SGAM Fund. Au d i t e d a n n u a l r e p o r t. Société d'investissement à Capital Variable Luxembourg RCS Luxembourg B

Transcription

1 Société d'investissement à Capital Variable Luxembourg RCS Luxembourg B Au d i t e d a n n u a l r e p o r t No subscription can be received on the basis of these financial statements. Subscriptions may only be accepted on the basis of the current prospectus accompanied by an application form, the latest available annual report of the SICAV and the latest semiannual report if published thereafter.

2 TABLE OF CONTENTS General information on the SICAV 3 Management and Administration of the SICAV 5 Management report 6 Audit report 7 Statement of net assets (expressed in original currencies) 9 Statement of operations and changes in net assets for the year ended May 31, 2011 (expressed in original currencies) 19 Statistical information (expressed in original currencies) 31 Notes to the financial statements 69 Schedule of investments SubFunds Bonds World 86 Bonds US Opportunistic Core Plus 87 Bonds Europe 93 Bonds Euro 94 Bonds Europe High Yield 95 Bonds Converging Europe 97 Bonds Euro Corporate 98 Bonds Euro Inflation Linked 101 Bonds Euro Govies Spread 102 Bonds Euro Aggregate 104 Bonds Opportunities 106 Bonds Europe Convertible 107 Equities Global 108 Equities Japan Concentrated 110 Equities US Large Cap Growth 111 Equities Concentrated Europe 112 Equities Asia Pac Dual Strategies 114 Equities Global Emerging Countries 116 Equities China 118 Equities Gold Mines 119 Equities Emerging Europe 120 Equities Euroland Cyclicals 122 Equities Global Energy 123 Equities Euroland Financial 124 Equities Euroland 125 Equities US Small Cap Value 126 Equities US Relative Value 128 Equities US Concentrated Core 129 Equities US Mid Cap Growth 130 Equities US Multi Strategies 131 Equities Japan Small Cap 135 Equities US Focused 137 Equities Japan Target 138 Equities Euroland Small Cap 140 Equities Europe Opportunities 142 Equities Euroland Value 144 Equities India 145 Equities Japan CoreAlpha 146 Equities Global Resources 147 Equities Latin America 148 Equities Luxury & Lifestyle 151 Equities Europe Expansion 152 Equities Europe Environment 154 Equities MENA 155 Money Market () 157 Money Market (O) 158 Index Euroland 159 Index Japan 160 Index US 161 Absolute Return Forex 169 Absolute Return Interest Rate 170 Economic classification of investments 171 Geographical classification of investments 189

