. As at December 20, 2018, the sub-fund has been reopened to subscriptions.

For the sub-fund BG Long Term Value, the Class R Shares are reserved to retail investors only. For the sub-funds Boussard & Gavaudan Absolute Return and Boussard & Gavaudan Equity Quantitative Trading, the Class I Shares are reserved to all investors.


Other notes to the financial statements as at December 31, 2018 (continued)

2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES Presentation of the financial statements

The Company’s financial statements are prepared in accordance with the Luxembourg regulations relating to Undertakings for Collective Investment in Transferable Securities under the modified law of December 17, 2010 (“UCITS V”). a) Securities portfolio

The value of securities or financial instruments listed or dealt in on a regulated market or on any other regulated market are valued at their latest available prices, or, in the event that there should be several such markets, on the basis of their latest available prices on the main market for the relevant asset.

In the event that the assets are not listed or dealt in on a regulated market or on any other regulated market or if, in the opinion of the Board of Directors, the latest available price does not truly reflect the fair market value of the relevant asset, the value of such asset is defined based on the reasonably foreseeable sales proceeds determined prudently and in good faith by the Board of Directors or their delegate using valuation principles which can be examined by the auditor of the Company.

All investments with a known short term maturity date are valued by using the amortised cost method. This involves valuing an investment at its cost and thereafter assuming a constant amortisation to maturity of any discount or premium, regardless of the impact of fluctuating interest rates on the market value of the investments. Any discount or premium is recognised in the “Net interest on bonds” in the Statement of operations and changes in net assets.

Units or shares issued by open-ended investment funds are valued at their last available net asset value. Feeder UCITS investments into Master UCITS are valued at the latest available net asset value as published by the Master UCITS. b) Conversion of items expressed in foreign currencies The Company’s financial statements are expressed in EUR.

Transactions and acquisition costs denominated in foreign currencies are converted into the accounting currency of each sub-fund based on the exchange rate in force on the date of the transaction or acquisition. Assets and liabilities denominated in foreign currencies are converted into the accounting currency of each sub-fund based on the exchange rate in force at the end of the financial year. Any resulting gains or losses are recognised in the Statement of operations and changes in net assets. As at December 31, 2018, the exchange rates used were the following: 1 EUR = 1.62380 AUD 1 EUR = 22.51290 MXN 1 EUR = 4.43060 BRL 1 EUR = 9.89875 NOK 1 EUR = 1.56130 CAD 1 EUR = 1.70480 NZD 1 EUR = 1.12690 CHF 1 EUR = 79.30315 RUB 1 EUR = 7.46245 DKK 1 EUR = 10.13500 SEK 1 EUR = 0.89755 GBP 1 EUR = 6.08145 TRY 1 EUR = 8.95015 HKD 1 EUR = 35.13700 TWD 1 EUR = 79.80905 INR 1 EUR = 1.14315 USD 1 EUR = 125.42070 JPY 1 EUR = 16.44420 ZAR 1 EUR = 1 275.52680 KRW



2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (continued) c) Dividend and Interest income Dividend income is accounted for on an ex-dividend basis, net of withholding tax. Interest income is recognised on an accrual basis. d) Distribution of costs and expenses Specific costs or expenses are charged to each sub-fund. Non-specific costs and expenses are usually distributed between the sub-funds in proportion to their respective net assets. e) Formation expenses Set-up costs and expenses are charged pro rata to the net assets of each sub-fund and are written of over a period of five year. f) Financial futures Open financial futures contracts are valued at their last known price on the valuation date or on the closing date. The unrealised appreciation or depreciation on financial futures is disclosed in the financial statements. Related deposit margins/margin calls are included under “Other liquid assets” or “Other liquid liabilities” in the Statement of net assets. g) Forward foreign exchange contracts Outstanding forward foreign exchange contracts are valued at the closing date by reference to the rate of exchange applicable to the outstanding life of the contract. The unrealised appreciation or depreciation is disclosed in the financial statements. h) Options Options traded on a regulated market are valued at their last known price on the valuation date or on the closing date OTC options are marked to market based upon prices obtained from third party pricing agents. i) Valuation of credit default swaps A credit default swap is a credit derivative bilateral agreement in which one counterparty (the protection buyer) pays a periodic fee to the other party (the protection seller) for the specified life of the contract in return for a contingent payment by the protection seller upon occurrence of a credit event on any referenced issuers. If such an event occurs, the protection seller will then make payment to the buyer and the swap will terminate. In certain cases, the protection seller may take possession of the underlying securities.

