russell investment company ii plc

2016 ANNUAL REPORT AND AUDITED FINANCIAL STATEMENTS

31 March 2016

Russell Investment Company II plcan umbrella fund with segregated liability between sub-funds

Russell Emerging Market Debt Local Currency Fund

Russell Emerging Markets Extended Opportunities Fund

Russell Euro Fixed Income Fund

Russell Global Bond (Euro Hedged) Fund

Russell Global Defensive Equity Fund

Russell Pan European Equity Fund

Russell U.K. Equity Plus Fund

Russell U.S. Growth Fund*

Russell U.S. Quant Fund

Russell U.S. Value Fund*

Russell World Equity Fund

* Ceased trading during the year ended 31 March 2015

Russell Investment Company II plc

Contents

Contents

Administration of the Company .............................................................................................................................. 2 Background to the Company ................................................................................................................................. 4 Directors’ Report .................................................................................................................................................... 5 Custodian and Trustee’s Report ............................................................................................................................ 7 Independent Auditors’ Report ................................................................................................................................ 8 Combined Statements ........................................................................................................................................... 11 Russell Emerging Market Debt Local Currency Fund ........................................................................................... 14 Russell Emerging Markets Extended Opportunities Fund ..................................................................................... 29 Russell Euro Fixed Income Fund ........................................................................................................................... 50 Russell Global Bond (Euro Hedged) Fund ............................................................................................................ 73 Russell Global Defensive Equity Fund .................................................................................................................. 122 Russell Pan European Equity Fund ....................................................................................................................... 139 Russell U.K. Equity Plus Fund ............................................................................................................................... 155 Russell U.S. Growth Fund* .................................................................................................................................... 165 Russell U.S. Quant Fund ....................................................................................................................................... 168 Russell U.S. Value Fund* ...................................................................................................................................... 182 Russell World Equity Fund .................................................................................................................................... 185 Notes to the Financial Statements ......................................................................................................................... 208

* Ceased trading during the year ended 31 March 2015.


Administration of the Company

2 Administration of the Company

Board of Directors of the Company* Global Sub-Custodian

Mr. James Firn (Chairman) State Street Bank and Trust Company

Mr. James Beveridge Copley Place

Mr. Peter Gonella 100 Huntington Avenue

Mr. Neil Jenkins Boston, MA 02116

Mr. John McMurray United States of America

Mr. Tom Murray

Mr. William Roberts Promoter

Mr. David Shubotham Frank Russell Company

Mr. Kenneth Willman 1301 Second Avenue

18th Floor

Members of the Manager’s Audit Committee Seattle, WA 98101

Mr. David Shubotham (Chairman) United States of America

Mr. Tom Murray

Mr. William Roberts Company Secretary

MFD Secretaries Limited

Registered Office 2nd Floor, Beaux Lane House

78 Sir John Rogerson’s Quay Mercer Street Lower

Dublin 2 Dublin 2

Ireland Ireland

Manager Adviser and Distributor

Russell Investments Ireland Limited Russell Investments Limited

78 Sir John Rogerson’s Quay Rex House

Dublin 2 10 Regent Street, St. James’

Ireland London SW1Y 4PE

England

Independent Auditors

PricewaterhouseCoopers Paying and Information Agent in Austria

Chartered Accountants and Statutory Audit Firm UniCredit Bank Austria AG

One Spencer Dock Schottengasse 6-8

North Wall Quay 1010 Vienna

Dublin 1 Austria

Ireland

Paying and Information Agent in France

Legal Advisers Société Générale

Maples and Calder 29, Boulevard Haussmann

75 St. Stephen’s Green 75009 Paris

Dublin 2 France

Ireland

Paying and Information Agent in Germany**

Administrator Marcard, Stein & Co AG

State Street Fund Services (Ireland) Limited Ballindamm 36

78 Sir John Rogerson’s Quay 20095 Hamburg

Dublin 2 Germany

Ireland

Paying and Information Agent in Italy

Custodian and Trustee BNP Paribas Securities Services, Milan Branch

State Street Custodial Services (Ireland) Limited Via Ansperto 5

78 Sir John Rogerson’s Quay 20121 Milan

Dublin 2 Italy

Ireland

* As of 31 March 2016.

** The Company’s Memorandum and Articles of Association, the Prospectus, the Key Investor Information Documents, the unaudited semi-

annual reports, as well as the audited annual reports can be obtained free of charge from the office of the paying and information agent via

regular mail or per e-mail. The net asset value of each of the Funds and the subscription and redemption prices of the shares of the Funds are

published jointly and daily on “www.fundinfo.com” for information purposes only and do not constitute an invitation to subscribe for or

repurchase the Company’s shares at those prices.


Administration of the Company - continued

Administration of the Company 3

Paying Agent in Italy

SGSS S.p.A

Via Benigno Crespi, 19/A-MAC2

20159 Milan

Italy

Information Agent and Representative in the Netherlands

Deutsche Bank AG

Amsterdam Branch

Herengracht 450 - 454

1017 CA Amsterdam

The Netherlands


Background to the Company

4 Background to the Company

Russell Investment Company II plc (the “Company”) was incorporated in Ireland as a public limited company on 1 November

2000. The Company operates pursuant to Irish company law under the Companies Act 2014, and has been authorised since 8

November 2000 by the Central Bank of Ireland (the “Central Bank”).

The Company is an open-ended investment company with variable capital which is authorised by the Central Bank under the

European Communities (Undertakings for Collective Investment in Transferable Securities) Regulations, 2011 (as amended) and

under the Central Bank (Supervision & Enforcement) Act 2013 (Section 48(1) (Undertakings for Collective Investment in

Transferable Securities) Regulations 2015) (together the "Regulations").

The Company is organised in the form of an umbrella fund with segregated liability between sub-funds and as at 31 March 2016,

had ten constituent funds available for investment (each a “Fund”, collectively the “Funds”).

Please see each Fund’s Manager’s Report for details of the investment objectives of the particular Fund.

The Promoter, the Adviser and Distributor, the Manager and their affiliated group companies are referred to collectively as

“Russell Investments” in these financial statements.

The Net assets under management for the Funds as at 31 March 2016 amounted to EUR 4,259,100 (as at 31 March 2015: EUR

5,547,781,891) are broken down as follows:

Fund

Funded during

the year ended

Functional

Currency

Net Assets

31 March 2016

‘000

Net Assets

31 March 2015

‘000

Russell Emerging Market Debt Local Currency Fund 31 March 2013 USD 435,807 382,034

Russell Emerging Markets Extended Opportunities Fund 31 March 2012 USD 695,844 845,804

Russell Euro Fixed Income Fund 31 March 2002 EUR 292,422 244,067

Russell Global Bond (Euro Hedged) Fund 31 March 2002 EUR 410,199 565,409

Russell Global Defensive Equity Fund 31 March 2013 USD 133,836 150,655

Russell Pan European Equity Fund 31 March 2002 EUR 522,434 491,405

Russell U.K. Equity Plus Fund 31 March 2007 GBP 90,915 108,931

Russell U.S. Quant Fund 31 March 2002 USD 264,084 212,538

Russell World Equity Fund 31 March 2005 USD 1,797,342 2,808,438

Russell U.S. Growth Fund and Russell U.S. Value Fund ceased trading on 14 October 2014.

Russell U.S. Equity Plus Fund remained unfunded as at 31 March 2016.

All share classes are Accumulation Class Shares unless otherwise indicated in the name of the share class.

All references to “net assets” throughout this document refer to net assets attributable to holders of redeemable participating

shares unless otherwise stated.


Directors’ Report

Directors’ Report 5

The Directors submit their report together with the audited financial statements for the year ended 31 March 2016.

Directors’ responsibilities

The Directors are responsible for preparing the Directors’ report and the financial statements in accordance with Irish law.

Irish law requires the Directors to prepare financial statements for each financial year that give a true and fair view of the

Company’s assets, liabilities and financial position as at the end of the financial year and of the profit or loss of the Company for

the financial year. Under that law the Directors have prepared the financial statements in accordance with Generally Accepted

Accounting Practice in Ireland (accounting standards issued by the Financial Reporting Council and promulgated by the Institute

of Chartered Accountants in Ireland) and Irish law. Under Irish law, the Directors shall not approve the financial statements unless they are satisfied that they give a true and fair

view of the Company’s assets, liabilities and financial position as at the end of the financial year and the profit or loss of the

Company for the financial year.

In preparing these financial statements, the Directors are required to:

select suitable accounting policies and then apply them consistently;

make estimates and judgements that are reasonable and prudent,

state whether the financial statements have been prepared in accordance with applicable accounting standards and

identify the standards in question, subject to any material departures from those standards being disclosed and explained

in the notes to the financial statements; and

prepare the financial statements on a going concern basis unless it is inappropriate to presume that the Company will

continue in business. The Directors are responsible for keeping adequate accounting records that are sufficient to:

correctly record and explain the transactions of the Company;

enable, at any time, the assets, liabilities, financial position and profit or loss of the Company to be determined with

reasonable accuracy; and

enable the Directors to ensure that the financial statements comply with the Companies Act 2014 and enable those

financial statements to be audited. The Directors confirm that they believe that they have complied with the above requirements in preparing the financial

statements. The Directors are responsible for the maintenance and integrity of the corporate and financial information relating to the

Company which may be included on Russell Investments Limited’s (the “Adviser”) website. Legislation in the Republic of

Ireland governing the preparation and dissemination of financial statements may differ from legislation in other jurisdictions. In carrying out the above requirements, the Directors have appointed Russell Investments Ireland Limited as manager (the

“Manager”) and the Manager has appointed State Street Fund Services (Ireland) Limited to act as administrator (the

“Administrator”) of the Company. The Directors are also responsible for safeguarding the assets of the Company. In this regard they have appointed State Street

Custodial Services (Ireland) Limited (the “Custodian and Trustee”) as custodian and trustee to the Company pursuant to the terms

of a custodian agreement. The Directors have a responsibility for taking such steps as are reasonably open to them to prevent and

detect fraud and other irregularities. The Directors believe that they have complied with the requirements of the Companies Act

2014, with regard to accounting records by employing an experienced administrator with appropriate expertise and by providing

adequate resources to the financial function. The accounting records of the Company are maintained by the Administrator at 78

Sir John Rogerson’s Quay, Dublin 2, Ireland. Distribution policy Please refer to note 8 to the financial statements for details of the distribution policy of the Funds. Connected party transactions

Regulation 41 of the UCITS Regulations “Restrictions of transactions with connected persons” states that “A responsible person

shall ensure that any transaction between a UCITS and a connected person conducted a) at arm’s length; and b) in the best interest

of the unit-holders of the UCITS”.


Directors’ Report - continued

6 Directors’ Report

As required under UCITS Regulation 78.4, the Directors, as responsible persons are satisfied that there are in place arrangements,

evidenced by written procedures, to ensure that the obligations that are prescribed by Regulation 41(1) are applied to all

transactions with a connected party; and all transactions with a connected parties that were entered into during the period to which

the report relates complied with the obligations that are prescribed by Regulation 41(1).

Review of performance of the business, principal activities and future developments of the business

A detailed performance review of the business, principal activities and future developments is included in the Manager’s Report

for each Fund.

Principal risks

A detailed analysis of the risks facing each Fund is included in Note 12 of the financial statements.

Results and dividends

The results and dividends declared for the year are set out in the Profit and Loss Account for each Fund.

Significant events during the year

Significant events during the year are disclosed in Note 16 of the financial statements.

Significant events since the year end

Significant events since the year end are disclosed in Note 17 of the financial statements.

Voluntary adoption of the Corporate Governance Code

The Irish Funds (“IF”) in association with the Central Bank has published a corporate governance code (the “IFIA Code”) that

may be adopted on a voluntary basis by Irish authorised investment funds. The Board of Directors voluntarily adopted the IFIA

Code as the Company’s corporate governance code effective from 31 December 2012. The Company has been in compliance

with the IFIA Code since its adoption.

Directors

The name and nationality of persons who were Directors at any time during the year ended 31 March 2016 are set out below. All

Directors are non-executive directors. Except where indicated, all acted as Directors for the year.

Mr. James Firn (American and British) (Chairman)

Mr. James Beveridge (British)

Mr. Peter Gonella (British)

Mr. Neil Jenkins (British)

Mr. John McMurray (American)

Mr. Tom Murray (Irish)

Mr. William Roberts (British and Irish resident)

Mr. David Shubotham (Irish)

Mr. Kenneth Willman (American and British)

Directors’ and Company Secretary’s interests

None of the Directors or the Company Secretary hold or held any beneficial interest in the shares of the Company during the year.

Each of the Directors is employed by Russell Investments entities except for Mr. Tom Murray, Mr. William Roberts, Mr. David

Shubotham and Mr. James Firn. Mr. Firn is a former employee of Russell Investments who retired in June 2014. He continues to

act as a director of Russell Investments Ireland Limited and the funds managed by Russell Investments Ireland Limited.

No Director had at any time during the year or at the year end, a material interest in any contract of significance, in relation to the

business of the Company.

Independent Auditors

The Auditors, PricewaterhouseCoopers, will be re-appointed in accordance with section 383 the Companies Act 2014.

On behalf of the Board

Mr. William Roberts Mr. Tom Murray

12 July 2016


Custodian and Trustee’s Report

Custodian and Trustee’s Report 7

We have enquired into the conduct of Russell Investment Company II plc (the “Company”) for the year ended 31 March 2016, in

our capacity as Custodian and Trustee to the Company.

This report including the opinion has been prepared for and solely for the shareholders in the Company as a body, in accordance

with the Part 5 of the European Communities (Undertakings for Collective Investment in Transferable Securities) Regulations

2011 as amended, (the “UCITS Regulations”) and for no other purpose. We do not, in giving this opinion, accept or assume

responsibility for any other purpose or to any other person to whom this report is shown.

Responsibilities of the Custodian and Trustee

Our duties and responsibilities are outlined in Part 5 of the UCITS Regulations. One of those duties is to enquire into the conduct

of the Company in each accounting year and report thereon to the shareholders.

Our report shall state whether, in our opinion, the Company has been managed in that year in accordance with the provisions of

the Company’s Memorandum and Articles of Association and the UCITS Regulations. It is the overall responsibility of the

Company to comply with these provisions. If the Company has not so complied, we as Custodian must state why this is the case

and outline the steps which we have taken to rectify the situation.

Basis of Custodian and Trustee Opinion

The Custodian conducts such reviews as it, in its reasonable opinion, considers necessary in order to comply with its duties as

outlined in Part 5 of the UCITS Regulations and to ensure that, in all material respects, the Company has been managed (i) in

accordance with the limitations imposed on its investment and borrowing powers by the provisions of its constitutional

documentation and the appropriate regulations and (ii) otherwise in accordance with the Company’s constitutional documentation

and the appropriate regulations.

Opinion In our opinion, the Company has been managed during the year, in all material respects:

(i) in accordance with the limitations imposed on the investment and borrowing powers of the Company by the

Memorandum & Articles of Association, the UCITS Regulations and the Central Bank (Supervision and Enforcement)

Act 2013 (Section 48(1); (Undertakings for Collective Investment in Transferable Securities) Regulations 2015 (the

“Central Bank UCITS Regulations”) and

(ii) otherwise in accordance with the provisions of the Memorandum & Articles of Association and the Central Bank UCITS

Regulations.

State Street Custodial Services (Ireland) Limited

78 Sir John Rogerson’s Quay

Dublin 2

Ireland

12 July 2016

PricewaterhouseCoopers, One Spencer Dock, North Wall Quay, Dublin 1, Ireland, I.D.E. Box No. 137

T: +353 (0) 1 792 6000, F: +353 (0) 1 792 6200, www.pwc.ie Chartered Accountants

8 Independent Auditors’ Report

Independent auditors’ report to the members of Russell Investment Company

II plc

Report on the financial statements

Our opinion

In our opinion, Russell Investment Company II plc’s financial statements (the “financial statements”):

give a true and fair view of the company’s and funds’ assets, liabilities and financial position as at 31 March 2016 and of

their results for the year then ended;

have been properly prepared in accordance with Generally Accepted Accounting Practice in Ireland; and

have been properly prepared in accordance with the requirements of the Companies Act 2014 and the European Communities

(Undertakings for Collective Investment in Transferable Securities) Regulations 2011 (as amended).

What we have audited

The financial statements comprise:

the balance sheet as at 31 March 2016;

the profit and loss account for the year then ended;

the statement of changes in net assets attributable to redeemable participating shareholders for the year then ended;

the schedule of investments for each of the funds as at 31 March 2016; and

the notes to the financial statements for the company and for each of its funds which include a summary of significant

accounting policies and other explanatory information.

The financial reporting framework that has been applied in the preparation of the financial statements is Irish law and accounting

standards issued by the Financial Reporting Council and promulgated by the Institute of Chartered Accountants in Ireland

(Generally Accepted Accounting Practice in Ireland).

In applying the financial reporting framework, the directors have made a number of subjective judgements, for example in respect

of significant accounting estimates. In making such estimates, they have made assumptions and considered future events.



Independent Auditors’ Report 9


II plc - continued

Matters on which we are required to report by the Companies Act 2014

We have obtained all the information and explanations which we consider necessary for the purposes of our audit.

In our opinion the accounting records of the company were sufficient to permit the financial statements to be readily and

properly audited.

The financial statements are in agreement with the accounting records.

In our opinion the information given in the Directors' Report is consistent with the financial statements.

Matter on which we are required to report by exception

Directors’ remuneration and transactions

Under the Companies Act 2014 we are required to report to you if, in our opinion, the disclosures of directors’ remuneration and

transactions specified by sections 305 to 312 of that Act have not been made. We have no exceptions to report arising from this

responsibility.

Responsibilities for the financial statements and the audit

Our responsibilities and those of the directors

As explained more fully in the Directors’ Responsibilities set out on page 5, the directors are responsible for the preparation of the

financial statements and for being satisfied that they give a true and fair view.

Our responsibility is to audit and express an opinion on the financial statements in accordance with Irish law and International

Standards on Auditing (UK and Ireland). Those standards require us to comply with the Auditing Practices Board’s Ethical

Standards for Auditors.

This report, including the opinions, has been prepared for and only for the company’s members as a body in accordance with

section 391 of the Companies Act 2014 and for no other purpose. We do not, in giving these opinions, accept or assume

responsibility for any other purpose or to any other person to whom this report is shown or into whose hands it may come save

where expressly agreed by our prior consent in writing.



10 Independent Auditors’ Report


II plc - continued

What an audit of financial statements involves

We conducted our audit in accordance with International Standards on Auditing (UK and Ireland). An audit involves obtaining

evidence about the amounts and disclosures in the financial statements sufficient to give reasonable assurance that the financial

statements are free from material misstatement, whether caused by fraud or error. This includes an assessment of:

whether the accounting policies are appropriate to the company’s circumstances and have been consistently applied and

adequately disclosed;

the reasonableness of significant accounting estimates made by the directors; and

the overall presentation of the financial statements.

We primarily focus our work in these areas by assessing the directors’ judgements against available evidence, forming our own

judgements, and evaluating the disclosures in the financial statements.

We test and examine information, using sampling and other auditing techniques, to the extent we consider necessary to provide a

reasonable basis for us to draw conclusions. We obtain audit evidence through testing the effectiveness of controls, substantive

procedures or a combination of both.

In addition, we read all the financial and non-financial information in the annual report to identify material inconsistencies with

the audited financial statements and to identify any information that is apparently materially incorrect based on, or materially

inconsistent with, the knowledge acquired by us in the course of performing the audit. If we become aware of any apparent

material misstatements or inconsistencies we consider the implications for our report.

Patricia Johnston

for and on behalf of PricewaterhouseCoopers

Chartered Accountants and Statutory Audit Firm

Dublin

12 July 2016


Combined Balance Sheet

As at 31 March 2016

The accompanying notes are an integral part of the financial statements.

Combined Balance Sheet 11

Total

31 March 2016

EUR ‘000

Total

31 March 2015*

EUR ‘000

Assets

Financial assets at fair value through profit or loss ........................................................... 4,275,619 5,457,302

Cash at bank ........................................................................................................................... 60,180 106,226

Cash held with brokers and counterparties for open financial derivative instruments ........... 17,881 30,404

Debtors:

Receivable for investments sold ............................................................................................ 66,858 42,540

Receivable on fund shares issued .......................................................................................... 8,284 47,758

Dividends receivable ............................................................................................................. 7,841 10,062

Interest receivable ................................................................................................................. 10,926 11,454

Prepayments and other debtors ............................................................................................. 24 188

4,447,613 5,705,934

Liabilities

Financial liabilities at fair value through profit or loss .......................................................... (32,664) (42,760)

Creditors – amounts falling due within one year:

Bank overdraft ....................................................................................................................... (1,025) -

Cash due to brokers and counterparties for open financial derivative instruments ............... (3,984) (1,027)

Payable for investments purchased ....................................................................................... (77,094) (99,843)

Payable on fund shares redeemed ......................................................................................... (65,122) (5,166)

Distributions payable on income share classes ..................................................................... (2,623) (2,960)

Management fees payable ..................................................................................................... (3,755) (4,782)

Performance fees payable ..................................................................................................... (1,550) (716)

Custodian and Trustee fees payable ...................................................................................... (50) (72)

Sub-custodian fees payable ................................................................................................... (303) (312)

Administration fees payable .................................................................................................. (152) (213)

Audit fees payable ................................................................................................................. (171) (186)

Other fees payable ................................................................................................................. (20) (115)

(188,513) (158,152)

Net assets attributable to redeemable participating shareholders .............................. 4,259,100 5,547,782

*The Combined Balance Sheet and the Balance Sheet of the individual Funds as at 31 March 2015 have been restated due to a change in the

accounting policy for valuation of investments. See note 2 to the financial statements for details of change to the Company's accounting policies

during the year under review.

On behalf of the Board

Mr. William Roberts Mr. Tom Murray

12 July 2016


Combined Profit and Loss Account

For the year ended 31 March 2016


12 Combined Profit and Loss Account

Total

2016

EUR ‘000

Total

2015*

EUR ‘000

Income

Dividends .............................................................................................................................. 87,018 91,761

Interest income ...................................................................................................................... 36,641 30,771

123,659 122,532

Net gain (loss) on investment activities ............................................................................... (315,921) 222,657

Total investment income (expense) ................................................................................... (192,262) 345,189

Expenses

Management fees .................................................................................................................. (50,676) (50,287)

Performance fees .................................................................................................................. (1,198) (860)

Custodian and Trustee fees ................................................................................................... (386) (376)

Sub-custodian fees ................................................................................................................ (2,189) (1,896)

Administration and transfer agency fees ............................................................................... (1,770) (1,658)

Audit fees .............................................................................................................................. (174) (186)

Professional fees ................................................................................................................... (481) (357)

Other fees .............................................................................................................................. (260) (389)

Total operating expenses ................................................................................................... (57,134) (56,009)

Net income (expense) .......................................................................................................... (249,396) 289,180

Finance costs

Distributions ......................................................................................................................... (58,541) (56,193)

Profit (loss) for the financial year before taxation ........................................................... (307,937) 232,987

Taxation

Capital gains tax .................................................................................................................... (200) (481)

Withholding tax .................................................................................................................... (12,816) (12,970)

Net increase (decrease) in net assets attributable to redeemable participating

shareholders resulting from operations ............................................................................ (320,953) 219,536

All amounts in respect of the year ended 31 March 2016 arose solely from continuing operations. There are no recognised gains or losses other

than those dealt with in the Profit and Loss Account.

* The Combined Profit and Loss Account and the Profit and Loss Account of the individual Funds for the year ended 31 March 2015 have been

restated due to a change in the accounting policy for valuation of investments. See note 2 to the financial statements for details of changes to the

Company's accounting policies.


Combined Statement of Changes in Net Assets Attributable to Redeemable Participating

Shareholders



Combined Statement of Changes in Net Assets Attributable to Redeemable Participating Shareholders 13

Total

2016

EUR ‘000

Total

2015

EUR ‘000


shareholders resulting from operations ....................................................................... (320,953) 219,536

Share transactions

Reinvestment of deemed distributions on accumulation shares ............................................ 49,110 45,342

Net increase (decrease) in net assets resulting from redeemable participating share

transactions ........................................................................................................................... (803,404) (532,904)

Total net increase (decrease) in net assets attributable to redeemable

participating shareholders ............................................................................................ (1,075,247) (268,026)

Currency translation (Note 2) ............................................................................................... (213,435) 967,205

Net assets attributable to redeemable participating shareholders

Beginning of year ................................................................................................................. 5,547,782 4,848,603

End of year ............................................................................................................................ 4,259,100 5,547,782



Manager’s Report

14 Russell Emerging Market Debt Local Currency Fund

Money Managers as at 31 March 2016 Babson Capital Management LLC

Pictet Asset Management Ltd.

Russell Investments Services

Investment Objective The Fund aims to achieve long term income and growth by investing in the bonds of issuers in Emerging Markets (EM), using a

multi-strategy investment approach. The Fund invests in bonds issued by both EM governments and companies that are typically

be denominated in the currency of an EM.

Fund Performance

During the year ended 31 March 2016, Russell Emerging Market Debt Local Currency Fund (I USD Acc) returned -1.4 per cent

on a gross of fee basis (-2.6 per cent on a net of fee basis), while the benchmark* returned -1.6 per cent.

Market Comment

The benchmark declined 1.0 per cent (USD unhedged) over the second quarter of 2015. Over the second quarter of 2015, hard-

currency Emerging Market Debt (EMD) fell by 0.3 per cent. Russia cut its headline rate twice with unemployment figures

improving and inflation staying steady. This pushed demand up for Russian bonds, as yields crept lower over the quarter. China

embarked on its fourth rate cut since November, however the Chinese 10 year bond yield ended the quarter rather flat as gains

were neutralised in June with strong volatility embroiling the Chinese stock markets. South Korea’s 10 year bond yield rose as the

MERS virus spread fear in the market. Additionally, South Korea’s GDP forecast was reduced on the back of poorer economic

activity over the quarter. Elsewhere, India’s 10 year yield finished marginally higher with inflation concerns remaining. Corporate

EMD rose by 1.3 per cent while local EMD fell by 1.0 per cent as emerging currencies weakened.

The benchmark declined 10.5 per cent (USD unhedged) over the third quarter of 2015. Market gyrations and volatility

characterised much of the period, tilting investor demand towards safe haven assets. Three central stories unfolded over the

summer. First, China’s devaluation of its currency (amid slowing growth) took centre stage in igniting a broad based sell-off in

global markets. Secondly, oil resumed its slide, falling over 30 per cent intra-period, re-igniting fears of disinflation. These

events, in addition to the lack of meaningful U.S. wage growth, served as determining factors in the U.S. Federal Reserve’s (the

“Fed”) decision to not raise rates at its September meeting. This perpetuated uncertainty regarding when the Fed will hike and

increased speculation that the Fed may stay on hold well into 2016. This calls into question the ability of the U.S. to de-couple

from the rest of the world and maintain a reasonable level of growth amid a slowing global backdrop. China’s currency

devaluation caused EMD fund outflows to surge in the third quarter, creating exceptional technical pressure on prices, with

Brazil, Russia and South Africa hardest hit. Hard currency EMD declined 2.0 per cent, corporate EMD decreased 2.8 per cent and

local currency EMD fell 10.5 per cent, driven by weak emerging currencies and commodity prices.

The benchmark finished the fourth quarter of 2015 flat (0.0 per cent). In some regards the period was a repeat of the third quarter,

as anxiety from slowing growth and policy execution in China, combined with an ongoing commodities rout (especially in oil)

drove market volatility. However, before the curtains closed for the year, the Fed finally raised its benchmark interest rate, an

event which had been largely priced in by the markets. This crystallised a diverging Central Bank policy environment between the

more hawkish U.S. and (to a lesser extent) U.K. versus loose monetary policies in Europe (where the European Central Bank

eased further) and Japan. EMD largely brushed off the tumultuous third quarter environment (where technical price pressures

have previously been ravaging the market) and fund outflows managed to find some traction in the final quarter. Hard currency

EMD climbed 1.5 per cent, corporate EMD rose 0.4 per cent and local currency EMD remained flat over the period, held back by

currencies.

The benchmark finished the first quarter of 2016 up 11 per cent. The period was characterised by two halves. In the first half,

slowing growth in China coupled with an ongoing commodities rout (especially in oil), engendered significant market volatility

and a considerable risk-off sentiment. This firmly tilted demand towards safe haven assets such as sovereign bonds as well as

gold. However in the latter part of the quarter, more accommodative Central Bank policies alongside oil price stabilisation thawed

sentiment for risk assets to some degree. EMD funds saw meaningful inflows over the period, as it served as an escape valve from

the temperamental market environment. Hard currency EMD rose 5.2 per cent, whilst local currency EMD was up 11.0 per cent

on the back of appreciation in the Brazilian Real, Malaysian Ringgit and Russian Rouble. Corporate EMD increased 3.9 per cent.

General Comment on Money Managers/Performance

The Fund outperformed over the second quarter of 2015, with a positive contribution from Babson Capital Management LLC

notably driving relative gains. At the overall Fund level, currency exposures contributed positively via an underweight to the

Nigerian Naira, but an underweight to the Russian Ruble and Indonesian Rupiah detracted. In rates, overweights to Columbia,

Mexico and China were positive, but an underweight to Russia was penalised.



Manager’s Report - continued

Russell Emerging Market Debt Local Currency Fund 15

The Fund outperformed the benchmark over the third quarter of 2015. In rates, an overweight to Columbia, Indonesia and South

Africa detracted from relative performance, while an underweight to Brazil was rewarded. In currencies, an overweight to the

U.S. Dollar was beneficial as emerging currencies underperformed. Pictet Asset Management Ltd drove positive performance,

due to an underweight to the Brazilian Real, which suffered a steep quarterly loss. With geopolitical risk at high levels we remain

cautious on the outlook in the short-term but expect investor demand to return as countries take policy action to address macro

imbalances.

The Fund outperformed its benchmark over the final quarter of 2015, with two of the three Money Managers finishing in positive

territory – Pictet Asset Management Ltd. and Babson Capital Management LLC. An overweight to Indonesia contributed, as well

as an underweight to South Africa. However, an underweight to Poland detracted. While an overweight to the U.S. Dollar and

Turkish Lira was positive, an underweight to the Indonesian Rupiah and Thai Baht held back further gains, as well as an

overweight to the South African Rand. The Fund benefited from an overweight to AAA and AA-rated issues, while an

underweight to A and BBB-rated issues held back further gains.

The Fund underperformed its benchmark over the first quarter of 2016. All Money Managers finished in negative territory. Whilst

an overweight to Indonesia and an underweight to Poland, Romania and Hong Kong made a positive contribution, an underweight

to Brazil and an overweight to Malaysia detracted. An overweight to the U.S. Dollar proved the most detrimental, along with an

underweight to the Brazilian Real and Indonesian Rupiah. The Fund’s overweight to AAA-rated issues detracted, along with an

underweight to A and BBB-rated issues.

Outlook

Global markets got off to a rough start in 2016. By mid-February global developed equities had lost nearly 20 per cent from their

2015 peak. They rebounded by around 10 per cent by mid-March, but we expect volatility to be a headline throughout 2016. This

volatility will continue to be driven by China fears, the Fed monetary tightening, U.S. recession concerns, bank balance sheet

worries, and soft corporate profits. Moreover, the move to negative interest rates in Europe and Japan has triggered fears that

Central Banks have run out of easing options. Negative rates also tend to squeeze the margin between banks’ borrowing and

lending rates. This squeeze could, in turn, hurt bank profitability, and end up making things worse for the markets. In our 2016

Global Market Outlook Annual report, we forecast mid to low single digit returns for global equities, along with a gradual rise in

long-term interest rates. We’re holding to that view, with the exception we think equity growth is more likely to be in the low

single digits. Moreover, we’re now seeing corporate profits weakening, softness in global trade and manufacturing, and slightly

higher risks for EM. These elements all contribute to a less supportive environment for equities. That said, we’re not forecasting a

sustained bear market, provided the U.S. does not fall into recession. Right now we see recession as a low probability over the

next several years. It’s true we’re deep into the current business cycle, but we’re not seeing excesses in the U.S. economy that

could trigger recession.

Past performance is no indication of current or future performance.

* Benchmark Source: JPMorgan GBI-EM Global Diversified Index

Russell Investments Ireland Limited

May 2016



Balance Sheet

As at 31 March 2016



31 March 2016

USD ‘000 31 March 2015

USD ‘000

Assets

Financial assets at fair value through profit or loss (Note 2) ........................................... 385,794 335,257

Cash at bank (Note 3) ...................................................................................................... 32,814 30,755

Cash held with brokers and counterparties for open financial derivative instruments

(Note 3) ............................................................................................................................ 7,110 3,778

Debtors:

Receivable for investments sold .................................................................................... 14,226 2,128

Receivable on fund shared issued ................................................................................. 77 44,470

Interest receivable ......................................................................................................... 6,394 5,783

446,415 422,171

Liabilities

Financial liabilities at fair value through profit or loss (Note 2) ..................................... (6,905) (2,632)


Cash due to brokers and counterparties for open financial derivative positions ............ (880) -

Payable for investments purchased ............................................................................... (1,052) (35,940)

Payable on fund shares redeemed ................................................................................. (3) (1)

Distributions payable on income share classes ............................................................. (1,246) (1,181)

Management fees payable ............................................................................................. (436) (295)

Performance fees payable ............................................................................................. - (1)

Custodian and Trustee fees payable .............................................................................. (5) (5)

Sub-custodian fees payable ........................................................................................... (39) (34)

Administration fees payable .......................................................................................... (16) (14)

Audit fees payable ......................................................................................................... (24) (24)

Other fees payable ......................................................................................................... (2) (10)

(10,608) (40,137)

Net assets attributable to redeemable participating shareholders ............................ 435,807 382,034



Profit and Loss Account




2016

USD ‘000

2015

USD ‘000

Income

Interest income ............................................................................................................. 21,640 18,252

Net gain (loss) on investment activities (Note 4) ............................................................. (31,179) (59,177)

Total investment income (expense) .............................................................................. (9,539) (40,925)

Expenses

Management fees (Note 5) ........................................................................................... (4,645) (3,324)

Performance fees (Note 5) ............................................................................................ (16) -

Custodian and Trustee fees (Note 6) ............................................................................ (33) (23)

Sub-custodian fees (Note 6) ......................................................................................... (288) (211)

Administration and transfer agency fees (Note 6) ........................................................ (159) (126)

Audit fees (Note 6) ....................................................................................................... (24) (24)

Professional fees ........................................................................................................... (44) (16)

Other fees ..................................................................................................................... (13) (42)

Total operating expenses .............................................................................................. (5,222) (3,766)

Net income (expense) ..................................................................................................... (14,761) (44,691)

Finance costs

Distributions (Note 8) ................................................................................................... (16,029) (14,850)

Profit (loss) for the financial year before taxation ..................................................... (30,790) (59,541)

Taxation (Note 9)

Capital gains tax ........................................................................................................... (28) (21)

Withholding tax ............................................................................................................ (533) (332)


shareholders resulting from operations ....................................................................... (31,351) (59,894)

All amounts arose solely from continuing operations. There are no recognised gains or losses other than those dealt with in the Profit and Loss

Account.



Statement of Changes in Net Assets Attributable to Redeemable Participating Shareholders




2016

USD ‘000

2015

USD ‘000


shareholders resulting from operations ....................................................................... (31,351) (59,894)

Share transactions

Reinvestment of deemed distributions on accumulation shares (Note 8) ..................... 12,513 10,762


transactions (Note 10) .................................................................................................. 72,611 168,794


participating shareholders ............................................................................................ 53,773 119,662


Beginning of year ......................................................................................................... 382,034 262,372

End of year ................................................................................................................... 435,807 382,034



Schedule of Investments

31 March 2016



Principal

Amount

Fair Value

USD ‘000

Fund

%

Transferable Securities (83.68%) (2015: 82.73%)

Long Term Bonds and Notes (83.07%) (2015:

81.76%)

Brazil (5.10%)

Brazil Letras do Tesouro

Nacional

BRL 6,329,000

Zero Coupon due

01/07/17 ........................... 1,521 0.35

4,500,000

Zero Coupon due

01/10/17 ........................... 1,050 0.24

18,055,000

Zero Coupon due

01/01/18 ........................... 4,076 0.94

6,000,000

Zero Coupon due

01/07/18 ........................... 1,274 0.29

9,065,000

Zero Coupon due

01/01/19 ........................... 1,793 0.41

5,000,000

Zero Coupon due

01/07/19 ........................... 927 0.21

Brazil Notas do Tesouro

Nacional Serie B

4,200,000 6.000% due 15/08/20 ....... 3,354 0.77


Nacional Serie F

2,618,000 10.000% due 01/01/18 ..... 723 0.17

12,921,000 10.000% due 01/01/21 ..... 3,290 0.75

7,916,000 10.000% due 01/01/23 ..... 1,952 0.45

9,562,000 10.000% due 01/01/25 ..... 2,253 0.52

22,213 5.10

Chile (0.34%)

CLP

Chile Government

International Bond

966,200,000 5.500% due 05/08/20 ....... 1,499 0.34

Colombia (6.30%)

COP

Colombia Government

International Bond

1,160,000,000 7.750% due 14/04/21 ....... 394 0.09

995,000,000 9.850% due 28/06/27 ....... 387 0.09

Colombian TES

5,380,500,000 5.000% due 21/11/18 ....... 1,712 0.39

4,335,000,000 7.000% due 11/09/19 ....... 1,433 0.33

4,600,000,000 11.000% due 24/07/20 ..... 1,728 0.39

2,671,000,000 7.000% due 04/05/22 ....... 860 0.20

8,369,000,000 10.000% due 24/07/24 ..... 3,133 0.72

7,132,100,000 7.500% due 26/08/26 ....... 2,276 0.52

26,149,900,000 6.000% due 28/04/28 ....... 7,235 1.66

26,348,000,000 7.750% due 18/09/30 ....... 8,315 1.91

27,473 6.30

Hungary (4.77%)

HUF Hungary Government Bond

440,000,000 6.750% due 24/11/17 ....... 1,746 0.40

220,000,000 2.500% due 22/06/18 ....... 819 0.19

380,000,000 6.500% due 24/06/19 ....... 1,593 0.36

55,000,000 3.500% due 24/06/20 ....... 214 0.05

213,000,000 7.500% due 12/11/20 ....... 962 0.22

Principal

Amount

Fair Value

USD ‘000

Fund

%

1,057,530,000 7.000% due 24/06/22 ...... 4,885 1.12

617,010,000 6.000% due 24/11/23 ...... 2,765 0.63

150,000,000 3.000% due 26/06/24 ...... 556 0.13

203,560,000 5.500% due 24/06/25 ...... 903 0.21

1,270,000,000 6.750% due 22/10/28 ...... 6,349 1.46

20,792 4.77

Indonesia (5.94%)

IDR Indonesia Treasury Bond

160,000,000 12.800% due 15/06/21 .... 15 0.00

1,070,000,000 5.625% due 15/05/23 ...... 71 0.02

11,803,000,000 6.125% due 15/05/28 ...... 751 0.17

47,464,000,000 9.000% due 15/03/29 ...... 3,798 0.87

1,800,000,000 8.750% due 15/05/31 ...... 143 0.03

51,300,000,000 8.250% due 15/06/32 ...... 3,872 0.89

32,363,000,000 6.625% due 15/05/33 ...... 2,078 0.48

55,820,000,000 8.375% due 15/03/34 ...... 4,273 0.98

61,959,000,000 8.250% due 15/05/36 ...... 4,718 1.08

29,379,000,000 10.500% due 15/07/38 .... 2,678 0.61

5,108,000,000 6.375% due 15/04/42 ...... 305 0.07

41,306,000,000 8.750% due 15/02/44 ...... 3,203 0.74

25,905 5.94

Israel (0.27%)

Israel Government Bond

ILS 2,970,000 5.500% due 31/01/42 ...... 1,160 0.27

Korea, Republic of (0.60%)

IDR

Export-Import Bank of

Korea

20,000,000,000 8.000% due 15/05/18 ...... 1,493 0.34

15,300,000,000 8.000% due 17/10/19 ...... 1,128 0.26

Inflation Linked Korea

Treasury Bond

KRW 114,985 1.125% due 10/06/23 ...... - 0.00

2,621 0.60

Malaysia (8.61%)

Malaysia Government Bond

MYR 4,920,000 3.654% due 31/10/19 ...... 1,274 0.29

48,050,000 3.492% due 31/03/20 ...... 12,356 2.84

3,650,000 3.889% due 31/07/20 ...... 952 0.22

2,330,000 3.659% due 15/10/20 ...... 603 0.14

1,450,000 4.160% due 15/07/21 ...... 382 0.09

12,910,000 4.048% due 30/09/21 ...... 3,377 0.78

3,940,000 3.418% due 15/08/22 ...... 996 0.23

9,010,000 3.795% due 30/09/22 ...... 2,322 0.53

3,530,000 3.480% due 15/03/23 ...... 889 0.20

4,010,000 4.181% due 15/07/24 ...... 1,050 0.24

2,230,000 4.392% due 15/04/26 ...... 588 0.13

7,000,000 3.892% due 15/03/27 ...... 1,760 0.40

10,626,000 4.498% due 15/04/30 ...... 2,815 0.65

862,000 4.127% due 15/04/32 ...... 217 0.05



Schedule of Investments - continued

31 March 2016



Principal

Amount

Fair Value

USD ‘000

Fund

%

23,580,000 3.844% due 15/04/33 ....... 5,673 1.30

7,364,000 4.935% due 30/09/43 ....... 1,954 0.45

1,185,000 4.736% due 15/03/46 ....... 305 0.07

37,513 8.61

Mexico (10.90%)

Mexican Bonos

MXN 1,800,000 5.000% due 15/06/17 ....... 106 0.02

54,936,000 7.750% due 14/12/17 ....... 3,397 0.78

29,480,000 8.500% due 13/12/18 ....... 1,882 0.43

18,400,000 5.000% due 11/12/19 ....... 1,071 0.25

53,340,000 8.000% due 11/06/20 ....... 3,440 0.79

17,650,000 6.500% due 10/06/21 ....... 1,083 0.25

200,358,000 6.500% due 09/06/22 ....... 12,268 2.81

23,658,000 8.000% due 07/12/23 ....... 1,573 0.36

79,200,000 10.000% due 05/12/24 ..... 5,942 1.36

39,800,000 5.750% due 05/03/26 ....... 2,292 0.53

53,620,000 7.500% due 03/06/27 ....... 3,479 0.80

43,038,000 7.750% due 29/05/31 ....... 2,837 0.65

2,440,000 7.750% due 23/11/34 ....... 161 0.04

29,753,000 10.000% due 20/11/36 ..... 2,402 0.55

20,270,100 8.500% due 18/11/38 ....... 1,436 0.33

45,805,800 7.750% due 13/11/42 ....... 3,017 0.69

Mexican Udibonos

18,238,626 4.000% due 08/11/46 ....... 1,127 0.26

47,513 10.90

Peru (1.60%)

Peru Government Bond

PEN 8,740,000 7.840% due 12/08/20 ....... 2,826 0.65

4,300,000 6.950% due 12/08/31 ....... 1,261 0.29

Peruvian Government

International Bond

2,600,000 7.840% due 12/08/20 ....... 841 0.19

1,550,000 5.700% due 12/08/24 ....... 438 0.10

1,170,000 8.200% due 12/08/26 ....... 384 0.09

3,000,000 6.950% due 12/08/31 ....... 880 0.20

570,000 6.900% due 12/08/37 ....... 163 0.04

620,000 6.850% due 12/02/42 ....... 172 0.04

6,965 1.60

Philippines (1.06%)

Philippine Government

International Bond

PHP 71,000,000 4.950% due 15/01/21 ....... 1,613 0.37

102,000,000 3.900% due 26/11/22 ....... 2,189 0.50

34,000,000 6.250% due 14/01/36 ....... 825 0.19

4,627 1.06

Poland (8.57%)

Poland Government Bond

PLN 10,200,000

Zero Coupon due

25/07/17 ........................... 2,693 0.62

16,050,000 5.250% due 25/10/17 ....... 4,570 1.05

1,000,000 2.500% due 25/07/18 ....... 275 0.06

Principal

Amount

Fair Value

USD ‘000

Fund

%

3,590,000 3.250% due 25/07/19 ...... 1,015 0.23

5,010,000 5.500% due 25/10/19 ...... 1,524 0.35

6,140,000 1.500% due 25/04/20 ...... 1,626 0.37

61,020,000 5.250% due 25/10/20 ...... 18,756 4.31

5,400,000 5.750% due 25/10/21 ...... 1,722 0.40

4,800,000 5.750% due 23/09/22 ...... 1,553 0.36

9,580,000 4.000% due 25/10/23 ...... 2,837 0.65

1,759,000 3.250% due 25/07/25 ...... 493 0.11

1,000,000 2.500% due 25/07/26 ...... 261 0.06

37,325 8.57

Romania (1.76%)

Romania Government Bond

RON 2,100,000 5.900% due 26/07/17 ...... 572 0.13

3,950,000 5.600% due 28/11/18 ...... 1,120 0.26

11,500,000 4.750% due 24/06/19 ...... 3,204 0.74

3,450,000 5.750% due 29/04/20 ...... 1,004 0.23

1,800,000 5.950% due 11/06/21 ...... 534 0.12

3,700,000 5.850% due 26/04/23 ...... 1,117 0.26

335,000 4.750% due 24/02/25 ...... 95 0.02

7,646 1.76

Russia (4.67%)

RUB Russian Federal Bond - OFZ

120,000,000 7.500% due 15/03/18 ...... 1,746 0.40

70,000,000 6.700% due 15/05/19 ...... 985 0.23

105,000,000 6.400% due 27/05/20 ...... 1,440 0.33

380,000,000 7.600% due 14/04/21 ...... 5,374 1.23

53,300,000 7.600% due 20/07/22 ...... 746 0.17

57,500,000 7.000% due 25/01/23 ...... 780 0.18

50,000,000 7.000% due 16/08/23 ...... 675 0.15

41,500,000 8.150% due 03/02/27 ...... 591 0.14

76,260,000 7.050% due 19/01/28 ...... 993 0.23

Russian Federal Inflation

Linked Bond

462,338,965 2.500% due 16/08/23 ...... 7,027 1.61

20,357 4.67

Serbia & Montenegro (0.55%)

RSD Serbia Treasury Bonds

230,000,000 10.000% due 05/02/22 .... 2,411 0.55

South Africa (9.68%)

South Africa Government

Bond

ZAR 6,600,000 8.250% due 15/09/17 ...... 450 0.10

35,600,000 8.000% due 21/12/18 ...... 2,398 0.55

21,620,000 7.250% due 15/01/20 ...... 1,409 0.32

27,080,000 6.750% due 31/03/21 ...... 1,699 0.39

10,400,000 7.750% due 28/02/23 ...... 664 0.15

192,910,000 10.500% due 21/12/26 .... 14,344 3.29

41,570,000 7.000% due 28/02/31 ...... 2,257 0.52

14,200,000 7.000% due 28/02/31 ...... 771 0.18

25,891,818 8.250% due 31/03/32 ...... 1,561 0.36




31 March 2016



Principal

Amount

Fair Value

USD ‘000

Fund

%

112,455,000 6.250% due 31/03/36 ....... 5,336 1.22

10,500,000 8.500% due 31/01/37 ....... 632 0.15

8,200,000 6.500% due 28/02/41 ....... 387 0.09

32,910,000 8.750% due 31/01/44 ....... 1,997 0.46

137,185,889 8.750% due 28/02/48 ....... 8,296 1.90

42,201 9.68

Thailand (5.66%)

Thailand Government Bond

THB 18,000,000 3.250% due 16/06/17 ....... 524 0.12

85,982,736 1.200% due 14/07/21 ....... 2,429 0.56

471,377,000 3.650% due 17/12/21 ....... 14,993 3.44

24,000,000 3.580% due 17/12/27 ....... 806 0.18

101,628,804 1.250% due 12/03/28 ....... 2,782 0.64

20,300,000 4.875% due 22/06/29 ....... 774 0.18

63,200,000 4.260% due 12/12/37 ....... 2,364 0.54

24,672 5.66

Turkey (6.08%)

Turkey Government Bond

TRY 7,700,000 6.300% due 14/02/18 ....... 2,585 0.59

3,000,000 8.800% due 14/11/18 ....... 1,047 0.24

5,940,000 10.400% due 27/03/19 ..... 2,155 0.49

3,450,000 10.500% due 15/01/20 ..... 1,264 0.29

23,365,000 7.400% due 05/02/20 ....... 7,734 1.78

3,910,000 9.400% due 08/07/20 ....... 1,382 0.32

4,110,000 9.500% due 12/01/22 ....... 1,450 0.33

6,640,000 7.100% due 08/03/23 ....... 2,058 0.47

1,900,000 8.800% due 27/09/23 ....... 644 0.15

1,740,153 10.400% due 20/03/24 ..... 642 0.15

3,810,000 9.000% due 24/07/24 ....... 1,301 0.30

13,220,000 8.000% due 12/03/25 ....... 4,229 0.97

26,491 6.08

Principal

Amount

Fair Value

USD ‘000

Fund

%

Uruguay (0.61%)

Uruguay Government

International Bond

UYU 89,400,865 4.375% due 15/12/28 ...... 2,657 0.61

Total Long Term Bonds

and Notes ........................... 362,041 83.07

Short Term Investments (0.61%) (2015: 0.97%)

Brazil (0.61%)


Nacional

BRL 5,526,000

Zero Coupon due

01/01/17 .......................... 1,414 0.32


Nacional Serie F

4,390,000 10.000% due 01/01/17 .... 1,241 0.29

Total Short Term

Investments ........................ 2,655 0.61

Total Transferable

Securities ........................... 364,696 83.68

Number

of Shares

Investment Funds (0.93%) (2015: 0.00%)

Ireland (0.93%)

4,032

Russell Investment Company

III Plc - The U.S. Dollar

Cash Fund II - Class R

Roll- Up Shares ................ 4,038 0.93

Total Investment Funds .... 4,038 0.93

Money Market Instruments (0.00%) (1.83%)

Total Investments

excluding Financial

Derivative Instruments ..... 368,734 84.61

Financial Derivative Instruments (2.33%) (2015: 2.31%)

Open Futures Contracts (0.00%)

Notional

Amount

USD ‘000

Average

Cost Price

USD

Unrealised

Gain (Loss)

USD ‘000

Fund

%

(131)

(130.57)

1 of 10 Year U.S. Treasury Note Futures

Short Futures Contracts

Expiring June 2016 ........................................................................................................... - 0.00

(496)

(165.40)

3 of U.S. Long Treasury Bond Futures


Expiring June 2016 ........................................................................................................... 3 0.00

1,007

0.11

9 of 10 Year Korea Bond Futures

Long Futures Contracts

Expiring June 2016 ........................................................................................................... 10 0.00

(1,445)

(0.10)

15 of 3 Year Korea Bond Futures


Expiring June 2016 ........................................................................................................... (2) 0.00




31 March 2016



Notional

Amount

USD ‘000

Average

Cost Price

USD

Unrealised

Gain (Loss)

USD ‘000

Fund

%

Unrealised gain on open futures contracts ......................................................................... 13 0.00

Unrealised loss on open futures contracts .......................................................................... (2) (0.00)

Net unrealised gain (loss) on open futures contracts .................................................... 11 0.00

Open Forward Foreign Currency Exchange Contracts (0.14%)

Settlement

Date

Amount

Bought ‘000

Amount

Sold ‘000

Unrealised

Gain (Loss)

USD ‘000

Fund

%

31/05/2016 ARS 42,764 USD 2,630 176 0.04

04/04/2016 BRL 42,424 USD 11,721 250 0.06

21/06/2016 BRL 29,414 USD 7,596 529 0.12

18/04/2016 CLP 956,000 USD 1,417 10 0.00

21/06/2016 CLP 342,000 USD 507 1 0.00

31/03/2017 CNH 132,806 USD 20,000 142 0.03

31/03/2017 CNY 2,984 USD 449 8 0.00

04/04/2016 COP 21,236,040 USD 6,960 111 0.03

06/04/2016 COP 6,027,797 USD 1,810 196 0.04

22/06/2016 COP 6,350,000 USD 2,044 53 0.01

09/05/2016 EUR 377 PLN 1,640 (10) 0.00

26/04/2016 EUR 595 RON 2,708 (12) 0.00

21/04/2016 EUR 449 SGD 690 - 0.00

21/04/2016 EUR 2,254 SGD 3,450 8 0.00

20/04/2016 EUR 900 USD 1,010 16 0.00

21/04/2016 EUR 1,053 USD 1,179 22 0.01

09/05/2016 EUR 2,578 USD 2,886 55 0.01

24/05/2016 HRK 17,044 EUR 2,232 38 0.01

14/06/2016 HUF 1,360,917 EUR 4,377 (68) (0.02)

01/04/2016 HUF 97,406 USD 344 9 0.00

04/04/2016 HUF 575,000 USD 2,073 13 0.00

14/06/2016 HUF 357,583 USD 1,270 26 0.01

18/04/2016 IDR 24,494,881 USD 1,840 3 0.00

20/04/2016 INR 18,400 USD 272 5 0.00

03/05/2016 INR 194,279 USD 2,866 52 0.01

24/05/2016 KRW 4,885,357 USD 4,038 229 0.05

07/04/2016 MXN 114,428 USD 6,547 128 0.03

11/04/2016 MXN 11,600 USD 636 41 0.01

17/05/2016 MXN 14,781 USD 827 32 0.01

25/04/2016 MYR 4,140 USD 1,035 24 0.01

26/08/2016 MYR 31,634 USD 7,394 629 0.15

01/04/2016 PHP 24,208 USD 522 3 0.00

18/04/2016 PHP 4,034 USD 86 1 0.00

09/05/2016 PLN 8,230 EUR 1,929 10 0.00

14/06/2016 PLN 2,848 EUR 666 4 0.00

14/06/2016 PLN 33,588 EUR 7,761 153 0.04

14/06/2016 PLN 26,170 USD 6,660 365 0.08

26/04/2016 RON 2,708 EUR 599 8 0.00

03/05/2016 RON 6,469 EUR 1,430 19 0.00

09/05/2016 RON 2,181 USD 532 24 0.01

17/05/2016 RON 12,483 USD 3,158 27 0.01

12/04/2016 RSD 36,195 EUR 293 1 0.00




31 March 2016



Settlement

Date

Amount

Bought ‘000

Amount

Sold ‘000

Unrealised

Gain (Loss)

USD ‘000

Fund

%

14/06/2016 RSD 955,915 EUR 7,679 24 0.01

04/04/2016 RUB 147,680 USD 2,000 209 0.05

22/04/2016 RUB 108,400 USD 1,587 26 0.01

05/05/2016 RUB 63,751 USD 794 151 0.03

18/05/2016 RUB 75,000 USD 1,084 25 0.01

24/05/2016 RUB 315,241 USD 4,040 612 0.14

24/05/2016 RUB 154,280 USD 2,000 277 0.06

13/04/2016 SAR 18,883 USD 5,033 - 0.00

21/04/2016 SGD 700 EUR 456 - 0.00

01/04/2016 THB 24,822 USD 695 11 0.00

18/04/2016 THB 36,400 USD 1,028 7 0.00

25/04/2016 THB 108,553 USD 3,092 (7) 0.00

25/04/2016 THB 24,822 USD 701 5 0.00

03/05/2016 THB 240,006 USD 6,691 127 0.03

21/06/2016 THB 291,066 USD 8,340 (81) (0.02)

17/05/2016 TRY 28,021 USD 9,276 550 0.13

25/05/2016 TRY 16,337 USD 5,599 117 0.03

14/06/2016 TRY 8,136 USD 2,736 95 0.02

14/06/2016 TRY 1,852 USD 634 11 0.00

21/06/2016 USD 1,175 AUD 1,554 (16) 0.00

04/04/2016 USD 2,109 BRL 8,519 (295) (0.07)

03/05/2016 USD 2,321 BRL 8,519 (64) (0.01)

14/06/2016 USD 890 CAD 1,183 (25) (0.01)

14/06/2016 USD 2,365 CHF 2,346 (93) (0.02)

18/04/2016 USD 1,329 CLP 940,000 (75) (0.02)

26/04/2016 USD 1,612 CLP 1,155,447 (112) (0.03)

24/05/2016 USD 670 CLP 469,390 (28) (0.01)

24/05/2016 USD 1,300 CLP 901,292 (41) (0.01)

21/06/2016 USD 497 CLP 338,000 (5) 0.00

31/03/2017 USD 10,000 CNH 67,905 (299) (0.07)

31/03/2017 USD 10,000 CNH 67,885 (296) (0.07)

06/04/2016 USD 1,436 COP 4,799,853 (162) (0.04)

03/05/2016 USD 1,816 COP 6,226,083 (254) (0.06)

03/05/2016 USD 1,081 COP 3,399,593 (49) (0.01)

14/06/2016 USD 3,530 COP 11,372,744 (231) (0.05)

22/06/2016 USD 506 COP 1,570,000 (13) 0.00

20/04/2016 USD 999 EUR 900 (27) (0.01)

24/05/2016 USD 1,201 EUR 1,086 (38) (0.01)

29/06/2016 USD 180 EUR 160 (3) 0.00

14/06/2016 USD 1,109 GBP 779 (11) 0.00

20/06/2016 USD 2,011 HKD 15,600 (1) 0.00

01/04/2016 USD 527 HUF 148,529 (12) 0.00

02/05/2016 USD 185 HUF 51,123 (1) 0.00

18/04/2016 USD 337 IDR 4,500,000 (2) 0.00

24/05/2016 USD 6,122 IDR 84,015,497 (165) (0.04)

03/05/2016 USD 2,600 ILS 10,226 (122) (0.03)

14/06/2016 USD 764 ILS 2,970 (27) (0.01)

15/04/2016 USD 96 KRW 115,000 (5) 0.00

24/05/2016 USD 3,944 KRW 4,885,357 (322) (0.07)

07/04/2016 USD 2,513 MXN 45,000 (112) (0.03)




31 March 2016



Settlement

Date

Amount

Bought ‘000

Amount

Sold ‘000

Unrealised

Gain (Loss)

USD ‘000

Fund

%

11/04/2016 USD 730 MXN 13,800 (74) (0.02)

17/05/2016 USD 3,955 MXN 74,862 (396) (0.09)

21/06/2016 USD 3,078 MXN 54,602 (86) (0.02)

14/04/2016 USD 2,016 MYR 8,148 (71) (0.02)

14/06/2016 USD 402 MYR 1,656 (20) 0.00

26/08/2016 USD 631 MYR 2,720 (59) (0.01)

24/05/2016 USD 920 PEN 3,294 (64) (0.01)

24/05/2016 USD 2,592 PEN 9,267 (177) (0.04)

18/04/2016 USD 1,283 PHP 59,724 (13) 0.00

17/05/2016 USD 2,401 PHP 115,277 (96) (0.02)

14/06/2016 USD 3,271 PHP 152,102 (19) 0.00

14/06/2016 USD 2,010 PHP 94,763 (39) (0.01)

22/04/2016 USD 1,038 PLN 3,932 (18) 0.00

09/05/2016 USD 2,267 PLN 8,950 (136) (0.03)

14/06/2016 USD 2,348 RSD 266,121 (100) (0.02)

04/04/2016 USD 2,082 RUB 147,680 (127) (0.03)

18/04/2016 USD 998 RUB 71,800 (71) (0.02)

05/05/2016 USD 152 RUB 11,600 (20) 0.00

24/05/2016 USD 1,725 RUB 119,724 (42) (0.01)

13/04/2016 USD 5,000 SAR 18,883 (33) (0.01)

21/04/2016 USD 1,060 SGD 1,450 (16) 0.00

26/04/2016 USD 1,474 SGD 2,103 (88) (0.02)

14/06/2016 USD 4,157 SGD 5,744 (107) (0.02)

01/04/2016 USD 1,977 TRY 5,696 (46) (0.01)

25/05/2016 USD 5,942 TRY 17,919 (328) (0.08)

31/05/2016 USD 1,420 UYU 47,510 (41) (0.01)

31/05/2016 USD 1,143 UYU 38,119 (29) (0.01)

13/04/2016 USD 8,808 ZAR 141,717 (811) (0.19)

13/04/2016 ZAR 141,977 USD 8,787 848 0.20

18/05/2016 ZAR 7,794 USD 500 25 0.01

24/05/2016 ZAR 41,678 USD 2,604 202 0.05

24/05/2016 ZAR 7,246 USD 473 15 0.00

Unrealised gain on open forward foreign currency exchange contracts ............................... 6,758 1.56

Unrealised loss on open forward foreign currency exchange contracts ................................ (6,211) (1.42)

Net unrealised gain (loss) on open forward foreign currency exchange contracts ....... 547 0.14

Interest Rate Swaps ((0.11)%)

Ccy

Notional

Amount

‘000

Fund

Pays

Fund

Receives

Termination

Date

Fair Value

USD ‘000

Fund

%

THB 115,900 2.06%

THB 6 Month

LIBOR 03/04/2016 (5) 0.00

HKD 19,600 1.95%

HKD 3 Month

HIBOR 16/10/2021 (74) (0.02)

SGD 1,663

SGD 6 Month

LIBOR 2.00% 17/10/2021 10 0.00

HKD 2,500 2.28%

HKD 3 Month

LIBOR 28/10/2024 (18) 0.00

CNY 4,500

CNY 3 Month

SHIF 3.75% 06/11/2016 5 0.00




31 March 2016



Ccy

Notional

Amount

‘000

Fund

Pays

Fund

Receives

Termination

Date

Fair Value

USD ‘000

Fund

%

CNY 8,900

CNY 3 Month

LIBOR 3.68% 11/11/2016 7 0.00

CNY 1,000

CNY 3 Month

SHIF 3.93% 08/12/2017 3 0.00

MYR 2,300

MYR 3 Month

LIBOR 4.43% 08/10/2020 19 0.00

HKD 10,800 1.57%

HKD 3 Month

LIBOR 12/02/2021 (11) 0.00

BRL 21,226

BRL 3 Month

LIBOR 11.05% 02/01/2017 (327) (0.08)

BRL 28,510

BRL 12 Month

BZDIO 13.47% 02/01/2017 (53) (0.01)

BRL 20,102

BRL 1 Month

LIBOR 13.47% 02/01/2017 (37) (0.01)

BRL 47,000

BRL Less than

Month LIBOR 15.20% 02/01/2017 196 0.05

ZAR 180,000

ZAR 3 Month

JIBAR 9.12% 13/07/2025 (33) (0.01)

ZAR 120,000

ZAR 3 Month

JIBAR 6.90% 13/07/2017 (64) (0.01)

CZK 75,000 0.82%

CZK 6 Month

PRIBOR 29/10/2025 (70) (0.02)

CZK 55,000 0.25%

CZK 6 Month

PRIBOR 16/02/2021 15 0.00

SGD 3,500

SGD 6 Month

SOR 2.31% 15/02/2026 7 0.00

Total interest rate at positive fair value ...................................................................................................................................... 262 0.05

Total interest rate at negative fair value ...................................................................................................................................... (692) (0.16)

Interest rate swaps at fair value ............................................................................................................................................. (430) (0.11)

Total Return Swaps (2.27 %)

Notional

Amount

‘000 Ccy Description

Termination

Date

Fair Value

USD ‘000

Fund

%

12,765,000 COP

Colombian TES 7.500%

due 26/08/26 18/04/2016 234 0.05

121,700,000 IDR

Indonesia Treasury Bond 8.375%

due 15/09/26 15/09/2026 9,669 2.22

Total return swaps at fair value ............................................................................................................................................. 9,903 2.27

Currency Swaps (0.03%)

Notional

Amount

‘000 Ccy

Fund

Pays Ccy

Fund

Receives

Termination

Date

Fair Value

USD ‘000

Fund

%

600 USD

6 Month

LIBOR IDR 9.80% 09/10/2022 124 0.03

Currency swaps at fair value .................................................................................................................................................. 124 0.03

Total Financial Derivative Instruments .................................................................................................................................. 10,155 2.33




31 March 2016



Fair Value

USD ‘000

Fund

%

Total Financial Assets at Fair Value through Profit or

Loss (88.52%) ...................................................................................................................... 385,794 88.52

Total Financial Liabilities at Fair Value through Profit or

Loss ((1.58)%) ...................................................................................................................... (6,905) (1.58)

Net Financial Assets at Fair Value through Profit or Loss

(86.94%) .................................................................................................................................................... 378,889 86.94

Other Net Assets (13.06%) ...................................................................................................................... 56,918 13.06

Net Assets .................................................................................................................................................. 435,807 100.00

Analysis of gross assets (unaudited)

% of

gross assets

Transferable securities admitted to an official stock exchange listing ..................................................................... 70.93

Transferable securities dealt in on another regulated market ................................................................................... 10.76

Investment funds (UCITS) ...................................................................................................................................... 0.90

Over the counter financial derivative instruments ................................................................................................... 3.82

Other assets .............................................................................................................................................................. 13.59

100.00

The broker for the open futures contracts is JPMorgan.

The counterparties for the open forward foreign currency exchange contracts are:

Bank of America

BNP Paribas

Citibank

Citigroup Global Markets

Goldman Sachs

JPMorgan

State Street Bank

The counterparties for the interest rate swaps are:

Bank of America

BNP Paribas

Citibank


JPMorgan

UBS

The counterparties for the total return swaps are:

Citigroup Global Markets HSBC

The counterparty for the currency swap is JP Morgan.




31 March 2016



Fair Value Hierarchy (Note 12 b) i))

The following tables analyse within the fair value hierarchy the Fund’s financial assets and liabilities (by investment type)

measured at fair value at 31 March 2016 and 31 March 2015.

As at 31 March 2016

Level 1

USD ‘000

Level 2

USD ‘000

Level 3

USD ‘000

Total

USD ‘000

Assets

Financial assets at fair value through profit or loss:

Investments at fair value:

Transferable securities ................................................................ - 364,696 - 364,696

Investment funds ........................................................................ - 4,038 - 4,038

Unrealised gain on open futures contracts ................................. 13 - 13

Unrealised gain on forward foreign currency exchange

contracts .................................................................................... - 6,758 - 6,758

Interest rate swaps at fair value ................................................. - 262 - 262

Total return swaps at fair value ................................................. - 9,903 - 9,903

Currency Swaps at fair value ..................................................... - 124 - 124

Total assets ...................................................................................... 13 385,781 - 385,794

Liabilities

Financial liabilities at fair value through profit or loss:

Unrealised loss on open futures contracts ..................................... (2) - - (2)

Unrealised loss on forward foreign currency exchange

contracts ........................................................................................ - (6,211) - (6,211)

Interest rate swaps at fair value ...................................................... - (692) - (692)

Total liabilities ................................................................................ (2) (6,903) - (6,905)

As at 31 March 2015

Level 1

USD ‘000

Level 2

USD ‘000

Level 3

USD ‘000

Total

USD ‘000

Assets



Transferable securities ................................................................ - 309,697 7,066 316,763

Money market instruments ........................................................ - 6,999 - 6,999

Unrealised gain on open futures contracts ................................. 46 - - 46


contracts .................................................................................... - 3,194 - 3,194

Total Return Swaps at fair value ............................................... - 8,255 - 8,255

Total assets ...................................................................................... 46 328,145 7,066 335,257

Liabilities




contracts ........................................................................................ - (2,088) - (2,088)


Total Return Swaps at fair value ................................................... - (4) - (4)




Statement of Changes in Composition of Portfolio

Listed below are the 20 largest cumulative investment purchases and sales during the year ended 31 March 2016.

A copy of the list of changes in the portfolio during the reference period may be obtained free of charge from the Company’s

Administrator or from the paying agent or paying and information agents in each country of distribution.


Portfolio Securities

Acquisition Cost

USD ‘000 Portfolio Securities

Disposal Proceeds

USD ‘000

Russell Investment Company III Russell Investment Company III

The U.S. Dollar Cash Fund II The U.S. Dollar Cash Fund II

Class R Roll-Up Shares 128,425 Class R Roll-Up Shares (124,405)

Turkey Government Bond Turkey Government Bond

7.400% due 05/02/2020 32,782 7.400% due 05/02/2020 (22,555)

South Africa Government Bond South Africa Government Bond

10.500% due 21/12/2026 18,868 6.750% due 31/03/2021 (14,396)

Poland Government Bond Poland Government Bond

5.250% due 25/10/2020 17,931 1.500% due 25/04/2020 (13,837)

1.500% due 25/04/2020 15,571 Thailand Government Bond

Thailand Government Bond 3.650% due 17/12/2021 (13,800)

3.650% due 17/12/2021 12,885 Turkey Government Bond

South Africa Government Bond 10.500% due 15/01/2020 (12,968)

8.750% due 28/02/2048 11,447 Brazil Notas do Tesouro Nacional Serie F

Russian Federal Inflation Linked Bond 10.000% due 01/01/2017 (11,422)

2.500% due 16/08/2023 10,526 Poland Government Bond

Russian Federal Bond - OFZ 3.250% due 25/07/2019 (10,910)

7.050% due 19/01/2028 9,618 Russian Federal Bond - OFZ

U.S. Treasury Bill 7.050% due 19/01/2028 (10,590)

Zero Coupon due 20/08/2015 9,000 Malaysia Government Bond

Colombian TES 3.492% due 31/03/2020 (8,041)

7.750% due 18/09/2030 8,701 South Africa Government Bond

Hungary Government Bond 10.500% due 21/12/2026 (7,106)

6.750% due 22/10/2028 8,646 Russian Federal Bond - OFZ

Colombian TES 6.800% due 11/12/2019 (6,910)

6.000% due 28/04/2028 8,222 Thailand Government Bond

Thailand Government Bond 3.250% due 16/06/2017 (6,091)

3.250% due 16/06/2017 6,651 Hungary Government Bond

Malaysia Government Bond 3.500% due 24/06/2020 (4,831)

3.844% due 15/04/2033 5,770 Inflation Linked Korea Treasury Bond

Brazil Notas do Tesouro Nacional Serie F 1.125% due 10/06/2023 (4,765)

10.000% due 01/01/2017 5,767 Brazil Notas do Tesouro Nacional Serie F

Indonesia Treasury Bond 10.000% due 01/01/2021 (4,343)

8.250% due 15/05/2036 5,598 Brazil Letras do Tesouro Nacional

8.375% due 15/03/2034 5,578 Zero Coupon due 01/01/2017 (4,199)

Brazil Letras do Tesouro Nacional Russian Foreign Bond - Eurobond

Zero coupon due 01/01/2017 5,545 7.850% due 10/03/2018 (4,093)

Russian Federal Bond - OFZ Brazil Letras do Tesouro Nacional

7.600% due 14/04/2021 5,539 Zero Coupon due 01/01/2018 (3,993)

Brazil Notas do Tesouro Nacional Serie F

10.000% due 01/01/2025 (3,992)



Manager’s Report

Russell Emerging Markets Extended Opportunities Fund 29

Money Managers as at 31 March 2016 Barrow, Hanley, Mewhinney & Strauss Inc.

BlackRock International Limited

East Capital Asset Management AB

Imara Asset Management Ltd.

Jardim Botanico Investimentos

JK Capital Management Ltd.

Oaktree Capital Management L.P.

Quantum Advisors

Russell Investments Limited

Russell Investment Management Company

Russell Implementation Services Inc.

RWC Partners

Investment Objective Russell Emerging Markets Extended Opportunities Fund’s (the “Fund”) investment objective is to provide long term capital

appreciation by investing predominantly in Equities and Equity-Related Instruments.

Fund Performance

During the year ended 31 March 2016, Russell Emerging Markets Extended Opportunities Fund (Class A Fees) returned -10.6 per

cent on a gross-of-fee basis (-11.9 per cent on a net-of-fee basis), while the benchmark* returned -10.5 per cent.

Market Comment

The benchmark 1.7 per cent (U.S. Dollar terms) in a volatile second quarter of 2015. A weakening of the U.S. Dollar and the

sustained equity rally in China drove a significantly strong start. However, the Chinese equity surge sharply reversed towards the

end of the quarter which weighed on the broader Index. Additionally, positive U.S. economic data and U.S. Federal Reserve (the

“Fed”) statements strengthened the case for at least one U.S. interest rate rise later this year, which dampened investor appetite for

riskier Emerging Markets (EM) investments. China (8.1 per cent) remained one of the strongest performing regions despite

experiencing erratic movements in the latter part of the period. The increase was a contrast to the country’s disappointing

economic data. The People’s Bank of China (PBoC) introduced further accommodative monetary policy in response, cutting both

the lending and deposit rate. Notably, urban investment, retail sales and industrial output data was weak while consumer price

inflation moved further away from the central bank’s target. Sluggish demand also impacted trade data as both exports and

imports continued to fall from a year ago in a period where the government cut import duties.

The benchmark slumped 18.1 per cent in the worst third quarter of 2015 for EM equities in four years. China’s growth slowdown

caused significant volatility, while the strong U.S. Dollar and instability in commodity markets weighed on investor sentiment.

The weak inflation theme also prevailed. The market sell-off slowed in September. EM edged slightly higher following the Fed’s

decision to keep interest rates steady. However, this was overshadowed by continued China concerns. China (-23.9 per cent)

dragged down the Index return despite attempts by the government and central bank to stem the sliding bear market. The PBoC

cut its one-year interest rate for the fifth time in 10 months to 4.6 per cent and reduced its banking reserve requirements. The

PBoC also twice unexpectedly lowered its currency fix against the U.S. Dollar, which caused nearly all EM currencies to

depreciate. Investors remained concerned about a “hard landing” for the economy. Industrial production, urban investments,

house prices and retail sales figures confirmed that the domestic economy continued to slow.

The benchmark brought a negative year to a close with a 2.3 per cent increase in the fourth quarter of 2015. This superseded the

0.6 per cent return by the MSCI EM Index. The market rebounded strongly in October from its third-quarter slump as Chinese

growth concerns partially eased. However, the majority of these gains were handed back over the remainder of the period. The

benchmark slipped lower ahead of the December interest rate rise by the Fed. While largely priced in, the impact of the 0.25 per

cent increase weighed on sentiment towards countries with large current account deficits and high U.S. Dollar-denominated debt.

Currency was also a headwind for EM. In addition, oil exporters were impacted by the continued decrease in the price of oil. Oil’s

most volatile period followed OPEC’s biannual meeting in November, where the cartel failed to agree on actions to reduce

supply. Geopolitical tension between Turkey and Russia additionally punctuated the quarter.

The benchmark recorded a strong 4.8 per cent increase in the first quarter of 2016. This was a sharp contrast to most developed

markets and the negative return for Frontier Markets. The market climb was driven by strong March performance, following falls

in January and February. Turmoil in Chinese equity markets and volatility in the price of oil drove a negative start to the period,

in a broadly risk-off environment for equity markets. The market rebounded from mid-February as equity market and oil price

volatility stabilized. A more dovish outlook for U.S. interest rate rises provided support to EM, particularly countries with large

current account deficits. A weakening of the U.S. Dollar acted as a further tailwind.




30 Russell Emerging Markets Extended Opportunities Fund


The Fund underperformed the benchmark in a volatile second quarter of 2015, despite benefiting from underweights to Taiwan,

South Korea, Indonesia and Malaysia. Jardim Botanico underperformed the most, hindered by negative stock selection. In

contrast, Chinese specialist JK Capital recovered some of its notable first quarter underperformance. This quarter we transitioned

from Everest Capital into RWC Partners following the move of Everest’s global emerging and frontier market investment team.

EM currently exhibit very attractive valuations while the long-term structural growth story in frontier markets remain intact.

The Fund outperformed the benchmark in a negative and volatile third quarter of 2015 for EM. Underweights to both China and

Nigeria added to relative returns. JK Capital Management Ltd’s effective stock selection within an erratic Chinese market drove

their significant outperformance. Our Positioning Strategy also contributed strongly. The recent EM sell-off has provided areas of

very attractive investment opportunities. Current valuations are very appealing. While we expect volatility to remain elevated

amid interest rate rises in the U.S., we continue to be positive on the asset class for the medium to long term. The long-term

structural growth story in frontier markets remains intact.

The Fund underperformed the benchmark over the final quarter of 2015. Our strategic value tilt marginally detracted in a positive

period for growth stocks. Stock picking within Taiwan and Brazil was negative. An underweight to large cap technology stocks in

China detracted in a period where they surged higher. Russian stock selection lifted performance, as did the selection of stocks

within the consumer discretionary sector. The overweight to Nigeria and underweights to Asian markets (China, Malaysia and

Indonesia) was negative. Clarivest’s value-tilt did not suit the market environment. In contrast, Quantum Advisors, East Capital

Asset Management AB and RWC Partners recorded strong outperformance.

The Fund underperformed the benchmark in the first quarter of 2016. Our tilt towards value and the current negative exposure to

high momentum suited the market environment. Country selection detracted, with an underweight to Malaysia and South Africa

unrewarded. Our Frontier Market exposure weighed on returns in a negative start to the year for the asset class. An overweight to

Egypt and off-benchmark to Saudi Arabia also detracted. An overweight to Brazil was positive as its market rallied higher. Stock

selection was positive within South Korea and Taiwan. At the sector level, stock picking was strongest within the materials and

processing and technology sectors. Jardim Botanico Investimentos and Barrow Hanley Mewhinney & Strauss Inc. comfortably

outperformed their respective benchmarks as both benefited from successful stock selection. The reverse held true for Chinese

specialist JK Capital Managements Ltd. and African Money Manager Imara Asset Management Ltd.

Outlook

Global markets got off to a rough start in 2016. By mid-February global developed equities had lost nearly 20per cent from their


volatility will continue to be driven by China fears, the Fed’s monetary tightening, U.S. recession concerns, bank balance sheet


central banks have run out of easing options. Negative rates also tend to squeeze the margin between banks’ borrowing and


Global Market Outlook Annual report, we forecast mid-to-low single digit returns for global equities, along with a gradual rise in



higher risks for EM. These elements all contribute to a less supportive environment for equities. That said, we’re not forecasting a

sustained bear market – provided the U.S. does not fall into recession. Right now we see recession as a low probability over the

next several years. It’s true we’re deep into the current business cycle, but we’re not seeing excesses in the U.S. economy that

could trigger recession.


* Benchmark Source: Russell Emerging Market Extended Index Net


May 2016



Balance Sheet

As at 31 March 2016



31 March 2016

USD ‘000

31 March 2015

USD ‘000

Assets

Financial assets at fair value through profit or loss (Note 2) ................................................................................................................ 688,190 822,659

Cash at bank (Note 3) ........................................................................................................................................................................... 12,485 19,635


(Note 3) ...................................................................................................................................................................... 502 5,555

Debtors:

Receivable for investments sold .................................................................................................................... 1,297 2,434

Dividends receivable ...................................................................................................................................... 2,080 1,923

704,554 852,206

Liabilities

Financial liabilities at fair value through profit or loss (Note 2) ........................................................................................................... (770) (898)


Cash due to brokers and counterparties for open financial derivative positions ............................................. (557) -

Payable for investments purchased ................................................................................................................ (5,620) (4,139)

Management fees payable .............................................................................................................................. (738) (929)

Performance fees payable .............................................................................................................................. (866) (238)

Custodian and Trustee fees payable ............................................................................................................... (9) (12)

Sub-custodian fees payable ............................................................................................................................ (104) (120)

Administration fees payable ........................................................................................................................... (27) (35)

Audit fees payable .......................................................................................................................................... (18) (18)

Other fees payable .......................................................................................................................................... (1) (13)

(8,710) (6,402)

Net assets attributable to redeemable participating shareholders ....................................................................... 695,844 845,804







2016

USD ‘000

2015

USD ‘000

Income

Dividends ....................................................................................................................................................... 22,586 24,137

Net gain (loss) on investment activities (Note 4) ...................................................................................................... (116,539) (58,364)

Total investment income (expense) ......................................................................................................................... (93,953) (34,227)

Expenses

Management fees (Note 5) ............................................................................................................................. (10,088) (11,923)

Performance fees (Note 5) ............................................................................................................................. (776) (818)

Custodian and Trustee fees (Note 6) .............................................................................................................. (65) (77)

Sub-custodian fees (Note 6) ........................................................................................................................... (836) (927)

Administration and transfer agency fees (Note 6) ......................................................................................... (255) (286)

Audit fees (Note 6) ......................................................................................................................................... (18) (18)

Professional fees ............................................................................................................................................ (106) (63)

Other fees ....................................................................................................................................................... (54) (62)

Total operating expenses .......................................................................................................................................... (12,198) (14,174)

Net income (expense) ................................................................................................................................................. (106,151) (48,401)

Finance costs

Distributions (Note 8) .................................................................................................................................... (9,048) (7,741)

Profit (loss) profit for the financial year before taxation ...................................................................................... (115,199) (56,142)

Taxation (Note 9)

Capital gains tax ............................................................................................................................................. (192) (588)

Withholding tax ............................................................................................................................................. (2,237) (2,216)


shareholders resulting from operations .................................................................................................................. (117,628) (58,946)


Account.