3 GENERAL INFORMATION ON THE SICAV hereafter called the"sicav", is a "société anonyme" which has taken the form of a "Société d'investissement à Capital Variable" (SICAV) under Part I of the December 20, 2002 law of the Grand Duchy of Luxembourg concerning undertakings for collective investments until June 30, 2011 and under the December 17, 2010 law of the Grand Duchy of Luxembourg concerning undertakings for collective investments as from July 1, The SICAV has its registered office at 16, boulevard Royal, L2449 Luxembourg. The primary objective of the SICAV is to offer investors an opportunity to participate in a professionally managed portfolio of securities or shortterm bonds denominated in the currency of their choice. Investors also have, under certain conditions as described in the prospectus of the SICAV, the opportunity to change SubFunds and/or currencies on favourable terms. At May 31, 2011, the following SubFunds are in activity: SubFunds Bonds Bonds World Bonds US Opportunistic Core Plus Bonds Europe Bonds Euro Bonds Europe High Yield Bonds Converging Europe Bonds Euro Corporate Bonds Euro Inflation Linked Bonds Euro Govies Spread Bonds Euro Aggregate Bonds Opportunities Bonds Europe Convertible Equities Equities Global Equities Japan Concentrated Equities US Large Cap Growth Equities Concentrated Europe Equities Asia Pac Dual Strategies Equities Global Emerging Countries Equities China Equities Gold Mines Equities Emerging Europe Equities Euroland Cyclicals Equities Global Energy Equities Euroland Financial Equities Euroland Equities US Small Cap Value Equities US Relative Value Equities US Concentrated Core Equities US Mid Cap Growth Equities US Multi Strategies Equities Japan Small Cap Equities US Focused Equities Japan Target Equities Euroland Small Cap Equities Europe Opportunities Equities Euroland Value Equities India Equities Japan CoreAlpha Equities Global Resources Equities Latin America Equities Luxury & Lifestyle Equities Europe Expansion Equities Europe Environment Equities MENA Absolute Return Absolute Return Forex Absolute Return Interest Rate Shareholders' information The net asset value per share of each share category, the issue price and the redemption price may be obtained at the SICAV's head office and the head office of Société Générale in Paris. In addition, annual and semiannual financial statements are respectively based on the financial situation of the SICAV at May 31 and November 30. The financial statements include information regarding the number of shares outstanding. The audited annual reports are available free of charge at the head office of the SICAV at least fifteen days before the Annual General Meeting. The unaudited semiannual reports are available free of charge at the SICAV's head office on January 31 at the latest. Those reports are sent to registered shareholders upon request. The notice concerning the Annual General Meeting of shareholders is mailed to all shareholders at the address noted in the shareholders' register, at least fifteen days before the Annual General Meeting. The list of changes in the portfolio from June 1, 2010 to May 31, 2011 is available free of charge at the registered office of the SICAV. All other communications to shareholders shall be done through a notice that will be either published in the "Luxemburger Wort" and in newspapers of countries where the SICAV's shares are offered, or sent to the shareholders at their addresses indicated in the shareholders' register or communicated via other means as deemed appropriate by the Board of Directors and if required by the Luxembourg Law, in the "Mémorial". In each SubFund, the SICAV may issue the following classes of shares: classes "A", "AG", "AH", "AN", "AS" and "AZ" shares (retail shares): capitalisation shares accessible to any individual or legal entity; classes "AE" shares (retail shares): capitalisation shares denominated in Euro with no currency hedging accessible to any individual or legal entity; classes "AD" shares (retail shares): distribution shares accessible to any individual or legal entity; classes "B", "BH" and "BN" shares (institutional shares): capitalisation shares accessible to institutional investors; classes "BD" shares (institutional shares): distribution shares accessible to institutional investors; classes "F" and "FH" shares: capitalisation shares, accessible to any individual or legal entity. These classes differ from the classes "A" and "AH" shares in their fee structures; classes "J" and "JH" shares: capitalisation shares, accessible only to collective investment schemes, including funds of funds located in Japan and in Italian GPF, which have been chosen by the Board of Directors; classes "JX" shares: capitalisation shares accessible to any public or private pension fund registered or domiciliated in a country located in South America and funds of funds located in Japan wich have been chosen by the Board of Directors; classes "O", "OH" and "ON" shares: capitalisation shares accessible to portfolio managers of SociétéGénérale Gestion S.A. Group and of Amundi and who subscribe solely within the framework of discretionary management mandates, advisory agreements concluded with institutional investors or "dedicated funds"; classes "P" and "PH" shares (privilege shares): capitalisation shares accessible to any individual or legal entity; classes "PD" shares (privilege shares): distribution shares, accessible to any individual or legal entity; classes "P", "PH" and "PD" shares differ from the classes "A", "AH" and "AD" shares in their fee structures and a minimum subscription amount is applied; classes "X", "XE" and "XH" shares (institutional shares): reserved for institutional investors, clients of Amundi Group, investing for their own account, who are especially authorised by the Board of Directors to invest in classes X shares and a minimum subscription amount is applied. Basically the classes "A", "AD", "AE", "AG", "AH", "AN", "AS", "AZ", "B", "BD", "BH", "BN", "F", "FH", "J", "JH", "JX", "O", "OH", "ON", "P", "PD", "PH", "X", "XE" and "XH" shares differ from each other by the targeted investors, the management fee rates, the "taxe d'abonnement", the exchange risk and according to the giving right or no right to dividend payments which are applied to them. The class "A" shares and the class "B" shares of the SICAV are listed on the Luxembourg Stock Exchange. Money Market Money Market () Money Market (O) Index Index Euroland Index Japan Index US 3

4 GENERAL INFORMATION ON THE SICAV (CONT.) The classes AH, BH, FH, JH, OH, PH and XH shares are hedged against the exchange risk of the or the Japanese Yen or against any other currency like the Swiss Franc or the British Pound. No assurance can be given that the hedging objective will be achieved. The reference currency of the class AG shares is the Czech Koruna. The reference currency of the classes AN, BN and ON shares is the Norwegian Krone. The reference currency of the class AS shares is the Singapore Dollar. The reference currency of the class AZ shares is the Polish Zloty. All those classes of shares are hedged against the Euro, the or the Japanese Yen (except for Class AS ). Class XE shares corresponds to the characteristics of the class X shares. In addition, they are denominated in Euro with no currency hedging. Class XH shares corresponds to the characteristics of the class X shares. In addition, the reference currency of the class XH shares is hedged against the exchange risk of the or the Japanese Yen or any other currency like the Swiss Franc and the British Pound. To be eligible for inclusion in French personal equity savings plan (Plan d Epargne en Actions), the SubFunds listed below have been invested at all times at least 75 % of their net assets in eligible securities pursuant to the applicable regulations: Equities Concentrated Euroland (merged into Equities Euroland on September 30, 2010) Equities Concentrated Europe Equities Euroland Equities Euroland Cyclicals Equities Euroland Financial Equities Euroland Small Cap Equities Euroland Value Equities Europe Environment Equities Europe Expansion Equities Europe Opportunities Index Euroland 4

