THREADNEEDLE SPECIALIST INVESTMENT FUNDS ICVC. threadneedle.com

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1 Unaudited Interim Report and Accounts Threadneedle Specialist Investment Funds ICVC October 2014 THREADNEEDLE SPECIALIST INVESTMENT FUNDS ICVC threadneedle.com

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3 Contents Company Information... 2 Director s Statement... 3 Aggregated Financial Statements for Threadneedle Specialist Investment Funds ICVC... 4 Notes to the Aggregated Financial Statements for Threadneedle Specialist Investment Funds ICVC... 5 UK Mid 250 Fund... 6 UK Extended Alpha Fund... 7 UK Equity Alpha Income Fund UK Absolute Alpha Fund Absolute Return Bond Fund Target Return Fund Pan European Focus Fund Pan European Equity Dividend Fund American Extended Alpha Fund China Opportunities Fund Global Emerging Markets Equity Fund Emerging Market Local Fund Global Extended Alpha Fund Global Equity Income Fund Portfolio Statements: UK Mid 250 Fund UK Extended Alpha Fund UK Equity Alpha Income Fund UK Absolute Alpha Fund Absolute Return Bond Fund Target Return Fund Pan European Focus Fund Pan European Equity Dividend Fund American Extended Alpha Fund China Opportunities Fund Global Emerging Markets Equity Fund Emerging Market Local Fund Global Extended Alpha Fund Global Equity Income Fund Comparative Tables Performance Summary Ongoing Charges Figure Summary Risk and Reward Profiles Shares Issued and Redeemed Summary Total Purchases and Sales Further Information Directory Important Information

4 Company Information Company Threadneedle Specialist Investment Funds ICVC (the Company) Registered Number IC Registered Office 60 St Mary Axe, London EC3A 8JQ Director There is a sole director, the Authorised Corporate Director (the ACD), which is Threadneedle Investment Services Limited. Board of Directors of the ACD Chairman and Chief Executive C D Fleming Other Directors T N Gillbanks D Jordison (Appointed to the Board 29 July 2014) P J W Reed (Resigned from the Board 30 June 2014) N J Ring A Roughead (Appointed to the Board 7 July 2014) 2

5 Director s Statement The ACD, Threadneedle Investment Services Limited, has pleasure in presenting the Interim Report and Accounts for Threadneedle Specialist Investment Funds ICVC for the six months to 31 October The financial statements have been presented on an aggregated basis. However, separate financial information is also provided on a sub-fund basis to enable investors to review the status and performance of those funds for the period under review. We hope that you find the report informative. Should you require any further information regarding any aspect of your investment, or about other Threadneedle products, we would be pleased to help. Alternatively, you may find it helpful to visit threadneedle.com for further information about Threadneedle. Thank you for your continued support. Campbell Fleming Director 3

6 Aggregated Financial Statements for Threadneedle Specialist Investment Funds ICVC STATEMENT OF TOTAL RETURN Income Net capital gains 95, ,540 Revenue 69,702 45,737 Expenses (25,395) (22,379) Finance costs: Derivative expense (5,251) (2,457) Interest (16) (1) Net revenue before taxation 39,040 20,900 Taxation (4,649) (2,029) Net revenue after taxation 34,391 18,871 Total return before distributions 129, ,411 Finance costs: s (48,341) (25,576) Change in net assets attributable to shareholders from investment activities 81, ,835 STATEMENT OF CHANGE IN NET ASSETS ATTRIBUTABLE TO SHAREHOLDERS Opening net assets attributable to shareholders 4,103,498 2,837,506 Movement due to sales and repurchases of shares: Amounts receivable on the issue of shares 999,141 1,230,062 Amounts payable on the cancellation of shares (954,537) (603,775) Amounts payable on inspecie transfers (23,121) 21, ,287 Dilution adjustment 1,667 1,434 Stamp duty reserve tax (68) (245) Change in net assets attributable to shareholders from investment activities (see statement of total return above) 81, ,835 Retained distribution on accumulation shares 13,084 8,064 Closing net assets attributable to shareholders 4,221,259 3,679,881 BALANCE SHEET as at 31 October 2014 April Assets Investment assets 3,853,150 3,764,568 Other assets Debtors 84,088 81,204 Cash and bank balances 382, ,125 Total other assets 466, ,329 Total assets 4,319,719 4,197,897 Liabilities Derivative liabilities (16,897) (11,945) Other liabilities Creditors (56,563) (56,327) Bank overdrafts (204) (87) payable on income shares (24,796) (26,040) Total other liabilities (81,563) (82,454) Total liabilities (98,460) (94,399) Net assets attributable to shareholders 4,221,259 4,103,498 The aggregated financial statements represent the sum of the individual funds within the umbrella company. Further analysis of the distribution and the net asset position can be found within the financial statements of the individual funds. We hereby certify the Interim Report and Accounts on behalf of the Directors of Threadneedle Investment Services Limited. N J Ring Director 10 December 2014 T N Gillbanks Director The comparatives used within the Statement of Change in s Attributable to Shareholders are for the corresponding period of the previous year. Therefore the opening net assets attributable to shareholders for the current year are at 30 April 2014 whilst the figure disclosed in the comparatives closing net assets attributable to shareholders is at 31 October