2016

USD ‘000

2015

USD ‘000


shareholders resulting from operations .................................................................................................................. (117,628) (58,946)

Share transactions



transactions (Note 10) .................................................................................................. (41,380) (28,846)


participating shareholders ....................................................................................................................................... (149,960) (80,051)


Beginning of year ........................................................................................................................................... 845,804 925,855

End of year ..................................................................................................................................................... 695,844 845,804




31 March 2016



Number

of Shares

Fair Value

USD ‘000

Fund

%


Common Stock (89.23%) (2015: 85.44%)

Argentina (0.61%)

Banks

98,428

Grupo Financiero Galicia SA

ADR .................................... 2,786 0.40

Electric Utilities

15,700 Pampa Energia SA ADR ..... 337 0.05

Oil and Gas

63,876 YPF SA ADR ...................... 1,142 0.16

4,265 0.61

Australia (0.15%)

Banks

410,230

Macquarie Bank Ltd

(Vingroup)* ......................... 869 0.13

Metals and Mining

4,327,080 Tiger Resources Ltd ............ 160 0.02

1,029 0.15

Austria (0.25%)

Banks

20,232 Erste Group Bank AG ......... 569 0.08

52,800

Raiffeisen Bank

International AG .................. 801 0.12

Food Products

2,925 DO & CO AG ...................... 351 0.05

1,721 0.25

Bermuda (1.61%)

Automobiles

1,028,000

Brilliance China Automotive

Holdings Ltd ....................... 1,064 0.15

Banks

16,920 Credicorp Ltd ...................... 2,217 0.32

Food Products

1,628,000 China Foods Ltd .................. 691 0.10

Gas Utilities

438,000

China Resources Gas Group

Ltd ....................................... 1,248 0.18

Holding Companies - Diversified Operations

341,000 NWS Holdings Ltd .............. 542 0.08

Home Furnishings

543,073

Haier Electronics Group Co

Ltd ....................................... 942 0.13

778,000

Skyworth Digital Holdings

Ltd ....................................... 481 0.07

Media

139,820

Central European Media

Enterprises Ltd .................... 357 0.05

Oil and Gas

610,400 Kunlun Energy Co Ltd ........ 529 0.08

Retail Trade

2,294,000

Giordano International

Ltd ....................................... 1,053 0.15

888,000

GOME Electrical Appliances

Holding Ltd ......................... 127 0.02

Number

of Shares

Fair Value

USD ‘000

Fund

%

3,400,800 Trinity Ltd .......................... 355 0.05

Water Utilities

2,572,000

Beijing Enterprises Water

Group Ltd ........................... 1,612 0.23

11,218 1.61

Botswana (0.16%)

Diversified Financials

4,751,430 Letshego Holdings Ltd ........ 1,096 0.16

Brazil (4.82%)

Advertising

67,500 Multiplus SA ....................... 624 0.09

Aerospace and Defence

31,457 Embraer SA ADR ............... 829 0.12

Banks

86,574 Banco Bradesco SA ADR ... 645 0.09

59,282 Banco do Brasil SA ............ 331 0.05

343,595

Itau Unibanco Holding SA

ADR .................................... 2,951 0.42

Beverages

572,410 Ambev SA .......................... 3,040 0.44

201,000 Ambev SA ADR ................. 1,041 0.15

Building Products

754,571 Duratex SA ......................... 1,612 0.23

Chemicals

61,000

Ultrapar Participacoes

SA ....................................... 1,201 0.17

Commercial Services and Supplies

327,500

EcoRodovias Infraestrutura e

Logistica SA ....................... 554 0.08

55,400 Localiza Rent a Car SA ...... 465 0.07

967,600

Mills Estruturas e Servicos

de Engenharia SA ............... 912 0.13

Construction and Engineering

108,900

Multiplan Empreendimentos

Imobiliarios SA ................... 1,650 0.24


385,100

BM&FBovespa SA - Bolsa

de Valores Mercadorias e

Futuros ................................ 1,671 0.24

Electric Utilities

264,300 AES Tiete Energia SA ........ 1,153 0.16

173,700

EDP - Energias do Brasil

SA ....................................... 618 0.09

Food Products

18,000 BRF SA .............................. 261 0.04

129,960 BRF SA ADR ..................... 1,848 0.26

538,090 JBS SA ................................ 1,663 0.24

Health Care Providers and Services

173,100 Fleury SA ............................ 1,053 0.15

Insurance

210,939

BB Seguridade Participacoes

SA ....................................... 1,768 0.25




31 March 2016



Number

of Shares

Fair Value

USD ‘000

Fund

%

Internet Software and Services

163,073 B2W Cia Digital .................. 658 0.10

Iron and Steel

421,816 Gerdau SA ADR ................. 751 0.11

401,100 Vale SA ADR ...................... 1,251 0.18

Oil and Gas

703,900

QGEP Participacoes

SA ....................................... 814 0.12

Paper and Forest Products

87,276 Fibria Celulose SA .............. 747 0.11

Real Estate

183,600 BR Properties SA ................ 456 0.07

145,100

Cyrela Brazil Realty SA

Empreendimentos e

Participacoes ....................... 427 0.06

721,600

Helbor Empreendimentos

SA ....................................... 314 0.04

Retail Trade

269,300 Via Varejo SA ..................... 423 0.06

Telecommunications

89,421 Telefonica Brasil SA ADR .. 1,117 0.16

Transport

556,900

Tegma Gestao Logistica

SA ....................................... 707 0.10

33,555 4.82

Canada (0.23%)

Metals and Mining

228,228

First Quantum Minerals

Ltd ....................................... 1,207 0.17

Oil and Gas

234,900 Africa Oil Corp ................... 393 0.06

1,600 0.23

Cayman Islands (8.86%)

Auto Components

2,341,000

Nexteer Automotive Group

Ltd ....................................... 2,421 0.35

3,408,400

Xinyi Glass Holdings

Ltd ....................................... 2,267 0.32

Biotechnology

1,670,307 3SBio Inc ............................ 2,261 0.32

Building Products

830,000

China Resources Cement

Holdings Ltd ....................... 254 0.04

Chemicals

260,500

Kingboard Chemical

Holdings Ltd ....................... 447 0.06


27,991

New Oriental Education &

Technology Group Inc

ADR .................................... 968 0.14


1,000,000

China State Construction

International Holdings

Ltd ....................................... 1,490 0.21

Number

of Shares

Fair Value

USD ‘000

Fund

%

Electrical Equipment

334,500

AAC Technologies

Holdings Inc ....................... 2,559 0.37

31,000 Casetek Holdings Ltd ......... 169 0.02

302,000

China High Speed

Transmission Equipment

Group Co Ltd ...................... 253 0.04

298,000

Tianneng Power

International Ltd ................. 266 0.04

153,400

Zhen Ding Technology

Holding Ltd ........................ 343 0.05

Energy Equipment and Services

4,432,000

GCL-Poly Energy

Holdings Ltd ....................... 731 0.10

160,500 Trina Solar Ltd ADR .......... 1,595 0.23

2,922,000

Xinyi Solar Holdings

Ltd ...................................... 1,032 0.15

Food Products

1,010,200 WH Group Ltd .................... 732 0.11


21,644 58.com Inc ADR ................. 1,204 0.18

47,781

Alibaba Group Holding Ltd

ADR .................................... 3,776 0.54

11,300 Baidu Inc ADR ................... 2,157 0.31

163,297 JD.com Inc ADR ................ 4,327 0.62

617,200 Tencent Holdings Ltd ......... 12,612 1.81

Lodging

657,600

MGM China Holdings

Ltd ...................................... 1,002 0.14

802,487 Sands China Ltd .................. 3,264 0.47

Metals and Mining

504,800

China Zhongwang

Holdings Ltd ....................... 249 0.04

Real Estate

630,000

China Resources Land

Ltd ...................................... 1,613 0.23

880,000

KWG Property Holding

Ltd ...................................... 577 0.09

438,000

Longfor Properties Co

Ltd ...................................... 623 0.09

242,500

Shimao Property Holdings

Ltd ...................................... 358 0.05

Retail Trade

696,700

Belle International

Holdings Ltd ....................... 403 0.06

360,800

Chow Tai Fook Jewellery

Group Ltd ........................... 226 0.03

2,868,000 Li Ning Co Ltd ................... 1,320 0.19

2,177,500

XTEP International

Holdings Ltd ....................... 1,182 0.17

Semiconductor Equipment and Products

131,700

ASM Pacific Technology

Ltd ...................................... 1,030 0.15

3,165,000

Semiconductor

Manufacturing

International Corp ............... 273 0.04

50,016

Silicon Motion Technology

Corp ADR ........................... 1,941 0.28




31 March 2016



Number

of Shares

Fair Value

USD ‘000

Fund

%

Software

13,707 NetEase Inc ADR ................ 1,968 0.28

Telecommunications

919,600 FIH Mobile Ltd ................... 411 0.06

Textile and Apparel

939,000

Pacific Textiles Holdings

Ltd ....................................... 1,356 0.19

367,000

Shenzhou International

Group Holdings Ltd ............ 1,999 0.29

61,659 8.86

Chile (0.37%)

Banks

38,110

Banco Santander Chile

ADR .................................... 737 0.11

Electric Utilities

45,400

Enersis Americas SA

ADR .................................... 631 0.09


153,799 Empresas CMPC SA ........... 361 0.05

Retail Trade

122,681 SACI Falabella .................... 856 0.12

2,585 0.37

China (9.82%)

Airlines

676,000

China Eastern Airlines

Corp Ltd .............................. 378 0.06

Auto Components

263,000

Weichai Power Co

Ltd ....................................... 293 0.04

Automobiles

1,169,100

Chongqing Changan

Automobile Co Ltd ............. 2,190 0.32

3,080,800

Dongfeng Motor Group Co

Ltd ....................................... 3,841 0.55

445,551

Zhengzhou Yutong Bus Co

Ltd ....................................... 1,336 0.19

Banks

2,413,000

Agricultural Bank of China

Ltd ....................................... 868 0.12

8,573,000 Bank of China Ltd ............... 3,559 0.51

210,000

Bank of Communications

Co Ltd ................................. 138 0.02

9,103,000

China Construction Bank

Corp ..................................... 5,821 0.84

2,037,000

China Everbright Bank Co

Ltd ....................................... 982 0.14

83,500

China Merchants Bank Co

Ltd ....................................... 175 0.03

1,942,000

Chongqing Rural

Commercial Bank Co

Ltd ....................................... 1,027 0.15

6,709,000

Industrial & Commercial

Bank of China Ltd ............... 3,763 0.54

Beverages

38,211

Kweichow Moutai Co

Ltd ....................................... 1,463 0.21

Number

of Shares

Fair Value

USD ‘000

Fund

%

Building Products

422,500

Anhui Conch Cement Co

Ltd ...................................... 1,133 0.16

2,701,000 BBMG Corp ....................... 2,086 0.30

Chemicals

914,000

Sinopec Shanghai

Petrochemical Co Ltd ......... 463 0.07


316,600

Jiangsu Expressway Co

Ltd ...................................... 420 0.06

164,000

Zhejiang Expressway Co

Ltd ...................................... 175 0.03


491,050

Beijing Capital

International Airport Co

Ltd ...................................... 527 0.08

709,000

China Communications

Construction Co Ltd ........... 846 0.12

347,000

China Machinery

Engineering Corp ................ 242 0.04

365,836

Shanghai International

Airport Co Ltd .................... 1,703 0.24


3,537,000

China Cinda Asset

Management Co Ltd ........... 1,236 0.18

233,500 CITIC Securities Co Ltd ..... 548 0.08

116,400

Haitong Securities Co

Ltd ...................................... 199 0.03

Electric Utilities

1,444,000

Datang International Power

Generation Co

Ltd ...................................... 445 0.07

252,000

Huadian Power

International Corp Ltd ........ 160 0.02

882,000

Huaneng Power

International Inc .................. 787 0.11


1,045,700

Dongfang Electric Corp

Ltd ...................................... 864 0.12


3,091,000

China Longyuan Power

Group Corp Ltd .................. 2,295 0.33

Health Care Equipment and Supplies

807,700

Shandong Weigao Group

Medical Polymer Co Ltd ..... 514 0.07

Insurance

815,000

China Life Insurance Co

Ltd ...................................... 2,011 0.29

513,500

China Pacific Insurance

Group Co Ltd ...................... 1,920 0.27

604,000

PICC Property & Casualty

Co Ltd ................................. 1,109 0.16

1,086,600

Ping An Insurance Group

Co of China Ltd .................. 5,204 0.75

Metals and Mining

1,218,000

China Shenhua Energy Co

Ltd ...................................... 1,919 0.28

424,000 Jiangxi Copper Co Ltd ........ 510 0.07




31 March 2016



Number

of Shares

Fair Value

USD ‘000

Fund

%

Oil and Gas

3,622,000

China Petroleum &

Chemical Corp .................... 2,381 0.34

7,500

China Petroleum &

Chemical Corp ADR ........... 489 0.07

2,850,000 PetroChina Co Ltd ............... 1,896 0.28

Oil and Gas Services

371,100

China Oilfield Services

Ltd ....................................... 291 0.04

352,000

Sinopec Engineering Group

Co Ltd ................................. 286 0.04

Pharmaceuticals

454,500

Shanghai Fosun

Pharmaceutical Group Co

Ltd ....................................... 1,257 0.18

438,000

Sinopharm Group Co

Ltd ....................................... 1,968 0.28

Real Estate

313,700 China Vanke Co Ltd ............ 769 0.11

794,400

Guangzhou R&F Properties

Co Ltd ................................. 1,135 0.16

Retail Trade

742,800

Shanghai Pharmaceuticals

Holding Co Ltd ................... 1,475 0.21

Telecommunications

664,000

China Communications

Services Corp Ltd ................ 303 0.04

638,680 ZTE Corp ............................ 1,166 0.17

Transport

3,600,000

Guangshen Railway Co

Ltd ....................................... 1,546 0.22

441,000 Sinotrans Ltd ....................... 193 0.03

68,305 9.82

Colombia (0.44%)

Banks

71,998 Bancolombia SA ADR ........ 2,461 0.35

27,100

Grupo Aval Acciones y

Valores SA ADR ................. 209 0.03

Oil and Gas

43,700 Ecopetrol SA ADR .............. 376 0.06

3,046 0.44

Cyprus (0.04%)

Transport

64,877

Globaltrans Investment Plc

GDR .................................... 281 0.04

Czech Republic (0.11%)

Banks

3,640

Komercni Banka

AS ....................................... 805 0.11

Egypt (1.08%)

Agriculture

61,861 Eastern Tobacco .................. 1,358 0.19

Number

of Shares

Fair Value

USD ‘000

Fund

%

Banks

412,810

Commercial International

Bank Egypt SAE ................ 1,787 0.25

134,209


Bank Egypt SAE GDR

(UK Listed) ......................... 476 0.07

9,854


Bank Egypt SAE GDR (US

Listed) ................................. 35 0.01

Food Products

50,307

Edita Food Industries

SAE .................................... 194 0.03

Pharmaceuticals

170,946

Egyptian International

Pharmaceuticals

EIPICO ............................... 1,155 0.17

Real Estate

971,628

Emaar Misr for

Development SAE .............. 297 0.04

3,795,311

Palm Hills Developments

SAE .................................... 1,239 0.18

Telecommunications

609,711

Global Telecom Holding

SAE GDR ........................... 991 0.14

7,532 1.08

Greece (1.02%)

Airlines

78,200 Aegean Airlines SA ............ 757 0.11

Banks

381,108 Alpha Bank AE ................... 851 0.12

1,946,800 Eurobank Ergasias SA ........ 1,728 0.25

6,051,529

National Bank of Greece

SA ....................................... 1,724 0.25

Distributors

159,690 Fourlis Holdings SA ........... 519 0.07

Retail Trade

53,785 FF Group ............................ 1,058 0.15

Telecommunications

52,700

Hellenic

Telecommunications

Organization SA ................. 477 0.07

7,114 1.02

Guernsey, Channel Islands (0.08%)

Real Estate

310,500 Etalon Group Ltd GDR ....... 571 0.08

Hong Kong (3.93%)

Computers and Peripherals

1,716,000 Lenovo Group Ltd .............. 1,341 0.19


370,000 China Everbright Ltd .......... 773 0.11

Electric Utilities

26,000

China Resources Power

Holdings Co Ltd ................. 48 0.01




31 March 2016



Number

of Shares

Fair Value

USD ‘000

Fund

%

Environmental Control

1,499,800

China Everbright

International Ltd .................. 1,680 0.24

Insurance

251,000

China Taiping Insurance

Holdings Co Ltd .................. 551 0.08

Lodging

393,000

Galaxy Entertainment

Group Ltd ............................ 1,472 0.21

Media

146,100

Television Broadcasts

Ltd ....................................... 527 0.08

Oil and Gas

1,550,000 Cnooc Ltd ............................ 1,832 0.26

4,700 Cnooc Ltd ADR .................. 550 0.08

Real Estate

4,020,000

China Jinmao Holdings

Group Ltd ............................ 1,125 0.16

1,520,000

China Overseas Land &

Investment Ltd .................... 4,811 0.69

558,000

Shenzhen Investment

Ltd ....................................... 222 0.04

Real Estate Investment Trust

1,370,000 Champion REIT .................. 698 0.10

2,531,000

Hui Xian Real Estate

Investment Trust .................. 1,221 0.18

2,548,000

Yuexiu Real Estate


Retail Trade

86,000

China Resources Beer

Holdings Company Ltd ....... 159 0.02

Telecommunications

609,400 China Mobile Ltd ................ 6,788 0.97

400,000

China Unicom Hong Kong

Ltd ....................................... 528 0.08

41,400

China Unicom Hong Kong

Ltd ADR .............................. 545 0.08

765,000 HKT Trust & HKT Ltd ....... 1,053 0.15

27,337 3.93

Hungary (0.62%)

Banks

138,240 OTP Bank Plc ...................... 3,473 0.50

Oil and Gas

4,703

MOL Hungarian Oil & Gas

Plc ....................................... 283 0.04

Pharmaceuticals

11,450 Richter Gedeon Nyrt ........... 228 0.03

Telecommunications

193,308

Magyar Telekom

Telecommunications Plc ..... 320 0.05

4,304 0.62

India (9.50%)

Automobiles

9,030

Maruti Suzuki India

Ltd ....................................... 506 0.08

299,544 Tata Motors Ltd ................... 1,758 0.25

Number

of Shares

Fair Value

USD ‘000

Fund

%

62,652 Tata Motors Ltd ADR ......... 1,820 0.26

Banks

329,915 Axis Bank Ltd ..................... 2,219 0.32

15,376 HDFC Bank Ltd ADR ........ 948 0.14

342,317 ICICI Bank Ltd ................... 1,214 0.17

248,053 ICICI Bank Ltd ADR .......... 1,776 0.25

73,485

Kotak Mahindra Bank

Ltd ...................................... 758 0.11

545,109 State Bank of India ............. 1,597 0.23

12,362

State Bank of India

GDR .................................... 362 0.05

Building Products

7,186 ACC Ltd ............................. 150 0.02

22,876 UltraTech Cement Ltd ........ 1,117 0.16

Chemicals

347,113 Godrej Industries Ltd .......... 1,866 0.27

238,515 Tata Chemicals Ltd ............. 1,365 0.20

175,721 UPL Ltd .............................. 1,268 0.18


151,133 Infosys Ltd .......................... 2,784 0.40

103,585 Infosys Ltd ADR ................ 1,970 0.29

91,315

Tata Consultancy Services

Ltd ...................................... 3,489 0.50

138,476 Wipro Ltd ........................... 1,186 0.17

29,100 Wipro Ltd ADR .................. 366 0.05


96,201

J Kumar Infraprojects

Ltd ...................................... 399 0.06

113,708 Larsen & Toubro Ltd .......... 2,103 0.30

135,060 Voltas Ltd ........................... 570 0.08


140,944

Housing Development

Finance Corp Ltd ................ 2,356 0.34

Electric Utilities

1,082,137 JSW Energy Ltd .................. 1,136 0.16

1,574,774 NTPC Ltd ........................... 3,056 0.44

452,494

Power Grid Corp of India

Ltd ...................................... 950 0.14

1,017,110 PTC India Ltd ..................... 983 0.14

51,600

Reliance Infrastructure

Ltd ...................................... 416 0.06


538,391 Exide Industries Ltd ............ 1,132 0.16

2,665,931 Suzlon Energy Ltd .............. 570 0.08

Gas Utilities

239,047 GAIL India Ltd ................... 1,292 0.18

Hotels, Restaurants and Leisure

73,189 Bajaj Auto Ltd .................... 2,655 0.38

111,323 Hero MotoCorp Ltd ............ 4,942 0.71

Iron and Steel

244,476 Tata Steel Ltd ...................... 1,178 0.17

Lodging

1,071,583 Indian Hotels Co Ltd .......... 1,601 0.23




31 March 2016



Number

of Shares

Fair Value

USD ‘000

Fund

%

Media

69,900 Sun TV Network Ltd ........... 401 0.06

Oil and Gas

101,365 Bharat Petroleum Corp Ltd . 1,386 0.20

225,023 Indian Oil Corp Ltd ............. 1,337 0.19

401,840

Oil & Natural Gas Corp

Ltd ....................................... 1,299 0.19

4,624

Reliance Industries

Ltd ....................................... 73 0.01

Pharmaceuticals

88,488

Aurobindo Pharma

Ltd ....................................... 995 0.14

84,661 Cipla Ltd ............................. 657 0.10

Pipelines

379,938 Petronet LNG Ltd ................ 1,435 0.21

Real Estate

274,646 Oberoi Realty Ltd ................ 1,003 0.14

Telecommunications

202,511 Bharti Airtel Ltd .................. 1,068 0.15

341,636 Bharti Infratel Ltd ............... 2,022 0.29

Transport

6,615 Blue Dart Express Ltd ......... 611 0.09

66,145 9.50

Indonesia (1.71%)

Agriculture

5,058,400

Perusahaan Perkebunan

London Sumatra Indonesia

Tbk PT ................................ 694 0.10

Banks

1,553,900

Bank Central Asia Tbk

PT ........................................ 1,559 0.22

5,011,000

Bank Negara Indonesia

Persero Tbk PT .................... 1,965 0.28

3,863,600

Bank Rakyat Indonesia

Persero Tbk PT .................... 3,329 0.48

Food Products

1,089,000

Indofood Sukses Makmur

Tbk PT ................................ 593 0.09

Gas Utilities

8,109,600

Perusahaan Gas Negara

Persero Tbk ......................... 1,599 0.23

Machinery

418,900

United Tractors Tbk

PT ........................................ 483 0.07

Metals and Mining

2,873,000

Adaro Energy Tbk

PT ........................................ 140 0.02

Real Estate

41,446,000 Pakuwon Jati Tbk PT .......... 1,513 0.22

11,875 1.71

Jersey, Channel Islands (0.19%)


266,293

Integrated Diagnostics

Holdings Plc ........................ 1,305 0.19

Number

of Shares

Fair Value

USD ‘000

Fund

%

Kazakhstan (0.18%)

Banks

98,117

Halyk Savings Bank of

Kazakhstan JSC GDR ......... 412 0.06

Oil and Gas

14,922

KazMunaiGas Exploration

Production JSC GDR .......... 111 0.01

Telecommunications

12,972 KCell JSC GDR .................. 47 0.01

192,617

KCell JSC GDR (UK

Listed) ................................. 695 0.10

1,265 0.18

Kenya (1.22%)

Agriculture

142,200

British American Tobacco

Kenya Ltd ........................... 1,192 0.17

Banks

6,504,800

Barclays Bank of Kenya

Ltd ...................................... 722 0.10

3,024,483

Equity Group Holdings

Ltd ...................................... 1,193 0.17

Beverages

1,252,200

East African Breweries

Ltd ...................................... 3,519 0.51

Telecommunications

11,169,520 Safaricom Ltd ..................... 1,851 0.27

8,477 1.22



17,805

Korea Aerospace Industries

Ltd ...................................... 1,015 0.14

Agriculture

6,278 KT&G Corp ........................ 604 0.08

Auto Components

13,098 Hankook Tire Co Ltd .......... 623 0.09

7,537

Hyundai Mobis Co

Ltd ...................................... 1,641 0.23

7,342 Hyundai Wia Corp .............. 674 0.10

Automobiles

34,070 Hyundai Motor Co .............. 4,543 0.65

63,614 Kia Motors Corp ................. 2,687 0.39

Banks

87,122

Industrial Bank of

Korea .................................. 933 0.13

104,974 Woori Bank ........................ 868 0.13

Beverages

19,665 Hite Jinro Co Ltd ................ 497 0.07

280 Muhak Co Ltd ..................... 9 0.00

Chemicals

2,983 Lotte Chemical Corp ........... 891 0.13


1,731 SK Holdings Co Ltd ........... 338 0.05


10,292

Daelim Industrial Co

Ltd ...................................... 818 0.12




31 March 2016



Number

of Shares

Fair Value

USD ‘000

Fund

%

12,619

Hyundai Development Co-

Engineering &

Construction ........................ 507 0.07

24,723

Hyundai Engineering &

Construction Co Ltd ............ 911 0.13


21,694

BNK Financial Group

Inc ....................................... 184 0.03

92,247

Hana Financial Group

Inc ....................................... 2,000 0.29

41,071

KB Financial Group

Inc ....................................... 1,144 0.16

10,667

Korea Investment Holdings

Co Ltd ................................. 410 0.06

15,600 Samsung Card Co Ltd ......... 514 0.07

74,266

Shinhan Financial Group

Co Ltd ................................. 2,630 0.38

Electric Utilities

40,770

Korea Electric Power

Corp ..................................... 2,146 0.31


43,041 LG Display Co Ltd .............. 1,001 0.14

15,160 LG Electronics Inc .............. 817 0.12

11,800

LS Industrial Systems Co

Ltd ....................................... 492 0.07

760 Neo Holdings ...................... - 0.00

13,875

Samsung Electro-

Mechanics Co Ltd ............... 713 0.10

Food Products

1,020 CJ CheilJedang Corp ........... 310 0.04

16,008 Daesang Corp ...................... 407 0.06

Household Products

54,084 Lock&Lock Co Ltd ............. 679 0.10

Insurance

10,476

Dongbu Insurance Co

Ltd ....................................... 695 0.10

26,184

Hyundai Marine & Fire

Insurance Co Ltd ................. 760 0.11

11,563

Samsung Life Insurance Co

Ltd ....................................... 1,188 0.17

Iron and Steel

6,334 Hyundai Steel Co ................ 307 0.04

9,715 POSCO ................................ 1,865 0.27

Machinery

10,487 SFA Engineering Corp ........ 557 0.08

Metals and Mining

5,926 Hyosung Corp ..................... 746 0.11

Oil and Gas

11,895 SK Innovation Co Ltd ......... 1,789 0.26

Personal Products

4,360

LG Household & Health

Care Ltd .............................. 3,603 0.52

Retail Trade

3,254 CJ O Shopping Co Ltd ........ 563 0.08

299 E-Mart Co Ltd ..................... 46 0.01

984 Lotte Shopping Co Ltd ........ 216 0.03

Number

of Shares

Fair Value

USD ‘000

Fund

%


16,329

Samsung Electronics Co

Ltd ...................................... 18,734 2.69

171,283 SK Hynix Inc ...................... 4,216 0.61

Telecommunications

120,759 LG Uplus Corp ................... 1,167 0.17

1,686 Samsung SDI Co Ltd .......... 146 0.02

67,604 9.71

Kuwait (0.54%)

Agriculture

345,000

Mezzan Holding Co

KSCC .................................. 1,256 0.18

Banks

1,134,829

National Bank of Kuwait

SAKP .................................. 2,516 0.36

3,772 0.54

Luxembourg (0.06%)

Agriculture

47,364 MHP SA GDR .................... 403 0.06

Malaysia (0.23%)

Banks

172,100

CIMB Group Holdings

Bhd ..................................... 214 0.03

Electric Utilities

159,500 Tenaga Nasional Bhd .......... 570 0.08

Lodging

203,400 Genting Bhd ........................ 511 0.07

Transport

142,900 MISC Bhd ........................... 326 0.05

1,621 0.23

Mauritius (0.20%)


215,264 MCB Group Ltd .................. 1,257 0.18

8,145,400 SBM Holdings Ltd .............. 157 0.02

1,414 0.20

Mexico (2.38%)

Auto Components

62,008 Nemak SAB de CV ............. 90 0.01

Banks

373,290

Grupo Financiero Banorte

SAB de CV ......................... 2,133 0.31

Beverages

127,079

Arca Continental SAB de

CV ...................................... 889 0.13

110,783

Coca-Cola Femsa SAB de

CV ...................................... 928 0.13

134,292

Fomento Economico

Mexicano SAB de CV ........ 1,305 0.19

8,612

Fomento Economico

Mexicano SAB de CV

ADR .................................... 829 0.12




31 March 2016



Number

of Shares

Fair Value

USD ‘000

Fund

%

Building Products

303,017

Cemex SAB de CV

ADR .................................... 2,206 0.32

Chemicals

345,656 Alpek SAB de CV ............... 550 0.08


163,700

OHL Mexico SAB de

CV ....................................... 261 0.04

Food Products

119,058 Gruma SAB de CV .............. 1,903 0.27

118,544

Grupo Lala SAB de

CV ....................................... 325 0.05

71,651

Industrias Bachoco SAB de

CV ....................................... 309 0.04

Media

15,026

Grupo Televisa SAB

ADR .................................... 413 0.06

Metals and Mining

685,600

Grupo Mexico SAB de

CV ....................................... 1,667 0.24


412,900

Macquarie Mexico Real

Estate Management SA de

CV ....................................... 563 0.08

Telecommunications

1,077,129

America Movil SAB de

CV ....................................... 845 0.12

84,781

America Movil SAB de CV

ADR .................................... 1,317 0.19

16,533 2.38

Morocco (0.51%)

Banks

56,520 Attijariwafa Bank ................ 1,985 0.29

Telecommunications

124,440 Maroc Telecom ................... 1,553 0.22

3,538 0.51

Netherlands (0.27%)

Food Products

49,000

X5 Retail Group NV

GDR .................................... 1,039 0.15


55,300 Yandex NV ......................... 847 0.12

1,886 0.27

Nigeria (1.23%)

Banks

21,699,396 Guaranty Trust Bank Plc ..... 1,559 0.22

10,603,413

Stanbic IBTC Holdings

Plc ....................................... 759 0.11

27,878,759 Zenith Bank Plc ................... 1,507 0.22

Beverages

1,275,649 Guinness Nigeria Plc ........... 670 0.10

2,002,639 Nigerian Breweries Plc ........ 1,077 0.15

Food Products

220,394 Nestle Nigeria Plc ............... 775 0.11

4,330,210 Unilever Nigeria Plc ............ 631 0.09

Number

of Shares

Fair Value

USD ‘000

Fund

%

Oil and Gas

234,000

SEPLAT Petroleum

Development Co Plc ........... 349 0.05

791,644

SEPLAT Petroleum

Development Co Plc (UK

Listed) ................................. 1,213 0.18

8,540 1.23

Pakistan (0.76%)

Banks

543,163 Habib Bank Ltd .................. 888 0.13

2,272,400 United Bank Ltd ................. 3,282 0.47

Oil and Gas

1,019,000

Oil & Gas Development Co

Ltd ...................................... 1,116 0.16

5,286 0.76

Panama (0.24%)

Airlines

96,024

Avianca Holdings SA

ADR .................................... 477 0.07

17,976 Copa Holdings SA .............. 1,218 0.17

1,695 0.24

Peru (0.29%)

Metals and Mining

134,541

Cia de Minas Buenaventura

SA ADR .............................. 990 0.14

Retail Trade

73,451 InRetail Peru Corp .............. 1,028 0.15

2,018 0.29

Philippines (1.11%)

Banks

975,940 BDO Unibank Inc ............... 2,168 0.31

312,780

Metropolitan Bank & Trust

Co ....................................... 560 0.08

Food Products

209,774

Universal Robina

Corp .................................... 988 0.14

Other Finance

17,590

GT Capital Holdings

Inc ....................................... 531 0.08

Real Estate

22,622,700 Megaworld Corp ................. 2,039 0.29

Retail Trade

289,360 Jollibee Foods Corp ............ 1,427 0.21

7,713 1.11

Poland (0.93%)

Banks

15,220 Bank Pekao SA ................... 674 0.10

5,600

Bank Zachodni WBK

SA ....................................... 462 0.07

78,700

Powszechna Kasa

Oszczednosci Bank Polski

SA ....................................... 588 0.08

Food Products

23,000 Eurocash SA ....................... 330 0.05




31 March 2016



Number

of Shares

Fair Value

USD ‘000

Fund

%

Insurance

102,440

Powszechny Zaklad

Ubezpieczen SA .................. 980 0.14


70,626

Wirtualna Polska Holding

SA ....................................... 787 0.11

Media

36,317 Cyfrowy Polsat SA .............. 237 0.03

Metals and Mining

31,133

KGHM Polska Miedz

SA ....................................... 637 0.09

Oil and Gas

44,200

Polski Koncern Naftowy

Orlen SA ............................. 878 0.13

Retail Trade

14,400 CCC SA .............................. 618 0.09

Telecommunications

139,000 Orange Polska SA ............... 252 0.04

6,443 0.93

Qatar (0.11%)

Chemicals

26,495 Industries Qatar QSC .......... 788 0.11

Romania (0.82%)

Banks

5,092,200 Banca Transilvania SA ........ 3,493 0.50

141,890

BRD-Groupe Societe

Generale SA ........................ 379 0.05

Closed End Funds

42,697

Fondul Proprietatea SA

GDR .................................... 412 0.06

Oil and Gas

110,317

Societatea Nationala de

Gaze Naturale ROMGAZ

SA ....................................... 758 0.11

102,544

Societatea Nationala de

Gaze Naturale ROMGAZ

SA GDR .............................. 682 0.10

5,724 0.82

Russia (3.77%)

Airlines

1,642,206

Aeroflot - Russian Airlines

PJSC .................................... 1,829 0.26

Banks

228,792

Bank St Petersburg

PJSC .................................... 160 0.02

1,704,432

Sberbank of Russia

PJSC .................................... 2,802 0.40

306,916

Sberbank of Russia PJSC

ADR .................................... 2,136 0.31

Chemicals

85,344 PhosAgro OAO GDR .......... 1,203 0.17


511,500

Moscow Exchange

MICEX-RTS PJSC .............. 804 0.12

Number

of Shares

Fair Value

USD ‘000

Fund

%

393,230

Moscow Exchange

MICEX-RTS PJSC (UK

Listed) ................................. 614 0.09

Electric Utilities

10,064,500 RusHydro PJSC .................. 105 0.02

Food Products

10,750 Magnit PJSC ....................... 1,696 0.24

26,865 Magnit PJSC GDR .............. 1,073 0.16

Iron and Steel

32,000

Novolipetsk Steel

GDR .................................... 400 0.06

Metals and Mining

542,100 Alrosa PAO ........................ 564 0.08

26,200

MMC Norilsk Nickel PJSC

ADR .................................... 340 0.05

Oil and Gas

490,868 Gazprom PAO ADR ........... 2,116 0.30

37,628

Lukoil PJSC ADR (UK

Listed) ................................. 1,445 0.21

72,844

Lukoil PJSC ADR (US

Listed) ................................. 2,798 0.40

19,000 Novatek OAO GDR ............ 1,707 0.25

3,939

Surgutneftegas OAO

ADR .................................... 23 0.00

Real Estate

22,938 LSR Group PJSC ................ 234 0.03

210,520 LSR Group PJSC GDR ....... 479 0.07

Retail Trade

351,008 M.Video PAO ..................... 1,399 0.20

Telecommunications

30,602 MegaFon PJSC GDR .......... 337 0.05

27,173

Mobile TeleSystems

PJSC ................................... 98 0.02

134,641

Mobile TeleSystems PJSC

ADR .................................... 1,089 0.16

873,480 Sistema JSFC ...................... 229 0.03

68,701 Sistema JSFC GDR ............. 444 0.06

Transport

2,082,311

Far Eastern Shipping Co

Plc ....................................... 84 0.01

26,208 3.77

Serbia & Montenegro (0.02%)

Banks

9,500

Komercijalna Banka AD

Beograd ............................... 120 0.02

Singapore (0.08%)

Shipbuilding

724,100

Yangzijiang Shipbuilding

Holdings Ltd ....................... 527 0.08

Slovenia (0.19%)

Insurance

23,166

Zavarovalnica Triglav

DD ...................................... 713 0.10




31 March 2016



Number

of Shares

Fair Value

USD ‘000

Fund

%

Oil and Gas

1,875 Petrol DD Ljubljana ............ 598 0.09

1,311 0.19


Banks

122,982

Barclays Africa Group

Ltd ....................................... 1,251 0.18

192,621 FirstRand Ltd ...................... 633 0.09

231,495

Standard Bank Group

Ltd ....................................... 2,085 0.30


112,000 EOH Holdings Ltd .............. 1,123 0.16

Food Products

45,500 Bidvest Group Ltd ............... 1,154 0.17

49,066 Shoprite Holdings Ltd ......... 579 0.08

36,813 SPAR Group Ltd ................. 498 0.07


817,069 Netcare Ltd .......................... 2,005 0.29


7,908 AVI Ltd ............................... 47 0.01

31,000 Imperial Holdings Ltd ......... 317 0.04

87,000 Tongaat Hulett Ltd .............. 618 0.09

Insurance

186,688 Discovery Ltd ...................... 1,542 0.22

38,506 Liberty Holdings Ltd ........... 378 0.06

101,103 Sanlam Ltd .......................... 471 0.07

Lodging

264,201

Tsogo Sun Holdings

Ltd ....................................... 425 0.06

Media

39,469 Naspers Ltd ......................... 5,531 0.80

Metals and Mining

75,700

AngloGold Ashanti Ltd

ADR .................................... 1,036 0.15

139,882 Sibanye Gold Ltd ................ 539 0.08

Office Electronics

78,951 Reunert Ltd ......................... 372 0.05

Oil and Gas

85,060 Sasol Ltd ............................. 2,554 0.37


161,588 Sappi Ltd ............................. 718 0.10

Retail Trade

56,000 Mr Price Group Ltd ............. 676 0.10

63,047

Truworths International

Ltd ....................................... 421 0.06

279,891

Woolworths Holdings

Ltd ....................................... 1,706 0.24

Telecommunications

147,297 MTN Group Ltd .................. 1,354 0.19

122,750

Telkom SA SOC

Ltd ....................................... 480 0.07

28,513 4.10

Number

of Shares

Fair Value

USD ‘000

Fund

%

Spain (0.12%)

Building Products

196,726

Cemex Latam Holdings

SA ....................................... 845 0.12

Switzerland (0.26%)

Retail Trade

14,856 Dufry AG ............................ 1,835 0.26

Taiwan (7.00%)

Building Products

176,000 Asia Cement Corp ............... 161 0.02

902,000 Taiwan Cement Corp .......... 883 0.13

Chemicals

580,000 Nan Ya Plastics Corp .......... 1,219 0.17


99,000 Asustek Computer Inc ........ 889 0.13

214,755

Chicony Electronics Co

Ltd ...................................... 554 0.08

421,000 Compal Electronics Inc ....... 264 0.04

748,550

Foxconn Technology Co

Ltd ...................................... 1,679 0.24

1,052,025

Lite-On Technology

Corp .................................... 1,286 0.18

148,000 Primax Electronics Ltd ....... 174 0.03


78,000

CTBC Financial Holding

Co Ltd ................................. 41 0.01

1,646,487

Mega Financial Holding

Co Ltd ................................. 1,173 0.17

564,000

Taishin Financial Holding

Co Ltd ................................. 199 0.03

4,049,452

Yuanta Financial Holding

Co Ltd ................................. 1,448 0.20


315,068 Delta Electronics Inc ........... 1,391 0.20

180,000

FLEXium Interconnect

Inc ....................................... 465 0.07

1,970,925

Hon Hai Precision Industry

Co Ltd ................................. 5,194 0.75

1,268,000 Pegatron Corp ..................... 2,959 0.42

Food Products

412,520

Uni-President Enterprises

Corp .................................... 725 0.10

Home Furnishings

436,000 E Ink Holdings Inc .............. 253 0.04

Insurance

804,000

Cathay Financial Holding

Co Ltd ................................. 964 0.14

511,000

China Life Insurance Co

Ltd ...................................... 393 0.05

702

Shin Kong Financial

Holding Co Ltd ................... - 0.00

Iron and Steel

1,400,000 China Steel Corp ................. 975 0.14




31 March 2016



Number

of Shares

Fair Value

USD ‘000

Fund

%

Metals and Mining

110,000

Catcher Technology Co

Ltd ....................................... 903 0.13

Pharmaceuticals

59,000 PharmaEngine Inc ............... 455 0.07

Real Estate

504,500

Highwealth Construction

Corp ..................................... 737 0.11


420,000

Advanced Semiconductor

Engineering Inc ................... 489 0.07

100,000 MediaTek Inc ...................... 767 0.11

194,000

Phison Electronics

Corp ..................................... 1,579 0.23

90,000

Siliconware Precision

Industries Co Ltd ................. 145 0.02

1,468,800

Taiwan Semiconductor

Manufacturing Co Ltd ......... 7,393 1.06

370,945


Manufacturing Co Ltd

ADR .................................... 9,719 1.40

2,020,000

United Microelectronics

Corp ..................................... 835 0.12

Telecommunications

367,000

Chunghwa Telecom Co

Ltd ....................................... 1,249 0.18

Textile and Apparel

15,000 Eclat Textile Co Ltd ............ 197 0.03

1,017,400

Far Eastern New Century

Corp ..................................... 831 0.12

92,000 Pou Chen Corp .................... 117 0.01

48,705 7.00

Thailand (2.23%)

Banks

113,200 Kasikornbank PCL .............. 563 0.08

537,600

Kasikornbank PCL

NVDR ................................. 2,644 0.38

555,900 Thanachart Capital PCL ...... 597 0.09

Beverages

1,150,000 Carabao Group PCL ............ 1,316 0.19

Chemicals

149,600

PTT Global Chemical

PCL ..................................... 257 0.04


131,200

Airports of Thailand

PCL ..................................... 1,499 0.21

2,052,600

Sino-Thai Engineering &

Construction PCL ................ 1,324 0.19

Food Products

758,200

Charoen Pokphand Foods

PCL ..................................... 526 0.07


185,100

Siam Cement PCL

NVDR ................................. 2,452 0.35

Oil and Gas

335,900 PTT PCL NVDR ................. 2,673 0.38

Number

of Shares

Fair Value

USD ‘000

Fund

%

Retail Trade

912,450 Minor International PCL ..... 960 0.14

Transport

4,681,018

Bangkok Expressway &

Metro PCL .......................... 738 0.11

15,549 2.23

Turkey (3.09%)

Airlines

107,831

Pegasus Hava Tasimaciligi

AS ....................................... 658 0.09

880,800 Turk Hava Yollari AO ........ 2,437 0.35

Automobiles

95,200

Tofas Turk Otomobil

Fabrikasi AS ....................... 773 0.11

Banks

516,075 Akbank TAS ....................... 1,470 0.21

789,745

Turkiye Garanti Bankasi

AS ....................................... 2,311 0.33

780,535

Turkiye Halk Bankasi

AS ....................................... 2,902 0.42

689,694 Turkiye Is Bankasi .............. 1,141 0.16

791,529

Turkiye Vakiflar Bankasi

TAO .................................... 1,324 0.19

264,000

Yapi ve Kredi Bankasi

AS ....................................... 389 0.06

Building Products

53,481

Cimsa Cimento Sanayi VE

Ticaret AS ........................... 299 0.04


76,722

Enka Insaat ve Sanayi

AS ....................................... 133 0.02


307,960

Turkiye Sinai Kalkinma

Bankasi AS ......................... 180 0.03

Food Products

12,275

BIM Birlesik Magazalar

AS ....................................... 266 0.04

69,000 Migros Ticaret AS .............. 437 0.06


462,002

Haci Omer Sabanci

Holding AS ......................... 1,598 0.23

411,634 KOC Holding AS ................ 2,092 0.30

Home Furnishings

69,173 Arcelik AS .......................... 471 0.07

Oil and Gas

46,109

Tupras Turkiye Petrol

Rafinerileri AS .................... 1,299 0.19

Retail Trade

104,000

Dogus Otomotiv Servis ve

Ticaret AS ........................... 465 0.07

Telecommunications

113,000

Turk Telekomunikasyon

AS ....................................... 268 0.04

133,500

Turkcell Iletisim

Hizmetleri AS ..................... 562 0.08

21,475 3.09




31 March 2016



Number

of Shares

Fair Value

USD ‘000

Fund

%

United Arab Emirates (0.67%)

Banks

553,285

Dubai Islamic Bank

PJSC .................................... 893 0.13

Real Estate

1,508,073

DAMAC Properties Dubai

Co PJSC .............................. 1,121 0.16

1,617,490 Emaar Properties PJSC ........ 2,651 0.38

4,665 0.67

United Kingdom (0.36%)

Banks

27,610

HSBC Bank Plc (United

International

Transportation)* .................. 276 0.04

63,108

HSBC Bank Plc (The

Cooperative

Insurance)* .......................... 1,346 0.19

Metals and Mining

2,181,861

Pan African Resources Plc

(South Africa Listed) ........... 433 0.06

2,318,139

Pan African Resources Plc

(UK Listed) ......................... 450 0.07

2,505 0.36

United States (0.57%)

Biotechnology

10,759

China Biologic Products

Inc ....................................... 1,232 0.18

Metals and Mining

26,331

Southern Copper

Corp ..................................... 730 0.10

Oil and Gas

184,800

Gran Tierra Energy

Inc ....................................... 456 0.06

Retail Trade

18,597 PriceSmart Inc ..................... 1,573 0.23

3,991 0.57

Vietnam (0.06%)

Real Estate

186,800 Vingroup JSC ...................... 396 0.06

Virgin Islands, British (0.17%)

Chemicals

7,876,000

Tianhe Chemicals Group

Ltd ....................................... 711 0.10

Retail Trade

130,400

Arcos Dorados Holdings

Inc ....................................... 489 0.07

1,200 0.17

Zimbabwe (0.15%)


1,837,954 Delta Corp Ltd .................... 1,034 0.15

Total Common Stock ........ 620,947 89.23

Number

of Shares

Fair Value

USD ‘000

Fund

%

Preferred Stock (2.34%) (2015: 2.16%)

Brazil (1.52%)

Auto Components

1,790,200 Marcopolo SA ..................... 1,207 0.18

Food Products

163,100

Cia Brasileira de

Distribuicao ........................ 2,294 0.33


2,416,236

Itausa - Investimentos Itau

SA ....................................... 5,570 0.80

Iron and Steel

384,000 Gerdau SA .......................... 706 0.10


217,740

Suzano Papel e Celulose

SA ....................................... 778 0.11

10,555 1.52

Colombia (0.12%)

Banks

89,377 Banco Davivienda SA ......... 818 0.12



3,243


Ltd ...................................... 3,139 0.45

Philippines (0.00%)

Banks

1,267,172 Security Bank Corp ............. - 0.00

Russia (0.25%)

Oil and Gas

2,647,232 Surgutneftegas OAO ........... 1,781 0.25

Total Preferred Stock ....... 16,293 2.34

Warrants (1.48%) (2015: 2.36%)

Australia (0.08%)

890,100 Macquarie Bank Ltd ........... 570 0.08

Netherlands (0.61%)

277,673

Bherti Airtel International

Natherlands BV .................. 1,465 0.21

155,694

Reliance Industries Ltd

(02/17) ................................ 2,457 0.36

17,750

Reliance Industries Ltd

(07/19) ................................ 280 0.04

4,202 0.61

Curacao (0.69%)

39,315

Bupa Arabia for

Cooperative Insurance

Co ....................................... 1,195 0.17

40,032

Mouwasat Medical

Services Co ......................... 1,217 0.18

484,793

National Industrialization

Co ....................................... 1,183 0.17




31 March 2016



Number

of Shares

Fair Value

USD ‘000

Fund

%

93,322 Samba Financial Group ....... 508 0.07

72,297

United International

Transportation Co ................ 723 0.10

4,826 0.69

Switzerland (0.10%)

127,167 Credit Suisse AG (02/19) .... 691 0.10

Total Warrants .................. 10,289 1.48

Rights (0.00%) (2015: 0.00%)


0.07%)

Total Transferable

Securities ............................ 647,529 93.05

Principal

Amount

Money Market Instruments (0.35%) (2015:

0.00%)


U.S. Treasury Bill

USD 400,000

Zero Coupon due

16/06/16** ........................ 400 0.06

2,000,000

Zero Coupon due

23/06/16** ........................ 1,999 0.29

Total Money Market

Instruments ........................ 2,399 0.35

Number

of Shares

Fair Value

USD ‘000

Fund

%


Ireland (5.05%)

56

Russell Investment

Company III Plc - The

Sterling Liquidity Fund -

Class R Roll-Up Shares .... 80 0.01

34,981

Russell Investment

Company III Plc - The U.S.

Dollar Cash Fund II -

Class R Roll-Up Shares .... 35,036 5.04

1

Russell Investment

Company Plc - Russell

Euro Liquidity Fund -

Class R Roll-Up Shares .... 1 0.00

35,117 5.05

Romania (0.20%)

7,201,325 Fondul Proprietatea SA ....... 1,416 0.20

Total Investment

Funds ................................. 36,533 5.25

Total Investments

excluding Financial




Notional

Amount

USD ‘000

Average

Cost Price

USD

Unrealised

Gain (Loss)

USD ‘000

Fund

%

15,484

798.16

388 of MSCI Emerging Markets Mini Futures


Expiring June 2016 ........................................................................................................... 693 0.10

(3,830)

(32.60)

1,175 of BIST 30 Index Futures


Expiring April 2016 .......................................................................................................... (425) (0.06)

12,170

0.21

116 of KOSPI Index Futures


Expiring June 2016 ........................................................................................................... 327 0.05

12,346

320.69

385 of MSCI Taiwan Index Futures


Expiring April 2016 .......................................................................................................... 51 0.01

Unrealised gain on open futures contracts ......................................................................... 1,071 0.16






31 March 2016




Settlement

Date

Amount

Bought ‘000

Amount

Sold ‘000

Unrealised

Gain (Loss)

USD ‘000

Fund

%

15/06/2016 KRW 10,827,000 USD 8,934 517 0.07

15/06/2016 TRY 200 USD 68 1 0.00

15/06/2016 TRY 9,900 USD 3,305 140 0.02

15/06/2016 USD 592 KRW 700,000 (19) 0.00

15/06/2016 USD 8,005 TRY 23,939 (326) (0.05)

Unrealised gain on open forward foreign currency exchange contracts ............................... 658 0.09

Unrealised loss on open forward foreign currency exchange contracts ................................ (345) (0.05)

Net unrealised gain (loss) on open forward foreign currency exchange contracts ....... 313 0.04

Total Financial Derivative Instruments ............................................................................ 959 0.14

Fair Value

USD ‘000

Fund

%

Total Financial Assets at Fair Value through Profit or Loss

(98.90%) ....................................................................................................................................................... 688,190 98.90


Loss ((0.11)%) ............................................................................................................................................. (770) (0.11)


(98.79%) .................................................................................................................................................... 687,420 98.79

Other Net Assets (1.21%) ........................................................................................................................ 8,424 1.21

Net Assets .................................................................................................................................................. 695,844 100.00

Abbreviation used:

ADR - American Depository Receipt

GDR - Global Depository Receipt

NVDR – Non – Voting Depository Receipt

* Equity Linked Note (ELN). The first named entity is the issuer of the ELN and the underlying entity of the ELN follows in brackets.

** Held as collateral by brokers and counterparties in respect of the financial derivative instruments held by the Fund.


% of

gross assets

Transferable securities admitted to an official stock exchange listing ...................................................................... 91.76

Other transferable securities of the type referred to in Regulation 68(1)(a), (b) and (c) .......................................... 0.15

Money market instruments ........................................................................................................................................ 0.34

Investment funds (UCITS) ....................................................................................................................................... 5.19

Exchange traded financial derivative instruments .................................................................................................... 0.15

Over the counter financial derivative instruments .................................................................................................... 0.09

Other assets ............................................................................................................................................................... 2.32

100.00

The broker for the open futures contracts is Goldman Sachs.


Bank of America

State Street Bank




31 March 2016






As at 31 March 2016

Level 1

USD ‘000

Level 2

USD ‘000

Level 3

USD ‘000

Total

USD ‘000

Assets



Transferable securities ............................................................... 631,844 13,946 1,739 647,529


Investment funds ........................................................................ 1,416 35,117 - 36,533

Unrealised gain on open futures contracts ................................... 1,071 - - 1,071


contracts ...................................................................................... - 658 - 658

Total assets ...................................................................................... 634,331 52,120 1,739 688,190

Liabilities


Unrealised loss on open futures contracts ................................... (425) - - (425)


contracts ...................................................................................... - (345) - (345)

Total liabilities ................................................................................ (425) (345) - (770)

As at 31 March 2015

Level 1

USD ‘000

Level 2

USD ‘000

Level 3

USD ‘000

Total

USD ‘000

Assets



Transferable securities ............................................................... 734,873 28,422 711 764,006

Investment funds ......................................................................... 2,730 53,302 - 56,032

Unrealised gain on open futures contracts ................................... 1,720 - - 1,720


contracts ...................................................................................... - 901 - 901

Total assets ...................................................................................... 739,323 82,625 711 822,659

Liabilities


Unrealised loss on open futures contracts ................................... (395) - - (395)


contracts ...................................................................................... - (503) - (503)





Listed below are the 20 largest cumulative investment purchases and sales during the year ended 31 March 2016





Acquisition Cost


Disposal Proceeds

USD ‘000




Tencent Holdings Ltd 14,861 China Construction Bank Corp (9,409)

Samsung Electronics Co Ltd 12,572 Samsung Electronics Co Ltd (9,313)

China Construction Bank Corp 10,081 Tencent Holdings Ltd (8,429)

Alibaba Group Holding Ltd ADR 7,792 Bank of China Ltd (7,318)

China Mobile Ltd 7,574 Industrial & Commercial Bank of China Ltd (6,416)

Ping An Insurance Group Co of China Ltd 6,056 OTP Bank Plc (6,015)

Naspers Ltd 6,030 Pacific Textiles Holdings Ltd (5,195)

Hero MotoCorp Ltd 5,542 China Merchants Bank Co Ltd (4,828)

Taiwan Semiconductor Manufacturing Co

Ltd 5,453 Man Wah Holdings Ltd (4,662)

LG Household & Health Care Ltd 5,373 Largan Precision Co Ltd (4,578)

Hon Hai Precision Industry Co Ltd 5,214 Alibaba Group Holding Ltd ADR (4,577)

China Overseas Land & Investment Ltd 4,845 China Telecom Corp Ltd (4,521)

Dongfeng Motor Group Co Ltd 4,774 AAC Technologies Holdings Inc (4,463)

Catcher Technology Co Ltd 4,657 Tata Motors Ltd ADR (4,457)

Taiwan Semiconductor Manufacturing Co Ltd ADR 4,518 CNOOC Ltd (4,424)

SK Hynix Inc 4,517 Lenovo Group Ltd (4,358)

Bank of China Ltd 4,145 Bank of Communications Co Ltd (4,262)

CLSA Global Markets PTE 4,097 CLSA Global Markets PTE (4,213)

PetroChina Co Ltd 4,032 ZTE Corp (4,108)



Manager’s Report

50 Russell Euro Fixed Income Fund

Money Managers as at 31 March 2016 Fidelity Investments International Limited

Pioneer Investments


Western Asset Management

Investment Objective The investment objective of Russell Euro Fixed Income Fund (the “Fund”) is to provide income and capital growth by investing

primarily in Euro denominated transferable debt instruments, which include, but are not limited to, municipal and government

bonds, agency debt (being that issued by local authorities or public international bodies of which one or more States is a

member), mortgage related debt and corporate debt that are listed, traded or dealt in on a regulated market in the Organisation for

Economic Co-operation and Development (“OECD”) and which may have fixed or floating interest rates.

Fund Performance

During the year ended 31 March 2016, Russell Euro Fixed Income Fund (Class B) returned 0.1 per cent on a gross of fee basis

(-0.8 per cent on a net of fee basis), while the benchmark* returned 0.7 per cent.

Market Comment

The benchmark slipped by 4.3 per cent in the second quarter of 2015. The fluctuating progress of Greek debt negotiations

dominated market direction, particularly towards the end of the quarter. Numerous meetings and emergency summits between the

country and its International Monetary Fund (IMF) and European creditors failed to conclude an agreement. Greece eventually

missed the deadline for its bundle of IMF payments at the very end of June. This increased uncertainty surrounding a default and

the country’s place within the Eurozone weighed on market sentiment. Earlier in the quarter, investors reacted positively to

European Central Bank (ECB) signals. The Central Bank remained committed to seeing out its quantitative easing programme to

September 2016 and temporarily increased its purchase of government bonds ahead of predicted low liquidity in the summer

months. However, the ECB President Mario Draghi commented that bond investors should “get used to” volatility as a by-product

of a long period of low yields. Government bond yields were broadly higher over the quarter. The 10 year German bund yield

increased sharply to 0.76 per cent from 0.17 per cent, as overbought positions reverted from historically low levels on improving

Eurozone economic activity. Unsurprisingly, periphery 10 year government bond yields increased sharply over the quarter owing

to faltering negotiations between Greece and creditors over reform terms. French yields increased to 1.20 per cent from 0.48 per

cent while Italy’s increased to 2.33 per cent from 1.24 per cent, Portugal’s surged to 3.00 per cent from 1.69 per cent and Spain’s

climbed to 2.30 per cent from 1.21 per cent. The U.K.’s 10 year gilt yield climbed from 1.58 per cent to 2.02 per cent over the

quarter, while the U.S. 10 year Treasury yield rose to 2.35 per cent from 1.92 per cent.

The benchmark rose by 1.8 per cent in the third quarter. Market gyrations characterised the period, as investor anxiety drove a

broad based sell off in risk, which subsequently abated and experienced a degree of recovery. China’s devaluation of its currency,

amid slowing growth, took centre stage as it ignited a selloff, with ongoing uncertainty about whether the U.S. Federal Reserve

(the “Fed”) would hike its policy rate in September (for the first time in a decade), continuing to vex investors. Earlier in the

quarter, the Greece crisis and subsequent resolution dominated investor attention. Meanwhile, the ECB committed itself to

continued accommodative policies. The market climbed after the ECB President Draghi stated that quantitative easing in the

Eurozone may be extended beyond the current September 2016 end date. Eurozone country yields were more stable after a new

bailout deal was agreed with Greece and with the re-election of Alexis Tsipras as Greece’s Prime Minister. In a contrast to the

second-quarter, yields slipped lower this quarter. The yields in both Germany and France declined, falling 18 basis points (bps) to

0.59 per cent and 21 bps to 0.99 per cent, respectively. European peripheral countries (Spain, Italy, Portugal, Greece and Ireland)

also saw yields fall over the period. Meanwhile, the U.K.’s 10-year gilt yield declined 26 bps to 1.76 per cent, where it stood at

the start of 2015. In the U.S., the benchmark 10 year Treasury yield declined 32 bps to 2.04 per cent, the seventh biggest fall in

yields in the last 10 years.

The benchmark climbed by 0.5 per cent in the final quarter of 2015, despite slipping lower in December. In contrast to the U.S.,

where the Fed finally raised its benchmark interest rate, a more dovish environment remained in Europe. However, the ECB’s

much anticipated December policy action disappointed investors’ high expectations, which had been priced into the market in the

preceding months on President Draghi’s dovish signals. The Central Bank made fewer changes than expected to its monetary

policy, cutting its deposit rate to -0.3 per cent and extending quantitative easing until March 2017 from the original September

2016 end date. Notably, this did not include an increase in the monthly amount purchased. The 10 year yield in Germany was

slightly higher this quarter, up 4 bps to 0.63 per cent. Portugal and Belgium’s 10 year yields also increased (+12 bps to 2.50 per

cent and +6 bps to 0.97 per cent, respectively). In contrast, yields in both Italy (-13 bps to 1.59 per cent) and Spain (-12 bps to

1.77 per cent) decreased. Elsewhere, the U.K.’s 10 year gilt yield climbed 20 bps to 1.96 per cent. In the U.S., the benchmark 10

year Treasury yield gained 23 bps to 2.27 per cent.




Russell Euro Fixed Income Fund 51

The benchmark rose by 3.0 per cent in the first quarter of 2016. Having signaled in January that further supportive stimulus was

forthcoming, the ECB introduced a raft of new accommodative stimulus measures in March. The Central Bank reduced its main

refinancing rate to 0.0 per cent, cut its deposit facility rate to -0.4 per cent and also reduced its marginal lending facility rate to

0.25 per cent from 0.30 per cent. Quantitative easing was expanded by EUR 20 billion a month to EUR 80 billion to also include

the purchase of investment-grade corporate bonds. In addition, the ECB initiated another targeted longer-term refinancing

operation (TLTRO II). The provision of cheap liquidity to banks, at a rate as low as the deposit facility, appears to offset the

impact of negative interest rates. More accommodative central bank policy pushed yields in both Germany and France lower by

48 bps to 0.15 per cent and 50 bps to 0.49 per cent, respectively. Yields also declined in Belgium (-46 bps to 0.51 per cent), Spain

(-33 bps to 1.43 per cent) and Italy (-37 bps to 1.22 per cent). Meanwhile, Portugal’s yield increased 43 bps to 2.93 per cent.

Elsewhere, the U.K.’s benchmark 10 year gilt declined 55 bps to 1.42 per cent. In the U.S., the benchmark 10 year Treasury

rallied with its yield decreasing 50 bps to 1.77 per cent.


The Fund underperformed the benchmark over the quarter the second quarter of 2015, with all three Money Managers finishing

behind the benchmark. While an overweight to financials was rewarded, an underweight to government-related issues proved

detrimental. A duration and peripheral overweight detracted from performance as yields moved higher over the quarter. From a

quality perspective, while an underweight to AA-rated issues was rewarded, an overweight to AAA, A and BBB-rated issues

detracted.

The Fund underperformed the benchmark over the third quarter of 2015, with all three Money Managers finishing behind the

benchmark. Underperformance was driven by negative credit positioning, primarily the overweights to Investment Grade (IG)

financials and corporate high yield. However, a duration and peripheral overweight added to performance as yields moved lower

over the quarter. We expect continued positive rhetoric and action from the ECB to provide support to European bond markets.

The Fund outperformed the benchmark in the fourth quarter of 2015. Credit positioning was a key driver of excess returns, having

detracted over the previous quarter. This included the overweights to IG financials and corporate high yield. An underweight to

the Euro underpinned gains. Individual stock selection marginally added to relative returns.

The Fund performed in line with the benchmark in the first quarter of 2016. On the sector side an overweight to IG financials was

negative but an overweight to corporate high yield was additive. Country allocation was positive; driven by overweights to

Belgium and Italy. At the Money Manager level, Pioneer Investments suffered from a short duration position in its first full

quarter within the Fund. In contrast, both Fidelity Investments International Limited and Western Asset Management

outperformed.

Outlook










higher risks for Emerging Markets. These elements all contribute to a less supportive environment for equities. That said, we’re

not forecasting a sustained bear market, provided the U.S. does not fall into recession. Right now we see recession as a low

probability over the next several years. It’s true we’re deep into the current business cycle, but we’re not seeing excesses in the

U.S. economy that could trigger recession.


* Benchmark Source: Citigroup EuroBig Index


May 2016



Balance Sheet

As at 31 March 2016



31 March 2016

EUR ‘000

31 March 2015

EUR ‘000

Assets

Financial assets at fair value through profit or loss (Note 2) .................................................. 291,926 240,988

Cash at bank (Note 3) ............................................................................................................... 209 2,346


(Note 3) ..................................................................................................................................... 1,126 775

Debtors:

Receivable for investments sold ............................................................................................ 7,475 207

Receivable on fund shares issued .......................................................................................... 104 116

Interest receivable ................................................................................................................. 2,770 2,326

Prepayments and other assets ................................................................................................ 7 21

303,617 246,779

Liabilities

Financial liabilities at fair value through profit or loss (Note 2) ............................................... (3,400) (1,141)


Bank overdraft ....................................................................................................................... (1,025) -

Payable for investments purchased ....................................................................................... (5,849) (200)

Payable on fund shares redeemed ......................................................................................... (100) (751)

Distributions payable on income share classes ...................................................................... (583) (431)

Management fees payable ..................................................................................................... (182) (142)




Audit fees payable ................................................................................................................. (36,600) - (22) (22)

Other fees payable ................................................................................................................. - (4)

(11,195) (2,712)

Net assets attributable to redeemable participating shareholders ..................................... 292,422 244,067







2016

EUR ‘000

2015

EUR ‘000

Income

Interest income ............................................................................................................. 4,446 4,350

Net gain (loss) on investment activities (Note 4) ............................................................. (15,059) 35,565

Total investment income (expense) .............................................................................. (10,613) 39,915

Expenses





Audit fees (Note 6) ....................................................................................................... (21) (22)


Other fees ..................................................................................................................... (22) (21)

Total operating expenses .............................................................................................. (2,462) (1,680)

Net income (expense) ..................................................................................................... (13,075) 38,235

Finance costs

Distributions (Note 8) .................................................................................................... (4,619) (3,741)

Profit (loss) for the financial year before taxation ..................................................... (17,694) 34,494

Taxation

Withholding tax (Note 9) .............................................................................................. - (3)




Account.







2016

EUR ‘000

2015

EUR ‘000



Share transactions



transactions (Note 10) .................................................................................................. 63,886 (5,141)





End of year ................................................................................................................... 292,422 244,067




31 March 2016



Principal

Amount

Fair Value

EUR ‘000

Fund

%



91.41%)

Australia (0.46%)

BHP Billiton Finance Ltd

EUR 580,000 1.500% due 29/04/30 ....... 552 0.19

Commonwealth Bank of

Australia

530,000 2.000% due 22/04/27 ....... 508 0.18

National Australia Bank Ltd

250,000 1.875% due 13/01/23 ....... 274 0.09

1,334 0.46

Austria (0.79%)

Austria Government Bond

410,000 4.300% due 15/09/17 ....... 438 0.15

510,000 3.650% due 20/04/22 ....... 626 0.21

420,000 4.850% due 15/03/26 ....... 603 0.21

200,000 4.150% due 15/03/37 ....... 317 0.11

50,000 3.800% due 26/01/62 ....... 93 0.03

Erste Group Bank AG

100,000 7.125% due 10/10/22 ....... 121 0.04

100,000 0.625% due 19/01/23 ....... 102 0.04

2,300 0.79

Belgium (10.52%)

Anheuser-Busch InBev

SA/NV

58,000 0.625% due 17/03/20 ....... 59 0.02

400,000 0.875% due 17/03/22 ....... 405 0.14

1,092,000 1.500% due 17/03/25 ....... 1,123 0.38

300,000 2.000% due 17/03/28 ....... 313 0.11

490,000 1.500% due 18/04/30 ....... 478 0.16

567,000 2.750% due 17/03/36 ....... 605 0.21

Belgium Government Bond

710,000 1.250% due 22/06/18 ....... 737 0.25

12,330,000 3.000% due 28/09/19 ....... 13,786 4.71

450,000 3.750% due 28/09/20 ....... 532 0.18

5,670,000 2.250% due 22/06/23 ....... 6,578 2.25

530,000 2.600% due 22/06/24 ....... 634 0.22

390,000 4.500% due 28/03/26 ....... 546 0.19

390,000 4.000% due 28/03/32 ....... 567 0.19

310,000 4.250% due 28/03/41 ....... 508 0.17

730,000 3.750% due 22/06/45 ....... 1,145 0.39

Eandis CVBA

300,000 1.750% due 04/12/26 ....... 317 0.11

Elia System Operator

SA/NV

100,000 3.250% due 04/04/28 ....... 120 0.04

European Union

350,000 2.750% due 04/04/22 ....... 410 0.14

300,000 0.625% due 04/11/23 ....... 312 0.11

KBC Bank NV

200,000 0.450% due 22/01/22 ....... 203 0.07

Principal

Amount

Fair Value

EUR ‘000

Fund

%

100,000 0.375% due 01/09/22 ...... 101 0.03

KBC Groep NV

1,100,000 1.875% due 11/03/27 ...... 1,077 0.37

Solvay SA

100,000 1.625% due 02/12/22 ...... 103 0.04

100,000 2.750% due 02/12/27 ...... 108 0.04

30,767 10.52

Brazil (0.17%)


Nacional Serie B

BRL 748,000 6.000% due 15/08/50 ...... 502 0.17

Canada (0.19%)

Canadian Imperial Bank of

Commerce

EUR 530,000 1.250% due 07/08/18 ...... 547 0.19

Denmark (0.23%)

Danske Bank A/S

370,000 0.500% due 06/05/21 ...... 370 0.13

280,000 3.875% due 04/10/23 ...... 298 0.10

668 0.23

Finland (0.83%)

Elenia Finance OYJ

292,000 2.875% due 17/12/20 ...... 314 0.11

Finland Government Bond

750,000 3.375% due 15/04/20 ...... 862 0.29

490,000 3.500% due 15/04/21 ...... 582 0.20

220,000 2.750% due 04/07/28 ...... 276 0.09

OP Mortgage Bank

200,000 0.625% due 04/09/22 ...... 205 0.07

Sampo OYJ

100,000 1.125% due 24/05/19 ...... 102 0.04

SATO OYJ

100,000 2.375% due 24/03/21 ...... 100 0.03

2,441 0.83

France (15.05%)

Accor SA

200,000 2.625% due 05/02/21 ...... 216 0.07

Agence Francaise de

Developpement

300,000 0.125% due 31/03/21 ...... 302 0.10

Air Liquide Finance SA

200,000 2.125% due 15/10/21 ...... 219 0.07

AXA SA

200,000 5.250% due 16/04/40 ...... 222 0.08

100,000 3.375% due 06/07/47 ...... 100 0.03

200,000 3.875%* .......................... 200 0.07

Banque Federative du Credit

Mutuel SA

100,000 2.625% due 24/02/21 ...... 110 0.04




31 March 2016



Principal

Amount

Fair Value

EUR ‘000

Fund

%

100,000 1.625% due 19/01/26 ....... 104 0.04

Banque PSA Finance SA

USD 55,000 5.750% due 04/04/21 ....... 51 0.02

BNP Paribas Home Loan

SFH SA

EUR 100,000 1.375% due 17/06/20 ....... 106 0.04

200,000 3.125% due 22/03/22 ....... 236 0.08

BPCE SA

100,000 2.000% due 24/04/18 ....... 104 0.04

100,000 0.625% due 20/04/20 ....... 101 0.03

500,000 2.750% due 30/11/27 ....... 508 0.17

200,000 12.500% * ........................ 262 0.09

Bureau Veritas SA

100,000 3.125% due 21/01/21 ....... 108 0.04

Caisse d'Amortissement de

la Dette Sociale

400,000 0.500% due 25/05/23 ....... 410 0.14

220,000 2.375% due 25/01/24 ....... 257 0.09

Caisse de Refinancement de

l'Habitat SA

300,000 3.600% due 08/03/24 ....... 376 0.13

Casino Guichard Perrachon

SA

100,000 4.726% due 26/05/21 ....... 113 0.04

100,000 3.311% due 25/01/23 ....... 103 0.03

100,000 3.248% due 07/03/24 ....... 101 0.03

Council Of Europe

Development Bank

300,000 0.375% due 27/10/22 ....... 308 0.11

400,000 0.750% due 09/06/25 ....... 416 0.14

Credit Agricole Home Loan

SFH SA

200,000 0.375% due 24/03/23 ....... 202 0.07

200,000 0.625% due 11/09/23 ....... 205 0.07

Credit Agricole SA

200,000 4.000% due 29/06/21 ....... 232 0.08

100,000 0.875% due 19/01/22 ....... 102 0.03

370,000 2.625% due 17/03/27 ....... 369 0.13

Credit Mutuel - CIC Home

Loan SFH

300,000 2.500% due 11/09/23 ....... 348 0.12

Electricite de France SA

400,000 3.875% due 18/01/22 ....... 474 0.16

200,000 4.250% * .......................... 200 0.07

Engie SA

600,000 1.000% due 13/03/26 ....... 600 0.20

Faurecia

100,000 3.125% due 15/06/22 ....... 99 0.03

France Government Bond

OAT

1,430,000 4.250% due 25/10/18 ....... 1,601 0.55

1,640,000 3.750% due 25/10/19 ....... 1,879 0.64

2,200,000 3.500% due 25/04/20 ....... 2,540 0.87

8,800,000 2.500% due 25/10/20 ....... 9,896 3.38

Principal

Amount

Fair Value

EUR ‘000

Fund

%

1,110,000 2.250% due 25/10/22 ...... 1,275 0.44

2,290,000 1.750% due 25/11/24 ...... 2,584 0.88

4,250,000 1.000% due 25/11/25 ...... 4,487 1.53

530,000 2.750% due 25/10/27 ...... 656 0.22

315,000 5.750% due 25/10/32 ...... 548 0.19

960,000 4.000% due 25/10/38 ...... 1,485 0.51

2,710,000 3.250% due 25/05/45 ...... 3,923 1.34

Gecina SA

200,000 2.000% due 17/06/24 ...... 210 0.07

HSBC SFH France SA

100,000 2.000% due 16/10/23 ...... 112 0.04

La Banque Postale Home

Loan SFH

100,000 1.875% due 11/09/20 ...... 108 0.04

Lafarge SA

97,000 4.750% due 23/03/20 ...... 112 0.04

Pernod Ricard SA

100,000 2.125% due 27/09/24 ...... 107 0.04

RCI Banque SA

130,000 1.125% due 30/09/19 ...... 134 0.05

Renault SA

300,000 3.625% due 19/09/18 ...... 324 0.11

90,000 3.125% due 05/03/21 ...... 100 0.03

SA de Gestion de Stocks de

Securite

300,000 0.625% due 25/05/23 ...... 307 0.10

Sanofi

100,000 0.875% due 22/09/21 ...... 103 0.04

SCOR SE

300,000 3.000% due 08/06/46 ...... 294 0.10

Societe Des Autoroutes

Paris-Rhin-Rhone

100,000 1.500% due 15/01/24 ...... 105 0.04

Societe Generale SA

100,000 0.750% due 19/02/21 ...... 101 0.03

Societe Generale SFH SA

300,000 2.875% due 14/03/19 ...... 327 0.11

UNEDIC

400,000 0.300% due 04/11/21 ...... 406 0.14

100,000 0.875% due 25/10/22 ...... 105 0.04

200,000 0.625% due 17/02/25 ...... 204 0.07

100,000 1.250% due 21/10/27 ...... 106 0.04

Unibail-Rodamco SE

140,000 1.375% due 09/03/26 ...... 143 0.05

Valeo SA

100,000 1.625% due 18/03/26 ...... 102 0.03

Veolia Environnement

SA

300,000 1.590% due 10/01/28 ...... 308 0.11

200,000 6.125% due 25/11/33 ...... 320 0.11

Wendel SA

800,000 5.875% due 17/09/19 ...... 936 0.32




31 March 2016



Principal

Amount

Fair Value

EUR ‘000

Fund

%

200,000 2.750% due 02/10/24 ....... 204 0.07

44,016 15.05

Germany (7.33%)

Allianz SE

200,000 2.241% due 07/07/45 ....... 189 0.06

200,000 4.750% * .......................... 217 0.07

Bundesobligation

2,960,000

Zero Coupon due

17/04/20 ........................... 3,011 1.03

150,000 0.250% due 16/10/20 ....... 154 0.05

Bundesrepublik

Deutschland

1,700,000 3.000% due 04/07/20 ....... 1,949 0.67

150,000 2.250% due 04/09/20 ....... 168 0.06

4,200,000 1.000% due 15/08/24 ....... 4,566 1.56

650,000 0.500% due 15/02/26 ....... 672 0.23

950,000 5.500% due 04/01/31 ....... 1,633 0.56

960,000 3.250% due 04/07/42 ....... 1,523 0.52

690,000 2.500% due 15/08/46 ....... 997 0.34

Commerzbank

AG

101,000 4.000% due 23/03/26 ....... 103 0.04

Covestro AG

550,000 1.750% due 25/09/24 ....... 568 0.19

Daimler AG

45,000 0.500% due 09/09/19 ....... 45 0.02

Deutsche Bundesrepublik

Inflation Linked Bond

1,553,105 0.500% due 15/04/30 ....... 1,811 0.62

Hella KGaA Hueck & Co

100,000 2.375% due 24/01/20 ....... 107 0.04

KFW

400,000 0.625% due 04/07/22 ....... 418 0.14

380,000 0.375% due 15/03/23 ....... 391 0.13

250,000 0.625% due 15/01/25 ....... 258 0.09

200,000 0.375% due 23/04/30 ....... 190 0.07

150,000 1.250% due 04/07/36 ....... 157 0.05

Muenchener

Rueckversicherungs-

Gesellschaft AG in

Muenchen

500,000 6.250% due 26/05/42 ....... 614 0.21

ProSiebenSat.1 Media

SE

550,000 2.625% due 15/04/21 ....... 581 0.20

RWE AG

300,000 2.750% due 21/04/75 ....... 250 0.09

Volkswagen Bank GmbH

110,000 1.125% due 08/02/18 ....... 111 0.04

WPP Finance Deutschland

GmbH

780,000 1.625% due 23/03/30 ....... 740 0.25

21,423 7.33

Principal

Amount

Fair Value

EUR ‘000

Fund

%

Hong Kong (0.03%)

Dongfeng Motor Hong Kong

International Co Ltd

100,000 1.600% due 28/10/18 ...... 101 0.03

Ireland (2.92%)

Allied Irish Banks Plc

700,000 2.750% due 16/04/19 ...... 737 0.25

Bank of Ireland

100,000 1.250% due 09/04/20 ...... 101 0.04

CRH Finance LTD

150,000 3.125% due 03/04/23 ...... 172 0.06

DAA Finance Plc

200,000 6.587% due 09/07/18 ...... 229 0.08

FCA Capital Ireland Plc

130,000 4.000% due 17/10/18 ...... 140 0.05

750,000 2.625% due 17/04/19 ...... 787 0.27

850,000 1.250% due 23/09/20 ...... 851 0.29

GE Capital European

Funding Unlimited Co

350,000 5.375% due 23/01/20 ...... 418 0.14

Ireland Government Bond

190,000 5.500% due 18/10/17 ...... 207 0.07

450,000 5.000% due 18/10/20 ...... 552 0.19

370,000 3.400% due 18/03/24 ...... 453 0.16

950,000 1.000% due 15/05/26 ...... 975 0.33

1,210,000 2.400% due 15/05/30 ...... 1,413 0.48

1,200,000 2.000% due 18/02/45 ...... 1,291 0.44

Ryanair Ltd

200,000 1.875% due 17/06/21 ...... 212 0.07

8,538 2.92

Italy (17.48%)

Assicurazioni Generali SpA

112,000 2.875% due 14/01/20 ...... 122 0.04

100,000 4.125% due 04/05/26 ...... 108 0.04

400,000 7.750% due 12/12/42 ...... 482 0.16

Autostrade per l'Italia SpA

100,000 1.625% due 12/06/23 ...... 104 0.04

Banca Popolare di Milano

Scarl

300,000 0.875% due 14/09/22 ...... 304 0.10

Banca Popolare di Sondrio

Scarl

138,000 0.750% due 04/04/23 ...... 139 0.05

Cassa Depositi e Prestiti SpA

200,000 2.375% due 12/02/19 ...... 212 0.07

320,000 2.750% due 31/05/21 ...... 354 0.12

Davide Campari-Milano

SpA

886,000 4.500% due 25/10/19 ...... 973 0.33

Intesa Sanpaolo SpA

100,000 3.750% due 25/09/19 ...... 113 0.04

700,000 1.125% due 04/03/22 ...... 697 0.24




31 March 2016



Principal

Amount

Fair Value

EUR ‘000

Fund

%

100,000 3.625% due 05/12/22 ....... 121 0.04

100,000 0.625% due 23/03/23 ....... 101 0.03

Italy Buoni Poliennali Del

Tesoro

1,620,000 4.750% due 01/06/17 ....... 1,710 0.59

1,010,000 0.750% due 15/01/18 ....... 1,024 0.35

1,800,000 4.500% due 01/03/19 ....... 2,033 0.70

2,100,000 4.000% due 01/09/20 ....... 2,448 0.84

3,350,000 0.450% due 01/06/21 ....... 3,361 1.15

870,000 1.350% due 15/04/22 ....... 910 0.31

500,000 1.450% due 15/09/22 ....... 525 0.18

15,790,000 4.500% due 01/03/24 ....... 20,035 6.85

1,000,000 2.500% due 01/12/24 ....... 1,116 0.38

2,160,000 2.000% due 01/12/25 ....... 2,314 0.79

1,140,000 5.250% due 01/11/29 ....... 1,642 0.56

492,105 1.250% due 15/09/32 ....... 524 0.18

980,000 5.000% due 01/09/40 ....... 1,481 0.51

2,880,000 3.250% due 01/09/46 ....... 3,448 1.18

2,700,000 2.700% due 01/03/47 ....... 2,890 0.99

UniCredit SpA

290,000 2.750% due 31/01/20 ....... 320 0.11

700,000 6.950% due 31/10/22 ....... 792 0.27

700,000 2.000% due 04/03/23 ....... 712 0.24

51,115 17.48


Atrium European Real Estate

Ltd

170,000 3.625% due 17/10/22 ....... 178 0.06

Delphi Automotive Plc

USD 110,000 3.150% due 19/11/20 ....... 99 0.03

UBS Group Funding Jersey

Ltd

EUR 560,000 1.750% due 16/11/22 ....... 568 0.19

300,000 2.125% due 04/03/24 ....... 305 0.11

1,150 0.39

Luxembourg (3.11%)

Alpha Trains Finance SA

560,000 2.064% due 30/06/30 ....... 520 0.18

Eurofins Scientific SE

500,000 3.375% due 30/01/23 ....... 500 0.17

European Financial Stability

Facility

440,000 0.500% due 20/01/23 ....... 455 0.15

360,000 0.200% due 28/04/25 ....... 356 0.12

European Investment Bank

230,000 0.500% due 15/11/23 ....... 237 0.08

935,000 4.125% due 15/04/24 ....... 1,238 0.42

350,000 0.125% due 15/04/25 ....... 345 0.12

300,000 3.500% due 15/04/27 ....... 397 0.14

750,000 1.125% due 15/09/36 ....... 763 0.26

European Stability

Mechanism

340,000 2.125% due 20/11/23 ....... 392 0.13

Principal

Amount

Fair Value

EUR ‘000

Fund

%

350,000 1.000% due 23/09/25 ...... 371 0.13

200,000 0.500% due 02/03/26 ...... 202 0.07

Glencore Finance Europe SA

770,000 1.750% due 17/03/25 ...... 581 0.20

Grand City Properties SA

900,000 1.500% due 17/04/25 ...... 860 0.29

Hannover Finance

Luxembourg SA

450,000 5.750% due 14/09/40 ...... 525 0.18

HeidelbergCement Finance

Luxembourg SA

1,000,000 8.500% due 31/10/19 ...... 1,243 0.43

Holcim US Finance Sarl &

Cie SCS

100,000 2.625% due 07/09/20 ...... 108 0.04

9,093 3.11

Mexico (0.53%)

America Movil SAB de CV

530,000 1.000% due 04/06/18 ...... 537 0.18

100,000 1.500% due 10/03/24 ...... 100 0.04

100,000 2.125% due 10/03/28 ...... 100 0.03

Petroleos Mexicanos

660,000 5.500% due 24/02/25 ...... 699 0.24

USD 144,000 6.375% due 23/01/45 ...... 118 0.04

1,554 0.53

Netherlands (8.29%)

ABN Amro Bank NV

EUR 250,000 4.750% due 11/01/19 ...... 282 0.10

100,000 6.375% due 27/04/21 ...... 120 0.04

1,000,000 7.125% due 06/07/22 ...... 1,260 0.43

150,000 2.500% due 05/09/23 ...... 174 0.06

100,000 2.375% due 23/01/24 ...... 116 0.04

120,000 1.000% due 16/04/25 ...... 120 0.04

140,000 2.875% due 30/06/25 ...... 143 0.05

Allianz Finance II BV

300,000 5.750% due 08/07/41 ...... 347 0.12

Bank Nederlandse

Gemeenten NV

300,000 0.250% due 22/02/23 ...... 301 0.10

BAT Netherlands Finance

BV

170,000 3.125% due 06/03/29 ...... 201 0.07

Coca-Cola HBC Finance BV

100,000 2.375% due 18/06/20 ...... 107 0.04

130,000 1.875% due 11/11/24 ...... 135 0.05

Cooperatieve Rabobank UA

100,000 4.750% due 15/01/18 ...... 108 0.04

800,000 6.875% due 19/03/20 ...... 946 0.32

200,000 4.000% due 11/01/22 ...... 238 0.08

510,000 3.875% due 25/07/23 ...... 577 0.20

133,000 1.250% due 23/03/26 ...... 134 0.05




31 March 2016



Principal

Amount

Fair Value

EUR ‘000

Fund

%

Deutsche Telekom

International Finance BV

230,000 1.500% due 03/04/28 ....... 235 0.08

50,000 7.500% due 24/01/33 ....... 89 0.03

EDP Finance BV

650,000 2.625% due 15/04/19 ....... 686 0.23

680,000 2.375% due 23/03/23 ....... 696 0.24

Enel Finance International

NV

200,000 5.000% due 14/09/22 ....... 255 0.09

GBP 190,000 5.625% due 14/08/24 ....... 287 0.10

Ferrari NV

EUR 100,000 1.500% due 16/03/23 ....... 99 0.03

Gas Natural Fenosa Finance

BV

100,000 1.375% due 21/01/25 ....... 102 0.04

Iberdrola International BV

100,000 1.750% due 17/09/23 ....... 107 0.04

ING Bank NV

140,000 0.700% due 16/04/20 ....... 141 0.05

140,000 1.875% due 22/05/23 ....... 156 0.05

350,000 6.125% due 29/05/23 ....... 384 0.13

Koninklijke KPN NV

140,000 3.750% due 21/09/20 ....... 160 0.05

360,000 5.625% due 30/09/24 ....... 481 0.16

Nederlandse

Waterschapsbank NV

300,000 0.500% due 19/01/23 ....... 306 0.10

Netherlands Government

Bond

500,000 0.500% due 15/04/17 ....... 505 0.17

680,000 1.250% due 15/01/18 ....... 701 0.24

400,000 1.250% due 15/01/19 ....... 419 0.14

1,550,000 0.250% due 15/01/20 ....... 1,587 0.54

3,070,000 1.750% due 15/07/23 ....... 3,466 1.19

3,950,000 0.500% due 15/07/26 ....... 4,007 1.37

160,000 5.500% due 15/01/28 ....... 253 0.09

320,000 4.000% due 15/01/37 ....... 518 0.18

170,000 3.750% due 15/01/42 ....... 283 0.10

Petrobras Global Finance

BV

578,000 5.875% due 07/03/22 ....... 482 0.16

Repsol International Finance

BV

200,000 3.875% * .......................... 177 0.06

Roche Finance Europe

BV

100,000 0.875% due 25/02/25 ....... 103 0.04

RWE Finance BV

270,000 3.000% due 17/01/24 ....... 301 0.10

Shell International Finance

BV

440,000 1.875% due 15/09/25 ....... 474 0.16

Principal

Amount

Fair Value

EUR ‘000

Fund

%

Swiss Reinsurance Co via

ELM BV

300,000 2.600% * ......................... 284 0.10

Telefonica Europe BV

100,000 6.500% * ......................... 106 0.04

Teva Pharmaceutical

Finance Netherlands II BV

100,000 1.875% due 31/03/27 ...... 96 0.03

Vonovia Finance BV

200,000 1.625% due 15/12/20 ...... 207 0.07

365,000 2.125% due 09/07/22 ...... 389 0.13

300,000 1.500% due 31/03/25 ...... 302 0.10

100,000 4.000% * ......................... 99 0.03

24,252 8.29

Norway (0.23%)

DNB Boligkreditt AS

350,000 2.750% due 21/03/22 ...... 402 0.14

Statoil ASA

270,000 1.250% due 17/02/27 ...... 269 0.09

671 0.23

Portugal (0.04%)

Brisa Concessao Rodoviaria

SA

100,000 3.875% due 01/04/21 ...... 112 0.04

Spain (8.51%)

Banco Bilbao Vizcaya

Argentaria SA

200,000 0.750% due 20/01/22 ...... 205 0.07

200,000 0.625% due 18/03/23 ...... 203 0.07

Banco Popular Espanol

SA

300,000 0.875% due 28/09/21 ...... 308 0.11

200,000 1.000% due 03/03/22 ...... 206 0.07

Banco Santander SA

300,000 0.750% due 09/09/22 ...... 308 0.11

200,000 6.250% * ......................... 180 0.06

Bankinter SA

300,000 0.875% due 03/08/22 ...... 307 0.11

BBVA Subordinated Capital

SAU

200,000 3.500% due 11/04/24 ...... 206 0.07

FADE - Fondo de

Amortizacion del Deficit

Electrico

500,000 1.875% due 17/09/17 ...... 513 0.18

200,000 0.850% due 17/09/19 ...... 203 0.07

100,000 5.900% due 17/03/21 ...... 126 0.04

Instituto de Credito Oficial

500,000 4.375% due 20/05/19 ...... 564 0.19

Kutxabank SA

300,000 1.750% due 27/05/21 ...... 322 0.11




31 March 2016



Principal

Amount

Fair Value

EUR ‘000

Fund

%

Santander Issuances SAU

200,000 2.500% due 18/03/25 ....... 193 0.07

300,000 3.250% due 04/04/26 ....... 299 0.10

Spain Government Bond

1,100,000 5.500% due 30/07/17 ....... 1,181 0.40

1,820,000 4.600% due 30/07/19 ....... 2,087 0.71

4,000,000 1.150% due 30/07/20 ....... 4,140 1.42

520,000 4.850% due 31/10/20 ....... 626 0.21

3,650,000 3.800% due 30/04/24 ....... 4,385 1.50

3,575,000 2.750% due 31/10/24 ....... 4,007 1.37

280,000 4.650% due 30/07/25 ....... 361 0.12

950,000 6.000% due 31/01/29 ....... 1,411 0.48

510,000 4.700% due 30/07/41 ....... 720 0.25

1,200,000 2.900% due 31/10/46 ....... 1,264 0.43

Telefonica Emisiones SAU

500,000 2.932% due 17/10/29 ....... 553 0.19

24,878 8.51

Sweden (0.96%)

Skandinaviska Enskilda

Banken AB

350,000 4.000% due 12/09/22 ....... 365 0.13

125,000 0.625% due 30/01/23 ....... 128 0.04

Svenska Handelsbanken AB

110,000 2.656% due 15/01/24 ....... 114 0.04

Swedbank Hypotek AB

200,000 1.125% due 07/05/20 ....... 209 0.07

200,000 0.150% due 10/02/21 ....... 201 0.07

Sweden Government Bond

SEK 8,470,000 3.500% due 30/03/39 ....... 1,251 0.43

Sweden Government

International Bond

EUR 155,000 0.750% due 02/05/19 ....... 160 0.05

Telia Co AB

200,000 4.000% due 22/03/22 ....... 236 0.08

Vattenfall AB

180,000 3.000% due 19/03/77 ....... 138 0.05

2,802 0.96

Switzerland (0.49%)

Credit Suisse AG

1,000,000 5.750% due 18/09/25 ....... 1,083 0.37

UBS AG

140,000 1.125% due 30/06/20 ....... 145 0.05

100,000 1.250% due 03/09/21 ....... 104 0.03

100,000 4.750% due 12/02/26 ....... 105 0.04

1,437 0.49


Abbey National Treasury

Services Plc

140,000 2.000% due 14/01/19 ....... 146 0.05

100,000 0.875% due 13/01/20 ....... 100 0.03

Aviva Plc

102,000 6.125% due 05/07/43 ....... 115 0.04

Principal

Amount

Fair Value

EUR ‘000

Fund

%

1,020,000 3.375% due 04/12/45 ...... 923 0.32

Bank of Scotland Plc

300,000 3.875% due 07/02/20 ...... 344 0.12

Barclays Bank Plc

100,000 6.000% due 14/01/21 ...... 113 0.04

100,000 6.625% due 30/03/22 ...... 119 0.04

USD 250,000 7.750% due 10/04/23 ...... 231 0.08

Barclays Plc

EUR 850,000 2.625% due 11/11/25 ...... 785 0.27

BAT International Finance

Plc

180,000 3.625% due 09/11/21 ...... 210 0.07

346,000 1.250% due 13/03/27 ...... 344 0.12

BG Energy Capital Plc

190,000 1.250% due 21/11/22 ...... 195 0.07

BP Capital Markets Plc

550,000 1.373% due 03/03/22 ...... 566 0.19

300,000 1.953% due 03/03/25 ...... 315 0.11

280,000 1.573% due 16/02/27 ...... 282 0.10

British Telecommunications

Plc

400,000 0.625% due 10/03/21 ...... 400 0.14

550,000 1.125% due 10/03/23 ...... 557 0.19

660,000 1.750% due 10/03/26 ...... 682 0.23

Dignity Finance Plc

GBP 242,000 4.696% due 31/12/49 ...... 336 0.11

FCE Bank Plc

EUR 500,000 1.134% due 10/02/22 ...... 494 0.17

Hammerson Plc

300,000 1.750% due 15/03/23 ...... 304 0.10

HSBC Bank Plc

1,000,000 5.000% due 20/03/23 ...... 1,309 0.45

HSBC Holdings Plc

EUR 400,000 1.500% due 15/03/22 ...... 404 0.14

330,000 3.375% due 10/01/24 ...... 339 0.12

500,000 2.500% due 15/03/27 ...... 524 0.18

Imperial Brands Finance Plc

114,000 2.250% due 26/02/21 ...... 122 0.04

270,000 3.375% due 26/02/26 ...... 316 0.11

Leeds Building Society

220,000 1.375% due 05/05/22 ...... 212 0.07

Lloyds Bank Plc

240,000 1.875% due 10/10/18 ...... 250 0.09

100,000 1.000% due 19/11/21 ...... 100 0.03

150,000 11.875% due 16/12/21 .... 162 0.05

100,000 1.375% due 08/09/22 ...... 103 0.03

400,000 10.375% due 12/02/24 .... 493 0.17

Mondi Finance Plc

250,000 3.375% due 28/09/20 ...... 275 0.09

Nationwide Building Society

110,000 0.750% due 25/06/19 ...... 113 0.04

206,000 0.125% due 25/01/21 ...... 205 0.07




31 March 2016



Principal

Amount

Fair Value

EUR ‘000

Fund

%

800,000 1.125% due 03/06/22 ....... 801 0.27

230,000 0.750% due 26/10/22 ....... 235 0.08

800,000 4.125% due 20/03/23 ....... 831 0.28

EUR 180,000 1.250% due 03/03/25 ....... 177 0.06

NGG Finance Plc

260,000 4.250% due 18/06/76 ....... 272 0.09

Pearson Funding Five Plc

170,000 1.375% due 06/05/25 ....... 165 0.06

Rolls-Royce Plc

300,000 2.125% due 18/06/21 ....... 321 0.11

Royal Bank of Scotland

Group Plc

1,000,000 1.625% due 25/06/19 ....... 1,017 0.35

752,000 2.500% due 22/03/23 ....... 750 0.26

480,000 3.625% due 25/03/24 ....... 467 0.16

USD 500,000 4.800% due 05/04/26 ....... 441 0.15

Royal Bank of Scotland Plc

EUR 700,000 6.934% due 09/04/18 ....... 770 0.26

Sky Plc

200,000 1.500% due 15/09/21 ....... 205 0.07

200,000 1.875% due 24/11/23 ....... 206 0.07

610,000 2.250% due 17/11/25 ....... 634 0.22

750,000 2.500% due 15/09/26 ....... 795 0.27

Standard Chartered Plc

270,000 3.625% due 23/11/22 ....... 263 0.09

620,000 3.125% due 19/11/24 ....... 572 0.20

Tesco Property Finance 3 Plc

GBP 225,956 5.744% due 13/04/40 ....... 260 0.09

Virgin Media Secured

Finance Plc

290,000 5.500% due 15/01/21 ....... 389 0.13

Vodafone Group Plc

EUR 100,000 1.750% due 25/08/23 ....... 104 0.04

390,000 2.200% due 25/08/26 ....... 408 0.14

Yorkshire Building Society

510,000 1.250% due 17/03/22 ....... 498 0.17

Zurich Finance UK Plc

GBP 750,000 6.625% * .......................... 1,022 0.35

24,091 8.24


Albemarle Corp

EUR 550,000 1.875% due 08/12/21 ....... 546 0.19


Finance Inc

USD 570,000 4.900% due 01/02/46 ....... 560 0.19

AT&T Inc

EUR 200,000 3.550% due 17/12/32 ....... 230 0.08

Bank of America

Corp

100,000 2.500% due 27/07/20 ....... 108 0.04

450,000 1.375% due 10/09/21 ....... 459 0.16

100,000 1.625% due 14/09/22 ....... 103 0.04

Principal

Amount

Fair Value

EUR ‘000

Fund

%

Berkshire Hathaway

Inc

350,000 1.125% due 16/03/27 ...... 334 0.11

Citigroup Inc

160,000 7.375% due 04/09/19 ...... 197 0.07

430,000 1.750% due 28/01/25 ...... 436 0.15

300,000 2.125% due 10/09/26 ...... 308 0.11

Coca-Cola Co

100,000 1.625% due 09/03/35 ...... 100 0.03

General Electric Co

360,000 1.875% due 28/05/27 ...... 387 0.13

General Mills Inc

100,000 1.000% due 27/04/23 ...... 101 0.03

Goldman Sachs Group

Inc

175,000 4.750% due 12/10/21 ...... 204 0.07

EUR 100,000 1.375% due 26/07/22 ...... 102 0.04

570,000 2.000% due 27/07/23 ...... 589 0.20

500,000 2.125% due 30/09/24 ...... 519 0.18

200,000 3.000% due 12/02/31 ...... 212 0.07

JPMorgan Chase & Co

120,000 1.375% due 16/09/21 ...... 124 0.04

McDonald's Corp

300,000 2.625% due 11/06/29 ...... 335 0.11

Mondelez International

Inc

670,000 2.375% due 06/03/35 ...... 653 0.22

Morgan Stanley

100,000 1.750% due 11/03/24 ...... 101 0.03

MPT Operating Partnership

LP

200,000 4.000% due 19/08/22 ...... 207 0.07

Priceline Group Inc

200,000 2.150% due 25/11/22 ...... 207 0.07

1,100,000 1.800% due 03/03/27 ...... 1,025 0.35

Prologis LP

900,000 3.000% due 02/06/26 ...... 985 0.34

Verizon Communications

Inc

170,000 3.250% due 17/02/26 ...... 201 0.07

USD 384,000 6.550% due 15/09/43 ...... 445 0.15

653,000 5.012% due 21/08/54 ...... 577 0.20

Wells Fargo & Co

EUR 150,000 2.250% due 02/05/23 ...... 163 0.06

347,000 1.625% due 02/06/25 ...... 358 0.12

10,876 3.72


Global Switch Holdings

Ltd

100,000 5.500% due 18/04/18 ...... 110 0.04


and Notes ........................... 264,778 90.55




31 March 2016



Principal

Amount

Fair Value

EUR ‘000

Fund

%


Australia (0.29%)

Australia & New Zealand

Banking Group Ltd

400,000 0.286% due 04/10/16 ....... 400 0.14

Westpac Banking

Corp

425,000 4.250% due 22/09/16 ....... 434 0.15

834 0.29

Canada (0.14%)

Bank of Nova Scotia

400,000 0.088 % due 30/09/16 ...... 400 0.14

Denmark (0.14%)

Danske Bank A/S

400,000 3.875% due 28/02/17 ....... 414 0.14

Finland (0.03%)

Finland Government

Bond

100,000 1.750% due 15/04/16 ....... 100 0.03

France (0.29%)


OAT

845,000 3.250% due 25/04/16 ....... 847 0.29

Germany (1.23%)



3,132,721 1.500% due 15/04/16 ....... 3,137 1.07

KFW

450,000 3.125% due 04/07/16 ....... 454 0.16

3,591 1.23

Ireland (0.15%)

GE Capital European

Funding

450,000 3.750% due 04/04/16 ....... 450 0.15

Netherlands (0.16%)


Bond Coupon Strip

70,000

Zero Coupon

due 15/07/16 .................... 70 0.02

PACCAR Financial Europe

BV

400,000 0.141% due 24/06/16 ....... 400 0.14

470 0.16

Sweden (0.14%)

Svenska Handelsbanken

AB

400,000 3.750% due 24/02/17 ....... 414 0.14

Principal

Amount

Fair Value

EUR ‘000

Fund

%


Lloyds Bank Plc

500,000 4.625% due 02/02/17 ...... 519 0.18


Bank of America Corp

400,000 7.000% due 15/06/16 ...... 406 0.14

JPMorgan Chase & Co

400,000 3.750% due 15/06/16 ...... 403 0.14

809 0.28

Total Short Term

Investments ........................ 8,848 3.03

Total Transferable

Securities ........................... 273,626 93.58

Certificates of Deposit (0.34%) (2015: 0.00%)

Japan (0.17%)

Sumitomo Mitsui Banking

500,000

Zero Coupon due

21/04/16 .......................... 500 0.17



500,000

Zero Coupon due

30/06/16 .......................... 500 0.17

Total Certificates of

Deposit ............................... 1,000 0.34

Commercial Paper (0.51%) (2015: 0.00%)

Netherlands (0.34%)

BMW Finance NV

500,000

Zero Coupon due

17/06/16 .......................... 500 0.17

Unilever NV

500,000

Zero Coupon due

11/04/16 .......................... 500 0.17

1,000 0.34


Procter & Gamble Co

500,000

Zero Coupon due

21/04/16 .......................... 500 0.17

Total Commercial Paper .. 1,500 0.51

Number

of Shares


Ireland (3.74%)

92

Russell Investment

Company III Plc - The


Class R Roll-Up Shares ... 117 0.04

252

Russell Investment

Company III Plc - The US

Dollar Cash Fund II -

Class R Roll-Up Shares ... 222 0.08




31 March 2016



Number

of Shares

Fair Value

EUR ‘000

Fund

%

8,460

Russell Investment

Company Plc - The Euro

Liquidity Fund - Class R

Roll-Up Shares ................ 8,438 2.88

2,082

Russell Investment

Company Plc Russell

Global Credit Fund - Class

EH-C Shares .................... 2,164 0.74

10,941 3.74

Number

of Shares

Fair Value

EUR ‘000

Fund

%

Luxembourg (0.96%)

2,241

Pioneer Institutional Funds -

Currency High Alpha ...... 2,805 0.96


Total Investments

excluding Financial


Financial Derivative Instruments ((0.46)%) (2015: 0.00%)

Open Futures Contracts ((0.03)%)

Notional

Amount

EUR ‘000

Average

Cost Price

EUR

Unrealised

Gain (Loss)

EUR ‘000

Fund

%

(2,478)

(1.18)

21 of 10 Year Mini JGB Futures


Expiring June 2016 ...........................................................................................................