Credit default swaps are marked to market at each net asset value calculation date. The market value is based on the valuation elements laid down in the contracts and is obtained from third party pricing agents, market makers or internal models.

The unrealised appreciation or depreciation and the receivable or payable amount from realised are disclosed in the Statement of net assets under “Unrealised net appreciation/depreciation on swaps” and “Receivable/Payable on swaps”. Realised profits/losses and changes in unrealised appreciation /depreciation as a result thereof are included in the Statement of operations and changes in net assets respectively under “Net realised profit/loss on swaps” and “Movement in net unrealised appreciation/depreciation on swaps”. The related interests received and paid are included respectively under “Interest receivable” and “Other liabilities” in the Statement of net assets and “Interest received on Credit default swap” and “Interest paid on Credit default swap” in the Statement of operations and changes in net assets.



2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (continued) j) Valuation of contracts for difference A contract for difference is a bilateral contract essentially between the client (the “buyer”) and his counterparty (the “seller”), whereby the buyer will receive or pay the difference between the current value of a determined underlying asset and its value at the entry in the agreement (at each reset), according if its value is positive or negative.

Contracts for difference are marked to market at each net asset value calculation date and the valuation follows the valuation of the underlying asset of each contract. The unrealised appreciation or depreciation and the receivable or payable amount from realised are disclosed in the Statement of net assets under “Unrealised net appreciation/depreciation on swaps” and “Receivable/Payable on swaps”. Realised profits/losses and changes in unrealised appreciation /depreciation as a result thereof are included in the Statement of operations and changes in net assets respectively under “Net realised profit/loss on swaps” and “Movement in net unrealised appreciation/depreciation on swaps”. k) Valuation of equity swaps An equity swap is a bilateral contract essentially between the Company (the “buyer”) and his counterparty (the “seller”), whereby the buyer will receive or pay the difference between the current value of a determined underlying asset and its value at the entry in the agreement, according if its value is positive or negative. Equity swaps are marked to market at each net asset value calculation date and the valuation follows the valuation of the underlying asset of each contract. The unrealised appreciation or depreciation and the receivable or payable amount from realised are disclosed in the Statement of net assets under “Unrealised net appreciation/depreciation on swaps” and “Receivable/Payable on swaps”. Realised profits/losses and changes in unrealised appreciation /depreciation as a result thereof are included in the Statement of operations and changes in net assets respectively under “Net realised profit/loss on swaps” and “Movement in net unrealised appreciation/depreciation on swaps”. l) Transaction fees The transactions fees, i.e. fees charged by the brokers and the Depositary for securities transactions and similar transactions are recorded separately in the Statement of operations and changes in net assets under “Transaction fees”. m) Securities lending

The Company may lend securities included in its portfolio to a borrower. To guarantee this transaction, the Company receives a collateral. Securities lending attracts remuneration for the Company according to the contracts and is accounted for in the Statement of operations and changes in net assets under “Securities lending income”.

Securities lending are delivered to a third party broker, the assets of which continue to be valued as part of the portfolio of the Company (Note 9).

3. DETERMINATION OF NET ASSET VALUE PER SHARE The net asset value per Share of each Class of Shares in each sub-fund is determined by dividing the value of the total net assets of that sub-fund properly allocated to such Class by the total number of Shares of such Class outstanding on such valuation day (“Valuation Day”), as defined in the prospectus of the Company.



4. TAXATION The Company is registered in Luxembourg and as a result, is exempt from tax except for the “taxe d'abonnement”. Under current legislation, Classes of Shares reserved to institutional investors are subject to a tax rate of 0.01% and those reserved to retail investors are subject to a tax rate of 0.05%. The tax is calculated and payable quarterly on the net assets of the Company at the end of the relevant quarter.

The value of assets represented by investments in other Luxembourg UCIs which have already been subject to the “taxe d’abonnement” is exempt.

5. MANAGEMENT FEES AND PERFORMANCE FEES The Company pays for the various sub-funds and by Class of Shares a management fee (the “Management Fee”) to the Management Company calculated and accrued on each Valuation Day as a percentage of the net assets attributable to the relevant Class of Shares and payable quarterly in arrears.