7 Notes to the Aggregated Financial Statements for Threadneedle Specialist Investment Funds ICVC Notes to the financial statements 1 ACCOUNTING POLICIES (1) Basis of accounting The financial statements have been prepared under the historical cost basis, as modified by the revaluation of investments and in accordance with UK Generally Accepted Accounting Practice ( UKGAAP ), and in accordance with the Statement of Recommended Practice (the SORP ) for Financial Statements of Authorised Funds issued by the Investment Management Association (IMA) in October The accounting policies applied are consistent with those of the annual financial statements for the year ended 30 April 2014 and are described in those financial statements. (2) Aggregation The aggregated accounts represent the sum of the individual funds within the umbrella company. Further analysis of the distribution and the net asset position can be found within the financial statements of the individual funds. (3) Notes In accordance with the guidelines of the SORP the funds have taken advantage of the facility not to provide further notes to the financial statements. 5

8 Threadneedle UK Mid 250 Fund Investment Report Investment Objective The investment objective of the UK Mid 250 Fund is to achieve capital growth from a portfolio of UK mid cap equities. Investment Policy The ACD s investment policy is to invest the assets of the Fund primarily in a selection of medium sized companies which are constituents of the FTSE 250 (ex Investment Trusts) Index. If the ACD considers it desirable, it may also invest in companies which are not included in that index, and may hold cash and/or money market instruments. Performance of Net Accumulation Class 1 Shares* Over the six months to 31 October 2014, the published share price of the Threadneedle UK Mid 250 Fund has risen from p to p. For comparison, using noon prices, the performance of the Class 1 share class was +0.19% and +0.48% for the Class 2 share class compared to a return of -1.93% for the Morningstar UK Unit Trusts/OEICs - (IMA) UK All Companies Peer Group (on a bid to bid basis, with income reinvested for a UK basic rate taxpayer). For information purposes, using global close prices, the total return of the FTSE Mid 250 (ex Investment Trusts) Index was -1.63%. Portfolio Activity The UK equity market posted a negative return over the six months under review. The FTSE All-Share fell 1.58% while the FTSE 250 (ex-investment Trusts) portion of the index was off by 1.63%. October proved particularly volatile, with the market falling sharply mid-month, as investors focused on global concerns, before rallying into the month-end, buoyed by the Bank of Japan s decision to significantly expand its quantitative easing programme. Investors were heartened by the strength of the UK economic recovery and the pick-up in corporate mergers and acquisitions (M&A) activity. GDP growth in the third quarter was 3% higher than for the corresponding period of 2013, with higher levels of activity across the manufacturing, construction and service sectors. This stronger economic activity has been accompanied by further job creation, with the level of unemployment falling below 1.97m in the three months to the end of August. However, wage growth has continued to lag inflation, with the result that there has been no surge in high street spending. Although the domestic environment remained supportive, UK equities faced growing external headwinds including the economic slowdown in the eurozone and China, key destinations for many UK exporters. Geopolitical risks increased with the spread of hostilities in the Middle East and the problems in Ukraine, while the market was also unsettled ahead of the Scottish independence referendum. The divergent fortunes of the UK economy and those in Europe and Asia had an important impact on the earnings of many UK companies. The country s biggest firms operate in a global marketplace and have therefore proved susceptible to slower growth in several regions. Moreover, the strength of sterling has proved a challenge for companies operating internationally and has resulted in some currency-related downgrades to corporate earnings. Towards the lower end of the market, good quality cheap companies have continued to outperform in the quarter. The period saw upward revisions to profitability levels, though they are still negative overall. The underperformance of UK smalland mid-caps has now flattened and M&A activity has picked up somewhat, albeit from very depressed levels. In terms of activity, we opened a position in Keller (ground engineering), whose shares have been weak recently, pushing the valuation to very compelling levels. We added to Howden Joinery over the period, as we felt it had been oversold and represented excellent value. We sold out of Kentz (engineering), where a takeover bid was finalised, and Cobham (aerospace), whose stock had bounced on its acquisition of peer Aeroflex. STATEMENT OF TOTAL RETURN Income Net capital (losses)/gains (936) 15,605 Revenue 1,488 2,899 Expenses (683) (854) Net revenue before taxation 805 2,045 Taxation (34) Net revenue after taxation 771 2,045 Total return (165) 17,650 Finance costs: Equalisation (74) 9 Change in net assets attributable to shareholders from investment activities (239) 17,659 BALANCE SHEET as at 31 October 2014 April Assets Investment assets 101, ,301 Other assets Debtors 943 2,453 Cash and bank balances 448 3,570 Total other assets 1,391 6,023 Total assets 102, ,324 Liabilities Other liabilities Creditors (913) (4,679) Total other liabilities (913) (4,679) Total liabilities (913) (4,679) Net assets attributable to shareholders 101, ,645 STATEMENT OF CHANGE IN NET ASSETS ATTRIBUTABLE TO SHAREHOLDERS Opening net assets attributable to shareholders 136, ,101 Movement due to sales and repurchases of shares: Amounts receivable on the issue of shares 6,860 11,742 Amounts payable on the cancellation of shares (41,791) (8,389) (34,931) 3,353 Dilution adjustment 43 Stamp duty reserve tax (8) (46) Change in net assets attributable to shareholders from investment activities (see statement of total return above) (239) 17,659 Closing net assets attributable to shareholders 101, ,067 The comparatives used within the Statement of Change in s Attributable to Shareholders are for the corresponding period of the previous year. Therefore the opening net assets attributable to shareholders for the current year are at 30 April 2014 whilst the figure disclosed in the comparatives closing net assets attributable to shareholders is at 31 October Notes to the financial statements 1 ACCOUNTING POLICIES The accounting policies for the fund are the same as those disclosed in the aggregated financial statements on page 5. *In pound Sterling and against UK peer group. Please refer to pages 63 to 69 for comparative tables. 6