5 MANAGEMENT AND ADMINISTRATION OF THE SICAV BOARD OF DIRECTORS Chairman: Directors: Mr Laurent Bertiau: Deputy Head of Institutional and Third party Distribution, Amundi, France Mr Alain Pitous, Chief Investment Officer Equity, Fixed Income, Private & Balanced Management, Société Générale Gestion S.A., France Mr Guillaume Wehry, Head of Executive Office Amundi Institutions & External Distributors Business Line, Amundi, France Mr Philippe Chossonnery, General Secretary, Amundi Luxembourg S.A., Luxembourg Ms Karine Laurencin, Head of Product Specialists, Société Générale Gestion S.A., France REGISTERED OFFICE 16, boulevard Royal, L2449 Luxembourg MANAGEMENT COMPANY Amundi Luxembourg S.A., 5, allée Scheffer, L2520 Luxembourg SGAM Luxembourg S.A. (until June 30, 2010) GLOBAL DISTRIBUTOR Société Générale Gestion S.A. («S2G»), 90, boulevard Pasteur Paris, France (until December 31, 2010) Amundi, 90, Boulevard Pasteur, F75015 Paris, France (since January 1, 2011) ADMINISTRATIVE, CORPORATE AND DOMICILIARY AGENT Société Générale Securities Services Luxembourg, 16, boulevard Royal, L2449 Luxembourg REGISTRAR AGENT European Fund Services S.A. («EFS»), 18, boulevard Royal, L2449 Luxembourg SUBINVESTMENT MANAGERS For the SubFunds / Equities Asia Pac Dual Strategies and / Equities India: Amundi Singapore Limited («Amundi Singapore», since September 30, 2010), 168 Robinson Road, #2401 Capital Tower Singapore For the SubFunds / Equities Japan Small Cap, / Equities Japan Target and / Equities Japan Concentrated: Amundi Japan, 122, Uchisaiwaicho, ChiyodaKu, Tokyo, Japan. For the SubFunds / Equities Global Emerging Countries, / Equities Emerging Europe and / Equities Japan CoreAlpha and / Equities MENA (until December 14, 2010): GLG Partners UK Limited («GLG Partners UK»), One Curzon Street, London W1J 5HB, United Kingdom For the SubFunds / Bonds US Opportunistic Core Plus, / Equities US Large Cap Growth, / Equities US Small Cap Value, / Equities US Relative Value, / Equities US Concentrated Core, / Equities US Mid Cap Growth, / Equities US Multi Strategies and / Equities US Focused: TCW Investment Management Company, Inc. («TCW»), 865, South Figueroa Street, Suite 800, Los Angeles, California 90017, United States of America For the SubFunds / Index Euroland, / Index Japan and / Index US: Lyxor International Asset Management («Lyxor International AM»), Tour Société Générale, 17 Cours Valmy, Puteaux, France For the SubFund / Equities China: Amundi Hong Kong Limited («Amundi Hong Kong»), , One Pacific Place, N 88 Queensway Hong Kong INVESTMENT ADVISORS For the SubFund / Equities India: SBI Funds Management Private Limited («SBI FM»), 191, Maker Tower 'E', Cuffe Parade, Mumbai , India CUSTODIAN BANK AND PAYING AGENT Société Générale Bank & Trust, 11, avenue Emile Reuter, L2420 Luxembourg AUDITOR PricewaterhouseCoopers S.à r.l., 400, route d Esch, L1471 Luxembourg INVESTMENT MANAGERS For the SubFunds / Equities Concentrated Europe, / Equities Euroland Cyclicals, / Equities Europe Environment, / Equities Europe Expansion and / Equities Europe Opportunities: Société Générale Gestion S.A., 90, boulevard Pasteur, F75015 Paris, France (since January 1, 2011) For all SubFunds except / Equities Concentrated Europe, / Equities Euroland Cyclicals, / Equities Europe Environment, / Equities Europe Expansion, / Equities Europe Opportunities as from January 1, 2011 and except / Equities Japan CoreAlpha as from June 1, 2011: Amundi, 90, boulevard Pasteur, F75015 Paris, France Amundi is the investment manager of / Equities MENA as from December 15, REGISTRATION / DISTRIBUTION OF SGAM FUND At the date of this report, the SICAV (in certain jurisdictions, specific SubFunds or Classes of Shares only) has been authorised for public or restricted offering in Luxembourg, Austria, Belgium, France, Germany, United Kingdom, Greece, Hong Kong, Italy, Spain, Sweden, Switzerland, Portugal, The Netherlands, Chile, Singapore, Bulgaria, Czech Republic, Slovenia, Finland, Ireland, Norway and Peru. The SICAV or specific SubFund(s) may be subsequently authorised for distribution in other jurisdictions. However, no procedure has been undertaken to enable the offer of the Shares in any other jurisdictions whose legislation or regulations in force would require such procedure. The SICAV is not registered in Taiwan since March 16, 2011, in Guernsey since March 11, 2011, in Romania since December 3, REGIONAL DITRIBUTOR Société Générale Gestion S.A. (until December 31, 2010) For the SubFund / Equities Japan CoreAlpha: Amundi Japan («Amundi Japan» since June 1, 2011), 122, Uchisaiwaicho ChiyodaKu Tokyo, Japan 5