In addition to the Management Fee, the Management Company is entitled to receive a performance fee (the “Performance Fee”) accrued daily and payable annually in arrears. Boussard & Gavaudan Absolute Return

Class Z Shares

Class S Shares

Class R Shares

Class I Shares

Class R1 Shares

Class P Shares

Class P1 Shares

Management Fee 1.00% 0.50% 2.00% 1.15% 2.50% 1.00% 1.50%* Performance Fee 10.00% 15.00% 15.00% 10.00% 15.00% 15.00% 15.00%

The Board of Directors of the Company has decided to reduce the management fees and performance fees of the I Class Euro, I Class USD and I Class GBP of Boussard & Gavaudan Absolute Return as follows:

- The performance fees : from 15% to 10% - The management fees : from 1.5% to 1.15%

The fee reduction has been effective since February 1, 2018. Boussard & Gavaudan Convertible Class I

Shares Class P Shares

Class S Shares

Class R Shares

Management Fee 0.80% 0.80% 0.50% 1.60% Performance Fee N/A N/A N/A N/A

BG Long Term Value** Class I1

Shares Class I Shares

Class P Shares

Class R Shares

Class S Shares

Management Fee* 0.80%* 1.00% 1.00% 2.00% 0.50% Performance Fee 15.00%* 15.00% 15.00% 15.00% N/A

Boussard & Gavaudan Equity Quantitative Trading Class I

Shares Class D Shares

Management Fee 0.75% 0.00%* Performance Fee N/A N/A

BG AI Long Short Equity Class Z

Shares Class S Shares

Class Z1 Shares

Class R Shares

Management Fee 0.50% 0.50%* 1.00% 1.50% Performance Fee N/A N/A 15.00% 15.00%



5. MANAGEMENT FEES AND PERFORMANCE FEES (continued) BG AI US Equities SRI Class Z

Shares Class S Shares

Class Z1 Shares

Class R Shares

Management Fee 0.50% 0.40%* 0.80%* 1.30%* Performance Fee N/A N/A 10.00%* 10.00%*

* Class of Shares not active during the year ** No management fee is applied at the level of the Master UCITS in order to avoid any risks of duplication of fees

Calculation basis:

Boussard & Gavaudan Absolute Return

High Watermark principle, i.e. the difference, if positive, between the net asset value per Share computed on the last Valuation Day of the relevant financial year and the highest year-end net asset value per Share achieved by the sub-fund.

BG Long Term Value Sub-fund’s outperformance compared to the best performance between zero, the sub-fund’s benchmark, the Dow Jones Eurostoxx 50 total return, and the Stoxx 600 total return.

BG AI Long Short Equity

High Watermark principle, i.e. the difference, if positive, between the net asset value per Share computed on the last Valuation Day of the relevant financial year and the highest year-end net asset value per Share achieved by the sub-fund.

BG AI US Equities SRI High Watermark principle, 10% fee calculated on the excess return generated by the strategy over the net total return of the SP500 Index Net Total return.

In the event that a shareholder redeems prior to the end of the performance period, any accrued but unpaid Performance Fee relating to those shares shall be paid to the Management Company.

6. DEPOSITARY AND ADMINISTRATION FEES The Depositary and the Central Administration are paid by the Company in accordance with usual market practice. These fees are calculated on the basis of the daily net assets of the sub-funds and payable monthly in arrears.

7. MASTER-FEEDER STRUCTURE The sub-fund BG Long Term Value (the “Feeder UCITS”) is a feeder sub-fund following Art.77 of the modified law of 2010. It invests at least 85% of its net assets in units of BG Long Term Value (the “Master UCITS”). The Master UCITS is a Fonds Commun de Placement (Mutual Investment Fund) established under the laws of France and authorised by the French Autorités des Marchés Financiers as a UCITS and managed by Boussard & Gavaudan Gestion S.A.S., its Management Company.

The Feeder UCITS is investing in the F Class of Shares of the Master UCITS. As at December 31, 2018, the percentage of ownership (in terms of net assets) is 100.42%.