9 Threadneedle UK Extended Alpha Fund Investment Report Investment Objective The investment objective of the UK Extended Alpha Fund is to achieve above average capital growth from a concentrated portfolio of UK equities. Investment Policy The ACD s investment policy is to actively manage an exposure primarily to a concentrated portfolio of UK equities, i.e. equities of companies domiciled in the UK, or which have significant UK operations, by investing directly or indirectly in such securities. This approach means that the ACD has the flexibility to take significant stock and sector positions which may lead to increased levels of volatility. If the ACD considers it desirable it may further invest up to one third of the assets of the Fund in markets outside the United Kingdom. The Fund s exposure may be gained through long and short positions. The ACD may take long and short positions through the use of derivatives and forward transactions. In addition in order to gain long exposure, the ACD may invest in equities, collective investment schemes including exchange traded funds and/or related indices. If the ACD considers it desirable, it may hold a substantial proportion or all of the Fund in cash and/or other securities (including fixed interest securities and money market instruments). Performance of Net Accumulation Class 1 Shares* Over the six months to 31 October 2014, the published share price of limited issue shares in the Threadneedle UK Extended Alpha Fund has risen from p to p. For comparison, using noon prices, the performance of the Class 1 share class was +1.72% and +1.93% for the Class 2 share class compared to a return of -1.93% for the Morningstar UK Unit Trusts/OEICs (IMA) UK All Companies Peer Group (on a bid to bid basis, with income reinvested for a UK basic rate taxpayer). For information purposes, using global close prices, the total return of the FTSE All-Share Index was -1.58%. Portfolio Activity The UK equity market posted a negative return over the six months under review with the FTSE All-Share falling 1.58%. October proved particularly volatile, with the market falling sharply midmonth, as investors focused on global concerns, before rallying into the month-end, buoyed by the Bank of Japan s decision to significantly expand its quantitative easing programme. Investors were heartened by the strength of the UK economic recovery and the pick-up in corporate mergers and acquisitions (M&A) activity. GDP growth in the third quarter was 3% higher than for the corresponding period of 2013, with higher levels of activity across the manufacturing, construction and service sectors. This stronger economic activity has been accompanied by further job creation, with the level of unemployment falling below 1.97m in the three months to the end of August. However, wage growth has continued to lag inflation, with the result that there has been no surge in high street spending. Although the domestic environment remained supportive, UK equities faced growing external headwinds including the economic slowdown in the eurozone and China, key destinations for many UK exporters. Geopolitical risks increased with the spread of hostilities in the Middle East and the problems in Ukraine, while the market was also unsettled ahead of the Scottish independence referendum. The divergent fortunes of the UK economy and those in Europe and Asia had an important impact on the earnings of many UK companies. The country s biggest firms operate in a global marketplace and have therefore proved susceptible to slower growth in several regions. Moreover, the strength of sterling has proved a challenge for companies operating internationally and has resulted in some currency-related downgrades to corporate earnings. In terms of activity, we initiated a position in pharmaceutical AstraZeneca following Pfizer s failed takeover bid. We see increasing value in AstraZeneca s pipeline, and a possible revised approach from Pfizer once the Takeover Panel s six-month restriction has expired. We increased our position in Rio Tinto (mining) and strong-performing defensive stock BT. Rio Tinto has an attractive valuation and a more stable financial position than its peers. We moved out of a position in broadcaster BSkyB, as the company faces uncertainty around its retention of rights to football matches. At the sector level, we moved from an overweight to an underweight position in healthcare, and increased our overweight position in consumer discretionary by adding to favoured names such as advertising company WPP and Informa. The fund s gross and net exposure finished the period at 131% and 103%, respectively. STATEMENT OF TOTAL RETURN Income Net capital gains 188 2,379 Revenue Expenses (389) (245) Finance costs: Derivative expense (42) Interest (1) Net revenue before taxation Taxation (1) Net revenue after taxation Total return 662 2,584 Finance costs: Equalisation 107 (4) Change in net assets attributable to shareholders from investment activities 769 2,580 STATEMENT OF CHANGE IN NET ASSETS ATTRIBUTABLE TO SHAREHOLDERS Opening net assets attributable to shareholders 47,156 24,128 Movement due to sales and repurchases of shares: Amounts receivable on the issue of shares 19, Amounts payable on the cancellation of shares (8,080) (1,437) 10,992 (678) Dilution adjustment 107 Stamp duty reserve tax (5) Change in net assets attributable to shareholders from investment activities (see statement of total return above) 769 2,580 Closing net assets attributable to shareholders 59,024 26,025 The comparatives used within the Statement of Change in s Attributable to Shareholders are for the corresponding period of the previous year. Therefore the opening net assets attributable to shareholders for the current year are at 30 April 2014 whilst the figure disclosed in the comparatives closing net assets attributable to shareholders is at 31 October BALANCE SHEET as at 31 October 2014 April Assets Investment assets 57,094 43,380 Other assets Debtors 657 2,593 Cash and bank balances 2,074 2,688 Total other assets 2,731 5,281 Total assets 59,825 48,661 Liabilities Derivative liabilities (2) Other liabilities Creditors (799) (1,503) Bank overdrafts (2) Total other liabilities (799) (1,505) Total liabilities (801) (1,505) Net assets attributable to shareholders 59,024 47,156 Notes to the financial statements 1 ACCOUNTING POLICIES The accounting policies for the fund are the same as those disclosed in the aggregated financial statements on page 5. *In pound Sterling and against UK peer group. Please refer to pages 63 to 69 for comparative tables. 7