6 MANAGEMENT REPORT 2011 SUMMARY REPORT OF SGAM FUND Economic summary After a second half of 2010 characterised by a continuing recovery that varied greatly by country and already showed signs of downturn, the world economy was struck by a series of crises in the first half of 2011 (the Arab spring, the earthquake in Japan, the European sovereign debt crisis, etc.). These checked the pace of growth, business indicators declined in most countries, and global trade slowed. Benefitting from the dynamism of their domestic economies, the emerging countries were still the main engines of growth around the world. However, they were not able to escape the overall economic slowdown resulting from the central banks monetary tightening designed to curb the inflationary pressures induced by the rocketing prices of commodities. In the developed economies, United States data were by and large disappointing. Even though economic policies remained very expansionary, consumption suffered from the rise in oil prices, and corporate spending and hiring was particularly cautious. In addition, the automobile sector experienced major production difficulties stemming from the Japanese crisis. In Europe, industrial data were robust in Germany and to a lesser extent in France, whereas the growth in peripheral countries suffered from budgetary restriction measures. Public deficit data showed that Greece was not able to meet the objectives set, which forced it to adopt a second austerity plan. At the same time, the European partners opened new discussions, embracing the private sector, to unblock the funds necessary to refinance the country for the next two or even three years. The bond markets The situation remained troubled on the bond markets in the first half of The Fed and the ECB led asymmetrical monetary policies, while the problem of budgetary consolidation was raised both for Europe and for the US, but in different forms. In Europe, the ECB started its cycle of monetary normalisation in early April. The refinancing rate was raised from 1% to 1.25%. JeanClaude Trichet indicated in June that a second rise of 0.25% would probably take place in July. At the end of the half, the sovereign debt crisis experienced renewed tension with respect to Portugal and then Greece. Fearing a Lehman Brotherstype panic movement, the bond markets turned to sovereign debt of leading eurozone countries. This triggered a slight softening of German yields and a rise in the risk premiums paid by the peripheral countries. In the United States, the Fed confirmed that it would continue through to the end of its second Treasury securities purchasing plan (QE2) in June. It also indicated that it was not planning a QE3, since the risk of deflation had considerably decreased, due to the rise in underlying inflation. However, as the economic data were disappointing, particularly on the employment front, the Fed announced that it would keep its prime interest rates near 0% for an extended time. The public debt problem in the United States led the S&P rating agency to begin monitoring the American rating, for the first time since Equity markets The publication of company earnings remained particularly favourable to the beginning of 2011, and 72% and 62% of companies beat consensus estimates in the US and Europe respectively for the first quarter This was not enough to boost the equity market, and the macroeconomic risks mentioned above (slowing of the world economy, debt crisis, etc.) prevailed. Emerging indices were hardest hit. In the first half of 2011, the MSCI Emerging Market Index shed approximately 0.5% while the MSCI World Index gained approximately 4%. Luxembourg, September 19, 2011 The Board of Directors Note: The figures stated in this report are historical and not necessarily indicative of future performance. 6