(5) 0.00

3,261

112.43

29 of 2 Year Euro Swapnote Futures


Expiring June 2016 ...........................................................................................................

(3) 0.00

(1,946)

(129.74)

15 of 5 Year Euro Swapnote Futures


Expiring June 2016 ...........................................................................................................

0 0.00

328

65.51

5 of 10 Year Australian Treasury Bond Futures


Expiring June 2016 ...........................................................................................................

2 0.00

(819)

(163.88)

5 of 30 Year Euro BUXL Bond Futures


Expiring June 2016 ...........................................................................................................

(23) (0.01)

917

131.05

7 of Euro Bobl Futures


Expiring June 2016 ...........................................................................................................

0 0.00

(4,524)

(156.00)

29 of Euro OAT Futures


Expiring June 2016 ...........................................................................................................

(65) (0.02)

1,117

111.73

10 of Euro Schatz Futures


Expiring June 2016 ...........................................................................................................

1 0.00

(912)

(151.97)

6 of Long Gilt Bond Futures


Expiring June 2016 ...........................................................................................................

(6) 0.00

906

113.30



Expiring June 2016 ...........................................................................................................

9 0.00

(211)

(105.55)



Expiring June 2016 ...........................................................................................................

(2) 0.00

(1,162)

(145.23)

8 of Long U.S. Long Treasury Bond Futures


Expiring June 2016 ...........................................................................................................

7 0.00

1,687

153.40

11 of U.S. Ultra Bond Futures


Expiring June 2016 ...........................................................................................................

(22) (0.01)




31 March 2016



Notional

Amount

EUR ‘000

Average

Cost Price

EUR

Unrealised

Gain (Loss)

EUR ‘000

Fund

%

(5,386)

(131.37)



Expiring June 2016 ...........................................................................................................

11 0.01

(1,627)

(162.74)

10 of Euro Bund Futures


Expiring June 2016 ...........................................................................................................

(6) 0.00

(1,686)

(153.25)



Expiring June 2016 ...........................................................................................................

4 0.00

(2,519)

(114.49)



Expiring June 2016 ...........................................................................................................

2 0.00

427

142.33

3 of U.S. Long Bond Futures


Expiring June 2016 ...........................................................................................................

6 0.00

(455)

(151.80)



Expiring June 2016 ...........................................................................................................

1 0.00

(1,833)

(130.95)



Expiring June 2016 ...........................................................................................................

(2) 0.00

(1,988)

(152.94)



Expiring June 2016 ...........................................................................................................

1 0.00

(4,876)

(121.90)

40 of 10 Year U.S. Ultra Bond Futures


Expiring June 2016 ...........................................................................................................

(64) (0.02)

1,440

130.89



Expiring June 2016 ...........................................................................................................

2 0.00

447

111.78



Expiring June 2016 ...........................................................................................................

0 0.00

2,758

131.34



Expiring June 2016 ...........................................................................................................

(5) 0.00

3,725

137.97

27 of Euro BTP Futures


Expiring June 2016 ...........................................................................................................

71 0.02

2,687

111.97



Expiring June 2016 ...........................................................................................................

(4) 0.00

(3,562)

(161.79)



Expiring June 2016 ...........................................................................................................

(31) (0.02)

7,640

162.48



Expiring June 2016 ...........................................................................................................

36 0.02



Net unrealised gain (loss) on open futures contracts .................................................... (85) (0.03)




31 March 2016



Open Forward Foreign Currency Exchange Contracts ((0.52)%)

Settlement

Date

Amount

Bought ‘000

Amount

Sold ‘000

Unrealised

Gain (Loss)

EUR ‘000

Fund

%

07/04/2016 AUD 1,497 EUR 984 26 0.01

11/04/2016 BRL 994 USD 246 30 0.01

08/06/2016 BRL 225 USD 59 3 0.00

07/04/2016 CAD 3,663 EUR 2,505 (20) (0.01)

14/04/2016 CAD 550 USD 396 26 0.01

14/04/2016 CAD 388 USD 268 28 0.01

07/04/2016 EUR 3,959 NOK 37,352 (4) 0.00

07/04/2016 EUR 3,430 SEK 32,102 (45) (0.02)

13/05/2016 EUR 2,812 PLN 12,561 (145) (0.05)

13/05/2016 EUR 1,167 SEK 11,066 (31) (0.01)

07/04/2016 EUR 3,448 CHF 3,731 29 0.01

13/05/2016 EUR 2,774 USD 3,131 30 0.01

07/04/2016 EUR 3,385 GBP 2,642 53 0.02

07/04/2016 EUR 1,503 CAD 2,198 12 0.00

18/05/2016 EUR 2,390 GBP 1,858 49 0.02

14/04/2016 EUR 905 NZD 1,546 (37) (0.01)

14/04/2016 EUR 905 NZD 1,542 (34) (0.01)

14/04/2016 EUR 1,186 USD 1,305 41 0.01

07/04/2016 EUR 1,487 GBP 1,159 25 0.01

18/05/2016 EUR 1,027 USD 1,146 23 0.01

13/05/2016 EUR 1,413 GBP 1,106 19 0.01

14/04/2016 EUR 593 USD 657 17 0.01

18/05/2016 EUR 488 USD 552 4 0.00

14/04/2016 EUR 342 USD 370 17 0.01

14/04/2016 EUR 214 NZD 356 (3) 0.00

07/04/2016 GBP 28,312 EUR 35,958 (251) (0.09)

07/04/2016 GBP 28,317 EUR 35,958 (245) (0.09)

07/04/2016 GBP 28,312 EUR 35,958 (251) (0.09)

07/04/2016 GBP 28,299 EUR 35,958 (266) (0.09)

10/05/2016 GBP 28,028 EUR 35,432 (115) (0.04)

10/05/2016 GBP 28,050 EUR 35,432 (86) (0.03)

07/04/2016 GBP 1,000 EUR 1,283 (22) (0.01)

13/04/2016 INR 12,953 USD 188 6 0.00

07/04/2016 JPY 485,731 EUR 3,951 (158) (0.05)

14/04/2016 JPY 52,415 USD 451 14 0.00

14/04/2016 JPY 50,694 USD 439 11 0.00

07/04/2016 NOK 9,338 EUR 990 1 0.00

07/04/2016 NZD 1,611 EUR 976 5 0.00

14/04/2016 NZD 1,462 EUR 904 (14) 0.00

14/04/2016 NZD 777 EUR 453 20 0.01

14/04/2016 NZD 352 EUR 214 - 0.00

14/04/2016 NZD 346 EUR 214 (3) 0.00

14/04/2016 NZD 346 EUR 214 (3) 0.00

14/04/2016 NZD 42 EUR 25 1 0.00

13/05/2016 PLN 12,561 EUR 2,824 134 0.04

07/04/2016 SEK 13,758 EUR 1,470 19 0.01




31 March 2016



Settlement

Date

Amount

Bought ‘000

Amount

Sold ‘000

Unrealised

Gain (Loss)

EUR ‘000

Fund

%

14/04/2016 USD 451 JPY 53,517 (22) (0.01)

14/04/2016 USD 222 JPY 25,090 (1) 0.00

13/04/2016 USD 247 INR 16,885 (7) 0.00

12/09/2016 USD 980 CNY 6,504 (18) (0.01)

07/04/2016 USD 488 BRL 2,022 (72) (0.02)

07/04/2016 USD 1,616 EUR 1,487 (69) (0.02)

18/05/2016 USD 1,523 EUR 1,383 (48) (0.02)

14/04/2016 USD 1,283 EUR 1,182 (56) (0.02)

11/04/2016 USD 246 BRL 1,018 (36) (0.01)

13/05/2016 USD 1,060 EUR 959 (30) (0.01)

14/04/2016 USD 535 CAD 743 (34) (0.01)

14/04/2016 USD 405 EUR 370 (15) (0.01)

13/05/2016 USD 329 EUR 299 (11) 0.00

14/04/2016 USD 309 EUR 280 (9) 0.00

14/04/2016 USD 41 EUR 37 (1) 0.00



Net unrealised gain (loss) on open forward foreign currency exchange contracts ....... (1,519) (0.52)

Currency Options Purchase (0.02%)

Notional

Amount

EUR ‘000

Fair Value

EUR ‘000

Fund

%

1,900

Call at 6.4 USD CNY

Expiring October 2016 ................................................................................................................ 56 0.02

Options purchase at fair value (Premium paid EUR 85,645) ..................................................... 56 0.02

Swaptions Purchased (0.05%)

Notional

Amount

EUR ‘000 Description

Fair Value

EUR ‘000

Fund

%

1,650

Call at 0.97 on 10 Year RTR

Expiring February 2017 .............................................................................................................. 64 0.02

1,650

Put at 0.97 on 10 Year RTP

Expiring February 2017 .............................................................................................................. 21 0.01

1,300


Expiring March 2017 .................................................................................................................. 6 0.00

14,000


Expiring July 2016 ...................................................................................................................... 15 0.01

5,200

Put at 115.00 on 5 Year CDX

Expiring April 2016 .................................................................................................................... 1 0.00

4,300

Call at 95.00 on iTraxx

Expiring April 2016 .................................................................................................................... 43 0.01

4,800

Put at 105.00 on 5 Year iTraxx

Expiring April 2016 .................................................................................................................... - 0.00

Swaptions purchased at fair value (Premium paid EUR 188,638) ............................................ 150 0.05




31 March 2016



Swaptions Written ((0.02)%)

Notional

Amount


Fair Value

EUR ‘000

Fund

%

(21,000)


Expiring July 2016 ...................................................................................................................... (5) 0.00

(5,200)

Put at 130.00 on 5 Year CDX

Expiring April 2016 .................................................................................................................... - 0.00

(8,600)

Call at 85.00 on iTraxx

Expiring April 2016 .................................................................................................................... (50) (0.02)

(4,800)


Expiring April 2016 .................................................................................................................... - 0.00

Swaptions written at fair value (Premium received EUR 46,849) ............................................. (55) (0.02)

Interest Rate Swaps (0.04%)

Ccy

Notional

Amount

‘000

Fund

Pays

Fund

Receives

Termination

Date

Fair Value

EUR ‘000

Fund

%

AUD

1,697 AUD 6 Month

BBSW 3.02% 11/12/2025 37 0.01

AUD

3,364 3.54% AUD 6 Month

BBSW 11/12/2025 (58) (0.02)

AUD

1,286 AUD 6 Month

BBSW 2.92% 13/01/2026 23 0.01

AUD

376 AUD 6 Month

BBSW 2.89% 13/01/2026 6 0.00

AUD

401 AUD 6 Month

BBSW 2.82% 25/01/2026 4 0.00

AUD

815 AUD 6 Month

BBSW 2.72% 01/02/2026 5 0.00

AUD

880 2.96% AUD 6 Month

BBSW 09/03/2026 (1) 0.00

CAD

5,951 1.16% CAD 6 Month

LIBOR 10/12/2020 (43) (0.01)

EUR

3,230 EUR 12 Month

Eonia 0.55% 25/11/2024 113 0.04

EUR

2,020 0.88% EUR 6 Month

LIBOR 12/01/2026 (73) (0.02)

EUR

770 1.52% EUR 6 Month

LIBOR 12/01/2046 (99) (0.03)

EUR

2,040 EUR 12 Month

Eonia 1.28% 12/01/2036 185 0.06

EUR

2,070 EUR 12 Month

Eonia 1.26% 21/01/2036 177 0.06

EUR

3,530 EUR 6 Month

LIBOR 1.30% 16/02/2055 92 0.03

EUR

4,190 1.05% EUR 6 Month

LIBOR 16/02/2065 (132) (0.05)

GBP

2,900 0.93% GBP 6 Month

LIBOR 02/03/2020 9 0.00

NZD

3,550 NZD 3 Month

NZDBB 4.22% 14/12/2025 58 0.02

NZD

980 NZD 3 Month

NZDBB 3.57% 10/03/2026 - 0.00

SEK

43,870 SEK 3 Month

STIBOR 0.59% 18/12/2020 98 0.03




31 March 2016



Ccy

Notional

Amount

‘000

Fund

Pays

Fund

Receives

Termination

Date

Fair Value

EUR ‘000

Fund

%

SEK

5,825 1.37% SEK 3 Month

STIBOR 15/03/2026 (5) 0.00

SEK

5,775 1.41% SEK 3 Month

STIBOR 15/03/2026 (6) 0.00

USD

1,216 2.14% USD 3 Month

LIBOR 14/12/2025 (50) (0.02)

USD

9,400 USD 3 Month

LIBOR 1.58% 23/01/2019 83 0.03

USD

9,100 2.35% USD 3 Month

LIBOR 23/01/2023 (174) (0.06)

USD

5,284 1.65% USD 3 Month

LIBOR 18/12/2020 (86) (0.03)

USD

836 2.01% USD 3 Month

LIBOR 14/01/2026 (25) (0.01)

USD

296 1.98% USD 3 Month

LIBOR 14/01/2026 (8) 0.00

USD

560 1.90% USD 3 Month

LIBOR 26/01/2026 (10) 0.00

USD

238 1.79% USD 3 Month

LIBOR 02/02/2026 (3) 0.00

Interest rate swaps at positive fair value ........................................................................................ 890 0.29

Interest rate swaps at negative fair value ....................................................................................... (773) (0.25)

Interest rate swaps at fair value ................................................................................................. 117 0.04

Credit Default Swaps (0.00%)

Ccy

Notional

Amount

EUR ‘000

Security

Name

Fund

Pays

Fund

Receives

Termination

Date

Fair Value

EUR ‘000

Fund

%

EUR

30 Aktiebolaget

Volvo # 1.00% 20/12/2020 - 0.00

EUR

60 Hammerson Plc 1.00% # 20/12/2020 - 0.00

EUR

3,800 iTraxx Europe

S24 1.00% # 20/12/2020 (49) (0.02)

EUR

100 Next Plc 1.00% # 20/06/2021 - 0.00

EUR

100 Marks &

Spencer Plc 1.00% # 20/06/2021 2 0.00

EUR

4,300 iTraxx Europe

S24 # 1.00% 20/12/2020 56 0.02

EUR

2,100 iTraxx Europe

S24 1.00% # 20/12/2020 (28) (0.01)

EUR

8,000 iTraxx Europe

S24 # 1.00% 20/12/2020 104 0.04

EUR

2,100 iTraxx Europe

S24 1.00% # 20/12/2020 (28) (0.01)

EUR

3,870 iTraxx Europe

S25 1.00% # 20/06/2021 (55) (0.02)

Credit Default Swaps at positive fair value .................................................................................................. 162 0.06

Credit Default Swaps at negative fair value ................................................................................................. (160) (0.06)

Credit default swaps at fair value ............................................................................................................. 2 0.00 # In the event of bankruptcy or modified restructuring, the Fund will pay/receive the notional amount to/from the counterparty.




31 March 2016



Currency Swap (0.00%)

Notional

Amount

EUR ‘000

Fund

Pays

Fund

Receives

Termination

Date

Fair Value

EUR ‘000

Fund

%

12,524 CHF 0.00% SEK 2.16% 16/01/2024 (12) 0.00

Currency swap at fair value ...................................................................................................................... (12) 0.00

Total Financial Derivative Instruments .................................................................................................... (1,346) (0.46)

Fair Value

EUR ‘000

Fund

%


(99.82%) .................................................................................................................................................... 291,926 99.82


Loss ((1.15)%) .......................................................................................................................................... (3,400) (1.15)


(98.67%) .................................................................................................................................................... 288,526 98.67

Other Net Assets (1.33%) ........................................................................................................................ 3,896 1.33

Net Assets .................................................................................................................................................. 292,422 100.00

* Perpetual bond.


% of

gross assets

Transferable securities admitted to official stock exchange listing ............................................................................ 61.29

Transferable securities dealt in on another regulated market ...................................................................................... 28.88

Certificate of deposits ................................................................................................................................................. 0.33

Commercial papers ..................................................................................................................................................... 0.49

Investment funds (UCITS) .......................................................................................................................................... 4.53

Exchange traded financial derivative instruments ...................................................................................................... 0.05

Over the counter financial derivative instruments ...................................................................................................... 0.62

Other assets ................................................................................................................................................................. 3.81

100.00

The brokers for the open futures contracts are:

Goldman Sachs

Merrill Lynch

UBS AG


Bank of America

Barclays Bank

BNP Paribas

Citibank


Commonwealth Bank of Australia

Deutsche Bank AG

Goldman Sachs

HSBC Bank

JP Morgan Chase Bank

Merrill Lynch

Morgan Stanley

Royal Bank of Canada

Société Generale

Standard Chartered Bank

State Street Bank & Trust Company

UBS AG

UBS Limited

The counterparties for the currency options purchased is Bank of America




31 March 2016



The counterparties for the swaptions purchased and the swaptions written are:


Goldman Sachs

JPMorgan

UBS AG


Barclays Capital

Citigroup

Danske Bank

Goldman Sachs


UBS AG

The counterparties for the credit default swaps are:

Bank of America

Barclays Capital

Citigroup

Goldman Sachs

JPMorgan

Merrill Lynch

The counterparty for the currency swap is Deutsche Bank


The following tables analyse within the fair value hierarchy theFund’s financial assets and liabilities (by investment type)


As at 31 March 2016

Level 1

EUR ‘000

Level 2

EUR ‘000

Level 3

EUR ‘000

Total

EUR ‘000

Assets



Transferable securities ............................................................... - 273,626 - 273,626

Certificate of deposits ................................................................ - 1,000 - 1,000

Commercial papers .................................................................... - 1,500 - 1,500

Investment funds ......................................................................... - 13,746 - 13,746



contracts .................................................................................... - 643 - 643

Currency options purchased at fair value .................................. - 56 - 56

Swaptions purchased at value .................................................... - 150 - 150

Interest rate swaps at fair value ................................................. - 890 - 890

Credit default swaps at fair value .............................................. - 162 - 162

Total assets ...................................................................................... 153 291,773 - 291,926

Liabilities


Unrealised loss on open futures contracts ................................. (238) - - (238)


contracts .................................................................................... - (2,162) - (2,162)

Swaptions written at value ........................................................ - (55) - (55)

Interest rate swaps at fair value ................................................. - (773) - (773)

Credit default swaps at fair value .............................................. - (160) - (160)

Currency swap at fair value ....................................................... - (12) - (12)





31 March 2016



As at 31 March 2015

Level 1

EUR ‘000

Level 2

EUR ‘000

Level 3

EUR ‘000

Total

EUR ‘000

Assets



Transferable securities ............................................................... - 224,498 - 224,498




contracts .................................................................................... - 1,020 - 1,020

Total assets ...................................................................................... 139 240,849 - 240,988

Liabilities




contracts .................................................................................... - (766) - (766)

Credit default swaps at fair value .............................................. - (89) - (89)

Total liabilities ................................................................................ (286) (855) - (1,141)




Listed below are 20 largest cumulative investment purchases and cumulative investment sales in excess of 1% of total investment

sales respectively during the year ended 31 March 2016.





Acquisition Cost

EUR ‘000 Portfolio Securities

Disposal Proceeds

EUR ‘000

Russell Investment Company plc Russell Investment Company plc

Russell Euro Liquidity Fund Russell Euro Liquidity Fund


Bundesobligation Bundesobligation

Zero Coupon due 17/04/20 33,490 Zero Coupon due 17/04/20 (30,730)

Bundesrepublik Deutschland Bundesrepublik Deutschland

0.500% due 15/02/25 24,920 0.500% due 15/02/25 (27,831)

Italy Buoni Poliennali Del Tesoro 1.000% due 15/08/24 (17,445)

4.500% due 01/03/24 20,942 Bundesobligation

Bundesrepublik Deutschland 0.250% due 16/10/20 (12,192)

1.000% due 15/08/24 15,479 Bundesschatzanweisungen

Bundesobligation Zero Coupon due 11/12/15 (11,383)

0.250% due 16/10/20 12,213 France Government Bond OAT

France Government Bond OAT 0.250% due 25/07/18 (9,422)

1.000% due 25/11/25 11,934 Bundesobligation

Bundesschatzanweisungen 0.250% due 13/04/18 (8,965)

Zero Coupon due 11/12/15 11,384 France Government Bond OAT


2.500% due 25/10/20 10,072 Bundesrepublik Deutschland

Bundesobligation 2.500% due 15/08/46 (8,041)



1.750% due 25/05/23 7,923 1.000% due 25/11/25 (7,799)

Bundesrepublik Deutschland Bundesrepublik Deutschland

3.250% due 04/07/42 7,296 3.250% due 04/07/42 (7,456)



3.250% due 25/05/45 6,138 Italy Buoni Poliennali Del Tesoro

1.750% due 25/11/24 6,101 4.500% due 01/03/24 (5,505)

Bundesrepublik Deutschland 1.050% due 01/12/19 (5,337)

3.750% due 04/01/17 5,313 Bundesrepublik Deutschland

2.250% due 04/09/20 4,685 3.750% due 04/01/17 (5,305)

5.500% due 04/01/31 4,666 Spain Government Bond

Spain Government Bond 1.400% due 31/01/20 (5,197)

5.150% due 31/10/44 4,335 5.150% due 31/10/44 (5,187)

Bundesrepublik Deutschland Netherlands Government Bond

0.500% due 15/02/26 4,042 3.250% due 15/07/21 (5,089)

Bundesrepublik Deutschland

2.250% due 04/09/20 (4,531)

Italy Buoni Poliennali Del Tesoro

3.500% due 01/06/18 (3,941)



Manager’s Report

Russell Global Bond (Euro Hedged) Fund 73

Money Managers as at 31 March 2016 BlueBay Asset Management Limited

Brookfield Investment Management Inc.

Colchester Global Investors Limited

Insight Asset Management

Loomis, Sayles & Company, L.P.

Pacific Investment Management Company (PIMCO)


Investment Objective The investment objective of Russell Global Bond (Euro Hedged) Fund (the “Fund”) is to provide income and capital growth by

investing primarily in transferable debt instruments denominated in a variety of currencies, which include but are not limited to,

municipal and government bonds, agency debt (being that issued by local authorities or public international bodies of which one

or more States is a member), mortgage related debt and corporate debt that are listed, traded or dealt in on a regulated market in

the Organisation for Economic Co-operation and Development (“OECD”) and which may have fixed or floating interest rates.

Fund Performance

During the year ended 31 March 2016, Russell Global Bond (Euro Hedged) Fund (Class B) returned 0.8 per cent on a gross of fee

basis (-0.2 per cent on a net of fee basis), while the benchmark* returned 1.8 per cent.

Market Comment

The benchmark fell by 2.3 per cent over the second quarter of 2015. This notable negative return, reflected in both safe haven as

well as riskier debt, was largely driven by the sharp selloff in German bunds, as overbought positions reverted from historically

low levels on positive Eurozone economic data. Investors also shunned riskier spread sectors due to the resurgent Greek debt

crisis and the large correction in the Chinese equity market. Government bond yields were broadly higher over the quarter, as the

continued impasse between Greece and its creditors weighed heavy on the markets. In the U.S., thinner market liquidity as well as

rising expectations of an interest rate hike later this year on the back of improving economic data over the quarter, impacted

demand for 10 year Treasuries which rose to 2.35 per cent from 1.92 per cent. In Europe, a similar trend of rising yields was

underway, as the support provided to valuations by the European Central Bank’s (ECB) asset-purchase programme began to wane

and with Mario Draghi commenting that bond investors should “get used to” volatility as a by-product of a long period of low

yields.

The benchmark rose 1.2 per cent during the third quarter of 2015. Market gyrations and volatility characterised much of the

period, tilting investor demand towards safe haven assets. Three central stories unfolded over the summer. First, China’s

devaluation of its currency (amid slowing growth) took centre stage in igniting a broad based sell-off in global markets. Secondly,

oil resumed its slide, falling over 30 per cent intra-period, re-igniting fears of dis-inflation. These events, in addition to the lack of

meaningful U.S. wage growth, served as determining factors in the U.S. Federal Reserve’s (the “Fed”) decision to not raise rates

at its September meeting. This perpetuated uncertainty regarding when the Fed will hike and increased speculation that the Fed

may stay on hold well into 2016. This calls into question the ability of the U.S. to de-couple from the rest of the world and

maintain a reasonable level of growth amid a slowing global backdrop. U.K.’s 10 year gilt yield declined 26 basis points (bps) to

1.76 per cent, as second-quarter GDP growth stood at 0.7 per cent. Whilst the unemployment rate fixed down to 5.5 per cent,

flatter retail and inflation figures convinced the Bank of England (BoE) to hold the interest rate firmly at 0.5 per cent. Eurozone

country yields were more stable after a new bailout deal was agreed with Greece and with the re-election of Alexis Tsipras as

Greece’s Prime Minister.

The benchmark declined 0.1 per cent in the last quarter of 2015. In some regards the period was a repeat of the third quarter, as

anxiety from slowing growth and policy execution in China combined with an ongoing commodities rout (especially in oil) drove

market volatility. However, before the curtains closed for the year, the Fed finally raised its benchmark interest rate, an event

which had been largely priced in by the markets. This crystallised a diverging Central Bank policy environment between the more

hawkish U.S. and (to a lesser extent) U.K. versus loose monetary policies in Europe (where the ECB eased further) and Japan. In

the U.S., the benchmark 10 year treasury increased 23 bps to 2.27 per cent. Driven by overall positive economic growth, strong

employment and housing data, The Fed’s Open Market Committee (FOMC) unanimously decided to lift the interest rate by 25

bps to 0.5 per cent. The Fed’s accompanying statement revealed that its policy would “remain accommodative” and that “the

actual path of increases in the federal funds rate will depend on the economic outlook as informed by incoming data”. In stark

contrast, a more dovish environment remained in Europe. The ECB lowered its deposit rate to -0.3 per cent from

-0.2 per cent, thereby charging banks more for depositing their spare cash. However, the ECB also fell short of market

expectations by holding quantitative easing steady, rather than increasing the amount.

The benchmark rose 3.0 per cent in the first quarter of 2016. The period was characterised by two halves. In the first half, slowing

growth in China coupled with an ongoing commodities rout (especially in oil), engendered significant market volatility and a

considerable risk-off sentiment. This firmly tilted demand towards safe haven assets such as sovereign bonds as well as gold.




74 Russell Global Bond (Euro Hedged) Fund

However in the latter part of the quarter, more accommodative central bank policies alongside oil price stabilisation thawed

sentiment for risk assets to some degree. In the U.S., the benchmark 10 year Treasury rallied with its yield decreasing 50 bps to

1.77 per cent, even though GDP growth during the fourth quarter of 2015 was revised further upwards to 1.4 per cent quarter-on-

quarter. At the FOMC meeting, Fed Chair Yellen explained that whilst economic “forecasts have not changed much since

December”, this was being overshadowed by “global economic and financial developments”, posing a risk to growth. As a result,

FOMC “dots” reduced to two possible interest rate hikes this year, as opposed to four. A similar dovish tone was echoed by BoE

Governor Mark Carney, who even exclaimed that policymakers had “considerable room” to ease policy if global jitters started to

hit U.K. households and businesses. Over the period, the benchmark 10 year gilt declined 55 bps to 1.42 per cent. In Europe, the

ECB President Draghi delivered on his promise to do “whatever it takes” by introducing raft of new accommodative stimulus

measures in an effort to boost Eurozone inflation and encourage new credit provision. The Central Bank reduced its main

refinancing rate to 0.0 per cent, whilst quantitative easing was increased to EUR80 billion a month. In addition, the ECB initiated

another targeted longer-term refinancing operation (TLTRO II). General Comment on Money Managers/Performance

The Fund continued its positive performance through the second quarter of 2015, finishing ahead of the benchmark. Currency

positioning contributed notably Colchester’s underweights in the New Zealand Dollar and Chilean Peso and overweight in the

Brazilian Real. At the sector level, overweights to non-agency mortgages (Brookfield, PIMCO), high yield (PIMCO, Loomis) and

Emerging Market Debt (EMD) (Colchester) contributed, whilst an underweight to agency mortgages held back gains slightly.

Rates largely detracted, driven by overweight to Germany and underweight Japan. The Fund finished behind the benchmark during a difficult third quarter (2015). Country positioning held back performance

through an overweight position in Brazil (Colchester). Underweight Italy, France and U.K. were also negative. This however, was

mitigated slightly from overweights to Australia, Germany and Ireland (PIMCO, Loomis, BlueBay, Insight). Sector level

positioning was a key detractor. Overweights to EMD and corporate high yield, as well as an underweight to governments

detracted from performance. Further losses however, were contained through underweight to government-related, investment-

grade utilities and overweight commercial mortgage-backed securities (Brookfield, Loomis). The Fund underperformed the benchmark in the final quarter of 2015. Within rates, overweights to Australia, New Zealand and

Brazil and an underweight to Canada detracted, though this was offset to a degree by positives from overweights to Ireland, Italy,

Iceland and emerging Europe (Romania, Bulgaria, and Slovenia). Within currencies, underweights to AUD and NZD and

overweights to ZAR, NOK and CAD detracted, while overweights to BRL and MYR and an underweight to GBP served to hedge

losses. Sector positioning detracted slightly, as the positives from underweights to government-related debt and agency MBS

were not enough to offset exposure to high yield (which remained under pressure due to ongoing declines in the price of oil).

Positioning in investment grade credit was neutral versus benchmark, and exposure to non-agency mortgage credit had minimal

impact on performance. The Fund was flat against the benchmark in the first quarter of 2016. In rates, underweight France, U.S. and the U.K., offset gains

generated through overweight Brazil, New Zealand and Australia. In sector positioning, securitised assets such as overweight

non-agency RMBS and ABS, failed to find meaningful traction in the prevailing market environment. However, underweight

agency RMBS and overweight EMD, were positive. Active currency positioning drove performance, notably through overweight

Japanese Yen, Malaysian Ringgit and the Brazilian Real. Underweight Swiss Franc and Australian Dollar dragged slightly. Outlook













U.S. economy that could trigger recession. Past performance is no indication of current or future performance.

* Benchmark Source: Barclays Global Aggregate EH Index Russell Investments Ireland Limited

May 2016



Balance Sheet

As at 31 March 2016



31 March 2016

EUR ‘000 31 March 2015

EUR ‘000

Assets

Financial assets at fair value through profit or loss (Note 2) ..................................................... 434,680 567,325

Cash at bank (Note 3) ................................................................................................................ 8,289 31,385


(Note 3) ................................................................................................................................... 5,324 7,557

Debtors:

Receivable for investments sold ............................................................................................. 28,972 20,965

Receivable on fund shares issued ........................................................................................... - 2,325

Interest receivable .................................................................................................................. 2,545 3,743

Prepayments and other debtors ............................................................................................... - 146

479,810 633,446

Liabilities

Financial liabilities at fair value through profit or loss (Note 2) ................................................ (12,739) (20,248)


Cash due to brokers and counterparties for open financial derivative instruments

(Note 3) .................................................................................................................................. (1,609) (1,027)

Payable for investments purchased ........................................................................................ (54,335) (45,462)

Payable on fund shares redeemed .......................................................................................... (6) (200)

Distributions payable on income share classes ....................................................................... (515) (585)

Management fees payable ...................................................................................................... (291) (404)

Custodian and Trustee fees payable ....................................................................................... (6) (8)

Sub-custodian fees payable .................................................................................................... (63) (28)

Administration fees payable ................................................................................................... (17) (23)

Audit fees payable .................................................................................................................. (27) (28)

Other fees payable .................................................................................................................. (3) (24)

(69,611) (68,037)

Net assets attributable to redeemable participating shareholders ...................................... 410,199 565,409







2016

EUR ‘000

2015

EUR ‘000

Income

Dividends ..................................................................................................................... 103 22

Interest income ............................................................................................................. 12,526 11,997

12,629 12,019



Expenses





Audit fees (Note 6) ....................................................................................................... (27) (28)


Other fees ..................................................................................................................... (19) (31)

Total operating expenses ............................................................................................... (5,049) (4,118)


Finance costs


Profit (loss) for the financial year before taxation ....................................................... (24,371) 48,772

Taxation

Withholding tax (Note 9) ............................................................................................. (25) (9)




Account.







2016

EUR ‘000

2015

EUR ‘000



Share transactions



transactions (Note 10) .................................................................................................. (137,607) 94,888


participating shareholders ............................................................................................ (155,210) 151,317



End of year ................................................................................................................... 410,199 565,409




31 March 2016



Principal

Amount

Fair Value

EUR ‘000

Fund

%



82.68%)

Argentina (0.02%)

YPF SA

USD 75,000 8.500% due 23/03/21 ....... 66 0.02

Australia (2.39%)

Asciano Finance Ltd

150,000 5.000% due 07/04/18 ....... 134 0.03

Australia Government Bond

AUD 4,448,000 5.250% due 15/03/19 ....... 3,289 0.80

1,820,000 4.750% due 21/04/27 ....... 1,488 0.36

101,000 3.750% due 21/04/37 ....... 75 0.02

Commonwealth Bank of

Australia

USD 1,351,000 2.000% due 18/06/19 ....... 1,193 0.29

GBP 160,000 3.000% due 04/09/26 ....... 214 0.05

National Australia Bank Ltd

AUD 250,000 5.000% due 11/03/24 ....... 188 0.05

New South Wales Treasury

Corp

1,395,000 6.000% due 01/02/18 ....... 1,009 0.25

690,000 6.000% due 01/03/22 ....... 560 0.14

300,000 2.750% due 20/11/25 ....... 299 0.07

Queensland Treasury Corp

NZD 940,000 7.125% due 18/09/17 ....... 610 0.15

Telstra Corp Ltd

AUD 80,000 4.000% due 15/11/17 ....... 55 0.01

240,000 4.500% due 13/11/18 ....... 168 0.04

Westpac Banking Corp

USD 600,000 2.100% due 25/02/21 ....... 529 0.13

9,811 2.39

Austria (0.16%)

Austria Government Bond

EUR 140,000 3.900% due 15/07/20 ....... 165 0.04

100,000 1.750% due 20/10/23 ....... 113 0.03

32,000 3.150% due 20/06/44 ....... 47 0.01

Erste Group Bank AG

USD 400,000 5.500% due 26/05/25 ....... 345 0.08

670 0.16

Belgium (0.55%)


SA/NV

EUR 250,000 0.625% due 17/03/20 ....... 252 0.06

300,000 0.875% due 17/03/22 ....... 303 0.07

409,000 1.500% due 17/03/25 ....... 420 0.10

109,000 2.000% due 17/03/28 ....... 114 0.03

116,000 2.750% due 17/03/36 ....... 124 0.03

Belgium Government Bond

182,848 4.000% due 28/03/19 ....... 207 0.05

200,508 4.250% due 28/09/21 ....... 250 0.06

Principal

Amount

Fair Value

EUR ‘000

Fund

%

100,782 2.600% due 22/06/24 ...... 120 0.03

89,234 5.000% due 28/03/35 ...... 150 0.04

205,000 3.750% due 22/06/45 ...... 321 0.08

2,261 0.55

Bermuda (0.10%)

Cronos Containers Program I

Ltd

USD 212,963 3.270% due 18/11/29 ...... 179 0.04

Global Container Assets Ltd

280,000 3.300% due 05/11/28 ...... 245 0.06

424 0.10

Brazil (1.37%)

Banco do Brasil SA

EUR 200,000 3.750% due 25/07/18 ...... 197 0.05


Nacional Serie B

BRL 2,390,000 6.000% due 15/05/45 ...... 1,625 0.39

1,782,000 6.000% due 15/08/50 ...... 1,196 0.29


Nacional Serie F

2,880,000 10.000% due 01/01/21 .... 643 0.16

2,130,000 10.000% due 01/01/23 .... 461 0.11

6,290,000 10.000% due 01/01/25 .... 1,301 0.32

Brazilian Government

International Bond

EUR 115,000 2.875% due 01/04/21 ...... 110 0.03

BRL 350,000 8.500% due 05/01/24 ...... 67 0.02

5,600 1.37

Bulgaria (0.15%)

Bulgaria Government

International Bond

EUR 680,000 3.125% due 26/03/35 ...... 631 0.15

Canada (2.06%)

Alimentation Couche-Tard

Inc

CAD 160,000 3.319% due 01/11/19 ...... 112 0.03

Bell Canada

405,000 6.170% due 26/02/37 ...... 336 0.08

Canadian Government

Bond

313,000 4.000% due 01/06/17 ...... 221 0.05

590,000 1.750% due 01/09/19 ...... 416 0.10

450,000 3.500% due 01/06/20 ...... 341 0.08

1,790,000 2.500% due 01/06/24 ...... 1,344 0.33

310,000 4.000% due 01/06/41 ...... 292 0.07

381,000 3.500% due 01/12/45 ...... 345 0.08

Cenovus Energy Inc

USD 5,000 3.000% due 15/08/22 ...... 4 0.00

20,000 3.800% due 15/09/23 ...... 16 0.00

Ford Auto Securitization

Trust

CAD 31,280 1.824% due 15/07/17 ...... 21 0.01




31 March 2016



Principal

Amount

Fair Value

EUR ‘000

Fund

%

Magna International Inc

EUR 115,000 1.900% due 24/11/23 ....... 120 0.03

Province of British

Columbia

CAD 100,000 2.700% due 18/12/22 ....... 72 0.02

EUR 275,000 0.875% due 08/10/25 ....... 282 0.07

Province of Manitoba

Canada

CAD 300,000 4.400% due 05/09/25 ....... 238 0.06

Province of Ontario Canada

USD 575,000 3.000% due 16/07/18 ....... 524 0.13

CAD 500,000 3.150% due 02/06/22 ....... 369 0.09

450,000 1.950% due 27/01/23 ....... 309 0.08

400,000 3.500% due 02/06/24 ....... 301 0.07

125,000 4.650% due 02/06/41 ....... 107 0.03

CAD 300,000 3.450% due 02/06/45 ....... 217 0.05

Province of Quebec Canada

USD 160,000 0.865% due 04/09/18 ....... 140 0.03

200,000 2.750% due 25/08/21 ....... 184 0.05

CAD 400,000 4.250% due 01/12/21 ....... 311 0.08

400,000 3.500% due 01/12/22 ....... 302 0.07

400,000 3.000% due 01/09/23 ....... 292 0.07

200,000 5.000% due 01/12/38 ....... 176 0.04

100,000 5.000% due 01/12/41 ....... 90 0.02


USD 230,000 2.100% due 14/10/20 ....... 203 0.05

400,000 2.300% due 22/03/21 ....... 354 0.09

SCG Hotel Issuer Inc

CAD 153,858 3.442% due 12/10/18 ....... 107 0.03

Toronto-Dominion

Bank

USD 350,000 1.475% due 22/01/19 ....... 307 0.07

8,453 2.06


BlueMountain CLO Ltd

520,000 2.140% due 13/04/27 ....... 456 0.11

Cent CLO 22 Ltd

500,000 2.100% due 07/11/26 ....... 433 0.10

NewMark Capital Funding

CLO Ltd

557,000 1.753% due 02/06/25 ....... 477 0.12

Seagate HDD Cayman

137,000 5.750% due 01/12/34 ....... 86 0.02

Voya CLO Ltd

857,000 1.768% due 15/04/24 ....... 736 0.18

2,188 0.53

Chile (0.23%)

Banco Santander

Chile

200,000 1.529% due 11/04/17 ....... 174 0.04

Corp Nacional del Cobre de

Chile

320,000 4.500% due 16/09/25 ....... 287 0.07

Principal

Amount

Fair Value

EUR ‘000

Fund

%

Itau CorpBanca

381,000 3.875% due 22/09/19 ...... 343 0.08

Latam Airlines 2015-1 Pass

Through Trust A

200,000 4.200% due 15/11/27 ...... 154 0.04

958 0.23

Colombia (0.12%)

Colombia Government

International Bond

200,000 5.000% due 15/06/45 ...... 164 0.04

Ecopetrol SA

200,000 7.625% due 23/07/19 ...... 193 0.05

170,000 4.125% due 16/01/25 ...... 128 0.03

485 0.12

Croatia (0.14%)

Croatia Government

International Bond

EUR 410,000 3.875% due 30/05/22 ...... 421 0.10

150,000 3.000% due 11/03/25 ...... 142 0.04

563 0.14

Cyprus (0.34%)

Cyprus Government

International Bond

300,000 4.625% due 03/02/20 ...... 317 0.08

400,000 3.875% due 06/05/22 ...... 409 0.10

644,000 4.250% due 04/11/25 ...... 666 0.16

1,392 0.34


Czech Republic Government

Bond

CZK 1,940,000 2.400% due 17/09/25 ...... 85 0.02

Czech Republic International

EUR 1,310,000 4.125% due 18/03/20 ...... 1,530 0.37

EP Energy AS

720,000 5.875% due 01/11/19 ...... 780 0.19

2,395 0.58

Denmark (0.43%)

Denmark Government

Bond

DKK 1,482,191 1.500% due 15/11/23 ...... 219 0.05

3,310,000 1.750% due 15/11/25 ...... 500 0.12

Realkredit Danmark A/S

7,800,000 1.000% due 01/04/17 ...... 1,058 0.26

1,777 0.43

Egypt (0.04%)

African Export-Import

Bank

USD 200,000 3.875% due 04/06/18 ...... 176 0.04

Finland (0.15%)

Finland Government Bond

EUR 146,000 2.000% due 15/04/24 ...... 167 0.04




31 March 2016



Principal

Amount

Fair Value

EUR ‘000

Fund

%

Nordic Investment

Bank

NOK 4,320,000 1.375% due 15/07/20 ....... 467 0.11

634 0.15

France (0.85%)

AXA SA

EUR 100,000 5.250% due 16/04/40 ....... 111 0.03

BNP Paribas SA

GBP 100,000 5.750% due 24/01/22 ....... 141 0.03

EUR 400,000 1.125% due 15/01/23 ....... 410 0.10

125,000 2.375% due 17/02/25 ....... 124 0.03

100,000 2.875% due 01/10/26 ....... 101 0.03

BPCE SA

USD 400,000 4.625% due 11/07/24 ....... 344 0.08

Credit Agricole SA

270,000 4.375% due 17/03/25 ....... 233 0.06


OAT

EUR 380,000 2.250% due 25/10/22 ....... 436 0.11

230,000 2.750% due 25/10/27 ....... 285 0.07

Groupama SA

100,000 6.375%* .......................... 91 0.02

La Banque Postale SA

200,000 2.750% due 19/11/27 ....... 203 0.05

mFinance France SA

300,000 2.375% due 01/04/19 ....... 302 0.07

Numericable-SFR SA

USD 300,000 4.875% due 15/05/19 ....... 263 0.06

Pernod Ricard SA

EUR 200,000 1.875% due 28/09/23 ....... 211 0.05

USD 150,000 5.500% due 15/01/42 ....... 143 0.04

Societe Generale SA

EUR 100,000 2.625% due 27/02/25 ....... 99 0.02

3,497 0.85

Germany (1.93%)

Allianz SE

100,000 2.241% due 07/07/45 ....... 95 0.02


960,000 1.500% due 15/05/24 ....... 1,084 0.26

290,000 1.000% due 15/08/25 ....... 314 0.08

111,932 4.750% due 04/07/28 ....... 172 0.04

100,412 4.750% due 04/07/34 ....... 173 0.04

595,000 4.250% due 04/07/39 ....... 1,042 0.25

222,193 2.500% due 04/07/44 ....... 317 0.08


Bundesobligation Inflation

Linked Bond

314,133 0.750% due 15/04/18 ....... 326 0.08

Commerzbank AG

USD 600,000 8.125% due 19/09/23 ....... 596 0.15

EUR 155,000 4.000% due 23/03/26 ....... 158 0.04

Principal

Amount

Fair Value

EUR ‘000

Fund

%



918,521 0.100% due 15/04/23 ...... 987 0.24

KFW

410,000 0.625% due 15/01/25 ...... 423 0.10

GBP 54,000 5.750% due 07/06/32 ...... 102 0.03

JPY 16,000,000 2.600% due 20/06/37 ...... 191 0.05

Muenchener

Rueckversicherungs-

Gesellschaft AG

EUR 100,000 6.250% due 26/05/42 ...... 123 0.03

Red & Black Auto Germany

2

71,182 0.128% due 15/09/22 ...... 71 0.02

State of Hesse

700,000 0.375% due 04/07/22 ...... 714 0.17

State of North Rhine-

Westphalia

900,000 0.625% due 17/11/23 ...... 926 0.23

Unitymedia Hessen GmbH

& Co KG

80,000 5.625% due 15/04/23 ...... 86 0.02

7,900 1.93

Greece (0.04%)

Hellenic Republic

Government International

Bond

JPY 24,000,000 3.800% due 08/08/17 ...... 171 0.04


Credit Suisse Group Funding

Guernsey Ltd

USD 250,000 3.125% due 10/12/20 ...... 218 0.05

300,000 3.800% due 15/09/22 ...... 262 0.07

480 0.12

Hong Kong (0.04%)

AIA Group Ltd

200,000 3.200% due 11/03/25 ...... 177 0.04

Hungary (0.08%)

Hungary Government

Bond

HUF 92,020,000 3.500% due 24/06/20 ...... 314 0.08

Iceland (0.44%)

Iceland Government

International Bond

USD 900,000 5.875% due 11/05/22 ...... 914 0.22

Iceland Rikisbref

ISK 20,800,000 7.250% due 26/10/22 ...... 160 0.04

47,725,321 8.000% due 12/06/25 ...... 394 0.09

46,361,905 6.500% due 24/01/31 ...... 355 0.09

1,823 0.44




31 March 2016



Principal

Amount

Fair Value

EUR ‘000

Fund

%

Indonesia (0.68%)

Indonesia Government

International Bond

EUR 500,000 2.875% due 08/07/21 ....... 516 0.13

450,000 3.375% due 30/07/25 ....... 451 0.11

IDR Indonesia Treasury Bond

13,736,000,000 7.875% due 15/04/19 ....... 919 0.23

Pertamina Persero PT

USD 200,000 4.300% due 20/05/23 ....... 172 0.04

Perusahaan Penerbit SBSN

Indonesia III

810,000 4.550% due 29/03/26 ....... 713 0.17

2,771 0.68

Ireland (1.46%)

AerCap Ireland Capital Ltd

185,000 3.750% due 15/05/19 ....... 162 0.04

150,000 4.250% due 01/07/20 ....... 133 0.03

Allied Irish Banks Plc

EUR 100,000 4.125% due 26/11/25 ....... 96 0.02

Aquarius and Investments

Plc for Zurich Insurance Co

Ltd

150,000 4.250% due 02/10/43 ....... 164 0.04

Avoca CLO XI Ltd

250,000 3.251% due 15/07/27 ....... 224 0.06

German Residential Funding

Ltd

221,573 0.949% due 27/08/24 ....... 223 0.05

Ireland Government Bond

168,035 3.900% due 20/03/23 ....... 209 0.05

2,590,000 5.400% due 13/03/25 ....... 3,654 0.89

315,000 2.000% due 18/02/45 ....... 339 0.08

Lansdowne Mortgage

Securities No 2 Plc

437,280 0.114% due 16/09/48 ....... 311 0.08

Orwell Park CLO

Designated Activity Co

300,000 3.250% due 18/07/29 ....... 275 0.07

Taurus 2016-1 DEU DAC

190,000 1.300% due 17/11/26 ....... 190 0.05

5,980 1.46

Israel (0.02%)

Israel Government Bond

ILS 301,000 3.750% due 31/03/24 ....... 82 0.02

Italy (2.95%)

2i Rete Gas SpA

EUR 300,000 1.750% due 16/07/19 ....... 314 0.08

Asti RMBS Srl

118,261 1.009% due 27/12/60 ....... 119 0.03

Autostrade per l'Italia SpA

100,000 1.125% due 04/11/21 ....... 103 0.02

100,000 1.875% due 04/11/25 ....... 107 0.03

Principal

Amount

Fair Value

EUR ‘000

Fund

%

245,000 1.750% due 26/06/26 ...... 258 0.06

Banca Carige SpA

300,000 3.875% due 24/10/18 ...... 324 0.08

Banca Monte dei Paschi di

Siena SpA

920,000 2.125% due 26/11/25 ...... 947 0.23

Berica 8 Residential MBS

Srl

52,071 0.066% due 31/03/48 ...... 51 0.01

Berica ABS 3 Srl

349,787 0.808% due 30/06/61 ...... 352 0.09

Berica ABS Srl

157,663 0.058% due 31/12/55 ...... 157 0.04

Claris ABS 2011 Srl

161,879 0.354% due 31/10/60 ...... 161 0.04

Claris RMBS 2014 Srl

116,515 0.909% due 28/12/61 ...... 117 0.03

Enel SpA

GBP 85,000 5.750% due 22/06/37 ...... 132 0.03

EUR 289,000 6.500% due 10/01/74 ...... 313 0.08

Intesa Sanpaolo SpA

100,000 2.855% due 23/04/25 ...... 98 0.02


Tesoro

698,000 4.000% due 01/09/20 ...... 814 0.20

595,000 5.000% due 01/03/22 ...... 749 0.18

1,048,579 2.350% due 15/09/24 ...... 1,226 0.30

900,000 5.000% due 01/03/25 ...... 1,196 0.29

856,810 3.100% due 15/09/26 ...... 1,086 0.26

219,000 4.750% due 01/09/28 ...... 298 0.07

265,000 5.250% due 01/11/29 ...... 382 0.09

216,526 1.250% due 15/09/32 ...... 230 0.06

157,000 5.000% due 01/08/34 ...... 231 0.06

145,000 4.000% due 01/02/37 ...... 192 0.05

600,000 5.000% due 01/09/40 ...... 907 0.22

160,000 2.700% due 01/03/47 ...... 171 0.04

Italy Government

International Bond

GBP 200,000 6.000% due 04/08/28 ...... 311 0.08

Marche Mutui 4 Srl

EUR 150,942 0.175% due 25/02/55 ...... 150 0.04

Sestante Finance Srl

1

Zero Coupon due

23/07/46 .......................... - 0.00

Siena Mortgages SpA

173,378 0.405% due 22/11/70 ...... 172 0.04

Siviglia SPV Srl

187,972 0.251% due 25/10/55 ...... 184 0.04

Snam SpA

138,000 1.375% due 19/11/23 ...... 144 0.03

Vela Home Srl

34,042 0.044% due 25/10/42 ...... 33 0.01




31 March 2016



Principal

Amount

Fair Value

EUR ‘000

Fund

%

Voba N 3 Srl

68,999 0.802% due 23/11/47 ....... 69 0.02

12,098 2.95

Japan (4.96%)

Japan Bank for International

Cooperation

USD 590,000 3.375% due 31/07/23 ....... 563 0.14

Japan Expressway Holding

and Debt Repayment

Agency

JPY 30,000,000 2.850% due 18/03/39 ....... 335 0.08

Japan Government Five

Year Bond

310,450,000 0.200% due 20/06/19 ....... 2,458 0.60

138,050,000 0.100% due 20/12/19 ....... 1,091 0.27

53,550,000 0.100% due 20/03/20 ....... 423 0.10

Japan Government Ten Year

Bond

86,400,000 1.700% due 20/03/18 ....... 700 0.17

188,350,000 1.100% due 20/09/21 ....... 1,577 0.38

58,000,000 0.500% due 20/09/24 ....... 477 0.12

Japan Government Thirty

Year Bond

136,450,000 2.000% due 20/12/33 ....... 1,373 0.33

119,500,000 2.300% due 20/03/35 ....... 1,259 0.31

128,500,000 1.700% due 20/12/43 ....... 1,304 0.32

99,450,000 1.500% due 20/12/44 ....... 973 0.24

15,000,000 1.400% due 20/12/45 ....... 144 0.03

Japan Government Twenty

Year Bond

259,550,000 2.100% due 20/12/27 ....... 2,520 0.61

87,000,000 2.100% due 20/03/30 ....... 866 0.21

50,000,000 1.700% due 20/09/32 ....... 482 0.12

100,000,000 1.500% due 20/06/34 ....... 939 0.23

Japan Government Two

Year Bond

160,000,000 0.100% due 15/08/17 ....... 1,254 0.31

Japanese Government CPI

Linked Bond

76,100,000 0.100% due 10/03/25 ....... 626 0.15

Mitsubishi UFJ Financial

Group Inc

USD 417,000 3.850% due 01/03/26 ....... 381 0.09

SoftBank Group Corp

EUR 300,000 4.000% due 30/07/22 ....... 316 0.08

Sumitomo Mitsui Financial

Group Inc

USD 300,000 4.436% due 02/04/24 ....... 276 0.07

20,337 4.96


Delphi Automotive

Plc

60,000 3.150% due 19/11/20 ....... 54 0.01

EUR 100,000 1.500% due 10/03/25 ....... 95 0.03

USD 225,000 4.250% due 15/01/26 ....... 207 0.05

Principal

Amount

Fair Value

EUR ‘000

Fund

%

UBS Group Funding Jersey

Ltd

200,000 3.000% due 15/04/21 ...... 176 0.04

532 0.13

Kazakhstan (0.19%)

KazAgro National

Management Holding JSC

EUR 850,000 3.255% due 22/05/19 ...... 779 0.19


Export-Import Bank of

Korea

NOK 1,775,000 3.000% due 22/05/18 ...... 194 0.05

Kookmin Bank

USD 230,000 2.125% due 21/10/20 ...... 203 0.05

Korea International

Bond

EUR 600,000 2.125% due 10/06/24 ...... 668 0.16

1,065 0.26

Latvia (0.20%)

Latvia Government

International Bond

USD 900,000 2.750% due 12/01/20 ...... 806 0.20

Lithuania (0.05%)

Lithuania Government

International Bond

EUR 170,000 2.125% due 29/10/26 ...... 195 0.05

Luxembourg (1.01%)

Actavis Funding

SCS

USD 249,000 3.000% due 12/03/20 ...... 225 0.05

296,000 4.550% due 15/03/35 ...... 268 0.07

300,000 4.750% due 15/03/45 ...... 278 0.07

Altice Luxembourg SA

EUR 400,000 7.250% due 15/05/22 ...... 397 0.10

ArcelorMittal

USD 100,000 6.250% due 05/08/20 ...... 86 0.02

Compartment Driver UK

Two SA

GBP 56,012 0.933% due 25/01/23 ...... 70 0.02

ECAR

EUR 3,699 0.852% due 18/11/20 ...... 4 0.00

European Investment

Bank

AUD 1,720,000 6.500% due 07/08/19 ...... 1,306 0.32

1,230,000 6.000% due 06/08/20 ...... 942 0.23

USD 66,000 2.875% due 15/09/20 ...... 62 0.01

EUR 80,000 4.000% due 15/10/37 ...... 127 0.03

36,000 1.750% due 15/09/45 ...... 41 0.01

Holcim US Finance Sarl &

Cie SCS

USD 230,000 5.150% due 12/09/23 ...... 218 0.05




31 March 2016



Principal

Amount

Fair Value

EUR ‘000

Fund

%

Telecom Italia Capital SA

135,000 6.375% due 15/11/33 ....... 117 0.03

4,141 1.01

Macedonia (0.19%)

Macedonia Government

International Bond

EUR 600,000 4.875% due 01/12/20 ....... 600 0.14

200,000 3.975% due 24/07/21 ....... 191 0.05

791 0.19

Malaysia (1.76%)

Malaysia Government

Bond

MYR 5,700,000 3.654% due 31/10/19 ....... 1,295 0.32

2,080,000 3.659% due 15/10/20 ....... 473 0.11

7,830,000 4.048% due 30/09/21 ....... 1,798 0.44

2,120,000 3.795% due 30/09/22 ....... 479 0.12

5,640,000 4.181% due 15/07/24 ....... 1,296 0.32

8,210,000 3.955% due 15/09/25 ....... 1,867 0.45

7,208 1.76

Mauritius (0.04%)

MTN Mauritius Investment

Ltd

USD 200,000 4.755% due 11/11/24 ....... 159 0.04

Mexico (3.77%)

BBVA Bancomer SA

410,000 4.375% due 10/04/24 ....... 373 0.09

Cemex SAB de CV

200,000 7.750% due 16/04/26 ....... 180 0.05

MXN Mexican Bonos

21,540,000 7.750% due 14/12/17 ....... 1,169 0.29

45,340,000 8.000% due 11/06/20 ....... 2,566 0.63

45,139,300 6.500% due 10/06/21 ....... 2,430 0.59

12,895,800 6.500% due 09/06/22 ....... 693 0.17

47,154,800 10.000% due 05/12/24 ..... 3,105 0.76

7,530,000 5.750% due 05/03/26 ....... 380 0.09

18,200,000 7.500% due 03/06/27 ....... 1,036 0.25

5,900,000 7.750% due 29/05/31 ....... 341 0.08

5,500,000 8.500% due 18/11/38 ....... 342 0.08

20,035,000 7.750% due 13/11/42 ....... 1,158 0.28

Mexico Government

International Bond

USD 226,000 3.625% due 15/03/22 ....... 205 0.05

EUR 1,230,000 3.625% due 09/04/29 ....... 1,325 0.32

200,000 4.000% due 15/03/15 ....... 175 0.04

15,478 3.77

Morocco (0.34%)

Morocco Government

International Bond

517,000 5.375% due 27/06/17 ....... 549 0.13

200,000 4.500% due 05/10/20 ....... 219 0.05

Principal

Amount

Fair Value

EUR ‘000

Fund

%

USD 263,000 4.250% due 11/12/22 ...... 236 0.06

OCP SA

200,000 5.625% due 25/04/24 ...... 183 0.05

215,000 6.875% due 25/04/44 ...... 196 0.05

1,383 0.34

Netherlands (1.14%)

ABN Amro Bank NV

EUR 100,000 2.875% due 30/06/25 ...... 102 0.03

USD 270,000 4.750% due 28/07/25 ...... 240 0.06

Bharti Airtel International

Netherlands BV

260,000 5.125% due 11/03/23 ...... 244 0.06

Cooperatieve Rabobank

UA

EUR 200,000 6.875% due 19/03/20 ...... 236 0.06

CRH Funding BV

150,000 1.875% due 09/01/24 ...... 159 0.04

EDP Finance BV

USD 240,000 4.125% due 15/01/20 ...... 212 0.05

EUR 115,000 2.375% due 23/03/23 ...... 118 0.03

120,000 2.000% due 22/04/25 ...... 117 0.03

Embraer Netherlands

Finance BV

USD 270,000 5.050% due 15/06/25 ...... 209 0.05

LeasePlan Corp NV

300,000 2.500% due 16/05/18 ...... 261 0.06


Bond

EUR 289,273 4.000% due 15/07/19 ...... 331 0.08

100,000 2.250% due 15/07/22 ...... 115 0.03

62,600 3.750% due 15/01/42 ...... 104 0.03


BV

USD 100,000 7.875% due 15/03/19 ...... 84 0.02

300,000 3.522% due 17/03/20 ...... 203 0.05

500,000 4.875% due 17/03/20 ...... 366 0.09

60,000 4.375% due 20/05/23 ...... 39 0.01

GBP 260,000 6.250% due 14/12/26 ...... 229 0.06

Schaeffler Finance BV

EUR 130,000 2.500% due 15/05/20 ...... 133 0.03


BV

USD 161,000 4.375% due 11/05/45 ...... 142 0.03

SNS Bank NV

EUR 557,000 3.750% due 05/11/25 ...... 544 0.13

Vonovia Finance BV

USD 300,000 3.200% due 02/10/17 ...... 266 0.06

EUR 200,000 2.250% due 15/12/23 ...... 214 0.05

4,668 1.14

New Zealand (2.13%)

Fonterra Co-operative Group

Ltd

AUD 400,000 4.500% due 30/06/21 ...... 280 0.07




31 March 2016



Principal

Amount

Fair Value

EUR ‘000

Fund

%

New Zealand Government

Bond

NZD 3,920,000 6.000% due 15/12/17 ....... 2,549 0.62

3,420,000 5.000% due 15/03/19 ....... 2,259 0.55

450,000 3.000% due 15/04/20 ....... 283 0.07

1,080,000 6.000% due 15/05/21 ....... 776 0.19

1,513,000 5.500% due 15/04/23 ....... 1,098 0.27

1,360,000 2.000% due 20/09/25 ....... 863 0.21

947,000 2.500% due 20/09/35 ....... 611 0.15

8,719 2.13

Norway (1.38%)

Norway Government

Bond

NOK 1,019,000 4.250% due 19/05/17 ....... 113 0.03

1,557,000 4.500% due 22/05/19 ....... 186 0.04

7,780,000 3.750% due 25/05/21 ....... 953 0.23

14,345,000 2.000% due 24/05/23 ....... 1,641 0.40

8,670,000 3.000% due 14/03/24 ....... 1,062 0.26

15,700,000 1.500% due 19/02/26 ....... 1,714 0.42

5,669 1.38

Peru (0.10%)

Peruvian Government

International Bond

EUR 410,000 3.750% due 01/03/30 ....... 418 0.10

Philippines (0.04%)

Philippine Government

International Bond

USD 129,000 6.375% due 23/10/34 ....... 160 0.04

Poland (0.42%)

Poland Government Bond

PLN 1,340,000 3.250% due 25/07/19 ....... 332 0.08

995,000 1.500% due 25/04/20 ....... 231 0.06

3,221,000 4.000% due 25/10/23 ....... 837 0.20

Poland Government

International Bond

EUR 280,000 5.625% due 20/06/18 ....... 315 0.08

1,715 0.42

Portugal (0.30%)

Portugal Obrigacoes do

Tesouro OT

65,217 4.950% due 25/10/23 ....... 76 0.02

150,000 5.650% due 15/02/24 ....... 182 0.05

535,627 2.875% due 15/10/25 ....... 541 0.13

420,121 2.875% due 21/07/26 ....... 418 0.10

1,217 0.30

Romania (0.31%)

Romanian Government

International Bond

120,000 2.875% due 28/10/24 ....... 126 0.03

660,000 2.750% due 29/10/25 ....... 680 0.17

Principal

Amount

Fair Value

EUR ‘000

Fund

%

440,000 3.875% due 29/10/35 ...... 458 0.11

1,264 0.31

Singapore (0.64%)

Flextronics International Ltd

USD 90,000 4.750% due 15/06/25 ...... 78 0.02

Singapore Government Bond

SGD 1,130,000 2.000% due 01/07/20 ...... 763 0.18

630,000 3.125% due 01/09/22 ...... 448 0.11

744,000 3.000% due 01/09/24 ...... 529 0.13

1,190,000 2.375% due 01/06/25 ...... 812 0.20

2,630 0.64

Slovakia (0.09%)

Slovakia Government

International Bond

EUR 350,000 4.375% due 15/05/17 ...... 368 0.09

Slovenia (0.47%)

Slovenia Government

International Bond

USD 800,000 4.125% due 18/02/19 ...... 742 0.18

490,000 5.850% due 10/05/23 ...... 497 0.12

600,000 5.250% due 18/02/24 ...... 591 0.14

Slovenska izvozna in

razvojna banka dd

EUR 100,000 0.875% due 04/08/18 ...... 102 0.03

1,932 0.47



Bond

ZAR 2,800,000 8.000% due 21/12/18 ...... 165 0.04

23,253,481 6.750% due 31/03/21 ...... 1,280 0.31

20,510,000 10.500% due 21/12/26 .... 1,338 0.32

13,530,000 6.500% due 28/02/41 ...... 560 0.14

3,343 0.81

Spain (1.70%)

Autonomous Community of

Catalonia

EUR 650,000 4.750% due 04/06/18 ...... 649 0.16

Bankia SA

600,000 4.000% due 22/05/24 ...... 577 0.14

Ibercaja Banco SA

500,000 5.000% due 28/07/25 ...... 466 0.11

Instituto de Credito Oficial

CAD 200,000 5.000% due 31/03/20 ...... 149 0.04

Santander Issuances SAU

USD 200,000 5.179% due 19/11/25 ...... 170 0.04

EUR 200,000 3.250% due 04/04/26 ...... 200 0.05

Spain Government Bond

310,000 4.000% due 30/04/20 ...... 356 0.09

EUR 465,000 5.850% due 31/01/22 ...... 605 0.15

80,000 5.400% due 31/01/23 ...... 104 0.02

800,000 2.750% due 31/10/24 ...... 897 0.22




31 March 2016



Principal

Amount

Fair Value

EUR ‘000

Fund

%

1,269,000 1.600% due 30/04/25 ....... 1,304 0.32

270,000 5.150% due 31/10/28 ....... 373 0.09

51,000 5.750% due 30/07/32 ....... 78 0.02

415,000 4.200% due 31/01/37 ....... 542 0.13

51,000 4.700% due 30/07/41 ....... 72 0.02

Telefonica Emisiones SAU

USD 35,000 5.462% due 16/02/21 ....... 35 0.01

235,000 4.570% due 27/04/23 ....... 226 0.05

165,000 7.045% due 20/06/36 ....... 184 0.04

6,987 1.70

Sweden (0.21%)

Stadshypotek AB

AUD 600,000 4.250% due 10/10/17 ....... 412 0.10

Sweden Government

Bond

SEK 2,395,000 1.500% due 13/11/23 ....... 282 0.07

1,295,000 2.500% due 12/05/25 ....... 165 0.04

859 0.21

Switzerland (0.60%)

Credit Suisse AG

EUR 350,000 1.125% due 15/09/20 ....... 358 0.09

Eurofima

AUD 810,000 6.250% due 28/12/18 ....... 598 0.14

Raiffeisen Schweiz

Genossenschaft

CHF 245,000 3.000%* .......................... 229 0.05

Switzerland Government

Bond

305,000 3.000% due 12/05/19 ....... 315 0.08

100,000 1.500% due 24/07/25 ....... 108 0.03

51,000 1.250% due 27/06/37 ....... 59 0.01

UBS AG

EUR 766,000 4.750% due 12/02/26 ....... 804 0.20

2,471 0.60

Thailand (0.09%)

Thailand Government

Bond

THB 13,126,000 5.625% due 12/01/19 ....... 365 0.09

Turkey (0.04%)

Turkey Government

Bond

TRY 489,407 8.800% due 14/11/18 ....... 150 0.04

United Arab Emirates (0.06%)