The Master UCITS’focus is on equities of European Union countries. The Master UCITS aims to outperform the Dow Jones Eurostoxx 50 (total return) over a recommended investment horizon of five years. As at December 31, 2018, the total fees of the Feeder UCITS are as follows:

Feeder UCITS Total fees in EUR BG Long Term Value 867,858.35

No management fee is applied at the level of the Master UCITS in order to avoid any risks of duplication of fees. Any another fees are applied at the level of the Master UCITS.

The Master UCITS’ prospectus, latest annual and semi-annual reports are available upon request at the registered office of the Company.



8. CHANGES IN PORTFOLIO COMPOSITION The details of the changes in portfolio composition for the year ended December 31, 2018 are at the disposal of the shareholders at the registered office of the Company and are available upon request free of charge.

9. SECURITIES LENDING During the year, the Company participated in a securities lending program concerning the sub-fund Boussard & Gavaudan Convertible.

For the year ended December 31, 2018, the net amount of securities lending income generated by the Company is disclosed in the Statement of operations and changes in net assets in the caption “Securities lending income” and the direct-indirect costs and fees are detailed below:

Name of sub-fund Total gross amount of

securities lending income in EUR

Direct-indirect costs and fees deducted from gross securities

lending income in EUR

Total net amount of securities lending income in EUR

Boussard & Gavaudan Convertible 8,740.56 1,311.08 7,429.48

10. COLLATERAL As at December 31, 2018, the collateral received or paid which is composed of margin deposits for financial futures and options and collateral held or paid in order to reduce exposure on OTC derivatives is detailed as follows:

Name of sub-funds Sub-fund currency Counterparty Type of

collateral Collateral

received in EUR Collateral

paid in EUR Cleared /

OTC Barclays Bank PLC London Cash - 1,650,000.00 OTC BNP Paribas London Branch Cash - 9,150,000.00 OTC Citigroup Global Market Ltd London Cash 300,000.00 - OTC Crédit Suisse International London Cash 36,150,000.00 300,000.00 OTC Goldman Sachs International Finance Cash 530,000.00 - OTC HSBC Bank International Cash - 2,490,000.00 OTC JP Morgan Securities Ltd Cash - 6,500,000.00 OTC Natixis Paris Cash - 21,670,000.00 OTC Société Générale Paris Cash - 35,700,000.00 OTC UBS London Cash - 450,000.00 OTC

Boussard & Gavaudan Absolute Return EUR

Credit Suisse International London Cash 235,329,918.12 269,440,300.86 Cleared Boussard & Gavaudan Convertible EUR Credit Suisse International London Cash 477,621.33 643,491.60 Cleared

Boussard & Gavaudan Equity Quantitative Trading

EUR BNP Paribas London Branch Cash - 300,000.00 Cleared

Caceis Bank, Luxembourg Branch Cash - 3,296,849.04 OTC Credit Suisse International London Cash - 1,940,000.00 OTC BG AI Long Short Equity USD Credit Suisse International London Cash - 4,415,166.36 Cleared Caceis Bank, Luxembourg Branch Cash - 1,400,000.00 OTC BG AI US Equities SRI USD Credit Suisse International London Cash - 382,770.43 Cleared

The cash accounts with collateral are combined in the Statement of net assets as there is not only collateral but excess cash too.



11. OTHER EXPENSES The detail of the caption “Other expenses” of the sub-funds is the following:

Boussard & Gavaudan Absolute Return Publication fees: 702.00 EUR Directors fees: 17,359.98 EUR Compliance fees: 8,400.00 EUR Insurance fees: 15,515.89 EUR Consultants fees: 30,641.34 EUR Other operating fees: 355.96 EUR Miscellaneous: 30,131.11 EUR Total 103,106.28 EUR

Boussard & Gavaudan Convertible Publication fees: 702.00 EUR Directors fees: 500.00 EUR Compliance fees: 8,400.00 EUR Insurance fees: 236.87 EUR Consultants fees: 8,613.34 EUR Other operating fees: 406.67 EUR Miscellaneous: 2,290.91 EUR Total 21,149.79 EUR

BG Long Term Value Publication fees: 702.00 EUR Directors fees: 858.95 EUR Consultants fees: 14,200.16 EUR Miscellaneous: 2,134.95 EUR Total 17,896.06 EUR