10 Threadneedle UK Equity Alpha Income Fund Investment Report Investment Objective The investment objective of the UK Equity Alpha Income Fund is to achieve a reasonable and growing income with the prospects of capital growth from a concentrated portfolio of UK equities. Investment Policy The ACD s investment policy is to invest the assets of the Fund in a concentrated portfolio of predominantly UK equities. The Alpha Income investment approach is a highly focused management style, which gives the ACD the flexibility to take significant stock and sector positions, which may lead to increased levels of volatility. The portfolio will consist primarily of equities of companies domiciled in the UK, or which have significant UK operations. Performance of Net Income Class 1 Shares* Over the six months to 31 October 2014, the published share price of the Threadneedle UK Equity Alpha Income Fund has fallen from 64.85p to 64.06p. For comparison, using noon prices, the performance of the Class 1 share class was -1.21% and -0.93% for the Class 2 share class compared to a return of -1.14% for the Morningstar UK Unit Trusts/OEICS (IMA) UK Equity Income Peer Group (on a bid to bid basis, with income reinvested for a UK basic rate taxpayer). For information purposes, using global close prices, the total return of the FTSE All-Share Index was -1.58%. Portfolio Activity The UK equity market posted a negative return over the six months under review with the FTSE All-Share falling 1.58%. October proved particularly volatile, with the market falling sharply mid-month, as investors focused on global concerns, before rallying into the month-end, buoyed by the Bank of Japan s decision to significantly expand its quantitative easing programme. Investors were heartened by the strength of the UK economic recovery and the pick-up in corporate mergers and acquisitions (M&A) activity. GDP growth in the third quarter was 3% higher than for the corresponding period of 2013, with higher levels of activity across the manufacturing, construction and service sectors. This stronger economic activity has been accompanied by further job creation, with the level of unemployment falling below 1.97m in the three months to the end of August. However, wage growth has continued to lag inflation, with the result that there has been no surge in high street spending. Although the domestic environment remained supportive, UK equities faced growing external headwinds including the economic slowdown in the eurozone and China, key destinations for many UK exporters. Geopolitical risks increased with the spread of hostilities in the Middle East and the problems in Ukraine, while the market was also unsettled ahead of the Scottish independence referendum. The divergent fortunes of the UK economy and those in Europe and Asia had an important impact on the earnings of many UK companies. The country s biggest firms operate in a global marketplace and have therefore proved susceptible to slower growth in several regions. Moreover, the strength of sterling has proved a challenge for companies operating internationally and has resulted in some currency-related downgrades to corporate earnings. In terms of activity, we initiated a position in energy utility Centrica; the shares are now attractively valued and the company has a new management team in place. We also opened a position in HSBC, thus reducing our underweight stance in the banking giant; HSBC has been affected by emerging-market headwinds, but the valuation arguably gives it the most attractive risk-adjusted upside potential in the sector. We exited transport firm National Express, as we see better opportunities in sector peer Stagecoach, where we initiated a holding. We took profits in GKN (engineering) as the shares have performed well since they were purchased by the fund. STATEMENT OF TOTAL RETURN Income Net capital (losses)/gains (17,457) 68,586 Revenue 15,998 11,501 Expenses (4,442) (3,020) Finance costs: Interest (2) Net revenue before taxation 11,554 8,481 Taxation Net revenue after taxation 11,554 8,481 Total return before distributions (5,903) 77,067 Finance costs: s (15,676) (11,328) Change in net assets attributable to shareholders from investment activities (21,579) 65,739 BALANCE SHEET as at 31 October 2014 April Assets Investment assets 794, ,987 Other assets Debtors 10,529 17,874 Cash and bank balances 26,347 3,393 Total other assets 36,876 21,267 Total assets 831, ,254 Liabilities Other liabilities Creditors (7,214) (11,237) payable on income shares (17,091) (15,338) Total other liabilities (24,305) (26,575) Total liabilities (24,305) (26,575) Net assets attributable to shareholders 806, ,679 STATEMENT OF CHANGE IN NET ASSETS ATTRIBUTABLE TO SHAREHOLDERS Opening net assets attributable to shareholders 732, ,090 Movement due to sales and repurchases of shares: Amounts receivable on the issue of shares 114,845 97,773 Amounts payable on the cancellation of shares (19,112) (3,898) 95,733 93,875 Dilution adjustment 80 Stamp duty reserve tax (10) (75) Change in net assets attributable to shareholders from investment activities (see statement of total return above) (21,579) 65,739 Closing net assets attributable to shareholders 806, ,709 The comparatives used within the Statement of Change in s Attributable to Shareholders are for the corresponding period of the previous year. Therefore the opening net assets attributable to shareholders for the current year are at 30 April 2014 whilst the figure disclosed in the comparatives closing net assets attributable to shareholders is at 31 October *In pound Sterling and against UK peer group. Please refer to pages 63 to 69 for comparative tables. DISTRIBUTION TABLE Dividend distribution in pence per share Class 1 Shares Net Income Period Net Revenue Equalisation Payable Paid Group 1 01/05/14 to 31/10/ Group 2 01/05/14 to 31/10/ Total distributions in the period Class 2 Shares Net Income Period Net Revenue Equalisation Payable Paid Group 1 01/05/14 to 31/10/ Group 2 01/05/14 to 31/10/ Total distributions in the period