DP World Ltd

USD 100,000 6.850% due 02/07/37 ....... 90 0.02

Emirates

Telecommunications Group

Co PJSC

200,000 2.375% due 18/06/19 ....... 177 0.04

267 0.06

Principal

Amount

Fair Value

EUR ‘000

Fund

%


Auburn Securities 4 Plc

GBP 35,594 0.911% due 01/10/41 ...... 43 0.01

Aviva Plc

EUR 135,000 6.125% due 05/07/43 ...... 152 0.04

Barclays Bank Plc

USD 400,000 7.750% due 10/04/23 ...... 369 0.09

EUR 250,000 2.625% due 11/11/25 ...... 231 0.06

USD 200,000 5.250% due 17/08/45 ...... 177 0.04

British Telecommunications

Plc

EUR 200,000 0.625% due 10/03/21 ...... 200 0.05

175,000 1.125% due 10/03/23 ...... 177 0.04

Business Mortgage Finance

7 Plc

GBP 387,892 2.593% due 15/02/41 ...... 477 0.12

Clavis Securities Plc

EUR 46,162

Zero Coupon due

15/12/31 .......................... 42 0.01

Co-Operative Bank Plc

GBP 150,000 4.750% due 11/11/21 ...... 211 0.05

E-Carat Plc

69,733 0.977% due 18/03/22 ...... 88 0.02

Eurosail Plc

206,098 0.751% due 10/12/44 ...... 252 0.06

FCE Bank Plc

EUR 100,000 1.528% due 09/11/20 ...... 102 0.03

Friary No 2 Plc

GBP 71,701 1.575% due 21/10/46 ...... 90 0.02

Gemgarto 2015-1 Plc

250,000 2.693% due 16/02/47 ...... 296 0.07

Gemgarto 2015-2 Plc

97,886 2.043% due 16/02/54 ...... 124 0.03

Great Hall Mortgages No 1

Plc

EUR 450,000 0.300% due 18/06/39 ...... 302 0.07

HBOS Plc

120,000 4.500% due 18/03/30 ...... 132 0.03

HSBC Holdings Plc

USD 569,000 3.400% due 08/03/21 ...... 510 0.12

75,000 4.000% due 30/03/22 ...... 69 0.02

GBP 135,000 5.750% due 20/12/27 ...... 187 0.05

Intu SGS Finance Plc

100,000 4.250% due 17/09/30 ...... 134 0.03

Legal & General Group

Plc

110,000 5.500% due 27/06/64 ...... 126 0.03

Lloyds Bank Plc

EUR 100,000 11.875% due 16/12/21 .... 108 0.03

263,000 10.375% due 12/02/24 .... 324 0.08

USD 300,000 3.500% due 14/05/25 ...... 273 0.07

400,000 12.000%* ........................ 473 0.12




31 March 2016



Principal

Amount

Fair Value

EUR ‘000

Fund

%

Mansard Mortgages

Plc

GBP 194,778 1.241% due 15/12/49 ....... 232 0.06

Motor Plc

20,635 1.013% due 25/08/21 ....... 26 0.01

Network Rail Infrastructure

Finance Plc

234,000 4.375% due 09/12/30 ....... 374 0.09

NewDay Funding

GBP 300,000 3.007% due 15/07/23 ....... 372 0.09

OAK No.1 Plc

62,512 1.260% due 26/02/52 ....... 79 0.02

Paragon Secured Finance No

1 Plc

212,266 2.593% due 15/11/35 ....... 219 0.05

Pearson Dollar Finance Two

Plc

USD 300,000 6.250% due 06/05/18 ....... 283 0.07

Pizzaexpress Financing 2

Plc

GBP 200,000 6.625% due 01/08/21 ....... 258 0.06

Precise Mortgage Funding

Plc

127,769 1.391% due 12/09/47 ....... 159 0.04

Residential Mortgage

Securities 20 Plc

40,680 0.851% due 10/08/38 ....... 47 0.01


Securities 21 Plc

35,640 0.990% due 12/11/38 ....... 41 0.01


Securities 22 Plc

32,376 0.953% due 14/11/39 ....... 38 0.01

Rmac 2005-Ns3 Plc

EUR 37,043 0.131% due 12/06/43 ....... 34 0.01

GBP 137,244 0.931% due 12/12/43 ....... 157 0.04


Group Plc

USD 130,000 6.125% due 15/12/22 ....... 121 0.03

315,000 5.125% due 28/05/24 ....... 266 0.06

GBP 390,000 5.125% due 13/01/24 ....... 593 0.14

Santander UK Group

Holdings Plc

USD 320,000 4.750% due 15/09/25 ....... 266 0.06

GBP 300,000 7.375%* .......................... 349 0.09

Sky Plc

USD 200,000 3.750% due 16/09/24 ....... 181 0.04

EUR 325,000 2.250% due 17/11/25 ....... 338 0.08


USD 380,000 5.700% due 26/03/44 ....... 303 0.07

Tesco Plc

GBP 125,000 5.000% due 24/03/23 ....... 159 0.04

U.K. Gilt

310,000 4.750% due 07/03/20 ....... 454 0.11

Principal

Amount

Fair Value

EUR ‘000

Fund

%

340,000 3.750% due 07/09/21 ...... 495 0.12

90,000 5.000% due 07/03/25 ...... 149 0.04

305,000 4.250% due 07/06/32 ...... 507 0.12

100,000 4.250% due 07/03/36 ...... 169 0.04

200,000 4.750% due 07/12/38 ...... 367 0.09

130,000 4.250% due 07/09/39 ...... 224 0.05

200,000 4.250% due 07/12/40 ...... 349 0.09

1,105,000 3.250% due 22/01/44 ...... 1,672 0.41

516,058 3.750% due 22/07/52 ...... 907 0.22

Virgin Media Finance Plc

EUR 125,000 4.500% due 15/01/25 ...... 122 0.03

Virgin Media Secured

Finance Plc

GBP 270,000 6.000% due 15/04/21 ...... 356 0.09

100,000 4.875% due 15/01/27 ...... 121 0.03

Warwick Finance

Residential Mortgages Plc

89,734 1.588% due 21/09/49 ...... 111 0.03

300,000 2.788% due 21/09/49 ...... 330 0.08

WPP Finance 2010

USD 165,000 5.625% due 15/11/43 ...... 150 0.04

17,047 4.16


A10 Term Asset Financing

LLC

91,159 2.620% due 15/11/27 ...... 79 0.02

Accredited Mortgage Loan

Trust

560,000 0.719% due 25/04/36 ...... 428 0.10

1,200,000 0.699% due 25/09/36 ...... 886 0.22

AFC Home Equity Loan

Trust

352 1.149% due 22/12/27 ...... - 0.00

Air Lease Corp

155,000 3.750% due 01/02/22 ...... 136 0.03

95,000 4.250% due 15/09/24 ...... 83 0.02

Ally Financial Inc

135,000 3.500% due 27/01/19 ...... 117 0.03

215,000 4.125% due 13/02/22 ...... 186 0.05

Alternative Loan Trust

27,362 5.250% due 25/06/35 ...... 22 0.01

154,886 1.787% due 25/11/35 ...... 111 0.03

390,127 1.377% due 25/12/35 ...... 288 0.07

37,490 6.250% due 25/08/37 ...... 27 0.01

270,623 0.649% due 20/03/46 ...... 173 0.04

34,504 0.623% due 25/09/46 ...... 27 0.01

834,178 0.573% due 25/04/47 ...... 613 0.15

American Express Credit

Account Master Trust

600,000 1.260% due 15/01/20 ...... 528 0.13


Corp

250,000 1.125% due 05/06/17 ...... 219 0.05




31 March 2016



Principal

Amount

Fair Value

EUR ‘000

Fund

%

American Home Mortgage

Assets Trust

311,110 1.051% due 25/02/47 ....... 152 0.04

American International

Group Inc

100,000 4.800% due 10/07/45 ....... 87 0.02

AmeriCredit Automobile

Receivables

200,000 1.520% due 10/06/19 ....... 176 0.04

AmeriCredit Automobile

Receivables Trust

160,000 1.520% due 08/01/19 ....... 140 0.03

Ameriquest Mortgage

Securities Asset-Backed

Pass-Through Certificates

410,000 1.549% due 25/03/35 ....... 283 0.07

234,566 0.869% due 25/07/35 ....... 206 0.05

Anadarko Petroleum Corp

210,000 4.850% due 15/03/21 ....... 186 0.05

180,000 5.550% due 15/03/26 ....... 160 0.04

55,000 6.600% due 15/03/46 ....... 49 0.01


Finance Inc

215,000 2.650% due 01/02/21 ....... 194 0.05

519,000 3.650% due 01/02/26 ....... 480 0.12

280,000 4.700% due 01/02/36 ....... 266 0.06

570,000 4.900% due 01/02/46 ....... 560 0.14

Apple Inc

764,000 0.869% due 03/05/18 ....... 669 0.16

AT&T Inc

400,000 1.700% due 01/06/17 ....... 353 0.09

200,000 2.800% due 17/02/21 ....... 180 0.04

200,000 3.400% due 15/05/25 ....... 176 0.04

79,000 4.750% due 15/05/46 ....... 68 0.02

410,000 5.650% due 15/02/47 ....... 399 0.10

AvalonBay Communities

Inc

300,000 3.500% due 15/11/24 ....... 273 0.07

Aviation Capital Group Corp

300,000 7.125% due 15/10/20 ....... 298 0.07

195,000 4.875% due 01/10/25 ....... 170 0.04

BA Credit Card Trust

280,000 5.170% due 15/06/19 ....... 254 0.06

BAMLL Commercial

Mortgage Securities Trust

200,000 3.433% due 15/03/28 ....... 176 0.04

Banc of America

Commercial Mortgage Trust

510,000 5.421% due 10/10/45 ....... 447 0.11

220,000 5.716% due 10/06/49 ....... 192 0.05

Banc of America Funding

Trust

550,000 2.964% due 20/07/36 ....... 471 0.11

77,015 3.232% due 20/10/46 ....... 50 0.01

50,153 3.023% due 20/01/47 ....... 37 0.01

Principal

Amount

Fair Value

EUR ‘000

Fund

%

Banc of America Mortgage

Trust

106,735 2.771% due 25/05/35 ...... 88 0.02

Bank of America Corp

925,000 6.400% due 28/08/17 ...... 863 0.21

500,000 6.875% due 25/04/18 ...... 482 0.12

200,000 3.300% due 11/01/23 ...... 177 0.04

205,000 3.950% due 21/04/25 ...... 179 0.04

Bay Area Toll Authority

225,000 6.263% due 01/04/49 ...... 279 0.07

Bayer US Finance LLC

280,000 3.375% due 08/10/24 ...... 259 0.06

Bayview Commercial Asset

Trust

380,319 0.869% due 25/08/34 ...... 303 0.07

BCAP LLC Trust

830,000 0.726% due 26/07/45 ...... 648 0.16

129,892 2.791% due 25/01/35 ...... 111 0.03

179,171 3.090% due 25/03/35 ...... 157 0.04

Bear Stearns Alt-A Trust

46,984 2.792% due 25/09/35 ...... 34 0.01

141,703 2.871% due 25/11/35 ...... 92 0.02

331,202 2.521% due 25/01/36 ...... 238 0.06

319,415 2.620% due 25/08/36 ...... 206 0.05

87,288 3.111% due 25/08/36 ...... 57 0.01

76,420 2.811% due 25/11/36 ...... 46 0.01

Bear Stearns Asset Backed

Securities Trust

36,518 0.549% due 25/04/31 ...... 32 0.01

Bear Stearns Second Lien

Trust

260,705 0.933% due 25/12/36 ...... 222 0.05

Bear Stearns Structured

Products Inc

39,982 2.776% due 26/01/36 ...... 27 0.01

85,837 2.414% due 26/12/46 ...... 53 0.01

Becton Dickinson and

Co

50,000 3.734% due 15/12/24 ...... 47 0.01

BLCP Hotel Trust

150,000 2.933% due 15/08/29 ...... 123 0.03

BMW US Capital LLC

400,000 0.973% due 02/06/17 ...... 350 0.09

Boca Hotel Portfolio

Trust

610,000 3.483% due 15/08/26 ...... 534 0.13

BorgWarner Inc

EUR 170,000 1.800% due 07/11/22 ...... 175 0.04

Brambles USA Inc

USD 200,000 4.125% due 23/10/25 ...... 183 0.04

BXHTL 2015-JWRZ

Mortgage Trust

780,000 3.283% due 15/05/29 ...... 650 0.16

450,000 3.662% due 15/05/29 ...... 377 0.09




31 March 2016



Principal

Amount

Fair Value

EUR ‘000

Fund

%

Carefree Portfolio Trust

240,000 3.017% due 15/11/19 ....... 192 0.05

Cargill Inc

500,000 6.000% due 27/11/17 ....... 471 0.11

CDGJ Commercial

Mortgage Trust

189,098 1.833% due 15/12/27 ....... 165 0.04

Celgene Corp

130,000 5.000% due 15/08/45 ....... 124 0.03

Centre Point Funding LLC

116,005 2.610% due 20/08/21 ....... 101 0.02

CGBAM Commercial

Mortgage Trust

415,456 1.233% due 15/02/31 ....... 361 0.09

Chase Issuance Trust

750,000 0.683% due 15/11/18 ....... 658 0.16

950,000 0.693% due 16/12/19 ....... 834 0.20

Chesapeake Energy Corp

50,000 6.625% due 15/08/20 ....... 17 0.00

40,000 5.375% due 15/06/21 ....... 13 0.00

380,000 4.875% due 15/04/22 ....... 118 0.03

CHL Mortgage Pass-

Through Trust

26,667 2.880% due 19/11/33 ....... 23 0.01

39,457 1.073% due 25/03/35 ....... 29 0.01

46,627 2.937% due 20/10/35 ....... 37 0.01

41,609 2.592% due 20/02/36 ....... 34 0.01

Chubb INA Holdings Inc

210,000 3.350% due 03/05/26 ....... 193 0.05

Cimarex Energy Co

15,000 4.375% due 01/06/24 ....... 13 0.00

CIT Group Inc

100,000 5.250% due 15/03/18 ....... 91 0.02

100,000 5.500% due 15/02/19 ....... 91 0.02

Citibank Credit Card

Issuance Trust

500,000 1.020% due 22/02/19 ....... 439 0.11

Citigroup Commercial

Mortgage Trust

716,000 1.833% due 15/06/33 ....... 609 0.15

210,000 3.251% due 10/05/35 ....... 192 0.05

Citigroup Inc

245,000 2.650% due 26/10/20 ....... 217 0.05

95,000 4.000% due 05/08/24 ....... 84 0.02

Citigroup Mortgage Loan

Trust Inc

47,185 2.885% due 25/03/34 ....... 41 0.01

1 2.747% due 25/12/35 ....... - 0.00

1,413,000 0.703% due 25/08/36 ....... 973 0.24

938,407 2.543% due 25/08/36 ....... 697 0.17

261,992 2.932% due 25/09/37 ....... 208 0.05

City of Chicago IL

300,000 7.375% due 01/01/33 ....... 270 0.07

Principal

Amount

Fair Value

EUR ‘000

Fund

%

COBALT CMBS


201,230 5.484% due 15/04/47 ...... 181 0.04

Columbia Pipeline Group

Inc

200,000 4.500% due 01/06/25 ...... 175 0.04

Commercial Mortgage Pass

Through Certificates

195,000 1.337% due 11/06/27 ...... 169 0.04

900,000 3.936% due 11/06/27 ...... 783 0.19

222,644 2.133% due 13/05/31 ...... 193 0.05

125,000 2.183% due 15/06/34 ...... 108 0.03


374,893 5.736% due 10/12/49 ...... 342 0.08

500,000 6.237% due 10/12/49 ...... 432 0.11

Concho Resources Inc

60,000 5.500% due 01/04/23 ...... 52 0.01

Continental Airlines Pass

Thru Certificates

205,000 6.125% due 29/04/18 ...... 189 0.05

Continental Resources Inc

30,000 4.500% due 15/04/23 ...... 22 0.01

310,000 3.800% due 01/06/24 ...... 216 0.05

Countrywide Asset-Backed

Certificates

491,167 5.555% due 25/04/36 ...... 429 0.10

341,717 5.588% due 25/08/36 ...... 297 0.07

282,411 0.773% due 25/12/36 ...... 168 0.04

CPS Auto Receivables Trust

24,142 1.210% due 15/08/18 ...... 21 0.01

122,921 1.110% due 15/11/18 ...... 107 0.03

CSAB Mortgage Backed

Trust

53,067 5.684% due 25/12/36 ...... 24 0.01

CSMC Trust

700,000 3.280% due 15/08/30 ...... 593 0.14

46,754 6.500% due 26/07/36 ...... 23 0.01

CVS Health Corp

871,000 5.000% due 01/12/24 ...... 878 0.21

Delphi Corp

135,000 4.150% due 15/03/24 ...... 122 0.03

Delta Air Lines Pass

Through Trust

179,182 4.250% due 30/07/23 ...... 154 0.04

Deutsche Alt-A Securities

Mortgage Loan Trust

379,776 0.623% due 25/08/47 ...... 264 0.06

276,754 0.633% due 25/08/47 ...... 197 0.05

Deutsche Alt-B Securities

Mortgage Loan Trust

42,984 5.886% due 25/10/36 ...... 31 0.01

Devon Energy Corp

40,000 3.250% due 15/05/22 ...... 30 0.01

60,000 5.850% due 15/12/25 ...... 51 0.01




31 March 2016



Principal

Amount

Fair Value

EUR ‘000

Fund

%

Diamond Offshore Drilling

Inc

25,000 4.875% due 01/11/43 ....... 15 0.00

Discovery Communications

LLC

EUR 100,000 1.900% due 19/03/27 ....... 87 0.02

DSLA Mortgage Loan Trust

USD 400,126 1.256% due 19/09/44 ....... 335 0.08

DT Auto Owner Trust

48,498 2.640% due 15/10/19 ....... 43 0.01

80,000 3.540% due 15/10/21 ....... 71 0.02

eBay Inc

400,000 0.821% due 28/07/17 ....... 348 0.08

Education Realty Operating

Partnership LP

400,000 4.600% due 01/12/24 ....... 348 0.08

EMC Mortgage Loan Trust

38,244 1.173% due 25/05/40 ....... 30 0.01

Energy Transfer Partners LP

220,000 3.600% due 01/02/23 ....... 168 0.04

135,000 5.150% due 15/03/45 ....... 92 0.02

45,000 6.125% due 15/12/45 ....... 36 0.01

EnLink Midstream Partners

LP

93,000 5.050% due 01/04/45 ....... 55 0.01

Extended Stay America

Trust

240,000 2.295% due 05/12/31 ....... 211 0.05

Exxon Mobil Corp

151,000 3.043% due 01/03/26 ....... 136 0.03

110,000 4.114% due 01/03/46 ....... 103 0.02

Fannie Mae Grantor Trust

48,123 6.000% due 25/02/44 ....... 49 0.01

Fannie Mae Pool

535,765 2.500% due 15/04/31 ....... 483 0.12

509,386 3.000% due 15/04/31 ....... 467 0.11

217,941 3.500% due 15/04/31 ....... 202 0.05

USD 86,600 2.255% due 01/12/34 ....... 79 0.02

235,441 2.535% due 01/02/35 ....... 217 0.05

7,085 1.550% due 01/10/44 ....... 6 0.00

651,612 3.000% due 15/04/46 ....... 587 0.14

839,140 3.500% due 15/04/46 ....... 772 0.19

USD 918,877 4.000% due 15/04/46 ....... 862 0.21

1,031,458 4.500% due 15/04/46 ....... 985 0.24

669,294 5.500% due 15/04/46 ....... 659 0.16

2,205,000 3.000% due 15/05/46 ....... 1,981 0.48

1,150,000 3.500% due 15/05/46 ....... 1,055 0.26

940,000 4.000% due 15/05/46 ....... 880 0.21

3,000,000 3.500% due 15/06/46 ....... 2,750 0.67

3,000,000 4.000% due 15/06/46 ....... 2,803 0.68

2,000,000 4.500% due 15/06/46 ....... 1,906 0.46

Fannie Mae REMIC Trust

USD 166,906 6.000% due 25/07/44 ....... 170 0.04

Principal

Amount

Fair Value

EUR ‘000

Fund

%

Fannie Mae REMICS

26,331 1.089% due 25/09/23 ...... 23 0.01

80,450 6.000% due 25/06/33 ...... 15 0.00

109,998 0.559% due 25/03/34 ...... 96 0.02

38,155 6.000% due 25/04/43 ...... 37 0.01

254,983 0.789% due 25/09/42 ...... 223 0.05

First Frankin Mortgage Loan

Trust

595,400 0.929% due 25/09/35 ...... 510 0.12

First Horizon Alternative

Mortgage Securities Trust

560,007 5.500% due 25/09/35 ...... 434 0.11

534,552 1.083% due 25/11/35 ...... 318 0.08

241,549 1.133% due 25/12/35 ...... 145 0.04

First Horizon Asset

Securities Inc

47,152 5.250% due 25/03/35 ...... 43 0.01

FirstEnergy Corp

164,000 4.250% due 15/03/23 ...... 150 0.04

Flagship Credit Auto Trust

8,271 1.320% due 16/04/18 ...... 7 0.00

53,722 1.430% due 16/12/19 ...... 47 0.01

332,379 0.820% due 15/12/17 ...... 292 0.07

152,926 0.790% due 15/05/18 ...... 134 0.03

Ford Motor Credit Co LLC

AUD 310,000 4.050% due 10/12/18 ...... 211 0.05

USD 380,000 3.664% due 08/09/24 ...... 337 0.08

Freddie Mac Gold Pool

2,505,000 3.000% due 15/04/31 ...... 2,297 0.56

387,834 3.000% due 15/04/46 ...... 349 0.08

518,692 3.500% due 15/04/46 ...... 476 0.12

297,189 4.000% due 15/04/46 ...... 278 0.07

USD 900,000 4.500% due 15/04/46 ...... 858 0.21

702,637 5.000% due 15/04/46 ...... 678 0.17

Freeport-McMoRan Inc

5,000 5.400% due 14/11/34 ...... 3 0.00

105,000 5.450% due 15/03/43 ...... 57 0.01

Fresenius US Finance II

Inc

105,000 4.500% due 15/01/23 ...... 94 0.02

General Electric Co

200,000 4.625% due 30/01/43 ...... 176 0.04

General Mills Inc

400,000 5.650% due 15/02/19 ...... 390 0.09

General Motors Co

40,000 6.250% due 02/10/43 ...... 38 0.01

General Motors Financial Co

Inc

295,000 4.375% due 25/09/21 ...... 268 0.07

190,000 3.450% due 10/04/22 ...... 164 0.04

170,000 4.000% due 15/01/25 ...... 145 0.04

Gilead Sciences Inc

160,000 4.750% due 01/03/46 ...... 154 0.04




31 March 2016



Principal

Amount

Fair Value

EUR ‘000

Fund

%

Ginnie Mae II pool

5,064 1.875% due 20/09/25 ....... 5 0.00

4,112 1.875% due 20/09/26 ....... 4 0.00

564,980 3.000% due 15/04/46 ....... 514 0.13

1,496,382 3.500% due 15/04/46 ....... 1,387 0.34

1,909,612 4.000% due 15/04/46 ....... 1,790 0.44

426,959 4.500% due 15/04/46 ....... 402 0.10

USD 485,000 3.500% due 15/05/46 ....... 449 0.11

214,069 4.654% due 20/03/62 ....... 199 0.05

113,762 2.755% due 20/10/63 ....... 107 0.03

81,477 2.220% due 20/05/64 ....... 75 0.02

119,588 4.668% due 20/05/64 ....... 118 0.03

80,929 4.622% due 20/07/64 ....... 80 0.02

120,513 4.674% due 20/07/64 ....... 120 0.03

116,233 2.510% due 20/11/64 ....... 109 0.03

85,391 2.593% due 20/11/64 ....... 81 0.02

136,053 4.563% due 20/02/65 ....... 135 0.03

Goldman Sachs Group Inc

AUD 600,000 4.240% due 29/11/17 ....... 410 0.10

USD 90,000 3.850% due 08/07/24 ....... 82 0.02

GBP 106,000 4.250% due 29/01/26 ....... 146 0.04

Government National

Mortgage Association

USD 282,853 0.898% due 20/06/65 ....... 246 0.06

295,257

1.038% due 20/07/65

(FM) ................................ 253 0.06

399,234

1.038% due 20/07/65

(FB) ................................. 342 0.08

296,792 1.038% due 20/09/65 ....... 254 0.06

500,172 0.958% due 20/10/65 ....... 433 0.11

399,850 1.188% due 20/12/65 ....... 346 0.08

200,063 1.000% due 20/01/66 ....... 176 0.04

GP Portfolio Trust

129,159 1.383% due 15/02/27 ....... 111 0.03

Greenpoint Manufactured

Housing

491,468 7.270% due 15/06/29 ....... 426 0.10

Greenpoint Mortgage

Funding Trust

55,859 0.703% due 25/11/45 ....... 42 0.01

GSR Mortgage Loan

Trust

210,990 2.838% due 25/09/35 ....... 186 0.05

210,620 2.910% due 25/01/36 ....... 172 0.04

Harborview Mortgage Loan

Trust

35,526 2.809% due 19/05/33 ....... 31 0.01

43,030 0.616% due 19/07/46 ....... 22 0.01

HCA Holdings Inc

70,000 6.250% due 15/02/21 ....... 66 0.02

HCA Inc

500,000 3.750% due 15/03/19 ....... 451 0.11

100,000 6.500% due 15/02/20 ....... 97 0.02

135,000 4.750% due 01/05/23 ....... 121 0.03

Principal

Amount

Fair Value

EUR ‘000

Fund

%

85,000 5.375% due 01/02/25 ...... 76 0.02

Hewlett Packard Enterprise

Co

55,000 6.200% due 15/10/35 ...... 48 0.01

110,000 6.350% due 15/10/45 ...... 95 0.02

Home Equity Asset Trust

562,000 0.849% due 25/04/36 ...... 399 0.10

700,000 0.829% due 25/07/36 ...... 473 0.12

266,000 0.719% due 25/08/36 ...... 198 0.05

Home Equity Mortgage

Loan Asset-Backed Trust

593,263 0.599% due 25/07/37 ...... 311 0.08

Home Equity Mortgage

Trust

87,289 6.000% due 25/01/37 ...... 37 0.01

Honda Auto Receivables

Owner Trust

699,957 0.690% due 21/08/17 ...... 614 0.15

125,000 0.920% due 20/11/17 ...... 110 0.03

Honeywell International Inc

EUR 300,000 0.650% due 21/02/20 ...... 303 0.07

Hudsons Bay Simon JV

Trust

USD 340,000 4.087% due 05/08/34 ...... 294 0.07

Hyatt Hotel Portfolio Trust

210,000 1.683% due 15/11/29 ...... 183 0.04

Hyundai Auto Receivables

Trust

268,593 1.010% due 15/02/18 ...... 236 0.06

IndyMac INDA Mortgage

Loan Trust

182,925 3.123% due 25/03/37 ...... 149 0.04

472,992 3.036% due 25/07/37 ...... 366 0.09

IndyMac INDX Mortgage

Loan Trust

101,470 0.679% due 25/07/35 ...... 77 0.02

203,081 0.706% due 25/06/37 ...... 125 0.03

Inter-American

Development Bank

NZD 1,020,000 6.000% due 15/12/17 ...... 656 0.16

International Bank for

Reconstruction &

Development

USD 92,000 4.750% due 15/02/35 ...... 105 0.03

International Business

Machines Corp

700,000 0.988% due 12/02/19 ...... 611 0.15

INVISTA Finance LLC

340,000 4.250% due 15/10/19 ...... 288 0.07

Iowa Tobacco Settlement

Authority

205,000 6.500% due 01/06/23 ...... 181 0.04

IXIS Real Estate Capital

Trust

146,410 0.633% due 25/03/36 ...... 75 0.02

396,629 0.733% due 25/03/36 ...... 209 0.05




31 March 2016



Principal

Amount

Fair Value

EUR ‘000

Fund

%

777,935 0.593% due 25/08/36 ....... 252 0.06

1,231,899 0.543% due 25/05/37 ....... 366 0.09

Johnson & Johnson

100,000 3.700% due 01/03/46 ....... 92 0.02

JP Morgan Chase

Commercial Mortgage

Securities Trust

135,000 1.633% due 15/08/27 ....... 118 0.03

125,192 2.183% due 15/12/30 ....... 109 0.03

124,260 1.413% due 15/07/31 ....... 109 0.03

500,000 1.683% due 15/01/32 ....... 433 0.11

270,000 5.440% due 15/05/45 ....... 239 0.06

196,192 5.440% due 12/06/47 ....... 175 0.04

160,000 6.087% due 12/02/51 ....... 147 0.04

178,960 5.716% due 15/02/51 ....... 162 0.04

JP Morgan Mortgage

Trust

118,512 2.689% due 25/07/35 ....... 103 0.02

68,590 2.775% due 25/07/35 ....... 59 0.01

262,842 2.774% due 25/08/35 ....... 230 0.06

282,407 7.000% due 25/08/37 ....... 225 0.05

JP Morgan Resecuritization

Trust

55,092 2.174% due 26/09/35 ....... 48 0.01

735,072 1.975% due 26/01/37 ....... 529 0.13

JPMorgan Chase & Co

250,000 1.538% due 25/01/18 ....... 220 0.05

300,000 2.550% due 29/10/20 ....... 267 0.06

400,000 2.115% due 01/03/21 ....... 357 0.09

300,000 3.875% due 01/02/24 ....... 281 0.07

70,000 3.125% due 23/01/25 ....... 62 0.01

EUR 170,000 1.500% due 27/01/25 ....... 173 0.04

KB Home

USD 100,000 4.750% due 15/05/19 ....... 88 0.02

Kinder Morgan Inc

200,000 4.300% due 01/06/25 ....... 167 0.04

KLA-Tencor Corp

463,000 4.650% due 01/11/24 ....... 410 0.10

LB-UBS Commercial

Mortgage Trust

259,593 5.430% due 15/02/40 ....... 233 0.06

170,000 5.484% due 15/02/40 ....... 149 0.04

491,000 6.448% due 15/09/45 ....... 422 0.10

Lehman ABS Manufactured

Housing Contract Trust

450,000 6.630% due 15/04/40 ....... 418 0.10

Lehman Brothers Holdings

Inc

GBP 600,000 7.875% due 08/05/18 ....... 59 0.01

Lennar Corp

130,000 4.875% due 15/12/23 ....... 115 0.03

95,000 4.750% due 30/05/25 ....... 82 0.02

Liberty Mutual Group Inc

225,000 4.850% due 01/08/44 ....... 190 0.05

Principal

Amount

Fair Value

EUR ‘000

Fund

%

Los Angeles County Public

Works Financing Authority

100,000 7.488% due 01/08/33 ...... 120 0.03

Masco Corp

85,000 3.500% due 01/04/21 ...... 76 0.02

Mastr Asset Backed

Securities Trust

381,576 0.939% due 25/11/35 ...... 210 0.05

529,601 1.139% due 25/11/35 ...... 299 0.07

1,110,585 0.583% due 25/08/36 ...... 457 0.11

467,327 0.643% due 25/10/36 ...... 239 0.06

275,182 0.593% due 25/11/36 ...... 144 0.03

McGraw Hill Financial

Inc

80,000 3.300% due 14/08/20 ...... 73 0.02

205,000 4.400% due 15/02/26 ...... 197 0.05

Meccanica Holdings USA

Inc

100,000 6.250% due 15/01/40 ...... 84 0.02

Merck & Co Inc

505,000 0.978% due 18/05/18 ...... 444 0.11

Merrill Lynch Mortgage

Investors Trust

392,491 1.053% due 25/08/28 ...... 330 0.08

95,457 1.904% due 25/10/35 ...... 81 0.02

739,000 2.722% due 25/12/35 ...... 625 0.15

176,598 2.279% due 25/02/36 ...... 153 0.04

393,181 1.039% due 25/09/36 ...... 301 0.07

129,593 2.656% due 25/06/37 ...... 109 0.03

MetLife Inc

75,000 4.050% due 01/03/45 ...... 62 0.02

Micron Technology

Inc

285,000 5.250% due 01/08/23 ...... 206 0.05

Mid-State Capital Trust

295,352 6.497% due 15/08/37 ...... 279 0.07

Morgan Stanley

120,000 3.750% due 25/02/23 ...... 110 0.03

EUR 1,027,000 1.750% due 11/03/24 ...... 1,031 0.25

Morgan Stanley Capital I

Trust

USD 250,000 5.820% due 11/06/42 ...... 218 0.05

210,000 5.692% due 15/04/49 ...... 189 0.05

383,000 5.574% due 12/11/49 ...... 324 0.08

Morgan Stanley Re-REMIC

Trust

100,000 5.987% due 12/08/45 ...... 90 0.02

Morgan Stanley

Resecuritization Trust

545,000 0.696% due 26/04/47 ...... 258 0.06

MPLX LP

55,000 5.500% due 15/02/23 ...... 47 0.01

430,000 4.500% due 15/07/23 ...... 349 0.08

5,000 4.875% due 01/12/24 ...... 4 0.00




31 March 2016



Principal

Amount

Fair Value

EUR ‘000

Fund

%

Municipal Electric Authority

of Georgia

300,000 6.655% due 01/04/57 ....... 322 0.08

Nationstar Home Equity

Loan Trust

946,000 0.763% due 25/09/36 ....... 592 0.14

760,000 0.663% due 25/03/37 ....... 562 0.14

Navient Corp

100,000 7.250% due 25/01/22 ....... 82 0.02

New York City Water &

Sewer System

230,000 5.882% due 15/06/44 ....... 276 0.07

New York State Dormitory

Authority

250,000 5.600% due 15/03/40 ....... 279 0.07

Newell Brands Inc

160,000 2.600% due 29/03/19 ....... 143 0.03

80,000 3.150% due 01/04/21 ....... 72 0.02

235,000 4.200% due 01/04/26 ....... 216 0.05

92,000 5.500% due 01/04/46 ....... 88 0.02

Newfield Exploration Co

30,000 5.625% due 01/07/24 ....... 25 0.01

NiSource Finance Corp

67,000 5.650% due 01/02/45 ....... 70 0.02

655,091 0.720% due 15/08/18 ....... 574 0.14

Noble Energy Inc

125,000 5.250% due 15/11/43 ....... 95 0.02

Nomura Asset Acceptance

Corp Alternative Loan Trust

690,000 1.039% due 25/12/34 ....... 567 0.14

207,200 2.599% due 25/10/35 ....... 169 0.04

Nomura Resecuritization

Trust

500,000 0.586% due 26/10/36 ....... 374 0.09

263,000 0.596% due 26/10/36 ....... 198 0.05

778,632 1.312% due 26/06/46 ....... 648 0.16

271,992 1.092% due 26/04/47 ....... 228 0.06

Omnicom Group Inc

35,000 3.650% due 01/11/24 ....... 32 0.01

OneMain Financial Issuance

Trust

125,000 4.100% due 20/03/28 ....... 111 0.03

Park Place Securities Inc

410,000 0.903% due 25/09/35 ....... 323 0.08

Pfizer Inc

400,000 0.768% due 15/05/17 ....... 350 0.09

135,000 0.934% due 15/06/18 ....... 118 0.03

Philip Morris International

Inc

EUR 145,000 2.750% due 19/03/25 ....... 166 0.04

Pioneer Natural Resources

Co

USD 65,000 3.450% due 15/01/21 ....... 57 0.01

200,000 3.950% due 15/07/22 ....... 178 0.04

Principal

Amount

Fair Value

EUR ‘000

Fund

%

140,000 4.450% due 15/01/26 ...... 124 0.03

PPG Industries Inc

179,000 6.650% due 15/03/18 ...... 171 0.04

Procter & Gamble Co

800,000 0.886% due 01/11/19 ...... 699 0.17

PulteGroup Inc

65,000 4.250% due 01/03/21 ...... 58 0.01

QEP Resources Inc

25,000 5.250% due 01/05/23 ...... 19 0.00

Quicken Loans Inc

110,000 5.750% due 01/05/25 ...... 94 0.02

RALI Trust

782,641 0.599% due 25/01/37 ...... 502 0.12

341,205 0.709% due 25/02/46 ...... 175 0.04

222,312 0.649% due 25/04/46 ...... 87 0.02

187,625 0.619% due 25/06/46 ...... 68 0.02

339,357 0.589% due 25/02/47 ...... 157 0.04

RAMP Trust

1,054 0.996% due 25/06/32 ...... 1 0.00

RBSCF Trust

150,000 5.695% due 16/09/40 ...... 135 0.03

Regency Energy Partners

LP / Regency Energy

Finance Corp

300,000 4.500% due 01/11/23 ...... 233 0.06

Resource Capital Corp Ltd

179,889 1.483% due 15/04/32 ...... 155 0.04

RFMSI Trust

309,229 3.191% due 25/09/35 ...... 208 0.05

29,863 3.878% due 25/02/36 ...... 24 0.01

Santander Drive Auto

Receivables Trust

530,000 1.213% due 15/07/19 ...... 465 0.11

240,000 2.650% due 17/08/20 ...... 210 0.05

Saxon Asset Securities Trust

1,310,162 0.619% due 25/05/47 ...... 764 0.19

Securitized Asset Backed

Receivables LLC

180,659 1.093% due 25/10/35 ...... 159 0.04

50,040 0.569% due 25/05/37 ...... 28 0.01

850,812 0.639% due 25/05/37 ...... 437 0.11

Sequoia Mortgage Trust

232,540 0.782% due 20/07/33 ...... 192 0.05

SM Energy Co

5,000 6.125% due 15/11/22 ...... 3 0.00

15,000 5.000% due 15/01/24 ...... 9 0.00

35,000 5.625% due 01/06/25 ...... 21 0.01

Solvay Finance America

LLC

200,000 4.450% due 03/12/25 ...... 180 0.04

Soundview Home Loan

Trust

610,000 0.909% due 25/03/36 ...... 459 0.11




31 March 2016



Principal

Amount

Fair Value

EUR ‘000

Fund

%

Spirit Airlines Pass Through

Trust

218,000 4.450% due 01/04/24 ....... 181 0.04

SpringCastle America

Funding LLC

95,571 2.700% due 25/05/23 ....... 84 0.02

Springleaf Finance Corp

200,000 6.900% due 15/12/17 ....... 182 0.04

State of California

200,000 7.600% due 01/11/40 ....... 273 0.07

Structured Adjustable Rate

Mortgage Loan Trust

29,094 2.795% due 25/02/34 ....... 25 0.01

60,419 2.718% due 25/04/34 ....... 53 0.01

357,459 2.707% due 25/08/35 ....... 292 0.07

Structured Asset Investment

Loan Trust

323,510 0.619% due 25/04/36 ....... 252 0.06

Structured Asset Mortgage

Investments II Trust

323,266 0.653% due 25/05/36 ....... 209 0.05

277,215 0.553% due 25/08/36 ....... 182 0.04

43,624 0.623% due 25/07/46 ....... 30 0.01

Structured Asset Securities

Mortgage Loan Trust

908,689 0.609% due 25/01/37 ....... 676 0.16

838,112 0.563% due 25/02/37 ....... 645 0.16

Sysco Corp

60,000 2.500% due 15/07/21 ....... 53 0.01

90,000 3.300% due 15/07/26 ....... 80 0.02

TAL Advantage V LLC

80,500 3.550% due 20/11/38 ....... 68 0.02

Targa Resources Partners

LP / Targa Resources

Partners Finance Corp

145,000 5.000% due 15/01/18 ....... 128 0.03

Tenet Healthcare

Corp

255,000 4.500% due 01/04/21 ....... 226 0.05

55,000 4.375% due 01/10/21 ....... 49 0.01

Tennessee Valley

Authority

200,000 5.880% due 01/04/36 ....... 239 0.06

Thornburg Mortgage

Securities Trust

20,766 2.407% due 25/06/47 ....... 16 0.00

Time Warner Cable Inc

55,000 6.550% due 01/05/37 ....... 53 0.01

55,000 5.500% due 01/09/41 ....... 48 0.01

GBP 110,000 5.250% due 15/07/42 ....... 129 0.03

USD 115,000 4.500% due 15/09/42 ....... 90 0.02

Time Warner Inc

10,000 4.900% due 15/06/42 ....... 9 0.00

70,000 5.350% due 15/12/43 ....... 66 0.02

Principal

Amount

Fair Value

EUR ‘000

Fund

%

75,000 4.850% due 15/07/45 ...... 67 0.02

Toyota Auto Receivables

Owner Trust

767,541 0.760% due 15/03/18 ...... 673 0.16

Trinity Rail Leasing LLC

268,956 5.194% due 16/10/40 ...... 230 0.06

Tyson Foods Inc

125,000 4.875% due 15/08/34 ...... 118 0.03

United Airlines Pass

Through Trust

73,402 5.375% due 15/08/21 ...... 66 0.02

United States Small

Business Administration

92,384 6.290% due 01/01/21 ...... 88 0.02

U.S. Treasury Bonds

385,700 5.250% due 15/11/28 ...... 463 0.11

2,910,000 5.375% due 15/02/31 ...... 3,661 0.89

1,660,000 4.500% due 15/02/36 ...... 1,999 0.49

USD 154,000 3.500% due 15/02/39 ...... 161 0.04

2,560,000 4.250% due 15/05/39 ...... 2,974 0.72

200,000 3.000% due 15/05/42 ...... 191 0.05

300,000 2.750% due 15/08/42 ...... 272 0.07

200,000 2.750% due 15/11/42 ...... 181 0.04

1,000,000 2.875% due 15/08/45 ...... 923 0.22

200,000 2.500% due 15/02/46 ...... 171 0.04

U.S. Treasury Inflation

Indexed Bonds

819,420 0.125% due 15/04/20 ...... 735 0.18

3,941,438 0.625% due 15/07/21 ...... 3,634 0.89

1,360,697 0.125% due 15/01/22 ...... 1,213 0.30

1,026,350 0.125% due 15/01/23 ...... 909 0.22

2,091,539 0.625% due 15/01/24 ...... 1,913 0.47

1,297,036 0.125% due 15/07/24 ...... 1,143 0.28

6 0.250% due 15/01/25 ...... - 0.00

502,720 2.375% due 15/01/25 ...... 526 0.13

299,697 0.375% due 15/07/25 ...... 269 0.07

5,034,884 0.625% due 15/01/26 ...... 4,621 1.13

596,800 2.000% due 15/01/26 ...... 614 0.15

352,422 2.375% due 15/01/27 ...... 378 0.09

226,164 1.750% due 15/01/28 ...... 230 0.06

1,986,156 2.500% due 15/01/29 ...... 2,192 0.53

144,108 3.875% due 15/04/29 ...... 181 0.04

865,440 2.125% due 15/02/41 ...... 979 0.24

1,989,697 1.375% due 15/02/44 ...... 1,959 0.48

603,624 0.750% due 15/02/45 ...... 514 0.13

U.S. Treasury Notes

2,600,000 1.000% due 15/02/18 ...... 2,293 0.56

4,860,000 3.750% due 15/11/18 ...... 4,592 1.12

865,000 1.500% due 31/12/18** .. 773 0.19

4,580,000 1.625% due 31/08/19 ...... 4,106 1.00

1,040,000 1.625% due 30/11/20 ...... 931 0.23

730,000 1.125% due 28/02/21 ...... 638 0.16




31 March 2016



Principal

Amount

Fair Value

EUR ‘000

Fund

%

1,330,000 2.000% due 31/08/21 ....... 1,208 0.29

3,520,000 2.375% due 15/08/24 ....... 3,253 0.79

210,000 2.250% due 15/11/25 ....... 192 0.05

US Bank NA

825,000 0.835% due 11/09/17 ....... 722 0.18


Inc

82,000 2.625% due 21/02/20 ....... 74 0.02

70,000 3.000% due 01/11/21 ....... 64 0.02

9,000 6.400% due 15/09/33 ....... 10 0.00

65,000 5.050% due 15/03/34 ....... 62 0.02

115,000 4.400% due 01/11/34 ....... 102 0.02

155,000 4.272% due 15/01/36 ....... 136 0.03

100,000 3.850% due 01/11/42 ....... 80 0.02

90,000 4.522% due 15/09/48 ....... 79 0.02

Viacom Inc

165,000 4.375% due 15/03/43 ....... 112 0.03

5,000 5.250% due 01/04/44 ....... 4 0.00

Volkswagen Group of

America Finance LLC

600,000 1.600% due 20/11/17 ....... 521 0.13

VOLT XLII LLC

200,000 4.250% due 26/03/46 ....... 175 0.04

Wachovia Bank Commercial

Mortgage Trust

330,000 5.342% due 15/12/43 ....... 296 0.07

220,000 5.383% due 15/12/43 ....... 197 0.05

230,000 5.413% due 15/12/43 ....... 199 0.05

550,000 6.147% due 15/02/51 ....... 476 0.12

Wachovia Corp

905,000 0.904% due 15/06/17 ....... 790 0.19

Wachovia Mortgage Loan

Trust LLC

52,690 2.710% due 20/03/37 ....... 44 0.01

WaMu Asset-Backed

Certificates

483,068 0.683% due 25/04/37 ....... 180 0.04

WaMu Mortgage Pass


326,668 1.153% due 25/11/34 ....... 260 0.06

522,176 2.432% due 25/09/36 ....... 413 0.10

6,964 2.457% due 25/10/36 ....... 5 0.00

422,398 3.743% due 25/12/36 ....... 325 0.08

233,697 2.614% due 25/03/37 ....... 193 0.05

86,879 2.269% due 25/04/37 ....... 65 0.02

947,204 0.663% due 25/04/45 ....... 776 0.19

491,453 0.753% due 25/08/45 ....... 399 0.10

322,016 0.709% due 25/12/45 ....... 261 0.06

168,301 1.077% due 25/03/47 ....... 111 0.03

Washington Mutual

Alternative Mortgage Pass-


219,318 5.750% due 25/01/36 ....... 170 0.04

397,266 0.539% due 25/06/37 ....... 274 0.07

Principal

Amount

Fair Value

EUR ‘000

Fund

%

65,314 1.317% due 25/07/46 ...... 36 0.01

Wells Fargo & Co

400,000 2.550% due 07/12/20 ...... 358 0.09

200,000 1.975% due 04/03/21 ...... 179 0.04

Wells Fargo Mortgage

Backed Securities Trust

217,974 2.759% due 25/09/34 ...... 195 0.05

311,493 2.765% due 25/03/35 ...... 275 0.07

215,703 2.825% due 25/06/35 ...... 192 0.05

82,617 2.831% due 25/10/35 ...... 72 0.02

13,188 21.124% due 25/01/36 .... 14 0.00

261,578 2.771% due 25/05/36 ...... 218 0.05

123,846 2.771% due 25/05/36 ...... 103 0.02

23 6.000% due 25/09/36 ...... - 0.00

Whiting Petroleum

Corp

180,000 5.000% due 15/03/19 ...... 110 0.03

65,000 5.750% due 15/03/21 ...... 38 0.01

125,000 6.250% due 01/04/23 ...... 74 0.02

Williams Partners LP

200,000 4.000% due 15/11/21 ...... 153 0.04

Wisconsin Power & Light

Co

100,000 4.100% due 15/10/44 ...... 92 0.02

169,464 41.32


China Shenhua Overseas

Capital Co Ltd

200,000 2.500% due 20/01/18 ...... 176 0.04


and Notes ........................... 356,540 86.92


Australia (0.15%)

National Australia Bank

Ltd

695,000 1.063% due 02/12/16 ...... 611 0.15

Brazil (0.34%)


Nacional

BRL 200,000

Zero Coupon due

01/10/16 .......................... 46 0.01


Nacional Serie F

5,440,000 10.000% due 01/01/17 .... 1,349 0.33

1,395 0.34

Canada (0.44%)

Caisse Centrale

Desjardins

USD 910,000 1.030% due 27/03/17 ...... 797 0.20


Commerce

415,000 0.793% due 21/02/17 ...... 364 0.09




31 March 2016



Principal

Amount

Fair Value

EUR ‘000

Fund

%

Royal Bank of

Canada

720,000 0.879% due 03/02/17 ....... 631 0.15

1,792 0.44

France (0.42%)

Banque Federative du Credit

Mutuel SA

EUR 1,000,000

Zero Coupon due

23/03/17 .......................... 1,000 0.25

BPCE SA

500,000

Zero Coupon due

10/03/17 .......................... 500 0.12

Dexia Credit Local

SA

USD 250,000 1.000% due 07/11/16 ....... 220 0.05

1,720 0.42

Greece (0.07%)

Hellenic Railways

Organization SA

EUR 200,000 4.028% due 17/03/17 ....... 183 0.05

National Bank of Greece

SA

100,000 3.875% due 07/10/16 ....... 99 0.02

282 0.07

Italy (0.40%)


Tesoro

1,597,000 4.000% due 01/02/17 ....... 1,651 0.40

Japan (0.45%)

JPY

Japan Government Five

Year Bond

235,000,000 0.400% due 20/06/16 ....... 1,837 0.45

Netherlands (0.22%)


BV

USD 100,000 2.000% due 20/05/16 ....... 88 0.02

100,000 3.500% due 06/02/17 ....... 87 0.02


BV

840,000 0.828% due 15/11/16 ....... 737 0.18

912 0.22

Norway (0.17%)

Eksportfinans

ASA

700,000 2.375% due 25/05/16 ....... 615 0.15

100,000 5.500% due 25/05/16 ....... 88 0.02

703 0.17



International Bond

EUR 60,000 4.500% due 05/04/16 ....... 60 0.02

Principal

Amount

Fair Value

EUR ‘000

Fund

%

Switzerland (0.12%)

Credit Suisse AG

500,000 0.088% due 30/03/17 ...... 500 0.12


Ally Financial Inc

USD 100,000 3.313% due 18/07/16 ...... 88 0.02

200,000 3.500% due 18/07/16 ...... 176 0.04


Corp

250,000 1.128% due 29/07/16 ...... 220 0.05


Finance Inc

877,000 0.826% due 27/01/17 ...... 769 0.19

Aviation Capital Group

Corp

300,000 3.875% due 27/09/16 ...... 265 0.06

Citigroup Inc

400,000 1.402% due 01/04/16 ...... 351 0.08

Exxon Mobil Corp

910,000 0.674% due 15/03/17 ...... 796 0.19

Federal Home Loan Bank

Discount Notes

2,800,000

Zero Coupon due

27/04/16 .......................... 2,456 0.60

300,000

Zero Coupon due

03/05/16 .......................... 263 0.06

1,200,000

Zero Coupon due

13/05/16 .......................... 1,053 0.26

Ford Motor Credit Co LLC

800,000 4.250% due 03/02/17 ...... 718 0.17

General Motors Financial Co

Inc

400,000 2.750% due 15/05/16 ...... 352 0.09

International Lease Finance

Corp

200,000 5.750% due 15/05/16 ...... 176 0.04

400,000 6.750% due 01/09/16 ...... 357 0.09

Johnson & Johnson

905,000 0.706% due 28/11/16 ...... 794 0.19

JPMorgan Chase & Co

EUR 300,000 0.202% due 19/02/17 ...... 300 0.07

Kellogg Co

USD 400,000 1.875% due 17/11/16 ...... 353 0.09

Lehman Brothers Holdings

Inc

400,000 1.000% due 25/05/10 ...... 25 0.01

500,000 6.200% due 26/09/14 ...... 33 0.01

Sirius International Group

Ltd

310,000 6.375% due 20/03/17 ...... 279 0.07

Sprint Communications

Inc

300,000 9.125% due 01/03/17 ...... 269 0.07

Toyota Motor Credit Corp

500,000 0.725% due 23/09/16 ...... 439 0.11




31 March 2016



Principal

Amount

Fair Value

EUR ‘000

Fund

%


Inc

645,000 2.164% due 15/09/16 ....... 569 0.14

11,101 2.70

Total Short Term

Investments ........................ 22,564 5.50

Total Transferable

Securities ............................ 379,104 92.42


2.32%)


U.S. Treasury Bill

3,540,000

Zero Coupon due

28/04/16 .......................... 3,106 0.76

1,900,000

Zero Coupon due

21/04/16 .......................... 1,667 0.41

4,773 1.17

Japan (0.53%)

JPY Japan Treasury Discount Bill

280,000,000

Zero Coupon due

12/05/16 .......................... 2,186 0.53

Total Money Market

Instruments ........................ 6,959 1.70

Certificates of Deposit (0.22%) (2015: 0.23%)

Canada (0.16%)

Bank of Nova Scotia

350,000

Zero Coupon due

28/03/18 .......................... 307 0.07

National Bank of Canada

400,000

Zero Coupon due

24/05/17 .......................... 350 0.09

657 0.16

Sweden (0.06%)


280,000

Zero Coupon due

17/08/16 .......................... 246 0.06

Total Certificates of

Deposit ............................... 903 0.22

Commercial Paper (0.60%) (2015: 0.00%)

Canada (0.16%)

National Bank of Canada

500,000

Zero Coupon due

22/06/16 .......................... 438 0.11

Principal

Amount

Fair Value

EUR ‘000

Fund

%

Ontario Teachers' Finance

Trust

250,000

Zero Coupon due

02/12/16 .......................... 218 0.05

656 0.16


ConocoPhillips

750,000

Zero Coupon due

04/04/16 .......................... 658 0.16


AutoNation Inc

400,000

Zero Coupon due

18/04/16 .......................... 351 0.09

EMC Corp

300,000

Zero Coupon due

07/04/16 .......................... 263 0.06

HP Inc

600,000

Zero Coupon due

04/04/16 .......................... 526 0.13

1,140 0.28

Total Commercial Paper .. 2,454 0.60

Number

of Shares


Ireland (6.40%)

17,736


plc - Russell Euro

Liquidity Fund - Class C

Income Shares ................. 17,690 4.31

131


III plc - The


Class R Roll-Up Shares .. 166 0.04

9,565


III plc - The

U.S. Dollar Cash Fund II -

Class R Roll-Up Shares .. 8,407 2.05

26,263 6.40

Luxembourg (0.47%)

15,662

Natixis International

Funds LUX I Debt and

Currencies Fund .............. 1,939 0.47

Total Investment Funds ... 28,202 6.87

Total Investments

excluding Financial





31 March 2016



Financial Derivative Instruments (1.06%) (2015: (1.68)%)


Notional

Amount

EUR '000

Average

Cost Price

EUR

Unrealised

Gain (Loss)

EUR ‘000

Fund

%

3,005

100.17

12 of Euro Euribor 3 Months Futures


Expiring June 2016 ............................................... 3 0.00

(6,698)

(86.43)

31 of 90 Days Eurodollar Futures


Expiring June 2018 ............................................... (24) (0.01)

(9,738)

(86.56)



Expiring March 2018 ............................................ (27) (0.01)

(2,162)

(86.48)



Expiring September 2018 ...................................... (5) (0.00)

(15,334)

(125.18)

98 of 90 Days Sterling Futures


Expiring June 2018 ............................................... 15 0.00

(11,692)

(124.72)

75 of 90 Days Sterling Futures


Expiring March 2018 ............................................ (37) (0.01)

(522)

(65.20)

8 of Australia 10 Years Bond Futures


Expiring June 2016 ............................................... (5) (0.00)

5,893

67.35

35 of Bank Accept Futures


Expiring June 2016 ............................................... (10) (0.00)

1,513

67.26



Expiring September 2016 ...................................... - 0.00

(1,545)

(96.56)

16 of Canada 10 Years Bond Futures


Expiring June 2016 ............................................... 14 0.00

4,414

163.47

27 of German Euro Bund Futures


Expiring June 2016 ............................................... (4) (0.00)

2,137

152.65

14 of U.K. Long Gilt Bond Futures


Expiring June 2016 ............................................... 3 0.00

6,815

113.58

60 of U.S. Treasury Notes 10 Years Futures


Expiring June 2016 ............................................... 51 0.01

11,565

106.10



Expiring June 2016 ............................................... 25 0.01

(1,451)

(145.09)



Expiring June 2016 ............................................... 8 0.00

(2,991)

(115.03)



Expiring June 2016 ............................................... 16 0.00

297

148.75

2 of U.S. Ultra Long Treasury Bond Futures


Expiring June 2016 ............................................... 5 0.00




31 March 2016



Notional

Amount

EUR '000

Average

Cost Price

EUR

Unrealised

Gain (Loss)

EUR ‘000

Fund

%

44,795

0.97

370 of Euro Foreign Currency Futures


Expiring June 2016 ............................................... 1,522 0.38

(340)

(113.33)



Expiring June 2016 ................................................ (3) (0.00)

(2,687)

(95.97)



Expiring June 2016 ............................................... - 0.00

319

106.48



Expiring June 2016 ............................................... - 0.00

3,071

1.18

26 of 10 Year Mini JGB Futures


Expiring June 2016 ............................................... 4 0.00

6,830

131.34

52 of German Euro Bobl Futures


Expiring June 2016 ............................................... (12) (0.00)

3,244

111.88

29 of German Euro Schatz Futures


Expiring June 2016 ............................................... (3) (0.00)

14,168

1.18

12 of Japan Government Bond 10 Years Futures


Expiring June 2016 ............................................... 8 0.00

4,452

153.52



Expiring June 2016 ............................................... (18) (0.01)

7,469

114.90



Expiring June 2016 ............................................... (32) (0.01)

7,874

96.02



Expiring June 2016 ............................................... (3) (0.00)

14,970

106.12



Expiring June 2016 ............................................... 22 0.01

7,392

144.98



Expiring June 2016 ............................................... (34) (0.01)

1,048

131.04



Expiring June 2016 ............................................... 1 0.00

13,336

162.61



Expiring June 2016 ............................................... 55 0.01

611

152.73



Expiring June 2016 ............................................... 1 0.00

12,735

113.56



Expiring June 2016 ............................................... 79 0.02

1,149

95.71



Expiring June 2016 ............................................... 3 0.00




31 March 2016



Notional

Amount

EUR '000

Average

Cost Price

EUR

Unrealised

Gain (Loss)

EUR ‘000

Fund

%

1,143

142.92



Expiring June 2016 ............................................... 11 0.00

(10,098)

(152.99)



Expiring June 2016 ............................................... 7 0.00

2,088

65.26



Expiring June 2016 ............................................... 18 0.01

6,956

66.25



Expiring June 2016 ............................................... (1) (0.00)

386

96.57



Expiring June 2016 ............................................... (3) (0.00)

(162)

(162.24)

1 of German Euro Buxl Futures 30 Year Bond


Expiring June 2016 ............................................... (6) (0.00)

(1,576)

(131.37)



Expiring June 2016 ............................................... 3 0.00

(1,247)

(138.60)

9 of Euro-BTP Futures


Expiring June 2016 ............................................... (18) (0.01)

(3,742)

(162.71)



Expiring June 2016 ............................................... (14) (0.00)

314

156.90

2 of Euro Oat Futures


Expiring June 2016 ............................................... 3 0.00

3,553

1.18



Expiring June 2016 ............................................... (10) (0.00)

(3,507)

(152.48)



Expiring June 2016 ............................................... (10) (0.00)

(911)

(113.92)



Expiring June 2016 ............................................... (4) (0.00)

(4,607)

(95.98)



Expiring June 2016 ............................................... - 0.00

(4,138)

(106.10)



Expiring June 2016 ............................................... (9) (0.00)

(2,271)

(151.41)

15 of U.S. Ultra Long Treasury Bond Futures


Expiring June 2016 ............................................... - 0.00

(37,603)

(100.28)

150 of Euro Euribor 3 Months Futures


Expiring March 2017 ............................................ (7) (0.00)

9,939

67.38



Expiring June 2016 ............................................... (22) (0.01)




31 March 2016



Notional

Amount

EUR '000

Average

Cost Price

EUR

Unrealised

Gain (Loss)

EUR ‘000

Fund

%

1,062

96.57



Expiring June 2016 ............................................... (9) (0.00)

(131)

(130.59)



Expiring June 2016 ............................................... (1) (0.00)

(1,106)

(138.19)

8 of Euro-BTP Futures


Expiring June 2016 ............................................... (19) (0.01)

(969)

(161.49)



Expiring June 2016 ............................................... (11) (0.00)

1,872

155.98

12 of Euro Oat Futures


Expiring June 2016 ............................................... 27 0.01

(447)

(111.73)

4 of German Euro Schatz Futures


Expiring June 2016 ............................................... - 0.00

(36,770)

(87.37)

101 of 30 Days Fed Fund Futures


Expiring May 2016 ............................................... (24) (0.01)

4,719

1.18



Expiring June 2016 ............................................... 6 0.00

2,758

153.24



Expiring June 2016 ............................................... (6) (0.00)

(1,947)

(114.56)



Expiring June 2016 ............................................... 2 0.00

3,072

96.01



Expiring June 2016 ............................................... (1) (0.00)

(1,058)

(105.78)



Expiring June 2016 ............................................... (5) (0.00)

144

143.72



Expiring June 2016 ............................................... 1 0.00

893

148.80



Expiring June 2016 ............................................... 16 0.01



Net unrealised gain (loss) on open futures contracts ................................................. 1,532 0.37


Settlement

Date

Amount

Bought ‘000

Amount

Sold ‘000

Unrealised

Gain (Loss)

EUR ‘000

Fund

%

04/04/2016 AUD 1,852 USD 1,392 28 0.01

07/04/2016 AUD 2,394 USD 1,709 116 0.04

08/04/2016 AUD 418 USD 300 19 0.00

26/04/2016 AUD 263 USD 200 2 0.00




31 March 2016



Settlement

Date

Amount

Bought ‘000

Amount

Sold ‘000

Unrealised

Gain (Loss)

EUR ‘000

Fund

%

26/04/2016 AUD 525 USD 400 3 0.00

03/05/2016 AUD 1,131 USD 800 60 0.01

04/04/2016 BRL 6,000 USD 1,490 178 0.05

04/04/2016 BRL 1,846 USD 463 51 0.01

04/04/2016 BRL 926 USD 236 22 0.01

03/05/2016 BRL 785 USD 213 6 0.00

04/10/2016 BRL 1,986 USD 468 56 0.01

04/04/2016 CAD 3,373 USD 2,558 43 0.01

04/04/2016 CAD 361 USD 267 11 0.00

04/04/2016 CAD 1,433 USD 1,058 44 0.01

07/04/2016 CAD 5,860 USD 4,351 158 0.05

20/04/2016 CAD 581 USD 433 14 0.00

08/06/2016 CAD 2,700 USD 2,058 26 0.01

09/06/2016 CAD 3,835 USD 2,856 96 0.02

15/06/2016 CAD 803 USD 618 3 0.00

14/09/2016 CNY 243 USD 36 1 0.00

14/09/2016 CNY 3,412 USD 501 21 0.01

26/09/2016 CNY 2,027 USD 299 11 0.00

30/09/2016 CNY 1,004 USD 148 6 0.00

11/10/2016 CNY 1,280 USD 188 7 0.00

11/10/2016 CNY 2,582 USD 378 17 0.00

11/10/2016 CNY 2,465 USD 362 15 0.00

11/10/2016 CNY 458 USD 68 2 0.00

05/12/2016 CNY 1,317 USD 193 8 0.00

07/12/2016 CNY 1,395 USD 205 8 0.00

09/06/2016 COP 6,068,781 USD 1,875 117 0.04

08/06/2016 DKK 28 EUR 4 - 0.00

04/04/2016 DKK 42,785 USD 6,305 210 0.06

03/05/2016 DKK 42,785 USD 6,500 43 0.01

15/04/2016 EUR 415 AUD 643 (19) 0.00

15/04/2016 EUR 800 CAD 1,232 (36) (0.01)

15/04/2016 EUR 475 CHF 529 (9) 0.00

15/04/2016 EUR 83 CZK 2,241 - 0.00

15/04/2016 EUR 214 DKK 1,597 - 0.00

15/06/2016 EUR 509 DKK 3,800 (1) 0.00

07/04/2016 EUR 2,939 GBP 2,294 46 0.01

15/04/2016 EUR 987 GBP 762 26 0.01

15/04/2016 EUR 5,190 GBP 3,970 184 0.05

08/06/2016 EUR 321 GBP 250 6 0.00

15/06/2016 EUR 1,283 GBP 1,000 24 0.01

03/06/2016 EUR 400 HUF 123,992 6 0.00

15/04/2016 EUR 82 ILS 353 (1) 0.00

15/04/2016 EUR 4,156 JPY 548,809 (129) (0.03)

15/04/2016 EUR 957 JPY 123,913 (11) 0.00

06/05/2016 EUR 687 JPY 87,355 5 0.00

06/05/2016 EUR 800 JPY 98,696 29 0.01

08/06/2016 EUR 2,450 JPY 301,469 96 0.02

08/06/2016 EUR 1,886 JPY 236,500 40 0.01

15/06/2016 EUR 16,225 JPY 2,018,160 470 0.11

15/06/2016 EUR 1,050 JPY 130,000 35 0.01




31 March 2016



Settlement

Date

Amount

Bought ‘000

Amount

Sold ‘000

Unrealised

Gain (Loss)

EUR ‘000

Fund

%

15/04/2016 EUR 1,722 MXN 34,600 (47) (0.01)

08/06/2016 EUR 373 MXN 7,392 (3) 0.00

15/04/2016 EUR 2,298 NOK 21,685 (2) 0.00

15/04/2016 EUR 186 NOK 1,765 (2) 0.00

15/06/2016 EUR 607 NOK 5,700 4 0.00

15/04/2016 EUR 101 NZD 171 (3) 0.00

08/06/2016 EUR 907 NZD 1,505 (6) 0.00

08/04/2016 EUR 1,030 PLN 4,500 (31) (0.01)

15/04/2016 EUR 770 PLN 3,427 (38) (0.01)

20/04/2016 EUR 400 PLN 1,782 (19) 0.00

28/04/2016 EUR 701 PLN 3,009 (8) 0.00

04/05/2016 EUR 404 PLN 1,758 (10) 0.00

15/04/2016 EUR 162 SEK 1,518 (2) 0.00

29/04/2016 EUR 793 SEK 7,474 (16) 0.00

10/05/2016 EUR 820 SEK 7,586 (2) 0.00

15/04/2016 EUR 76 SGD 119 (1) 0.00

05/04/2016 EUR 366 THB 14,317 9 0.00

15/04/2016 EUR 138 TRY 457 (4) 0.00

04/04/2016 EUR 23,238 USD 25,609 765 0.19

04/04/2016 EUR 1,852 USD 2,055 49 0.01

04/04/2016 EUR 18,962 USD 20,906 616 0.16

04/04/2016 EUR 19,687 USD 21,604 729 0.19

04/04/2016 EUR 132 USD 148 3 0.00

04/04/2016 EUR 254 USD 285 4 0.00

07/04/2016 EUR 3,906 USD 4,241 184 0.04

08/04/2016 EUR 82,642 USD 90,638 3,115 0.77

15/04/2016 EUR 984 USD 1,092 26 0.01

15/04/2016 EUR 408 USD 448 15 0.00

15/04/2016 EUR 186 USD 206 5 0.00

15/04/2016 EUR 619 USD 691 13 0.00

15/04/2016 EUR 17,830 USD 19,507 718 0.19

20/04/2016 EUR 1,200 USD 1,304 57 0.01

26/04/2016 EUR 1,458 USD 1,645 15 0.00

03/05/2016 EUR 400 USD 440 15 0.00

03/05/2016 EUR 965 USD 1,099 1 0.00

03/05/2016 EUR 11,737 USD 13,352 30 0.01

03/05/2016 EUR 700 USD 769 26 0.01

03/05/2016 EUR 23,966 USD 27,177 138 0.04

03/05/2016 EUR 23,810 USD 26,685 413 0.11

08/06/2016 EUR 13,215 USD 14,422 584 0.15

08/06/2016 EUR 1,005 USD 1,140 7 0.00

08/06/2016 EUR 431 USD 485 6 0.00

15/06/2016 EUR 6,298 USD 6,967 197 0.05

15/06/2016 EUR 6,288 USD 6,967 187 0.05

15/06/2016 EUR 40,215 USD 44,397 1,341 0.33

15/04/2016 EUR 183 ZAR 3,271 (12) 0.00

07/04/2016 GBP 1,594 EUR 2,039 (28) (0.01)

07/04/2016 GBP 19,668 EUR 24,979 (174) (0.05)

07/04/2016 GBP 19,671 EUR 24,979 (170) (0.05)

07/04/2016 GBP 19,668 EUR 24,979 (174) (0.05)




31 March 2016



Settlement

Date

Amount

Bought ‘000

Amount

Sold ‘000

Unrealised

Gain (Loss)

EUR ‘000

Fund

%

07/04/2016 GBP 19,659 EUR 24,979 (185) (0.06)

15/04/2016 GBP 619 EUR 799 (18) 0.00

15/04/2016 GBP 635 EUR 817 (16) 0.00

08/06/2016 GBP 150 EUR 193 (4) 0.00

15/06/2016 GBP 100 EUR 128 (3) 0.00

04/04/2016 GBP 4,172 USD 5,958 34 0.01

04/04/2016 GBP 82 USD 118 - 0.00

08/04/2016 GBP 1,278 USD 1,849 (10) 0.00

08/04/2016 GBP 2,522 USD 3,581 38 0.01

26/04/2016 GBP 387 USD 559 (2) 0.00

03/06/2016 HUF 123,992 EUR 400 (6) 0.00

15/06/2016 HUF 187,012 EUR 600 (7) 0.00

04/04/2016 IDR 16,800,000 JPY 142,639 (2) 0.00

04/04/2016 IDR 5,700,000 JPY 47,378 7 0.00

15/06/2016 JPY 240,351 AUD 2,870 (50) (0.01)

15/04/2016 JPY 5,806 EUR 47 (1) 0.00

15/04/2016 JPY 51,865 EUR 418 (14) 0.00

15/04/2016 JPY 36,673 EUR 294 (8) 0.00

15/04/2016 JPY 191,546 EUR 1,452 43 0.01

06/05/2016 JPY 186,051 EUR 1,500 (47) (0.01)

08/06/2016 JPY 4,330 EUR 35 (1) 0.00

15/06/2016 JPY 25,000 EUR 198 (2) 0.00

04/04/2016 JPY 193,299 IDR 22,500,000 20 0.00

30/06/2016 JPY 139,701 IDR 16,800,000 (2) 0.00

04/04/2016 JPY 48,087 USD 427 1 0.00

04/04/2016 JPY 64,700 USD 575 1 0.00

04/04/2016 JPY 435,995 USD 3,874 5 0.00

04/04/2016 JPY 12,900 USD 114 1 0.00

04/04/2016 JPY 10,300 USD 92 (1) 0.00

07/04/2016 JPY 776,915 USD 6,861 46 0.01

08/04/2016 JPY 15,964 USD 143 (1) 0.00

08/04/2016 JPY 369,118 USD 3,126 140 0.04

02/05/2016 JPY 112,787 USD 993 10 0.00

02/05/2016 JPY 78,500 USD 698 1 0.00

02/06/2016 JPY 91,303 USD 808 5 0.00

15/06/2016 JPY 160,000 USD 1,442 (13) 0.00

15/06/2016 JPY 698,000 USD 6,204 17 0.00

24/05/2016 KRW 33,600 USD 28 1 0.00

24/05/2016 KRW 181,049 USD 151 6 0.00

24/05/2016 KRW 236,474 USD 196 9 0.00

20/04/2016 MXN 41,235 USD 2,250 134 0.03

28/04/2016 MXN 9,757 USD 550 16 0.00

20/05/2016 MXN 15,278 USD 855 29 0.01

20/05/2016 MXN 6,142 USD 344 11 0.00

20/05/2016 MXN 3,272 USD 183 6 0.00

09/06/2016 MXN 17,397 USD 970 34 0.01

15/06/2016 MXN 7,455 USD 423 8 0.00

15/06/2016 MXN 2,244 USD 127 2 0.00

03/05/2016 MYR 1,671 USD 400 24 0.01

24/05/2016 MYR 523 USD 121 11 0.00




31 March 2016



Settlement

Date

Amount

Bought ‘000

Amount

Sold ‘000

Unrealised

Gain (Loss)

EUR ‘000

Fund

%

24/05/2016 MYR 532 USD 125 9 0.00

24/05/2016 MYR 689 USD 161 13 0.00

24/05/2016 MYR 408 USD 96 7 0.00

24/05/2016 MYR 831 USD 199 12 0.00

24/05/2016 MYR 596 USD 140 11 0.00

24/05/2016 MYR 589 USD 138 11 0.00

24/05/2016 MYR 1,390 USD 325 26 0.01

09/06/2016 MYR 2,787 USD 672 33 0.01

15/06/2016 NOK 2,921 SEK 2,900 (5) 0.00

07/04/2016 NOK 14,936 USD 1,719 76 0.02

09/06/2016 NOK 44,805 USD 5,177 209 0.05

08/06/2016 NZD 350 EUR 210 2 0.00

08/06/2016 NZD 165 EUR 100 - 0.00

07/04/2016 NZD 2,576 USD 1,696 81 0.02

08/04/2016 NZD 591 USD 392 16 0.00

26/04/2016 NZD 288 USD 200 - 0.00

26/04/2016 NZD 583 USD 400 4 0.00

03/05/2016 NZD 1,377 USD 914 35 0.01

08/04/2016 PLN 700 EUR 161 4 0.00

20/04/2016 PLN 1,782 EUR 400 20 0.00

28/04/2016 PLN 3,009 EUR 700 9 0.00

04/05/2016 PLN 1,758 EUR 400 14 0.00

09/06/2016 PLN 15,027 USD 3,777 225 0.05

15/06/2016 PLN 1,518 USD 400 6 0.00

15/04/2016 RUB 43,980 USD 597 52 0.01

25/04/2016 RUB 32,474 USD 406 67 0.02

29/04/2016 SEK 7,474 EUR 800 9 0.00

10/05/2016 SEK 7,586 EUR 800 21 0.01

07/04/2016 SEK 22,006 USD 2,555 140 0.03

24/05/2016 THB 6,489 USD 181 3 0.00

24/05/2016 THB 6,847 USD 191 3 0.00

24/05/2016 THB 5,836 USD 163 2 0.00

26/04/2016 TRY 569 USD 200 1 0.00

26/04/2016 TRY 577 USD 200 3 0.00

03/05/2016 TRY 1,211 USD 415 10 0.00

09/06/2016 TRY 9,793 USD 3,259 139 0.03

24/05/2016 TWD 2,584 USD 77 3 0.00

24/05/2016 TWD 762 USD 23 1 0.00

24/05/2016 TWD 3,029 USD 91 2 0.00

24/05/2016 TWD 1,179 USD 35 1 0.00

24/05/2016 TWD 3,309 USD 99 4 0.00

04/04/2016 USD 1,326 AUD 1,852 (87) (0.02)

08/04/2016 USD 14,577 AUD 20,668 (1,156) (0.29)

26/04/2016 USD 263 AUD 345 (2) 0.00

26/04/2016 USD 400 AUD 526 (4) 0.00

26/04/2016 USD 200 AUD 267 (5) 0.00

03/05/2016 USD 416 AUD 566 (16) 0.00

03/05/2016 USD 400 AUD 565 (30) (0.01)

03/05/2016 USD 1,390 AUD 1,852 (28) (0.01)

15/06/2016 USD 705 AUD 950 (20) 0.00




31 March 2016



Settlement

Date

Amount

Bought ‘000

Amount

Sold ‘000

Unrealised

Gain (Loss)

EUR ‘000

Fund

%

04/04/2016 USD 1,467 BRL 6,000 (198) (0.06)

04/04/2016 USD 214 BRL 785 (6) 0.00

04/04/2016 USD 492 BRL 1,986 (60) (0.01)

11/04/2016 USD 2,055 BRL 8,073 (192) (0.06)

26/04/2016 USD 170 BRL 650 (11) 0.00

03/05/2016 USD 99 BRL 400 (12) 0.00

04/10/2016 USD 405 BRL 1,650 (32) (0.01)

04/10/2016 USD 405 BRL 1,650 (32) (0.01)

04/04/2016 USD 3,658 CAD 5,059 (222) (0.06)

04/04/2016 USD 83 CAD 108 - 0.00

07/04/2016 USD 2,610 CAD 3,516 (95) (0.02)

20/04/2016 USD 400 CAD 581 (43) (0.01)

26/04/2016 USD 138 CAD 180 (1) 0.00

03/05/2016 USD 2,435 CAD 3,208 (40) (0.01)

03/05/2016 USD 519 CAD 676 (4) 0.00

08/06/2016 USD 3,697 CAD 4,987 (139) (0.04)

15/06/2016 USD 600 CAD 803 (19) 0.00

07/04/2016 USD 5,988 CHF 5,967 (214) (0.06)

09/06/2016 USD 7,413 CHF 7,338 (238) (0.07)

15/06/2016 USD 243 CHF 240 (7) 0.00

20/04/2016 USD 1,100 CNH 7,379 (37) (0.01)

14/09/2016 USD 435 CNY 2,899 (10) 0.00

14/09/2016 USD 115 CNY 756 (1) 0.00

26/09/2016 USD 307 CNY 2,027 (4) 0.00

30/09/2016 USD 153 CNY 1,004 (1) 0.00

11/10/2016 USD 298 CNY 2,027 (11) 0.00

11/10/2016 USD 738 CNY 4,840 (5) 0.00

11/10/2016 USD 148 CNY 1,004 (6) 0.00

05/12/2016 USD 198 CNY 1,317 (4) 0.00

07/12/2016 USD 210 CNY 1,395 (4) 0.00

09/06/2016 USD 971 COP 3,103,449 (50) (0.01)

01/04/2016 USD 6,303 DKK 42,711 (202) (0.05)

01/07/2016 USD 6,509 DKK 42,633 (27) (0.01)

03/04/2017 USD 1,203 DKK 7,959 (28) (0.01)

04/04/2016 USD 677 EUR 610 (16) 0.00

04/04/2016 USD 2,786 EUR 2,523 (79) (0.02)

04/04/2016 USD 1,626 EUR 1,478 (51) (0.01)

04/04/2016 USD 26,662 EUR 23,810 (413) (0.10)

07/04/2016 USD 14,411 EUR 13,223 (577) (0.15)

07/04/2016 USD 14,415 EUR 13,223 (575) (0.15)

07/04/2016 USD 1,696 EUR 1,562 (74) (0.02)

07/04/2016 USD 14,414 EUR 13,223 (574) (0.15)

07/04/2016 USD 14,938 EUR 13,704 (597) (0.16)

08/04/2016 USD 2,120 EUR 1,928 (68) (0.02)

15/04/2016 USD 799 EUR 706 (5) 0.00

15/04/2016 USD 163 EUR 148 (5) 0.00

15/04/2016 USD 3,953 EUR 3,551 (84) (0.02)

15/04/2016 USD 34 EUR 31 (1) 0.00

15/04/2016 USD 1,210 EUR 1,078 (17) 0.00

20/04/2016 USD 1,310 EUR 1,200 (51) (0.01)




31 March 2016



Settlement

Date

Amount

Bought ‘000

Amount

Sold ‘000

Unrealised

Gain (Loss)

EUR ‘000

Fund

%

03/05/2016 USD 446 EUR 400 (9) 0.00

03/05/2016 USD 768 EUR 700 (27) (0.01)

08/06/2016 USD 870 EUR 778 (16) 0.00

08/06/2016 USD 150 EUR 137 (6) 0.00

08/06/2016 USD 498 EUR 444 (7) 0.00

15/06/2016 USD 580 EUR 517 (9) 0.00

04/04/2016 USD 5,921 GBP 4,254 (170) (0.04)

07/04/2016 USD 2,582 GBP 1,854 (72) (0.02)

08/04/2016 USD 5,373 GBP 3,697 51 0.01

03/05/2016 USD 5,959 GBP 4,172 (34) (0.01)

03/05/2016 USD 400 GBP 274 5 0.00

08/06/2016 USD 288 GBP 200 - 0.00

08/06/2016 USD 434 GBP 300 2 0.00

29/06/2016 USD 3,343 GBP 2,350 (31) (0.01)

09/06/2016 USD 3,871 IDR 52,503,589 (42) (0.01)

24/05/2016 USD 29 INR 2,031 (1) 0.00

04/04/2016 USD 992 JPY 112,787 (10) 0.00

04/04/2016 USD 1,350 JPY 151,195 5 0.00

04/04/2016 USD 137 JPY 15,600 (2) 0.00

04/04/2016 USD 1,721 JPY 195,500 (16) 0.00

04/04/2016 USD 748 JPY 84,000 - 0.00

08/04/2016 USD 7,086 JPY 799,985 (28) (0.01)

08/04/2016 USD 471 JPY 52,612 2 0.00

26/04/2016 USD 791 JPY 87,947 7 0.00

02/05/2016 USD 3,876 JPY 435,995 (6) 0.00

12/05/2016 USD 2,462 JPY 280,000 (28) (0.01)

02/06/2016 USD 800 JPY 91,303 (12) 0.00

24/05/2016 USD 43 KRW 51,935 (2) 0.00

24/05/2016 USD 8 KRW 9,664 - 0.00

24/05/2016 USD 305 KRW 371,957 (18) 0.00

24/05/2016 USD 4 KRW 4,847 - 0.00

20/04/2016 USD 400 MXN 7,157 (15) 0.00

20/04/2016 USD 434 MXN 8,231 (40) (0.01)

20/04/2016 USD 401 MXN 7,172 (15) 0.00

20/04/2016 USD 1,040 MXN 18,676 (42) (0.01)

20/05/2016 USD 824 MXN 14,531 (18) 0.00

20/05/2016 USD 706 MXN 12,405 (13) 0.00

20/05/2016 USD 31 MXN 542 - 0.00

20/05/2016 USD 310 MXN 5,460 (6) 0.00

03/06/2016 USD 552 MXN 10,000 (25) (0.01)

09/06/2016 USD 928 MXN 16,726 (37) (0.01)

03/05/2016 USD 408 MYR 1,671 (17) 0.00

24/05/2016 USD 201 MYR 878 (20) 0.00

24/05/2016 USD 5 MYR 22 (1) 0.00

24/05/2016 USD 220 MYR 929 (15) 0.00

24/05/2016 USD 421 MYR 1,741 (21) (0.01)

24/05/2016 USD 421 MYR 1,866 (49) (0.01)

24/05/2016 USD 36 MYR 152 (2) 0.00

07/04/2016 USD 6,875 NOK 59,744 (305) (0.07)

08/04/2016 USD 18,421 NZD 27,975 (875) (0.22)




31 March 2016



Settlement

Date

Amount

Bought ‘000

Amount

Sold ‘000

Unrealised

Gain (Loss)

EUR ‘000

Fund

%

26/04/2016 USD 52 NZD 76 (1) 0.00

26/04/2016 USD 400 NZD 592 (9) 0.00

26/04/2016 USD 200 NZD 294 (4) 0.00

03/05/2016 USD 900 NZD 1,377 (48) (0.01)

15/06/2016 USD 2,869 NZD 4,240 (56) (0.01)

09/06/2016 USD 3,223 PHP 153,499 (86) (0.02)

25/04/2016 USD 400 RUB 32,474 (73) (0.02)

18/05/2016 USD 233 RUB 17,970 (28) (0.01)

18/05/2016 USD 418 RUB 29,984 (22) (0.01)

20/04/2016 USD 1,100 SAR 4,160 (8) 0.00

07/04/2016 USD 5,962 SEK 51,347 (327) (0.08)

09/06/2016 USD 8,680 SGD 12,097 (263) (0.06)

24/05/2016 USD 222 THB 7,903 (2) 0.00

24/05/2016 USD 184 THB 6,737 (6) 0.00

24/05/2016 USD 124 THB 4,515 (4) 0.00

09/06/2016 USD 3,037 THB 108,176 (29) (0.01)

03/05/2016 USD 400 TRY 1,211 (23) (0.01)

24/05/2016 USD 121 TWD 4,062 (5) 0.00

24/05/2016 USD 210 TWD 7,017 (8) 0.00

26/04/2016 USD 200 ZAR 3,095 (8) 0.00

26/04/2016 USD 200 ZAR 3,107 (9) 0.00

12/05/2016 USD 218 ZAR 3,155 4 0.00

16/05/2016 USD 217 ZAR 3,500 (16) 0.00

26/04/2016 ZAR 5,982 USD 400 4 0.00

09/06/2016 ZAR 35,493 USD 2,220 143 0.03



Net unrealised gain (loss) on open forward foreign currency exchange contracts ........ 2,865 0.70

Currency Options Purchase (0.00%)

Notional

Amount

EUR ‘000

Fair Value

EUR ‘000

Fund

%

800

Call at 0.68 USD/AUD

Expiring April 2016 .................................................................................................................... - 0.00

Options purchase at fair value (Premium received EUR 11,701) .............................................. - 0.00

Curency Options Written ((0.03)%)

Notional

Amount

EUR ‘000

Fair Value

EUR ‘000

Fund

%

(300) Call at 18.25 USD/MXN Expiring May 2016 ............................................................................... (1) (0.00)

(100) Put at 1.10 EUR/USD Expiring May 2016 ................................................................................... - (0.00)

(300) Put at 18.20 USD/MXN Expiring April 2016 ............................................................................... (15) (0.01)

(400) Put at 18.20 USD/MXN Expiring April 2016 ............................................................................... (20) (0.01)

(300) Put at 1.34 USD/CAD Expiring April 2016 .................................................................................. (9) (0.00)

(200) Call at 0.75 AUD/USD Expiring April 2016 ................................................................................ (4) (0.00)






31 March 2016



Notional

Amount

EUR ‘000

Fair Value

EUR ‘000

Fund

%

(500) Call at 1.13 EUR/USD Expiring May 2016 .................................................................................. (8) (0.00)

(200) Call at 1.13 EUR/USD Expiring April 2016 ................................................................................. (3) (0.00)

(200) Call at 18.45 USD/MXN Expiring April 2016 ............................................................................. - (0.00)

(100) Call at 1.37 USD/CAD Expiring April 2016 ................................................................................ (1) (0.00)

(200) Call at 1.37 USD/CAD Expiring April 2016 ................................................................................ - (0.00)

(300) Call at 1.37 USD/CAD Expiring April 2016 ................................................................................ - (0.00)


(200) Call at 87 USD/RUB Expiring December 2016 ............................................................................ (4) (0.00)


(700) Call at 1.13 EUR/USD Expiring April 2016 ................................................................................. (6) (0.00)

(700) Put at 1.10 EUR/USD Expiring April 2016 .................................................................................. (1) (0.00)

(800) Put at 80.00 USD/JPY Expiring February 2019 ............................................................................ (10) (0.01)

(700) Put at 96.00 USD/JPY Expiring September 2016 ......................................................................... (1) (0.00)

(300) Put at 80.00 USD/JPY Expiring February 2016 ............................................................................ (4) (0.00)


(300) Call at 18.30 USD/MXN Expiring May 2016 ............................................................................... (1) (0.00)

Currency options written at fair value (Premium received EUR 100,878) ............................... (101) (0.03)

Futures Options Purchased (0.01%)

Notional

Amount

EUR ‘000

Fair Value

EUR ‘000

Fund

%

72

Call at 165.00 on Euro Bund Future Option

Expiring May 2016 ..................................................................................................................... 34 0.01

Futures options purchased at fair value (Premium received EUR 19,862) ............................... 34 0.01

Futures Options Written ((0.00)%)

Notional

Amount

EUR ‘000

Fair Value

EUR ‘000

Fund

%

(16)

Put at 161.00 on Euro Bund Future Option

Expiring April 2016 .................................................................................................................... (2) (0.00)

(8)

Put at 129.50 on U.S. Treasury Notes 10 Years Futures

Expiring April 2016 .................................................................................................................... (1) (0.00)

(11)


Expiring April 2016 .................................................................................................................... (1) (0.00)

(8)


Expiring April 2016 .................................................................................................................... (2) (0.00)

(9)


Expiring April 2016 .................................................................................................................... (1) (0.00)

(19)


Expiring April 2016 .................................................................................................................... (4) (0.00)

(5)

Put at 129.25 on U.S. Treasury Notes 10 Years Futures

Expiring April 2016 .................................................................................................................... (1) (0.00)

(4)


Expiring May 2016 ..................................................................................................................... (2) (0.00)

Futures options written at fair value (Premium received EUR 30,565) .................................... (14) (0.00)




31 March 2016



Swaptions Purchased (0.01%)

Notional

Amount


Fair Value

EUR ‘000

Fund

%

1,400

Put at 1.25 on 1 Year IRO

Expiring July 2016 ...................................................................................................................... - 0.00

3,800


Expiring July 2016 ...................................................................................................................... - 0.00

10,400


Expiring July 2016 ...................................................................................................................... - 0.00

16,400


Expiring July 2016 ...................................................................................................................... 1 0.00

200


Expiring August 2018 ................................................................................................................. 9 0.00

6,900


Expiring July 2016 ...................................................................................................................... 1 0.00

3,800


Expiring April 2016 .................................................................................................................... - 0.00

2,900

Call at 100 on CDX

Expiring April 2016 .................................................................................................................... 13 0.01

Swaptions purchased at fair value (Premium paid EUR 133,376) ............................................ 24 0.01

Swaptions Written ((0.00)%)

Notional

Amount


Fair Value

EUR ‘000

Fund

%

(700)


Expiring April 2016 .................................................................................................................... - (0.00)

(900)


Expiring April 2016 .................................................................................................................... - (0.00)

(1,100)


Expiring April 2016 .................................................................................................................... - (0.00)

(500)


Expiring April 2016 .................................................................................................................... - (0.00)

(500)

Call at 0.45 on 10 Year IRO

Expiring June 2016 ..................................................................................................................... (2) (0.00)

(500)


Expiring June 2016 ..................................................................................................................... (1) (0.00)

(100)


Expiring June 2016 ..................................................................................................................... - (0.00)

(100)


Expiring June 2016 ..................................................................................................................... - (0.00)

(1,200)


Expiring April 2016 .................................................................................................................... (1) (0.00)

(2,600)


Expiring June 2016 ..................................................................................................................... (5) (0.00)

(2,600)


Expiring June 2016 ..................................................................................................................... (2) (0.00)

(700)


Expiring August 2018 ................................................................................................................. (6) (0.00)

(3,800)

Put at 600 on 5 Year iTraxx

Expiring April 2016 .................................................................................................................... - (0.00)

Swaptions written at fair value (Premium received EUR 93,071) ............................................. (17) (0.00)




31 March 2016



Interest Rate Swaps (0.04%)

Ccy

Notional

Amount

‘000

Fund

Pays

Fund

Receives

Termination

Date

Fair Value

EUR ‘000

Fund

%

GBP

1,500 2.25%

GBP 6 Month

LIBOR 17/12/2019 (99) (0.02)

CAD

300 2.30%

CAD 3 Month

CDOR 15/12/2025 (17) 0.00

USD

6,500 2.00%

USD 3 Month

LIBOR 16/12/2020 (244) (0.07)

USD

2,500 2.25%

USD 3 Month

LIBOR 16/12/2022 (132) (0.03)

USD

4,600 2.25%

USD 3 Month

LIBOR 15/06/2026 (193) (0.05)

USD

1,400 2.00%

USD 3 Month

LIBOR 15/06/2021 (43) (0.01)

GBP

9,800 1.00%

GBP 6 Month

LIBOR 21/09/2018 (31) (0.01)

GBP

300 1.75%

GBP 6 Month

LIBOR 15/03/2047 (4) 0.00

USD

17,600 1.50%

USD 3 Month

LIBOR 15/06/2019 (46) (0.01)

KRW

1,700,000

KRW 3 Month

KWCDC 1.85% 30/07/2020 23 0.01

CAD

400

CAD 3 Month

CDOR 5.80% 19/12/2023 57 0.01

JPY

350,000

JPY 6 Month

LIBOR 1.50% 19/06/2033 518 0.13

MXN

4,000

MXN 1 Month

TIIE 7.38% 09/02/2029 21 0.01

MXN

13,500

MXN 1 Month

TIIE 5.50% 02/09/2022 (3) 0.00

MXN

2,300

MXN 1 Month

TIIE 5.61% 07/07/2021 2 0.00

JPY

100,000

JPY 6 Month

LIBOR 0.50% 17/09/2021 25 0.01

MXN

7,500

MXN 1 Month

TIIE 5.61% 08/10/2021 4 0.00

JPY

420,000

JPY 6 Month

LIBOR 0.25% 20/12/2019 47 0.01

MXN

1,000

MXN 1 Month

TIIE 6.99% 19/05/2034 2 0.00

MXN

8,100

MXN 1 Month

TIIE 5.87% 08/09/2021 10 0.00

MXN

12,900

MXN 1 Month

TIIE 5.43% 17/11/2021 0 0.00

JPY

70,000

JPY 6 Month

LIBOR 1.25% 17/06/2035 83 0.02

MXN

18,000

MXN 1 Month

TIIE 5.67% 23/01/2025 (18) 0.00

MXN

23,800

MXN 1 Month

TIIE 5.54% 11/06/2020 21 0.01

MXN

8,000

MXN 1 Month

TIIE 6.53% 05/06/2025 18 0.00

MXN

4,600

MXN 1 Month

TIIE 5.94% 13/07/2022 5 0.00

MXN

17,000

MXN 1 Month

TIIE 5.98% 16/09/2022 21 0.00




31 March 2016



Ccy

Notional

Amount

‘000

Fund

Pays

Fund

Receives

Termination

Date

Fair Value

EUR ‘000

Fund

%

MXN

8,100

MXN 1 Month

TIIE 5.31% 22/10/2020 2 0.00

JPY

70,000

JPY 6 Month

LIBOR 0.30% 18/03/2026 10 0.00

MXN

2,400

MXN 1 Month

TIIE 5.99% 30/01/2026 0 0.00

MXN

20,800

MXN 1 Month

TIIE 5.10% 05/02/2021 (7) 0.00

GBP

800

GBP 12 Month

UKRPI 3.40% 15/06/2030 72 0.02

GBP

100

GBP 12 Month

LIBOR 3.33% 12/01/2045 8 0.00

GBP

940

GBP Less than

Month UKRPI 3.14% 14/01/2030 46 0.01

Interest rate swaps at positive fair value ........................................................................................ 995 0.24

Interest rate swaps at negative fair value ....................................................................................... (837) (0.20)

Interest rate swaps at fair value ................................................................................................. 158 0.04

Credit Default Swaps ((0.04)%)

Ccy

Notional

Amount

‘000

Security

Name

Fund

Pays

Fund

Receives

Termination

Date

Fair Value

EUR ‘000

Fund

%

USD

2,600

Italy

Government

International

Bond

#

1.00% 20/09/2020 (17) (0.00)

EUR

29 Volkswagen AG #

1.00% 20/12/2020 (1) (0.00)

EUR

15 Volkswagen AG #

1.00% 20/12/2020 - 0.00

EUR

37 Volkswagen AG #

1.00% 20/12/2020 (1) (0.00)

EUR

29 Volkswagen AG #

1.00% 20/12/2020 (1) (0.00)

EUR

34 Volkswagen AG #

1.00% 20/12/2020 (1) (0.00)

EUR

34 Volkswagen AG #

1.00% 20/12/2020 (1) (0.00)

EUR

13 Volkswagen AG #

1.00% 20/12/2020 - 0.00

EUR

29 Volkswagen AG #

1.00% 20/12/2020 (1) (0.00)

EUR

98 Telefonica SA 1.00% #

20/12/2020 1 0.00

EUR

81 Volkswagen AG #

1.00% 20/12/2020 (2) (0.00)

EUR

21 Telefonica SA 1.00% #

20/12/2020 - 0.00

EUR

37 Volkswagen AG #

1.00% 20/12/2020 (1) (0.00)

EUR

24

Carlsberg

Breweries A/S 1.00% #

20/12/2020 - 0.00

EUR

24

Anheuser-Busch

InBev SA/NV #

1.00% 20/12/2020 - 0.00




31 March 2016



Ccy

Notional

Amount

‘000

Security

Name

Fund

Pays

Fund

Receives

Termination

Date

Fair Value

EUR ‘000

Fund

%

EUR

24

Carlsberg


20/12/2020 - 0.00

EUR

24

Anheuser-Busch

InBev SA/NV #

1.00% 20/12/2020 - 0.00

EUR

59

Carlsberg


20/12/2020 (1) (0.00)

EUR

59

Anheuser-Busch

InBev SA/NV #

1.00% 20/12/2020 1 0.00

EUR

23

Carlsberg


20/12/2020 - 0.00

EUR

23

Anheuser-Busch

InBev SA/NV #

1.00% 20/12/2020 - 0.00

EUR

23

Anheuser-Busch

InBev SA/NV #

1.00% 20/12/2020 - 0.00

EUR

23

Carlsberg


20/12/2020 - 0.00

EUR

23

Carlsberg


20/12/2020 - 0.00

EUR

23

Anheuser-Busch

InBev SA/NV #

1.00% 20/12/2020 - 0.00

EUR

49

Carlsberg


20/12/2020 (1) (0.00)

EUR

49

Anheuser-Busch

InBev SA/NV #

1.00% 20/12/2020 1 0.00

EUR

25

Anheuser-Busch

InBev SA/NV #

1.00% 20/12/2020 - 0.00

EUR

25

Carlsberg


20/12/2020 - 0.00

EUR

20

Anheuser-Busch

InBev SA/NV #

1.00% 20/12/2020 - 0.00

EUR

20

Carlsberg


20/12/2020 - 0.00

EUR

21

Vodafone Group

Plc 1.00% #

20/12/2020 - 0.00

USD

400

Newell

Rubbermaid Inc 1.00% #

20/12/2020 (3) (0.00)

USD

400 Nordstrom Inc 1.00% #

20/12/2020 2 0.00

EUR

58

Telekom Austria

AG 1.00% #

20/12/2020 (1) (0.00)

USD

1,081

Republic of

Turkey 1.00% #

20/12/2020 57 0.03

EUR

100

Vodafone Group

Plc 1.00% #

20/12/2020 (1) (0.00)

EUR

65

Carlsberg


20/12/2020 (1) (0.00)

EUR

65

Anheuser-Busch

InBev SA/NV #

1.00% 20/12/2020 1 0.00

EUR

39 AB Volvo 1.00% #

20/12/2020 - 0.00

EUR

79

Telekom Austria

AG 1.00% #

20/12/2020 (1) (0.00)

EUR

3

Anheuser-Busch

InBev SA/NV #

1.00% 20/12/2020 - 0.00

EUR

3

Carlsberg


20/12/2020 - 0.00




31 March 2016



Ccy

Notional

Amount

‘000

Security

Name

Fund

Pays

Fund

Receives

Termination

Date

Fair Value

EUR ‘000

Fund

%

EUR

11

Telekom Austria

AG 1.00% #

20/12/2020 - 0.00

EUR

31

Telekom Austria

AG 1.00% #

20/12/2020 (1) (0.00)

EUR

28 AB Volvo 1.00% #

20/12/2020 - 0.00

EUR

49 AB Volvo 1.00% #

20/12/2020 - 0.00

USD

415

Republic of

Indonesia 1.00% #

20/12/2020 12 0.00

USD

885

Republic of

Indonesia 1.00% #

20/12/2020 28 0.01

EUR

11

Telekom Austria

AG 1.00% #

20/12/2020 - 0.00

EUR

11 AB Volvo 1.00% #

20/12/2020 - 0.00

USD

212 Republic of Italy #

1.00% 20/12/2020 (2) (0.00)

USD

430

Russian

Federation 1.00% #

20/12/2020 28 0.01

EUR

48

Anglo American

Plc 5.00% #

20/12/2020 3 0.00

EUR

30

Anglo American

Plc 5.00% #

20/12/2020 2 0.00

USD

195 Stora Enso Corp 1.00% #

20/12/2020 (3) (0.00)

EUR

6

Anglo American

Plc 5.00% #

20/12/2020 - 0.00

EUR

14

Anglo American

Plc 5.00% #

20/12/2020 1 0.00

EUR

11

Anglo American

Plc 5.00% #

20/12/2020 1 0.00

USD

313

Republic of

Korea 1.00% #

20/12/2020 (5) (0.00)

USD

147

Republic of

Korea 1.00% #

20/12/2020 (3) (0.00)

EUR

59

Anglo American

Plc 5.00% #

20/12/2020 3 0.00

EUR

9

Anglo American

Plc 5.00% #

20/12/2020 1 0.00

USD

936

United Mexican

Sts 1.00% #

20/12/2020 18 0.00

USD

428

United Mexican

Sts 1.00% #

20/12/2020 7 0.00

USD

936

United Mexican

Sts 1.00% #

20/12/2020 18 0.00

USD

59 MetLife Inc 1.00% #

20/12/2020 1 0.00

EUR

256 Atlantia SpA 1.00% #

20/06/2021 (4) (0.00)

EUR

265 Danone SA 1.00% #

20/06/2021 (8) (0.00)

EUR

110 Repsol SA 1.00% #

20/06/2021 9 0.00

EUR

200 Fortum Oyj 1.00% #

20/06/2021 (2) (0.00)




31 March 2016



Ccy

Notional

Amount

‘000

Security

Name

Fund

Pays

Fund

Receives

Termination

Date

Fair Value

EUR ‘000

Fund

%

EUR

152 Eni SpA 1.00% #

20/06/2021 1 0.00

USD

24 MetLife Inc 1.00% #

20/12/2020 - 0.00

EUR

246 Gas Nat SDG SA 1.00% #

20/06/2021 - 0.00

EUR

54

Jaguar Land

Rover

Automotive Plc 5.00%

#

20/06/2021 (4) (0.00)

EUR

78

Jaguar Land

Rover

Automotive Plc 5.00%

#

20/06/2021 (6) (0.00)

USD

50 Expedia Inc 1.00% #

20/06/2021 1 0.00

USD


20/06/2021 1 0.00

USD


20/06/2021 1 0.00

USD


1.00% 20/06/2021 (5) (0.00)

USD


1.00% 20/06/2021 (5) (0.00)

USD


1.00% 20/06/2021 (3) (0.00)

USD

84

Italy

Government

International

Bond

#

1.00% 20/06/2021 (1) (0.00)

USD

61

Italy

Government

International

Bond

#

1.00% 20/06/2021 (1) (0.00)

EUR

148 Solvay SA 1.00% #

20/06/2021 - 0.00

EUR

54

LVMH Moet

Hennessy Louis

Vuitton SE 1.00%

#

20/06/2021 (2) (0.00)

EUR

600 Volkswagen AG #

1.00% 20/09/2018 (1) (0.00)

EUR

800

Commerzbank

AG #

1.00% 20/12/2020 (56) (0.03)

EUR

1,750

Commerzbank

AG 1.00% #

20/12/2020 2 0.00

EUR

250

Imperial

Tobacco Group

Plc

#

1.00% 20/12/2020 1 0.00

USD

250

Reynolds

American Inc 1.00% #

20/12/2020 (6) (0.00)

EUR

100 Pearson Plc #

1.00% 20/12/2020 - 0.00

EUR

100 Pearson Plc #

1.00% 20/12/2020 - 0.00

EUR

250 Pearson Plc #

1.00% 20/12/2020 1 0.00

EUR

200 Pearson Plc #

1.00% 20/12/2020 1 0.00




31 March 2016



Ccy

Notional

Amount

‘000

Security

Name

Fund

Pays

Fund

Receives

Termination

Date

Fair Value

EUR ‘000

Fund

%

EUR

150

Imperial

Tobacco Group

Plc

#

1.00% 20/12/2020 1 0.00

USD

200

Reynolds


20/12/2020 (5) (0.00)

EUR

100

Imperial

Tobacco Group

Plc

#

1.00% 20/12/2020 - 0.00

USD

100

Reynolds


20/12/2020 (3) (0.00)

EUR

50

Imperial

Tobacco Group

Plc

#

1.00% 20/12/2020 - 0.00

USD

50

Reynolds


20/12/2020 (1) (0.00)

EUR

200

Veolia

Environnement

SA 1.00%

#

20/12/2020 (3) (0.00)

EUR

150

Veolia

Environnement

SA 1.00%

#

20/12/2020 (2) (0.00)

EUR

100

Gas Natural

SDG SA #

1.00% 20/12/2020 - 0.00

EUR

100

Gas Natural

SDG SA #

1.00% 20/12/2020 - 0.00

EUR

100

LVMH Moet

Hennessy Louis

Vuitton SE 1.00%

#

20/12/2020 (3) (0.00)

USD

200

Omnicom Group

Inc 1.00% #

20/12/2020 (5) (0.00)

USD

150

Omnicom Group

Inc 1.00% #

20/12/2020 (4) (0.00)

USD

100

Omnicom Group

Inc 1.00% #

20/12/2020 (3) (0.00)

EUR

200

Koninklijke KPN

NV 1.00% #

20/12/2020 (6) (0.00)

EUR

600 HSBC Bank Plc 1.00% #

20/12/2020 - 0.00

EUR

100

LVMH Moet

Hennessy Louis

Vuitton SE 1.00%

#

20/12/2020 (3) (0.00)

USD

650

General Mills

Inc 1.00% #

20/12/2020 (21) (0.01)

EUR

50

LVMH Moet

Hennessy Louis

Vuitton SE 1.00%

#

20/12/2020 (1) (0.00)

EUR

300

Standard

Chartered Bank 1.00% #

20/12/2020 26 0.01

EUR

100

LVMH Moet

Hennessy Louis

Vuitton SE 1.00%

#

20/12/2020 (3) (0.00)

EUR

500

iTraxx Europe

Crossover S25 5.00% #

20/06/2021 (44) (0.02)

EUR

1,000

iTraxx Europe

Crossover S25 5.00% #

20/06/2021 (89) (0.04)




31 March 2016



Ccy

Notional

Amount

‘000

Security

Name

Fund

Pays

Fund

Receives

Termination

Date

Fair Value

EUR ‘000

Fund

%

EUR

439

iTraxx Europe

S25 # 1.00% 20/06/2021 6 0.00

EUR

610

iTraxx Europe

S25 # 1.00% 20/06/2021 9 0.00

EUR

377

iTraxx Europe

S25 # 1.00% 20/06/2021 5 0.00

EUR

422

iTraxx Europe

S25 # 1.00% 20/06/2021 6 0.00

USD

1,000

CDX.NA.IG

MARKIT # 1.00% 20/06/2021 (5) (0.00)

USD

100

Mexico

Government

International

Bond # 1.00% 20/09/2019 - 0.00

USD

100

Mexico

Government

International

Bond # 1.00% 20/09/2019 - 0.00

EUR

300 Tesco Plc # 1.00% 20/12/2019 (13) (0.00)

EUR

200 Tesco Plc # 1.00% 20/12/2019 (8) (0.00)

EUR

100 Tesco Plc # 1.00% 20/12/2019 (4) (0.00)

USD

300

Mexico

Government

International

Bond # 1.00% 20/09/2020 (4) (0.00)

USD

500

Mexico

Government

International

Bond # 1.00% 20/09/2020 (7) (0.00)

EUR

500

Volkswagen

International

Finance NV # 1.00% 20/03/2017 1 0.00

USD

400

CMBX.NA.AA

A MARKIT # 0.50% 17/10/2057 (16) 0.00

USD

200 MetLife Inc # 1.00% 20/12/2020 (2) (0.00)

EUR

500

BMW Finance

NV # 1.00% 20/12/2020 9 0.00

USD

200

Mexico

Government

International

Bond # 1.00% 20/12/2020 (3) (0.00)

USD

200

Mexico

Government

International

Bond # 1.00% 20/12/2020 (3) (0.00)

USD

200

Mexico

Government

International

Bond # 1.00% 20/12/2020 (4) (0.00)

USD

400 Citigroup Inc # 1.00% 20/12/2020 1 0.00




31 March 2016



Ccy

Notional

Amount

‘000

Security

Name

Fund

Pays

Fund

Receives

Termination

Date

Fair Value

EUR ‘000

Fund

%

USD

1,000

PPG Industries

Inc 0.82% #

20/03/2018 (12) (0.00)

Credit default swaps at positive fair value .................................................................................................... 268 0.06

Credit default swaps at negative fair value ................................................................................................... (430) (0.10)

Credit default swaps at fair value ............................................................................................................. (162) (0.04)

Total Financial Derivative Instruments .................................................................................................... 4,319 1.06

Fair Value

EUR ‘000

Fund

%


(105.97%) ..................................................................................................................................................... 434,680 105.97


Loss ((3.10)%) ............................................................................................................................................. (12,739) (3.10)


(102.87%) .................................................................................................................................................. 421,941 102.87

Other Net Liabilities ((2.87)%) ............................................................................................................... (11,742) (2.87)

Net Assets .................................................................................................................................................. 410,199 100.00

# In the event of bankruptcy or modified restructuring, the Fund will pay/receive the notional amount to/from the counterparty.