7 Audit report To the Shareholders of We have audited the accompanying financial statements of and of each of its SubFunds, which comprise the statement of net assets and the schedule of investments as and the statement of operations and changes in net assets for the year then ended, and a summary of significant accounting policies and other explanatory notes to the financial statements. Responsibility of the Board of Directors of the SICAV for the financial statements The Board of Directors of the SICAV is responsible for the preparation and fair presentation of these financial statements in accordance with Luxembourg legal and regulatory requirements relating to the preparation of the financial statements and for such internal control as the Board of Directors of the SICAV determines is necessary to enable the preparation of financial statements that are free from material misstatement, whether due to fraud or error. Responsibility of the Réviseur d entreprises agréé Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit in accordance with International Standards on Auditing as adopted for Luxembourg by the Commission de Surveillance du Secteur Financier. Those standards require that we comply with ethical requirements and plan and perform the audit to obtain reasonable assurance whether the financial statements are free from material misstatement. An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on the judgment of the Réviseur d entreprises agréé, including the assessment of the risks of material misstatement of the financial statements, whether due to fraud or error. In making those risk assessments, the Réviseur d entreprises agréé considers internal control relevant to the entity s preparation and fair presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the entity s internal control. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of accounting estimates made by the Board of Directors of the SICAV, as well as evaluating the overall presentation of the financial statements. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion. Opinion In our opinion, the financial statements give a true and fair view of the financial position of and of each of its SubFunds as of May 31, 2011, and of the results of their operations and changes in their net assets for the year then ended in accordance with Luxembourg legal and regulatory requirements relating to the preparation of the financial statements. Other matters Supplementary information included in the annual report has been reviewed in the context of our mandate but has not been subject to specific audit procedures carried out in accordance with the standards described above. Consequently, we express no opinion on such information. However, we have no observation to make concerning such information in the context of the financial statements taken as a whole. PricewaterhouseCoopers S.à r.1. Luxembourg, September 19,2011 Represented by Marc Saluzzi PricewaterhouseCoopers S.à r.l., 400 Route d Esch, B.P. 1443, L1014 Luxembourg T: , F: , Cabinet de révision agréé. Expertcomptable (autorisation gouvernementale n ) R.C.S. Luxembourg B Capital social TVA LU

8 STATEMENT OF NET ASSETS AT MAY 31, 2011

9 Statement of net assets (expressed in original currencies) STATEMENT OF NET ASSETS AT MAY 31, 2011 (expressed in original currencies) SUBFUNDS BONDS WORLD BONDS US OPPORTUNISTIC CORE PLUS BONDS OPE BONDS O BONDS OPE HIGH YIELD BONDS CONVERGING OPE CURRENCY Investment in securities at cost ASSETS Investment in securities at market value Cash at bank Receivable from securities sold Receivable from Fund shares issued Options bought at market value Interest and dividend receivable Unrealised appreciation on forward foreign exchange contracts Unrealised appreciation on futures contracts Unrealised appreciation on swaps Other assets Total assets LIABILITIES Bank Overdraft Payable for securities purchased Payable for Fund shares redeemed Payable for repurchase agreement Options sold at market value Investment management fee payable Performance fee payable Other expenses and fees payable Taxe d abonnement payable Interest payable Unrealised depreciation on forward foreign exchange contracts Unrealised depreciation on futures contracts Unrealised depreciation on swaps Total liabilities NET ASSETS Net assets in

10 STATEMENT OF NET ASSETS AT MAY 31, 2011 (expressed in original currencies) SUBFUNDS BONDS O CORPORATE BONDS O INFLATION LINKED BONDS O GOVIES SPREAD BONDS O AGGREGATE BONDS OPPORTUNITIES BONDS OPE CONVERTIBLE CURRENCY Investment in securities at cost ASSETS Investment in securities at market value Cash at bank Receivable from securities sold Receivable from Fund shares issued Options bought at market value Interest and dividend receivable Unrealised appreciation on forward foreign exchange contracts Unrealised appreciation on futures contracts Unrealised appreciation on swaps Other assets Total assets LIABILITIES Bank Overdraft Payable for securities purchased Payable for Fund shares redeemed Payable for repurchase agreement Options sold at market value Investment management fee payable Performance fee payable Other expenses and fees payable Taxe d abonnement payable Interest payable Unrealised depreciation on forward foreign exchange contracts Unrealised depreciation on futures contracts Unrealised depreciation on swaps Total liabilities NET ASSETS Net assets in