11 Threadneedle UK Equity Alpha Income Fund DISTRIBUTION TABLE (continued) Class Z Shares Net Income Period Net Revenue Equalisation Payable Paid Group 1 01/05/14 to 31/10/ Group 2 01/05/14 to 31/10/ Total distributions in the period Group 2: shares purchased during a distribution period Notes to the financial statements 1 ACCOUNTING POLICIES The accounting policies for the fund are the same as those disclosed in the aggregated financial statements on page 5. 9

12 Threadneedle UK Absolute Alpha Fund Investment Report Investment Objective The investment objective of the UK Absolute Alpha Fund is to achieve an absolute return, irrespective of market conditions, over the long term and a positive return over a 12 month period. There is a risk to capital, and there is no guarantee that such a return will be achieved within 12 months, or any other timescale. Investment Policy The ACD s investment policy is to principally invest in: equity securities, or equity related derivatives, of corporate issuers headquartered in the United Kingdom (or corporate issuers who exercise a predominant part of their activity in the United Kingdom) fixed interest securities, cash, or money market instruments. If the ACD considers it desirable, the ACD may invest in securities and derivatives related to corporate issuers headquartered outside the United Kingdom. The Fund s exposure to any equities may be gained through long and short positions. The ACD may take long and short positions through the use of derivatives and forward transactions. In addition in order to gain long exposure the ACD may invest in equities, collective investment schemes including exchange traded funds and/or related indices. Performance of Net Accumulation Class 1 Shares* Over the six months to 31 October 2014, the published share price of the Threadneedle UK Absolute Alpha Fund has risen from p to p. For comparison, using noon prices, the performance of the Class 1 share class was +2.84% and +3.07% for the Class 2 share class compared to a return of +0.98% for the Morningstar UK Unit Trusts/OEICS (IMA) UK Absolute Return Peer Group (on a bid to bid basis, with income reinvested for a UK basic rate taxpayer). For information purposes, the UK LIBOR 3 Month returned +0.28%. Portfolio Activity The UK equity market posted a negative return over the six months under review with the FTSE All-Share falling 1.58%. October proved particularly volatile, with the market falling sharply midmonth, as investors focused on global concerns, before rallying into the month-end, buoyed by the Bank of Japan s decision to significantly expand its quantitative easing programme. Investors were heartened by the strength of the UK economic recovery and the pick-up in corporate mergers and acquisitions (M&A) activity. GDP growth in the third quarter was 3% higher than for the corresponding period of 2013, with higher levels of activity across the manufacturing, construction and service sectors. This stronger economic activity has been accompanied by further job creation, with the level of unemployment falling below 1.97m in the three months to the end of August. However, wage growth has continued to lag inflation, with the result that there has been no surge in high street spending. Although the domestic environment remained supportive, UK equities faced growing external headwinds including the economic slowdown in the eurozone and China, key destinations for many UK exporters. Geopolitical risks increased with the spread of hostilities in the Middle East and the problems in Ukraine, while the market was also unsettled ahead of the Scottish independence referendum. The divergent fortunes of the UK economy and those in Europe and Asia had an important impact on the earnings of many UK companies. The country s biggest firms operate in a global marketplace and have therefore proved susceptible to slower growth in several regions. Moreover, the strength of sterling has proved a challenge for companies operating internationally and has resulted in some currency-related downgrades to corporate earnings. In terms of activity, we initiated a position in Howden Joinery, which is taking significant market share and benefitting from the strong domestic economy. More recently, we bought a holding in the tour operator Tui Travel. The shares have fallen a lot in recent months due to fears over the Ebola epidemic and yet we believe the impending merger with its parent company Tui AG will bring useful cost and tax savings. New positions in the period were funded through disposals of names such as Shire, whose risk-reward equation we no longer find favourable, and BSkyB, where we feel that our original thesis of strong execution and capital discipline is no longer valid. Following the sharp fall in the market during the first half of October, several of our short positions hit our price targets and so we decided to close all of our positions in the food retailing sector, our short position in a global testing firm along with our short in a property company. STATEMENT OF TOTAL RETURN Income Net capital gains 4,923 6,387 Revenue 2,107 1,031 Expenses (2,773) (1,825) Finance costs: Derivative expense (1,308) (386) Interest (1) Net expenses before taxation (1,975) (1,180) Taxation Net expenses after taxation (1,975) (1,180) Total return 2,948 5,207 Finance costs: Equalisation 2 59 Change in net assets attributable to shareholders from investment activities 2,950 5,266 BALANCE SHEET as at 31 October 2014 April Assets Investment assets 123, ,953 Other assets Debtors 5,048 6,298 Cash and bank balances 110, ,578 Total other assets 115, ,876 Total assets 238, ,829 Liabilities Derivative liabilities (103) (1,541) Other liabilities Creditors (6,630) (1,375) Total other liabilities (6,630) (1,375) Total liabilities (6,733) (2,916) Net assets attributable to shareholders 231, ,913 STATEMENT OF CHANGE IN NET ASSETS ATTRIBUTABLE TO SHAREHOLDERS Opening net assets attributable to shareholders 266,913 86,637 Movement due to sales and repurchases of shares: Amounts receivable on the issue of shares 78,700 46,503 Amounts payable on the cancellation of shares (116,939) (12,327) (38,239) 34,176 Dilution adjustment Stamp duty reserve tax (12) (62) Change in net assets attributable to shareholders from investment activities (see statement of total return above) 2,950 5,266 Closing net assets attributable to shareholders 231, ,024 The comparatives used within the Statement of Change in s Attributable to Shareholders are for the corresponding period of the previous year. Therefore the opening net assets attributable to shareholders for the current year are at 30 April 2014 whilst the figure disclosed in the comparatives closing net assets attributable to shareholders is at 31 October *In pound Sterling and against UK peer group. Please refer to pages 63 to 69 for comparative tables. Notes to the financial statements 1 ACCOUNTING POLICIES The accounting policies for the fund are the same as those disclosed in the aggregated financial statements on page 5. 10