* Perpetual bond.

** Partly held as collateral by the brokers in connection with the margin requirements for futures contracts held by the Fund.


% of

gross assets

Transferable securities admitted to official stock exchange listing ....................................................................... 47.13

Transferable securities dealt in on another regulated market ................................................................................. 28.69

Other transferable securities of the type referred to in Regulation 68(1)(a), (b) and (c) ........................................ 3.22

Money Market Instruments .................................................................................................................................... 1.45

Certificate of deposits ............................................................................................................................................ 0.19

Commercial papers ................................................................................................................................................ 0.51

Investment funds (UCITS) ..................................................................................................................................... 5.88

Exchange traded financial derivative instruments ................................................................................................. 0.41

Over the counter financial derivative instruments ................................................................................................. 3.15

Other assets ............................................................................................................................................................ 9.37

100.00

The brokers for the open futures contracts are:

Credit Suisse

Goldman Sachs


Merrill Lynch

RBC Capital Markets




31 March 2016




Australia & New Zealand Banking Corp

Bank of America

Barclays Bank

Barclays Capital

BNP Paribas

Citibank

Citigroup


Credit Suisse

Deutsche Bank AG

Goldman Sachs

HSBC Bank


JP Morgan Securities Plc

Merrill Lynch

Morgan Stanley

Nomura Global Financial Products Inc


Société Generale


State Street Bank

Toronto Dominion Bank

UBS AG

The counterparties for the options purchased are:

Credit Suisse Merrill Lynch

The counterparties for the options written are:

Bank of America

Barclays Capital

Citibank

Credit Suisse

Goldman Sachs

HSBC Bank


Merrill Lynch

Morgan Stanley

UBS AG

The counterparties for the swaptions purchased are:

BNP Paribas

Citibank

Goldman Sachs

Morgan Stanley

Nomura Global Financial Products Inc

The counterparties for the swaptions written are:

Bank of America

Barclays Capital

BNP Paribas

Citibank

Goldman Sachs

JP Morgan Securities Llc

Morgan Stanley


Barclays Bank

Citibank

Credit Suisse

Goldman Sachs


Société Generale

UBS AG

The counterparties for the credit default swaps are:

Barclays Bank

BNP Capital Markets

Citibank

Credit Suisse

Deutsche Bank AG

Goldman Sachs

HSBC Bank


Merrill Lynch

Morgan Stanley




31 March 2016





measured at fair value at 31 March 2016 and 31 March 2015. As at 31 March 2016

Level 1

EUR ‘000

Level 2

EUR ‘000

Level 3

EUR ‘000

Total

EUR ‘000

Assets



Transferable securities ............................................................... - 378,929 175 379,104


Certificate of deposits ................................................................ - 903 - 903

Commercial Paper ..................................................................... - 2,454 - 2,454


Unrealised gain on open futures contracts ...................................... 1,929 - - 1,929


contracts ......................................................................................... - 13,808 - 13,808

Futures options purchased at fair value .......................................... 34 - - 34

Swaptions purchased at fair value .................................................. - 24 - 24

Credit default swaps at fair value ................................................... - 268 - 268

Interest rate swaps at fair value ...................................................... - 995 - 995

Total assets ...................................................................................... 1,963 432,542 175 434,680

Liabilities


Unrealised loss on open futures contracts ...................................... (397) - - (397)


contracts ......................................................................................... - (10,943) - (10,943)

Currency options written at fair value ............................................ - (101) - (101)

Futures options written at fair value ............................................... (14) - (14)

Swaptions written at fair value ....................................................... - (17) - (17)

Credit default swaps at fair value ................................................... - (430) - (430)






31 March 2016



As at 31 March 2015

Level 1

EUR ‘000

Level 2

EUR ‘000

Level 3

EUR ‘000

Total

EUR ‘000

Assets



Transferable securities ............................................................... - 486,827 515 487,342


Certificate of deposits ................................................................ 1,304 - 1,304




contracts ......................................................................................... - 8,444 - 8,444

Swaptions purchased at fair value .................................................. - 4 - 4

Credit default swaps at fair value ................................................... - 2 - 2

Interest rate swaps at fair value ...................................................... - 812 - 812

Total assets ...................................................................................... 1,464 565,346 515 567,325

Liabilities




contracts ......................................................................................... - (18,002) - (18,002)

Options purchased at fair value ...................................................... - (46) - (46)

Swaptions written at fair value ....................................................... - (13) - (13)

Credit default swaps at fair value ................................................... - (37) - (37)

Interest rate swaps at fair value ...................................................... - (1,780) - (1,780)




Statement of Changes in the Composition of Portfolio






Acquisition Cost


Disposal Proceeds

EUR ‘000

Russell Investment Company plc Russell Investment Company plc

The Euro Liquidity Fund - Russell Euro Liquidity Fund -


Russell Investment Company III plc Russell Investment Company III plc

The U.S. Dollar Cash Fund II - The U.S. Dollar Cash Fund II -


Fannie Mae Pool Fannie Mae Pool

3.500% due 15/01/46 26,025 3.500% due 15/01/46 (26,047)

4.000% due 15/01/46 20,819 4.000% due 15/11/45 (21,012)

4.000% due 15/11/45 20,811 4.000% due 15/01/46 (20,893)

Russell Investment Company III plc Russell Investment Company plc

The Sterling Liquidity Fund - Russell Absolute Return Bond Fund -

Class R Roll-Up Shares 17,743 Class K-H Shares (18,868)

Fannie Mae Pool Russell Investment Company III plc

3.500% due 15/10/45 16,178 The Sterling Liquidity Fund -

3.500% due 15/12/45 14,716 Class R Roll-Up Shares (17,738)

4.000% due 15/12/45 13,748 Fannie Mae Pool

3.500% due 15/02/46 13,069 3.500% due 15/10/45 (16,149)

4.000% due 15/09/45 13,002 3.500% due 15/12/45 (14,920)

3.000% due 15/05/46 12,382 4.000% due 15/12/45 (13,829)

3.000% due 15/01/46 12,168 3.000% due 15/04/46 (13,342)

3.000% due 15/12/45 12,097 3.500% due 15/02/46 (13,134)

U.S. Treasury Note 4.000% due 15/09/45 (12,978)

2.125% due 15/05/25 11,405 3.000% due 15/12/45 (12,276)

Fannie Mae Pool 3.000% due 15/01/46 (12,061)

3.500% due 15/11/45 10,979 3.000% due 15/05/46 (11,784)

3.500% due 15/09/45 10,743 U.S. Treasury Note

Federal Home Loan Bank Discount Notes 1.500% due 31/12/18 (11,721)

Zero Coupon due 15/05/15 10,697 2.125% due 15/05/25 (11,482)

iShares MBS ETF 10,294 Fannie Mae Pool

Fannie Mae Pool 3.500% due 15/11/45 (11,074)

3.000% due 15/11/45 10,129 3.500% due 15/09/45 (10,653)



Manager’s Report

122 Russell Global Defensive Equity Fund

Money Managers as at 31 March 2016 Intech Investment Management, LLC

Perkins Investment Management, LLC


Russell Investment Management Company

Investment Objective Russell Global Defensive Equity Fund (the “Fund”) seeks to achieve long term capital appreciation with absolute volatility that is

low relative to other global equity funds.

Fund Performance

During the 12 month period ended 31 March 2016, Russell Global Defensive Equity Fund (Class A USD) returned 0.6 per cent

on a gross-of-fee basis (-0.5 per cent on a net-of-fee basis), while the benchmark* returned 0.6 per cent.

Market Comment

Global equities, as measured by the benchmark, fell 0.6 per cent in U.S. Dollar terms over the second quarter of 2015, while the

non-U.S. component rose by 0.5 per cent. Global markets gained in aggregate over the second quarter, despite Greece’s

sovereign-debt crisis casting a growing shadow over market sentiment. In the U.S., economic data trends were mixed over the

quarter, but evidence that the economy is bouncing back from its first-quarter economic slowdown materialised by the end of the

period. Employment, consumption and housing data all improved markedly, supporting expectations for a first interest rate hike

later this year. Stocks rose marginally over the period, with the pace of subsequent rate hikes at the forefront of investor concerns.

Japanese equity markets performed well over the quarter, extending year-to-date gains. Better than expected GDP growth in the

first quarter and strong corporate earnings buoyed market sentiment. Meanwhile, continental European stocks registered losses of

4.2 per cent in local currency terms (-0.6 per cent in U.S. Dollar terms), as worries over Greece outweighed evidence that the

Eurozone recovery was gaining momentum. In Emerging Markets (EM), Brazilian stocks rebounded in what was a solid quarter

overall for Latin American bourses. Meanwhile, China’s long bull market continued for much of the quarter before concerns that

the country’s stocks were overvalued led to a major sell-off in June.

Global equities, as measured by the benchmark, fell 6.3 per cent over the third quarter of 2015. The non-U.S. component fell by

12.1 per cent. Early in the quarter, the renewed bailout deal with Greece brought a degree of harmony in Europe. This positive

development soon became a distant memory, as two central stories unfolded over the period. In China, the country’s devaluation

of its currency, amid slowing growth, gave rise to a severe sell-off in global markets. This, in turn, became a lead factor in

preventing the U.S. Federal Reserve (the “Fed”) from raising its interest rate in September. The combination of these major

events engendered the fourth biggest quarterly increase in volatility in the past 10 years, as measured by the Chicago Board

Options Exchange Volatility Index. It also handed over renewed market uncertainty to the final quarter of this year. Though the

data-driven Fed saw strong upward revisions to second quarter GDP figures (first to 3.7 per cent, later revised to 3.9 per cent) and

overall positive employment numbers, lacklustre wage growth, inflation and “recent global economic and financial

developments” (alluding to China and capital market volatility) served as deterrents to a September rate rise. This decision

initially boosted equities, however investors grew anxious about global economic growth, tilting their demand away from risk. In

Europe, after a possible ‘Grexit’ was avoided, relatively positive economic data streamed through over the summer.

Global equities, as measured by the benchmark, rose by 5.2 per cent over the fourth quarter of 2015 in U.S. Dollar terms. The

non-U.S. component rose by 3.9 per cent. Global markets gained in aggregate over the fourth quarter as the negative effects of

China’s third quarter slowdown began to fade and the Fed moved towards policy tightening, exhibiting confidence in the

American economy’s steady recovery. In Europe, investors were slightly disappointed by the European Central Bank’s (ECB)

timid actions to quell sluggish growth, whilst the downward trend of the oil price weighed on EM. Driven by overall positive

economic growth, strong employment and housing data, the Fed’s Open Market Committee (FOMC) unanimously decided to lift

the interest rate by 25 basis points (bps) to 0.5 per cent. The Fed’s accompanying statement revealed that its policy would “remain

accommodative” and that “the actual path of [increases in] the federal funds rate will depend on the economic outlook as

informed by incoming data”.

Global equities, as measured by the benchmark, rose by 2.6 per cent over the first quarter of 2016 in U.S. Dollar terms. The

period was characterised by two halves. In the first half, slowing growth in China coupled with an ongoing commodities rout

(especially in oil), engendered significant market volatility and a considerable risk-off sentiment. However in the latter part of the

quarter, more accommodative Central Bank policies alongside oil price stabilisation, thawed sentiment for global equities to some

degree. At the FOMC meeting, Fed Chair Yellen explained that whilst on one hand, economic “forecasts have not changed much

since December”, this was being overshadowed by “global economic and financial developments”, posing a risk to growth. As a

result, FOMC “dots” reduced to two possible interest rate hikes this year, as opposed to four.




Russell Global Defensive Equity Fund 123


The Fund outperformed the benchmark in the second quarter of 2015. Growth factors performed positively across the qu arter

whilst value factors faced some headwinds towards the latter part. Despite headwinds, fundamental value Money Manager

Perkins added, with positive stock selection in financials. Managed volatility strategy Intech also delivered positive return s, as

volatility picked up towards the end of the quarter. Growth strategy Fiera held back gains with healthcare stocks and no

exposure to the telecommunication services sector detracting. At the Fund level, stock selection within the financials sector

was positive, however an overweight position to a poor performing utilities sector and exposure to health care, held back Fund

performance.

The Fund finished ahead of the benchmark, in a third quarter of 2015 characterised by significant market decline and

volatility. In this market environment, defensive and growth factors as well as lower-beta stocks performed better than value

styles. The Fund’s underlying strategies held their ground, however Intech was a notable outperformer, strongly positioned fo r

this prevailing environment. At the Fund level, stock selection within the consumer discretionary and financial sectors

rewarded. Stock picks in the U.S. and EM was also positive. Selection in the U.K. and within industrials and information

technology, detracted slightly.

The Fund underperformed the benchmark in the final quarter of 2015. Names within the industrials and technology sectors

generated strong gains, especially through Apple (technology) and Schindler Holding (industrials). However, consumer -

orientated and telecommunication stocks held back performance. On a regional basis, allocation and selection effect were

positive for Japan, whilst Asia detracted. An allocation towards the higher momentum spectrum was beneficial. We believe

that high momentum is an area of caution, from a defensive stand-point, but a potential diversifier from an alpha source

perspective.

The Fund finished behind the benchmark in the first quarter of 2016. An allocation towards the small -mid cap spectrum was

rewarded in the prevailing market environment. However this was offset by a tilt away from the higher dividend yield space.

Stock selection within the health care, technology and consumer discretionary sectors drove performance. However, names

within the financial sector, which sold off substantially over the quarter, hurt performance. Stock selection in the U.K. was

positive, whilst an underweight allocation to Emerging Markets detracted slightly.

Outlook

Global markets got off to a rough start in 2016. By mid-February global developed equities had lost nearly 20 per cent from

their 2015 peak. They rebounded by around 10 per cent by mid-March, but we expect volatility to be a headline throughout

2016. This volatility will continue to be driven by China fears, the Fed’s monetary tightening, U.S. recession concerns, bank

balance sheet worries, and soft corporate profits. Moreover, the move to negative interest rates in Europe and Japan has

triggered fears that Central Banks have run out of easing options. Negative rates also tend to squeeze the margin between

banks’ borrowing and lending rates. This squeeze could, in turn, hurt bank profitability, and end up making things worse for

the markets. In our 2016 Global Market Outlook Annual report, we forecast mid-to-low single digit returns for global equities,

along with a gradual rise in long-term interest rates. We’re holding to that view, with the exception we think equity growth is

more likely to be in the low single digits. Moreover, we’re now seeing corporate profits weakening, softn ess in global trade

and manufacturing, and slightly higher risks for Emerging Markets. These elements all contribute to a less supportive

environment for equities. That said, we’re not forecasting a sustained bear market , provided the U.S. does not fall into

recession. Right now we see recession as a low probability over the next several years. It’s true we’re deep into the current

business cycle, but we’re not seeing excesses in the U.S. economy that could trigger recession.


* Benchmark Source: Russell Global Defensive Index


May 2016



Balance Sheet

As at 31 March 2016



31 March 2016

USD ‘000

31 March 2015

USD ‘000

Assets

Financial assets at fair value through profit or loss (Note 2) ................................................................................................................ 132,985 145,280

Cash at bank (Note 3) ........................................................................................................................................................................... 1,295 4,337


(Note 3) ................................................................................................................................................................................................. 511 812

Debtors:

Receivable for investments sold ...................................................................................................................... 178 285

Receivable on fund shares issued .................................................................................................................... 13 -

Dividends receivable ....................................................................................................................................... 426 458

135,408 151,172

Liabilities

Financial liabilities at fair value through profit or loss (Note 2) ........................................................................................................... (1,066) (148)


Payable for investments purchased ................................................................................................................. (258) (179)

Distributions payable on income share classes ............................................................................................... (85) (18)

Management fees payable ............................................................................................................................... (118) (130)

Custodian and Trustee fees payable ................................................................................................................ (2) (3)

Sub-custodian fees payable ............................................................................................................................. (12) (8)

Administration fees payable ............................................................................................................................ (6) (8)

Audit fees payable ........................................................................................................................................... (20) (20)

Other fees payable ........................................................................................................................................... (5) (3)

(1,572) (517)

Net assets attributable to redeemable participating shareholders ....................................................................... 133,836 150,655







2016

USD ‘000

2015

USD ‘000

Income

Dividends ........................................................................................................................................................ 3,957 6,482

Net gain (loss) on investment activities (Note 4) ...................................................................................................... (5,177) 16,389

Total investment income (expense) ......................................................................................................................... (1,220) 22,871

Expenses

Management fees (Note 5) .............................................................................................................................. (1,575) (2,466)

Custodian and Trustee fees (Note 6) ............................................................................................................... (13) (23)

Sub-custodian fees (Note 6) ............................................................................................................................ (88) (96)

Administration and transfer agency fees (Note 6) ........................................................................................... (82) (112)

Audit fees (Note 6) .......................................................................................................................................... (20) (20)

Professional fees .............................................................................................................................................. (48) (33)

Other fees ........................................................................................................................................................ (22) (27)

Total operating expenses .......................................................................................................................................... (1,848) (2,777)

Net income (expense) ................................................................................................................................................ (3,068) 20,094

Finance costs

Distributions (Note 8) ..................................................................................................................................... (1,315) (2,547)

Profit (loss) for the financial year before taxation ................................................................................................. (4,383) 17,547

Taxation

Withholding tax (Note 9) ................................................................................................................................. (772) (1,193)


shareholders resulting from operations .................................................................................................................. (5,155) 16,354


Account.







2016

USD ‘000

2015

USD ‘000


shareholders resulting from operations .................................................................................................................. (5,155) 16,354

Share transactions





participating shareholders ....................................................................................................................................... (16,819) (101,388)


Beginning of year ............................................................................................................................................ 150,655 252,043

End of year ...................................................................................................................................................... 133,836 150,655




31 March 2016



Number

of Shares

Fair Value

USD ‘000

Fund

%


Common Stock (94.95%) (2015: 90.41%)

Australia (1.41%)

Banks

53,519

Australia & New Zealand

Banking Group Ltd ............. 966 0.72


10,394 Brambles Ltd ....................... 97 0.07

Containers and Packaging

8,021 Amcor Ltd ........................... 89 0.07


1,170 ASX Ltd .............................. 37 0.03

Entertainment

9,416 Tatts Group Ltd ................... 27 0.02

Food Products

4,848 Wesfarmers Ltd ................... 155 0.12

7,441 Woolworths Ltd .................. 127 0.09


584

Washington H Soul

Pattinson & Co Ltd .............. 8 0.01


623

Flight Centre Travel Group

Ltd ....................................... 21 0.01

Insurance

15,372

Insurance Australia Group

Ltd ....................................... 66 0.05

Metals and Mining

7,544 BHP Billiton Ltd ................. 98 0.07

2,782 New Hope Corp Ltd ............ 3 0.00

Oil and Gas

4,071 Woodside Petroleum Ltd ..... 81 0.06

Telecommunications

28,310 Telstra Corp Ltd .................. 116 0.09

1,891 1.41

Austria (0.01%)

Transport

199 Oesterreichische Post AG .... 8 0.01

Belgium (0.11%)

Other Finance

450

Groupe Bruxelles Lambert

SA ....................................... 37 0.03

Pharmaceuticals

1,094 UCB SA .............................. 84 0.06

Telecommunications

836 Proximus SADP .................. 29 0.02

150 0.11

Bermuda (1.44%)


3,600 Genpact Ltd ......................... 98 0.07


24,000

Cheung Kong Infrastructure

Holdings Ltd ....................... 235 0.17

Number

of Shares

Fair Value

USD ‘000

Fund

%


784 HAL Trust .......................... 156 0.12

Insurance

4,300 Arch Capital Group Ltd ...... 306 0.23

3,051

Axis Capital Holdings

Ltd ...................................... 169 0.13

279

Endurance Specialty

Holdings Ltd ....................... 18 0.01

1,200 Everest Re Group Ltd ......... 237 0.18

1,831 Hiscox Ltd .......................... 26 0.02

1,000

RenaissanceRe Holdings

Ltd ...................................... 120 0.09

2,900 Validus Holdings Ltd .......... 137 0.10

300

White Mountains Insurance

Group Ltd ........................... 241 0.18

Telecommunications

996 VTech Holdings Ltd ........... 12 0.01

Textile and Apparel

51,500

Yue Yuen Industrial

Holdings Ltd ....................... 177 0.13

1,932 1.44

Canada (2.48%)

Banks

1,615


Commerce ........................... 121 0.09


1,000 CCL Industries Inc .............. 191 0.14


910 CI Financial Corp ............... 20 0.01

Insurance

300

Fairfax Financial Holdings

Ltd ...................................... 169 0.12

447 Genworth MI Canada Inc ... 11 0.01

1,901 Great-West Lifeco Inc ........ 53 0.04

2,863 Intact Financial Corp .......... 201 0.15

Media

2,341 Thomson Reuters Corp ....... 95 0.07

Oil and Gas

2,212 ARC Resources Ltd ............ 32 0.02

11,230

Canadian Natural Resources

Ltd ...................................... 305 0.23

38,893 Cenovus Energy Inc ............ 508 0.38

1,837 Husky Energy Inc ............... 23 0.02

615 Vermilion Energy Inc ......... 18 0.01

Pipelines

1,008 Keyera Corp ........................ 31 0.02

2,140 Pembina Pipeline Corp ....... 58 0.05

Retail Trade

2,000 Dollarama Inc ..................... 141 0.11

Software

900

Constellation Software

Inc ....................................... 370 0.28

Telecommunications

2,466 BCE Inc .............................. 113 0.09




31 March 2016



Number

of Shares

Fair Value

USD ‘000

Fund

%

20,267

Rogers Communications

Inc ....................................... 815 0.61

1,355 TELUS Corp ....................... 44 0.03

3,319 2.48



74,500

Hengan International Group

Co Ltd ................................. 647 0.48

Real Estate

30,000

Cheung Kong Property

Holdings Ltd ....................... 193 0.14

Retail Trade

29,500

CK Hutchison Holdings

Ltd ....................................... 382 0.29

Software

900 NetEase Inc ADR ................ 129 0.10

1,351 1.01


Banks

450 Komercni Banka AS ............ 100 0.07

Denmark (0.48%)

Food Products

1,797 Chr Hansen Holding A/S ..... 121 0.09


1,095

William Demant Holding

A/S ...................................... 110 0.08

Insurance

645 Tryg A/S .............................. 13 0.01

Retail Trade

19,918 Matas A/S ............................ 404 0.30

648 0.48

Finland (0.10%)

Insurance

2,798 Sampo OYJ ......................... 133 0.10

France (2.40%)

Chemicals

7,767 Air Liquide SA .................... 875 0.66

Electric Utilities

20,303 Engie SA ............................. 316 0.24

Food Products

15,849 Danone SA .......................... 1,129 0.84


214 Sartorius Stedim Biotech ..... 82 0.06


2,104 Orpea ................................... 175 0.13

Insurance

157 Euler Hermes Group ............ 14 0.01

Media

751

Metropole Television

SA ....................................... 14 0.01

Number

of Shares

Fair Value

USD ‘000

Fund

%

745

Societe Television

Francaise 1 .......................... 10 0.01

Pharmaceuticals

3,680 Sanofi .................................. 297 0.22

Software

20,165 Lectra .................................. 294 0.22

3,206 2.40

Germany (0.33%)


14,498

Hamburger Hafen und

Logistik AG ........................ 214 0.16

Insurance

364 Hannover Rueck SE ............ 42 0.03

890

Muenchener

Rueckversicherungs-

Gesellschaft AG .................. 181 0.14

437 0.33

Hong Kong (0.34%)

Banks

4,776 Hang Seng Bank Ltd ........... 85 0.06

Electric Utilities

906

Power Assets Holdings

Ltd ...................................... 9 0.01

Media

2,500


Ltd ...................................... 9 0.01


53,500 Link REIT ........................... 317 0.23

Transport

7,977 MTR Corp Ltd .................... 39 0.03

459 0.34

India (1.21%)

Banks

18,086 HDFC Bank Ltd ADR ........ 1,115 0.83

Household Products

5,926

Godrej Consumer Products

Ltd ...................................... 124 0.10

12,334 Hindustan Unilever Ltd ...... 163 0.12

Pharmaceuticals

9,752 Lupin Ltd ............................ 218 0.16

1,620 1.21

Ireland (0.36%)

Building Products

2,714

James Hardie Industries

Plc ....................................... 37 0.03


1,998 Accenture Plc ...................... 231 0.17

Entertainment

1,552

Paddy Power Betfair

Plc ....................................... 217 0.16

Insurance

67 XL Group Plc ...................... 2 0.00

487 0.36




31 March 2016



Number

of Shares

Fair Value

USD ‘000

Fund

%

Israel (0.19%)


1,328 Elbit Systems Ltd ................ 125 0.10

Telecommunications

54,460

Bezeq The Israeli

Telecommunication Corp

Ltd ....................................... 123 0.09

248 0.19

Italy (0.11%)

Pharmaceuticals

5,859 Recordati SpA ..................... 147 0.11

Japan (6.88%)

Agriculture

4,600 Japan Tobacco Inc ............... 192 0.14

Automobiles

22,800 Honda Motor Co Ltd ........... 626 0.47

Chemicals

15,000 Asahi Kasei Corp ................ 102 0.08

24,800

Nippon Fine Chemical Co

Ltd ....................................... 170 0.13

36,600 Nitto FC Co Ltd .................. 289 0.21

16,000 Toray Industries Inc ............ 137 0.10


4,000 Park24 Co Ltd ..................... 112 0.08

5,200 Secom Co Ltd ...................... 387 0.29

8,400 Secom Joshinetsu Co Ltd .... 251 0.19

25,600 Shingakukai Co Ltd ............. 134 0.10


1,600 NTT Data Corp ................... 80 0.06


32,618 Cosel Co Ltd ....................... 314 0.24

6,100 Icom Inc .............................. 112 0.08

2,700 Keyence Corp ...................... 1,475 1.10

Entertainment

300 Sankyo Co Ltd ..................... 11 0.01


6,500 As One Corp ........................ 246 0.18

1,100 Medikit Co Ltd .................... 35 0.03

3,100 Nakanishi Inc ...................... 99 0.07

Home Furnishings

1,700

Hoshizaki Electric Co

Ltd ....................................... 142 0.11

Insurance

14,000

Sompo Japan Nipponkoa

Holdings Inc ........................ 397 0.30

Machinery

5,200 FANUC Corp ...................... 809 0.60

Metals and Mining

20,490

Kitagawa Industries Co

Ltd ....................................... 208 0.16

Office Electronics

11,500 Canon Inc ............................ 343 0.26

Number

of Shares

Fair Value

USD ‘000

Fund

%

Personal Products

1,400 Kose Corp ........................... 136 0.10

Pharmaceuticals

4,200

Chugai Pharmaceutical Co

Ltd ...................................... 130 0.10

6,500

Mitsubishi Tanabe Pharma

Corp .................................... 113 0.08

4,000

Ono Pharmaceutical Co

Ltd ...................................... 170 0.13

3,700

Takeda Pharmaceutical Co

Ltd ...................................... 169 0.13

Real Estate

600

Daito Trust Construction Co

Ltd ...................................... 85 0.06

Retail Trade

1,800 FamilyMart Co Ltd ............. 94 0.07

800

Fast Retailing Co

Ltd ...................................... 256 0.19

2,100 Lawson Inc ......................... 176 0.13

3,600

McDonald's Holdings Co

Japan Ltd ............................ 85 0.06

4,200

Nitori Holdings Co

Ltd ...................................... 385 0.29

1,300 Tsuruha Holdings Inc ......... 128 0.10

Telecommunications

3,700 KDDI Corp ......................... 99 0.07

3,000

Nippon Telegraph &

Telephone Corp .................. 129 0.10

8,400 NTT Docomo Inc ................ 191 0.14

Transport

3,000 West Japan Railway Co ...... 185 0.14

9,202 6.88



34,033 UBM Plc ............................. 294 0.22


Agriculture

6,642 KT&G Corp ........................ 639 0.48

Automobiles

7,225 Hyundai Motor Co .............. 963 0.72

7,344 Kia Motors Corp ................. 310 0.23


612

Samsung SDS Co

Ltd ...................................... 94 0.07

Insurance

1,056

Samsung Fire & Marine

Insurance Co Ltd ................. 272 0.21

Personal Products

806 Amorepacific Corp ............. 272 0.20

2,550 1.91

Mexico (1.19%)

Media

21,174

Grupo Televisa SAB

ADR .................................... 581 0.43




31 March 2016



Number

of Shares

Fair Value

USD ‘000

Fund

%

Telecommunications

1,247,581

America Movil SAB de

CV ....................................... 978 0.73

62,374 Telesites SAB de CV ........... 35 0.03

1,594 1.19

Netherlands (1.46%)

Food Products

5,528 Koninklijke Ahold NV ........ 125 0.09

Personal Products

40,770 Unilever NV ........................ 1,830 1.37

1,955 1.46

New Zealand (0.39%)


55,304

Auckland International

Airport Ltd .......................... 247 0.18

Electric Utilities

2,146 Contact Energy Ltd ............. 7 0.01

Telecommunications

104,770 Spark New Zealand Ltd ....... 266 0.20

520 0.39

Norway (0.40%)

Food Products

28,295 Orkla ASA ........................... 256 0.19


636

TGS Nopec Geophysical Co

ASA ..................................... 10 0.01

Telecommunications

16,221 Telenor ASA ....................... 263 0.20

529 0.40

Singapore (0.50%)

Airlines

15,300 Singapore Airlines Ltd ........ 130 0.10


3,000 SIA Engineering Co Ltd ...... 8 0.01


43,900 SATS Ltd ............................ 129 0.09


4,800 Singapore Exchange Ltd ..... 28 0.02

Media

10,000

Singapore Press Holdings

Ltd ....................................... 30 0.02

Telecommunications

49,200

Singapore

Telecommunications Ltd ..... 139 0.10

3,700 StarHub Ltd ......................... 9 0.01

Transport

93,800 ComfortDelGro Corp Ltd .... 203 0.15

676 0.50

Spain (0.01%)


366 Tecnicas Reunidas SA ......... 10 0.01

Number

of Shares

Fair Value

USD ‘000

Fund

%

Sweden (1.68%)

Agriculture

30,870 Swedish Match AB ............. 1,049 0.79

Banks

89,621


AB ...................................... 1,142 0.85


2,310 Skanska AB ........................ 53 0.04

2,244 1.68

Switzerland (7.41%)

Banks

148

Banque Cantonale

Vaudoise ............................. 104 0.08

Building Products

2,214 Geberit AG ......................... 831 0.62


35 SGS SA ............................... 74 0.05


1,063 GAM Holding AG .............. 15 0.01

Food Products

30,298 Nestle SA ............................ 2,273 1.70

Hand and Machine Tools

7,091 Schindler Holding AG ........ 1,313 0.98

Insurance

646

Allied World Assurance Co

Holdings AG ....................... 23 0.02

1,685 Chubb Ltd ........................... 201 0.15

Pharmaceuticals

113 Galenica AG ....................... 171 0.13

29,895 Novartis AG ........................ 2,176 1.62

6,555 Roche Holding AG ............. 1,620 1.21

Retail Trade

14,890

Cie Financiere Richemont

SA ....................................... 988 0.74

Telecommunications

150 Swisscom AG ..................... 82 0.06

Transport

335

Kuehne & Nagel

International AG ................. 48 0.04

9,919 7.41

Taiwan (0.69%)


35,437


Manufacturing Co Ltd

ADR .................................... 928 0.69

Thailand (0.15%)


14,300 Bumrungrad Hospital PCL . 86 0.06

Telecommunications

23,300

Advanced Info Service

PCL ..................................... 121 0.09

207 0.15




31 March 2016



Number

of Shares

Fair Value

USD ‘000

Fund

%



20,542 BAE Systems Plc ................ 150 0.11

233,369 Cobham Plc ......................... 728 0.55

94,645 Meggitt Plc .......................... 553 0.41

Agriculture

3,708


Plc ....................................... 218 0.16

Beverages

61,851 Diageo Plc ........................... 1,673 1.25

175,571 Stock Spirits Group Plc ....... 370 0.28


98,972 G4S Plc ............................... 271 0.20

26,315 Intertek Group Plc ............... 1,198 0.90


61,942 BBA Aviation Plc ............... 178 0.13


178,155 Rotork Plc ........................... 468 0.35

Food Products

177,431 Tesco Plc ............................. 489 0.37

Home Builders

6,443

Barratt Developments

Plc ....................................... 52 0.04

1,727 Persimmon Plc .................... 52 0.04

21,290 Taylor Wimpey Plc ............. 58 0.04

Lodging

35,147

InterContinental Hotels

Group Plc ............................ 1,450 1.08

Machinery

12,915

Spirax-Sarco Engineering

Plc ....................................... 676 0.50

Oil and Gas

27,922 BP Plc ADR ........................ 843 0.63

17,827 Royal Dutch Shell Plc ......... 431 0.32

6,684

Royal Dutch Shell Plc

(Shares A) ........................... 163 0.12

Pharmaceuticals

2,892 AstraZeneca Plc .................. 162 0.12

45,756 GlaxoSmithKline Plc ........... 929 0.70

Retail Trade

3,249 Next Plc ............................... 252 0.19

Telecommunications

189,816 Vodafone Group Plc ............ 603 0.45

11,967 8.94



787 Boeing Co ........................... 100 0.08

2,480 Lockheed Martin Corp ........ 549 0.41

2,643 Raytheon Co ........................ 324 0.24

12,204

United Technologies

Corp ..................................... 1,222 0.91

Agriculture

12,015 Altria Group Inc .................. 753 0.57

Number

of Shares

Fair Value

USD ‘000

Fund

%

2,468


Inc ....................................... 242 0.18

11,772 Reynolds American Inc ...... 592 0.44

Banks

26,240 CIT Group Inc .................... 814 0.61

47,164

Citizens Financial Group

Inc ....................................... 988 0.74

36,439 Fifth Third Bancorp ............ 608 0.45

32,668 US Bancorp ......................... 1,326 0.99

58,285 Wells Fargo & Co ............... 2,819 2.11

25,173 Zions Bancorporation ......... 609 0.45

Beverages

44,299 Coca-Cola Co ..................... 2,055 1.54

2,880

Dr Pepper Snapple Group

Inc ....................................... 258 0.19

16,552 PepsiCo Inc ......................... 1,696 1.27

Chemicals

9,659 Mosaic Co ........................... 261 0.19

4,171 Sherwin-Williams Co ......... 1,187 0.89


2,073

Automatic Data Processing

Inc ....................................... 186 0.14

22,754 Moody's Corp ..................... 2,197 1.64


1,317


Machines Corp .................... 199 0.15


43,402 Ally Financial Inc ............... 812 0.61

5,100 CBOE Holdings Inc ............ 333 0.25

15,190 MasterCard Inc ................... 1,435 1.07

1,900 Nasdaq Inc .......................... 126 0.09

Electric Utilities

3,200 Consolidated Edison Inc ..... 245 0.18

1,500 Duke Energy Corp .............. 121 0.09

2,200 Edison International ............ 158 0.12

29,306 Exelon Corp ........................ 1,051 0.78

1,800 PG&E Corp ......................... 107 0.08

724 Pinnacle West Capital Corp 54 0.04

33,728 PPL Corp ............................ 1,284 0.96

6,900 Southern Co ........................ 357 0.27

1,500 WEC Energy Group Inc ...... 90 0.07

2,200 Xcel Energy Inc .................. 92 0.07


545 AVX Corp .......................... 7 0.01

8,225 Corning Inc ......................... 172 0.13

1,683 Emerson Electric Co ........... 92 0.07

2,582

Mettler-Toledo International

Inc ....................................... 890 0.66


3,300 Republic Services Inc ......... 157 0.12

Food Products

1,400 Campbell Soup Co .............. 89 0.07

13,800 General Mills Inc ................ 874 0.65




31 March 2016



Number

of Shares

Fair Value

USD ‘000

Fund

%

2,800 Hershey Co .......................... 258 0.19

663 JM Smucker Co ................... 86 0.07

8,875 Sysco Corp .......................... 415 0.31


12,272 Becton Dickinson and Co .... 1,863 1.39

1,451 Dentsply International Inc ... 89 0.07

3,100 ResMed Inc ......................... 179 0.13

5,084 Stryker Corp ........................ 545 0.41

800 Teleflex Inc ......................... 126 0.09

10,480

Varian Medical Systems

Inc ....................................... 839 0.63


1,500 Aetna Inc ............................. 169 0.13

900 Anthem Inc .......................... 125 0.09

1,300 Cigna Corp .......................... 178 0.13

1,300 MEDNAX Inc ..................... 84 0.06

1,600 UnitedHealth Group Inc ...... 206 0.16

Home Builders

100 NVR Inc .............................. 173 0.13

Household Products

1,522 Clorox Co ............................ 192 0.14

1,572 Kimberly-Clark Corp .......... 211 0.16

Insurance

2,729 Aflac Inc .............................. 172 0.13

438

American Financial Group

Inc ....................................... 31 0.03

1,500 Assurant Inc ........................ 116 0.09

1,072 Cincinnati Financial Corp ... 70 0.05

153 Erie Indemnity Co ............... 14 0.01

200 Markel Corp ........................ 178 0.13

315 Mercury General Corp ........ 17 0.01

3,471 ProAssurance Corp .............. 176 0.13

3,858 Progressive Corp ................. 136 0.10

1,748 Travelers Cos Inc ................ 204 0.15


1,958 Alphabet Inc ........................ 1,494 1.12

4,535 Symantec Corp .................... 83 0.06

Machinery

10,303 BWX Technologies Inc ....... 346 0.26

1,122 Cummins Inc ....................... 123 0.09

12,324 Graco Inc ............................. 1,035 0.77

6,476 Middleby Corp .................... 691 0.52

Miscellaneous Manufacturers

9,036 3M Co ................................. 1,506 1.12

Oil and Gas

220 California Resources Corp .. - 0.00

2,089 Chevron Corp ...................... 199 0.15

7,387 Devon Energy Corp ............. 203 0.15

3,547 Exxon Mobil Corp ............... 296 0.22

584 Helmerich & Payne Inc ....... 34 0.03

2,356

Occidental Petroleum

Corp ..................................... 161 0.12

Number

of Shares

Fair Value

USD ‘000

Fund

%

Personal Products

17,255 Colgate-Palmolive Co ......... 1,219 0.91

26,772 Procter & Gamble Co ......... 2,205 1.65

Pharmaceuticals

2,300 AmerisourceBergen Corp ... 199 0.15

2,999 Bristol-Myers Squibb Co .... 192 0.14

2,200 Cardinal Health Inc ............. 180 0.13

6,491 Eli Lilly & Co ..................... 467 0.35

35,277 Johnson & Johnson ............. 3,818 2.85

3,913 Merck & Co Inc .................. 207 0.16

60,839 Pfizer Inc ............................ 1,803 1.35


14,317

American Capital Agency

Corp .................................... 267 0.20

700


Inc ....................................... 133 0.10

1,300

Equity LifeStyle Properties

Inc ....................................... 95 0.07

1,000 Extra Space Storage Inc ...... 93 0.07

15,638 Hatteras Financial Corp ...... 224 0.17

1,314 Public Storage ..................... 362 0.27

2,400 Realty Income Corp ............ 150 0.11

68,785

Two Harbors Investment

Corp .................................... 546 0.41

Retail Trade

1,962 AutoZone Inc ...................... 1,563 1.17

1,600 CVS Health Corp ................ 166 0.12

2,100 Dollar General Corp ........... 180 0.13

2,700 Dollar Tree Inc .................... 223 0.17

4,800 Foot Locker Inc .................. 310 0.23

1,645 Gap Inc ............................... 48 0.04

2,009 Home Depot Inc .................. 268 0.20

2,039 McDonald's Corp ................ 256 0.19

1,100 O'Reilly Automotive Inc ..... 301 0.23

3,000 Target Corp ......................... 247 0.18

18,461 TJX Cos Inc ........................ 1,446 1.08

10,846 Tractor Supply Co ............... 981 0.73

1,300

Ulta Salon Cosmetics &

Fragrance Inc ...................... 252 0.19

2,650 Wal-Mart Stores Inc ........... 181 0.14

Savings and Loans

5,100

New York Community

Bancorp Inc ......................... 81 0.06


2,364 Analog Devices Inc ............. 140 0.10

7,015 Intel Corp ............................ 227 0.17

18,888 Linear Technology Corp ..... 842 0.63

1,313

Microchip Technology

Inc ....................................... 63 0.05

3,056 Qualcomm Inc .................... 156 0.12

2,570 Texas Instruments Inc ......... 148 0.11

Software

2,097 CA Inc ................................ 65 0.05

30,405 Microsoft Corp ................... 1,679 1.25




31 March 2016



Number

of Shares

Fair Value

USD ‘000

Fund

%

14,546 MSCI Inc ............................. 1,078 0.80

74,467 Oracle Corp ......................... 3,047 2.28

Telecommunications

1,856 Cisco Systems Inc ............... 53 0.04

Textile and Apparel

19,864 NIKE Inc ............................. 1,221 0.91

Transport

1,800 Landstar System Inc ............ 116 0.08

1,886 United Parcel Service Inc .... 199 0.15

Water Utilities

1,400

American Water Works Co

Inc ....................................... 97 0.07

68,348 51.07


Total Transferable

Securities ............................ 127,079 94.95

Number

of Shares

Fair Value

USD ‘000

Fund

%


Ireland (4.29%)

30


Plc - Russell Euro Liquidity

Fund - Class R

Roll-Up Shares .................. 34 0.02

5,700




Roll-Up Shares .................. 5,709 4.27


Total Investments

excluding Financial


Financial Derivative Instruments ((0.67)%) (2015: 0.37%)


Notional

Amount

USD '000

Average

Cost Price

USD

Unrealised

Gain (Loss)

USD ‘000

Fund

%

122

812.97

3 of Mini MSCI Emerging Markets


Expiring June 2016 ................................................... 3 0.00

566

1,616.46

7 of Mini MSCI Eafe


Expiring June 2016 ................................................... 3 0.00

(2,669)

(148.27)

36 of Yen Denom Nikkei Index Futures


Expiring June 2016 ................................................... (16) (0.01)

909

2,019.80

9 of S&P 500 E Mini Index Futures


Expiring June 2016 ................................................... 14 0.01

2,733

3,416.48

80 of Euro Stoxx 50 Index Futures


Expiring June 2016 ................................................... (61) (0.04)





Settlement

Date

Amount

Bought ‘000

Amount

Sold ‘000

Unrealised

Gain (Loss)

USD ‘000

Fund

%

07/04/2016 AUD 14 USD 10 1 0.00

07/04/2016 AUD 43 USD 31 2 0.00

07/04/2016 BRL 237 USD 65 2 0.00

07/04/2016 BRL 742 USD 202 7 0.01

07/04/2016 CHF 8 USD 8 - 0.00

07/04/2016 CHF 25 USD 25 1 0.00




31 March 2016



Settlement

Date

Amount

Bought ‘000

Amount

Sold ‘000

Unrealised

Gain (Loss)

USD ‘000

Fund

%

07/04/2016 EUR 20 USD 22 0.00

07/04/2016 EUR 2 USD 2 - 0.00

07/04/2016 EUR 5 USD 5 - 0.00

15/06/2016 EUR 100 USD 112 2 0.00

15/06/2016 EUR 2,885 USD 3,192 104 0.08

07/04/2016 JPY 11,800 USD 105 - 0.00

07/04/2016 JPY 2,457 USD 22 - 0.00

07/04/2016 JPY 7,564 USD 67 - 0.00

07/04/2016 KRW 192,726 USD 165 3 0.00

07/04/2016 KRW 603,108 USD 517 11 0.01

07/04/2016 TWD 6,251 USD 192 2 0.00

07/04/2016 TWD 19,563 USD 600 8 0.01

07/04/2016 USD 584 AUD 818 (46) (0.03)

07/04/2016 USD 584 AUD 818 (46) (0.03)

07/04/2016 USD 373 AUD 523 (29) (0.02)

07/04/2016 USD 181 BRL 721 (22) (0.02)

07/04/2016 USD 58 BRL 230 (7) (0.01)

07/04/2016 USD 5 BRL 21 (1) 0.00

07/04/2016 USD 2 BRL 7 - 0.00

10/05/2016 USD 200 BRL 742 (7) (0.01)

10/05/2016 USD 64 BRL 237 (2) 0.00

07/04/2016 USD 586 CAD 795 (28) (0.02)

07/04/2016 USD 586 CAD 795 (28) (0.02)

07/04/2016 USD 375 CAD 508 (18) (0.01)

07/04/2016 USD 9 CAD 12 - 0.00

07/04/2016 USD 3 CAD 4 - 0.00

07/04/2016 USD 759 CHF 759 (34) (0.03)

07/04/2016 USD 759 CHF 759 (34) (0.03)

07/04/2016 USD 485 CHF 485 (22) (0.02)

07/04/2016 USD 1,892 EUR 1,736 (87) (0.06)

07/04/2016 USD 1,125 EUR 1,031 (50) (0.04)

07/04/2016 USD 1,892 EUR 1,736 (86) (0.06)

07/04/2016 USD 1,210 EUR 1,110 (55) (0.04)

14/04/2016 USD 283 EUR 255 (8) (0.01)

15/06/2016 USD 124 EUR 110 (2) 0.00

07/04/2016 USD 1,280 GBP 925 (49) (0.04)

07/04/2016 USD 1,281 GBP 925 (49) (0.04)

07/04/2016 USD 819 GBP 591 (31) (0.02)

07/04/2016 USD 46 GBP 33 (1) 0.00

07/04/2016 USD 15 GBP 11 - 0.00

07/04/2016 USD 330 HKD 2,565 (1) 0.00

07/04/2016 USD 330 HKD 2,565 (1) 0.00

07/04/2016 USD 211 HKD 1,640 - 0.00

07/04/2016 USD 15 HKD 118 - 0.00

07/04/2016 USD 5 HKD 37 - 0.00

07/04/2016 USD 1,057 JPY 119,413 (6) 0.00

07/04/2016 USD 2,037 JPY 231,520 (23) (0.02)

07/04/2016 USD 1,057 JPY 119,413 (6) 0.00

07/04/2016 USD 676 JPY 76,358 (3) 0.00

14/04/2016 USD 141 JPY 16,073 (2) 0.00




31 March 2016



Settlement

Date

Amount

Bought ‘000

Amount

Sold ‘000

Unrealised

Gain (Loss)

USD ‘000

Fund

%

15/06/2016 USD 436 JPY 49,000 (1) 0.00

07/04/2016 USD 476 KRW 589,360 (40) (0.03)

07/04/2016 USD 152 KRW 188,431 (13) (0.01)

07/04/2016 USD 11 KRW 13,748 (1) 0.00

07/04/2016 USD 3 KRW 4,295 - 0.00

10/05/2016 USD 517 KRW 603,108 (10) (0.01)

10/05/2016 USD 165 KRW 192,726 (3) 0.00

07/04/2016 USD 235 SEK 2,007 (13) (0.01)

07/04/2016 USD 235 SEK 2,007 (13) (0.01)

07/04/2016 USD 150 SEK 1,283 (8) (0.01)

07/04/2016 USD 12 SEK 100 (1) 0.00

07/04/2016 USD 4 SEK 31 - 0.00

07/04/2016 USD 270 SGD 380 (12) (0.01)

07/04/2016 USD 270 SGD 380 (12) (0.01)

07/04/2016 USD 172 SGD 243 (8) (0.01)

07/04/2016 USD 14 SGD 20 (1) 0.00

07/04/2016 USD 5 SGD 7 - 0.00

07/04/2016 USD 552 TWD 18,388 (19) (0.01)

07/04/2016 USD 177 TWD 5,879 (6) 0.00

07/04/2016 USD 35 TWD 1,175 (1) 0.00

07/04/2016 USD 11 TWD 372 - 0.00

10/05/2016 USD 600 TWD 19,563 (8) (0.01)

10/05/2016 USD 192 TWD 6,251 (2) 0.00

07/04/2016 USD 121 ZAR 1,958 (12) (0.01)

07/04/2016 USD 121 ZAR 1,958 (12) (0.01)

07/04/2016 USD 77 ZAR 1,252 (8) (0.01)

07/04/2016 USD 7 ZAR 117 (1) 0.00

07/04/2016 USD 2 ZAR 37 - 0.00

Unrealised gain on open forward foreign currency exchange contracts ............................ 143 0.11

Unrealised loss on open forward foreign currency exchange contracts ............................. (989) (0.74)

Net unrealised gain (loss) on open forward foreign currency exchange contracts .... (846) (0.63)

Total Financial Derivative Instruments ......................................................................... (903) (0.67)

Fair Value

USD ‘000

Fund

%


(99.36%) ....................................................................................................................................................... 132,985 99.36


Loss ((0.79)%) ............................................................................................................................................. (1,066) (0.79)


(98.57%) ....................................................................................................................................................... 131,919 98.57

Other Net Assets (1.43%) ........................................................................................................................ 1,917 1.43

Net Assets .................................................................................................................................................. 133,836 100.00

Abbreviation used:





31 March 2016




% of

gross assets



Exchange trades financial derivative instruments ..................................................................................................... 0.02


Other assets ............................................................................................................................................................... 1.79

100.00

The broker for the open futures contracts is Merrill Lynch.


Bank of America

HSBC



State Street Bank




As at 31 March 2016

Level 1

EUR ‘000

Level 2

EUR ‘000

Level 3

EUR ‘000

Total

EUR ‘000

Assets



Transferable securities ............................................................... 127,079 - - 127,079


Unrealised gain on open futures contracts ...................................... 20 - - 20


contracts ......................................................................................... - 143 - 143

Total assets ...................................................................................... 127,099 5,886 - 132,985

Liabilities




contracts ......................................................................................... - (989) - (989)

Total liabilities ................................................................................ (77) (989) - (1,066)




31 March 2016



As at 31 March 2015

Level 1

USD ‘000

Level 2

USD ‘000

Level 3

USD ‘000

Total

USD ‘000

Assets







contracts .................................................................................... - 643 - 643

Total assets ...................................................................................... 136,293 8,987 - 145,280

Liabilities




contracts .................................................................................... - (59) - (59)










Acquisition Cost


Disposal Proceeds

USD ‘000




Oracle Corp 1,471 Microsoft Corp (1,464)

Johnson & Johnson 1,435 General Mills Inc (1,192)

AutoZone Inc 1,374 Johnson & Johnson (1,040)

Alphabet Inc 1,355 Oriental Land Co Ltd (1,005)

Moody's Corp 1,347 Moody's Corp (976)

Wells Fargo & Co 1,235 Oracle Corp (873)

Ally Financial Inc 1,196 Wells Fargo & Co (847)

Cobham Plc 1,140 Orkla ASA (839)

Novartis AG 1,132 Fanuc Corp (827)

Procter & Gamble Co 1,031 Keyence Corp (824)

Fanuc Corp 1,009 G4S Plc (800)

Keyence Corp 1,000 Franklin Resources Inc (792)

Australia & New Zealand Banking Group Ltd 955 WW Grainger Inc (758)

Citizens Financial Group Inc 895 Australia & New Zealand Banking Group Ltd (757)

Nestle SA 895 Sherwin-Williams Co (750)

Mettler-Toledo International Inc 872 Capitol Federal Financial Inc (745)

Pfizer Inc 871 NIKE Inc (718)

Honda Motor Co Ltd 827 Becton Dickinson and Co (711)

Sherwin-Williams Co 823 Medtronic Plc (710)



Manager’s Report

Russell Pan European Equity Fund 139

Money Managers as at 31 March 2016 Hermes Sourcecap Limited

Numeric Investors, L.P.

Pyramis Global Advisor

Pzena Investment Management


S.W. Mitchell Capital, LLP

Taube Hodson Stonex Partners Ltd.

Investment Objective Russell Pan European Equity Fund (the “Fund”) seeks to achieve capital appreciation by investing principally in equity securities

listed on regulated markets in Europe. The Fund may also invest in new issues for which application for listing on a regulated

market in Europe will be sought. The Fund may hold such securities listed or traded on regulated markets worldwide of

companies that are not incorporated, listed or traded in Europe but which receive the majority of their total revenue from

European countries. The Fund will not be concentrating on any specific industry sector but will pursue a policy of active stock

selection and active country allocation on the regulated markets in which it invests.

Fund Performance

During the year ended 31 March 2016, Russell Pan European Equity Fund (Class B) returned -11.2 per cent on a gross of fee

basis (-12.2 per cent on a net of fee basis), while the benchmark*returned -13.1 per cent.

Market Comment

European equities failed to maintain their strong start to 2015 in the second quarter. A June slump caused the Russell Developed

Europe Large Cap Net Index to slip 3.0 per cent. The fluctuating progress of Greek debt negotiations dominated market direction,

particularly towards the end of the quarter. Numerous meetings and emergency summits between the country and its International

Monetary Fund (IMF) and European creditors failed to conclude an agreement. Greece eventually missed the deadline for its

bundle of IMF payments at the very end of June. This increased uncertainty surrounding a default and the country’s place within

the Eurozone weighed on market sentiment. Earlier in the quarter, investors reacted positively to European Central Bank (the

“ECB”) signals. The Central Bank remained committed to seeing out its quantitative easing programme to September 2016 and

temporarily increased its purchase of government bonds ahead of predicted low liquidity in the summer months. European

corporate earnings were also broadly positive this period. The ongoing Eurozone economic recovery was underpinned by

economic data. The Eurozone first quarter GDP growth estimate missed consensus (at 0.4 per cent) but continued to show

improvement. Eurozone unemployment fell to its lowest level since March 2012 at 11.1 per cent in April.

The benchmark slipped 8.6 per cent in a negative risk-off environment for global equities in the third quarter of 2015.

Developments in China and its potential impact on the Eurozone dampened investor sentiment. Anxiety about the country’s

sustained equity market downturn, the slowing of economic growth and unexpected monetary policy action from the People’s

Bank of China catalysed equity sell-offs world-wide. Prior to international concerns weighing on the Index, the quarter had

started positively. European equities were the strongest performing region globally in July. Investors reacted positively to Greek

political and economic certainty, after an EUR 86 billion Eurozone bailout was agreed. Later in the quarter, the market edged

higher on accommodative comments from the ECB President Draghi. Draghi stated that quantitative easing in the Eurozone may

be extended beyond the current September 2016 end date. This came as the Central Bank revised downwards its inflation and

growth forecasts for the next three years due to a weaker global growth outlook. Economic fundamentals remained resilient.

Eurozone second quarter GDP was unexpectedly revised upwards to 0.4 per cent quarter-on-quarter (QoQ) (1.5 per cent year-on-

year (YoY)), primarily due to stronger growth in Italy. First-quarter growth was also revised higher to 0.5 per cent QoQ from 0.4 per cent QoQ. Eurozone unemployment data for July surprised as it slipped to 10.9 per cent, the lowest in three years.

The benchmark climbed 5.5 per cent in the final quarter of 2015, as it recovered the majority of its third quarter decline. This

solidified a positive 9.2 per cent return for 2015. After a strong October and modest November increase, the Index tracked lower

in December after the ECB much anticipated policy action. This disappointed investors’ high expectations, which had been priced

into the market in the preceding months on President Draghi’s dovish signals. The ECB made fewer changes than expected to its

monetary policy, cutting its deposit rate to -0.3 per cent and extending quantitative easing until March 2017 from the original

September 2016 end date. Notably, this did not include an increase in the monthly amount purchased. The Euro appreciated

against the U.S. Dollar following the announcement, paring back early quarter depreciation. The market shrugged off political

uncertainty in Spain in late-December, as both main parties (Mariano Rajoy’s centre-right Popular party and opposition centre-

left Socialists) failed to win an overall majority. Earlier in the quarter, the Index had recorded its best monthly return since July

2009 as global growth fears subsided. However, the market slipped on news of a greater than expected decline in Eurozone

industrial production (1.1 per cent YoY for November) and disappointing third quarter Eurozone GDP growth (0.3 per cent

QoQ).




140 Russell Pan European Equity Fund

It was a negative start to 2016 for European equities, as the benchmark slipped 7.1 per cent in the first quarter. The benchmark

failed to recover from its January losses. Early in the period, sentiment towards cyclical areas of the market weakened as investors

favoured the stability and dividend yield provided by more defensive large cap stocks. The market rebounded in late-February as

equity market and oil price volatility stabilised and commodities rallied. Having signalled in January that further supportive

stimulus was forthcoming, the ECB introduced a raft of new accommodative stimulus measures in March. However, the market

tracked lower towards quarter end as investors appeared disappointed with the ECB President Draghi’s dismissal of future deposit

rate cuts. Notably, the Euro strengthened against the U.S. Dollar over the period (4.8 per cent). In March, the ECB reduced its

main refinancing rate to 0.0 per cent, cut its deposit facility rate to -0.4 per cent and also reduced its marginal lending facility rate

to 0.25 per cent from 0.30 per cent. Quantitative easing was expanded by EUR20 billion a month to EUR80 billion to also

include the purchase of investment grade corporate bonds. In addition, the ECB initiated another targeted longer-term refinancing

operation (TLTRO II). The provision of cheap liquidity to banks, at a rate as low as the deposit facility, appears to offset the

impact of negative interest rates. However, sentiment towards the financials sector was negative over the period. General Comment on Money Managers/Performance

The Fund added to its 2015 outperformance in the second quarter. Significantly strong stock selection across the Fund’s Money

Managers drove outperformance in what was a more volatile period for European equities. The Fund’s overweight to small-mid

cap stocks suited the market environment and underpinned relative returns. Taube Hodson Stonex Partners Ltd (THS) rebounded

from a negative start to the year while our positioning strategy was the sole underperformer this quarter.

The Fund outperformed the benchmark in a negative and volatile third quarter of 2015 for European equities. The Fund’s tilt

towards small and mid-caps drove relative gains. The effective selection of domestically-oriented stocks underpinned returns.

Despite suffering from its value tilt, Numeric Investors, L.P. (Numeric) was a leading contributor as it benefited from its positive

momentum exposure. Pzena Investment Management’s (Prezna) low quality, value-oriented strategy was the sole underperformer

in an unfavorable factor environment. European equity valuations remain reasonably attractive against other regions and asset

classes, and the pickup in corporate earnings in the Eurozone provides additional support.

The Fund finished broadly in-line with the benchmark in the fourth quarter of 2015. The Fund’s positioning towards quality and

momentum was beneficial. An overweight to the consumer discretionary and information technology sectors, coupled with an

underweight to health care, added relative value. Individual stock selection weighed on excess returns, particularly among small

cap stocks. Stock selection was weakest for Pzena in an unfavorable environment for its value-oriented strategy. Our positioning

strategy suffered from its overweight to high dividend yielding stocks, which was an unrewarded part of the market this period. In

contrast, it was a positive factor environment for structural growth Money Manager Hermes Sourcecap Limited, which added to

its strong long-term outperformance. The Fund marginally outperformed the benchmark in the first quarter of 2016. The Fund’s strategic overweight to small cap

stocks added to positive relative returns. The large underweight to the consumer staples sector did not suit the market

environment this period. An underweight to materials was also unrewarded. Individual stock selection was positive within the

financials sector and within Germany. Our positioning strategy was the standout performer in a positive factor environment.

Numeric and Pzena also outperformed as both benefited from strong value stock selection. THS and Hermes Sourcecap Limited

finished in-line with the benchmark. Meanwhile, Fidelity underperformed as negative stock selection within the financials sector

detracted. SW Mitchell Capital, LLP suffered from its selection of industrials stocks and exposure to Italy. Outlook

Global markets got off to a rough start in 2016. By mid-February global developed equities had lost nearly 20% from their 2015

peak. They rebounded by around 10 per cent by mid-March, but we expect volatility to be a headline throughout 2016. This

volatility will continue to be driven by China fears, the U.S. Federal Reserve’s monetary tightening, U.S. recession concerns,

bank balance sheet worries, and soft corporate profits. Moreover, the move to negative interest rates in Europe and Japan has

triggered fears that central banks have run out of easing options. Negative rates also tend to squeeze the margin between banks’

borrowing and lending rates. This squeeze could, in turn, hurt bank profitability, and end up making things worse for the markets.

In our 2016 Global Market Outlook Annual report, we forecast mid-to-low single digit returns for global equities, along with a

gradual rise in long-term interest rates. We’re holding to that view, with the exception we think equity growth is more likely to be

in the low single digits. Moreover, we’re now seeing corporate profits weakening, softness in global trade and manufacturing, and

slightly higher risks for Emerging Markets. These elements all contribute to a less supportive environment for equities. That said,

we’re not forecasting a sustained bear market, provided the U.S. does not fall into recession. Right now we see recession as a low


U.S. economy that could trigger recession. Past performance is no indication of current or future performance. * Benchmark Source: Russell Developed Europe Large Cap Net Index Russell Investments Ireland Limited

May 2016



Balance Sheet

As at 31 March 2016



31 March 2016

EUR ‘000

31 March 2015

EUR ‘000

Assets

Financial assets at fair value through profit or loss (Note 2) ..................................................... 513,395 482,657

Cash at bank (Note 3) ...................................................................................................... 6,128 5,971


(Note 3) ..................................................................................................................................... 2,590 1,890

Debtors:

Receivable for investments sold ............................................................................................. 1,114 3,126

Receivable on fund shares issued ........................................................................................... 76 938

Dividends receivable .............................................................................................................. 1,600 1,637

Prepayments and other debtors ............................................................................................... 17 22

524,920 496,241

Liabilities

Financial liabilities at fair value through profit or loss (Note 2) ................................................ (481) (289)


Payable for investments purchased ........................................................................................ (1,140) (3,363)

Payable on fund shares redeemed .......................................................................................... (310) (636)

Management fees payable ...................................................................................................... (476) (465)

Custodian and Trustee fees payable ....................................................................................... (7) (7)

Sub-custodian fees payable .................................................................................................... (31) (40)

Administration fees payable ................................................................................................... (21) (20)

Audit fees payable .................................................................................................................. (16) (16)

Other fees payable .................................................................................................................. (4) -

(2,486) (4,836)

Net assets attributable to redeemable participating shareholders ...................................... 522,434 491,405







2016

EUR ‘000

2015

EUR ‘000

Income

Dividends ..................................................................................................................... 14,159 11,483



Expenses




Administration and transfer agency fees (Note 6) ......................................................... (219) (165)

Audit fees (Note 6) ....................................................................................................... (16) (16)


Other fees ..................................................................................................................... (55) (28)



Finance costs


Profit (loss) for the financial year before taxation ...................................................... (73,637) 75,821

Taxation

Withholding tax (Note 9) ............................................................................................. (1,017) (739)




Account.







2016

EUR ‘000

2015

EUR ‘000



Share transactions








End of year ................................................................................................................... 522,434 491,405




31 March 2016



Number

of Shares

Fair Value

EUR ‘000

Fund

%


Common Stock (91.99%) (2015: 93.31%)

Belgium (2.54%)

Banks

43,497 KBC Groep NV ................... 1,972 0.38

Beverages

38,841

Anheuser-Busch InBev SA

NV ....................................... 4,243 0.81

Biotechnology

51,850 Ablynx NV .......................... 656 0.13

Distributors

34,025 D'ieteren SA NV ................. 1,259 0.24

Food Products

8,167 Delhaize Group ................... 749 0.14


11,370 Ion Beam Applications ........ 424 0.08

Household Products

15,267 Ontex Group NV ................. 440 0.09

Insurance

5,010 Ageas ................................... 175 0.03


93,300 AGFA-Gevaert NV ............. 366 0.07

Pharmaceuticals

28,283 UCB SA .............................. 1,902 0.36

Telecommunications

31,723 Proximus SADP .................. 953 0.18

Textile and Apparel

350 Van de Velde NV ................ 21 0.00

Transport

5,471 bpost SA .............................. 134 0.03

13,294 2.54

Bermuda (0.00%)


48,638 Archer Ltd ........................... 25 0.00


Electric Utilities

70,175 CEZ AS ............................... 1,088 0.21

Denmark (1.66%)

Banks

75,155 Danske Bank A/S ................ 1,866 0.36

Biotechnology

12,010

Bavarian Nordic

A/S ...................................... 395 0.08


10,552 ISS A/S ................................ 372 0.07


2,824 Schouw & Co ...................... 155 0.03

Pharmaceuticals

96,416 Novo Nordisk A/S ............... 4,597 0.88

Number

of Shares

Fair Value

EUR ‘000

Fund

%

Telecommunications

53,900 TDC A/S ............................. 232 0.04

Transport

814 AP Moeller - Maersk A/S ... 939 0.18

3,979 Dfds A/S ............................. 127 0.02

8,683 1.66

Finland (1.01%)

Machinery

46,868 Kone OYJ ........................... 1,985 0.38

Pharmaceuticals

10,779 Orion OYJ .......................... 313 0.06

Telecommunications

12,427 Elisa OYJ ............................ 425 0.08

491,145 Nokia OYJ .......................... 2,566 0.49

5,289 1.01

France (15.57%)

Advertising

47,501 Publicis Groupe SA ............ 2,931 0.56


1,650 Dassault Aviation SA ......... 1,740 0.33

18,230 Safran SA ............................ 1,121 0.22

Auto Components

2,920

Cie Generale des

Etablissements Michelin ..... 263 0.05

54,042 Faurecia .............................. 1,799 0.35

15,344 Valeo SA ............................ 2,099 0.40

Automobiles

62,890 Peugeot SA ......................... 947 0.18

43,465 Renault SA .......................... 3,795 0.73

Banks

127,582 BNP Paribas SA .................. 5,643 1.08

121,181 Credit Agricole SA ............. 1,153 0.22

40,710 Societe Generale SA ........... 1,322 0.25

Biotechnology

9,810 Cellectis SA ........................ 235 0.04

72,807 Innate Pharma SA ............... 886 0.17

Building Products

79,396 Cie de Saint-Gobain ............ 3,075 0.59


38,786 Bureau Veritas SA .............. 759 0.14

20,428 Edenred ............................... 349 0.07

38,944 Elior Group ......................... 750 0.14

24,585 Sodexo SA .......................... 2,329 0.45


7,050 Atos SE ............................... 505 0.10

11,565 Cap Gemini SA ................... 955 0.18


60,150 Bouygues SA ...................... 2,156 0.41

2,848

Gaztransport Et Technigaz

SA ....................................... 82 0.02

19,590 Vinci SA ............................. 1,283 0.24




31 March 2016



Number

of Shares

Fair Value

EUR ‘000

Fund

%

Electric Utilities

39,572 Engie SA ............................. 540 0.10


103,290 Legrand SA ......................... 5,087 0.98

90,559 Schneider Electric SE .......... 5,030 0.96

Food Products

4,260 Danone SA .......................... 266 0.05


17,711 Essilor International SA ...... 1,923 0.37

730 Guerbet ................................ 49 0.01


9,522 BioMerieux ......................... 958 0.18

19,748 Orpea ................................... 1,445 0.28

Insurance

100,662 AXA SA .............................. 2,083 0.40

16,791 CNP Assurances .................. 230 0.04


4,583 Iliad SA ............................... 1,036 0.20

Media

65,230 Vivendi SA .......................... 1,205 0.23

Metals and Mining

101,451 Vallourec SA ....................... 583 0.11

Oil and Gas

183,478 Total SA .............................. 7,350 1.41

Other Finance

16,447 Eurazeo SA ......................... 977 0.19

Personal Products

8,158 L'Oreal SA ........................... 1,284 0.25

Pharmaceuticals

6,483 Ipsen SA .............................. 327 0.06

76,357 Sanofi SA ............................ 5,411 1.04


41,797 ANF Immobilier .................. 989 0.19

3,398 Unibail-Rodamco SE ........... 822 0.16

Telecommunications

244,747 Orange SA ........................... 3,768 0.72

Textile and Apparel

11,219 Christian Dior SE ................ 1,788 0.34

8,324

LVMH Moet Hennessy

Louis Vuitton SE ................. 1,253 0.24

Water Utilities

35,381

Veolia Environnement

SA ....................................... 749 0.14

81,330 15.57

Germany (12.96%)

Auto Components

11,963 Continental AG ................... 2,393 0.46

Banks

184,656 Commerzbank AG .............. 1,411 0.27

Building Products

16,840

HeidelbergCement

AG ....................................... 1,267 0.24

Number

of Shares

Fair Value

EUR ‘000

Fund

%

Chemicals

45,969 BASF SE ............................ 3,048 0.58

16,411 Brenntag AG ....................... 824 0.16

8,744 Evonik Industries AG ......... 231 0.04

8,355 Linde AG ............................ 1,070 0.21


51,550 Wirecard AG ....................... 1,717 0.33


18,946

Fraport AG Frankfurt

Airport Services

Worldwide .......................... 1,010 0.19

2,240 Hochtief AG ....................... 241 0.05


6,713 Gerresheimer AG ................ 463 0.09


51,723 Deutsche Boerse AG ........... 3,879 0.74

Electric Utilities

40,540 RWE AG ............................ 461 0.09


10,898 Osram Licht AG ................. 494 0.09

Food Products

7,220 Metro AG ............................ 197 0.04


54,322

Fresenius SE & Co

KGaA .................................. 3,488 0.67

Insurance

22,205 Allianz SE ........................... 3,174 0.61

4,917 Hannover Rueck SE ............ 504 0.10

19,899

Muenchener

Rueckversicherungs AG ..... 3,557 0.68

Iron and Steel

152,975 Salzgitter AG ...................... 3,807 0.73

Media

34,646 Axel Springer SE ................ 1,641 0.31

52,563 ProSiebenSat.1 Media SE ... 2,375 0.46

Metals and Mining

12,125 Aurubis AG ......................... 530 0.10


37,205 Siemens AG ........................ 3,466 0.66

Other Finance

1,000 Aurelius SE & Co KGaA .... 54 0.01

Pharmaceuticals

64,001 Bayer AG ............................ 6,611 1.26

8,453 Merck KGaA ...................... 620 0.12

Real Estate

191,900 TAG Immobilien AG .......... 2,282 0.44

Software

67,013 SAP SE ............................... 4,765 0.91

8,731 Software AG ....................... 300 0.06

Telecommunications

276,546 Deutsche Telekom AG ........ 4,363 0.83

61,242

Telefonica Deutschland

Holding AG ........................ 292 0.06




31 March 2016



Number

of Shares

Fair Value

EUR ‘000

Fund

%

Textile and Apparel

53,130 Adidas AG ........................... 5,472 1.05

Transport

69,314 Deutsche Post AG ............... 1,693 0.32

67,700 12.96


Real Estate

2,634,922 Sirius Real Estate Ltd .......... 1,166 0.22

Hungary (0.22%)

Banks

52,650 OTP Bank Plc ...................... 1,161 0.22

Ireland (1.69%)

Building Products

7,658 CRH Plc .............................. 190 0.04


59,775 Seagate Technology Plc ...... 1,807 0.34

Entertainment

7,509

Paddy Power Betfair

Plc ....................................... 921 0.18

Food Products

29,511 Kerry Group Plc .................. 2,416 0.46

Insurance

10,588

Willis Towers Watson

Plc ....................................... 1,103 0.21

Lodging

184,612 Dalata Hotel Group Plc ....... 822 0.16

Oil and Gas

2,058 San Leon Energy Plc ........... 1 0.00

Retail Trade

171,950 Grafton Group Plc ............... 1,566 0.30

8,826 1.69

Italy (3.80%)

Banks

476,946

Banca Monte dei Paschi di

Siena SpA ............................ 240 0.04

1,198,368 Intesa Sanpaolo SpA ........... 2,917 0.56

265,109 UniCredit SpA ..................... 840 0.16


8,967 ASTM SpA ......................... 91 0.02

Electric Utilities

615,675 Enel SpA ............................. 2,400 0.46


78,490 Prysmian SpA ...................... 1,563 0.30


59,920

Yoox Net-A-Porter Group

SpA ..................................... 1,616 0.31

Media

528,124 Mediaset SpA ...................... 1,915 0.37

Oil and Gas

307,615 Eni SpA ............................... 4,091 0.78

Number

of Shares

Fair Value

EUR ‘000

Fund

%


2,104,680

Beni Stabili SpA

SIIQ .................................... 1,388 0.27

Telecommunications

2,923,534 Telecom Italia SpA ............. 2,772 0.53

19,833 3.80


Advertising

119,995 WPP Plc .............................. 2,462 0.47

Distributors

7,020 Wolseley Plc ....................... 349 0.07

Metals and Mining

46,200 Glencore Plc ....................... 92 0.02

Pharmaceuticals

45,155 Shire Plc .............................. 2,255 0.43

Real Estate

52,300 Regus Plc ............................ 209 0.04

5,367 1.03

Luxembourg (0.68%)


3,845 Eurofins Scientific SE ......... 1,239 0.24

Media

3,561 RTL Group SA ................... 265 0.05

Metals and Mining

39,861 Tenaris SA .......................... 436 0.08


23,600 Subsea 7 SA ........................ 157 0.03

Telecommunications

3,080

Millicom International

Cellular SA ......................... 148 0.03

49,826 SES SA ............................... 1,282 0.25

3,527 0.68

Netherlands (6.34%)


20,951 Airbus Group SE ................. 1,222 0.23

Automobiles

31,800

Fiat Chrysler Automobiles

NV ...................................... 226 0.04

Banks

711,686 ING Groep NV ................... 7,565 1.45

Beverages

3,310 Heineken Holding NV ........ 227 0.04

9,850 Heineken NV ...................... 785 0.15

Chemicals

8,890 Akzo Nobel NV .................. 533 0.10

12,077 Koninklijke DSM NV ......... 584 0.11


16,758 Randstad Holding NV ......... 816 0.16


8,846 Boskalis Westminster ......... 306 0.06


13,870 Euronext NV ....................... 506 0.10




31 March 2016



Number

of Shares

Fair Value

EUR ‘000

Fund

%


80,118 Koninklijke Philips NV ....... 2,006 0.38

Food Products

124,628 Koninklijke Ahold NV ........ 2,464 0.47

Insurance

131,753 Aegon NV ........................... 637 0.12

225,033 Delta Lloyd NV ................... 919 0.18

79,353 NN Group NV ..................... 2,282 0.44

Personal Products

97,867 Unilever NV ........................ 3,854 0.74

Retail Trade

28,206 GrandVision NV ................. 707 0.14


36,562 ASML Holding NV ............. 3,264 0.63

368,050 STMicroelectronics NV ...... 1,795 0.34

Telecommunications

651,825 Koninklijke KPN NV .......... 2,401 0.46

33,099 6.34

Norway (2.60%)

Banks

179,279 DNB ASA ........................... 1,861 0.36

Chemicals

46,142 Yara International ASA ....... 1,524 0.29

Food Products

40,891 Austevoll Seafood ASA ...... 295 0.06

1,310 Leroy Seafood Group ASA ... 54 0.01

75,380

Norway Royal Salmon

ASA ..................................... 876 0.17

61,448 Orkla ASA ........................... 489 0.09

Home Furnishings

75,509 Ekornes ASA ....................... 735 0.14

Metals and Mining

615,010 Norsk Hydro ASA ............... 2,223 0.42

Oil and Gas

911,787 North Energy ASA .............. 111 0.02

264,936 Statoil ASA ......................... 3,663 0.70

Telecommunications

125,136 Telenor ASA ....................... 1,778 0.34

13,609 2.60

Russia (0.65%)

Banks

56,673


ADR .................................... 346 0.07

214,567


ADR (US Listed) ................. 1,307 0.25

Oil and Gas

460,625 Gazprom PAO ADR ............ 1,743 0.33

3,396 0.65

Spain (5.63%)

Banks

163,515

Banco Bilbao Vizcaya

Argentaria SA ...................... 955 0.18

Number

of Shares

Fair Value

EUR ‘000

Fund

%

910,939

Banco Popular Espanol

SA ....................................... 2,083 0.40

131,881 Banco Santander SA ........... 511 0.10

4,424 CaixaBank SA .................... 11 0.00

278,730

CaixaBank SA

(Voting Rights) ................... 724 0.14


259,495 Indra Sistemas SA ............... 2,653 0.51


5,010 Acciona SA ......................... 341 0.06

53,130

ACS Actividades de

Construccion y Servicios

SA ....................................... 1,391 0.27

16,157 Aena SA .............................. 1,833 0.35

449,284 Sacyr SA ............................. 762 0.15

Electric Utilities

105,793 Endesa SA .......................... 1,785 0.34

239,711 Iberdrola SA ....................... 1,405 0.27


194,103

Gamesa Corp Tecnologica

SA ....................................... 3,371 0.64

Insurance

127,338 Mapfre SA .......................... 242 0.05

Lodging

249,900 NH Hotel Group SA ........... 1,010 0.19

Machinery

19,644 Zardoya Otis SA ................. 201 0.04

Media

23,813

Mediaset Espana

Comunicacion SA ............... 241 0.05

Oil and Gas

66,345 Repsol SA ........................... 658 0.13


69,730

Axiare Patrimonio Socimi

SA ....................................... 912 0.17

Retail Trade

90,466

Industria de Diseno Textil

SA ....................................... 2,675 0.51

Software

140,808

Amadeus IT Holding

SA ....................................... 5,307 1.02

Telecommunications

27,900 Telefonica SA ..................... 275 0.05

Transport

4,062

Cia de Distribucion Integral

Logista Holdings SA ........... 81 0.01

29,427 5.63

Sweden (2.77%)

Agriculture

15,235 Swedish Match AB ............. 455 0.09

Banks

112,713 Swedbank AB ..................... 2,134 0.41


24,345 Intrum Justitia AB ............... 755 0.14




31 March 2016



Number

of Shares

Fair Value

EUR ‘000

Fund

%

Home Furnishings

13,259 Electrolux AB ...................... 307 0.06

Machinery

34,179 Atlas Copco AB .................. 756 0.14

Media

16,220

Modern Times Group MTG

AB ....................................... 427 0.08

Metals and Mining

147,755 Assa Abloy AB ................... 2,562 0.49

87,390 Boliden AB ......................... 1,229 0.24

22,327 Granges AB ......................... 170 0.03

Other Finance

5,200 Investment AB Kinnevik ..... 130 0.03

Personal Products

22,660

Svenska Cellulosa AB

SCA ..................................... 622 0.12

Real Estate

13,560 Castellum AB ...................... 189 0.03

28,973 Hufvudstaden AB ................ 404 0.08

Retail Trade

97,877 Hennes & Mauritz AB ......... 2,868 0.55

Telecommunications

42,326 Tele2 AB ............................. 345 0.07

241,833 TeliaSonera AB ................... 1,104 0.21

14,457 2.77

Switzerland (9.06%)

Auto Components

356 Georg Fischer AG ............... 253 0.05

Banks

127,601 Credit Suisse Group AG ...... 1,591 0.30

319,136 UBS Group AG ................... 4,530 0.87

Beverages

2,850 Coca-Cola HBC AG ............ 53 0.01

Building Products

25,539 LafargeHolcim Ltd .............. 1,058 0.20

60 Sika AG ............................... 209 0.04

Chemicals

475 EMS-Chemie Holding AG .. 217 0.04

358 Givaudan SA ....................... 619 0.12

4,859 Lonza Group AG ................. 724 0.14

4,229 Syngenta AG ....................... 1,550 0.30


267 SGS SA ............................... 497 0.09


1,570 Cembra Money Bank AG .... 97 0.02

67,600 GAM Holding AG ............... 861 0.16

12,540 Julius Baer Group Ltd ......... 475 0.09

Food Products

287 Emmi AG ............................ 138 0.03

128,908 Nestle SA ............................ 8,486 1.62

Insurance

524 Helvetia Holding AG .......... 264 0.05

Number

of Shares

Fair Value

EUR ‘000

Fund

%

2,333 Swiss Life Holding AG ....... 547 0.10

21,140 Swiss Re AG ....................... 1,722 0.33

4,485

Zurich Insurance Group

AG ...................................... 918 0.18

Machinery

61,996 ABB Ltd ............................. 1,065 0.20

1,682 Bobst Group SA .................. 89 0.02

Personal Products

10,627 Oriflame Holding AG ......... 186 0.04

Pharmaceuticals

19,307 Actelion Ltd ........................ 2,542 0.49

49,400 Novartis AG ........................ 3,155 0.60

46,257 Roche Holding AG ............. 10,031 1.92

Retail Trade

33,624


SA ....................................... 1,958 0.37

11,349 Dufry AG ............................ 1,230 0.24

Telecommunications

7,669

Sunrise Communications

Group AG ........................... 463 0.09

1,179 Swisscom AG ..................... 564 0.11

Transport

3,192

Kuehne & Nagel


8,650

Panalpina Welttransport

Holding AG ........................ 851 0.16

47,343 9.06



107,983 Cobham Plc ......................... 296 0.06

71,005 Meggitt Plc ......................... 364 0.07

134,600 Rolls-Royce Holdings Plc ... 1,158 0.22

Agriculture

87,816


Plc ....................................... 4,530 0.87

172,929

Imperial Tobacco Group

Plc ....................................... 8,425 1.61

Airlines

49,721 Dart Group Plc .................... 416 0.08

20,946 Easy Jet Plc ......................... 401 0.08

Banks

641,500 Barclays Plc ........................ 1,214 0.23

729,444 HSBC Holdings Plc ............ 3,992 0.77

2,947,699 Lloyds Banking Group Plc . 2,529 0.48

681,046


Group Plc ............................ 1,913 0.37

45,483

Virgin Money Holdings UK

Plc ....................................... 212 0.04

Beverages

82,085 Diageo Plc .......................... 1,948 0.37

52,106 SABMiller Plc .................... 2,797 0.54


213,824

Michael Page International

Plc ....................................... 1,151 0.22

20,300 QinetiQ Group Plc .............. 58 0.01




31 March 2016



Number

of Shares

Fair Value

EUR ‘000

Fund

%


56,419 Rexam Plc ........................... 451 0.09

Distributors

63,300 Inchcape Plc ........................ 578 0.11

914,972 SIG Plc ................................ 1,685 0.32


57,038 Schroders Plc ....................... 1,930 0.37

510,124 Worldpay Group Plc ............ 1,770 0.34

Electric Utilities

52,351 SSE Plc ................................ 985 0.19

Entertainment

178,160 Merlin Entertainments Plc ... 1,042 0.20

93,846 William Hill Plc .................. 387 0.07

Food Products

257,836 Ocado Group Plc ................. 943 0.18

19,500

WM Morrison Supermarkets

Plc ....................................... 49 0.01


59,195 Smith & Nephew Plc ........... 857 0.16

Home Builders

234,411 Barratt Developments Plc .... 1,657 0.32

32,446

Berkeley Group Holdings

Plc ....................................... 1,317 0.25

15,751 Persimmon Plc .................... 414 0.08

1,371,802 Taylor Wimpey Plc ............. 3,293 0.63


21,890 Carnival Plc ......................... 1,036 0.20

Household Products

46,075

Reckitt Benckiser Group

Plc ....................................... 3,911 0.75

Insurance

20,040 Admiral Group Plc .............. 501 0.10

216,578 Aviva Plc ............................. 1,246 0.24

51,600

Direct Line Insurance Group

Plc ....................................... 241 0.05

284,037


Plc ....................................... 843 0.16

244,611

RSA Insurance Group

Plc ....................................... 1,468 0.28

177,086 St James's Place Plc ............. 2,052 0.39


13,960 ASOS Plc ............................ 572 0.11

134,363 Auto Trader Group Plc ........ 661 0.13

Iron and Steel

21,956 Evraz Plc ............................. 25 0.00

Media

53,789 Informa Plc .......................... 471 0.09

55,698 Pearson Plc .......................... 615 0.12

168,280 Sky Plc ................................ 2,173 0.41

Metals and Mining

79,225 Antofagasta Plc ................... 469 0.09

214,451 BHP Billiton Plc .................. 2,117 0.41

64,250 Rio Tinto Plc ....................... 1,585 0.30

Number

of Shares

Fair Value

EUR ‘000

Fund

%


32,855 Smiths Group Plc ................ 446 0.08

Oil and Gas

451,516 BP Plc ................................. 1,994 0.38

386,384


(Shares A) ........................... 8,244 1.58

155,487


(Shares B) ........................... 3,334 0.64

114,170 Tullow Oil Plc .................... 284 0.05


105,075

Amec Foster Wheeler

Plc ....................................... 596 0.11

Other Finance

321,000 3i Group Plc ........................ 1,848 0.35

20,631 SVG Capital Plc .................. 130 0.03


36,450 Mondi Plc ........................... 614 0.12

Pharmaceuticals

57,595 AstraZeneca Plc .................. 2,835 0.54

431,976 GlaxoSmithKline Plc .......... 7,692 1.47

247,900 Indivior Plc ......................... 510 0.10

Real Estate

451,682 Foxtons Group Plc .............. 927 0.18

52,236

ST Modwen Properties

Plc ....................................... 199 0.04


51,502 Derwent London Plc ........... 2,048 0.40

136,274

Great Portland Estates

Plc ....................................... 1,251 0.24

137,008 Hammerson Plc ................... 1,000 0.19

201,544 Hansteen Holdings Plc ........ 270 0.05

53,150

Land Securities Group

Plc ....................................... 738 0.14

Retail Trade

26,969 Debenhams Plc ................... 26 0.00

476,822 Home Retail Group Plc ....... 997 0.19

3,580 JD Sports Fashion Plc ......... 51 0.01

108,739

Marks & Spencer Group

Plc ....................................... 557 0.11

123,440 N Brown Group Plc ............ 509 0.10

8,657 Next Plc .............................. 590 0.11

75,836

Sports Direct International

Plc ....................................... 362 0.07

58,326 Travis Perkins Plc ............... 1,344 0.26


182,968 ARM Holdings Plc ............. 2,340 0.45

Software

15,935 EMIS Group Plc ................. 204 0.04

Telecommunications

266,720 BT Group Plc ...................... 1,482 0.28

35,774 Inmarsat Plc ........................ 444 0.08

2,595,019 Vodafone Group Plc ........... 7,240 1.39

Transport

193,600 Royal Mail Plc .................... 1,174 0.22




31 March 2016



Number

of Shares

Fair Value

EUR ‘000

Fund

%

Water Utilities

35,747 Pennon Group Plc ............... 366 0.07

47,130 United Utilities Group Plc ... 549 0.11

121,943 23.35


Preferred Stock (1.14%) (2015: 1.88%)

Germany (0.56%)

Auto Components

25,651 Schaeffler AG ...................... 362 0.07

Automobiles

23,067 Volkswagen AG .................. 2,580 0.49

2,942 0.56

Italy (0.58%)

Machinery

85,499

Danieli & C Officine

Meccaniche SpA ................. 1,176 0.23

Telecommunications

2,399,330 Telecom Italia SpA .............. 1,847 0.35

3,023 0.58

Total Preferred Stock ........ 5,965 1.14

Number

of Shares

Fair Value

EUR ‘000

Fund

%

Rights (0.04%) (2015: 0.00%)

Netherlands (0.04%)

190,558 Delta Lloyd NV .................. 233 0.04

Total Rights ....................... 233 0.04

Total Transferable

Securities ........................... 486,761 93.17


Ireland (5.08%)

105


III Plc - The Sterling

Liquidity Fund - Class R

Roll-Up Shares .................. 133 0.03

26,453


Plc - Russell Liquidity Fund

- Class R Roll-Up Shares . 26,385 5.05


Total Investments

excluding Financial


Financial Derivative Instruments ((0.07)%) (2015: (0.01)%)


Notional

Amount

‘000

Average

Cost Price

EUR

Unrealised

Gain (Loss)

EUR ‘000

Fund

%

880

439.76

10 of Amsterdam Index Future


Expiring April 2016 .................................................. - 0.00

2,705

4,434.22

61 of CAC 40 Index Futures


Expiring April 2016 .................................................. (31) (0.01)

2,487

9,948.15

10 of DAX Index Futures


Expiring June 2016 ................................................... 13 0.00

8,700

2,979.59

292 of Euro Stoxx 50 Index Futures


Expiring June 2016 ................................................... (142) (0.03)

9,349

7,663.32

122 of FTSE 100 Index Futures


Expiring June 2016 ................................................... 57 0.01

636

18,180.00

7 of FTSE MIB Index Futures


Expiring June 2016 ................................................... (17) 0.00

895

8,947.65

10 of IBEX 35 Index Futures


Expiring April 2016 .................................................. (26) 0.00

1,132

148.89

76 of OMX 30 Index Futures


Expiring April 2016 .................................................. (25) 0.00




31 March 2016



Notional

Amount

‘000

Average

Cost Price

EUR

Unrealised

Gain (Loss)

EUR ‘000

Fund

%

4,428

7,141.37

62 of Swiss Market Index Futures


Expiring June 2016 ................................................... (69) (0.02)





Settlement

Date

Amount

Bought ‘000

Amount

Sold ‘000

Unrealised

Gain (Loss)

EUR ‘000

Fund

%

15/06/2016 CHF 1,708 EUR 1,561 6 0.00

15/06/2016 CHF 1,708 EUR 1,561 6 0.00

15/06/2016 CHF 700 EUR 639 3 0.00

15/06/2016 CHF 400 EUR 365 2 0.00

15/06/2016 CHF 1,100 EUR 1,010 (1) 0.00

15/06/2016 EUR 184 CHF 200 - 0.00

15/06/2016 EUR 183 CHF 200 (1) 0.00

15/06/2016 EUR 388 GBP 300 9 0.01

15/06/2016 EUR 253 GBP 200 1 0.00

15/06/2016 EUR 127 GBP 100 1 0.00

15/06/2016 EUR 252 GBP 200 - 0.00

15/06/2016 EUR 109 SEK 1,000 - 0.00

15/06/2016 EUR 54 SEK 500 (1) 0.00

15/06/2016 GBP 500 EUR 644 (14) 0.00

15/06/2016 GBP 2,700 EUR 3,441 (43) (0.01)

15/06/2016 GBP 2,400 EUR 3,077 (55) (0.01)

15/06/2016 GBP 2,400 EUR 3,077 (56) (0.01)

15/06/2016 SEK 4,469 EUR 477 7 0.00

15/06/2016 SEK 4,469 EUR 477 7 0.00

15/06/2016 SEK 5,000 EUR 539 3 0.00

15/06/2016 SEK 1,000 EUR 107 1 0.00


Unrealised loss on open forward foreign currency exchange contracts ................................ (171) (0.03)

Net unrealised gain (loss) on open forward foreign currency exchange contracts ....... (125) (0.02)

Total Financial Derivative Instruments ............................................................................ (365) (0.07)

Fair Value

EUR ‘000

Fund

%


(98.27%) ....................................................................................................................................................... 513,395 98.27


Loss ((0.09)%) ............................................................................................................................................. (481) (0.09)


(98.18%) .................................................................................................................................................... 512,914

98.18

Other Net Assets (1.82%) ........................................................................................................................ 9,520 1.82

Net Assets .................................................................................................................................................. 522,434 100.00




31 March 2016



Abbreviation used:



% of

gross assets



Exchange trades financial derivative instruments ..................................................................................................... 0.01


Other assets ............................................................................................................................................................... 2.20

100.00

The broker for the open futures contracts is Morgan Stanley.