11 STATEMENT OF NET ASSETS AT MAY 31, 2011 (expressed in original currencies) SUBFUNDS EQUITIES GLOBAL EQUITIES JAPAN CONCENTRATED EQUITIES US LARGE CAP GROWTH EQUITIES CONCENTRATED OPE EQUITIES ASIA PAC DUAL STRATEGIES EQUITIES GLOBAL EMERGING COUNTRIES CURRENCY Investment in securities at cost ASSETS Investment in securities at market value Cash at bank Receivable from securities sold Receivable from Fund shares issued Options bought at market value Interest and dividend receivable Unrealised appreciation on forward foreign exchange contracts Unrealised appreciation on futures contracts Unrealised appreciation on swaps Other assets Total assets LIABILITIES Bank Overdraft Payable for securities purchased Payable for Fund shares redeemed Payable for repurchase agreement Options sold at market value Investment management fee payable Performance fee payable Other expenses and fees payable Taxe d abonnement payable Interest payable Unrealised depreciation on forward foreign exchange contracts Unrealised depreciation on futures contracts Unrealised depreciation on swaps Total liabilities NET ASSETS Net assets in

12 STATEMENT OF NET ASSETS AT MAY 31, 2011 (expressed in original currencies) SUBFUNDS EQUITIES CHINA EQUITIES GOLD MINES EQUITIES EMERGING OPE EQUITIES OLAND CYCLICALS EQUITIES GLOBAL ENERGY EQUITIES OLAND FINANCIAL CURRENCY Investment in securities at cost ASSETS Investment in securities at market value Cash at bank Receivable from securities sold Receivable from Fund shares issued Options bought at market value Interest and dividend receivable Unrealised appreciation on forward foreign exchange contracts Unrealised appreciation on futures contracts Unrealised appreciation on swaps Other assets Total assets LIABILITIES Bank Overdraft Payable for securities purchased Payable for Fund shares redeemed Payable for repurchase agreement Options sold at market value Investment management fee payable Performance fee payable Other expenses and fees payable Taxe d abonnement payable Interest payable Unrealised depreciation on forward foreign exchange contracts Unrealised depreciation on futures contracts Unrealised depreciation on swaps Total liabilities NET ASSETS Net assets in

13 STATEMENT OF NET ASSETS AT MAY 31, 2011 (expressed in original currencies) SUBFUNDS EQUITIES OLAND EQUITIES US SMALL CAP VALUE EQUITIES US RELATIVE VALUE EQUITIES US CONCENTRATED CORE EQUITIES US MID CAP GROWTH EQUITIES US MULTI STRATEGIES CURRENCY Investment in securities at cost ASSETS Investment in securities at market value Cash at bank Receivable from securities sold Receivable from Fund shares issued Options bought at market value Interest and dividend receivable Unrealised appreciation on forward foreign exchange contracts Unrealised appreciation on futures contracts Unrealised appreciation on swaps Other assets Total assets LIABILITIES Bank Overdraft Payable for securities purchased Payable for Fund shares redeemed Payable for repurchase agreement Options sold at market value Investment management fee payable Performance fee payable Other expenses and fees payable Taxe d abonnement payable Interest payable Unrealised depreciation on forward foreign exchange contracts Unrealised depreciation on futures contracts Unrealised depreciation on swaps Total liabilities NET ASSETS Net assets in

14 STATEMENT OF NET ASSETS AT MAY 31, 2011 (expressed in original currencies) SUBFUNDS EQUITIES JAPAN SMALL CAP EQUITIES US FOCUSED EQUITIES JAPAN TARGET EQUITIES OLAND SMALL CAP EQUITIES OPE OPPORTUNITIES EQUITIES OLAND VALUE CURRENCY Investment in securities at cost ASSETS Investment in securities at market value Cash at bank Receivable from securities sold Receivable from Fund shares issued Options bought at market value Interest and dividend receivable Unrealised appreciation on forward foreign exchange contracts Unrealised appreciation on futures contracts Unrealised appreciation on swaps Other assets Total assets LIABILITIES Bank Overdraft Payable for securities purchased Payable for Fund shares redeemed Payable for repurchase agreement Options sold at market value Investment management fee payable Performance fee payable Other expenses and fees payable Taxe d abonnement payable Interest payable Unrealised depreciation on forward foreign exchange contracts Unrealised depreciation on futures contracts Unrealised depreciation on swaps Total liabilities NET ASSETS Net assets in