13 Threadneedle Absolute Return Bond Fund Investment Report Investment Objective The investment objective of the Absolute Return Bond Fund is to achieve a total positive return over a 12 month period in all market conditions. There is a risk to capital, and there is no guarantee that such a return will be achieved within 12 months, or any other timescale. Investment Policy The ACD s investment policy is to invest the assets of the Fund so as to gain exposure to global bond and currency markets. The ACD will invest primarily in derivatives, cash and near cash, fixed interest securities, index linked securities, money market instruments and deposits. At times the portfolio may be concentrated in any one or a combination of such assets. The ACD may take long and short positions through derivatives in such issues. Performance of Net Accumulation Class 1 Shares* Over the six months to 31 October 2014, the published share price of the Threadneedle Absolute Return Bond Fund has risen from 63.13p to 63.83p. Using noon prices, the performance of the Class 1 share class was +1.11% and +1.45% for the Class 2 share class compared to a return of +0.98% for the Morningstar UK Unit Trusts/OEICS (IMA) Absolute Return Peer Group (on a bid to bid basis, with income reinvested for a UK basic rate taxpayer). For information purposes, the LIBOR 3 Month Deposit Rate returned +0.28%. Portfolio Activity In terms of currency strategies we maintained a significant US dollar overweight over the period, which proved beneficial. The long US dollar position against European currencies was rewarding as the European Central Bank (ECB) moved to ease monetary policy, whilst labour market data in the United States indicated a further reduction in slack. The ensuing divergence in monetary policy expectations between the two drove one of the biggest US dollar Bull markets of recent years. We also held a notable US dollar overweight against commodity currencies. While the fund s long US dollar position versus the New Zealand dollar initially detracted, as the Reserve Bank of New Zealand continued its rate hiking cycle, the bank subsequently signalled a pause in the hiking cycle contrary to market expectations and this position added value. In addition, the long position in the Norwegian krone versus the Swedish krona proved beneficial, as these countries divergent inflation profiles made the market reprice their central bank responses. Toward the end of the period, we became concerned over the outlook for risk assets as well as the extent of the move in the dollar. Accordingly, we moved to a short dollar position and initiated a short sterling versus yen position, which has a high correlation to risk assets. The fund remained long of peripheral eurozone debt as we anticipated the need for further stimulatory action by the ECB, which proved the case. The fund s long exposure therefore proved rewarding, with the compression of yield spreads as interest in the asset class continued to revive and investors added these countries back into their bond benchmarks. On the negative side, the long protection position on European high yield proved unhelpful as investors continued to look for ways to augment their portfolio returns. However, we felt that valuations had moved significantly out of line with fundamentals, largely due to the influx of liquidity from quantitative easing, to warrant holding this in the event of a setback to risk markets as extraordinary central bank support was removed in the US. There was also a negative impact from the short duration position across core government bond markets as they priced in accommodative policy from the ECB, whilst Federal Reserve officials pushed back on rate hike expectations, and global disinflationary trends intensified. The fund s yield-convergence trade on positions in Europe and the US proved unhelpful. At the end of October the Federal Reserve ended its quantitative easing programme and we believe this to have been a key support for risk assets. Consequently, we consider that the outlook for risk assets has deteriorated, particularly when viewed against the poorer outlook for global growth. We therefore remain short of risk assets expressed through the European high-yield market. Given our concerns as to how much the US economy can diverge from the rest of the world, we remain long of US rates relative to European rates. STATEMENT OF TOTAL RETURN Income Net capital gains/(losses) 4,611 (67) Revenue 2,324 4,311 Expenses (1,407) (2,036) Finance costs: Derivative expense (2,851) (770) Interest (5) Net (expenses)/revenue before taxation (1,939) 1,505 Taxation (147) Net (expenses)/revenue after taxation (1,939) 1,358 Total return 2,672 1,291 Change in net assets attributable to shareholders from investment activities 2,672 1,291 BALANCE SHEET as at 31 October 2014 April Assets Investment assets 263, ,746 Other assets Debtors 8,711 6,979 Cash and bank balances 9,117 25,249 Total other assets 17,828 32,228 Total assets 281, ,974 Liabilities Derivative liabilities (12,447) (7,419) Other liabilities Creditors (4,448) (7,737) Bank overdrafts (29) (23) Total other liabilities (4,477) (7,760) Total liabilities (16,924) (15,179) Net assets attributable to shareholders 264, ,795 STATEMENT OF CHANGE IN NET ASSETS ATTRIBUTABLE TO SHAREHOLDERS Opening net assets attributable to shareholders 281, ,972 Movement due to sales and repurchases of shares: Amounts receivable on the issue of shares 39,957 41,617 Amounts payable on the cancellation of shares (59,856) (61,766) (19,899) (20,149) Dilution adjustment Change in net assets attributable to shareholders from investment activities (see statement of total return above) 2,672 1,291 Closing net assets attributable to shareholders 264, ,145 The comparatives used within the Statement of Change in s Attributable to Shareholders are for the corresponding period of the previous year. Therefore the opening net assets attributable to shareholders for the current year are at 30 April 2014 whilst the figure disclosed in the comparatives closing net assets attributable to shareholders is at 31 October *In pound Sterling and against UK peer group. Please refer to pages 63 to 69 for comparative tables. Notes to the financial statements 1 ACCOUNTING POLICIES The accounting policies for the fund are the same as those disclosed in the aggregated financial statements on page 5. 11