Bank of America

BNP Paribas

Citibank

HSBC Bank

State Street Bank




As at 31 March 2016

Level 1

EUR ‘000

Level 2

EUR ‘000

Level 3

EUR ‘000

Total

EUR ‘000

Assets



Transferable securities ............................................................... 486,760 - 1 486,761




contracts ..................................................................................... - 46 - 46

Total assets ...................................................................................... 486,830 26,564 1 513,395

Liabilities




contracts ..................................................................................... - (171) - (171)





31 March 2016



As at 31 March 2015

Level 1

EUR ‘000

Level 2

EUR ‘000

Level 3

EUR ‘000

Total

EUR ‘000

Assets







contracts ..................................................................................... - 167 - 167

Total assets ...................................................................................... 468,006 14,651 - 482,657

Liabilities




contracts ..................................................................................... - (155) - (155)




Statement of Changes in the Composition of Portfolio






Acquisition Cost


Disposal Proceeds

EUR ‘000

Russell Investment Company Plc Russell Investment Company Plc

Russell Euro Liquidity Fund Russell Euro Liquidity Fund


Royal Dutch Shell Plc (Shares A) 7,593 Novartis AG (5,058)

Total SA 4,955 Royal Dutch Shell Plc (Shares A) (4,470)

Roche Holding AG 4,762 UBS Group AG (3,926)

BASF SE 4,457 Nestle SA (3,733)

Anheuser-Busch InBev SA NV 4,402 BP Plc (3,686)

Nestle SA 4,300 Vodafone Group Plc (3,431)

Novartis AG 4,250 Unilever NV (3,061)

Vodafone Group Plc 3,986 Iberdrola SA (3,017)

ING Groep NV 3,897 Sanofi SA (2,921)

Statoil ASA 3,726 Renault SA (2,876)

Imperial Brands Plc 3,719 Roche Holding AG (2,804)

Sanofi SA 3,648 Pandora A/S (2,756)

UBS Group AG 3,514 Electrolux AB (2,729)

Schneider Electric SE 3,458 Deutsche Telekom AG (2,724)

Telenor ASA 3,262 Enel SpA (2,700)

Bayer AG 3,178 Bayer AG (2,625)

Deutsche Telekom AG 3,171 Orange SA (2,600)

Actelion Ltd 3,095 Heineken NV (2,586)

Adidas AG 3,040 Koninklijke Ahold NV (2,484)



Manager’s Report

Russell U.K. Equity Plus Fund 155

Money Managers as at 31 March 2016 BlackRock International Limited


Standard Life Investments

Investment Objective Russell U.K. Equity Plus Fund (the “Fund”) aims to provide total returns by investing in a portfolio of predominantly U.K.

equities traded on U.K. stock exchanges, including convertibles, warrants, money market instruments, deposits and collective

investment schemes. The Fund will seek to achieve its investment objective by investing in derivative instruments that have as

their underlying exposure the foregoing (e.g. swaps and contracts for differences) and may implement bought (long) and synthetic

short (sold) positions through the use of derivatives.

Fund Performance

During the year ended 31 March 2016, Russell U.K. Equity Plus Fund (Class B) returned -2.2 per cent on a gross of fee basis

(-2.9 per cent on a net of fee basis), while the benchmark* returned -3.9 per cent.

Market Comment

A June slump caused the benchmark to slip 1.6 per cent in the second quarter of 2015. Negative sentiment overflowed from

Europe into other developed markets as the fluctuating progress in Greek debt negotiations dominated market direction. Initially

the benchmark had moved higher following the Easter break, as an oil and gas sector rally was stimulated by a stabilising oil price

and the planned acquisition of BG Group by Royal Dutch Shell. After declining ahead of the U.K. general election, the market

performed a “relief rally” in May as the Conservative party unexpectedly won a Parliamentary majority. Investors reacted

positively to the surprise political certainty despite the shadow of a proposed in/out European Union referendum in 2016.

However, these gains were lost in June as the benchmark recorded its worst monthly return since May 2012. Economic data

released over the three month period remained positive. Wage growth reached its highest level since 2007, increasing by 2.7 per

cent in the three months to April. Additionally, the unemployment rate fell to 5.5 per cent, its lowest level since mid-2008.

Inflation turned positive (0.1 per cent) in May having slipped into deflation in April for the first time since official records began.

Meanwhile, first quarter GDP was confirmed at 0.4 per cent quarter-on-quarter (QoQ).

The benchmark slipped 5.7 per cent in the third quarter of 2015; a negative and volatile environment for global equities.

Developments in China and its potential impact on U.K. companies dampened investor sentiment. Anxiety about the country’s

sustained equity market downturn, the slowing of economic growth and unexpected monetary policy action from the People’s

Bank of China catalysed equity sell-offs world-wide. Further falls in commodity prices also weighed on the benchmark,

especially energy and mining companies. Prior to international concerns weighing on the benchmark, the quarter had started

positively. Chancellor George Osborne’s business-friendly budget and the positive second-quarter GDP estimate was well

received by investors. In August, Governor Carney surprised markets by suggesting an interest rate increase, while “drawing

closer” and “data dependent”, would most likely occur next year. Domestic economic data remained healthy. The unemployment

rate was unchanged from the previous quarter at 5.5 per cent with average earnings (wages) remaining robust. The 0.7 per cent

QoQ second quarter GDP figure was in-line with estimates, as services remained strong and increased oil & gas production

supported a rise in industrial output. Inflation remained flat at 0.0 per cent year-on-year despite slipping -0.2 per cent month-on-

month (MoM) in July. Elsewhere, retail sales disappointed in June but were in-line with estimates in July and August. Halifax

house price data showed a rebound in August after July’s decrease with 2.7 per cent MoM growth.

The benchmark climbed 4.0 per cent in the final quarter of 2015, as it recovered the majority of its third-quarter decline. This

solidified a positive 1.0 per cent return for 2015. After a strong October and small November climb, the benchmark tracked lower

in December. Disappointment from Europe overflowed into U.K. equities after the European Central Bank made fewer changes

than expected to its monetary policy. A collapse in the price of oil during the month also weighed on natural resource stocks.

Earlier in the period, investors began to price in a later than expected rise in U.K. interest rates. The Bank of England’s (BoE)

quarterly inflation report detailed a significantly lower path for projected rate rises than three months ago, and a weaker outlook

for inflation. BoE Governor Carney signalled interest rates could remain on hold until 2017, a sharp contrast to his hawkish third

quarter comments. However, the Central Bank expected weaker global growth to be offset by strong domestic spending.

The benchmark edged 0.4 per cent lower in the first quarter of 2016, as it failed to recover from its January losses. Early in the

period, sentiment towards cyclical areas of the market weakened as investors favoured the stability and dividend yield provided

by more defensive large cap stocks. The market rebounded from mid-February as equity market and oil price volatility stabilised

and commodities rallied. This aided natural resource-based areas of the market. Meanwhile, the potential for a U.K. exit from the

Eurozone (Brexit) in the June referendum increased uncertainty towards domestically-oriented stocks. The value of the Pound

Sterling against the U.S. Dollar also trended downwards on Brexit fears, touching a seven year low of USD 1.38 in February.




156 Russell U.K. Equity Plus Fund


The Fund added to its 2015 outperformance in the second quarter of 2015. Significantly strong stock selection drove positive

relative returns. Additionally, the overweight to small cap stocks and higher growth areas of the market continued to underpin

gains. Standard Life remained the standout contributor among the Fund’s underlying Money Managers as it benefited from its

bottom-up stock selection. Meanwhile, BlackRock and our positioning strategy lagged the benchmark.

The Fund outperformed the benchmark in the third quarter of 2015; a negative and volatile period for global equity markets. The

Fund benefited from the tilt towards growth and overweight to small caps. BlackRock significantly outperformed as its defensive

growth-oriented strategy best suited the market environment. During the quarter we marginally reduced the Fund’s growth

exposure that has been rewarded strongly in recent years. While earnings from domestically-oriented corporates have improved,

we remain on the lookout for earnings confirmation across the wider market to support valuations that have appreciated strongly

in recent years.

The Fund finished slightly below the benchmark in the fourth quarter of 2015. The Fund’s positioning towards high momentum

and its current overweight to growth was beneficial. The selection of high momentum stocks weighed on relative returns. At the

sector level, stock picking was strong within the basic materials sector but detracted within the industrials and technology sectors.

It was a positive factor environment for BlackRock’s defensive growth strategy. In contrast, our positioning strategy and Standard

Life suffered from negative stock selection.

The Fund lagged the benchmark in the first quarter of 2016. Our positive exposure to high momentum detracted as the market

rebounded from mid-February. Our exposure to select domestically-oriented small cap stocks weighed on relative returns, with

sentiment hindered by “Brexit” concerns. Stock selection within the consumer services sector was negative this period, with

select multiline retail holdings handing back some of their 2015 outperformance. The selection of metals and mining stocks also

detracted. Standard Life handed back some of its longer-term outperformance as its selection of more volatile names went

unrewarded. Our positioning strategy mitigated additional underperformance as a large underweight to financials added to relative

returns.

Outlook



volatility will continue to be driven by China fears, the U.S. Federal Reserve’s monetary tightening, U.S. recession concerns,

bank balance sheet worries, and soft corporate profits. Moreover, the move to negative interest rates in Europe and Japan has

triggered fears that Central Banks have run out of easing options. Negative rates also tend to squeeze the margin between banks’

borrowing and lending rates. This squeeze could, in turn, hurt bank profitability, and end up making things worse for the markets.

In our 2016 Global Market Outlook Annual report, we forecast mid-to-low single digit returns for global equities, along with a

gradual rise in long-term interest rates. We’re holding to that view, with the exception we think equity growth is more likely to be

in the low single digits. Moreover, we’re now seeing corporate profits weakening, softness in global trade and manufacturing, and

slightly higher risks for Emerging Markets. These elements all contribute to a less supportive environment for equities. That said,

we’re not forecasting a sustained bear market, provided the U.S. does not fall into recession. Right now we see recession as a low



Past performance is no indication of current or future performance. * Benchmark Source: FTSE All Share Total Return Index


May 2016



Balance Sheet

As at 31 March 2016



31 March 2016

GBP ‘000

31 March 2015

GBP ‘000

Assets


Cash at bank (Note 3) ............................................................................................................. 471 775


(Note 3) ................................................................................................................................... 624 424

Debtors:

Receivable for investments sold .......................................................................................... - 2,927

Receivable on fund shares issued ........................................................................................ 32 11

Dividends receivable ........................................................................................................... 497 603

91,913 113,002

Liabilities

Financial liabilities at fair value through profit or loss (Note 2) ............................................. - (101)


Payable for investments purchased ..................................................................................... (21) (1,033)

Payable on fund shares redeemed ....................................................................................... (20) (2,298)

Distributions payable on income share classes .................................................................... (252) (180)

Management fees payable ................................................................................................... (63) (80)

Performance fees payable .................................................................................................... (626) (357)

Custodian and Trustee fees payable .................................................................................... (1) (2)

Sub-custodian fees payable ................................................................................................. (1) (5)

Administration fees payable ................................................................................................ (4) (5)

Audit fees payable ............................................................................................................... (10) (10)

(998) (4,071)

Net asset value attributable to redeemable participating shareholders .................... 90,915 108,931







2016

GBP ‘000

2015

GBP ‘000

Income

Dividends ....................................................................................................................... 3,279 3,942

Net gain (loss) on investment activities (Note 4) ............................................................... (4,596) 4,596

Total investment income (expense) ................................................................................ (1,317) 8,538

Expenses

Management fees (Note 5) ............................................................................................. (810) (1,023)

Performance fees (Note 5) .............................................................................................. (351) (168)

Custodian and Trustee fees (Note 6) .............................................................................. (8) (11)

Sub-custodian fees (Note 6) ........................................................................................... (12) (22)

Administration and transfer agency fees (Note 6) .......................................................... (49) (54)

Audit fees (Note 6) ......................................................................................................... (10) (10)

Professional fees ............................................................................................................. (19) (11)

Other fees ....................................................................................................................... (5) (12)

Total operating expenses ................................................................................................ (1,264) (1,311)

Net income (expense) ....................................................................................................... (2,581) 7,227

Finance costs

Distributions (Note 8) ..................................................................................................... (1,902) (2,562)

Profit (loss) for the financial year before taxation ........................................................ (4,483) 4,665

Taxation

Withholding tax (Note 9) ............................................................................................... (6) (2)



All amounts arose solely from continuing operations. There are no recognised gains and losses other than those dealt with in the Profit and Loss

Account.







2016

GBP ‘000

2015

GBP ‘000


shareholders resulting from operations ................................................................................................. (4,489) 4,663

Share transactions





participating shareholders ...................................................................................................................... (18,016) (22,808)


Beginning of year ........................................................................................................... 108,931 131,739

End of year ..................................................................................................................... 90,915 108,931




31 March 2016



Number

of Shares

Fair Value

GBP ‘000

Fund

%


Common Stock (94.69%) (2015: 94.08%)

Bermuda (0.11%)

Insurance

18,499 Lancashire Holdings Ltd ..... 102 0.11

Canada (0.21%)

Metals and Mining

51,676

First Quantum Minerals

Ltd ....................................... 189 0.21

Germany (0.27%)


22,756 TUI AG ............................... 246 0.27

Ireland (0.81%)

Entertainment

7,550 Paddy Power Betfair ............ 733 0.81


Building Products

1,261,100 Breedon Aggregates Ltd ...... 886 0.98

Distributors

57,104 Wolseley Plc ....................... 2,249 2.47

Insurance

38,805 Beazley Plc .......................... 140 0.15

95,200 Phoenix Group Holdings ..... 898 0.99

Pharmaceuticals

69,392 Shire Plc .............................. 2,747 3.02

6,920 7.61

Spain (0.49%)

Airlines

80,360

International Consolidated

Airlines Group SA ............... 445 0.49



69,831 Cobham Plc ......................... 152 0.17

45,507 Meggitt Plc .......................... 185 0.20

Agriculture

95,828


Plc ....................................... 3,918 4.31

27,361 Imperial Brands Plc ............. 1,057 1.16

Airlines

98,422 Easy Jet Plc ......................... 1,495 1.64

Auto Components

124,579 GKN Plc .............................. 360 0.40

Banks

640,603 Barclays Plc ......................... 961 1.06

4,470 BGEO Group Plc ................. 91 0.10

235,759 HSBC Holdings Plc ............. 1,023 1.12

Number

of Shares

Fair Value

GBP ‘000

Fund

%

800,300

Lloyds Banking Group

Plc ....................................... 544 0.60

Beverages

19,764 Britvic Plc ........................... 140 0.16

38,344 Diageo Plc .......................... 721 0.79

Building Products

201,522 Marshalls Plc ...................... 717 0.79

51,738 Polypipe Group Plc ............. 165 0.18

141,023 Tyman Plc ........................... 418 0.46

Chemicals

51,903 Filtrona Plc ......................... 429 0.47

38,394 Johnson Matthey Plc ........... 1,054 1.16

119,535 Synthomer Plc ..................... 435 0.48


36,322

Babcock International Group

Plc ....................................... 345 0.38

106,800 Berendsen Plc ..................... 1,285 1.41

41,737 Capita Plc ............................ 435 0.48

56,428 Interserve Plc ...................... 245 0.27

61,218 Northgate Plc ...................... 247 0.27

328,614 RELX Plc ............................ 4,251 4.68

36,425 RPS Group Plc .................... 76 0.08

38,898 Savills Plc ........................... 296 0.33

131,075 St Ives Plc ........................... 297 0.33

28,880 UBM Plc ............................. 174 0.19

5,632 WS Atkins Plc .................... 77 0.08


38,669 Computacenter Plc .............. 325 0.36

56,300 FDM Group Holdings Plc ... 325 0.36


192,216 Costain Group Plc ............... 683 0.75

26,072 HomeServe Plc ................... 112 0.12

29,338 Keller Group Plc ................. 252 0.28

60,586 Kier Group Plc .................... 779 0.86


85,026 RPC Group Plc ................... 646 0.71

Distributors

17,757 Inchcape Plc ........................ 128 0.14


42,805 Ashmore Group Plc ............ 123 0.14

32,722

Brewin Dolphin Holdings

Plc ....................................... 85 0.09

57,671 Hargreaves Lansdown Plc .. 775 0.85

34,816 ICAP Plc ............................. 165 0.18

109,351

International Personal

Finance Plc ......................... 319 0.35

9,773 PayPoint Plc ........................ 73 0.08

Electric Utilities

27,202 SSE Plc ............................... 406 0.45


46,333 Electrocomponents Plc ....... 112 0.13

17,350 Spectris Plc ......................... 320 0.35




31 March 2016



Number

of Shares

Fair Value

GBP ‘000

Fund

%

Entertainment

210,038

Merlin Entertainments

Plc ....................................... 974 1.07

49,402 William Hill Plc .................. 162 0.18

Food Products

211,586 Compass Group Plc ............. 2,598 2.86

873,200 Premier Foods Plc ............... 498 0.55

510,600

WM Morrison Supermarkets

Plc ....................................... 1,015 1.11


80,600 Smith & Nephew Plc ........... 925 1.02


179,300

Spire Healthcare Group

Plc ....................................... 644 0.71


162,075 AA Plc ................................. 429 0.47

36,532 Mitie Group Plc ................... 94 0.11

Home Builders

21,103 Bellway Plc ......................... 554 0.61

144,784

Crest Nicholson Holdings

Plc ....................................... 815 0.89

96,465 Redrow Plc .......................... 388 0.43


60,000 Gym Group Plc ................... 149 0.16

232,113 Thomas Cook Group Plc ..... 216 0.24

Household Products

29,600


Plc ....................................... 1,992 2.19

Insurance

11,063 Admiral Group Plc .............. 219 0.24

48,226 Aviva Plc ............................. 220 0.24

85,000 Curtis Banks Group Plc ....... 329 0.36

152,400

Direct Line Insurance Group

Plc ....................................... 564 0.62

403,983


Plc ....................................... 950 1.05

75,488 Prudential Plc ...................... 982 1.08

25,024 St James's Place Plc ............. 230 0.25


193,693 Auto Trader Group Plc ........ 755 0.83

73,000 Just Eat Plc .......................... 275 0.30

8,663 Rightmove Plc ..................... 365 0.40

Lodging

1,978,664 Snoozebox Holdings Plc ..... 52 0.06

Media

67,981 Informa Plc .......................... 472 0.52

710,105 ITV Plc ................................ 1,713 1.88

32,851 Pearson Plc .......................... 287 0.32

218,321 Sky Plc ................................ 2,236 2.46

Metals and Mining

55,534 BHP Billiton Plc .................. 435 0.48

48,863 Bodycote Plc ....................... 295 0.32

75,124 Rio Tinto Plc ....................... 1,469 1.62

59,538 Vedanta Resources Plc ........ 204 0.22

Number

of Shares

Fair Value

GBP ‘000

Fund

%


20,532 Smiths Group Plc ................ 221 0.24

Oil and Gas

356,779 BP Plc ................................. 1,249 1.37

180,000 Cairn Energy Plc ................. 360 0.40

301,414 Ophir Energy Plc ................ 232 0.26

20,381


(A Shares) ........................... 343 0.38

137,156


(B Shares) ........................... 2,332 2.56

36,552 Soco International Plc ......... 58 0.06

Other Finance

226,500 John Laing Group Plc ......... 517 0.57

146,083 Melrose Industries Plc ........ 521 0.57


130,872 DS Smith Plc ...................... 534 0.59

Personal Products

20,716 Unilever Plc ........................ 653 0.72

Pharmaceuticals

82,081 AstraZeneca Plc .................. 3,202 3.52

171,840 GlaxoSmithKline Plc .......... 2,426 2.67

Real Estate

239,010

Capital & Counties

Properties Plc ...................... 788 0.87

65,700 Grainger Plc ........................ 149 0.16

Retail Trade

60,300 Carpetright Plc .................... 206 0.23

38,324 Dixons Carphone Plc .......... 163 0.18

206,722 Enterprise Inns Plc .............. 197 0.22

22,923 Halfords Group Plc ............. 91 0.10

63,924

Marks & Spencer Group

Plc ....................................... 260 0.29

39,028 Next Plc .............................. 2,108 2.32

85,306 Pets at Home Group Plc ...... 230 0.25

44,369

Sports Direct International

Plc ....................................... 168 0.18

25,640 SuperGroup Plc ................... 364 0.40


73,521 ARM Holdings Plc ............. 746 0.82

160,760

Imagination Technologies

Group Plc ............................ 304 0.33

Software

9,770 AVEVA Group Plc ............. 154 0.17

4,346 Fidessa Group Plc ............... 106 0.12

100,152 Sage Group Plc ................... 630 0.69

Telecommunications

448,773 BT Group Plc ...................... 1,977 2.17

560,000

CityFibre Infrastructure

Holdings Plc ....................... 274 0.30

70,597 Gooch & Housego Plc ........ 628 0.69

21,768 Inmarsat Plc ........................ 214 0.24

67,623 Kcom Group Plc ................. 73 0.08

168,500

Spirent Communications

Plc ....................................... 148 0.16




31 March 2016



Number

of Shares

Fair Value

GBP ‘000

Fund

%

1,025,221 Vodafone Group Plc ............ 2,268 2.50

Transport

157,900

National Express Group

Plc ....................................... 542 0.59

176,123 Stagecoach Group Plc ......... 444 0.49

Warehousing

101,334 Wincanton Plc ..................... 170 0.19

Water Utilities

22,433 Pennon Group Plc ............... 182 0.20

10,810 Severn Trent Plc .................. 235 0.26

27,904

United Utilities Group

Plc ....................................... 258 0.28

77,451 85.19


Total Transferable

Securities ............................ 86,086 94.69

Number

of Shares

Fair Value

GBP ‘000

Fund

%


Ireland (4.61%)

4,145


III plc

The Sterling Liquidity

Fund - Class R Roll-Up

Shares ............................... 4,159 4.58

41


III plc

The US Dollar Cash Fund

II - Class R Roll-Up

Shares .............................. 29 0.03


Total Investments

excluding Financial


Financial Derivative Instruments (0.02%) (2015: (0.09)%)


Notional

Amount

GBP '000

Average

Cost Price

GBP

Unrealised

Gain (Loss)

GBP ‘000

Fund

%

3,103

6,083.68

51 of FTSE 100 Index Future


Expiring June 2016 ......................................... 15 0.02


Total Financial Derivative Instruments ......................................................................... 15 0.02

Fair Value

GBP ‘000

Fund

%


(99.32%) ....................................................................................................................................................... 90,289 99.32

Other Net Assets (0.68%) ......................................................................................................................... 626 0.68

Net Assets .................................................................................................................................................. 90,915 100.00


% of

gross assets

Transferable securities admitted to an official stock exchange listing ................................................................ 93.66

Investment funds (UCITS) .................................................................................................................................. 4.56

Exchange traded financial derivative instruments ............................................................................................... 0.02

Other assets ......................................................................................................................................................... 1.76

100.00

The broker for the open futures contracts is UBS AG.




31 March 2016






As at 31 March 2016

Level 1

GBP ‘000

Level 2

GBP ‘000

Level 3

GBP ‘000

Total

GBP ‘000

Assets





Unrealised gain on open futures contracts ............................. 15 - - 15

Total assets ...................................................................................... 86,101 4,188 - 90,289

As at 31 March 2015

Level 1

GBP ‘000

Level 2

GBP ‘000

Level 3

GBP ‘000

Total

GBP ‘000

Assets





Total assets ...................................................................................... 102,550 5,712 - 108,262

Liabilities



Total liabilities ................................................................................ (101) - - (101)









Acquisition Cost

GBP ‘000 Portfolio Securities

Disposal Proceeds

GBP ‘000


The Sterling Liquidity Fund - The Sterling Liquidity Fund -


RELX Plc 1,748 Russell Investment Company III plc

Russell Investment Company III plc The Sterling Liquidity Fund -

The Sterling Liquidity Fund - Class C Shares (7,150)

Class C Shares 1,466 BG Group Plc (1,412)

Legal & General Group Plc 1,058 Royal Dutch Shell Plc (1,312)

Royal Bank of Scotland Group Plc 1,043 BP Plc (1,263)

Smith & Nephew Plc 1,025 Travis Perkins Plc (1,226)

Shire Plc 945 Close Brothers Group Plc (1,207)

AstraZeneca Plc 828 Rio Tinto Plc (1,140)

Barclays Plc 740 Lloyds Banking Group Plc (1,049)

Diageo Plc 697 British American Tobacco Plc (988)

Direct Line Insurance Group Plc 697 Reckitt Benckiser Group Plc (976)

Betfair Group Plc 661 HSBC Holdings Plc (967)

Unilever Plc 620 Wolseley Plc (904)

BP Plc 608 AstraZeneca Plc (893)

Capita Plc 534 Paragon Group of Cos Plc (848)

Bellway Plc 531 Paysafe Group Plc (827)

National Express Group Plc 523 RELX Plc (809)

Royal Dutch Shell Plc 456 Barclays Plc (776)

Imperial Brands Plc 426 HellermannTyton Group Plc (752)

Easy Jet Plc 421 Next Plc (743)


Russell U.S. Growth Fund

Balance Sheet

As at 31 March 2015


Russell U.S. Growth Fund 165

31 March 2015*

USD ‘000

Assets

Cash at bank (Note 3) ............................................................................................................................................... 133

133

Liabilities


Payable on fund shares redeemed .................................................................................................................. (103)

Sub-custodian fees payable ............................................................................................................................ (2)

Administration fees payable ........................................................................................................................... (1)

Audit fees payable .......................................................................................................................................... (15)

Other fees payable .......................................................................................................................................... (12)

(133)

Net assets attributable to redeemable participating shareholders ....................................................................... -






166 Russell U.S. Growth Fund

2015*

USD ‘000

Income

Dividends ....................................................................................................................................................... 65

Net gain (loss) on investment activities (Note 4) ...................................................................................................... 363

Total investment income (expense) ......................................................................................................................... 428

Expenses

Management fees (Note 5) ............................................................................................................................. (47)

Sub-custodian fees (Note 6) ........................................................................................................................... (12)

Administration and transfer agency fees (Note 6) ......................................................................................... (13)

Audit fees (Note 6) ......................................................................................................................................... (15)

Professional fees ............................................................................................................................................ (12)

Other fees ....................................................................................................................................................... (18)

Total operating expenses .......................................................................................................................................... (117)

Net income (expense) ................................................................................................................................................ 311

Taxation

Withholding tax (Note 9) ............................................................................................................................... (20)

Net increase (decrease) in net assets attributable to redeemable participating shareholders

resulting from operations ........................................................................................................................................ 291

All amounts arose solely from terminating operations. There are no recognised gains or losses other than those dealt with in the Profit and Loss

Account.

* The Fund ceased trading on 14 October 2014.




For the year ended 31 March 2015.


Russell U.S. Growth Fund 167

2015*

USD ‘000



Share transactions


transactions (Note 10) .................................................................................................................................... (15,860)

Total net increase (decrease) in net assets attributable to redeemable participating

shareholders .............................................................................................................................................................. (15,569)


Beginning of year ........................................................................................................................................... 15,569

End of year ..................................................................................................................................................... -

* The Fund ceased trading on 14 October 2014.



Manager’s Report

168 Russell U.S. Quant Fund

Money Managers as at 31 March 2016 Aronson and Johnson and Ortiz, L.P.

Jacobs Levy Equity Management Inc.


PanAgora Asset Management Inc.

Russell Investments Management Company

Investment Objective Russell U.S. Quant Fund (the “Fund”) seeks to achieve capital appreciation by investing primarily in U.S. equity securities,

including common stock, American depository receipts, global depository receipts, convertibles and warrants listed, traded or

dealt in on a regulated market in the U.S.. The Fund will seek to achieve its investment objective by investing in derivative

instruments that have as their underlying exposure the foregoing (e.g. swaps and contracts for differences) and may implement

bought (long) and synthetic short (sold) positions through the use of derivatives.

Fund Performance

During the year ended 31st March 2016, the Russell U.S. Quant Fund (Class B) returned 0.8 per cent on a gross of fee basis (1.9

per cent on a net of fee basis), while the benchmark* returned 0.1 per cent.

Market Comment

The benchmark edged up 0.1 per cent over the second quarter of 2015. Although U.S. economic data trends were mixed over

the quarter, evidence that the U.S. economy is bouncing back from its first quarter economic slowdown materialised by the

end of the period. Severe winter weather and labour disruptions at major ports drove a contraction in U.S. output in the firs t

quarter of 2015. However, the contraction was less severe than originally thought, with the final first quarter GDP estimate

upwardly revised to -0.2 per cent from -0.7 per cent due to better personal consumption figures. During the quarter, the U.S.

Federal Reserve (the “Fed”) clearly communicated its expectation to hike interest rates this year and that the decision aroun d

exactly when to do so will be data-driven. The consensus view is that a first rate hike will occur in September, however the

pace of subsequent rate hikes was at the forefront of investor concerns. The market welcomed dovish signals from the Federal

Open Market Committee’s (FOMC) June meeting, with Fed Chair Yellen stating that “economic conditions are currently

anticipated to evolve in a manner that will only warrant gradual increases in the federal funds rate”. However, two Fed

members voiced their support for two rate adjustments before the end of the year.

The benchmark declined 7.0 per cent over the third quarter of 2015. China’s currency devaluation, amid slowing economic

growth, gave rise to a severe sell-off in U.S. and global markets. These adverse international developments, in turn, became a

lead factor in preventing the Fed from raising its interest rate in September. While the market initially spiked higher follo wing

news of the Fed hike delay, investors grew more concerned about global economic growth, tilting demand away from risk and

towards safe haven assets, such as treasuries. After the Fed’s September meeting, Fed Chair Yellen stated that, despite recen t

international developments, domestically “the economy has been performing well, and we expect it to continue to do so”. At

the time, second quarter GDP had been revised upwards to 3.7 per cent, and was later revised higher to 3.9 per cent.

Unemployment slipped to 5.1 per cent for August, its lowest in seven years, assisted by a decline in the participation rate.

However, non-farm payrolls missed expectations at 173,000 in August, following upwardly revised readings for June

(245,000) and July (223,000).

The benchmark rose 6.5 per cent over the fourth quarter of 2015. In some regards the period was a repeat of the third quarter,

as anxiety from slowing growth and policy execution in China, combined with an ongoing commodities rout (especially in oil)

drove market volatility. However, before the curtains closed for the year, the Fed finally raised its benchmark interest rate, an

event which had been largely priced in by the markets. The central bank’s accompanying statement revealed that its policy

would “remain accommodative” and that “the actual path of [increases in] the federal funds rate will depend on the economic

outlook as informed by incoming data”. This crystallised a diverging Central Bank policy environment between the more

hawkish U.S. and (to a lesser extent) U.K., versus loose monetary policies in Europe (where the European Central Bank eased

further) and Japan.

The benchmark rose 1.0 per cent over the first quarter of 2016. The period was characterised by two halves. The first half of

the quarter was characterised by slowing growth in China coupled with an ongoing commodities rout (especially in oil), which

contributed to significant market volatility and substantial risk-off sentiment. However, in the latter part of the quarter there

was a rebound in the traditional cyclical areas of the market driven in part by more dovish rhe toric from the Fed alongside oil

price stabilisation. At the first quarter FOMC meeting, Fed Chair Yellen explained that even though domestic “economic

forecasts have not changed much since December”, this was being overshadowed by “global economic and fin ancial

developments”, posing a risk to growth. As a result, FOMC “dots” reduced to two possible interest rate hikes this year down

from four earlier in the year.




Russell U.S. Quant Fund 169


The Fund finished ahead of the benchmark over the second quarter of 2015, extending year-to-date gains. Stock selection at the

lower end of the market cap scale relative to the benchmark was additive. Selection among discounted stocks (low price-to-book

ratios) and higher beta stocks was also rewarded. In particular, stock picks within the technology, health care and financial

services sectors accounted for the majority of excess returns. However, names penalised in the producer durables and consumer

discretionary sectors weighed on more sizeable outperformance. An overweight to transportation and freight companies was a

hindrance.

The Fund extended its year-to-date outperformance in a negative and volatile third quarter of 2015 for U.S. equities. Positive

relative returns were driven by strong stock selection, primarily within smaller capitalisation and dividend paying stocks. Stock

selection within the producer durables and energy sectors underpinned gains. An underweight to energy also added value

following a renewed slump in oil prices. Avoiding the lowest momentum and highest growth stocks both contributed

meaningfully to outperformance. Aronson was the sole underperforming Money Manager this quarter, as its financial services

names weighed on returns.

The Fund underperformed the benchmark in the final quarter of 2015. Exposure to value and an underweight to the highest

dividend yielding stocks weighed on returns. However, the Fund’s tilt away from low momentum and effective selection of high

momentum stocks helped mitigate additional underperformance. An underweight to and negative selection of the largest market

cap stocks was a key detractor. Aside from Aronson and Pan Agora, all strategies finished behind the benchmark this quarter.

However, all five Money Managers recorded positive relative performance in 2015.

The Fund underperformed the benchmark in the first quarter of 2016. It was an unfavorable environment for the Fund’s value tilt.

However, the Fund’s tilt away from the top-end of the capitalisation opportunity set was beneficial as this area of the market

underperformed over the period. Sector selection was also unrewarded, particularly the overweight to health care. The Fund’s

exposure to underperforming holdings within the financial services, industrials and energy sectors detracted from performance.

All Money Managers underperformed for the quarter.

Outlook















* Benchmark Source: Russell 1000 Net 30% Index


May 2016



Balance Sheet

As at 31 March 2016



31 March 2016

USD ‘000

31 March 2015

USD ‘000

Assets


Cash at bank (Note 3) .................................................................................................................. 2,515 1,422


(Note 3) ........................................................................................................................................ 1,055 351

Debtors:

Receivable for investments sold ................................................................................................ 366 1,216

Receivable on fund shares issued .............................................................................................. 10 1,551

Dividends receivable ................................................................................................................. 164 138

273,469 214,057

Liabilities


Payable for investments purchased ........................................................................................... (9,083) (1,293)

Payable on fund shares redeemed .............................................................................................. (64) (6)

Management fees payable ......................................................................................................... (199) (178)

Custodian and Trustee fees payable .......................................................................................... (3) (3)

Sub-custodian fees payable ....................................................................................................... (8) (11)

Administration fees payable ...................................................................................................... (9) (9)

Audit fees payable ...................................................................................................................... (19) (19)

(9,385) (1,519)

Net assets attributable to redeemable participating shareholders ......................................... 264,084 212,538







2016

USD ‘000 2015

USD ‘000

Income

Dividends ....................................................................................................................... 4,635 3,077

Net gain (loss) on investment activities (Note 4) ............................................................... (3,744) 19,586

Total investment income (expense) ................................................................................ 891 22,663

Expenses

Management fees (Note 5) ............................................................................................. (2,329) (1,633)

Custodian and Trustee fees (Note 6) .............................................................................. (20) (14)

Sub-custodian fees (Note 6) ........................................................................................... (90) (77)

Administration and transfer agency fees (Note 6) .......................................................... (102) (73)

Audit fees (Note 6) ......................................................................................................... (19) (19)

Professional fees ............................................................................................................. (31) (14)

Other fees ....................................................................................................................... - (19)

Total operating expenses ................................................................................................. (2,591) (1,849)

Net income (expense) ....................................................................................................... (1,700) 20,814

Finance costs

Distributions (Note 8) ..................................................................................................... (788) (402)

Profit (loss) for the financial year before taxation ........................................................ (2,488) 20,412

Taxation

Withholding tax (Note 9) ............................................................................................... (1,312) (863)


shareholders resulting from operations ......................................................................... (3,800) 19,549


Account.







2016

USD ‘000 2015

USD ‘000



Share transactions

Reinvestment of deemed distributions on accumulation shares (Note 8) ..................... 788 402






Beginning of year ........................................................................................................... 212,538 144,802

End of year ..................................................................................................................... 264,084 212,538




31 March 2016



Number

of Shares

Fair Value

USD ‘000

Fund

%


Common Stock (92.39%) (2015: 95.41%)

Bermuda (1.00%)

Agriculture

7,600 Bunge Ltd ............................ 431 0.16


785 Genpact Ltd ......................... 21 0.01


3,232 Invesco Ltd .......................... 99 0.04

Insurance

4,895 Arch Capital Group Ltd ....... 348 0.13

580

Aspen Insurance Holdings

Ltd ....................................... 28 0.01

1,171


Ltd ....................................... 65 0.03

775

Endurance Specialty

Holdings Ltd ....................... 51 0.02

4,865 Everest Re Group Ltd .......... 960 0.36

426

RenaissanceRe Holdings

Ltd ....................................... 51 0.02

1,054 Validus Holdings Ltd .......... 50 0.02

Oil and Gas

28,748 Nabors Industries Ltd .......... 264 0.10


26,874

Marvell Technology Group

Ltd ....................................... 277 0.10

2,645 1.00

Canada (0.06%)

Media

3,876 Thomson Reuters Corp ........ 157 0.06

Curacao (0.05%)


1,811 Schlumberger Ltd ................ 134 0.05



14,325 Amdocs Ltd ......................... 866 0.33

Ireland (0.51%)


1,278 Accenture Plc ...................... 147 0.06


3,230 Medtronic Plc ...................... 242 0.09

Insurance

3,242 XL Group Plc ...................... 119 0.04


7,200 Eaton Corp Plc .................... 450 0.17

Pharmaceuticals

273 Allergan Plc ......................... 73 0.03

5,200 Mallinckrodt Plc .................. 319 0.12

1,350 0.51

Number

of Shares

Fair Value

USD ‘000

Fund

%


Auto Components

3,496 Delphi Automotive Plc ....... 262 0.10

Marshall Islands (0.00%)

Transport

1,100 Teekay Corp ....................... 10 0.00

Netherlands (0.30%)

Chemicals

9,254

LyondellBasell Industries

NV ...................................... 792 0.30

Panama (0.29%)


14,400 Carnival Corp ..................... 760 0.29

Singapore (0.09%)


20,300

Flextronics International

Ltd ...................................... 245 0.09

Switzerland (0.16%)

Insurance

1,189


Holdings AG ....................... 42 0.02

3,200 Chubb Ltd ........................... 381 0.14

423 0.16


Oil and Gas

67,663 Ensco Plc ............................ 702 0.27

4,500 Rowan Cos Plc .................... 72 0.03

Telecommunications

13,900 ARRIS International Plc ..... 319 0.12

1,093 0.42


Advertising

10,732

Interpublic Group of Cos

Inc ....................................... 246 0.09

3,043 Omnicom Group Inc ........... 253 0.10


13,666 Boeing Co ........................... 1,735 0.66

10,504 General Dynamics Corp ...... 1,380 0.52

6,100

L-3 Communications

Holdings Inc ....................... 723 0.27

4,810 Lockheed Martin Corp ........ 1,065 0.40

7,054 Northrop Grumman Corp .... 1,396 0.53

7,690 Raytheon Co ....................... 943 0.36

17,948

Spirit AeroSystems Holdings

Inc ....................................... 814 0.31

4,100 Triumph Group Inc ............. 129 0.05

8,431 United Technologies Corp .. 844 0.32




31 March 2016



Number

of Shares

Fair Value

USD ‘000

Fund

%

Agriculture

64,252 Altria Group Inc .................. 4,026 1.52

23,889


Inc ....................................... 2,344 0.89

10,284 Reynolds American Inc ....... 517 0.20

Airlines

6,191 Alaska Air Group Inc .......... 508 0.19

220 Allegiant Travel Co ............. 39 0.02

18,055

American Airlines Group

Inc ....................................... 740 0.28

52,553 Delta Air Lines Inc .............. 2,558 0.97

18,693 JetBlue Airways Corp ......... 395 0.15

17,137 Southwest Airlines Co ......... 768 0.29

9,769

United Continental Holdings

Inc ....................................... 585 0.22

Auto Components

2,500

American Axle &

Manufacturing Holdings

Inc ....................................... 38 0.01

1,000

Cooper-Standard Holding

Inc ....................................... 72 0.03

30,021

Goodyear Tire & Rubber

Co ........................................ 990 0.38

10,801 Lear Corp ............................ 1,201 0.45

607 Visteon Corp ....................... 48 0.02

Automobiles

370 AMERCO ............................ 132 0.05

52,891 Ford Motor Co ..................... 714 0.27

36,635 General Motors Co .............. 1,151 0.44

Banks

80,079 Bank of America Corp ........ 1,083 0.41

2,252

Bank of New York Mellon

Corp ..................................... 83 0.03

18,766 BB&T Corp ......................... 624 0.24

6,300 CIT Group Inc ..................... 195 0.07

54,059 Citigroup Inc ....................... 2,257 0.85

37,657


Inc ....................................... 789 0.30

12,015 Comerica Inc ....................... 455 0.17

6,499 East West Bancorp Inc ........ 211 0.08

20,424 Fifth Third Bancorp ............. 341 0.13

12,483

Goldman Sachs Group

Inc ....................................... 1,960 0.74

700 Home BancShares Inc ......... 29 0.01

23,580 JPMorgan Chase & Co ........ 1,396 0.53

13,100 KeyCorp .............................. 145 0.05

4,220 M&T Bank Corp ................. 468 0.18

30,361 Morgan Stanley ................... 759 0.29

7,000 Northern Trust Corp ............ 456 0.17

10,200

PNC Financial Services

Group Inc ............................ 863 0.33

72,300 Regions Financial Corp ....... 568 0.21

1,540 Signature Bank .................... 210 0.08

18,373 SunTrust Banks Inc ............. 663 0.25

660 SVB Financial Group .......... 67 0.03

Number

of Shares

Fair Value

USD ‘000

Fund

%

4,815 Synovus Financial Corp ...... 139 0.05

45,073 Wells Fargo & Co ............... 2,180 0.83

2,800 Western Alliance Bancorp .. 93 0.04

Beverages

23,811 Coca-Cola Co ..................... 1,105 0.42

16,029

Coca-Cola Enterprises

Inc ....................................... 813 0.31

7,410


Inc ....................................... 663 0.25

3,192

Molson Coors Brewing

Co ....................................... 307 0.12

38,736 PepsiCo Inc ......................... 3,970 1.50

Biotechnology

1,300 Acorda Therapeutics Inc ..... 34 0.01

3,600

Alnylam Pharmaceuticals

Inc ....................................... 226 0.09

19,758 Amgen Inc .......................... 2,962 1.12

510 Biogen Inc .......................... 133 0.05

1,720

Charles River Laboratories


29,540 Gilead Sciences Inc ............. 2,714 1.03

8,402 Incyte Corp ......................... 609 0.23

260

Intercept Pharmaceuticals

Inc ....................................... 33 0.01

621

Regeneron Pharmaceuticals

Inc ....................................... 224 0.09

6,146

United Therapeutics

Corp .................................... 685 0.26

3,011

Vertex Pharmaceuticals

Inc ....................................... 239 0.09

Building Products

4,587 Masco Corp ......................... 144 0.05

Chemicals

3,580

Air Products & Chemicals

Inc ....................................... 516 0.19

1,300 Axiall Corp ......................... 28 0.01

1,686 Celanese Corp ..................... 110 0.04

2,152

CF Industries Holdings

Inc ....................................... 67 0.03

414 Chemours Co ...................... 3 0.00

7,959 Dow Chemical Co ............... 405 0.15

3,288 Ecolab Inc ........................... 367 0.14

2,017

EI du Pont de Nemours &

Co ....................................... 128 0.05

5,900 Monsanto Co ....................... 518 0.20

2,146 Mosaic Co ........................... 58 0.02

3,000 Olin Corp ............................ 52 0.02

1,720 Sherwin-Williams Co ......... 490 0.19

5,300 Westlake Chemical Corp .... 245 0.09


1,800 Advisory Board Co ............. 58 0.02

7,518 Global Payments Inc ........... 491 0.19

561 Graham Holdings Co .......... 269 0.10

2,580

McGraw Hill Financial

Inc ....................................... 255 0.10

5,132 PayPal Holdings Inc ........... 198 0.07




31 March 2016



Number

of Shares

Fair Value

USD ‘000

Fund

%

1,682

Robert Half International

Inc ....................................... 78 0.03

829 Rollins Inc ........................... 22 0.01

2,521 United Rentals Inc ............... 157 0.06

3,398 Western Union Co ............... 66 0.02


7,900 3D Systems Corp ................. 122 0.05

109,621 Apple Inc ............................. 11,948 4.52

8,341

Brocade Communications

Systems Inc ......................... 88 0.03

800 CACI International Inc ........ 85 0.03

900 Cray Inc ............................... 38 0.02

431 DST Systems Inc ................. 49 0.02

1,572 Fortinet Inc .......................... 48 0.02

27,200 HP Inc ................................. 335 0.13

7,302


Machines Corp .................... 1,106 0.42

584 Leidos Holdings Inc ............ 29 0.01

4,900

Lexmark International

Inc ....................................... 164 0.06

6,568 NCR Corp ........................... 197 0.08

10,026 NetApp Inc .......................... 274 0.10

4,700 NetScout Systems Inc .......... 108 0.04

11,190 Synopsys Inc ....................... 542 0.21

700 Virtusa Corp ........................ 26 0.01

9,180 Western Digital Corp .......... 434 0.16


540 TopBuild Corp .................... 16 0.01


6,621 Crown Holdings Inc ............ 328 0.12

3,763

Graphic Packaging Holding

Co ........................................ 48 0.02

6,097 Owens-Illinois Inc ............... 97 0.04

1,257 Sonoco Products Co ............ 61 0.02

1,988 WestRock Co ...................... 78 0.03

Distributors

1,100

Core-Mark Holding Co

Inc ....................................... 90 0.03

3,661 Fastenal Co .......................... 179 0.07

1,896 Genuine Parts Co ................. 188 0.07

4,605 HD Supply Holdings Inc ..... 152 0.06

703 LKQ Corp ........................... 22 0.01

234 Watsco Inc ........................... 32 0.01


1,210

Alliance Data Systems

Corp ..................................... 266 0.10

8,297 American Express Co .......... 509 0.19

500 Ameriprise Financial Inc ..... 47 0.02

1,040 CBOE Holdings Inc ............ 68 0.03

7,219 E*Trade Financial Corp ...... 177 0.07

663 FNF Group .......................... 22 0.01

4,149 FNFV Group ....................... 45 0.02

1,545

Intercontinental Exchange

Inc ....................................... 363 0.14

Number

of Shares

Fair Value

USD ‘000

Fund

%

7,100 MasterCard Inc ................... 671 0.25

3,853

NorthStar Asset

Management Group Inc ...... 44 0.02

25,600

Santander Consumer USA

Holdings Inc ....................... 269 0.10

15,963 Synchrony Financial ........... 457 0.17

3,246 T Rowe Price Group Inc ..... 238 0.09

519 Visa Inc ............................... 40 0.01

Electric Utilities

34,760 AES Corp ............................ 410 0.15

1,900 Ameren Corp ...................... 95 0.04

25,995

American Electric Power Co

Inc ....................................... 1,726 0.65

1,100 DTE Energy Co .................. 100 0.04

7,484 Duke Energy Corp .............. 604 0.23

17,100 Edison International ............ 1,229 0.46

17,549 Entergy Corp ....................... 1,391 0.53

3,956 Eversource Energy .............. 231 0.09

2,902 Exelon Corp ........................ 104 0.04

8,324 FirstEnergy Corp ................ 299 0.11

677 Great Plains Energy Inc ...... 22 0.01

13,704 NextEra Energy Inc ............ 1,622 0.61

8,489 PG&E Corp ......................... 507 0.19

904

Pinnacle West Capital

Corp .................................... 68 0.03

9,197 Southern Co ........................ 476 0.18

2,668 TECO Energy Inc ............... 73 0.03


1,050 Acuity Brands Inc ............... 229 0.09

8,661 Agilent Technologies Inc .... 345 0.13

3,768 Amphenol Corp .................. 218 0.08

3,500 Arrow Electronics Inc ......... 225 0.08

4,576 Avnet Inc ............................ 203 0.08

1,900 Fitbit Inc ............................. 29 0.01

1,660 Gentex Corp ........................ 26 0.01

1,977 GoPro Inc ............................ 24 0.01

11,464

Honeywell International

Inc ....................................... 1,285 0.49

6,540

Keysight Technologies

Inc ....................................... 181 0.07

3,000 Sanmina Corp ..................... 70 0.02


1,200 First Solar Inc ..................... 82 0.03

Entertainment

4,900

DreamWorks Animation

SKG Inc .............................. 122 0.05


3,020 Republic Services Inc ......... 144 0.05

2,509 Waste Management Inc ...... 148 0.06

Food Products

1,000 Dean Foods Co ................... 17 0.01

11,923 General Mills Inc ................ 755 0.29

1,815 Hershey Co ......................... 167 0.06

3,500 Hormel Foods Corp ............ 151 0.06




31 March 2016



Number

of Shares

Fair Value

USD ‘000

Fund

%

6,230 Ingredion Inc ....................... 665 0.25

1,490 JM Smucker Co ................... 193 0.07

29,685 Kroger Co ............................ 1,135 0.43

1,300 Safeway Casa Ley Inc ......... 1 0.00

1,300 Safeway Inc ......................... - 0.00

7,395 Sysco Corp .......................... 346 0.13

14,900 Tyson Foods Inc .................. 993 0.38

9,500 Whole Foods Market Inc ..... 296 0.11

Gas Utilities

2,695 CenterPoint Energy Inc ....... 56 0.02

945 National Fuel Gas Co .......... 47 0.02

9,957 NiSource Inc ....................... 235 0.09

5,500 One Gas Inc ......................... 336 0.13

Hand and Machine Tools

1,829

Lincoln Electric Holdings

Inc ....................................... 107 0.04

2,030 Snap-on Inc ......................... 319 0.12

2,434

Stanley Black & Decker

Inc ....................................... 256 0.10


1,663 Baxter International Inc ....... 68 0.03

2,068 Becton Dickinson and Co .... 314 0.12

463 Bio-Techne Corp ................. 44 0.02

12,201 Boston Scientific Corp ........ 230 0.09

6,099 Bruker Corp ......................... 171 0.07

9,300 CR Bard Inc ........................ 1,885 0.71

7,037

Edwards Lifesciences

Corp ..................................... 621 0.24

958 Henry Schein Inc ................. 165 0.06

4,280 Hologic Inc .......................... 148 0.06

800 ICU Medical Inc .................. 83 0.03

370 Intuitive Surgical Inc ........... 222 0.08

1,072 Patterson Cos Inc ................. 50 0.02

2,889 ResMed Inc ......................... 167 0.06

3,163 St Jude Medical Inc ............. 174 0.07

5,010 Stryker Corp ........................ 538 0.20

352 Teleflex Inc ......................... 55 0.02

4,348

Thermo Fisher Scientific

Inc ....................................... 616 0.23

5,200 VWR Corp .......................... 141 0.05


1,675 Aetna Inc ............................. 188 0.07

3,172 Anthem Inc .......................... 441 0.17

2,105 Centene Corp ....................... 130 0.05

2,995 Cigna Corp .......................... 411 0.15

290

DaVita HealthCare Partners

Inc ....................................... 21 0.01

3,671 HCA Holdings Inc ............... 287 0.11

1,210 LifePoint Health Inc ............ 84 0.03

1,700 Magellan Health Inc ............ 115 0.04

1,164 Mednax Inc ......................... 75 0.03

13,468

UnitedHealth Group

Inc ....................................... 1,736 0.66

Number

of Shares

Fair Value

USD ‘000

Fund

%

2,517

Universal Health Services

Inc ....................................... 314 0.12

400

WellCare Health Plans

Inc ....................................... 37 0.01


19,000 Leucadia National Corp ...... 307 0.12

Home Builders

8,200 DR Horton Inc .................... 248 0.09

483 NVR Inc .............................. 837 0.32

515 Thor Industries Inc .............. 33 0.01

Home Furnishings

771 Leggett & Platt Inc .............. 37 0.01


627 Polaris Industries Inc .......... 62 0.02

Household Products

2,658 Avery Dennison Corp ......... 192 0.07

1,630 Church & Dwight Co Inc .... 150 0.06

2,314 Clorox Co ........................... 292 0.11


Insurance

5,041 Aflac Inc ............................. 318 0.12

1,239 Alleghany Corp ................... 615 0.23

38,833 Allstate Corp ....................... 2,616 0.99

3,600

American Equity Investment

Life Holding Co .................. 60 0.02

3,098


Inc ....................................... 218 0.08

21,952


Group Inc ............................ 1,187 0.45

4,468

AmTrust Financial Services

Inc ....................................... 116 0.04

2,092 Arthur J Gallagher & Co ..... 93 0.04

7,129 Berkshire Hathaway Inc ...... 1,011 0.38

1,444 Brown & Brown Inc ........... 52 0.02


700 CNA Financial Corp ........... 23 0.01

2,611

Hanover Insurance Group

Inc ....................................... 236 0.09

4,600

Hartford Financial Services

Group Inc ............................ 212 0.08

400 Kemper Corp ...................... 12 0.01

6,000 Lincoln National Corp ........ 235 0.09

174 Markel Corp ........................ 155 0.06

14,710

Principal Financial Group

Inc ....................................... 580 0.22


8,308 Prudential Financial Inc ...... 600 0.23

2,396

Reinsurance Group of

America Inc ........................ 231 0.09


45,391 Voya Financial Inc .............. 1,351 0.51

4,221 WR Berkley Corp ............... 237 0.09


1,621 Alphabet Inc (Class A) ....... 1,237 0.47

4,555 Alphabet Inc (Class C) ........ 3,393 1.28




31 March 2016



Number

of Shares

Fair Value

USD ‘000

Fund

%

3,144 Amazon.com Inc ................. 1,866 0.71

3,200 comScore Inc ....................... 96 0.04

59,303 eBay Inc .............................. 1,415 0.53

4,178 Expedia Inc ......................... 450 0.17

5,484 F5 Networks Inc .................. 580 0.22

17,752 Facebook Inc ....................... 2,026 0.77

15,100 Groupon Inc ........................ 60 0.02

1,344 Liberty Ventures .................. 53 0.02

432 Priceline Group Inc ............. 557 0.21

76,529 Symantec Corp .................... 1,407 0.53

5,649 VeriSign Inc ........................ 500 0.19

1,946 Yahoo! Inc ........................... 72 0.03

Lodging

1,967

Choice Hotels International

Inc ....................................... 106 0.04

7,562

Hilton Worldwide Holdings

Inc ....................................... 170 0.06

Machinery

3,100

Babcock & Wilcox

Enterprises Inc ..................... 66 0.02

326 Graco Inc ............................. 27 0.01

970 IDEX Corp .......................... 80 0.03

733 SPX FLOW Inc ................... 18 0.01

8,918 Xylem Inc ............................ 365 0.14

Media

709 AMC Networks Inc ............. 46 0.02

430 Cable One Inc ...................... 188 0.07

58,081 Comcast Corp ...................... 3,548 1.34

36,800 News Corp ........................... 470 0.18

60,821 Sirius XM Holdings Inc ...... 240 0.09

2,300 Time Inc .............................. 36 0.01

8,600 Time Warner Inc ................. 624 0.24

1,100 Tribune Media Co ............... 42 0.02

4,941 Viacom Inc .......................... 204 0.08

931 Walt Disney Co ................... 92 0.03

Metals and Mining

360

Compass Minerals



6,900 Colfax Corp ......................... 197 0.07

7,288 General Electric Co ............. 232 0.09

2,587 ITT Corp ............................. 95 0.04

733 SPX Corp ............................ 11 0.00

9,900 Trinity Industries Inc ........... 181 0.07

Office Electronics

7,593 Pitney Bowes Inc ................. 164 0.06

121,097 Xerox Corp .......................... 1,351 0.51

Oil and Gas

5,200 Antero Resources Corp ....... 129 0.05

91

California Resources

Corp ..................................... - 0.00

1,100 Carrizo Oil & Gas Inc ......... 34 0.01

9,687 Chevron Corp ...................... 924 0.35

Number

of Shares

Fair Value

USD ‘000

Fund

%

28,600

Cobalt International Energy

Inc ....................................... 85 0.03

21,323 Devon Energy Corp ............ 585 0.22

3,700

Diamond Offshore Drilling

Inc ....................................... 80 0.03

15,300 EP Energy Corp .................. 69 0.03

33,956 Exxon Mobil Corp .............. 2,838 1.07

5,200 Gulfport Energy Corp ......... 147 0.06

4,100 HollyFrontier Corp ............. 145 0.05

17,900 Laredo Petroleum Inc .......... 142 0.05

85,300 Marathon Oil Corp .............. 950 0.36

20,894

Marathon Petroleum

Corp .................................... 777 0.29

5,200

Memorial Resource

Development Corp .............. 53 0.02

1,700 Murphy USA Inc ................ 104 0.04

8,669 PBF Energy Inc .................. 288 0.11

14,400 QEP Resources Inc ............. 203 0.08

4,900 Rice Energy Inc .................. 68 0.03

9,111 Tesoro Corp ........................ 784 0.30

39,459 Valero Energy Corp ............ 2,531 0.96

6,466 WPX Energy Inc ................. 45 0.02


443 Dril-Quip Inc ...................... 27 0.01

21,578 FMC Technologies Inc ....... 590 0.22

3,900 NOW Inc ............................ 69 0.03

7,292

Oceaneering International

Inc ....................................... 242 0.09

1,874

Oil States International

Inc ....................................... 59 0.02

8,211

Superior Energy Services

Inc ....................................... 110 0.04

12,700

Targa Resources

Corp .................................... 379 0.15


10,498 International Paper Co ........ 431 0.16

Personal Products

19,017 Procter & Gamble Co ......... 1,565 0.59

Pharmaceuticals

8,000 AbbVie Inc ......................... 457 0.17

5,120 Akorn Inc ............................ 120 0.05

16,709

AmerisourceBergen

Corp .................................... 1,446 0.55

3,535 Baxalta Inc .......................... 143 0.05

18,593 Cardinal Health Inc ............. 1,524 0.58

8,100 Eli Lilly & Co ..................... 583 0.22

10,843

Express Scripts Holding

Co ....................................... 745 0.28

63,035 Johnson & Johnson ............. 6,820 2.58

7,913 McKesson Corp .................. 1,244 0.47

20,322 Merck & Co Inc .................. 1,075 0.41

91,203 Pfizer Inc ............................ 2,703 1.02

900

Portola Pharmaceuticals

Inc ....................................... 18 0.01

5,186 Zoetis Inc ............................ 230 0.09




31 March 2016



Number

of Shares

Fair Value

USD ‘000

Fund

%

Pipelines

3,003

Columbia Pipeline Group

Inc ....................................... 75 0.03

28,500 Kinder Morgan Inc .............. 509 0.19

Real Estate

16,243 CBRE Group Inc ................. 468 0.18

488

Four Corners Property Trust

Inc ....................................... 9 0.00

1,186 Jones Lang LaSalle Inc ....... 139 0.05


1,197

American Campus

Communities Inc ................. 56 0.02

4,215 American Tower Corp ......... 431 0.16

2,411

Annaly Capital Management

Inc ....................................... 25 0.01

1,361


Inc ....................................... 259 0.10

498 Boston Properties Inc .......... 63 0.02

1,406

Care Capital Properties

Inc ....................................... 38 0.02

1,796

Communications Sales &

Leasing Inc .......................... 40 0.02

1,565

Crown Castle International

Corp ..................................... 135 0.05

2,342

Equity LifeStyle Properties

Inc ....................................... 170 0.07

1,881 Equity Residential ............... 141 0.05

361 Essex Property Trust Inc ..... 84 0.03

652 Extra Space Storage Inc ...... 61 0.02

856

Federal Realty Investment

Trust .................................... 134 0.05

2,025

General Growth Properties

Inc ....................................... 60 0.02

15,166 HCP Inc ............................... 494 0.19

1,400 Macerich Co ........................ 111 0.04

4,189 MFA Financial Inc .............. 29 0.01

285

Mid-America Apartment

Communities Inc ................. 29 0.01

1,757

National Retail Properties

Inc ....................................... 81 0.03

9,400 Paramount Group Inc .......... 150 0.06

3,352 Post Properties Inc ............... 200 0.08

2,334 Public Storage ..................... 644 0.24

1,278 Realty Income Corp ............ 80 0.03

2,562 Regency Centers Corp ......... 192 0.07

2,509

Retail Properties of America

Inc ....................................... 40 0.02

2,927

Senior Housing Properties

Trust .................................... 52 0.02

8,508

Simon Property Group

Inc ....................................... 1,767 0.67

11,200 SL Green Realty Corp ......... 1,085 0.41

2,966

Starwood Property Trust

Inc ....................................... 56 0.02

595

Tanger Factory Outlet

Centers Inc .......................... 22 0.01

372 Taubman Centers Inc .......... 26 0.01

597 UDR Inc .............................. 23 0.01

Number

of Shares

Fair Value

USD ‘000

Fund

%

4,120 Ventas Inc ........................... 259 0.10

3,064

Weingarten Realty

Investors ............................. 115 0.04

1,620 Welltower Inc ..................... 112 0.04

6,360 Weyerhaeuser Co ................ 197 0.08

7,100

Xenia Hotels & Resorts

Inc ....................................... 111 0.04

Retail Trade

4,200 Ascena Retail Group Inc ..... 46 0.02

570 AutoZone Inc ...................... 454 0.17

8,800 Bed Bath & Beyond Inc ...... 437 0.17

20,797 Best Buy Co Inc .................. 675 0.26

1,334 Big Lots Inc ........................ 60 0.02

500 Children's Place Inc ............ 42 0.02

900

Chipotle Mexican Grill

Inc ....................................... 424 0.16

15,314 CVS Health Corp ................ 1,589 0.60

604 Darden Restaurants Inc ....... 40 0.02

2,343

Dick's Sporting Goods

Inc ....................................... 110 0.04

3,426 Dollar General Corp ........... 293 0.11

3,479 Domino's Pizza Inc ............. 459 0.17

9,211 Foot Locker Inc .................. 594 0.23

16,780 Home Depot Inc .................. 2,239 0.85

875

J Alexander's Holdings

Inc ....................................... 9 0.00

600 Kohl's Corp ......................... 28 0.01

2,489 L Brands Inc ....................... 219 0.08

10,900 Liberty Interactive Corp ...... 275 0.10

16,681 Lowe's Cos Inc .................... 1,264 0.48

8,992 McDonald's Corp ................ 1,130 0.43

552 Nordstrom Inc ..................... 32 0.01

490 O'Reilly Automotive Inc ..... 134 0.05

4,800 PVH Corp ........................... 475 0.18

6,100 Ross Stores Inc ................... 353 0.13

2,000 Sears Holdings Corp ........... 31 0.01

27,728 Staples Inc .......................... 306 0.12

11,111 Starbucks Corp ................... 663 0.25

5,653 Target Corp ......................... 465 0.18

804 Tiffany & Co ...................... 59 0.02

287

Ulta Salon Cosmetics &

Fragrance Inc ...................... 56 0.02

42,865 Wal-Mart Stores Inc ........... 2,936 1.11

3,800 World Fuel Services Corp ... 185 0.07

1,035 Yum! Brands Inc ................. 85 0.03

Savings and Loans

5,700 EverBank Financial Corp .... 86 0.03

6,040

New York Community

Bancorp Inc ......................... 96 0.04

3,305

People's United Financial

Inc ....................................... 53 0.02


35,000

Advanced Micro Devices

Inc ....................................... 100 0.04




31 March 2016



Number

of Shares

Fair Value

USD ‘000

Fund

%

864 Cree Inc ............................... 25 0.01

10,068

Cypress Semiconductor

Corp ..................................... 87 0.03

67,495 Intel Corp ............................ 2,183 0.83

2,983 Linear Technology Corp ..... 133 0.05

5,381 NVIDIA Corp ...................... 192 0.07

7,600 ON Semiconductor Corp ..... 73 0.03

16,062 Qualcomm Inc ..................... 821 0.31

1,300 Rovi Corp ............................ 27 0.01

1,673 Skyworks Solutions Inc ....... 130 0.05

Shipbuilding

6,050

Huntington Ingalls Industries

Inc ....................................... 828 0.31

Software

5,300 Adobe Systems Inc .............. 497 0.19

4,700

Allscripts Healthcare

Solutions Inc ....................... 62 0.02

3,200 Aspen Technology Inc ........ 116 0.04

1,493

Broadridge Financial

Solutions Inc ....................... 89 0.03

3,732 Cerner Corp ......................... 198 0.08

14,630 Citrix Systems Inc ............... 1,150 0.44

11,852 Electronic Arts Inc .............. 784 0.30

1,404 Fiserv Inc ............................. 144 0.05

1,019

Jack Henry & Associates

Inc ....................................... 86 0.03

900 Medidata Solutions Inc ........ 35 0.01

94,700 Microsoft Corp .................... 5,230 1.98

590 MicroStrategy Inc ................ 106 0.04

24,524 Oracle Corp ......................... 1,003 0.38

4,041 Paychex Inc ......................... 218 0.08

7,673 Red Hat Inc ......................... 572 0.22

600 Synnex Corp ........................ 56 0.02

4,400 Verint Systems Inc .............. 147 0.06

3,600 VMware Inc ........................ 188 0.07

29,900 Zynga Inc ............................ 68 0.03

Telecommunications

1,500 Anixter International Inc ..... 78 0.03

1,900 Arista Networks Inc ............ 120 0.05

46,249 AT&T Inc ............................ 1,812 0.69

20,766 CenturyLink Inc .................. 664 0.25

1,500 Ciena Corp .......................... 29 0.01

121,114 Cisco Systems Inc ............... 3,448 1.31

Number

of Shares

Fair Value

USD ‘000

Fund

%

2,100 Finisar Corp ........................ 38 0.01

21,691 Juniper Networks Inc .......... 553 0.21

11,800 Polycom Inc ........................ 132 0.05

31,900 Sprint Corp ......................... 111 0.04

4,400 T-Mobile US Inc ................. 169 0.06

2,845

Telephone & Data Systems

Inc ....................................... 87 0.03

800 Ubiquiti Networks Inc ........ 28 0.01

82,954


Inc ....................................... 4,487 1.70

20,100 Viavi Solutions Inc ............. 139 0.05

Textile and Apparel

20,594 NIKE Inc ............................ 1,267 0.48

Transport

5,016

CH Robinson Worldwide

Inc ....................................... 373 0.14

4,984 FedEx Corp ......................... 812 0.31

3,000 Hub Group Inc .................... 123 0.05

870

Old Dominion Freight Line

Inc ....................................... 62 0.02

8,737 United Parcel Service Inc ... 922 0.35

233,994 88.60


Textile and Apparel

22,163

Michael Kors Holdings

Ltd ...................................... 1,262 0.48


Total Transferable

Securities ........................... 243,993 92.39


Ireland (9.48%)

24,995




Roll-Up Shares .................. 25,034 9.48


Total Investments

excluding Financial




Notional

Amount

USD ‘000

Average

Cost Price

USD

Unrealised

Gain (Loss)

USD ‘000

Fund

%

13,549 1,119.79

121 of Russell 1000 Mini Index Futures


Expiring June 2016 ...........................................................................................................

170 0.06




31 March 2016



Notional

Amount

USD ‘000

Average

Cost Price

USD

Unrealised

Gain (Loss)

USD ‘000

Fund

%

13,480 2,027.04



Expiring June 2016 ...........................................................................................................

162 0.06


Total Financial Derivative Instruments ......................................................................... 332 0.12

Fair Value

USD ‘000

Fund

%


(101.99%) ...................................................................................................................................................... 269,359 101.99


Net Assets .................................................................................................................................................. 264,084 100.00


% of

gross assets

Transferable securities and money market instruments admitted to an official stock exchange listing ................. 89.22

Investment funds (UCITS) ..................................................................................................................................... 9.15

Exchange traded financial derivative instruments ................................................................................................. 0.12

Other assets ............................................................................................................................................................ 1.51

100.00

The broker for the open futures contracts is Merrill Lynch.




As at 31 March 2016

Level 1

USD ‘000

Level 2

USD ‘000

Level 3

USD ‘000

Total

USD ‘000

Assets



Transferable securities ............................................................... 243,992 - 1 243,993



Total assets ...................................................................................... 244,324 25,034 1 269,359

As at 31 March 2015

Level 1

USD ‘000

Level 2

USD ‘000

Level 3

USD ‘000

Total

USD ‘000

Assets






Total assets ...................................................................................... 202,838 6,541 - 209,379









Acquisition Cost


Disposal Proceeds

USD ‘000

Russell Investment Company III Plc Russell Investment Company III Plc



Apple Inc 6,771 Microsoft Corp (3,118)

Johnson & Johnson 4,966 General Dynamics Corp (3,114)

Wal-Mart Stores Inc 4,414 UnitedHealth Group Inc (3,016)

UnitedHealth Group Inc 4,322 AbbVie Inc (2,990)

Verizon Communications Inc 4,274 Pfizer Inc (2,980)

PepsiCo Inc 4,114 Goldman Sachs Group Inc (2,877)

Pfizer Inc 3,891 Apple Inc (2,706)

Microsoft Corp 3,857 Walgreens Boots Alliance Inc (2,460)

Goldman Sachs Group Inc 3,708 Southwest Airlines Co (2,430)

Altria Group Inc 3,694 Intuit Inc (2,368)

Cisco Systems Inc 3,682 Merck & Co Inc (2,328)

Citigroup Inc 3,555 Procter & Gamble Co (2,313)

Alphabet Inc (Class C) 3,321 Cameron International Corp (2,288)

Procter & Gamble Co 3,020 Cisco Systems Inc (2,263)

Gilead Sciences Inc 2,968 Exxon Mobil Corp (2,246)

Symantec Corp 2,883 Walt Disney Co (2,241)

Comcast Corp 2,812 Home Depot Inc (2,223)

Home Depot Inc 2,574 Valero Energy Corp (2,205)

Boeing Co 2,566 Archer-Daniels-Midland Co (2,126)


Russell U.S. Value Fund

Balance Sheet

As at 31 March 2015


182 The U.S. Value Fund

31 March 2015*

USD ‘000

Assets

Cash at bank (Note 3) ............................................................................................................................................... 78

78

Liabilities


Payable on fund shares redeemed .................................................................................................................. (48)

Sub-custodian fees payable ............................................................................................................................ (1)

Administration fees payable ........................................................................................................................... (2)

Audit fees payable .......................................................................................................................................... (15)

Other fees payable .......................................................................................................................................... (12)

(78)

Net assets attributable to redeemable participating shareholders ....................................................................... -

* As the Fund ceased trading 14 October 2014, final termination financial statements were prepared for the Fund for the year ended 31 March

2015. The Fund’s Balance Sheet, Profit and Loss Account and Statement of Changes in Net Assets Attributable to Redeemable Participating.

Shareholders are disclosed solely for presentation purposes only to correspond with the Company’s prior period combined financial statements.






Russell U.S. Value Fund 183

2015*

USD ‘000

Income

Dividends ....................................................................................................................................................... 165

Net gain (loss) on investment activities (Note 4) ...................................................................................................... 580

Total investment income (expense) ......................................................................................................................... 745

Expenses

Management fees (Note 5) ............................................................................................................................. (101)

Custodian and Trustee fees (Note 6) .............................................................................................................. (1)

Sub-custodian fees (Note 6) ........................................................................................................................... (9)

Administration and transfer agency fees (Note 6) ......................................................................................... (16)

Audit fees (Note 6) ......................................................................................................................................... (15)

Professional fees ............................................................................................................................................ (15)

Other fees ....................................................................................................................................................... (27)

Total operating expenses .......................................................................................................................................... (184)

Net income (expense) ................................................................................................................................................ 561

Taxation

Withholding tax (Note 9) ............................................................................................................................... (47)



All amounts arose solely from terminating operations. There are no recognised gains or losses other than those dealt with in the Profit and Loss

Account.

* The Fund ceased trading 14 October 2014.




For the year ended 31 March 2015.


184 Russell U.S. Value Fund

2015*

USD ‘000



Share transactions


transactions (Note 10) .................................................................................................................................... (28,553)

Total net increase (decrease) in net assets attributable to redeemable participating

shareholders .............................................................................................................................................................. (28,039)


Beginning of year ........................................................................................................................................... 28,039

End of year ..................................................................................................................................................... -

* The Fund ceased trading 14 October 2014.



Manager’s Report

Russell World Equity Fund 185

Money Managers as at 31 March 2016 Axiom International Investors, LLC

Harris Associates, L.P.

MFS Investment Management



Sustainable Growth Advisors, L.P.

Investment Objective Russell World Equity Fund (the “Fund”) seeks to achieve capital appreciation by investing predominantly in equity securities,

including common stock, convertibles and warrants, listed, traded or dealt in on any regulated market worldwide. The Fund may

also invest in new issues for which application for listing on a regulated market will be sought. The Fund may hold not more than

20 per cent of its net assets in equity securities of companies whose securities are listed, traded or dealt in on any regulated market

in the Emerging Markets (EM). Fund Performance

During the year ended 31 March 2016, the Russell World Equity Fund (Class B) returned -2.1 per cent on a gross-of-fee basis

(-3.0 per cent on a net-of-fee basis), while the benchmark* returned -3.4 per cent. Market Comment

Global equities, as measured by the benchmark, rose by 0.2 per cent in U.S. Dollar terms over the second quarter of 2015,

while the non-U.S. component rose by 0.5 per cent. Global markets gained in aggregate over the second quarter, despite

Greece’s sovereign-debt crisis casting a growing shadow over market sentiment. In the U.S., economic data trends were mixed

over the quarter, but evidence that the economy is bouncing back from its first quarter economic slowdown materialised by the

end of the period. Employment, consumption and housing data all improved markedly, supporting expectations for a first

interest rate hike later this year. Stocks rose marginally over the period, with the pace of subsequent rate hikes at the for efront

of investor concerns. Japanese equity markets performed well over the quarter, extending year-to-date gains. Better than

expected GDP growth in the first quarter and strong corporate earnings buoyed market sentiment. Meanwhile, continental

European stocks registered losses of 4.2 per cent in local currency terms (-0.6 per cent in U.S. Dollar terms), as worries over

Greece outweighed evidence that the Eurozone recovery was gaining momentum. In EM, Brazilian stocks rebounded in what

was a solid quarter overall for Latin American bourses. Meanwhile, China’s long bull market continued for much of the

quarter before concerns that the country’s stocks were overvalued led to a major sell -off in June. Global equities, as measured by the benchmark, fell by 8.4 per cent over the third quarter of 2015. The non-U.S. component

fell by 12.1 per cent. Early in the quarter, the renewed bailout deal with Greece brought a degree of harmony in Europe. This

positive development soon became a distant memory, as two central stories unfolded over the period. In China, the country’s

devaluation of its currency, amid slowing growth, gave rise to a severe sell -off in global markets. This, in turn, became a lead

factor in preventing the U.S. Federal Reserve (the “Fed”) from raising its interest rate in September. The combination of these

major events engendered the fourth biggest quarterly increase in volatility in the past 10 years, as measured by the Chicago

Board Options Exchange Volatility Index. It also handed over renewed market uncertainty to the final quarter of this year. Global equities, as measured by the benchmark, rose by 5.3 per cent over the last quarter of 2015 in U.S. Dollar terms. The

non-U.S. component rose by 3.9 per cent. Global Markets gained in aggregate over the fourth quarter as the negative effects of

China’s third quarter slowdown began to fade and the Fed moved towards policy tightening, exhibiting confidence in the

American economy’s steady recovery. In Europe, investors were slightly disappointed by the European Central Bank’s ( the

“ECB”) timid actions to quell sluggish growth, whilst the downward trend of the oil price weighed on EM. In Japan, equities

surged 9.2 per cent with the nation’s economy escaping a technical recession as third quarter GDP growth was revised upwards

from -0.8 per cent to +1.0 per cent on an annualised basis. The Bank of Japan also left its interest rate unchanged and would

continue to buy government bonds at an annual pace of JPY 80 trillion. EM had a positive quarter in aggregate, gaining 2.6 per

cent. China recovered well, with equity markets moving up by 9.3 per cent. While exports figures were poor, other domestic

economic data proved encouraging, including improving industrial production figures and retail sales, as well as annualised

GDP growth that exceeded expectations. Global equities, as measured by the benchmark, fell by 0.2 per cent over the first quarter of 2016 in U.S. Dollar terms. The

non-U.S. component fell by 0.2 per cent. The period was characterised by two halves. In the first half, slowing growth in China

coupled with an ongoing commodities rout (especially in oil), engendered significant market volatility and a considerable ris k-

off sentiment. However in the latter part of the quarter, more accommodative central bank policies alongside oil pric e

stabilisation, thawed sentiment for global equities to some degree. At the Federal Open Market Committee (FOMC) meeting,

Fed Chair Yellen explained that whilst economic “forecasts have not changed much since December”, this was being

overshadowed by “global economic and financial developments”, posing a risk to growth. As a result, FOMC “dots” reduced

to two possible interest rate hikes this year, as opposed to four. In Europe, ECB President Draghi delivered on his promise t o

do “whatever it takes” by introducing raft of new accommodative stimulus measures in an effort to boost Eurozone inflation




186 Russell World Equity Fund

and encourage new credit provision. The Central Bank reduced its main refinancing rate to 0.0 per cent, whilst quantitative

easing was increased to EUR 80 billion a month. In addition, the ECB initiated another targeted longer-term refinancing

operation (TLTRO II).


The Fund outperformed the benchmark in what proved to be a challenging second quarter of 2015 for glob al equity markets. A

combination of growth and value factors were rewarded in the prevailing market environment. This includes a factor tilt away

from high dividend yielding stocks. Underlying value strategies generated most notable returns despite headwin ds towards the

end of the quarter, with growth strategies adding further gains throughout. At the Fund level, stock selection within the

financial sector drove performance. Underweight exposure to Japan and selection within the U .K. weighed on more sizeable

outperformance for the Fund.

The Fund finished ahead of the benchmark in a third quarter of 2015 characterised by volatility and significant market declin e.

In this prevailing environment, our underlying defensive and growth strategies generated positiv e returns, whilst our value

Money Managers struggled to find meaningful traction. At a sector level, the Fund benefited from an al location tilt away from

energy, a sector which underperformed owing to lower commodity prices. Stock selection within the info rmation technology

sector was also positive. A key detractor to performance was U.K. materials company, Glencore, whose stock price fell as

questions were raised about the company’s financial health.

The Fund finished ahead of the benchmark in the fourth quarter of 2015. After an initial bounce in value, the period adopted

the wider theme prevalent during the year which saw growth and stocks with favourable price momentum, find more traction.

Technology stocks, such as Alphabet, Alibaba and Apple, drove performance. Stock picks in the industrials and materials

sectors detracted slightly. Stock selection in the U.S. generated most gains whilst an underweight allocation to Japan detracted.

The Fund finished behind the benchmark in the first quarter of 2016. From a factor perspective, holdings within the small cap

space generated some alpha, however a tilt away from the higher dividend yield spectrum detracted. In sectors, health care

contributed through an exposure away from struggling names such as Valeant Pharmaceuticals. Overall stock selection within

the industrials and materials sectors was also beneficial. However, names within financials and underweight allocation toward s

energy, utilities and telecommunications, pulled back gains. In regions, holdings in the U.S. offset positive performance from

stocks in the U.K.

Outlook

Global markets got off to a rough start in 2016. By mid-February global developed equities had lost nearly 20 per cent from

their 2015 peak. They rebounded by around 10 per cent by mid-March, but we expect volatility to be a headline throughout

2016. This volatility will continue to be driven by China fears, the Fed’s monetary tightening, U.S. recession concerns, bank

balance sheet worries, and soft corporate profits. Moreover, the move to negative interest rates in Europe and Japan has

triggered fears that Central Banks have run out of easing options. Negative rates also tend to squeeze the margin between

banks’ borrowing and lending rates. This squeeze could, in turn, hurt bank profitability, and end up making things worse for

the markets. In our 2016 Global Market Outlook Annual report, we forecast mid-to-low single digit returns for global equities,

along with a gradual rise in long-term interest rates. We’re holding to that view, with the exception we think equity growth is

more likely to be in the low single digits. Moreover, we’re now seeing corporate profits weakening, softness in global trade

and manufacturing, and slightly higher risks for EM. These elements all contribute to a less supportive environment for

equities. That said, we’re not forecasting a sustained bear market, provided the U.S. does not fall into recession. Right now we

see recession as a low probability over the next several years. It’s true we’re deep into the current business cycle, but we’re not

seeing excesses in the U.S. economy that could trigger recession.


* Benchmark Source: Russell Global Large Cap Net Index


May 2016



Balance Sheet

As at 31 March 2016



31 March 2016

USD ‘000

31 March 2015

USD ‘000

Assets

Financial assets at fair value through profit or loss (Note 2) .................................................. 1,853,279 2,801,356

Cash at bank (Note 3) ........................................................................................................ 2,127 13,936


(Note 3) .............................................................................................................................. - 10,550

Debtors:

Receivable for investments sold ............................................................................................ 17,320 9,183

Receivable on fund shares issued .......................................................................................... 9,090 1,626

Dividends receivable ............................................................................................................. 3,728 5,635

1,885,544 2,842,286

Liabilities

Financial liabilities at fair value through profit or loss (Note 2) ........................................ (9,543) (18,814)


Cash due to brokers and counterparties for open financial derivative positions .................... (1,269) -

Payable for investments purchased ....................................................................................... (1,929) (11,494)

Payable on fund shares redeemed ......................................................................................... (73,644) (275)

Distributions payable on income share classes ...................................................................... (45) (622)

Management fees payable ..................................................................................................... (1,617) (2,399)




Audit fees payable ................................................................................................................. (25) (24)

Other fees payable ................................................................................................................. (7) (23)

(88,202) (33,848)

Net assets attributable to redeemable participating shareholders ............................ 1,797,342 2,808,438







2016

USD ‘000

2015

USD ‘000

Income

Dividends .............................................................................................................................. 43,954 61,262



Expenses


Custodian and Trustee fees (Note 6) ..................................................................................... (156) (211)

Sub-custodian fees (Note 6) .................................................................................................. (note 3) (404) (471)

Administration and transfer agency fees (Note 6) ................................................................. (681) (853)

Audit fees (Note 6) ................................................................................................................ (25) (24)

Professional fees .................................................................................................................... (126) (185)

Other fees .............................................................................................................................. (84) (178)



Finance costs

Distributions (Note 8) ............................................................................................................ (12,260) (17,471)

Profit (loss) for the financial year before taxation ...................................................... (51,915) 161,798

Taxation

Withholding tax (Note 9) ...................................................................................................... (8,091) (10,787)




Account.