Boussard & Gavaudan Equity Quantitative Trading Publication fees: 643.50 EUR Directors fees: 692.94 EUR Compliance fees: 8,400.00 EUR Insurance fees: 258.37 EUR Consultants fees: 592.60 EUR Other operating fees: 376.00 EUR Miscellaneous: 2,468.93 EUR Total 13,432.34 EUR

BG AI Long Short Equity Publication fees: 829.94 USD Directors fees: 2,123.96 USD Compliance fees: 8,246.40 USD VAT fees: 2,341.32 USD Insurance fees: 1,195.09 USD Consultants fees: 723.83 USD Other operating fees 360.09 USD Miscellaneous: 11,509.24 USD Total 27,329.87 USD



11. OTHER EXPENSES (continued) BG AI US Equities SRI (launched on September 13, 2018) Publication fees: 201.83 USD Directors fees: 401.00 USD Compliance fees: 2,017.03 USD Other operating fees: 48.01 USD Miscellaneous: 583.82 USD Total 3,251.69 USD

12. TER

Boussard & Gavaudan Absolute Return TER in % Z Class EUR 1.23 Z Class USD 1.26 Ratio of performance fee (in % of average net assets) 0.03 Z Class GBP 1.23 S Class EUR 0.73 R Class EUR 2.23 Ratio of performance fee (in % of average net assets) 0.01 R Class USD 2.40 Ratio of performance fee (in % of average net assets) 0.17 R Class GBP 2.23 I Class EUR 1.38 I Class USD 1.38 P Class EUR 1.25* Boussard & Gavaudan Convertible I Class USD 1.81 P Class EUR 1.81 S Class EUR 1.55 S Class GBP 1.51 R Class EUR 2.71 BG Long Term Value I Class EUR 1.27 Ratio of performance fee (in % of average net assets) 0.01 I Class GBP 1.27 R Class EUR 2.30 S Class EUR 0.82 Ratio of performance fee (in % of average net assets) 0.01 P Class EUR 1.60* Ratio of performance fee (in % of average net assets) 0.01* Boussard & Gavaudan Equity Quantitative Trading I Class EUR 1.40



12. TER (continued) BG AI Long Short Equity TER in % Z Class USD 0.76 Z Class EUR 0.76 Z Class SEK 0.76 Z1 Class USD 1.26 Z1 Class EUR 1.28 Ratio of performance fee (in % of average net assets) 0.02 R Class USD 1.76* R Class EUR 1.74 Ratio of performance fee (in % of average net assets) 0.03 BG AI US Equities SRI

Z Class USD 1.18* Z Class EUR 1.19*

* Class of Shares activated during the last 12 months. Calculation on a yearly basis as an indication only.

13. SWING ADJUSTMENT If on any dealing day the aggregate transactions in units of all classes of a Fund result in a net increase or decrease of units which exceeds a threshold, the NAV of the relevant Fund may be adjusted by an amount which reflects the estimated dealing costs to be incurred by the Fund and the estimated bid/offer spread of the assets in which the Fund invests. Swing adjustment may be applied to the Boussard & Gavaudan Absolute return. The swing price policy is described in the Chapter 12.7 Swing Pricing of the Prospectus. At the date of the report, a Swing Pricing was applied to the Net Assets Values of the Sub-Fund Boussard & Gavaudan Absolute Return.

14. RESEARCH FEES MiFID II Research Costs Following implementation of Directive 2014/65/EU of the European Parliament and of the Council, of 15 May 2014, on markets in financial instruments, “MiFID II”, Boussard & Gavaudan SICAV disclosed a budget for 2018 of EUR 1,123,657 without VAT. In the absence of any extraordinary circumstances the total research spent was in line with the budget disclosed in January 2018. The details withtout VAT concerning the sub-funds of Boussard & Gavaudan SICAV are as follows : Boussard & Gavaudan Absolute Return: EUR 1,102,348 Boussard & Gavaudan Convertible: EUR 2,656 BG Long Term Value: EUR 18,653 Further information on research costs is available upon request.


Additional information (unaudited)

Global exposure calculation method The commitment approach The sub-funds BG Long Term Value, Boussard & Gavaudan Equity Quantitative Trading, BG AI Long Short Equity and BG AI US Equities SRI use the commitment approach in order to monitor and measure the global exposure. The global exposure of the sub-funds is calculated based on the commitment approach in accordance with the methodology described in the ESMA's guidelines 10-788. The absolute VaR approach The sub-funds Boussard & Gavaudan Absolute Return and Boussard & Gavaudan Convertible use the absolute Value at Risk (VaR) approach in order to monitor and measure the global exposure.