14 Threadneedle Target Return Fund Investment Report Investment Objective The investment objective of the Target Return Fund is to achieve a total positive return in Euros over a 12 month period in all market conditions. There is a risk to capital, and there is no guarantee that such a return will be achieved within 12 months, or any other timescale. Investment Policy The ACD s investment policy is to invest the assets of the Fund to gain exposure to global bond and currency markets. The ACD will invest in derivatives, cash and near cash, fixed interest securities, index linked securities, money market instruments and deposits. At times the portfolio may be concentrated in any one or a combination of such assets. The ACD may take long and short positions through derivatives in such issues. Where securities are non-euro denominated they may be hedged into Euros on a Portfolio Currency level. Performance of Gross Accumulation Class 1 Shares* Over the six months to 31 October 2014, the published share price of the Threadneedle Target Return Fund has risen from to Euros. The performance of the Class 1 gross accumulation share class was +1.09% and +1.44% for the Class 2 gross accumulation share class, in EUR terms. For information purposes, the Euribor 3 Month Deposit Rate returned +0.10%. Portfolio Activity In terms of currency strategies we maintained a significant US dollar overweight over the period, which proved beneficial. The long US dollar position against European currencies was rewarding as the European Central Bank (ECB) moved to ease monetary policy, whilst labour market data in the United States indicated a further reduction in slack. The ensuing divergence in monetary policy expectations between the two drove one of the biggest US dollar Bull markets of recent years. We also held a notable US dollar overweight against commodity currencies. While the fund s long US dollar position versus the New Zealand dollar initially detracted, as the Reserve Bank of New Zealand continued its rate hiking cycle, the bank subsequently signalled a pause in the hiking cycle contrary to market expectations and this position added value. In addition, the long position in the Norwegian krone versus the Swedish krona proved beneficial, as these countries divergent inflation profiles made the market reprice their central bank responses. Toward the end of the period, we became concerned over the outlook for risk assets as well as the extent of the move in the dollar. Accordingly, we moved to a short dollar position and initiated a short sterlingversus-yen position, which has a high correlation to risk assets. The fund remained long of peripheral eurozone debt as we anticipated the need for further stimulatory action by the ECB, which proved the case. The fund s long exposure therefore proved rewarding, with the compression of yield spreads as interest in the asset class continued to revive and investors added these countries back into their bond benchmarks. On the negative side, the long protection position on European high yield proved unhelpful as investors continued to look for ways to augment their portfolio returns. However, we felt that valuations had moved significantly out of line with fundamentals, largely due to the influx of liquidity from quantitative easing, to warrant holding this in the event of a setback to risk markets as extraordinary central bank support was removed in the US. There was also a negative impact from the short duration position across core government bond markets as they priced in accommodative policy from the ECB, whilst Federal Reserve officials pushed back on rate hike expectations, and global disinflationary trends intensified. The fund s yield-convergence trade on positions in Europe and the US proved unhelpful. At the end of October the Federal Reserve ended its quantitative easing programme and we believe this to have been a key support for risk assets. Consequently, we consider that the outlook for risk assets has deteriorated, particularly when viewed against the poorer outlook for global growth. We therefore remain short of risk assets expressed through the European high-yield market. Given our concerns as to how much the US economy can diverge from the rest of the world, we remain long of US rates relative to European rates. STATEMENT OF TOTAL RETURN Income Net capital (losses)/gains (1,173) 1,520 Revenue 307 1,622 Expenses (204) (622) Finance costs: Derivative expense (381) (325) Interest (1) Net (expenses)/revenue before taxation (279) 675 Taxation Net (expenses)/revenue after taxation (279) 675 Total return (1,452) 2,195 Finance costs: s (675) Change in net assets attributable to shareholders from investment activities (1,452) 1,520 BALANCE SHEET as at 31 October 2014 April Assets Investment assets 31,522 46,065 Other assets Debtors 807 1,159 Cash and bank balances 2,819 6,392 Total other assets 3,626 7,551 Total assets 35,148 53,616 Liabilities Derivative liabilities (1,621) (1,593) Other liabilities Creditors (74) (2,334) Bank overdrafts (1) (4) Total other liabilities (75) (2,338) Total liabilities (1,696) (3,931) Net assets attributable to shareholders 33,452 49,685 STATEMENT OF CHANGE IN NET ASSETS ATTRIBUTABLE TO SHAREHOLDERS Opening net assets attributable to shareholders 49, ,937 Movement due to sales and repurchases of shares: Amounts receivable on the issue of shares 8,664 39,135 Amounts payable on the cancellation of shares (23,469) (53,354) (14,805) (14,219) Dilution adjustment Change in net assets attributable to shareholders from investment activities (see statement of total return above) (1,452) 1,520 Retained distribution on accumulation shares 673 Closing net assets attributable to shareholders 33, ,978 The comparatives used within the Statement of Change in s Attributable to Shareholders are for the corresponding period of the previous year. Therefore the opening net assets attributable to shareholders for the current year are at 30 April 2014 whilst the figure disclosed in the comparatives closing net assets attributable to shareholders is at 31 October *In pound Sterling and against UK peer group. Please refer to pages 63 to 69 for comparative tables. DISTRIBUTION TABLE Interest distribution in pence per share Class 1 Shares Net Accumulation There is no distribution, as expenses exceed revenue (2013: ). Class 1 Shares Gross Accumulation There is no distribution, as expenses exceed revenue (2013: ). Class 1 CHF Hedged Shares Gross Accumulation There is no distribution, as expenses exceed revenue (2013: ). Class 1 USD Hedged Shares Gross Accumulation There is no distribution, as expenses exceed revenue (2013: ). Class 2 Shares Gross Income There is no distribution, as expenses exceed revenue (2013: ). 12