2016

USD ‘000

2015

USD ‘000



Share transactions





participating shareholders ............................................................................................ (1,011,096) (633,440)


Beginning of year .................................................................................................................. 2,808,438 3,441,878

End of year ............................................................................................................................ 1,797,342 2,808,438




31 March 2016



Number

of Shares

Fair Value

USD ‘000

Fund

%

Transferable Securities (100.49%) (2015:

96.84%)

Common Stock (99.82%) (2015: 96.12%)

Australia (1.40%)

Airlines

1,099,445 Qantas Airways Ltd ............. 3,442 0.19

Building Products

365,800 CSR Ltd .............................. 929 0.05


30,854 Brambles Ltd ....................... 288 0.02


62,300 CIMIC Group Ltd ............... 1,666 0.09

185,200 Downer EDI Ltd .................. 547 0.03


23,430 Amcor Ltd ........................... 259 0.01


3,458 ASX Ltd .............................. 110 0.01

Entertainment

25,541 Tatts Group Ltd ................... 74 0.00

Food Products

14,480 Wesfarmers Ltd ................... 462 0.03

21,537 Woolworths Ltd .................. 366 0.02


2,377

Washington H Soul

Pattinson & Co Ltd .............. 31 0.00


24,794

Flight Centre Travel Group

Ltd ....................................... 825 0.04

Insurance

45,425

Insurance Australia Group

Ltd ....................................... 195 0.01

Iron and Steel

312,100 BlueScope Steel Ltd ............ 1,486 0.08

Lodging

401,800

Star Entertainment Grp

Ltd ....................................... 1,756 0.10

Metals and Mining

22,521 BHP Billiton Ltd ................. 292 0.02

696,900 Evolution Mining Ltd .......... 815 0.05

51,000 Mineral Resources Ltd ........ 236 0.01

4,881 New Hope Corp Ltd ............ 5 0.00

372,100

Northern Star Resources

Ltd ....................................... 982 0.05

212,440 OZ Minerals Ltd .................. 822 0.05

92,961 Sandfire Resources NL ........ 408 0.02

Oil and Gas

47,800 Caltex Australia Ltd ............ 1,251 0.07

89,682

Woodside Petroleum

Ltd ....................................... 1,791 0.10


19,300 Dexus Property Group ......... 118 0.01

93,000 Mirvac Group ...................... 138 0.01

410,300 Vicinity Centres .................. 1,007 0.05

Number

of Shares

Fair Value

USD ‘000

Fund

%

Retail Trade

66,100 JB Hi-Fi Ltd ........................ 1,199 0.07

Software

1,353,199 MYOB Group Ltd ............... 3,404 0.19

Telecommunications

84,372 Telstra Corp Ltd .................. 346 0.02

25,250 1.40

Austria (0.13%)

Banks

82,519 Erste Group Bank AG ......... 2,323 0.13

Transport

651

Oesterreichische Post

AG ...................................... 27 0.00

2,350 0.13

Belgium (0.29%)

Beverages

32,703


SA/NV ................................ 4,071 0.23


58,533 AGFA-Gevaert NV ............. 262 0.01

Other Finance

1,330

Groupe Bruxelles Lambert

SA ....................................... 110 0.01

Telecommunications

2,467 Proximus SADP .................. 84 0.00

Transport

23,834 bpost SA ............................. 663 0.04

5,190 0.29

Bermuda (0.86%)

Banks

8,605 Credicorp Ltd ...................... 1,127 0.06

Insurance

45,399

Aspen Insurance Holdings

Ltd ...................................... 2,166 0.12

135,600 Assured Guaranty Ltd ......... 3,431 0.19

70,114


Ltd ...................................... 3,889 0.22

854

Endurance Specialty

Holdings Ltd ....................... 56 0.00

2,500 Everest Re Group Ltd ......... 494 0.03

5,322 Hiscox Ltd .......................... 74 0.00

48,140 Validus Holdings Ltd .......... 2,272 0.13

Real Estate

238,300

Hongkong Land Holdings

Ltd ...................................... 1,427 0.08

216,500 Kerry Properties Ltd ........... 597 0.03

Telecommunications

3,100 VTech Holdings Ltd ........... 37 0.00

Textile and Apparel

8,784,000

China Hongxing Sports

Ltd ...................................... - 0.00

15,570 0.86




31 March 2016



Number

of Shares

Fair Value

USD ‘000

Fund

%

Brazil (0.64%)

Banks

560,979

Itau Unibanco Holding SA

ADR .................................... 4,819 0.27

Beverages

539,732 Ambev SA ........................... 2,866 0.16

721,990 Ambev SA ADR ................. 3,740 0.21

11,425 0.64

Canada (1.16%)

Advertising

78,500 Aimia Inc ............................. 513 0.03

Banks

4,780


Commerce ........................... 359 0.02


2,689 CI Financial Corp ................ 60 0.00

Food Products

16,835 George Weston Ltd ............. 1,513 0.08

Insurance

783

Genworth MI Canada

Inc ....................................... 19 0.00

5,609 Great-West Lifeco Inc ......... 155 0.01

2,547 Intact Financial Corp ........... 179 0.01

Media

12,800

Cogeco Communications

Inc ....................................... 685 0.04

6,973 Thomson Reuters Corp ........ 282 0.01

Metals and Mining

18,700 Barrick Gold Corp ............... 254 0.01

6,900 Dominion Diamond Corp .... 77 0.01

Oil and Gas

6,515 ARC Resources Ltd ............. 95 0.01

5,448 Husky Energy Inc ................ 68 0.00

1,818 Vermilion Energy Inc .......... 53 0.00

Pipelines

2,985 Keyera Corp ........................ 91 0.01

6,367 Pembina Pipeline Corp ........ 173 0.01


20,325

Boardwalk Real Estate

Investment Trust .................. 814 0.05

18,100

Cominar Real Estate


41,900

Dream Office Real Estate


102,800

H&R Real Estate Investment

Trust .................................... 1,668 0.09

45,555

Smart Real Estate


Retail Trade

8,900 Canadian Tire Corp Ltd ....... 930 0.05

Telecommunications

7,292 BCE Inc ............................... 334 0.02

3,993 TELUS Corp ....................... 131 0.01

Number

of Shares

Fair Value

USD ‘000

Fund

%

Transport

163,436

Canadian National Railway

Co ....................................... 10,208 0.57

20,769 1.16



499,593 Tencent Holdings Ltd ......... 10,209 0.57

Lodging

276,800 Sands China Ltd .................. 1,126 0.06

11,335 0.63

China (0.08%)

Insurance

293,500

Ping An Insurance Group Co

of China Ltd ........................ 1,406 0.08


Banks

5,175 Komercni Banka AS ........... 1,145 0.06

Denmark (1.09%)

Beverages

55,087 Carlsberg A/S ..................... 5,258 0.29


22,810

Vestas Wind Systems

A/S ...................................... 1,612 0.09

Food Products

47,393 Chr Hansen Holding A/S .... 3,187 0.18

Insurance

1,961 Tryg A/S ............................. 38 0.00

Pharmaceuticals

175,713 Novo Nordisk A/S .............. 9,546 0.53

19,641 1.09

Finland (0.02%)

Insurance

8,108 Sampo OYJ ......................... 386 0.02

France (6.06%)

Advertising

126,143 JCDecaux SA ...................... 5,530 0.31

Airlines

23,300 Air France-KLM ................. 222 0.01

Automobiles

289,480 Peugeot SA ......................... 4,968 0.28

3,740 Renault SA .......................... 372 0.02

Banks

362,150 BNP Paribas SA .................. 18,253 1.01

56,780 Societe Generale SA ........... 2,102 0.12

Beverages

74,977 Pernod Ricard SA ............... 8,373 0.47

Chemicals

22,318 Air Liquide SA ................... 2,515 0.14




31 March 2016



Number

of Shares

Fair Value

USD ‘000

Fund

%


39,390 Atos SE ............................... 3,213 0.18


88,716 Legrand SA ......................... 4,978 0.28

98,281 Schneider Electric SE .......... 6,220 0.34

Food Products

323,914 Danone SA .......................... 23,073 1.28

Insurance

126,675 AXA SA .............................. 2,987 0.17

274 Euler Hermes Group ............ 25 0.00

Lodging

35,479 Accor SA ............................. 1,506 0.08

Media

1,314

Metropole Television

SA ....................................... 24 0.00

2,266

Societe Television

Francaise 1 .......................... 29 0.00

Retail Trade

61,700 Kering ................................. 11,046 0.62

Textile and Apparel

12,863 Christian Dior SE ................ 2,336 0.13

2,874 Hermes International ........... 1,013 0.06

58,911

LVMH Moet Hennessy

Louis Vuitton SE ................. 10,103 0.56

108,888 6.06

Germany (5.17%)


40,662

MTU Aero Engines

AG ....................................... 3,906 0.22

Automobiles

30,214

Bayerische Motoren Werke

AG ....................................... 2,779 0.16

187,650 Daimler AG ......................... 14,406 0.80

Chemicals

38,122 Brenntag AG ....................... 2,181 0.12

52,472 Linde AG ............................. 7,657 0.43


19,763 Gerresheimer AG ................ 1,552 0.09


35,483 Deutsche Boerse AG ........... 3,032 0.17


38,126 OSRAM Licht AG .............. 1,968 0.11

Food Products

31,323 Metro AG ............................ 972 0.05

Insurance

75,400 Allianz SE ........................... 12,283 0.68

1,075 Hannover Rueck SE ............ 125 0.01

14,147

Muenchener

Rueckversicherungs-

Gesellschaft AG ................. 2,882 0.16

Pharmaceuticals

144,278 Bayer AG ............................ 16,984 0.94

49,149 Merck KGaA ....................... 4,106 0.23

Number

of Shares

Fair Value

USD ‘000

Fund

%

Software

90,236 SAP SE ADR ...................... 7,257 0.40

Telecommunications

484,382 Deutsche Telekom AG ........ 8,707 0.48

Textile and Apparel

17,739 Adidas AG .......................... 2,082 0.12

92,879 5.17

Hong Kong (1.29%)

Banks

14,100 Hang Seng Bank Ltd ........... 250 0.01

Electric Utilities

70,000 CLP Holdings Ltd ............... 634 0.04

1,607

Power Assets Holdings

Ltd ...................................... 16 0.00


469,000 Wharf Holdings Ltd ............ 2,564 0.14

Insurance

2,509,998 AIA Group Ltd ................... 14,222 0.79

Media

4,424


Ltd ...................................... 16 0.00

Real Estate

151,000

Hysan Development Co

Ltd ...................................... 643 0.03

27,000

Sun Hung Kai Properties

Ltd ...................................... 330 0.02

263,200 Swire Properties Ltd ........... 714 0.04

145,000 Wheelock & Co Ltd ............ 648 0.04


505,500 Link REIT ........................... 2,995 0.17

Transport

24,809 MTR Corp Ltd .................... 122 0.01

23,154 1.29

India (0.32%)

Banks

92,544 HDFC Bank Ltd ADR ........ 5,703 0.32

Ireland (1.76%)

Building Products

198,335 CRH Plc .............................. 5,612 0.31

8,013

James Hardie Industries

Plc ....................................... 110 0.01


135,845 Accenture Plc ...................... 15,677 0.87


137,318 Medtronic Plc ..................... 10,299 0.57

Insurance

222 XL Group Plc ...................... 8 0.00

31,706 1.76

Israel (0.54%)

Banks

292,289 Bank Hapoalim BM ............ 1,516 0.08




31 March 2016



Number

of Shares

Fair Value

USD ‘000

Fund

%

242,566

Bank Leumi Le-Israel

BM ...................................... 870 0.05

300,455 Israel Discount Bank Ltd ..... 508 0.03

Pharmaceuticals

1,500

Taro Pharmaceutical

Industries Ltd ...................... 215 0.01

68,100

Teva Pharmaceutical

Industries Ltd ADR ............. 3,644 0.21

Software

33,764

Check Point Software

Technologies Ltd ................. 2,953 0.16

9,706 0.54

Italy (0.62%)

Banks

1,340,201 Intesa Sanpaolo SpA ........... 3,717 0.21


169,290 Prysmian SpA ...................... 3,841 0.21

Oil and Gas

237,320 Eni SpA ............................... 3,597 0.20

11,155 0.62

Japan (4.66%)

Advertising

3,500 Asatsu-DK Inc ..................... 90 0.01

Agriculture

14,300 Japan Tobacco Inc ............... 597 0.03

Automobiles

252,400 Fuji Heavy Industries Ltd .... 8,926 0.49

236,900 Toyota Motor Corp .............. 12,545 0.70

Banks

408,900

Mitsubishi UFJ Financial

Group Inc ............................ 1,897 0.10

33,300

Sumitomo Mitsui Financial

Group Inc ............................ 1,011 0.06

Beverages

27,900 Coca-Cola West Co Ltd ...... 692 0.04

Chemicals

87,200

Mitsubishi Chemical

Holdings Corp ..................... 456 0.02


200,000 Toppan Printing Co Ltd ....... 1,680 0.09


148,900 Hazama Ando Corp ............. 726 0.04

Distributors

27,300

Canon Marketing Japan

Inc ....................................... 478 0.03


2,147,000

Daiwa Securities Group

Inc ....................................... 13,225 0.74


81,600 Hoya Corp ........................... 3,108 0.17

Entertainment

1,000 Sankyo Co Ltd ..................... 37 0.00

Food Products

42,000 Morinaga & Co Ltd ............. 214 0.01

Number

of Shares

Fair Value

USD ‘000

Fund

%

235,100

Nippon Suisan Kaisha

Ltd ...................................... 1,144 0.07

Home Builders

69,000 Haseko Corp ....................... 643 0.03

61,200

Iida Group Holdings Co

Ltd ...................................... 1,195 0.07


109,000 Tokyo Dome Corp .............. 495 0.03

Iron and Steel

175,300

Tokyo Steel Manufacturing

Co Ltd ................................. 1,045 0.06

Machinery

36,600 Amada Holdings Co Ltd ..... 358 0.02


106,500 Nikon Corp ......................... 1,632 0.09

Office Electronics

14,700 Canon Inc ............................ 439 0.02

Oil and Gas

64,100 Inpex Corp .......................... 487 0.03

Pharmaceuticals

31,600

Kaken Pharmaceutical Co

Ltd ...................................... 1,915 0.11

26,100

Mitsubishi Tanabe Pharma

Corp .................................... 454 0.02

40,800

Sumitomo Dainippon

Pharma Co Ltd .................... 470 0.03

11,300

Takeda Pharmaceutical Co

Ltd ...................................... 516 0.03

Real Estate

1,800

Daito Trust Construction Co

Ltd ...................................... 256 0.01

Retail Trade

8,000 Lawson Inc ......................... 670 0.04

15,170 Ryohin Keikaku Co Ltd ...... 3,212 0.18

Shipbuilding

466,000

Mitsui Engineering &

Shipbuilding Co Ltd ........... 697 0.04

Telecommunications

242,800

Nippon Telegraph &

Telephone Corp .................. 10,473 0.58

326,700 NTT Docomo Inc ................ 7,419 0.42

Toys, Games and Hobbies

18,630 Nintendo Co Ltd ................. 2,652 0.15

Transport

10,400

Central Japan Railway

Co ....................................... 1,842 0.10

83,696 4.66


Advertising

436,246 WPP Plc .............................. 10,202 0.57

Auto Components

51,168 Delphi Automotive Plc ....... 3,839 0.21

Metals and Mining

7,662,000 Glencore Plc ....................... 17,323 0.96

31,364 1.74




31 March 2016



Number

of Shares

Fair Value

USD ‘000

Fund

%


Personal Products

20,533 Amorepacific Corp .............. 6,939 0.39

3,068

LG Household & Health

Care Ltd ............................... 2,535 0.14


13,196


Ltd ....................................... 15,139 0.84

24,613 1.37

Luxembourg (0.03%)


75,100 Subsea 7 SA ........................ 569 0.03

Mexico (0.31%)

Banks

375,018

Grupo Financiero Banorte

SAB de CV .......................... 2,143 0.12

Beverages

36,280

Fomento Economico

Mexicano SAB de CV

ADR .................................... 3,494 0.19

5,637 0.31

Netherlands (3.00%)

Beverages

69,338 Heineken NV ....................... 6,293 0.35

Chemicals

98,813 Akzo Nobel NV ................... 6,745 0.37

Food Products

284,359 Koninklijke Ahold NV ........ 6,406 0.36

Insurance

173,712 NN Group NV ..................... 5,692 0.32

Machinery

2,137,500 CNH Industrial NV ............. 14,554 0.81


44,954 Core Laboratories NV ......... 5,053 0.28

Personal Products

103,190 Unilever NV ........................ 4,631 0.26

Telecommunications

1,077,999 Koninklijke KPN NV .......... 4,524 0.25

53,898 3.00

New Zealand (0.01%)


17,570

Auckland International

Airport Ltd .......................... 78 0.01

Electric Utilities

7,051 Contact Energy Ltd ............. 24 0.00

102 0.01

Norway (0.42%)

Metals and Mining

777,000 Norsk Hydro ASA ............... 3,201 0.18

Oil and Gas

46,260 Statoil ASA ......................... 729 0.04

Number

of Shares

Fair Value

USD ‘000

Fund

%


1,938

TGS Nopec Geophysical Co

ASA .................................... 30 0.00

Telecommunications

217,403 Telenor ASA ....................... 3,519 0.20

7,479 0.42

Panama (0.70%)


238,300 Carnival Corp ..................... 12,575 0.70

Puerto Rico (0.06%)

Banks

38,100 Popular Inc .......................... 1,090 0.06

Singapore (0.29%)

Airlines

144,900 Singapore Airlines Ltd ........ 1,229 0.07


5,100 SIA Engineering Co Ltd ..... 14 0.00


13,200 SATS Ltd ............................ 39 0.00


13,800 Singapore Exchange Ltd ..... 81 0.00

Media

28,700

Singapore Press Holdings

Ltd ...................................... 85 0.00


15,830 Broadcom Ltd ..................... 2,446 0.14

Shipbuilding

1,150,800

Yangzijiang Shipbuilding

Holdings Ltd ....................... 838 0.05

Telecommunications

148,000

Singapore

Telecommunications Ltd .... 418 0.03

11,600 StarHub Ltd ........................ 29 0.00

Transport

38,100 ComfortDelGro Corp Ltd ... 83 0.00

5,262 0.29


Food Products

422,767 Shoprite Holdings Ltd ......... 4,991 0.28

Media

22,928 Naspers Ltd ......................... 3,213 0.18

8,204 0.46

Spain (0.21%)


6,200

ACS Actividades de

Construccion y Servicios

SA ....................................... 185 0.01

18,285 Aena SA .............................. 2,364 0.13

640 Tecnicas Reunidas SA ........ 18 0.00




31 March 2016



Number

of Shares

Fair Value

USD ‘000

Fund

%


57,440

Gamesa Corp Tecnologica

SA ....................................... 1,137 0.07

3,704 0.21

Sweden (1.03%)


37,641 Intrum Justitia AB ............... 1,330 0.07


7,376 Skanska AB ......................... 169 0.01

Metals and Mining

164,940 Boliden AB ......................... 2,643 0.15

Personal Products

461,509

Svenska Cellulosa AB

SCA ..................................... 14,443 0.80

18,585 1.03

Switzerland (6.91%)

Auto Components

1,348 Georg Fischer AG ............... 1,094 0.06

Banks

938,317

Credit Suisse Group

AG ....................................... 13,335 0.74

484,103 UBS Group AG ................... 7,830 0.44

Building Products

280,725 LafargeHolcim Ltd .............. 13,259 0.74

Chemicals

14,638 Lonza Group AG ................. 2,487 0.14


82,261 Adecco SA .......................... 5,382 0.30

104 SGS SA ............................... 221 0.01


3,080 GAM Holding AG ............... 45 0.00

345,296

Julius Baer Group

Ltd ....................................... 14,891 0.83

Food Products

256,234 Nestle SA ............................ 19,225 1.07


24,655 Sonova Holding AG ............ 3,162 0.18

Insurance

1,758


Holdings AG ....................... 61 0.00

32,351 Chubb Ltd ........................... 3,855 0.22

10,179 Swiss Life Holding AG ....... 2,718 0.15

24,085 Swiss Re AG ....................... 2,236 0.12

Pharmaceuticals

36,403 Actelion Ltd ........................ 5,462 0.30

64,691 Novartis AG ........................ 4,708 0.26

35,427 Roche Holding AG .............. 8,756 0.49

Retail Trade

226,886


SA ....................................... 15,056 0.84

Telecommunications

444 Swisscom AG ...................... 242 0.01

Number

of Shares

Fair Value

USD ‘000

Fund

%

Transport

992

Kuehne & Nagel


124,167 6.91

Thailand (0.07%)

Banks

247,100 Kasikornbank PCL .............. 1,229 0.07



60,675 BAE Systems Plc ................ 444 0.03

Agriculture

10,996


Plc ....................................... 646 0.04

132,320 Imperial Brands Plc ............ 7,347 0.41

Banks

359,618 Standard Chartered Plc ....... 2,443 0.14

Beverages

723,446 Diageo Plc .......................... 19,564 1.09


20,637 Berendsen Plc ..................... 357 0.02

Distributors

146,046 Inchcape Plc ........................ 1,519 0.08

Entertainment

302,535 William Hill Plc .................. 1,422 0.08

Food Products

627,888 Compass Group Plc ............ 11,082 0.62

Home Builders

19,071 Barratt Developments Plc ... 154 0.01

79,860

Berkeley Group Holdings

Plc ....................................... 3,694 0.20

17,863 Persimmon Plc .................... 535 0.03

63,033 Taylor Wimpey Plc ............. 172 0.01

Household Products

154,781


Plc ....................................... 14,972 0.83

Insurance

143,046 Aon Plc ............................... 14,941 0.83


135,671 Auto Trader Group Plc ....... 760 0.04

Lodging

54,276 Whitbread Plc ..................... 3,089 0.17

Media

347,242 Sky Plc ................................ 5,111 0.28

Metals and Mining

63,880 Rio Tinto Plc ....................... 1,795 0.10

Oil and Gas

132,713 Royal Dutch Shell Plc ......... 3,227 0.18

Other Finance

292,399 3i Group Plc ........................ 1,918 0.11


20,076 Mondi Plc ........................... 386 0.02




31 March 2016



Number

of Shares

Fair Value

USD ‘000

Fund

%

Pharmaceuticals

8,592 AstraZeneca Plc .................. 482 0.03

26,247 GlaxoSmithKline Plc ........... 533 0.03

177,823 Indivior Plc .......................... 417 0.02


20,110 Derwent London Plc ............ 911 0.05

131,505

Great Portland Estates

Plc ....................................... 1,376 0.08

43,200 Hammerson Plc ................... 359 0.02

Retail Trade

2,971 Next Plc ............................... 231 0.01


386,046 ARM Holdings Plc .............. 5,626 0.31

Textile and Apparel

179,207 Burberry Group Plc ............. 3,516 0.20

Transport

319,100 Royal Mail Plc ..................... 2,205 0.12

111,234 6.19


Advertising

73,317 Omnicom Group Inc ............ 6,102 0.34


2,325 Boeing Co ........................... 295 0.02

2,895 Lockheed Martin Corp ........ 641 0.04

4,901 Raytheon Co ........................ 601 0.03

96,400

Spirit AeroSystems Holdings

Inc ....................................... 4,373 0.24

89,960

United Technologies

Corp ..................................... 9,005 0.50

Agriculture

95,076 Altria Group Inc .................. 5,957 0.33

29,700 Bunge Ltd ............................ 1,683 0.10

7,356


Inc ....................................... 722 0.04

11,963 Reynolds American Inc ....... 602 0.04

Airlines

198,600 Delta Air Lines Inc .............. 9,668 0.54

Auto Components

9,970 Lear Corp ............................ 1,108 0.06

27,970 WABCO Holdings Inc ........ 2,991 0.17

Automobiles

391,400 General Motors Co .............. 12,302 0.68

Banks

244,137

Bank of New York Mellon

Corp ..................................... 8,992 0.50

284,700 Citigroup Inc ....................... 11,886 0.66

234,266


Inc ....................................... 4,908 0.27

86,554

Goldman Sachs Group

Inc ....................................... 13,587 0.76

144,700 JPMorgan Chase & Co ........ 8,569 0.48

30,500 KeyCorp .............................. 337 0.02

95,000 Morgan Stanley ................... 2,376 0.13

Number

of Shares

Fair Value

USD ‘000

Fund

%

170,372 State Street Corp ................. 9,970 0.56

202,400 Wells Fargo & Co ............... 9,788 0.54

Beverages

15,582 Coca-Cola Co ..................... 723 0.04

28,400 Coca-Cola Enterprises Inc .. 1,441 0.08

25,800 Constellation Brands Inc ..... 3,898 0.22

3,815


Inc ....................................... 341 0.02

37,912 PepsiCo Inc ......................... 3,885 0.21

Biotechnology

81,412 Amgen Inc .......................... 12,206 0.68

115,180 Gilead Sciences Inc ............. 10,580 0.59

10,321

Regeneron Pharmaceuticals

Inc ....................................... 3,720 0.21

33,100 United Therapeutics Corp ... 3,688 0.20

Building Products

22,500 Lennox International Inc ..... 3,042 0.17

Chemicals

69,852

International Flavors &

Fragrances Inc ..................... 7,947 0.44

55,166 Monsanto Co ....................... 4,840 0.27

45,827 Praxair Inc .......................... 5,245 0.29


6,181

Automatic Data Processing

Inc ....................................... 554 0.03

35,688 FleetCor Technologies Inc .. 5,309 0.30

65,100 Global Payments Inc ........... 4,251 0.24

75,464 PayPal Holdings Inc ........... 2,913 0.16


66,800 Amdocs Ltd ........................ 4,036 0.22

146,210 Apple Inc ............................ 15,935 0.89

320,300

Brocade Communications

Systems Inc ......................... 3,389 0.19

7,754 CACI International Inc ....... 827 0.05

27,400 HP Inc ................................. 338 0.02

30,643 IHS Inc ................................ 3,805 0.21

3,898


Machines Corp .................... 590 0.03

34,700 NCR Corp ........................... 1,039 0.06

21,000 Sykes Enterprises Inc .......... 634 0.03

6,970 Synopsys Inc ....................... 338 0.02


756 TopBuild Corp .................... 22 0.00


173,000 Berry Plastics Group Inc ..... 6,254 0.35

Distributors

18,592 WW Grainger Inc ............... 4,340 0.24


111,691 American Express Co ......... 6,858 0.38

3,900 Ameriprise Financial Inc .... 367 0.02

14,120 BlackRock Inc .................... 4,809 0.27

145,358 Franklin Resources Inc ....... 5,676 0.32

364,214 Visa Inc ............................... 27,855 1.55




31 March 2016



Number

of Shares

Fair Value

USD ‘000

Fund

%

Electric Utilities

39,900 Ameren Corp ....................... 1,999 0.11

74,200

American Electric Power Co

Inc ....................................... 4,927 0.27

88,800 Edison International ............ 6,384 0.36

38,098 Entergy Corp ....................... 3,020 0.17

2,131

Pinnacle West Capital

Corp ..................................... 160 0.01


72,886 Amphenol Corp ................... 4,214 0.23

960 AVX Corp ........................... 12 0.00

24,336 Corning Inc ......................... 508 0.03

5,044 Emerson Electric Co ............ 274 0.02

130,410

Honeywell International

Inc ....................................... 14,612 0.81

22,600 Tech Data Corp ................... 1,735 0.10

44,004 Waters Corp ........................ 5,805 0.32


25,000 Tetra Tech Inc ..................... 746 0.04

Food Products

66,200 Dean Foods Co .................... 1,147 0.06

44,969 Ingredion Inc ....................... 4,802 0.27

1,865 JM Smucker Co ................... 242 0.01

134,574 Kellogg Co .......................... 10,302 0.57

122,975

Mondelez International

Inc ....................................... 4,934 0.28

80,300 Tyson Foods Inc .................. 5,353 0.30

Gas Utilities

72,399 UGI Corp ............................. 2,917 0.16


81,600 Baxter International Inc ....... 3,352 0.19

35,292 Cooper Cos Inc .................... 5,434 0.30

16,300 CR Bard Inc ........................ 3,304 0.18

37,500 Hologic Inc .......................... 1,294 0.07

45,068 Dentsply Sirona Inc ............. 2,778 0.16

149,687 St Jude Medical Inc ............. 8,233 0.46

97,221 Stryker Corp ........................ 10,431 0.58

109,345

Thermo Fisher Scientific

Inc ....................................... 15,482 0.86

91,642

Zimmer Biomet Holdings

Inc ....................................... 9,772 0.54


6,600 Anthem Inc .......................... 917 0.05

46,400 Molina Healthcare Inc ......... 2,992 0.17

3,700 UnitedHealth Group Inc ...... 477 0.03

32,330

Universal Health Services

Inc ....................................... 4,032 0.22

Home Furnishings

28,260 Whirlpool Corp ................... 5,096 0.28


15,103 Harley-Davidson Inc ........... 775 0.04

Household Products

2,428 Clorox Co ............................ 306 0.02


Number

of Shares

Fair Value

USD ‘000

Fund

%

Insurance

8,074 Aflac Inc ............................. 510 0.03

106,800 Allstate Corp ....................... 7,195 0.40

1,294


Inc ....................................... 91 0.01

258,700


Group Inc ............................ 13,983 0.78


467 Erie Indemnity Co ............... 43 0.00

118,100 MBIA Inc ............................ 1,045 0.06

554 Mercury General Corp ........ 31 0.00

1,135 ProAssurance Corp ............. 57 0.00



151,300 Voya Financial Inc .............. 4,504 0.25


33,935 Alphabet Inc (Class A) ....... 25,889 1.44

12,222 Alphabet Inc (Class C) ........ 9,105 0.51

9,105 Amazon.com Inc ................. 5,405 0.30

385,006 eBay Inc .............................. 9,186 0.51

122,900 Facebook Inc ....................... 14,023 0.78

28,307 LinkedIn Corp ..................... 3,237 0.18

35,456 MercadoLibre Inc ............... 4,178 0.23

8,587 Priceline Group Inc ............. 11,068 0.62

166,105 Symantec Corp ................... 3,053 0.17

Lodging

11,717 Wynn Resorts Ltd ............... 1,095 0.06

Machinery

111,700 Caterpillar Inc ..................... 8,550 0.47

74,549 Cummins Inc ....................... 8,196 0.46

30,330 Rockwell Automation Inc ... 3,450 0.19

33,500 SPX FLOW Inc .................. 840 0.05

Media

17,600

Charter Communications

Inc ....................................... 3,563 0.20

153,000 Comcast Corp ..................... 9,345 0.52

63,600 Gannett Co Inc .................... 963 0.05

33,725 Time Warner Cable Inc ....... 6,901 0.38

204,886 Time Warner Inc ................. 14,864 0.83

129,908 Walt Disney Co .................. 12,901 0.72


63,435 3M Co ................................. 10,570 0.59

9,100

Smith & Wesson Holding

Corp .................................... 242 0.01

Office Electronics

594,300 Xerox Corp ......................... 6,632 0.37

Oil and Gas

84,975

Anadarko Petroleum

Corp .................................... 3,957 0.22

652

California Resources

Corp .................................... 1 0.00

6,226 Chevron Corp ..................... 594 0.03

66,300 EOG Resources Inc ............. 4,812 0.27




31 March 2016



Number

of Shares

Fair Value

USD ‘000

Fund

%

10,548 Exxon Mobil Corp ............... 882 0.05

1,732 Helmerich & Payne Inc ....... 102 0.01

39,400

Marathon Petroleum

Corp ..................................... 1,465 0.08

6,974

Occidental Petroleum

Corp ..................................... 477 0.03

45,800 Tesoro Corp ......................... 3,939 0.22

118,200 Valero Energy Corp ............ 7,581 0.42


58,084

National Oilwell Varco

Inc ....................................... 1,806 0.10

31,945 NOW Inc ............................. 566 0.03

166,736 Schlumberger Ltd ................ 12,297 0.68

Other Finance

116,441 American Capital Ltd .......... 1,775 0.10

Personal Products

201,568 Colgate-Palmolive Co ......... 14,241 0.79

9,062 Procter & Gamble Co .......... 746 0.04

Pharmaceuticals

34,300 AmerisourceBergen Corp .... 2,969 0.17

103,024 Bristol-Myers Squibb Co .... 6,581 0.37

3,100 Cardinal Health Inc ............. 254 0.01

7,665 Eli Lilly & Co ...................... 552 0.03

91,800

Express Scripts Holding

Co ........................................ 6,306 0.35

111,755 Johnson & Johnson ............. 12,092 0.67

11,588 Merck & Co Inc .................. 613 0.03

160,182 Pfizer Inc ............................. 4,748 0.27


11,300 American Homes 4 Rent ..... 180 0.01

17,477 Equinix Inc .......................... 5,780 0.32

32,200 Equity Commonwealth ........ 909 0.05

6,200 Post Properties Inc ............... 370 0.02

2,702 Public Storage ..................... 745 0.04

12,750 Taubman Centers Inc .......... 908 0.05

Retail Trade

6,218 AutoZone Inc ...................... 4,954 0.28

13,900 Children's Place Inc ............. 1,160 0.06

49,870 CVS Health Corp ................ 5,173 0.29

17,500 Darden Restaurants Inc ....... 1,160 0.06

70,100 Express Inc .......................... 1,501 0.08

8,000 Foot Locker Inc ................... 516 0.03

4,850 Gap Inc ................................ 143 0.01

5,983 Home Depot Inc .................. 798 0.04

95,254 Lowe's Cos Inc .................... 7,215 0.40

59,695 McDonald's Corp ................ 7,502 0.42

138,746

Sally Beauty Holdings

Inc ....................................... 4,493 0.25

141,600 Starbucks Corp .................... 8,454 0.47

8,700 Target Corp ......................... 716 0.04

43,000 Tiffany & Co ....................... 3,155 0.18

166,498 Urban Outfitters Inc ............ 5,509 0.31

17,144 Wal-Mart Stores Inc ............ 1,174 0.06

Number

of Shares

Fair Value

USD ‘000

Fund

%


6,991 Analog Devices Inc ............. 414 0.02

256,100 Applied Materials Inc ......... 5,424 0.30

203,285 Intel Corp ............................ 6,576 0.37

87,881

Microchip Technology

Inc ....................................... 4,236 0.24

9,105 Qualcomm Inc .................... 466 0.03

7,680 Texas Instruments Inc ......... 441 0.02

Shipbuilding

32,900

Huntington Ingalls Industries

Inc ....................................... 4,505 0.25

Software

114,100 Activision Blizzard Inc ....... 3,861 0.21

66,000 Adobe Systems Inc ............. 6,191 0.34

32,272 Aspen Technology Inc ........ 1,166 0.07

6,189 CA Inc ................................ 191 0.01

83,500 Citrix Systems Inc ............... 6,561 0.37

312,637 Microsoft Corp ................... 17,267 0.96

86,000

Nuance Communications

Inc ....................................... 1,607 0.09

249,007 Oracle Corp ......................... 10,187 0.57

46,418 Red Hat Inc ......................... 3,459 0.19

48,384 Salesforce.com Inc .............. 3,572 0.20

Telecommunications

155,600 CenturyLink Inc .................. 4,973 0.27

143,237 Cisco Systems Inc ............... 4,078 0.23

26,800 NETGEAR Inc ................... 1,082 0.06

Textile and Apparel

30,700 Mohawk Industries Inc ....... 5,860 0.33

Transport

17,900

Atlas Air Worldwide

Holdings Inc ....................... 756 0.04

48,984 Kansas City Southern ......... 4,185 0.23

40,224 Union Pacific Corp ............. 3,199 0.18

91,475 United Parcel Service Inc ... 9,648 0.54

901,242 50.14


Textile and Apparel

32,800

Michael Kors Holdings

Ltd ...................................... 1,867 0.10

Total Common Stock ........ 1,794,175 99.82

Preferred Stock (0.22%) (2015: 0.33%)

Germany (0.22%)

Household Products

36,065 Henkel AG & Co KGaA ..... 3,982 0.22

Total Preferred Stock ....... 3,982 0.22

Warrants (0.45%) (2015: 0.39%)

Switzerland (0.45%)

19,310 UBS AG London ................ 1,985 0.11

3,648,000

UBS AG London Delta

One ..................................... 2,834 0.16




31 March 2016



Number

of Shares

Fair Value

USD ‘000

Fund

%

437,293

UBS AG London Delta One

(Swiss listing) ...................... 3,242 0.18

Total Warrants .................. 8,061 0.45

Total Transferable

Securities ............................ 1,806,218 100.49

Principal

Amount

USD


0.00%)


U.S. Treasury Bills

2,400,000

Zero Coupon due

26/05/16* .......................... 2,400 0.14

4,000,000

Zero Coupon due

23/06/16* .......................... 3,998 0.22

7,000,000

Zero Coupon due

21/07/16* .......................... 6,994 0.39

6,000,000

Zero Coupon due

11/08/16* .......................... 5,993 0.34

Total Money Market

Instruments ........................ 19,385 1.09

Number

of Shares

Fair Value

USD ‘000

Fund

%


Ireland (0.90%)

77


III Plc The Sterling Liquidity


Shares ............................... 111 0.01

16,102


III Plc The U.S. Dollar Cash

Fund II - Class R Roll-Up

Shares ............................... 16,127 0.89

13


Plc Russell Euro Liquidity


Shares ............................... 15 0.00


Total Investments

excluding Financial

Derivative Instruments ..... 1,841,856 102.48

Financial Derivative Instruments (0.10%) (2015: (0.52%))


Notional

Amount

USD ‘000

Average

Cost Price

USD

Unrealised

Gain (Loss)

USD ‘000

Fund

%

1,677

5,083.06

33 of CAC 40 10 Euro Futures


Expiring April 2016 .......................................................................................................... (29) 0.00

1,714

11,427.18

6 of DAX Index Futures


Expiring June 2016 ........................................................................................................... (5) 0.00

1,499

3,407.58

44 of Euro STOXX 50 Index Futures


Expiring June 2016 ........................................................................................................... (30) 0.00

(56,843)

(3,409.88)

1667 of Euro STOXX 50 Index Futures


Expiring June 2016 ........................................................................................................... 1,164 0.06

13,648

8,748.48

156 of FTSE 100 Index Futures


Expiring June 2016 ........................................................................................................... 59 0.00

2,624

2,623.59

20 of Hang Seng Index Futures


Expiring April 2016 .......................................................................................................... 59 0.00

(80,875)

(794.45)

2036 of Mini MSCI Emerging Markets


Expiring June 2016 ........................................................................................................... (4,016) (0.22)

389

168.94

23 of OMX 30 Index Futures


Expiring April 2016 .......................................................................................................... (7) 0.00

8,980

1,381.59

65 of S&P MIDCAP 400 E Mini Index


Expiring June 2016 ........................................................................................................... 387 0.02




31 March 2016



Notional

Amount

USD ‘000

Average

Cost Price

USD

Unrealised

Gain (Loss)

USD ‘000

Fund

%

6,700

609.12

55 of S&P TSX 60 Index Futures


Expiring June 2016 ........................................................................................................... (7) 0.00

109,951

1,995.49



Expiring June 2016 ........................................................................................................... 3,086 0.17

5,093

3,917.90

52 of SPI 200 Index Futures


Expiring June 2016 ........................................................................................................... (27) 0.00

1,218

8,118.62

15 of Swiss Market Index Futures


Expiring June 2016 ........................................................................................................... (16) 0.00

15,774

11.86

133 of Topix Index Futures


Expiring June 2016 ........................................................................................................... 172 0.01


Unrealised loss on open futures contracts .......................................................................... (4,137) (0.22)



Settlement

Date

Amount

Bought ‘000

Amount

Sold ‘000

Unrealised

Gain (Loss)

USD ‘000

Fund

%

07/04/2016 AUD 72 EUR 48 - 0.00

07/04/2016 AUD 79 EUR 54 - 0.00

07/04/2016 AUD 103 EUR 68 2 0.00

07/04/2016 AUD 85 GBP 43 3 0.00

07/04/2016 AUD 151 USD 111 5 0.00

07/04/2016 AUD 261 USD 194 6 0.00

07/04/2016 AUD 23 USD 16 1 0.00

07/04/2016 AUD 84 USD 60 5 0.00

15/06/2016 AUD 100 USD 75 2 0.00

15/06/2016 AUD 646 USD 479 17 0.00

15/06/2016 AUD 646 USD 479 17 0.00

15/06/2016 AUD 6,732 USD 4,997 165 0.02

07/04/2016 CAD 201 EUR 136 - 0.00

07/04/2016 CAD 39 GBP 21 - 0.00

07/04/2016 CAD 197 USD 147 5 0.00

07/04/2016 CAD 347 USD 259 9 0.00

15/06/2016 CAD 200 USD 151 4 0.00

15/06/2016 CAD 839 USD 627 22 0.00

15/06/2016 CAD 939 USD 703 23 0.00

15/06/2016 CAD 8,840 USD 6,621 214 0.02

07/04/2016 CHF 85 EUR 78 - 0.00

07/04/2016 CHF 77 EUR 70 - 0.00

07/04/2016 CHF 141 EUR 130 (1) 0.00

07/04/2016 CHF 100 GBP 72 1 0.00

07/04/2016 CHF 158 USD 160 6 0.00

07/04/2016 CHF 278 USD 283 8 0.00

07/04/2016 CHF 31 USD 31 1 0.00

07/04/2016 CHF 119 USD 120 5 0.00




31 March 2016



Settlement

Date

Amount

Bought ‘000

Amount

Sold ‘000

Unrealised

Gain (Loss)

USD ‘000

Fund

%

15/06/2016 CHF 200 USD 202 8 0.00

15/06/2016 CHF 758 USD 767 27 0.00

15/06/2016 CHF 758 USD 766 28 0.00

15/06/2016 CHF 790 USD 817 11 0.00

07/04/2016 EUR 2,940 AUD 4,495 (107) (0.02)

07/04/2016 EUR 3,795 CAD 5,610 (12) 0.00

07/04/2016 EUR 42 CAD 62 - 0.00

07/04/2016 EUR 4,282 CHF 4,670 2 0.00

07/04/2016 EUR 2,081 GBP 1,639 17 0.00

07/04/2016 EUR 2,081 GBP 1,639 16 0.00

07/04/2016 EUR 2,081 GBP 1,639 17 0.00

07/04/2016 EUR 65 GBP 51 1 0.00

07/04/2016 EUR 247 GBP 193 4 0.00

07/04/2016 EUR 2,082 GBP 1,639 18 0.00

07/04/2016 EUR 1,190 HKD 10,083 56 0.00

07/04/2016 EUR 2,564 JPY 315,736 113 0.02

07/04/2016 EUR 2,564 JPY 315,736 112 0.02

07/04/2016 EUR 2,564 JPY 315,736 112 0.02

07/04/2016 EUR 2,565 JPY 315,736 113 0.01

07/04/2016 EUR 1,569 SEK 14,610 (14) 0.00

07/04/2016 EUR 532 SGD 816 - 0.00

07/04/2016 EUR 20 SGD 31 - 0.00

07/04/2016 EUR 524 USD 576 22 0.00

07/04/2016 EUR 919 USD 1,022 25 0.00

07/04/2016 EUR 17,819 USD 19,419 888 0.05

07/04/2016 EUR 17,814 USD 19,419 882 0.05

07/04/2016 EUR 17,814 USD 19,419 883 0.05

07/04/2016 EUR 52 USD 57 3 0.00

07/04/2016 EUR 176 USD 191 9 0.00

07/04/2016 EUR 19,437 USD 21,184 967 0.05

15/06/2016 EUR 196 USD 216 7 0.00

15/06/2016 EUR 196 USD 216 7 0.00

15/06/2016 EUR 6,000 USD 6,772 80 0.00

07/04/2016 GBP 833 AUD 1,618 (47) (0.01)

07/04/2016 GBP 1,076 CAD 2,019 (15) 0.00

07/04/2016 GBP 1,214 CHF 1,682 (11) 0.00

07/04/2016 GBP 110 EUR 141 (3) 0.00

07/04/2016 GBP 124 EUR 156 - 0.00

07/04/2016 GBP 1,079 EUR 1,370 (11) 0.00

07/04/2016 GBP 1,079 EUR 1,370 (11) 0.00

07/04/2016 GBP 1,079 EUR 1,370 (11) 0.00

07/04/2016 GBP 1,079 EUR 1,370 (12) 0.00

07/04/2016 GBP 329 HKD 3,547 16 0.00

07/04/2016 GBP 727 JPY 113,663 33 0.00

07/04/2016 GBP 727 JPY 113,663 33 0.00

07/04/2016 GBP 727 JPY 113,663 33 0.00

07/04/2016 GBP 727 JPY 113,663 33 0.00

07/04/2016 GBP 431 SEK 5,101 (10) 0.00

07/04/2016 GBP 152 SGD 296 (2) 0.00

07/04/2016 GBP 228 USD 322 6 0.00




31 March 2016



Settlement

Date

Amount

Bought ‘000

Amount

Sold ‘000

Unrealised

Gain (Loss)

USD ‘000

Fund

%

07/04/2016 GBP 398 USD 564 8 0.00

07/04/2016 GBP 5,051 USD 6,991 268 0.01

07/04/2016 GBP 5,050 USD 6,991 268 0.01

07/04/2016 GBP 5,049 USD 6,991 267 0.01

07/04/2016 GBP 5,047 USD 6,991 264 0.01

15/06/2016 GBP 200 USD 285 3 0.00

15/06/2016 GBP 922 USD 1,307 18 0.00

15/06/2016 GBP 80 USD 113 2 0.00

15/06/2016 GBP 1,022 USD 1,450 19 0.00

15/06/2016 GBP 400 USD 576 (1) 0.00

15/06/2016 GBP 9,128 USD 12,949 174 0.01

07/04/2016 HKD 367 EUR 42 (1) 0.00

07/04/2016 HKD 27 GBP 2 - 0.00

07/04/2016 HKD 177 USD 23 - 0.00

07/04/2016 HKD 627 USD 81 - 0.00

07/04/2016 HKD 177 USD 23 - 0.00

15/06/2016 HKD 24,611 USD 3,170 5 0.00

15/06/2016 HKD 900 USD 116 - 0.00

07/04/2016 JPY 42,791 EUR 340 (6) 0.00

07/04/2016 JPY 76,771 EUR 626 (30) 0.00

07/04/2016 JPY 40,522 GBP 258 (10) 0.00

07/04/2016 JPY 41,571 USD 367 3 0.00

07/04/2016 JPY 73,655 USD 653 3 0.00

07/04/2016 JPY 17,536 USD 156 - 0.00

07/04/2016 JPY 68,276 USD 606 2 0.00

15/06/2016 JPY 40,000 USD 355 2 0.00

15/06/2016 JPY 198,907 USD 1,769 4 0.00

15/06/2016 JPY 218,907 USD 1,946 6 0.00

15/06/2016 JPY 118,000 USD 1,053 (1) 0.00

15/06/2016 JPY 1,891,827 USD 16,823 44 0.00

07/04/2016 SEK 516 EUR 56 - 0.00

07/04/2016 SEK 510 USD 60 3 0.00

07/04/2016 SEK 887 USD 107 3 0.00

15/06/2016 SEK 1,861 USD 220 10 0.00

15/06/2016 SEK 1,861 USD 220 10 0.00

15/06/2016 SEK 1,700 USD 208 2 0.00

07/04/2016 SGD 30 EUR 20 - 0.00

07/04/2016 SGD 30 USD 21 1 0.00

07/04/2016 SGD 52 USD 37 1 0.00

07/04/2016 USD 748 AUD 1,049 (58) (0.01)

07/04/2016 USD 371 AUD 519 (29) 0.00

07/04/2016 USD 748 AUD 1,049 (59) (0.01)

07/04/2016 USD 748 AUD 1,049 (59) (0.01)

07/04/2016 USD 748 AUD 1,049 (59) 0.00

07/04/2016 USD 370 AUD 519 (29) 0.00

15/06/2016 USD 297 AUD 400 (9) 0.00

15/06/2016 USD 150 AUD 200 (3) 0.00

15/06/2016 USD 149 AUD 200 (5) 0.00

07/04/2016 USD 966 CAD 1,309 (47) 0.00

07/04/2016 USD 478 CAD 648 (23) 0.00




31 March 2016



Settlement

Date

Amount

Bought ‘000

Amount

Sold ‘000

Unrealised

Gain (Loss)

USD ‘000

Fund

%

07/04/2016 USD 966 CAD 1,309 (47) 0.00

07/04/2016 USD 966 CAD 1,309 (47) 0.00

07/04/2016 USD 966 CAD 1,309 (46) 0.00

07/04/2016 USD 478 CAD 648 (23) 0.00

07/04/2016 USD 54 CAD 73 (3) 0.00

07/04/2016 USD 11 CAD 15 (1) 0.00

15/06/2016 USD 601 CAD 800 (18) 0.00

15/06/2016 USD 76 CAD 100 (2) 0.00

15/06/2016 USD 416 CAD 550 (9) 0.00

07/04/2016 USD 1,090 CHF 1,090 (49) 0.00

07/04/2016 USD 539 CHF 539 (24) 0.00

07/04/2016 USD 1,090 CHF 1,090 (49) 0.00

07/04/2016 USD 1,089 CHF 1,090 (49) 0.00

07/04/2016 USD 1,090 CHF 1,090 (49) 0.00

07/04/2016 USD 539 CHF 539 (24) 0.00

15/06/2016 USD 611 CHF 600 (17) 0.00

15/06/2016 USD 103 CHF 100 (2) 0.00

15/06/2016 USD 11,806 CHF 11,625 (372) (0.03)

15/06/2016 USD 407 CHF 400 (12) 0.00

07/04/2016 USD 2,899 EUR 2,602 (66) 0.00

07/04/2016 USD 3,873 EUR 3,554 (177) (0.02)

07/04/2016 USD 1,918 EUR 1,760 (88) 0.00

07/04/2016 USD 3,874 EUR 3,554 (176) (0.01)

07/04/2016 USD 3,874 EUR 3,554 (176) (0.01)

07/04/2016 USD 3,874 EUR 3,554 (176) (0.01)

07/04/2016 USD 1,918 EUR 1,760 (87) 0.00

15/06/2016 USD 13,272 EUR 11,996 (429) (0.03)

15/06/2016 USD 13,575 EUR 12,256 (422) (0.03)

15/06/2016 USD 681 EUR 600 (4) 0.00

15/06/2016 USD 13,173 EUR 11,906 (424) (0.03)

15/06/2016 USD 13,173 EUR 11,906 (425) (0.03)

15/06/2016 USD 17,347 EUR 15,300 (126) (0.01)

15/06/2016 USD 13,177 EUR 11,906 (420) (0.03)

07/04/2016 USD 2,117 GBP 1,529 (81) 0.00

07/04/2016 USD 1,048 GBP 757 (40) 0.00

07/04/2016 USD 2,117 GBP 1,529 (81) 0.00

07/04/2016 USD 2,118 GBP 1,529 (81) 0.00

07/04/2016 USD 2,118 GBP 1,529 (80) 0.00

07/04/2016 USD 1,049 GBP 757 (40) 0.00

07/04/2016 USD 228 GBP 164 (7) 0.00

07/04/2016 USD 93 GBP 67 (3) 0.00

07/04/2016 USD 18 GBP 13 (1) 0.00

15/06/2016 USD 1,421 GBP 1,000 (17) 0.00

15/06/2016 USD 87 GBP 60 1 0.00

15/06/2016 USD 141 GBP 100 (3) 0.00

15/06/2016 USD 285 GBP 200 (3) 0.00

15/06/2016 USD 571 GBP 400 (4) 0.00

15/06/2016 USD 145 GBP 100 1 0.00

07/04/2016 USD 146 HKD 1,138 - 0.00

07/04/2016 USD 1,183 HKD 9,197 (2) 0.00




31 March 2016



Settlement

Date

Amount

Bought ‘000

Amount

Sold ‘000

Unrealised

Gain (Loss)

USD ‘000

Fund

%

07/04/2016 USD 146 HKD 1,138 - 0.00

07/04/2016 USD 31 HKD 243 - 0.00

07/04/2016 USD 7 HKD 55 - 0.00

15/06/2016 USD 129 HKD 1,000 - 0.00

15/06/2016 USD 129 HKD 1,000 - 0.00

07/04/2016 USD 2,608 JPY 294,718 (14) 0.00

07/04/2016 USD 1,291 JPY 145,925 (7) 0.00

07/04/2016 USD 2,609 JPY 294,718 (14) 0.00

07/04/2016 USD 2,609 JPY 294,718 (14) 0.00

07/04/2016 USD 2,610 JPY 294,718 (13) 0.00

07/04/2016 USD 1,292 JPY 145,925 (6) 0.00

15/06/2016 USD 1,507 JPY 170,000 (9) 0.00

15/06/2016 USD 267 JPY 30,000 (1) 0.00

15/06/2016 USD 891 JPY 100,000 (1) 0.00

15/06/2016 USD 518 JPY 58,000 1 0.00

07/04/2016 USD 192 SEK 1,637 (10) 0.00

07/04/2016 USD 1,548 SEK 13,227 (85) 0.00

07/04/2016 USD 192 SEK 1,637 (10) 0.00

07/04/2016 USD 53 SEK 453 (3) 0.00

07/04/2016 USD 12 SEK 104 (1) 0.00

15/06/2016 USD 121 SEK 1,000 (3) 0.00

15/06/2016 USD 48 SEK 400 (1) 0.00

15/06/2016 USD 83 SEK 700 (4) 0.00

07/04/2016 USD 67 SGD 95 (3) 0.00

07/04/2016 USD 541 SGD 762 (25) 0.00

07/04/2016 USD 67 SGD 95 (3) 0.00

07/04/2016 USD 23 SGD 32 (1) 0.00

07/04/2016 USD 5 SGD 7 - 0.00



Net unrealised gain (loss) on open forward foreign currency exchange contracts ....... 1,090 0.06

Total Financial Derivative Instruments ............................................................................ 1,880 0.10

Fair Value

USD ‘000

Fund

%


(103.10%) ..................................................................................................................................................... 1,853,279 103.10


Loss ((0.52)%) ............................................................................................................................................. (9,543) (0.52)


(102.58%) .................................................................................................................................................. 1,843,736 102.58


Net Assets .................................................................................................................................................. 1,797,342 100.00

* Held as collateral by brokers in connection with the margin requirements for futures contracts held by the Fund.




31 March 2016



Abbreviation used:



% of

gross assets

Transferable securities admitted to an official stock exchange listing ..................................................................... 95.79

Money market instruments ........................................................................................................................................ 1.03

Investment funds (UCITS) ........................................................................................................................................ 0.86

Exchange traded financial derivative instruments .................................................................................................... 0.26


Other assets .............................................................................................................................................................. 1.72

100.00

The broker for the open futures contracts is Morgan Stanley.


Bank of America

BNP Paribas

Citibank


HSBC



State Street Bank and Trust Company

UBS AG




As at 31 March 2016

Level 1

USD ‘000

Level 2

USD ‘000

Level 3

USD ‘000

Total

USD ‘000

Assets



Transferable securities ............................................................... 1,800,142 6,076 - 1,806,218





contracts ......................................................................................... - 6,496 - 6,496

Total assets ...................................................................................... 1,805,069 48,210 - 1,853,279

Liabilities


Unrealised loss on open futures contracts ...................................... (4,137) - - (4,137)


contracts ......................................................................................... - (5,406) - (5,406)

Total liabilities ................................................................................ (4,137) (5,406) - (9,543)




31 March 2016



As at 31 March 2015

Level 1

USD ‘000

Level 2

USD ‘000

Level 3

USD ‘000

Total

USD ‘000

Assets



Transferable securities ............................................................... 2,709,080 10,778 - 2,719,858


Unrealised gain on open futures contracts ...................................... 923 - - 923


contracts ......................................................................................... - 3,528 - 3,528

Total assets ...................................................................................... 2,710,003 91,353 - 2,801,356

Liabilities


Unrealised loss on open futures contracts ...................................... (3,316) - - (3,316)


contracts ......................................................................................... - (15,498) - (15,498)

Total liabilities ................................................................................ (3,316) (15,498) - (18,814)









Acquisition Cost


Disposal Proceeds

USD ‘000



Class A Shares 884,929 Class A Shares (945,016)

Samsung Electronics Co Ltd 18,345 Apple Inc (29,158)

U.S. Treasury Bill Visa Inc (25,291)

Zero Coupon due 24/09/2015 17,299 Mitsubishi UFJ Financial Group Inc (19,812)

Comcast Corp 16,360 U.S. Treasury Bill

eBay Inc 15,937 Zero Coupon due 24/09/2015 (17,300)

Alphabet Inc (Class A) 15,494 Danone SA (16,367)

PepsiCo Inc 14,568 PepsiCo Inc (15,599)

Deutsche Telekom AG 12,388 Sanofi (14,672)

Gilead Sciences Inc 11,921 American International Group Inc (14,474)

Citigroup Inc 11,712 Facebook Inc (14,350)

U.S. Treasury Bill Biogen Inc (13,931)

Zero Coupon due 03/03/2016 11,490 Franklin Resources Inc (13,745)

Visa Inc 11,305 Alibaba Group Holding Ltd ADR (13,554)

Morgan Stanley 11,287 State Street Corp (13,550)

Amorepacific Corp 10,691 Amazon.com Inc (13,521)

LyondellBasell Industries NV 10,381 Amgen Inc (13,472)

Zimmer Biomet Holdings Inc 10,332 Intel Corp (13,416)

Vestas Wind Systems A/S 9,848 McDonald's Corp (13,262)

Telenor ASA 9,761 Morgan Stanley (13,199)

Microsoft Corp 9,693 Pfizer Inc (12,897)

U.S. Treasury Bill

Zero Coupon due 12/11/2015 9,598


Notes to the Financial Statements

31 March 2016

208 Notes to the Financial Statements

1. Basis of Preparation

a) Statement of Compliance

The Company’s financial statements are prepared in accordance with accounting standards generally accepted in Ireland

(“Irish GAAP”) including Financial Reporting Standard (“FRS”) 102, the financial reporting standard applicable in the UK

and Republic of Ireland for the first time, Irish statute comprising the Companies Act 2014 and under the European

Communities (Undertakings for Collective Investment in Transferable Securities) Regulations, 2011 (as amended). Irish

GAAP, in preparing financial statements which present a true and fair view are those promulgated by the Institute of

Chartered Accountants in Ireland (the “Institute”) and issued by the Financial Reporting Council (“FRC”). The Companies

Acts prescribed formats for financial statements have been adapted to make them more applicable to investment funds.

The Company has availed of the exemption available to open ended investment funds that hold a substantial proportion of

highly liquid and fair valued investments under Section 7 of FRS 102 and is not presenting cash flow statements. The

information required by FRS 102 to be included in a statement of comprehensive income, is, in the opinion of the Directors,

contained in the Profit and Loss Account of each Fund.

Investments on each individual Schedule of Investments less than 500 in value in the presentation currency of the respective

Fund are rounded to zero.

b) Transition to FRS 102

In 2012, 2013 and 2014 the FRC revised Financial Reporting Standards in the United Kingdom and Republic of Ireland. The

revisions fundamentally reformed financial reporting, replacing the extant standards with a number of new Financial

Reporting Standards. The new standards relevant to the Company are FRS 102: the Financial Reporting Standard applicable

in the UK and Republic of Ireland and FRS 104: Interim Financial Reporting. FRS 102 and FRS 104 are effective for

accounting periods beginning on or after 1 January 2015 with early adoption permitted.

The Directors, on the recommendation of the Manager’s Audit Committee, resolved to adopt and prepare the Company’s

financial statements in accordance with FRS 102, the Financial Reporting Standard applicable in the UK and Republic of

Ireland.

The date of transition to the new accounting framework is 1 April 2014 and accordingly the comparative amounts presented

for the year ended 31 March 2015 are based on the Company’s financial statements for that year after adjustment for the

transition to FRS 102.

The accounting policies applied in preparing these financial statements under FRS 102 are consistent with the accounting

policies applied, except where noted, in preparing the prior year financial statements under the previous accounting

framework. Please refer to note 2 to the financial statements for details of changes to the Company’s accounting policies as a

result of adoption of FRS 102.

c) Combined Financial Statements

The combined financial statements of the Company are measured using Euro. The Company has also adopted Euro as the

presentation currency. The accounts of the individual Funds are translated into Euro and accumulated for preparation of the

combined financial statements.

For the purpose of producing the Combined Balance Sheet, respective financial period end exchange rates are used. For the

purpose of producing the Combined Profit and Loss Account and the Combined Statement of Changes in Net Assets

Attributable to Redeemable Participating Shareholders, the average exchange rates for the relevant period are used. The

currency gain or loss on re-translation of opening net assets, and the average rate difference arising on the translation of the

Combined Profit and Loss Account and the Combined Statement of Changes in Net Assets Attributable to Redeemable

Participating Shareholders, is included in the Combined Statement of Changes in Net Assets Attributable to Redeemable

Participating Shareholders. This translation adjustment does not impact the net asset value per share of any of the individual

Funds.


Notes to the Financial Statements - continued

31 March 2016

Notes to the Financial Statements 209

1. Basis of Preparation - continued

d) Estimates and judgements

The preparation of financial statements in conformity with Irish GAAP requires the use of certain critical accounting

estimates. It also requires the Board of Directors, based on advice of the Manager, to exercise its judgement in the process of

applying the Company’s accounting policies. Management also makes estimates and assumptions concerning the future. The

resulting accounting estimates will, by definition, seldom equal the related actual results. The areas involving a higher degree

of judgement or complexity, or areas where assumptions and estimates are significant to the financial statements are

determining fair values of certain financial instruments, as discussed in section b) of Note 2 to the financial statements and

determining the functional currency of the Company and individual Funds as discussed in section e) of Note 2 to the financial

statements.

2. Accounting Policies

The significant accounting policies adopted by the Company for the year ended 31 March 2016 are as follows:

a) Changes to the Company’s Accounting Policies

Changes in the Company’s accounting policies have been made as required in accordance with the transitional provisions in

FRS 102. i) Fair value measurement and recognition

On initial application of FRS 102, in accounting for its financial instruments at fair value through profit and loss a

reporting entity is required to apply either: a) the full provisions of section 11 “Basis Financial Instruments” and section 12 “Other Financial Instruments” of FRS

102; or

b) the recognition and measurement provisions of IAS 39 Financial Instruments: Recognition and Measurement and

only the disclosure requirements of Sections 11 and 12 of FRS 102; or

c) the recognition and measurement provisions of IFRS 9 Financial Instruments and/or IAS 39 (as amended following

the publication of IFRS 9) and only the disclosure requirements of Sections 11 and 12 of FRS 102. The Company has chosen to implement the recognition and measurement provisions of IAS 39 and only the disclosure

requirements of Sections 11 and 12 of FRS 102.

As a result the Company changed its fair valuation input to utilise last traded market price for both financial assets and

liabilities. Where the last traded price is not within the bid ask spread, management will determine the point within the

bid ask spread which is most representative of fair value. Under the previous financial reporting standards the market

price used for financial assets held by the Company was the current bid price, the quoted market price for financial

liabilities was the current ask price. The Company’s prior year end Balance Sheet, as at 31 March 2015, has been

restated within these Financial Statements to recognise the fair value of the Company’s financial assets at fair value

through profit or loss using last traded market prices. The Company’s Profit and Loss Account for the year ended 31

March 2015 has also been restated to reflect the use of last traded market prices.

The following tables summaries the respective restatements reflected on the Balance Sheet as of 31 March 2015 and the

Profit and Loss Account for year ended 31 March 2015.

Balance Sheet as at 31 March 2015

Russell

Emerging

Market Debt

Local Currency

Fund

USD ’000

Russell

Emerging

Markets

Extended

Opportunities

Fund

USD ’000

Russell Euro

Fixed Income

Fund

EUR ’000

Russell

Global Bond

(Euro Hedged)

Fund

EUR ’000

Russell Global

Defensive Equity

Fund

USD ’000

Financial assets at fair value through profit or

loss (at bid market prices) .............................................................................................................................................. …………. 334,552 820,177 240,776 566,470 145,246

Adjustment from bid market prices to last

traded market prices ....................................................................................................................................................... ……….…. 705 2,482 212 855 34


loss (at last traded market prices) ................................................................................................................................... 335,257 822,659 240,988 567,325 145,280



31 March 2016


2. Accounting Policies - continued

Russell Pan

European

Equity Fund

EUR ’000

Russell U.K.

Equity Plus

Fund

GBP ’000

Russell U.S.

Quant

Fund

USD ’000

Russell World

Equity

Fund

USD ’000

Combined

EUR ’000


loss (at bid market prices) .............................................................................................................................................. …………. 482,482 108,196 209,362 2,800,976 5,452,600

Adjustment from bid market prices to last

traded market prices ....................................................................................................................................................... ……….…. 175 66 17 380 4,702


loss (at last traded market prices) ................................................................................................................................... 482,657 108,262 209,379 2,801,356 5,457,302

Profit and Loss Account for the year ended 31 March 2015

Russell

Emerging

Market Debt

Local Currency

Fund

USD ’000

Russell

Emerging

Markets

Extended

Opportunities

Fund

USD ’000

Russell Euro

Fixed Income

Fund

EUR ’000

Russell

Global Bond

(Euro Hedged)

Fund

EUR ’000

Russell Global

Defensive Equity

Fund

USD ’000

Net gain (loss) on investment activities (at

bid market prices) ................................................................................................................................................................ …………. (59,408) (57,720) 35,561 50,755 16,463

Movement in adjustment from bid market prices

to last traded market prices .................................................................................................................................................. ………. 231 (644) 4 178 (74)


last traded market prices) ..................................................................................................................................................... ………….. (59,177) (58,364) 35,565 50,933 16,389

Russell Pan

European

Equity Fund

EUR ’000

Russell U.K.

Equity Plus

Fund

GBP ’000

Russell U.S.

Growth Fund

USD ’000

Russell U.S.

Quant

Fund

USD ’000

Russell U.S.

Value Fund

USD ’000


bid market prices) ................................................................................................................................................................ …………. 74,586 4,619 364 19,576 581


to last traded market prices .................................................................................................................................................. ………. 16 (23) (1) 10 (1)


last traded market prices) ..................................................................................................................................................... ………….. 74,602 4,596 363 19,586 580

Russell World

Equity Fund

USD ’000

Combined

EUR ’000


bid market prices) ................................................................................................................................................................ …………. 150,454 222,362


to last traded market prices .................................................................................................................................................. ………. (390) 295


last traded market prices) ..................................................................................................................................................... ………….. 150,064 222,657

b) Financial Instruments at Fair Value through Profit or Loss

This category has two sub-categories: financial assets and liabilities held for trading, and those designated by Directors at fair

value through profit and loss at inception. All instruments on each Fund’s Schedule of Investments are classified at fair value

through profit or loss. Subsequent to initial recognition, all instruments classified at fair value through profit or loss are

measured at fair value with changes in their fair value recognised in the Profit and Loss Account.

i) Investments

Securities listed on a recognised stock exchange or traded on any other regulated market are valued at the current last

traded market price as of the balance sheet date on the stock exchange or market which constitutes the principal market

for such securities. If for specific assets the current last traded market price does not, in the opinion of the Directors,

reflect their fair value or are not available, the price of the most recent transaction provides evidence of the current fair

value as long as there has not been a significant change in economic circumstances since the time of the transaction.



31 March 2016



In the case of any security not listed, quoted or dealt on a regulated market or for which no quotation or value is

available which would provide a fair valuation, or in respect of which the price is unrepresentative, the fair value of such

security is determined on the basis of the probable realisation value and is determined by the Directors, a stockbroker or

other competent person appointed by the Directors and approved for the purpose by the Custodian and Trustee, using

valuation techniques. There was no requirement during the current year for the Directors to appoint a competent person

for such purposes. The Manager or relevant Money Manager, in consultation with the Administrator’s Emergency Price

Committee (the “Pricing Committee”) and the Russell Securities Valuation Committee (“RSVC”), may also determine

the value of such securities using unobservable inputs, and used methods and made assumptions that were based on

market conditions existing at each balance sheet date based on the best information available. Such securities are

classified as Level 3 for fair value hierarchy purposes (see Note 12 b)) for further details on valuation of same) the

values of which are disclosed within the fair value hierarchy tables as disclosed at the base of each Fund’s Schedule of

Investments. The Company uses a variety of methods and makes assumptions that are based on market conditions

existing at each balance sheet date. Valuation techniques used include the use of comparable recent arm’s length

transactions, discounted cash flow analysis and option pricing models. If there is a valuation technique commonly used

by market participants to price the instrument and that technique has been demonstrated to provide reliable estimates of

prices obtained in actual market transactions, the Company uses that technique. Estimation methods and valuation

models may be used to calculate fair value. Due to the dynamic nature of assumptions used in estimating fair value and

market volatility, the values reflected in the financial statements for these investments may differ from the values that

would be determined by negotiations held between parties in a near term sales transaction, and those differences could be

material.

Commercial paper is valued on an amortised basis with reference to the maturity date of these instruments, which

approximates fair value.

Deposits with credit institutions are valued at par.

Investments in open-ended investment funds are valued at fair value at the latest available unaudited net asset value for

the shares or units obtained from the relevant administrator. The changes in the daily net asset value of these shares are

recognised as net gain (loss) on investment activities in the Profit and Loss Account.

ii) Warrants

Warrants are sometimes used to gain exposure to emerging market equities where custody, liquidity, or other issues

make ownership of local shares sub-optimal.

The valuation of the warrants depends on the level of trading. If the warrants are actively traded in the market then the

market price is used. If the warrants are not actively traded in the market then either the intrinsic value of the warrant

based on underlying equity price and warrant strike price or modified Black Scholes derived value, adjusted for

liquidity/other risks deemed appropriate are used.

iii) To Be Announced (“TBA”) Commitments

Certain Funds may enter into TBA purchase commitments to purchase securities for a fixed unit price at a future date

beyond customary settlement time. Although the unit price has been established, the principal value has not been

finalised.

These Funds hold, and maintain until settlement date, cash or high-grade debt obligations in an amount sufficient to meet

the purchase price, or the Funds may enter into offsetting contracts for the forward sale of other securities they own.

Income on the securities will not be earned until settlement date. TBA purchase commitments may be considered

securities in themselves, and involve a risk of loss if the value of the security to be purchased declines prior to settlement

date, the risk of which is in addition to the risk of decline in the value of a Fund’s other assets.

Unsettled TBA purchase commitments are valued at the current fair value of the underlying securities, according to the

procedures described under the Investments section of this note.



31 March 2016



Although the Funds may enter into TBA purchase commitments with the intention of acquiring securities for their

portfolios or for delivery pursuant to options contracts they have entered into, the Funds may dispose of a commitment

prior to settlement if the Money Manager deems it appropriate to do so. The TBA is accounted for in line with the

accounting policy for the underlying instruments.

Certain Funds may enter into TBA sale commitments to hedge their portfolio positions or to sell mortgage backed

securities they own under delayed delivery arrangements. Proceeds of TBA sale commitments are not received until the

contractual settlement date.

During the time a TBA sale commitment is outstanding, equivalent deliverable securities, or an offsetting TBA purchase

commitment deliverable on or before the sale commitment date, are held as “cover” for the transaction.

Unsettled TBA sale commitments are valued at the current fair value of the underlying securities. The contract is

marked-to-market daily and the change in market value is recorded by the Fund as an unrealised gain or loss. If the TBA

sale commitment is closed through the acquisition of an offsetting purchase commitment, the Funds realise a gain or

loss. If the Funds deliver securities under the commitment, the Funds realise a gain or loss from the sale of the securities

based upon the unit price established at the date the commitment was entered into.

iv) Forward and Spot Foreign Currency Exchange Contracts

The fair value of open forward foreign currency exchange contracts and open foreign currency exchange spot contracts is

calculated as the difference between the contracted rate and the current forward rate that would close out the contract on

the balance sheet date. For each relevant Fund, gains or losses on open foreign currency exchange spot contracts are

included in cash at bank in the Balance Sheet and gains or losses on open forward foreign currency exchange contracts

are included in financial assets or liabilities at fair value through profit or loss, as appropriate, on the Balance Sheet and

Schedule of Investments.

v) Futures Contracts

Initial margin deposits are made upon entering into futures contracts and are generally made in cash or cash equivalents.

The fair value of futures contracts is based upon their current quoted daily settlement prices on the relevant exchange as

of the balance sheet date. Changes in the value of open futures contracts are recognised as unrealised gains or losses on

futures contracts until the contracts are terminated, at which time realised gains and losses are recognised. For each

relevant Fund, gains or losses on open futures contracts are shown in the Schedule of Investments and as appropriate, on

the Balance Sheet as financial assets or liabilities at fair value through profit or loss.

vi) Options

Each Fund may purchase and sell (write) call and put options on securities, securities indices and foreign currencies

traded on a national securities exchange or in an over-the-counter market.

When a Fund writes a call or a put option, a premium is received by the Fund. The premium is subsequently marked to

market to reflect the fair value of the option written, which is reported within financial assets or liabilities at fair value

through profit or loss on the Balance Sheet for each relevant Fund. The difference between the premium amount and the

fair value reported on the Balance Sheet gives rise to an unrealised gain (loss).

When a Fund purchases a call or a put option, a premium is paid by the Fund. The premium on purchased put options

exercised is subtracted from the proceeds of the sale of the underlying security or foreign currency in determining the

realised gain or loss. The premium on purchased call options exercised is included in determining initial fair value of the

securities or foreign currency purchased. Premiums paid on the purchase of options which expire unexercised are treated

as realised losses. The option is subsequently marked to market to reflect the fair value of the option purchased, which is

reported within financial assets at fair value through profit or loss on the Balance Sheet for each relevant Fund.



31 March 2016



The over-the-counter options are valued at close of business on the dealing day at the settlement price as provided by the

counterparty/broker and the values are independently valued, at a minimum, weekly. The fair value of exchange traded

options are based upon their quoted daily settlement prices on the relevant exchange. In the event of it being impossible

or incorrect to carry out a valuation of a specific investment in accordance with the valuation rules, or if such valuation is

not representative of a security’s fair market value, the Directors are entitled to use other generally recognised valuation

methods in order to reach a proper valuation of that specific instrument, provided that such method of valuation has been

approved by the Custodian and Trustee.

If an option which a Fund has written either expires on its stipulated expiration date or a Fund enters into a closing

purchase transaction, a Fund realises a gain (or loss, if the cost of a closing purchase transaction exceeds the premium

received when the option was sold) without regard to any unrealised gain or loss on the underlying security, and the

liability related to such option is extinguished. If a call option which a Fund has written is exercised, a Fund realises a

capital gain or loss from the sale of the underlying security, and the proceeds from such sales are increased by the

premium originally received. When a put option which a Fund has written is exercised, the amount of the premium

originally received will reduce the cost of the security which a Fund purchases upon exercise of the option.

vii) Interest Rate Swaps, Currency Swaps and Credit Default Swaps

Interest rate swaps are valued using standard net present value methodologies whereby all future cash flows of the

interest rate swaps are discounted to their present value using the appropriate interest rate.

A currency swap is an interest rate swap in which the cash flows are in different currencies. Upon initiation of a currency

swap, the counterparties make an initial exchange of notional principals in the two currencies. During the life of the

swap, each party pays interest (in the currency of the principal received) to the other. At the maturity of the swap, the

parties make a final exchange of the initial principal amounts, reversing the initial exchange at the same spot rate.

The primary pricing source for interest rate swaps is the counterparty price, the secondary source is the price provided by

the relevant Money Manager and the tertiary source is Reuters/Bloomberg.

Over-the-counter credit default swaps are valued using standard net present value methodologies whereby all future

cashflows of the fixed side of the swap are discounted to their present value using the appropriate interest rate and

whereby all future cashflows of the default side of the swap are discounted to their present value based on the cost of

default to the default payer. This cost is determined by the recovery rate, notional amount of the contract, and default

probability among other factors. An upfront payment received by a Fund, as protection seller, is recorded as a liability on

the Fund’s books. An upfront payment made by a Fund, as protective buyer, is recorded as an asset on the Fund’s books.

The fair value of exchange traded credit default swaps are based upon their quoted daily settlement prices on the relevant

exchange. Yearly payments received or paid are recorded as realised gains or losses and recognised in the Profit and

Loss Account.

The primary pricing source for credit default swaps is the counterparty price, the secondary source is the price provided

by the relevant Money Manager and the tertiary source is Markit.

The notional amount of swap contracts is subsequently marked-to-market to reflect the fair value of the swap which is

reported as a financial asset or liability at fair value through profit or loss as appropriate on the Balance Sheet for each

relevant Fund.

The net amounts of interest payments and receipts on swaps are accrued in the Profit and Loss Account.

viii) Total Return Swaps

A total return swap is an agreement in which one party makes payments based on a set rate, either fixed or variable,

while the other party makes payments based on the return of an underlying asset, which includes both the income it

generates and any capital gains. In total return swaps, the underlying asset, referred to as the reference asset, is usually a

stock or fixed income index. This is owned by the party receiving the set rate payment. Total return swaps allow the

party receiving the total return to gain exposure and benefit from a reference asset without actually having to own it.



31 March 2016



ix) Swaptions

This instrument combines the features of two other financial instruments, namely an option and a swap. A swaption

involves writing/purchasing options to enter into a swap. Swaptions are priced using the standard Black Scholes pricing

model where the inputs required are the term of the option, the price and volatility of the underlying instrument (the

swap), the strike price of the option and the risk free rate of return (yield curve).

A Fund records an unrealised gain (loss) for the amount expected to be received or paid under the swaption agreement if

the agreement was terminated on the balance sheet date and is reported within financial assets or financial liabilities at

fair value through profit or loss on the Fund’s Balance Sheet and Schedule of Investments.

When a Fund writes a swaption, a premium is received by the Fund and the swaption is initially recognised at the

amount of the premium. The swaption is subsequently marked-to-market to reflect the fair value of the swaption written,

which is reported within financial liabilities at fair value through profit or loss on the Fund’s Balance Sheet and Schedule

of Investments. The difference between the premium received and the fair value reported on the Balance Sheet gives rise

to an unrealised gain (loss). When a swaption which the Fund has written is exercised, the amount of the premium

originally received will offset the cost of the swap upon exercise of the option in arriving at the movement in unrealized

gain or loss to be included in the Profit and Loss Account. Premiums received on swaptions written which expire

unexercised are treated as realised gains.

When a Fund purchases a swaption, a premium is paid by the Fund and the swaption is initially recognised at the amount

of the premium. The swaption is subsequently marked-to-market to reflect the fair value of the swaption purchased,

which is reported within financial assets at fair value through profit or loss on the Fund’s Balance Sheet. When a

swaption which the Fund holds is exercised, the amount of the premium originally paid will offset the cost of the swap

upon exercise of the option in arriving at the movement in unrealised gain or loss to be included in the Profit and Loss

Account. Premiums paid from the purchase of swaptions which expire unexercised are treated as realised losses.

c) Net Gain (Loss) on Investment Activities

In respect of each instrument type classified as financial instruments at fair value through profit or loss, the movement in

unrealised gains (losses) since the prior year end and realised gains (losses) are recognised within net gain (loss) on

investment activities in the Profit and Loss Account for each relevant Fund. See Note 4 for details of realised gains (losses) and movement in unrealised gains (losses) since the prior financial year end.

Gains and losses on options, swaps and swaptions are included in the investments figure for each relevant Fund. Gains and

losses on foreign currency exchange contracts are included in foreign currency exchange gains (losses).

d) Accounting for Investment Transactions, Income and Expenses

Purchases and sales of investments are recognised on trade date, the date on which the Fund commits to purchase or sell the

asset, provided the trade instructions have been received by the Custodian and Trustee prior to the calculation of the Fund’s

net asset value, being 2.30pm (Irish time) on each dealing day (the “Valuation Point”). Any trade instructions received by the

Custodian and Trustee after the Valuation Point will be recognised on the next dealing day. Investments are initially

recognised at fair value and transaction costs for all financial assets and financial liabilities carried at fair value through profit

or loss are expensed as incurred. Investments are recognised when the rights to receive cash flows from the investments are transferred to the Fund or the

Fund has exposure to substantially all risks and rewards of ownership. Investments are derecognised when the rights to

receive cash flows from the investments have expired or the Fund has transferred substantially all risks and rewards of

ownership.

Realised gains and losses on investment transactions are calculated using the average cost method. Realised gains and losses

on investments transactions in debt instruments are calculated as the difference between sales proceeds and the amortised

cost of the instrument. Amortised cost is arrived at using the effective interest method. The effective interest method is a

method of calculating the amortised cost of a financial asset or financial liability and of allocating the interest income or

interest expense over the relevant period. Interest income and expense are recognised in the Profit and Loss Account for all

relevant instruments using the effective interest method. Gains and losses realised on the sale of all financial assets and

financial liabilities carried at fair value through profit or loss are recognised in the Profit and Loss Account.

Bank interest is recognised on an accruals basis.



31 March 2016



Dividends are credited to the Profit and Loss Account on the dates on which the relevant securities are listed as “exdividend”.

Income is accounted for gross of any non reclaimable/irrecoverable withholding taxes and net of any tax credits. The

withholding tax is shown separately in the Profit and Loss Account.

Each Fund pays all of its expenses and such proportion of the Company’s expenses as is allocated to that Fund, other than

those expressly assumed by the Manager. The costs and gains (losses) of any hedging transactions will be attributable to the

relevant Share Class. To the extent that expenses are attributable to a specific Share Class of a Fund, that Share Class bears

such expenses. All expenses, as disclosed in the Profit and Loss Account, with the exception of Professional and Other fees,

are accrued on a daily basis. Professional fees and other fees recognised in the Profit and Loss Account are generally charged

and paid when billed to the Funds.

e) Foreign Currency Transactions

In accordance with Section 30 of FRS 102, items included in the individual Fund’s financial statements are measured using

the currency of the primary economic environment in which it operates (functional currency). The Directors’ selection of the

functional currency is attributable to the functional currency being: (a) the major component of the Fund’s benchmarks; or

(b) the common currency of monies received on subscriptions and paid out on redemptions of shares for most clients in the

Funds’ varied client base or (c) the common currency of the majority of the investments held on the Fund. The functional

currency assessment is done on a Fund by Fund basis. The functional currency of the Company is the Euro. Each individual Fund has also adopted its functional currency as the presentation currency. Foreign currency transactions are

translated to the functional currency of the relevant Fund at the rate of exchange ruling on the date of the transaction.

For each relevant Fund: (i) Currency gains and losses can arise where there is a difference between the amounts of foreign dividends and interest

recorded on the Fund’s books and the Fund’s functional currency equivalent to the amounts actually received or paid.

These gains or losses are included where appropriate in the dividend and interest income figure in the Fund’s Profit and

Loss Account;

(ii) Currency gains and losses realised on securities purchase and sales transactions are included in net gain (loss) on

investment activities in the relevant Fund’s Profit and Loss Account;

(iii) Unrealised currency gains and losses on securities held at year end are included in net gain (loss) on investment

activities in the relevant Fund’s Profit and Loss Account;

(iv) Monetary assets and liabilities denominated in currencies other than the Fund’s functional currency are translated at the

rate of exchange ruling at the close of business on the relevant reporting date and exchange differences are included in

net gain (loss) on investment activities in the relevant Fund’s Profit and Loss Account; and

(v) Share transactions which are settled in a currency other than the functional currency of a Fund are settled using the

applicable foreign currency exchange rate as of the trade date. As a result, there is no foreign currency impact on the

Funds for such transactions.

f) Redeemable Participating Shares

Redeemable participating shares are redeemable at the shareholder’s option and are classified as financial liabilities. The

redeemable shares can be repurchased by the Company at any time for cash equal to a proportionate share of the Company’s

net asset value. The redeemable share is carried at the redemption amount that is payable at the balance sheet date if a

shareholder exercised his or her right to have the Company repurchase his or her share. In accordance with the Prospectus,

for the relevant Funds, the Company is contractually obliged to redeem shares at dealing prices and the liability to

redeemable participating shareholders has been adjusted to reflect this. Monetary value share transactions during the year are

recognised in the Statement of Changes in Net Assets Attributable to Redeemable Participating Shareholders of the relevant

Fund.



31 March 2016



g) Distributions

Distributions on Income Share Classes, and deemed distributions on Accumulating Share Classes with an ex date during the

financial year are included as a finance cost in the Profit and Loss Account. The reinvestment of the deemed distribution on

the Accumulation Share Classes are included as a share transaction in the Statement of Changes in Net Assets Attributable to

Redeemable Participating Shareholders. Roll-Up Share Classes do not declare or distribute net income and the net asset value

therefore reflects net income.

h) Swing Pricing/Dilution Adjustments

Swing pricing (also known as dilution adjustment) is applied to a Fund once net subscriptions or redemptions for a Fund

relating to a Fund’s net asset value for a given dealing day is determined by the Administrator to exceed certain pre-

determined percentage thresholds. In calculating the swing pricing, the net asset value of a Fund is swung by a “swing factor”

on the following basis:

Net subscriptions - the price used to process all transactions is adjusted upwards by the swing factor to a notional offer price.

Net redemptions - the price used to process all transactions is adjusted downwards by the swing factor to a notional bid price.

If the net asset value of a Fund is swung on a specific dealing day the official price for a Fund will be the derived swing

price. In addition, all dealing activity for this dealing day will be dealt at the swing price. Swing pricing applied to a Fund

during the year is recognised within the share transactions figure on the Statement of Changes in Net Assets Attributable to

Redeemable Shareholders.

i) Collateral

i) Counterparty Owned Collateral

Counterparty cash received by a Fund as collateral for financial derivative instruments (“FDIs”) transactions is recorded

as an asset on the Balance Sheet within ‘Cash held with brokers and counterparties for open financial derivative

instruments’ and a related liability to repay the collateral is disclosed within creditors less than one year within ‘Cash

due to brokers and counterparties for open financial derivative instruments’.

Non cash collateral received by the Funds does not form part of the Net Asset Value of the Fund and is recorded at the

base of each relevant Schedule of Investments for reference purposes only.

ii) Collateral Pledged by Funds

A Fund’s assets may be deposited by or on behalf of the Fund for collateral purposes with brokers, for options and

futures contracts, and counterparties, in respect of over-the-counter FDIs and TBA positions, held on the Funds. Such

assets remain in the ownership of the relevant Fund and are recorded as an asset on the Balance Sheet. Cash pledged by

the Funds as collateral is recognised on the Balance Sheet within ‘Cash held with brokers and counterparties for open

derivative instruments’. Investments pledged by the Funds as collateral are recognised at fair value in the relevant Fund’s

Schedule of Investments and such investments are referenced accordingly at the base of the Schedule of Investments.

See Note 3 for details of cash collateral received and pledged by the Funds to and from counterparties for FDIs.

iii) Impairment of Collateral

The Adviser has considered the recoverability of collateral due from relevant brokers and counterparties at year end/prior

year end and has considered the need to write-down the value of such collateral. The Adviser is satisfied that the full

value of the collateral is recoverable from all brokers and counterparties at the respective financial year end dates.

j) Transaction Costs

Transaction costs are defined as the incremental costs that are directly attributable to the acquisition, issue or disposal of a

financial asset or financial liability. An incremental cost is one that would not have been incurred if the entity had not

acquired, issued or disposed of the financial instrument. When a financial asset or financial liability is recognised initially, an

entity shall measure it at its fair value through profit or loss plus, transaction costs that are directly attributable to the

acquisition or issue of the financial asset or financial liability.

Transaction costs relating to the brokers commission on the purchase and sale of a financial asset or financial liability, are

included in its purchase and sale price. Transaction costs of the Custodian and Trustee or sub-custodian as the case may be

are embedded in the relevant fees in the Profit and Loss Account.



31 March 2016


3. Cash at Bank and Cash Held with/due to Brokers and Counterparties

a) Cash at Bank

Cash at bank balances are comprised of cash balances held within State Street Bank and Trust Company’s (“State Street”)

custodian network*, unrestricted margin accounts held by brokers for exchange traded derivative instruments held by the

Funds and net unrealised gains and losses on open spot foreign currency exchange contracts. The names of brokers used by

each individual Fund can be found at the base of each relevant Fund’s Schedule of Investments.

The tables in this section of the note details all such cash held on the Funds, including relevant broker and location of broker,

as of 31 March 2016 and 31 March 2015. All cash at bank balances are within State Street’s custodian network for those

Funds not listed below.

Cash held in U.S. Dollar bank accounts with State Street automatically transfer into the demand deposit account at State

Street Bank and Trust New York in the name of State Street Bank and Trust Company - London.

As at 31 March 2016

Held with Location

Russell

Emerging

Market Debt

Local

Currency

Fund

USD ‘000

Russell

Emerging

Markets

Extended

Opportunities

Fund

USD ‘000

Russell Euro

Fixed Income

Fund

EUR ‘000

Russell

Global Bond

(Euro

Hedged)

Fund

EUR ‘000

Russell Global

Defensive

Equity Fund

USD ‘000

State Street Bank and Trust ............................................. Multiple 32,530 9,144 - 7,483 744

Credit Suisse Securities (Europe) Ltd ............................. London, United Kingdom - - - 446 -

Goldman Sachs Group, Inc. ............................................. New York, U.S.A. - 3,341 - 360 -

JP Morgan ....................................................................... London, United Kingdom 284 - 126 - -

Merrill Lynch International ............................................. London, United Kingdom - - 44 - 551

Morgan Stanley & Co. International Plc ........................ London, United Kingdom - - - - -

UBS AG ....................................................................................................................................................................................... London, United Kingdom - - 39 - -

UBS Securities LLC ..................................................................................................................................................................... Jersey City, U.S.A. - - - - -

Total 32,814 12,485 209 8,289 1,295

Held with Location

Russell Pan

European

Equity Fund

EUR ‘000

Russell U.K.

Equity Plus

Fund

GBP ‘000

Total

EUR ‘000

State Street Bank and Trust ............................................. Multiple 5,716 448 50,986

Credit Suisse Securities (Europe) Ltd ............................. London, United Kingdom - - 446

Goldman Sachs Group, Inc. ............................................. New York, U.S.A. - - 3,292

JP Morgan ....................................................................... London, United Kingdom - - 375

Merrill Lynch International ............................................. London, United Kingdom - - 528

Morgan Stanley & Co. International Plc ........................ London, United Kingdom 412 - 412

UBS AG ....................................................................................................................................................................................... London, United Kingdom - - 39

UBS Securities LLC ..................................................................................................................................................................... Jersey City, U.S.A. - 23 29

Total 6,128 471 56,107

As at 31 March 2015

Held with Location

Russell

Emerging

Market Debt

Local

Currency

Fund

USD ‘000

Russell

Emerging

Markets

Extended

Opportunities

Fund

USD ‘000

Russell Euro

Fixed Income

Fund

EUR ‘000

Russell

Global Bond

(Euro

Hedged)

Fund

EUR ‘000

Russell Global

Defensive

Equity Fund

USD ‘000

State Street Bank and Trust ............................................. Multiple 30,386 16,941 1,959 31,251 3,574

Goldman Sachs & Co. ..................................................... New York, U.S.A. - 2,694 10 - -

JP Morgan Chase Bank ................................................... London, United Kingdom 369 - 196 53 -

Merrill Lynch & Co. Inc. ................................................ London, United Kingdom - - 115 81 763

Morgan Stanley & Co. International Plc ........................ London, United Kingdom - - - - -

UBS AG ....................................................................................................................................................................................... London, United Kingdom - - 66 - -

Total 30,755 19,635 2,346 31,385 4,337

* Certain cash balances may be held by sub-custodians, as approved and appointed by State Street, in markets where State Street does not operate as a

custodian. Such cash and all cash held within the State Street custodian network is included within the State Street Bank and Trust figures in the tables

contained within this note.



31 March 2016


3. Cash at Bank and Cash Held with/due to Brokers and Counterparties - continued

Held with Location

Russell Pan

European

Equity Fund

EUR ‘000

Russell U.K.

Equity Plus

Fund

GBP ‘000

Russell U.S.

Quant Fund

USD ‘000

Russell

World Equity

Fund

USD ‘000

Total

EUR ‘000

State Street Bank and Trust ............................................. Multiple 5,882 766 838 12,678 100,129

Goldman Sachs & Co. ..................................................... New York, U.S.A. - - - - 2,518

JP Morgan Chase Bank ................................................... London, United Kingdom - - - - 593

Merrill Lynch & Co. Inc. ................................................ London, United Kingdom - - 584 - 740

Morgan Stanley & Co. International Plc ........................ London, United Kingdom 89 - - 1,258 1,971

UBS AG ....................................................................................................................................................................................... London, United Kingdom - 9 - - 78

Total 5,971 775 1,422 13,936 106,029

b) Cash held with brokers and counterparties for open financial derivative instruments

Cash is also deposited by or on behalf of the Funds for initial margin purposes with brokers for options and futures contracts

and as collateral with counterparties in respect of OTC FDIs and TBA positions held on the Funds. As this amount is the

minimum deemed by the brokers and counterparties for collateral requirements the cash is as such restricted and is reported

separately to the unrestricted cash on the Funds’ Balance Sheets. Cash collateral pledged by counterparties and held by the

Funds is recognised within these tables also. Such cash remains in the ownership of the relevant counterparty and a related

liability to repay the cash is recognised within “Cash due to brokers and counterparties for open financial derivative

instruments” on the relevant Fund’s Balance Sheet. See section c) of this note for further details of same.

All such cash held on the Funds, including relevant broker and location of broker, as of 31 March 2016 and 31 March 2015

are detailed in the tables below. As at 31 March 2016

Held with Location

Russell

Emerging

Market Debt

Local

Currency

Fund

USD ‘000

Russell

Emerging

Markets

Extended

Opportunities

Fund

USD ‘000

Russell Euro

Fixed Income

Fund

EUR ‘000

Russell

Global Bond

(Euro

Hedged)

Fund

EUR ‘000

Russell

Global

Defensive

Equity Fund

USD ‘000

Bank of America ............................................................. New York, U.S.A. 410 - 47 613 -

BNP Paribas .................................................................... New York, U.S.A. 310 - - - -

Citibank ........................................................................... New York, U.S.A. 260 - - - -

Credit Suisse AG ............................................................. London, United Kingdom - - - 724 -

Deutsche Bank ................................................................ New York, U.S.A. - - - 97 -

Goldman Sachs Group, Inc. ............................................ New York, U.S.A. 310 - 494 2,345 -

Goldman Sachs International .......................................... London, United Kingdom - 502 - 35 -

HSBC .............................................................................. New York, U.S.A. 1,200 - - 465 -

JP Morgan ....................................................................... London, United Kingdom 4,620 - 216 - -

Merrill Lynch International ............................................. London, United Kingdom - - 245 50 511

Morgan Stanley ............................................................... New York, U.S.A. - - - 447 -

Morgan Stanley & Co. International plc ......................... London, United Kingdom - - - - -

RBC Capital Market ........................................................ Toronto, Canada - - - 7 -

Societe Generale .............................................................. Paris, France - - - 35 -

UBS AG .......................................................................... London, United Kingdom - - 124 506 -

UBS Securities LLC ........................................................ Jersey City, U.S.A. - - - - -

Total 7,110 502 1,126 5,324 511



31 March 2016



Held with Location

Russell Pan

European

Equity Fund

EUR ‘000

Russell U.K.

Equity Plus

Fund

GBP ‘000

Russell U.S.