15 STATEMENT OF NET ASSETS AT MAY 31, 2011 (expressed in original currencies) SUBFUNDS EQUITIES INDIA EQUITIES JAPAN COREALPHA EQUITIES GLOBAL RESOURCES EQUITIES LATIN AMERICA EQUITIES LUXURY & LIFESTYLE EQUITIES OPE EXPANSION CURRENCY Investment in securities at cost ASSETS Investment in securities at market value Cash at bank Receivable from securities sold Receivable from Fund shares issued Options bought at market value Interest and dividend receivable Unrealised appreciation on forward foreign exchange contracts Unrealised appreciation on futures contracts Unrealised appreciation on swaps Other assets Total assets LIABILITIES Bank Overdraft Payable for securities purchased Payable for Fund shares redeemed Payable for repurchase agreement Options sold at market value Investment management fee payable Performance fee payable Other expenses and fees payable Taxe d abonnement payable Interest payable Unrealised depreciation on forward foreign exchange contracts Unrealised depreciation on futures contracts Unrealised depreciation on swaps Total liabilities NET ASSETS Net assets in

16 STATEMENT OF NET ASSETS AT MAY 31, 2011 (expressed in original currencies) SUBFUNDS EQUITIES OPE ENVIRONMENT EQUITIES MENA MONEY MARKET () MONEY MARKET (O) INDEX OLAND INDEX JAPAN CURRENCY Investment in securities at cost ASSETS Investment in securities at market value Cash at bank Receivable from securities sold Receivable from Fund shares issued Options bought at market value Interest and dividend receivable Unrealised appreciation on forward foreign exchange contracts Unrealised appreciation on futures contracts Unrealised appreciation on swaps Other assets Total assets LIABILITIES Bank Overdraft Payable for securities purchased Payable for Fund shares redeemed Payable for repurchase agreement Options sold at market value Investment management fee payable Performance fee payable Other expenses and fees payable Taxe d abonnement payable Interest payable Unrealised depreciation on forward foreign exchange contracts Unrealised depreciation on futures contracts Unrealised depreciation on swaps Total liabilities NET ASSETS Net assets in

17 STATEMENT OF NET ASSETS AT MAY 31, 2011 (expressed in original currencies) SUBFUNDS INDEX US ABSOLUTE RETURN FOREX ABSOLUTE RETURN INTEREST RATE Combined CURRENCY Investment in securities at cost ASSETS Investment in securities at market value Cash at bank Receivable from securities sold Receivable from Fund shares issued Options bought at market value Interest and dividend receivable Unrealised appreciation on forward foreign exchange contracts Unrealised appreciation on futures contracts Unrealised appreciation on swaps Other assets Total assets LIABILITIES Bank Overdraft Payable for securities purchased Payable for Fund shares redeemed Payable for repurchase agreement Options sold at market value Investment management fee payable Performance fee payable Other expenses and fees payable Taxe d abonnement payable Interest payable Unrealised depreciation on forward foreign exchange contracts Unrealised depreciation on futures contracts Unrealised depreciation on swaps Total liabilities NET ASSETS Net assets in

18 STATEMENT OF OPERATIONS AND CHANGES IN NET ASSETS FOR THE YEAR ENDED MAY 31, 2011

19 Statement of operations and changes in net assets for the year ended May 31, 2011 (expressed in original currencies) STATEMENT OF OPERATIONS AND CHANGES IN NET ASSETS FOR THE YEAR ENDED MAY 31, 2011 (expressed in original currencies) SUBFUNDS BONDS WORLD BONDS US OPPORTUNISTIC CORE PLUS BONDS OPE BONDS O BONDS OPE HIGH YIELD BONDS CONVERGING OPE CURRENCY INCOME Interest on bonds Interest on interest rate swaps Bank interest and interest on securities lending Dividends (net) Other income Total Income EXPENSES Investment management fee Custodian fee Administrative agent fee Registrar agent fee Distribution fee Professional fees Taxe d abonnement Performance fee Bank charges and interest Interest on interest rate swaps Other expenses Total expenses NET INVESTMENT INCOME/(LOSS) Realised profit/(loss) on securities sold Realised profit/(loss) on currencies and forward foreign exchange contracts Realised profit/(loss) on options Realised profit/(loss) on futures contracts Realised profit/(loss) on swaps ( ) ( ) (3 879) Profit/(loss) for the year/period Change in net unrealised appreciation/(depreciation) on: investments forward foreign exchange contracts options futures contracts swaps ( ) (77 177) (28 940) ( ) (83 289) ( ) ( ) (30 054) (78 400) (45 265) ( ) ( ) RESULT OF OPERATIONS ( ) Net assets as Exchange differences on the net assets Subscriptions Redemptions Dividends ( ) ( ) ( ) ( ) ( ) (6 187) ( ) NET ASSETS AT MAY 31,