Boussard & Gavaudan Absolute Return:

The limit is set at 20%. The utilisation of the VaR limit during the financial year was as follows:

- Lowest utilisation : -1.17% - Highest utilisation : -6.76% - Average utilisation : -3.17%

The VaR figures have been calculated based on the following input data:

- Model used: Historical simulation - Confidence level: 99% - Holding period: 20 days - Length of data history: 1year

The average level of leverage calculated using the sum of notionals approach was 590.26%. Boussard & Gavaudan Convertible: The limit is set at 20%. The utilisation of the VaR limit during the financial year was as follows:

- Lowest utilisation : -1.33% - Highest utilisation : -3.85% - Average utilisation : -2.57%

The VaR figures have been calculated based on the following input data:

- Model used: Historical simulation - Confidence level: 99% - Holding period: 20 days - Length of data history: 1 year

The average level of leverage calculated using the sum of notionals approach was 79.95%.


Additional information (unaudited) (continued)

SFTR (Securities Financing Transactions and of Reuse regulation)

SECURITIES LENDING TRANSACTIONS

Boussard & Gavaudan

Convertible Assets used In EUR

In absolute terms - As a % of lendable assets -

As a % of total net asset value - Transactions classified according to residual maturities

In EUR

Less than 1 day - From 1 day to 1 week -

From 1 week to 1 month - From 1 month to 3 months -

From 3 months to 1 year - Above 1 year -

Open maturity - Collateral received

Type -

Quality -

Currency -

Classification according to residual maturities:

Less than 1 day - From 1 day to 1 week -

From 1 week to 1 month - From 1 month to 3 months -

From 3 months to 1 year - Above 1 year -

Open maturity -

The 10 largest issuers of collateral received

First name - Amount -

Revenue and expenditure components In EUR

Revenue component of the fund: In absolute amount 7,429.48

In % of gross revenue 85% Revenue component of the Management

Company

In absolute amount 0.00 In % of gross revenue 0%

Revenue component of third parties In absolute amount 1,311.08

In % of gross revenue 15%

The sub-fund has CACEIS Bank, Luxembourg Branch S.A. as sole counterparty for securities lending positions and as depositary for collateral received. All transactions are bilateral transactions. Cash collateral is not reused.


Additional information (unaudited) (continued)

UCITS V The Investment Manager Remuneration Policy is designed to support a pay for performance philosophy and reward eligible colleagues for both team and individual performance against specific goals in line with the needs of the business. All employees share in the responsibility for financial success and the growth of the business. The Remuneration Policy links individual objectives directly to the goals of the business. A participant’s actual incentive pay-out will be based on both funding results and business distribution approach. Incentive funding takes into consideration financial performance of a participant’s business as well as the Investment Manager overall financial performance. The Investment Manager has a pay for performance philosophy and expects differentiated rewards based on individual performance and contributions. Therefore, distribution of the funded incentive pool is intended to deliver differentiated incentives to the highest performers. Management discretion may be used in determining the funding and the final pay-out. An incentive pay-out is not an entitlement or guarantee, it is designed to enlist and encourage the right actions/behaviours, and reward based on results. All staff receive fixed remuneration in the form of basic pay to ensure that the fixed and variable components are appropriately balanced. The element of basic pay is sufficiently high to allow the operation of a fully flexible policy on variable remuneration including allowing no variable remuneration component being paid. The remuneration policy includes the following features: deferral over 3 years, awards in instruments, at least 50% in shares, retention of the shares for 6 months, and potential application of malus and clawback provisions. Total remuneration paid to staff during the financial period ending 31 March 2018: Fixed remuneration*: EUR 2,260,748 Variable remuneration*: EUR 6,499,902 Number of staff: 80 Aggregate remuneration of senior management*: EUR 3,742,691 Aggregate remuneration of employees whose actions have a material impact on the risk profile of the Funds managed by the Investment Manager*: EUR 5,224,417 *Remuneration figures reflect an approximation of the portion of remuneration reasonably attributable to the Funds.

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