Quant Fund

USD ‘000

Total

EUR ‘000

Bank of America ............................................................. New York, U.S.A. - - - 1,020

BNP Paribas .................................................................... New York, U.S.A. - - - 272

Citibank ........................................................................... New York, U.S.A. - - - 228

Credit Suisse AG ............................................................. London, United Kingdom - - - 724

Deutsche Bank ................................................................ New York, U.S.A. - - - 97

Goldman Sachs Group, Inc. ............................................ New York, U.S.A. - - - 3,111

Goldman Sachs International .......................................... London, United Kingdom - - - 476

HSBC .............................................................................. New York, U.S.A. - - - 1,518

JP Morgan ....................................................................... London, United Kingdom - - - 4,270

Merrill Lynch International ............................................. London, United Kingdom - - 1,055 1,669

Morgan Stanley ............................................................... New York, U.S.A. 2,590 - - 447

Morgan Stanley & Co. International plc ......................... London, United Kingdom - - - 2,590

RBC Capital Market ........................................................ Toronto, Canada - - - 7

Societe Generale .............................................................. Paris, France - - - 35

UBS AG .......................................................................... London, United Kingdom - - - 630

UBS Securities LLC ........................................................ Jersey City, U.S.A. - 624 - 787

Total 2,590 624 1,055 17,881

As at 31 March 2015

Held with Location

Russell

Emerging

Market Debt

Local

Currency

Fund

USD ‘000

Russell

Emerging

Markets

Extended

Opportunities

Fund

USD ‘000

Russell Euro

Fixed Income

Fund

EUR ‘000

Russell

Global Bond

(Euro

Hedged)

Fund

EUR ‘000

Russell

Global

Defensive

Equity Fund

USD ‘000

Bank of America ............................................................. New York, U.S.A. - - - 1,003 -

Citigroup Global Markets Holdings Inc. ........................ New York, U.S.A. 260 - - 424 -

Credit Suisse Securities (USA) LLC .............................. New York, U.S.A. - - - 1,173 -

Deutsche Bank ................................................................ London, United Kingdom - - - 950 -

Goldman Sachs & Co. ..................................................... New York, U.S.A. - 4,952 311 2,768 -

HSBC .............................................................................. New York, U.S.A. - - - 19 -

JP Morgan Chase Bank ................................................... London, United Kingdom 3,518 - 128 261 -


Morgan Stanley & Co. International Plc ........................ London, United Kingdom - - - 754 -

Societe Generale .............................................................. Paris, France - - - 37 -

UBS AG .......................................................................... London, United Kingdom - 603 90 168 -

Total 3,778 5,555 775 7,557 812

Held with Location

Russell Pan

European

Equity Fund

EUR ‘000

Russell U.K.

Equity Plus

Fund

GBP ‘000

Russell U.S.

Quant Fund

USD ‘000

Russell

World Equity

Fund

USD ‘000

Total

EUR ‘000

Bank of America ............................................................. New York, U.S.A. - - - - 1,003

Citigroup Global Markets Holdings Inc. ........................ New York, U.S.A. - - - - 666

Credit Suisse Securities (USA) LLC .............................. New York, U.S.A. - - - - 1,173

Deutsche Bank ................................................................ London, United Kingdom - - - - 950

Goldman Sachs & Co. ..................................................... New York, U.S.A. - - - - 7,690

HSBC .............................................................................. New York, U.S.A. - - - - 19

JP Morgan Chase Bank ................................................... London, United Kingdom - - - - 3,665


Morgan Stanley & Co. International Plc ........................ London, United Kingdom 1,890 - - 10,550 13,223

Societe Generale .............................................................. Paris, France - - - - 37

UBS AG .......................................................................... London, United Kingdom - 424 - - 1,405

Total 1,890 424 351 10,550 30,404

c) Cash due to brokers and counterparties for open financial derivative instruments

Cash amounts pledged as collateral by counterparties for OTC FDIs and held by the relevant Funds and cash amounts owed

to brokers for exchange traded FDI transactions at each balance sheet date are detailed in the tables below. Cash amounts pledged as collateral by counterparties form part of the net assets of the respective Funds and a related asset is

included within “Cash held with brokers and counterparties for financial derivative instruments” on the Balance Sheet and

section b) of this note.



31 March 2016



As at 31 March 2016

Due to Location

Russell

Emerging

Market Debt

Local

Currency

Fund

USD ‘000

Russell

Emerging

Markets

Extended

Opportunities

Fund

USD ‘000

Russell

Global Bond

(Euro

Hedged)

Fund

EUR ‘000

Russell

World Equity

Fund

USD ‘000

Total

EUR ‘000

Bank of America ............................................................. New York, U.S.A. - - (316) - (316)

BNP Paribas .................................................................... New York, U.S.A. (310) - - - (272)

Citibank ........................................................................... London, United Kingdom (260) - - - (228)

Credit Suisse AG ............................................................. London, United Kingdom - - (179) - (179)

Deutsche Bank ................................................................ New York, U.S.A. - - (97) - (97)

Goldman Sachs Group, Inc. ............................................ New York, U.S.A. (310) (557) (10) - (771)

HSBC .............................................................................. London, United Kingdom - - (465) - (465)

JP Morgan ....................................................................... London, United Kingdom - - (31) - (31)

Morgan Stanley & Co. International plc ......................... London, United Kingdom - - - (1,269) (1,114)

Morgan Stanley ............................................................... New York, U.S.A. - - (447) - (447)

Societe Generale .............................................................. Paris, France - - (35) - (35)

UBS AG .......................................................................... London, United Kingdom - - (29) - (29)

Total (880) (557) (1,609) (1,269) (3,984)

As at 31 March 2015

Due to Location

Russell

Global Bond

(Euro

Hedged)

Fund

EUR ‘000

Total

EUR ‘000

Deutsche Bank ................................................................ London, United Kingdom (950) (950)

Royal Bank of Scotland .................................................. London, United Kingdom (40) (40)

Societe Generale .............................................................. Paris, France (37) (37)

Total (1,027) (1,027)

4. Net Gain (Loss) on Investment Activities

All gains and losses on investments other than futures contracts and forward foreign currency exchange contracts are

included within the investments figure in the tables below.

a) Year ended 31 March 2016

i) Net realised gain (loss):

Russell

Emerging

Market Debt

Local

Currency

Fund

USD ‘000

Russell

Emerging

Markets

Extended

Opportunities

Fund

USD ‘000

Russell Euro

Fixed Income

Fund

EUR ‘000

Russell Global

Bond (Euro

Hedged) Fund

EUR ‘000

Russell Global

Defensive

Equity Fund

USD ‘000

Russell Pan

European

Equity Fund

EUR ‘000

Investments ........................................................................................................................... (62,537) (83,401) 5,867 17,687 2,809 4,527

Futures contracts .................................................................................................................. (2,191) (4,415) (489) 936 (613) (2,002)

Foreign currency exchange .................................................................................................. 514 (2,671) (10,448) (3,577) 709 (428)

(64,214) (90,487) (5,070) 15,046 2,905 2,097

Russell U.K.

Equity Plus

Fund

GBP ‘000

Russell U.S.

Quant Fund

USD ‘000

Russell World

Equity Fund

USD ‘000

Investments ........................................................................................................................... 4,281 5,978 182,798

Futures contracts .................................................................................................................. (323) 435 7,211

Foreign currency exchange .................................................................................................. 1 - (1,525)

3,959 6,413 188,484



31 March 2016


4. Net Gain (Loss) on Investment Activities - continued

ii) Net change in unrealised gain (loss) on:

Russell

Emerging

Market Debt

Local

Currency

Fund

USD ‘000

Russell

Emerging

Markets

Extended

Opportunities

Fund

USD ‘000

Russell Euro

Fixed Income

Fund

EUR ‘000

Russell Global

Bond (Euro

Hedged) Fund

EUR ‘000

Russell Global

Defensive

Equity Fund

USD ‘000

Russell Pan

European

Equity Fund

EUR ‘000

Investments ........................................................................................................................... 32,928 (25,936) (8,463) (52,148) (6,663) (76,525)

Futures contracts .................................................................................................................. 2 (678) 61 437 (22) (178)

Foreign currency exchange .................................................................................................. 105 562 (1,587) 13,691 (1,397) (320)

33,035 (26,052) (9,989) (38,020) (8,082) (77,023)

Russell U.K.

Equity Plus

Fund

GBP ‘000

Russell U.S.

Quant Fund

USD ‘000

Russell World

Equity Fund

USD ‘000

Investments ........................................................................................................................... (8,668) (10,446) (264,878)

Futures contracts .................................................................................................................. 116 289 3,183

Foreign currency exchange .................................................................................................. (3) - 13,440

(8,555) (10,157) (248,255)

iii) Net gain (loss) on investment activities:

Russell

Emerging

Market Debt

Local

Currency

Fund

USD ‘000

Russell

Emerging

Markets

Extended

Opportunities

Fund

USD ‘000

Russell Euro

Fixed Income

Fund

EUR ‘000

Russell Global

Bond (Euro

Hedged) Fund

EUR ‘000

Russell Global

Defensive

Equity Fund

USD ‘000

Russell Pan

European

Equity Fund

EUR ‘000

Net realised gain (loss) ......................................................................................................... (64,214) (90,487) (5,070) 15,046 2,905 2,097

Net change in unrealised gain (loss) 33,035 (26,052) (9,989) (38,020) (8,082) (77,023)

Net gain (loss) on investment

activities ................................................................................................................................ (31,179) (116,539) (15,059) (22,974) (5,177) (74,926)

Russell U.K.

Equity Plus

Fund

GBP ‘000

Russell U.S.

Quant Fund

USD ‘000

Russell World

Equity Fund

USD ‘000

Net realised gain (loss) ......................................................................................................... 3,959 6,413 188,484

Net change in unrealised gain (loss) (8,555) (10,157) (248,255)


activities ................................................................................................................................ (4,596) (3,744) (59,771)

b) Year ended 31 March 2015

i) Net realised gain (loss):

Russell

Emerging

Market Debt

Local

Currency

Fund

USD ‘000

Russell

Emerging

Markets

Extended

Opportunities

Fund

USD ‘000

Russell Euro

Fixed Income

Fund

EUR ‘000

Russell Global

Bond (Euro

Hedged) Fund

EUR ‘000

Russell Global

Defensive

Equity Fund

USD ‘000

Russell Pan

European

Equity Fund

EUR ‘000

Investments ........................................................................................................................... (20,564) (8,888) 14,232 26,542 21,296 30,930

Futures contracts .................................................................................................................. 2,974 3,674 (1,866) (8,987) 340 2,767

Foreign currency exchange .................................................................................................. (5,009) (50) 13,159 (18,611) 1,530 1,829

(22,599) (5,264) 25,525 (1,056) 23,166 35,526



31 March 2016


4. Net Gain (Loss) on Investment Activities - continued

Russell U.K.

Equity Plus

Fund

GBP ‘000

Russell U.S.

Growth Fund

USD ‘000

Russell U.S.

Quant Fund

USD ‘000

Russell U.S.

Value Fund

USD ‘000

Russell World

Equity Fund

USD ‘000

Investments ........................................................................................................................... 12,520 3,291 14,772 6,598 261,168

Futures contracts .................................................................................................................. 376 (221) 917 (450) 27,070

Foreign currency exchange .................................................................................................. - - - - (19,002)

12,896 3,070 15,689 6,148 269,236

ii) Net change in unrealised gain (loss) on:

Russell

Emerging

Market Debt

Local

Currency

Fund

USD ‘000

Russell

Emerging

Markets

Extended

Opportunities

Fund

USD ‘000

Russell Euro

Fixed Income

Fund

EUR ‘000

Russell Global

Bond (Euro

Hedged) Fund

EUR ‘000

Russell Global

Defensive

Equity Fund

USD ‘000

Russell Pan

European

Equity Fund

EUR ‘000

Investments ........................................................................................................................... (36,624) (52,300) 9,582 57,947 (7,050) 39,192

Futures contracts .................................................................................................................. (5) (1,154) (94) 1,169 (376) (175)

Foreign currency exchange .................................................................................................. 51 384 552 (7,127) 649 59

(36,578) (53,100) 10,040 51,989 (6,777) 39,076

Russell U.K.

Equity Plus

Fund

GBP ‘000

Russell U.S.

Growth Fund

USD ‘000

Russell U.S.

Quant Fund

USD ‘000

Russell U.S.

Value Fund

USD ‘000

Russell World

Equity Fund

USD ‘000

Investments ........................................................................................................................... (8,174) (2,701) 3,929 (5,530) (111,281)

Futures contracts .................................................................................................................. (130) (6) (32) (38) 2,409

Foreign currency exchange .................................................................................................. 4 - - - (10,300)

(8,300) (2,707) 3,897 (5,568) (119,172)

iii) Net gain (loss) on investment activities:

Russell

Emerging

Market Debt

Local

Currency

Fund

USD ‘000

Russell

Emerging

Markets

Extended

Opportunities

Fund

USD ‘000

Russell Euro

Fixed Income

Fund

EUR ‘000

Russell Global

Bond (Euro

Hedged) Fund

EUR ‘000

Russell Global

Defensive

Equity Fund

USD ‘000

Russell Pan

European

Equity Fund

EUR ‘000

Net realised gain (loss) ......................................................................................................... (22,599) (5,264) 25,525 (1,056) 23,166 35,526

Net change in unrealised gain (loss) (36,578) (53,100) 10,040 51,989 (6,777) 39,076


activities ................................................................................................................................ (59,177) (58,364) 35,565 50,933 16,389 74,602

Russell U.K.

Equity Plus

Fund

GBP ‘000

Russell U.S.

Growth Fund

USD ‘000

Russell U.S.

Quant Fund

USD ‘000

Russell U.S.

Value Fund

USD ‘000

Russell World

Equity Fund

USD ‘000

Net realised gain (loss) ......................................................................................................... 12,896 3,070 15,689 6,148 269,236

Net change in unrealised gain (loss) (8,300) (2,707) 3,897 (5,568) (119,172)


activities ................................................................................................................................ 4,596 363 19,586 580 150,064



31 March 2016


5. Transactions with Related Parties

a) Related Parties

Parties are considered to be related if one party has the ability to control the other party or is able to exercise significant

influence over the other party, in making financial or operational decisions. The following entities were related parties to the

Company during the years ended 31 March 2016 and 31 March 2015:

Relation to the Company Name of entity

Details

disclosed

in section

of this note

Manager ............................................................................................................................. Russell Investments Ireland Limited ................................................................................ b), i)

Adviser and Distributor (the “Adviser”) ........................................................................... Russell Investments Limited ............................................................................................. b), ii)

Promoter ............................................................................................................................ Frank Russell Company .................................................................................................... b), iii)

Affiliated Money Manager ................................................................................................ Affiliated Russell entities .................................................................................................. b), iv)

Affiliated Broker ............................................................................................................... Russell Implementation Services Inc. ............................................................................... b), iv)

Currency Implementation ................................................................................................... Russell Implementation Services Inc. ............................................................................... b), iv)

Directors of the Company ................................................................................................. As listed in the Administration of the Company page ..................................................... b), v)

Related Party Investors and Investees ............................................................................... Affiliated Russell entities and Russell managed funds .................................................... b), vi)

b) Related Party Transactions

i) Manager, Management Fee and Performance Fee

Russell Investments Ireland Limited, a wholly owned subsidiary of Frank Russell Company, which in turn is a 100 per

cent owned subsidiary of The London Stock Exchange Group ("LSEG"), is the Manager of the Company. The Manager

is engaged in the business of providing investment management and administrative services to collective investment

schemes. The Manager has: (a) appointed the Adviser to advise it on the Funds’ investments; (b) delegated the

administration of the Company to the Administrator; and (c) appointed the Adviser to market and promote the shares of

the Funds.

a) Management Fee

For services rendered under the management agreement, the Company pays the Manager a fee, accrued daily and

paid monthly in arrears, at the following annual rates based on the respective average daily net asset values of each

class of shares.

Russell Emerging Market

Debt Local Currency Fund

Russell Emerging Markets

Extended Opportunities Fund

Russell Euro

Fixed Income Fund

Class B Euro 1.70% Class A 1.30% Class B 0.80%

Class I AUD Income 1.00% Class F 1.60%

Class I Sterling 1.00% Class GBPH I Income 0.65%

Class I Sterling Income 1.00% Class I 0.60%

Class I USD 1.00% Class P Income 1.00%

Class U Euro 2.20% Class S 1.02%

Russell Global

Bond (Euro Hedged) Fund

Russell Global

Defensive Equity Fund

Russell Pan

European Equity Fund

Class A 1.50% Class A 0.95% Class A 1.60%

Class B 0.90% Class B Income 0.80% Class B 1.00%

Class DH-B 0.90% Class C 2.70% Class F 1.80%

Class GBPH I Income 0.70% Class U 2.00% Class I 0.90%

Class MZ Income 0.40% Class USD-H 1.20% Class L 1.80%

Class USD-H Income 1.20% Class PAMEU 2.30%

Class R Roll-Up 1.25%



31 March 2016


5. Transactions with Related Parties - continued

Russell U.K. Equity Plus Fund Russell U.S. Quant Fund Russell World Equity Fund

Class B 0.65% Class B 1.00% Class B 0.90%

Class I Income 0.65% Class C 1.60% Class C 1.60%

Class P Income 1.25% Class I 0.80% Class D 0.75%

Class R 2.25% Class P Income 1.50% Class EH-T 1.15%

Class R I Roll-Up 1.20% Class H Income 0.90%

Class I 0.90%

Class I Income 0.25%

Class J 1.60%

Class N 2.30%

Class R 2.60%

Class SH-B 0.95%

Class SH-B Income 0.95%

Class TYA 0.68%

Class TYC 0.58%

Class TYHC 0.61%

Class USD-H 1.15%

Class USD-H Income 1.15%

Rates for classes of shares not yet funded as at 31 March 2016 are not listed.

b) Performance Fee

A performance fee (the “Performance Fee”) is payable to the Manager in respect of the Funds (with the exception of

Russell Euro Fixed Income Fund) on an annual basis who in turn pays the Performance Fee to the Money Manager

of each Fund that is entitled to a performance fee as described based on the calculation methodology as detailed

within the Prospectus.

Performance Fees for the year ended 31 March 2016 amounted to EUR 1,198,126 (year ended 31 March 2015:

EUR 860,894). These charges related to Russell Emerging Market Debt Local Currency Fund, Russell Emerging

Markets Extended Opportunities Fund and Russell U.K. Equity Plus Fund.

ii) Adviser

The Manager discharges all fees payable to the Adviser out of its management fee.

iii) Promoter

Frank Russell Company acts as promoter to the Company (the “Promoter”). The Promoter is not entitled to a fee in its

capacity as Promoter to the Company.

iv) Affiliated Money Managers, Affiliated Broker and Currency Implementation

Russell Implementation Services Inc. and Russell Implementation Services Limited (collectively called “RIS”) and

Russell Investments Management Company are affiliated group companies to the Manager and the Adviser. The Adviser

and these entities can be appointed as a Money Manager to the Funds. Please refer to each Fund’s Manager Report

section for list of Money Manager as at 31 March 2016.

The appointment of Russell group companies as Money Manager to the Funds is subject to the same procedures as

appointing an external Money Manager and an intercompany agreement and investment guidelines are applied.

The Funds effect certain transactions through RIS and its global network of unaffiliated correspondent brokers. Trades

placed through RIS and its correspondents are made (i) to manage trading associated with changes in Money Managers,

rebalancing across existing Money Managers, cash flows and other portfolio transitions or (ii) to execute portfolio

securities transactions for each Fund’s assets where RIS has been appointed as Money Manager.

RIS may also amend by the Company to carry out foreign currency implementation trading for which a fee of 0.02 per

cent per trade is charged.

For the year ended 31 March 2016, the total commission earned by RIS, encompassing the range of services provided,

amounted to EUR 902,683 (year ended 31 March 2015: EUR 1,374,590).



31 March 2016



v) Directors and Directors’ Fees

The Articles of Association provide that the Directors are entitled to a fee by way of remuneration at a rate to be

determined from time to time by the Directors. Directors’ fees are paid to non-executive Directors not employed by

Russell group companies. Directors’ fees shall not exceed the limits contained in the Prospectus and the Directors are

entitled to certain additional expenses as listed in the Prospectus. Directors’ fees charged during the year ended 31 March

2016 were EUR 60,027 (year ended 31 March 2015: EUR 55,310), these amounts are included in other fees in the

Combined Profit and Loss Account.

All of the Directors of the Company are also directors of the Russell Funds discussed below.

All of the Directors of the Company are also directors of the Manager. The following Directors of the Company are

employed by Russell group companies: Mr. James Beveridge, Mr. Peter Gonella, Mr. Neil Jenkins, Mr. John McMurray,

and Mr. Kenneth Willman.

Mr. James Firn is a former employee of Russell Investments who retired in June 2014. He continues to act as a Director

of Russell Investments Ireland Limited and the Funds managed by Russell Investments Ireland Limited.

The Adviser operates a defined contribution pension plan for its employees which invests in Russell managed funds

including the Funds. The pension fund is subject to a management fee rebate. The Directors who are employed by the

Russell group companies may be indirectly exposed to the Company through the pension scheme.

vi) Related Party Investors and Investees

a) Investment in other Russell Funds

The Funds may invest in the sub-funds of other funds managed by the Manager as listed in the table below. Details

of the Fund’s investments in these sub-funds can be found in the Schedule of Investments of each relevant Fund.

Fund Structure Name

Type of Fund

Structure

Management

Fee Rate

Russell Investment Company plc .............................................................................................................................................................................. UCITS Umbrella 0.05% - 2.80%

Russell Investment Company III plc ......................................................................................................................................................................... UCITS Umbrella 0.05%

b) Related Party Shareholder of the Company

During the year ended 31 March 2016 and the year ended 31 March 2015, certain Funds of open-ended collective

investment schemes also managed by the Manager and administered by the Administrator were invested in the

Funds. In accordance with Section 33 of FRS 102 these entities are deemed related party shareholders to the

Company.

The table below discloses the value of related shareholders in the Company and the percentage of this value against

the Company’s combined net asset value as at the respective balance sheet dates.

Related Party Shareholders

31 March 2016

EUR ‘000

Company

%

31 March 2015

EUR ‘000

Company

%

Russell Institutional Funds plc ....................................................................................................................................... 131,134 3.08% 42,797 0.77%

Russell Investment Company plc ................................................................................................................................... 29,791 0.70% 32,542 0.59%

Russell Investment Company V plc ............................................................................................................................... 124,807 2.93% 171,181 3.09%

c) Fund Mergers

i) Year ended 31 March 2016

There were no Fund mergers during the year ended 31 March 2016.

ii) Year ended 31 March 2015

Europe Focus Equity, a sub-fund of OpenWorld plc, an open ended investment company authorised by the

Central Bank and managed by the Manager, merged with Russell Pan European Equity Fund, on 12 December

2014.



31 March 2016



vii) FTSE Russell Indices

Each of the following Funds’ benchmark is a FTSE Russell index. FTSE Russell is wholly owned by LSEG. No fees are

payable by the Company to FTSE Russell for this service.

Fund Index

Russell Emerging Markets Extended Opportunities Fund .......... Russell Emerging Extended Index Net

Russell Global Defensive Equity Fund ......................................... Russell Global Defensive Index

Russell Pan European Equity Fund ........................................... Russell Developed Europe Large Cap Net Index

Russell U.S. Quant Fund ........................................................... Russell 1000 Value Net 30% Index

Russell World Equity Fund ....................................................... Russell Developed Large Cap Net Index

6. Significant Agreements

i) Custodian and Trustee

State Street Custodial Services (Ireland) Limited is the Company’s Custodian and Trustee. The Custodian and Trustee has

appointed its parent, State Street, as its global sub-custodian who in turn has appointed a network of local sub-custodial

agents. The sub-custodian fees are paid at annual rates based on the total assets held in each individual country in which the

Funds invest plus applicable transaction charges.

Custodian and Trustee fees accrue daily and are paid monthly in arrears.

Included within the Custodian agreement is a right of set off for fees owing to and monies lent by the Custodian and Trustee.

ii) Administrator and Transfer Agency

State Street Fund Services (Ireland) Limited is the Company’s Administrator. The Administrator is responsible for the daily

determination of net asset value, maintaining the books and records of the Funds in respect of the Company and other

administrative services. The Manager has also appointed the Administrator as the Company’s Transfer Agent.

Such fees accrue daily and are paid monthly in arrears. The Manager shall discharge reasonable out of pocket expenses

payable to the Administrator out of the Funds’ assets.

The Administrator is also entitled to shareholder services fees as disclosed in the administration agreement and reporting

services fees of USD 7,000 per Fund per annum.

Transfer agency fees are charged based on the number of Funds in the umbrella structure, the number of shareholders,

number of statements issued, number of share classes and volume of shareholder transactions in a period and are subject to

adequate thresholds. Transfer agency fees charged and are charged and paid on a daily basis and are recognised within

Administration and transfer agency fees in the Profit and Loss Account for each Fund.

The Custodian and Trustee and Administration fees disclosed in the Profit and Loss Account include minimum fees. If the

total of the minimum fees is in excess of the combined administration and trustee percentage charges, the share class fee, the

reporting service fee and the shareholder service fee, after the deduction of any discount, then this minimum will apply. The

minimum fee for new Funds will be waived for one year from the launch of the new Fund.

The aggregate of the Administration and Custodian and Trustee Fees will not exceed 0.35 percent of the Net Asset Value of

any Fund.

iii) Transaction Costs

Transaction costs relating to the broker commission on the purchase and sale of bonds, equities, exchange traded FDIs and

OTC FDIs, are included in the purchase and sale price of the investment.

Transaction costs on the purchase and sale of bonds and OTC FDIs cannot be practically or reliably gathered as they are

embedded in the cost of the investment and cannot be separately verified or disclosed. Transaction costs on purchases and

sales of equities and exchange traded FDIs are readily identifiable.



31 March 2016


6. Significant Agreements - continued

Total transaction costs, incorporating broker commissions and transaction costs of the Custodian and Trustee and sub-

custodians are as follows:

Fund

Functional

Currency

Year ended

31 March 2016

‘000

Year ended

31 March 2015

‘000

Russell Emerging Market Debt Local Currency Fund ........................ USD 291 199

Russell Emerging Markets Extended Opportunities Fund .................. USD 3,086 3,256

Russell Euro Fixed Income Fund ........................................................ EUR 141 61

Russell Global Bond (Euro Hedged) Fund .......................................... EUR 451 224

Russell Global Defensive Equity Fund ............................................... USD 239 525

Russell Pan European Equity Fund ..................................................... EUR 1,209 1,138

Russell U.K. Equity Plus Fund ............................................................ GBP 324 385

Russell U.S. Growth Fund ................................................................... USD - 13

Russell U.S. Quant Fund ..................................................................... USD 205 169

Russell U.S. Value Fund ...................................................................... USD - 10

Russell World Equity Fund ................................................................. USD 2,603 4,472

iv) Auditors’ Remuneration

The remuneration for all work carried out by the statutory audit firm in respect of the financial year under review and prior

financial year is as follows:

2016

EUR ‘000

2015

EUR ‘000

Statutory audit of accounts* .................................................................................................................................................................................................... 145 161

Tax advisory services** .......................................................................................................................................................................................................... 34 45

Total ........................................................................................................................................................................................................................................ 179 206

* The fees for statutory audit of the accounts disclosed in the table above are exclusive of VAT. The audit fees recognised in the Profit and Loss Account

are inclusive of VAT.

** Exclusive of VAT

There were no fees for other assurance services or other non-audit services during the year ended 31 March 2016 (year ended

31 March 2015: Nil).

7. Soft Commissions and Commission Recapture Programme

The Adviser retains the right to request that the Money Managers participate in Russell’s soft commission and commission

recapture programme (the “Programme”) by executing a portion of their securities transactions through certain brokers (the

“Correspondent Broker Networks”). Money Manager participation in the Programme is not mandatory and the appropriate

participation percentage target is determined on a Money Manager by Money Manager basis, based upon asset class,

investment mandate, trading habits, and tolerance for participation and is always subject to a Money Manager’s ability to

obtain best execution.

The Programme, including the Correspondent Broker Networks, is administered by Recapture Services, a division of BNY

ConvergEx Execution Solutions LLC (“BNY”) and State Street Global Markets (“SSGM”).

A portion of the commission earned by the Correspondent Broker Networks as a result of this trading activity will be set

aside in the Programme as “credits”. These credits are then earmarked for purchase of third party research (“Soft

Commission Credits”) or commission recapture (“Commission Credits”).

i) Soft Commission Credits

All soft commission use is overseen by Russell’s soft commission committee (the “Committee”) which is made up of

senior level investment personnel. The Committee, with the guidance of Russell’s investment strategy committee,

establishes an annual soft commission research budget for the use of the Soft Commission Credits.

Soft Commission Credits are used by Russell to purchase third party research that will aid Russell in its investment

decision-making process. Research purchased through the Programme is obtained from unaffiliated third parties at

market rates.



31 March 2016


7. Soft Commissions and Commission Recapture Programme - continued

ii) Recapture Credits

Once the soft commission research budget has been met the Committee will instruct BNY and SSGM to recapture the

Commission Credits which are then rebated directly back to the relevant Fund from which the commission was

generated. Recapture Credits are recognised within other income in the relevant Fund’s Profit and Loss Account. Russell

does not receive any revenue (directly or indirectly from Recapture Credits) from the commission recapture component

of the Programme.

8. Distributions

The Company conducts its affairs so as to enable U.K. reporting fund status to be obtained under the United Kingdom

Income and Corporation Taxes Act, 1988 for the purposes of U.K. taxation for each applicable Fund.

With the exception of Roll-Up Class Shares, the distribution policy of each Fund is to distribute out of net income. Roll-Up

Class Shares do not declare or distribute net income and their net asset value reflects net income. Distributions declared by

Income Class Shares are paid in cash unless the shareholder chooses to reinvest part or all of the amount in the capital of the

relevant Share Class. Accumulation Class Shares declare a distribution which is then reinvested in the capital of the relevant

share class.

The distributions in respect of the Funds are calculated and declared on a calendar quarterly basis (i.e. quarterly periods

ended 31 March, 30 June, 30 September and 31 December).

9. Taxation

Under current law and practice the Company qualifies as an investment undertaking as defined in Section 739B of the Taxes

Consolidation Act, 1997, as amended (the “TCA”). On that basis, it is not chargeable to Irish tax on its income or gains.

However, Irish tax may arise on the occurrence of a “chargeable event”. A chargeable event includes any distribution

payments to shareholders or any encashment, redemption, transfer or cancellation of shares and any deemed disposal of

shares for Irish tax purposes arising as a result of holding shares in the Company for a period of eight years or more.

No Irish tax will arise in respect of chargeable events in respect of a shareholder who is an Exempt Irish Investor (as defined

in Section 739D of the TCA) or who is neither Irish resident nor ordinarily resident in Ireland for tax purposes at the time of

the chargeable event, provided, in each case, that an appropriate valid declaration in accordance with Schedule 2B of the

TCA is held by the Company or where the Company has been authorised by Irish Revenue to make gross payments in

absence of appropriate declarations.

Distributions, interest and capital gains (if any) received on investments made by the Company may be subject to

withholding taxes imposed by the country of origin and such taxes may not be recoverable by the Company or its

shareholders.

10. Number of Shares in Issue and Net Assets Attributable to Redeemable Participating Shareholders

a) Authorised Share Capital

The authorised share capital of the Company is 39,000 subscriber shares of no par value and 500 billion participating shares

of no par value. Subscriber shares do not form part of the net asset value of the Company. They are disclosed in the financial

statements by way of this note only.

Holders of subscriber shares are not entitled to dividends or any surplus of assets over liabilities upon the winding-up of the

Company. The subscriber shares are held by the Promoter and the Adviser.

b) Redeemable Participating Shares

Each of the shares entitles the holder to participate equally on a pro rata basis in the profits and dividends of the relevant

Fund attributable to such shares and to attend and vote at meetings of the Company and of the relevant Fund represented by

those shares. No class of shares confers on the holder thereof any preferential or pre-emptive rights or any rights to

participate in the profits and dividends of any other class of shares or any voting rights in relation to matters relating solely to

any other class of shares.



31 March 2016


10. Number of Shares in Issue and Net Assets Attributable to Redeemable Participating Shareholders - continued

Each share represents an individual beneficial interest in the Company. The shares are not debt obligations or guaranteed by

the Company. The return on an investment in the Company will depend solely upon the investment performance of the assets

of the relevant Fund and the increase or decrease (as the case may be) in the net asset value of the shares. The amount

payable to a shareholder in respect of each share upon liquidation of the Company or a Fund will equal the net asset value per

share. However, in a relatively illiquid market, a Fund may not be able to dispose of its investments quickly and as such a

Fund may experience adverse price movements upon liquidation of its investments. Settlement of transactions may be subject

to delay and administrative uncertainties and the price repaid to the shareholders in such circumstances will not equal the

final published net asset value per share.

Net assets attributable to shareholders represent a liability on the Balance Sheet, carried at the redemption amount that would

be payable at the balance sheet date if the shareholder exercised the right to redeem the shares in the Company.

Participating Share Transactions

All cash amounts are in the functional currency of the relevant Fund not the currency of the class.


Number of Shares in issue

Year ended 31 March 2015 Year ended 31 March 2016

Share Class

Beginning

of year

Shares

Issued

Shares

Redeemed

End

of year

Shares

Issued

Shares

Redeemed

End

of year

Class B Euro ..................................................... 17,094 44,707 (4,589) 57,212 85,964 (1,143) 142,033

Class I AUD Income ........................................ 70,249 46,893 (1,883) 115,259 66,519 (59,625) 122,153

Class I Sterling ................................................. 121,083 28,338 (18,996) 130,425 2,175 (7,294) 125,306

Class I Sterling

Income ............................................................... - 16,621 - 16,621 18,240 (16,836) 18,025

Class I USD ...................................................... 78 107,655 (55,434) 52,299 24,950 (45,645) 31,604

Class U Euro ..................................................... 1 - - 1 - - 1

Value of Share Transactions


Share Class

Subscriptions

USD ‘000

Redemptions

USD ‘000

Subscriptions

USD ‘000

Redemptions

USD ‘000

Class B Euro ..................................................... 46,411 (5,401) 86,626 (1,130)

Class I AUD Income ........................................ 40,194 (1,511) 43,309 (38,570)

Class I Sterling ................................................. 41,052 (25,473) 2,828 (8,347)

Class I Sterling

Income .............................................................. 25,386 - 25,335 (24,062)

Class I USD ...................................................... 97,880 (49,744) 20,344 (33,722)

Class U Euro ..................................................... - - - -




Share Class

Beginning

of year

Shares

Issued

Shares

Redeemed

End

of year

Shares

Issued

Shares

Redeemed

End

of year

Class A .............................................................. 893,193 9,374 (36,577) 865,990 60,930 (117,966) 808,954



Share Class

Subscriptions

USD ‘000

Redemptions

USD ‘000

Subscriptions

USD ‘000

Redemptions

USD ‘000

Class A .............................................................. 10,236 (39,082) 50,745 (92,125)



31 March 2016






Share Class

Beginning

of year

Shares

Issued

Shares

Redeemed

End

of year

Shares

Issued

Shares

Redeemed

End

of year

Class B .............................................................. 64,753 16,496 (17,871) 63,378 40,913 (25,097) 79,194

Class F .............................................................. 97 8 - 105 159 (16) 248

Class GBPH I Income ...................................... 8,035,469 305,203 (730,362) 7,610,310 3,310,503 (784,881) 10,135,932

Class I ............................................................... 28,544 2,640 (2,182) 29,002 7,785 (4,665) 32,122

Class P Income ................................................. 139,098 23,412 (55,061) 107,449 8,567 (35,201) 80,815

Class S .............................................................. 32,684 20,627 (8,100) 45,211 8,464 (25,806) 27,869



Share Class

Subscriptions

EUR ‘000

Redemptions

EUR ‘000

Subscriptions

EUR ‘000

Redemptions

EUR ‘000

Class B .............................................................. 29,060 (29,871) 72,388 (44,713)

Class F .............................................................. 12 - 245 (25)

Class GBPH I Income ...................................... 4,193 (9,811) 50,278 (11,590)

Class I ............................................................... 75 (59) 229 (134)

Class P Income ................................................. 337 (785) 125 (510)

Class S .............................................................. 2,833 (1,125) 1,180 (3,587)




Share Class

Beginning

of year

Shares

Issued

Shares

Redeemed

End

of year

Shares

Issued

Shares

Redeemed

End

of year

Class A .............................................................. 1,388 674 (267) 1,795 813 (290) 2,318

Class B .............................................................. 150,076 146,492 (101,470) 195,098 21,324 (90,748) 125,674

Class DH-B ....................................................... 2,720,124 793,044 (476,706) 3,036,462 744,439 (264,943) 3,515,958

Class GBPH I Income ...................................... 8,189,388 426,655 (587,960) 8,028,083 393,898 (956,063) 7,465,918

Class MZ Income ............................................. 4,129 384,901 (167,915) 221,115 406,784 (485,110) 142,789



Share Class

Subscriptions

EUR ‘000

Redemptions

EUR ‘000

Subscriptions

EUR ‘000

Redemptions

EUR ‘000

Class A .............................................................. 1,210 (481) 1,475 (526)

Class B .............................................................. 288,449 (199,734) 42,438 (179,028)

Class DH-B ....................................................... 10,528 (6,082) 11,005 (3,903)

Class GBPH I Income ...................................... 5,754 (7,601) 5,576 (13,606)

Class MZ Income ............................................. 5,000 (2,155) 5,188 (6,226)



31 March 2016






Share Class

Beginning

of year

Shares

Issued

Shares

Redeemed

End

of year

Shares

Issued

Shares

Redeemed

End

of year

Class A .............................................................. 65,763 77,711 (66,272) 77,202 21,937 (36,131) 63,008

Class B Income ................................................. 107,885 16,476 (119,644) 4,717 719 (4,192) 1,244

Class C .............................................................. 1 1 - 2 19 - 21

Class U .............................................................. 1 3 - 4 899 - 903

Class USD-H .................................................... 24,512 12,683 (6,993) 30,202 3,587 (25,228) 8,561

Class USD-H Income - - - - 35,035 - 35,035



Share Class

Subscriptions

USD ‘000

Redemptions

USD ‘000

Subscriptions

USD ‘000

Redemptions

USD ‘000

Class A .............................................................. 102,179 (88,096) 29,724 (45,974)

Class B Income ................................................. 21,908 (161,289) 993 (5,752)

Class C .............................................................. 2 - 31 -

Class U .............................................................. 4 - 1,455 -

Class USD-H .................................................... 15,198 (8,995) 4,622 (32,795)

Class USD-H Income - - 34,837 -




Share Class

Beginning

of year

Shares

Issued

Shares

Redeemed

End

of year

Shares

Issued

Shares

Redeemed

End

of year

Class A .............................................................. 2,456 282 (491) 2,247 2,843 (1,688) 3,402

Class B .............................................................. 256,169 72,391 (50,345) 278,215 109,091 (35,498) 351,808

Class F .............................................................. 19,586 11,764 (9,560) 21,790 4,100 (5,459) 20,431

Class I ............................................................... 24,887 1,409 (1,644) 24,652 3,116 (1,760) 26,008

Class L .............................................................. - 1,088 (499) 589 - (169) 420

Class PAMEU .................................................. 241,810 121,770 (26,447) 337,133 78,865 (263,379) 152,619

Class R Roll-Up ................................................ 378,980 35,942 (56,072) 358,850 60,294 (17,568) 401,576



Share Class

Subscriptions

EUR ‘000

Redemptions

EUR ‘000

Subscriptions

EUR ‘000

Redemptions

EUR ‘000

Class A .............................................................. 333 (547) 3,314 (1,925)

Class B .............................................................. 87,770 (60,960) 145,498 (47,283)

Class F .............................................................. 19,314 (16,830) 7,204 (10,151)

Class I ............................................................... 36 (41) 89 (48)

Class L .............................................................. 1,370 (676) - (253)

Class PAMEU .................................................. 1,967 (434) 1,545 (4,404)

Class R Roll-Up ................................................ 4,444 (7,753) 7,928 (2,337)



31 March 2016






Share Class

Beginning

of year

Shares

Issued

Shares

Redeemed

End

of year

Shares

Issued

Shares

Redeemed

End

of year

Class B .............................................................. 601,847 41,633 (214,136) 429,344 42,674 (122,007) 350,011

Class I Income .................................................. 122,614 20,243 (13,529) 129,328 16,865 (17,471) 128,722

Class P Income ................................................. 124,333 17,454 (16,311) 125,476 17,528 (22,418) 120,586

Class R .............................................................. 50,940 4,869 (21,170) 34,639 2,017 (6,849) 29,807



Share Class

Subscriptions

GBP ‘000

Redemptions

GBP ‘000

Subscriptions

GBP ‘000

Redemptions

GBP ‘000

Class B .............................................................. 6,413 (34,485) 6,820 (20,152)

Class I Income .................................................. 2,448 (1,690) 2,047 (2,189)

Class P Income ................................................. 2,204 (2,091) 2,246 (2,912)

Class R .............................................................. 668 (2,883) 279 (982)

Russell U.S. Growth Fund Number of Shares in issue

Year ended 31 March 2015

Share Class

Beginning

of year

Shares

Issued

Shares

Redeemed

End

of year

Class A Income ................................................. 1,800 - (1,800) -

Class B .............................................................. 757,425 44,523 (801,948) -

Class C .............................................................. 4 - (4) -

Class I ............................................................... 19,370 431 (19,801) -

Class I Income .................................................. 89,889 6,165 (96,054) -



Share Class

Subscriptions

USD ‘000

Redemptions

USD ‘000

Class A Income ................................................. - (28)

Class B .............................................................. 754 (14,024)

Class C .............................................................. - (9)

Class I ............................................................... 10 (462)

Class I Income .................................................. 147 (2,248)




Share Class

Beginning

of year

Shares

Issued

Shares

Redeemed

End

of year

Shares

Issued

Shares

Redeemed

End

of year

Class B .............................................................. 4,294,926 3,520,161 (1,142,802) 6,672,285 5,216,857 (3,145,574) 8,743,568

Class C .............................................................. 2 - (1) 1 4,668 - 4,669

Class I ............................................................... 1,751,697 135,846 (147,093) 1,740,450 90,430 (286,121) 1,544,759

Class P Income ................................................. 454,513 72,284 (128,852) 397,945 58,661 (108,217) 348,389

Class R1 Roll-Up .............................................. - - - - 1,078,996 - 1,078,996



31 March 2016





Share Class

Subscriptions

USD ‘000

Redemptions

USD ‘000

Subscriptions

USD ‘000

Redemptions

USD ‘000

Class B .............................................................. 73,877 (23,578) 110,431 (66,822)

Class C .............................................................. - (2) 7,819 -

Class I ............................................................... 3,673 (4,269) 2,549 (8,438)

Class P Income ................................................. 2,500 (4,416) 2,089 (3,860)

Class R1 Roll-Up - - 10,790 -




Share Class

Beginning

of year

Shares

Issued

Shares

Redeemed

End

of year

Class A Income ................................................. 35,590 - (35,590) -

Class B .............................................................. 1,209,878 29,099 (1,238,977) -

Class C .............................................................. 57 17 (74) -

Class I ............................................................... 19,021 537 (19,558) -

Class I Income .................................................. 83,342 2,983 (86,325) -



Share Class

Subscriptions

USD ‘000

Redemptions

USD ‘000

Class A Income ................................................. - (644)

Class B .............................................................. 602 (25,636)

Class C .............................................................. 41 (171)

Class I ............................................................... 15 (547)

Class I Income .................................................. 81 (2,294)

Russell World Equity Fund Number of Shares in issue


Share Class

Beginning

of year

Shares

Issued

Shares

Redeemed

End

of year

Shares

Issued

Shares

Redeemed

End

of year

Class B .............................................................. 33,917,626 13,048,368 (16,025,172) 30,940,822 7,508,311 (15,663,772) 22,785,361

Class C .............................................................. 6,634,385 9,247 (5,481,335) 1,162,297 12,794 (1,780) 1,173,311

Class D .............................................................. 2,687,003 22,342 (393,054) 2,316,291 19,615 (36,056) 2,299,850

Class EH-T ....................................................... 9,728,053 243,036 (910,718) 9,060,371 147,845 (884,029) 8,324,187

Class H Income ................................................. - 13,426,620 (296,079) 13,130,541 - (13,130,541) -

Class I ............................................................... 27,424,767 75,172 (5,628,937) 21,871,002 145,718 (5,095,248) 16,921,472

Class I Income .................................................. 12,945,526 44,616 (12,990,142) - - - -

Class J ............................................................... 59,299 5,085 - 64,384 9,400 - 73,784

Class N .............................................................. 20,921 1,911 (5,032) 17,800 1,514 (2,165) 17,149

Class R .............................................................. 362,296 270,557 (43,380) 589,473 108,707 (53,963) 644,217

Class SH-B ....................................................... 1,399,454 2,207 (982,931) 418,730 951 (202,988) 216,693

Class SH-B Income .......................................... 1,272,035 2,622 (14,098) 1,260,559 - (1,260,559) -

Class TYA ........................................................ 1,948,084 1,000 (5,314) 1,943,770 - (584,614) 1,359,156

Class TYC ........................................................ 7,683,062 - (4,851,413) 2,831,649 - - 2,831,649

Class TYHC ...................................................... 5,025,844 184,700 (4,315,569) 894,975 - (894,975) -

Class USD-H .................................................... 143,361 45,855 (57,352) 131,864 36,423 (152,276) 16,011

Class USD-H Income ....................................... - - - - 131,558 (4,815) 126,743



31 March 2016





Share Class

Subscriptions

USD ‘000

Redemptions

USD ‘000

Subscriptions

USD ‘000

Redemptions

USD ‘000

Class B .............................................................. 283,668 (350,912) 167,635 (350,220)

Class C .............................................................. 228 (134,215) 325 (45)

Class D .............................................................. 748 (13,117) 678 (1,219)

Class EH-T ....................................................... 4,110 (16,005) 2,328 (14,654)

Class H Income ................................................. 225,406 (4,982) - (232,431)

Class I ............................................................... 2,960 (218,990) 5,745 (205,493)

Class I Income .................................................. 735 (225,406) - -

Class J ............................................................... 102 - 184 -

Class N .............................................................. 288 (781) 229 (322)

Class R .............................................................. 48,789 (7,916) 19,867 (9,945)

Class SH-B ........................................................ 548 (241,958) 222 (47,462)

Class SH-B Income .......................................... 444 (2,531) - (232,247)

Class TYA ........................................................ 13 (73) - (8,448)

Class TYC ........................................................ - (81,904) - -

Class TYHC ...................................................... 2,291 (54,443) - (11,025)

Class USD-H .................................................... 65,277 (82,409) 56,162 (228,969)

Class USD-H Income ....................................... - - 131,112 (4,600)

All share classes are Accumulation Class Shares unless otherwise indicated in the name of the share class.

c) Swing Pricing/Dilution Adjustments

Swing pricing (also known as dilution adjustment) is applied to a Fund once net subscriptions or redemptions for a Fund for a

given dealing day is determined by the Administrator to exceed certain predetermined percentage thresholds relating to a

Fund’s net asset value. In calculating the swing pricing, the net asset value of a Fund is swung by a “swing factor”.

The swing factors applied during the year under review and year ended 31 March 2015 ranged from 0.00% to 0.65% on

subscriptions and from 0.00% to 0.45% on redemptions.

d) Significant Shareholders

Parties are considered to be related if one party has the ability to control the other party or is able to exercise significant

influence over the other party, in making financial or operational decisions. The following table details the number of

shareholders with significant holdings of at least 20 per cent of the relevant Fund’s and the aggregate value and percentage of

that holding as at 31 March 2016.

Fund

Number of

Significant

Shareholders

Value of Holding

‘000

Aggregate

Shareholding

as a % of the Fund

Russell Emerging Markets Debt Local Currency Fund .............................. 2 USD 297,570 68.28%

Russell Emerging Markets Extended Opportunities Fund ......................... 3 USD 640,885 92.10%

Russell Global Bond (Euro Hedged) Fund ................................................. 1 EUR 83,379 20.33%

Russell Global Defensive Equity Fund ....................................................... 2 USD 70,242 52.48%

Russell Pan European Equity Fund ............................................................ 1 EUR 119,182 22.81%

Russell U.K. Equity Plus Fund ................................................................... 1 GBP 19,117 21.03%

The following table details the number of shareholders with significant holdings of at least 20 per cent of the relevant Fund’s

and the aggregate value and percentage of that holding as at 31 March 2015.

Fund

Number of

Significant

Shareholders

Value of Holding

‘000

Aggregate

Shareholding

as a % of the Fund

Russell Emerging Markets Debt Local Currency Fund .............................. 1 USD 159,461 41.74%

Russell Emerging Markets Extended Opportunities Fund ......................... 2 USD 635,791 75.17%

Russell Euro Fixed Income Fund ................................................................ 1 EUR 58,210 23.85%

Russell Global Bond (Euro Hedged) Fund ................................................. 1 EUR 173,863 30.75%

Russell Global Defensive Equity Fund ....................................................... 1 USD 35,434 23.52%

Russell Pan European Equity Fund ............................................................ 1 EUR 114,399 23.28%



31 March 2016


11. Efficient Portfolio Management

The Company may enter into securities lending arrangements and repurchase agreements (together “Efficient Portfolio

Management Techniques”) and may invest in OTC FDIs, subject to the restrictions set forth the Prospectus and to the extent

consistent with the Fund’s investment objective and policies.

The use of techniques and instruments relating to transferable securities, money market instruments and/or other financial

instruments in which the Funds invest for efficient portfolio management purposes will generally be made for one or more of

the following reasons:

i) the reduction of risk;

ii) the reduction of cost; or

iii) the generation of additional capital or income for the relevant Fund with an appropriate level of risk, taking into account

the risk profile of the Fund and the risk diversification rules set out in the UCITS Regulations issued by the Central

Bank.

All the revenues arising from Efficient Portfolio Management Techniques employed shall be returned to the relevant Fund

following the deduction of any direct and indirect operational costs and fees arising. Such direct and indirect operational

costs and fees, (which are all fully transparent) which shall not include hidden revenue, shall include fees and expenses

payable to repurchase/reverse repurchase agreements counterparties and/or securities lending agents engaged by the

Company from time to time. Such fees and expenses of any repurchase/reverse repurchase agreements counterparties and/or

stocklending agents engaged by the Company, which will be at normal commercial rates together with VAT, if any, thereon,

will be borne by the Company or the Fund in respect of which the relevant party has been engaged.

Money Manager(s) on behalf of a Fund may employ techniques and instruments relating to transferable securities, money

market instruments and/or other financial instruments in which they invest for efficient portfolio management purposes. At

any time a Fund may hold a combination of derivative instruments such as futures, forward contracts, options, swaps and

swaptions, forward foreign exchange contracts, caps, floors and credit derivatives, any of which may be listed or over-the-

counter. Please refer to Note 2 b) Financial Instruments at Fair Value through Profit or Loss for a range of FDIs that the

Company may employ for the purpose of efficient portfolio management.

12. Financial Risks

The activities of each Fund expose it to various financial risks such as market risk (including market price risk, interest rate

risk, and currency risk), credit risk and liquidity risk.

Some Funds delegate some of the management of its portfolio to external Money Managers. The Adviser primarily monitors

and manages market risk (including market price risk, interest rate risk, and currency risk), credit risk and liquidity risk by

the following techniques:

The Adviser monitors each Fund’s characteristics in detail with the Money Manager(s) at least quarterly and in some

cases monthly.

The Adviser also reviews the portfolio characteristics of each Fund in its entirety.

This review may include as appropriate a review of country allocations, country weights, capitalisation, distribution,

industry sector weights, price/book levels, currency exposure, portfolio maturity, portfolio duration, sector exposure and

quality exposure and other key risk measures.

In addition to monitoring investment activity and exposure at the point of execution by a Money Manager, the Adviser

also receives daily exposure reporting from the Administrator and Money Managers, with which they can review various

event exposures on the Funds.

The Adviser also oversees and monitors the overall level of risk in a Fund.



31 March 2016


12. Financial Risks - continued

a) Global Exposure

The Funds will use advanced risk measurement methodology, namely Value at Risk (“VaR”) as a risk measurement

technique, in addition to other techniques, to measure, monitor and manage market risk. The absolute or relative VaR

approach is executed in accordance with the CESR (Committee of European Securities Regulators) 10/788 guidelines. VaR

quantifies the estimate of the maximum potential loss due to market risk at a given confidence level over a specified time

period under the prevailing market conditions.

VaR is a model-based estimate. As with any model-derived figure, it is subject to imprecision due to such factors as data and

measurement errors and model risk. The calculation of VaR is based on daily unaudited accounting book of record position

data. In addition, VaR assumes that future asset return distributions and correlations remain stable and consistent with the

prevailing market conditions. The Funds utilise additional measures such as stress testing analysis and exposure

measurement to provide a holistic view to the Funds’ market risk that includes tail risk and derivative exposure

quantification. Furthermore, accuracy of the VaR models is regularly checked via out-of-time/out-of-sample back testing.

VaR is calculated with Monte Carlo simulations approach (1000 paths) using granular market risk models. The approach

estimates VaR by simulating random scenarios for each relevant pricing inputs (e.g., specific equity, commodity prices,

foreign exchange and interest rates, implied volatility, etc.) used in valuing securities held in the portfolio and revaluing the

positions for each of the paths generated for pricing inputs. For Funds using the absolute VaR approach, the VaR of the Fund

shall not exceed 3.16 per cent of the Net Asset Value of the Fund, based on a 1 day holding period and a “one-tailed” 95 per

cent confidence interval using observation period of at least 1 year. For Funds using the relative VaR approach, the VaR of

the Fund shall not exceed twice that of the VaR of the reference portfolio based on a 1 day holding period and a “one-tailed”

95 per cent confidence interval using historical observation period of at least 1 year. A Fund VaR of 1 per cent means that

there is a 5 per cent chance that the Fund will lose more than 1 per cent of its value over any given day, assuming that the

prevailing market conditions continue into the future.

The below table details the VaR expressed as a percentage of the NAV at year end 31 March 2016 and year end 31 March

2015, VaR approach for each Fund and for those Funds utilising the relative VaR methodology, the reference portfolio is also

listed.

Global Exposure Calculation Methodology and VaR as at the year end

Fund Name Approach Reference Portfolio

VaR as at

31 March 2016

VaR as at

31 March 2015

Russell Emerging Market Debt Local Currency Fund ................................... Absolute N/A 1.3% 1.3%

Russell Emerging Markets Extended Opportunities Fund ............................. Relative Russell Emerging Markets Index Net 2.0% 1.0%

Russell Euro Fixed Income Fund ................................................................... Absolute N/A 0.8% 0.7%

Russell Global Bond (Euro Hedged) Fund .................................................... Absolute N/A 0.5% 0.4%

Russell Global Defensive Equity Fund .......................................................... Relative Russell Global Defensive Index 1.2% 1.1%

Russell Pan European Equity

Fund ................................................................................................................ Relative

Russell Developed Europe Large Cap Net

Index 2.6% 1.5%

Russell U.K. Equity Plus Fund ....................................................................... Relative FTSE All-Share Total Return Index 1.9% 1.3%

Russell U.S. Quant Fund ................................................................................ Relative Russell 1000 Net 30% Index 1.8% 1.4%

Russell World Equity Fund ............................................................................ Relative Russell Developed Large Cap Net Index 1.5% 1.2%

VaR utilisation measures the Fund’s VaR relative to the Fund’s VaR limit. The below table details the minimum, maximum

and average daily VaR utilisation that occurred during the one year period ending 31 March 2016 and one year period ending

31 March 2015.



31 March 2016



Daily VaR Utilisation*

31 March 2016 31 March 2015

Fund Name Minimum Maximum Average Minimum Maximum Average

Russell Emerging Market Debt Local Currency Fund .................................. 28.4% 47.3% 36.3% 19.7% 41.7% 29.6%

Russell Emerging Markets Extended Opportunities Fund ............................ <0% 11.2% 0.6% <0% 7.7% <0%

Russell Euro Fixed Income Fund ................................................................... 16.8% 32.7% 23.1% 7.0% 21.0% 13.8%

Russell Global Bond (Euro Hedged) Fund .................................................... 9.6% 18.2% 14.6% 5.2% 13.7% 8.7%

Russell Global Defensive Equity Fund .......................................................... <0% 12.7% 2.2% <0% 9.8% <0%

Russell Pan European Equity Fund ................................................................ <0% 12.7% 4.0% <0% 17.5% 2.6%

Russell U.K. Equity Plus Fund ...................................................................... <0% 9.1% 1.6% <0% 17.9% 5.7%

Russell U.S. Growth Fund .............................................................................. - - - <0% 15.1% <0%

Russell U.S. Quant Fund ................................................................................ 1.9% 16.5% 9.1% <0% 8.8% 2.6%

Russell U.S. Value Fund ................................................................................ - - - <0% 14.2% <0%

Russell World Equity Fund ............................................................................ <0% 13.3% 2.3% <0% 13.2% 4.8%

* Absolute VaR Limit Utilisation = VaR (95% CI, 1 day) / 3.16%

Relative VaR Limit Utilisation = [Fund VaR / Benchmark VaR] - 1

Utilisation >100% equates to breaking the limit

The Daily VaR Utilisation calculation excludes VaR values occurring during Fund opening or closing due to accounting and timing issues.

The below table details the Fund’s VaR relative to the Fund’s VaR limit at the year end 31 March 2016 and 31 March 2015.

VaR Utilisation

Year ended

31 March 2016

Year ended

31 March 2015

Fund Name Level Level

Russell Emerging Market Debt Local Currency Fund .................................. 40% 39%

Russell Emerging Markets Extended Opportunities Fund ............................ 9% <0%

Russell Euro Fixed Income Fund ................................................................... 24% 20%

Russell Global Bond (Euro Hedged) Fund .................................................... 15% 12%

Russell Global Defensive Equity Fund .......................................................... <0% 1%

Russell Pan European Equity Fund ................................................................ 11% 5%

Russell U.K. Equity Plus Fund ...................................................................... <0% <0%

Russell U.S. Quant Fund ................................................................................ 14% 3%

Russell World Equity Fund ............................................................................ 10% 4%

The average level of leverage figures provided below are calculated as the sum of the absolute value of notionals of the

derivatives used as is required by the UCITS Regulations. This figure does not take into account any netting and hedging

arrangements that the Funds may have in place at any time even though these netting and hedging arrangements are used for

risk reduction purposes. As these netting and hedging arrangements, if taken into account, may reduce the level of leverage,

this calculation may not provide an accurate measure of the Funds’ actual leverage position. Below is the daily average level

of leverage for each Fund during the one year period ending 31 March 2016 and 31 March 2015.

Level of Leverage*

Fund Name

Year ended

31 March 2016

Year ended

31 March 2015

Russell Emerging Market Debt Local Currency Fund .................................. 92.8% 70.8%

Russell Emerging Markets Extended Opportunities Fund ............................ 11.9% 14.8%

Russell Euro Fixed Income Fund ................................................................... 95.3% 82.8%

Russell Global Bond (Euro Hedged) Fund .................................................... 224.7% 214.8%

Russell Global Defensive Equity Fund .......................................................... 27.9% 23.3%

Russell Pan European Equity Fund ................................................................ 6.4% 6.6%

Russell U.K. Equity Plus Fund ...................................................................... 4.9% 5.6%

Russell U.S. Growth Fund .............................................................................. - 9.1%

Russell U.S. Quant Fund ................................................................................ 3.9% 4.0%

Russell U.S. Value Fund ................................................................................ - 5.9%

Russell World Equity Fund ............................................................................ 39.2% 40.4%

* The Daily Average Leverage calculation excludes distorted daily leverage values occurring during Fund opening or closing due to accounting and timing

issues.



31 March 2016



b) Market Price Risk

Market price risk is defined in FRS 102 as the risk that the fair value of a financial instrument or its future cash flows will

fluctuate because of changes in market prices other than those caused by interest rate risk or currency risk.

All investments present a risk of loss of capital. The Funds’ investments are susceptible to market risk arising from

uncertainties about future prices of the instruments. Except for derivatives, maximum risk resulting from financial

instruments is determined by fair value of the financial instruments. Possible losses from certain derivatives can be unlimited.

The Adviser moderates this risk by diversifying the management of its assets by allocating them between one or more Money

Managers. The Funds’ Money Manager monitors its portfolio holdings on a daily basis.

i) Fair valuation hierarchy

FRS 102 Section 11.27 on “Fair Value: Disclosure” requires the Company to classify fair value measurements using a

fair value hierarchy that reflects the significance of the inputs used in making the measurements. On 8 March 2016, the

Financial Reporting Council (FRC) issued Amendments to FRS 102 - Fair value hierarchy disclosures. The amendment

is effective for accounting periods commencing 1 January 2017, however, the Board of Directors have agreed to early

adopt this amendment in preparing these financial statements for the year ended 31 March 2016.

The fair value hierarchy of inputs is summarised in the three broad levels listed below.

Level 1: Quoted prices (unadjusted) in active markets for identical assets or liabilities.

Level 2: Inputs other than quoted prices included within Level 1 that are observable for the asset or liability, either

directly (that is, as prices) or indirectly (that is, derived from prices).

Level 3: Inputs for the asset or liability that are not based on observable market data (that is, unobservable inputs).

The level in the fair value hierarchy within which the fair value measurement is categorised in its entirety is determined

on the basis of the lowest level input that is significant to the fair value measurement in its entirety. For this purpose, the

significance of an input is assessed against the fair value measurement in its entirety. If a fair value measurement uses

observable inputs that require significant adjustment based on unobservable inputs, that measurement is a Level 3

measurement. Assessing the significance of a particular input to the fair value measurement in its entirety requires

judgement, considering factors specific to the asset or liability.

The determination of what constitutes ‘observable’ requires significant judgement by the Directors. The Directors

consider observable data to be that market data that is readily available, regularly distributed or updated, reliable and

verifiable, not proprietary, and provided by independent sources that are actively involved in the relevant market.

Investments whose values are based on quoted market prices in active markets, and therefore classified within Level 1,

include active listed equities and exchange traded derivatives. The Funds do not adjust the quoted price for these

instruments.

Financial instruments that trade in markets that are not considered to be active but are valued based on quoted market

prices, dealer quotations or alternative pricing sources supported by observable inputs are classified within Level 2.

These include stale priced listed equities, unlisted equities, bonds, investment funds and OTC FDIs.

Investments classified within Level 3 have significant unobservable inputs, as they trade infrequently. Level 3 securities

are securities that may be priced by a single pricing vendor or may have prolonged stale prices or may have no valid

market information (indications or comparable security types) available.

Please refer to the base of each Fund’s Schedule of Investments for analysis, within the fair value hierarchy, of each

Fund’s financial assets and liabilities (by investment type) measured at fair value at 31 March 2016 and 31 March 2015.

c) Interest Rate Risk

The Funds’ interest bearing financial assets and liabilities expose it to risks associated with the effects of fluctuations in the

prevailing level of interest rates. The Funds may employ investment techniques and FDIs in order to hedge against interest

rate risk or gain exposure to the underlying market. In addition, mortgage and asset backed securities are also subject to

prepayment risk, which is the risk that borrowers pay off the debt underlying the mortgage backed/asset backed securities

sooner than anticipated and therefore shorten the average maturity of the Funds.



31 March 2016



The tables below summarise each relevant Fund’s exposure to interest rate risks. It includes each relevant Fund’s assets and

trading liabilities at fair values, categorised by the earlier of contractual re-pricing or maturity dates.

The Funds not mentioned below are mainly investing in non-interest bearing assets or its investments have a very short time

to maturity. As a result, those Funds are not subject to significant amounts of risk due to fluctuations in the prevailing levels

of market interest rates.

As at 31 March 2016

i) Ccy

Up to

1 year

‘000

1 to

5 years

‘000

Over

5 years

‘000

Non-interest

bearing

‘000

Net

Assets

‘000

Russell Emerging Market Debt Local Currency Fund ................................... USD 42,599 124,138 247,480 21,590 435,807

Russell Euro Fixed Income Fund ................................................................... EUR 13,369 78,247 184,927 15,879 292,422

Russell Global Bond (Euro Hedged) Fund ..................................................... EUR 94,825 80,821 225,774 8,779 410,199

As at 31 March 2015

i) Ccy

Up to

1 year

‘000

1 to

5 years

‘000

Over

5 years

‘000

Non-interest

bearing

‘000

Net

Assets

‘000

Russell Emerging Market Debt Local Currency Fund ................................... USD 48,116 111,951 205,976 15,991 382,034

Russell Euro Fixed Income Fund ................................................................... EUR 4,606 57,990 164,933 16,538 244,067

Russell Global Bond (Euro Hedged) Fund ..................................................... EUR 120,284 138,970 279,420 26,735 565,409

d) Currency Risk

The Funds may hold assets and liabilities denominated in currencies other than the functional currency of the Fund. They are

therefore exposed to currency risk, as the value of the securities denominated in other currencies will fluctuate due to changes

in exchange rates. A Fund may use financial instruments to hedge against fluctuations in the relative values of their portfolio

positions in addition to making active currency selections.

No Fund had monetary assets or liabilities with material foreign currency exposures as at 31 March 2016 or 31 March 2015.

e) Credit Risk

The Funds take on credit risk which is the risk that a counterparty or issuer will be unable to pay amounts in full when due.

Impairment provisions are provided for losses that have been incurred by the balance sheet date, if any.

The Funds’ main credit risk concentrations arise from trading equity and debt securities, investment funds and FDIs in

addition to cash balances held at the Custodian and Trustee.

The Funds minimise concentrations of credit risk by undertaking transactions with a large number of counterparties. The

Company’s Prospectus and the UCITS Regulations list various investment restrictions with regard to issuer and counterparty

concentration limits and minimum counterparty credit ratings. Each relevant Fund’s Money Managers conduct periodic

reviews of the counterparties with whom they conduct transactions. The Adviser also monitors each Fund’s counterparty

exposures. In addition, risk exposure to a counterparty may be reduced by collateral provided to the Fund by the counterparty

in accordance with the UCITS Regulations.

The Adviser employs a credit research team that performs robust quantitative and qualitative analysis on banks, insurance

companies, and other counterparties. The credit research analyst assigned to a particular counterparty performs full credit

analysis and writes a credit research report and subsequently sets investment parameters on OTC counterparty ratings and

exposures where appropriate. The credit research team only reviews counterparties for those assets directly managed by

Russell Investments. The individual Money Managers have their own research process for the assets under their

management. Each Fund’s Money Managers monitor each credit position on a daily basis.



31 March 2016



The tables below detail the Schedule of Investments by rating category for all Funds which invest in debt securities.

Russell Emerging Market

Debt Local Currency Fund

Russell Euro Fixed

Income Fund

% of Investments % of Investments % of Investments % of Investments

Portfolio by rating category As at 31 March 2016 As at 31 March 2015 As at 31 March 2016 As at 31 March 2015

Investment Grade .................................................................. 85.71% 94.78% 86.54% 89.08%

Non Investment Grade .......................................................... 13.04% 3.04% 3.95% 2.42%

No Rating .............................................................................. 1.25% 2.18% 9.51% 8.50%

100.00% 100.00% 100.00% 100.00%


% of Investments % of Investments

Portfolio by rating category As at 31 March 2016 As at 31 March 2015

Investment Grade .................................................................. 69.52% 72.97%

Non Investment Grade .......................................................... 13.60% 9.74%

No Rating .............................................................................. 16.88% 17.29%

100.00% 100.00%

Each Fund may enter transactions in OTC markets that expose it to the credit of its counterparties and their ability to satisfy

the terms of such contracts. Where the Funds enter into credit default swaps and other swap arrangements and derivative

techniques, they will be exposed to the risk that the counterparty may default on its obligations to perform under the relevant

contract. In the event of a bankruptcy or insolvency of a counterparty, the Funds could experience delays in liquidating the

position and may incur significant losses. There is also a possibility that ongoing derivative transactions will be terminated

unexpectedly as a result of events outside the control of the Company, for instance, bankruptcy, supervening illegality or a

change in the tax or accounting laws relative to those transactions at the time the agreement was originated.

The names of brokers and counterparties used by each individual Fund can be found at the base of each relevant Fund’s

Schedule of Investments.

Collateral may be pledged by the Funds, generally by way of cash or cash equivalents, and held by the counterparties. Details

of non-cash collateral held at year-end by counterparties are asterisked within the Schedule of Investments of the Funds.

Amounts of cash collateral held at year-end by counterparties are disclosed on the Balance Sheet of the Funds. See Note 3 to

the financial statements for full details of cash collateral pledged to or by the relevant Funds as at 31 March 2016 and 31

March 2015.

All securities, cash at bank balances and bank overdrafts and cash or non-cash collaterals received by the Funds are held by

the Custodian and Trustee through its affiliate, State Street or through a sub-custodian within the State Street custodial

network. All OTC FDIs, investment funds, term deposits margin or other similar investments/monies deposited by or entered

into on behalf of the Company with a counterparty, options exchange, clearing broker or other parties are not held within the

State Street custodial network. The Custodian and Trustee are therefore not liable in any way for the default of any

counterparty.

Bankruptcy or insolvency of the Custodian and Trustee a or a State Street affiliate company may cause the Company’s rights

with respect to cash and securities held by State Street to be delayed or limited and the Company would be treated as a

general creditor of that entity in respect of its cash balances. Periodic monitoring and an annual credit review are performed

on the Custodian and Trustee by the Adviser. This review may include as appropriate an assessment of the Custodian and

Trustee’s liquidity position, income streams, asset quality and credit ratings. The long term credit rating of State Street as of

31 March 2016 was Aa2 (31 March 2015: Aa3), as rated by Moody’s rating agency.

f) Liquidity Risk

The liquidity risks associated with the need to satisfy shareholders’ requests for redemptions are mitigated by maintaining a

pool of cash to satisfy usual levels of demand. Generally, the Funds’ assets comprise publicly traded and securities with

various degree of liquidity. In highly volatile market conditions, the Funds may not easily liquidate assets needed for

redemption or settlement. In such conditions, the Manager may restrict redemptions and borrow monies on a temporary basis

as detailed in the Company’s Prospectus.



31 March 2016



As at 31 March 2016 and 31 March 2015, with the exception of the Funds mentioned below, the Funds’ liabilities, including

net assets attributable to redeemable participating shareholders, were payable within three months. As at 31 March 2016

Russell Emerging Market Debt Local Currency Fund, Russell Global Bond (Euro Hedged) Fund and Russell Euro Fixed

Income Fund had financial liabilities at fair value through profit and loss with maturity dates greater than three months. As at

31 March 2015, Russell Emerging Markets Extended Opportunities Fund, Russell Global Bond (Euro Hedged) Fund and

Russell Euro Fixed Income Fund also had financial liabilities at fair value through profit and loss with maturity dates greater

than three months, however the total value of such liabilities amounted to less than 1 per cent of the respective Fund’s net

asset value as of the respective balance sheet dates.

The tables below analyse each Fund’s FDIs that will be settled on a gross basis into relevant maturity groupings based on the

remaining period at the Balance Sheet to the contractual maturity date.



Currency

Less than

3 months

USD ‘000

3 months to

1 year

USD ‘000

1 year to

5 years

USD ‘000

Inflows ............................................................. USD 290,763 8,833 40,599

Outflows .......................................................... USD 290,338 8,267 41,043


Currency

Less than

3 months

USD ‘000

Inflows ............................................................. USD 21,562

Outflows .......................................................... USD 21,249


Currency

Less than

3 months

EUR ‘000

3 months

to 1 year

EUR ‘000

Inflows ............................................................. EUR 273,486 855

Outflows .......................................................... EUR 274,987 873


Currency

Less than

3 months

EUR ‘000

3 months to

1 year

EUR ‘000

1 year to

5 years

EUR ‘000

Inflows ............................................................. EUR 821,912 15,320 1,042

Outflows .......................................................... EUR 819,000 15,340 1,069


Currency

Less than

3 months

EUR ‘000

Inflows ............................................................. EUR 18,404

Outflows .......................................................... EUR 18,529


Currency

Less than

3 months

USD ‘000

Inflows ............................................................. USD 31,951

Outflows .......................................................... USD 32,797



31 March 2016




Currency

Less than

3 months

USD ‘000

Inflows ............................................................. USD 412,476

Outflows .......................................................... USD 411,386

Year ended 31 March 2015 Russell Emerging Market Debt Local Currency Fund

Currency

Less than

3 months

USD ‘000

3 months to

1 year

USD ‘000

Inflows ............................................................. USD 204,373 1,580

Outflows .......................................................... USD 203,145 1,702


Currency

Less than

3 months

USD ‘000

Inflows ............................................................. USD 50,121

Outflows .......................................................... USD 49,723


Currency

Less than

3 months

EUR ‘000

Inflows ............................................................. EUR 159,629

Outflows .......................................................... EUR 159,375


Currency

Less than

3 months

EUR ‘000

3 months to

1 year

EUR ‘000

Inflows ............................................................. EUR 977,491 22,690

Outflows .......................................................... EUR 988,102 21,637


Currency

Less than

3 months

EUR ‘000

Inflows ............................................................. EUR 22,609

Outflows .......................................................... EUR 22,597


Currency

Less than

3 months

USD ‘000

Inflows ............................................................. USD 33,936

Outflows .......................................................... USD 33,352


Currency

Less than

3 months

USD ‘000

Inflows ............................................................. USD 639,042

Outflows .......................................................... USD 651,012



31 March 2016


13. Exchange Rates

Where applicable, the Administrator used the exchange rates listed below to translate foreign currency amounts, market value

of investments and other assets and liabilities into Euro at the following rates for each EUR 1.

31 March 2016 31 March 2016 31 March 2016

Australian Dollar AUD 1.4814 Japanese Yen JPY 128.0798 Russian Rouble RUB 76.1903

Botswana Pula BWP 12.3529 Kenyan Shilling KES 115.5504 Serbian Dinar RSD 122.7410

Brazil Real BRL 4.0386 Kuwaiti Dollar KWD 0.3444 Singapore Dollar SGD 1.5345

British Pound GBP 0.7928 Lithuania Litas LTL 3.4528 South African Rand ZAR 16.7605

Canadian Dollar CAD 1.4740 Malaysian Ringgit MYR 4.4460 South Korean Won KRW 1,303.1899

Chilean Peso CLP 762.1997 Mauritian Rupee MUR 40.1464 Swedish Krona SEK 9.2380

Chinese Yuan Renminbi CNY 7.3702 Mexican Peso MXN 19.5293 Swiss Franc CHF 1.0913

Colombian Peso COP 3,422.3778 Moroccan Dirham MAD 10.9744 Taiwan Dollar TWD 36.6753

Czech Republic Koruna CZK 27.0485 New Romanian Leu RON 4.4693 Thai Baht THB 40.0894

Danish Krone DKK 7.4503 New Zealand Dollar NZD 1.6413 Tunisian Dinar TND 2.2944

Egyptian Pound EGP 10.1192 Nigerian Naira NGN 226.7933 Turkish Lira TRY 3.2086

Hong Kong Dollar HKD 8.8390 Norwegian Krone NOK 9.4255 UAE Dirham AED 4.1856

Hungarian Forint HUF 314.1802 Pakistan Rupee PKR 119.3451 Uruguayan Peso UYU 36.3232

Iceland Krona ISK 140.3983 Peruvian Nouveau Sol PEN 3.7943 U.S. Dollar USD 1.1396

Indian Rupee INR 75.4639 Philippine Peso PHP 52.4706 Vietnam Dong VND 25,403.9991

Indonesian Rupiah IDR 15,110.4395 Polish Zloty PLN 4.2413 Yuan Renminbi Offshore CNH 7.3591

Israeli Shekel ILS 4.2841 Qatari Rial QAR 4.1496

31 March 2015 31 March 2015 31 March 2015

Argentine Peso ARS 9.4715 Indonesian Rupiah IDR 14,042.5454 Polish Zloty PLN 4.0721

Australian Dollar AUD 1.4059 Israeli Shekel ILS 4.2710 Qatari Rial QAR 3.9107

Brazil Real BRL 3.4326 Japanese Yen JPY 128.7994 Russian Rouble RUB 62.4286

British Pound GBP 0.7235 Kenyan Shilling KES 99.2376 Singapore Dollar SGD 1.4732

Canadian Dollar CAD 1.3602 Kuwaiti Dollar KWD 0.3230 South African Rand ZAR 13.0128

Chilean Peso CLP 669.5314 Malaysian Ringgit MYR 3.9776 South Korean Won KRW 1,191.5489

Chinese Yuan Renminbi CNY 6.6584 Mexican Peso MXN 16.3616 Sri Lankan Rupee LKR 143.0299

Colombian Peso COP 2,789.9557 Moroccan Dirham MAD 10.6993 Swedish Krona SEK 9.2622

Czech Republic Koruna CZK 27.5560 New Romanian Leu RON 4.4142 Swiss Franc CHF 1.0432

Danish Krone DKK 7.4707 New Zealand Dollar NZD 1.4322 Taiwan Dollar TWD 33.6054

Egyptian Pound EGP 8.1947 Nigerian Naira NGN 213.7796 Thai Baht THB 34.9479

Hong Kong Dollar HKD 8.3268 Norwegian Krone NOK 8.6555 Turkish Lira TRY 2.7886

Hungarian Forint HUF 299.8499 Pakistan Rupee PKR 109.4889 UAE Dirham AED 3.9447

Iceland Krona ISK 147.3528 Peruvian Nouveau Sol PEN 3.3278 U.S. Dollar USD 1.0740

Indian Rupee INR 67.2122 Philippine Peso PHP 48.0078

The Administrator used the average exchange rates for each reporting period as listed below to translate into Euro the Profit

and Loss Account and Statement of Changes in Net Assets Attributable to Redeemable Participating Shareholders of those

Funds not prepared in Euro in preparing the Company’s Combined Profit and Loss Account and the Combined Statement of

Changes in Net Assets Attributable to Redeemable Participating Shareholders at the following rates for each EUR 1.


British Pound GBP 0.7340 British Pound GBP 0.7833

U.S. Dollar USD 1.1002 U.S. Dollar USD 1.2654

14. Comparative Dealing Net Assets


Class B Euro

EUR ‘000

Class I AUD

Income

AUD ‘000

Class I Sterling

GBP ‘000

Class I Sterling

Income

GBP ‘000

Class I USD

USD ‘000

Class U Euro

EUR ‘000

Total net asset value

31 March 2016 ................................................ 124,280 108,952 111,471 17,438 25,091 1

31 March 2015 ................................................ 54,853 110,784 115,295 16,653 42,609 1

31 March 2014 ................................................ 14,634 66,298 108,377 - 72 1

Class B Euro

EUR

Class I AUD

Income

AUD

Class I Sterling

GBP

Class I Sterling

Income

GBP

Class I USD

USD

Class U Euro

EUR

Net asset value per share

31 March 2016 ................................................ 875.01 891.93 889.59 967.45 793.91 864.71

31 March 2015 ................................................ 958.78 961.17 884.00 1,001.97 814.72 950.96

31 March 2014 ................................................ 858.26 946.12 897.30 - 928.54 853.57



31 March 2016


14. Comparative Dealing Net Assets - continued


Class A

USD ‘000


31 March 2016 ................................................ 695,844

31 March 2015 ................................................ 845,804

31 March 2014 ................................................ 925,855

Class A

USD


31 March 2016 ................................................ 860.18

31 March 2015 ................................................ 976.69

31 March 2014 ................................................ 1,036.57


Class B

EUR ‘000 Class F

EUR ‘000

Class GBPH I

Income

GBP ‘000

Class I

GBP ‘000


31 March 2016 ................................................ 143,745 388 112,737 753

31 March 2015 ................................................ 115,974 167 86,066 624

31 March 2014 ................................................ 106,162 140 82,499 628

Class B

EUR Class F

EUR

Class GBPH I

Income

GBP

Class I

GBP


31 March 2016 ................................................ 1,815.09 1,567.36 11.12 23.45

31 March 2015 ................................................ 1,829.88 1,592.90 11.31 21.53

31 March 2014 ................................................ 1,639.48 1,438.55 10.27 22.00

Class P Income

GBP ‘000

Class S

EUR ‘000


31 March 2016 ................................................ 947 3,952

31 March 2015 ................................................ 1,175 6,478

31 March 2014 ................................................ 1,584 4,205

Class P Income

GBP

Class S

EUR


31 March 2016 ................................................ 11.72 141.80

31 March 2015 ................................................ 10.94 143.28

31 March 2014 ................................................ 11.39 128.65


Class A

EUR ‘000

Class B

EUR ‘000

Class DH-B

USD ‘000

Class GBPH I

Income

GBP ‘000

Class MZ

Income

EUR ‘000


31 March 2016 ................................................ 4,259 253,016 59,030 78,719 1,836

31 March 2015 ................................................ 3,326 393,557 50,683 85,689 2,895

31 March 2014 ................................................ 2,404 281,272 42,145 82,493 53

Class A

EUR

Class B

EUR

Class DH-B

USD

Class GBPH I

Income

GBP

Class MZ

Income

EUR


31 March 2016 ................................................ 1,837.53 2,013.27 16.79 10.54 12.86

31 March 2015 ................................................ 1,852.19 2,017.23 16.69 10.67 13.09

31 March 2014 ................................................ 1,731.15 1,874.19 15.49 10.07 12.80



31 March 2016


14. Comparative Dealing Net Assets - continued Russell Global Defensive Equity Fund

Class A

USD ‘000

Class B Income

AUD ‘000 Class C

EUR ‘000 Class U

EUR ‘000 Class USD-H

USD ‘000

Class USD-H

Income

USD ‘000


31 March 2016 ................................................ 84,446 2,181 30 1,299 11,208 34,990

31 March 2015 ................................................ 104,017 8,455 3 6 40,170 -

31 March 2014 ................................................ 83,249 151,199 1 1 28,652 -

Class A

USD

Class B Income

AUD Class C

EUR Class U

EUR Class USD-H

USD

Class USD-H

Income

USD


31 March 2016 ................................................ 1,340.23 1,753.09 1,406.57 1,438.80 1,309.22 998.73

31 March 2015 ................................................ 1,347.33 1,792.47 1,525.72 1,548.08 1,330.04 -

31 March 2014 ................................................ 1,265.90 1,401.49 1,134.70 1,144.34 1,168.90 -


Class A

EUR ‘000

Class B

EUR ‘000

Class F

EUR ‘000

Class I

GBP ‘000

Class L

GBP ‘000


31 March 2016 ................................................ 3,802 430,392 33,671 540 442

31 March 2015 ................................................ 2,876 387,451 41,207 531 650

31 March 2014 ................................................ 2,648 298,804 31,271 512 -

Class A

EUR

Class B

EUR

Class F

EUR

Class I

GBP

Class L

GBP


31 March 2016 ................................................ 1,117.53 1,223.37 1,648.02 20.75 1,052.87

31 March 2015 ................................................ 1,279.81 1,392.63 1,891.09 21.54 1,102.67

31 March 2014 ................................................ 1,078.35 1,166.43 1,596.61 20.59 -

Class PAMEU

EUR ‘000

Class R

Roll-Up

EUR ‘000


31 March 2016 ................................................ 2,520 50,811

31 March 2015 ................................................ 6,423 51,816

31 March 2014 ................................................ 3,909 45,949

Class PAMEU

EUR

Class R

Roll-Up

EUR


31 March 2016 ................................................ 16.51 126.53

31 March 2015 ................................................ 19.05 144.39

31 March 2014 ................................................ 16.16 121.24


Class B

GBP ‘000

Class I Income

GBP ‘000

Class P Income

GBP ‘000

Class R

GBP ‘000


31 March 2016 ................................................ 56,144 15,645 15,065 4,061

31 March 2015 ................................................ 70,943 16,547 16,500 4,940

31 March 2014 ................................................ 93,850 15,141 15,781 6,968

Class B

GBP

Class I Income

GBP

Class P Income

GBP

Class R

GBP


31 March 2016 ................................................ 160.41 121.54 124.93 136.24

31 March 2015 ................................................ 165.24 127.95 131.50 142.62

31 March 2014 ................................................ 155.94 123.48 126.92 136.78



31 March 2016




Class B

USD ‘000 Class C

EUR ‘000 Class I

GBP ‘000 Class P Income

GBP ‘000

Class R 1 Roll-

Up

USD'000


31 March 2016 ................................................ 186,867 6,934 32,006 8,624 10,917

31 March 2015 ................................................ 145,314 1 35,513 9,770 -

31 March 2014 ................................................ 83,021 2 28,191 8,865 -

Class B

USD Class C

EUR Class I

GBP Class P Income

GBP

Class R 1 Roll-

Up

USD


31 March 2016 ................................................ 21.37 1,485.18 20.72 24.75 10.12

31 March 2015 ................................................ 21.78 1,611.72 20.40 24.55 -

31 March 2014 ................................................ 19.33 1,119.65 16.09 19.50 -


Class B

USD ‘000 Class C

EUR ‘000 Class D

GBP ‘000 Class EH-T

EUR ‘000

Class H

Income

GBP ‘000


31 March 2016 ................................................ 501,039 25,247 54,067 121,583 -

31 March 2015 ................................................ 700,820 27,526 54,225 138,535 154,121

31 March 2014 ................................................ 718,293 115,265 52,288 130,279 -

Class B

USD Class C

EUR Class D

GBP Class EH-T

EUR

Class H

Income

GBP


31 March 2016 ................................................ 21.97 21.50 23.49 14.59 -

31 March 2015 ................................................ 22.65 23.68 23.41 15.29 11.74

31 March 2014 ................................................ 21.18 17.37 19.46 13.39 -

Class I

GBP ‘000

Class I

Income

GBP ‘000 Class J

USD ‘000

Class N

USD ‘000

Class R

EUR ‘000


31 March 2016 ................................................ 465,095 - 1,476 2,576 101,344

31 March 2015 ................................................ 599,527 - 1,336 2,793 103,089

31 March 2014 ................................................ 625,894 130,926 1,159 3,113 46,957

Class I

GBP

Class I

Income

GBP Class J

USD

Class N

USD

Class R

EUR


31 March 2016 ................................................ 27.45 - 19.99 150.08 157.16

31 March 2015 ................................................ 27.41 - 20.76 156.93 174.88

31 March 2014 ................................................ 22.82 10.11 19.54 148.80 129.61

Class SH-B

GBP ‘000

Class SH-B

Income

GBP ‘000

Class TYA

JPY ‘000

Class TYC

JPY ‘000

Class TYHC

JPY ‘000


31 March 2016 ................................................ 34,646 - 2,093,173 5,360,496 -

31 March 2015 ................................................ 70,177 148,956 3,283,920 5,872,574 1,380,486

31 March 2014 ................................................ 204,365 131,743 2,636,819 12,753,368 6,731,684

Class SH-B

GBP

Class SH-B

Income

GBP

Class TYA

JPY

Class TYC

JPY

Class TYHC

JPY


31 March 2016 ................................................ 159.73 - 1,538.51 1,891.17 -

31 March 2015 ................................................ 167.59 118.17 1,689 2,074 1,542

31 March 2014 ................................................ 146.03 103.57 1,354 1,660 1,339



31 March 2016



Class USD-H

USD ‘000

Class USD-H

Income

USD ‘000


31 March 2016 ................................................ 23,458 123,716

31 March 2015 ................................................ 201,967 -

31 March 2014 ................................................ 192,122 -

Class USD-H

USD

Class USD-H

Income

USD


31 March 2016 ................................................ 1,463.68 975.14

31 March 2015 ................................................ 1,531.63 -

31 March 2014 ................................................ 1,340.13 -

15. Segregated Liability

Each Fund will be responsible for paying its fees and expenses regardless of the level of its profitability. The Company has

availed of the segregated provisions of Companies Act 2014. The adoption of segregated liability ensures that liability

incurred on behalf of a Fund will generally be discharged solely out of the assets of that Fund and there can generally be no

recourse to other Funds to satisfy these liabilities. Notwithstanding the foregoing there can be no guarantee that should an

action be brought against the Company in the court of another jurisdiction that the segregated nature of the Funds would

necessarily be upheld.

16. Significant Events During the Year

a) Revised Prospectus (Principal Amendments)

A revised prospectus was issued on 15 September 2015. The following principal changes, inter alia, were made:

i) References to the Companies Act 2014 have been inserted.

ii) Disclosures in relation to Hong-Kong Stock Connect have been inserted.

iii) References to certain closed/launched share classes have been updated.

Prospectus Addendum - 21 December 2015

The changes made to the prospectus are as follows:

Update to the first paragraph of the section “ADMINISTRATION OF THE FUNDS; Subscription Price”.

A new share class, Class USD-H Income, has been added to Russell Global Defensive Equity Fund and Russell World Equity

Fund.

Second Addendum to the prospectus dated 7 March 2016 incorporated the following changes:

i) the addition of new share classes, namely, Class R1 Roll-Up in Russell U.S. Quant Fund (the “Fund”); and

ii) amendment to the table relating to fees payable in respect of the Fund in order to add the fees for the new share classes.

b) Frank Russell Company

LSEG announced on 8 October 2015 that it had agreed the proposed sale of the investment management and solutions

business of Russell Investments to TA Associates and Reverence Capital Partners, subject to customary closing adjustments

and regulatory and other required approvals.



31 March 2016


17. Significant Events Since the Year End

The third addendum to the prospectus dated 13 April 2016 incorporated the following changes:

i) Russell U.K. Equity Plus Fund - addition of the following share class - Class N.

ii) Russell World Equity Fund - addition of the following share class - Class M.

The fourth addendum to the prospectus dated 28 April 2016 incorporated the following changes:

i) Russell Emerging Markets Extended Opportunities Fund - addition of the following share class - Class I.

The sale of Russell Investments by LSEG to TA Associates and Reverence Capital Partners concluded on 1 June 2016.

18. Approval of the Financial Statements

The financial statements were approved by the Directors on 12 July 2016.

Russell Investments Rex House10 Regent Street, St James’London, SW1Y 4PE

tel +44 (0) 20 7024 6000fax +44 (0) 20 7024 6001www.russell.com