20 STATEMENT OF OPERATIONS AND CHANGES IN NET ASSETS FOR THE YEAR ENDED MAY 31, 2011 (expressed in original currencies) SUBFUNDS BONDS O CORPORATE BONDS O INFLATION LINKED BONDS O GOVIES SPREAD BONDS O AGGREGATE BONDS OPPORTUNITIES BONDS OPE CONVERTIBLE CURRENCY INCOME Interest on bonds Interest on interest rate swaps Bank interest and interest on securities lending Dividends (net) Other income Total Income EXPENSES Investment management fee Custodian fee Administrative agent fee Registrar agent fee Distribution fee Professional fees Taxe d abonnement Performance fee Bank charges and interest Interest on interest rate swaps Other expenses Total expenses NET INVESTMENT INCOME/(LOSS) Realised profit/(loss) on securities sold Realised profit/(loss) on currencies and forward foreign exchange contracts Realised profit/(loss) on options Realised profit/(loss) on futures contracts Realised profit/(loss) on swaps (61 773) ( ) ( ) ( ) ( ) ( ) (3 211) ( ) ( ) (6) ( ) ( ) ( ) Profit/(loss) for the year/period ( ) Change in net unrealised appreciation/(depreciation) on: investments forward foreign exchange contracts options futures contracts swaps ( ) ( ) ( ) (90 369) ( ) ( ) ( ) (4 773) ( ) (72 497) (419) RESULT OF OPERATIONS ( ) Net assets as Exchange differences on the net assets Subscriptions Redemptions Dividends ( ) ( ) ( ) ( ) ( ) ( ) NET ASSETS AT MAY 31,

21 STATEMENT OF OPERATIONS AND CHANGES IN NET ASSETS FOR THE YEAR ENDED MAY 31, 2011 (expressed in original currencies) SUBFUNDS EQUITIES GLOBAL EQUITIES JAPAN CONCENTRATED EQUITIES US LARGE CAP GROWTH EQUITIES CONCENTRATED OPE EQUITIES ASIA PAC DUAL STRATEGIES EQUITIES GLOBAL EMERGING COUNTRIES CURRENCY INCOME Interest on bonds Interest on interest rate swaps Bank interest and interest on securities lending Dividends (net) Other income Total Income EXPENSES Investment management fee Custodian fee Administrative agent fee Registrar agent fee Distribution fee Professional fees Taxe d abonnement Performance fee Bank charges and interest Interest on interest rate swaps Other expenses Total expenses NET INVESTMENT INCOME/(LOSS) (47 415) ( ) ( ) ( ) Realised profit/(loss) on securities sold Realised profit/(loss) on currencies and forward foreign exchange contracts Realised profit/(loss) on options Realised profit/(loss) on futures contracts Realised profit/(loss) on swaps ( ) (71 737) ( ) ( ) Profit/(loss) for the year/period ( ) Change in net unrealised appreciation/(depreciation) on: investments forward foreign exchange contracts options futures contracts swaps (22 085) ( ) ( ) (3 760) RESULT OF OPERATIONS ( ) Net assets as Exchange differences on the net assets Subscriptions Redemptions Dividends ( ) ( ) ( ) ( ) ( ) (391) ( ) NET ASSETS AT MAY 31,

22 STATEMENT OF OPERATIONS AND CHANGES IN NET ASSETS FOR THE YEAR ENDED MAY 31, 2011 (expressed in original currencies) SUBFUNDS EQUITIES CHINA EQUITIES GOLD MINES EQUITIES EMERGING OPE EQUITIES OLAND CYCLICALS EQUITIES GLOBAL ENERGY EQUITIES OLAND FINANCIAL CURRENCY INCOME Interest on bonds Interest on interest rate swaps Bank interest and interest on securities lending Dividends (net) Other income Total Income EXPENSES Investment management fee Custodian fee Administrative agent fee Registrar agent fee Distribution fee Professional fees Taxe d abonnement Performance fee Bank charges and interest Interest on interest rate swaps Other expenses Total expenses NET INVESTMENT INCOME/(LOSS) ( ) ( ) ( ) (57 887) Realised profit/(loss) on securities sold Realised profit/(loss) on currencies and forward foreign exchange contracts Realised profit/(loss) on options Realised profit/(loss) on futures contracts Realised profit/(loss) on swaps ( ) (578) ( ) (2 490) ( ) (2 862) Profit/(loss) for the year/period (6 596) ( ) Change in net unrealised appreciation/(depreciation) on: investments forward foreign exchange contracts options futures contracts swaps ( ) ( ) (400) RESULT OF OPERATIONS ( ) Net assets as Exchange differences on the net assets Subscriptions Redemptions Dividends ( ) (11) ( ) ( ) (4) ( ) ( ) ( ) NET ASSETS AT MAY 31,