15 Threadneedle Target Return Fund DISTRIBUTION TABLE (continued) Class 2 Shares Gross Accumulation There is no distribution, as expenses exceed revenue (2013: ). Class X Shares Gross Accumulation There is no distribution, as expenses exceed revenue (2013: ). Class Z Shares Net Accumulation There is no distribution, as expenses exceed revenue (2013: ). Class Z Shares Gross Accumulation There is no distribution, as expenses exceed revenue (2013: Nil). Notes to the financial statements 1 ACCOUNTING POLICIES The accounting policies for the fund are the same as those disclosed in the aggregated financial statements on page 5. 13

16 Threadneedle Pan European Focus Fund Investment Report Investment Objective The investment objective of the Pan European Focus Fund is to achieve above average capital growth. Investment Policy The ACD s investment policy is to actively manage a concentrated portfolio of primarily European equities including UK Equities with the ability to hold cash and/or money market securities in order to enable the pursuit of the fund s investment objective. This approach means that the ACD has the flexibility to take significant stock and sector positions, which may lead to increased levels of volatility. The portfolio will primarily consist of equities of companies domiciled in Europe including the UK or which have a significant part of their economic activities in Europe and/or the UK. Where securities are non-euro denominated they may be hedged into Euros. If the ACD considers it desirable it may hold a substantial proportion or all of the funds in cash and/or money market instruments. Performance of Net Accumulation Class 1 Shares* Over the six months to 31 October 2014, the published share price of the Threadneedle Pan European Focus Fund has fallen from p to p in sterling terms and risen from to Euros. For comparison, using noon prices, the sterling performance of the Class 1 share class was -3.26% and -2.97% for the Class 2 share class compared to a return of -3.19% for the Morningstar UK Unit Trusts/OEICs - (IMA) Europe Including UK Peer Group (on a bid to bid basis, with income reinvested for a UK basic rate taxpayer). For information purposes, using global close prices, the total return of the MSCI Europe Index was -3.44%. Portfolio Activity European equities, as measured by the MSCI Europe Index, were lower in sterling and euro terms over the reporting period as Europe grappled with the problems of anaemic growth, low inflation and geopolitical worries. Sanctions against Russia, in response to the Ukraine conflict, prompted concerns over gas supplies and companies with Russian exposure. German exports to Russia fell by over 26% in August. The eurozone economy continued to experience low growth and inflation reached a five-year low of 0.3% in September, well below the European Central Bank s (ECB s) 2% target. In June, the ECB unveiled further measures to encourage growth and fend off deflation, cutting official interest rates to 0.15% and deposit rates to -0.1%. Monetary policy was loosened further in September: the ECB reduced benchmark interest rates by a further 10 basis points and announced an asset purchase programme, although this fell short of full scale quantitative easing (QE). The UK is performing better, producing higher levels of growth, but there are concerns around the excesses in the housing market. The portfolio was focused on high quality defensive growth stocks, with low exposure to cyclical and domestic companies. Purchases included the UK pharmaceutical group AstraZeneca, which has been the subject of take-over interest and has a good drugs portfolio and strong long-term prospects, and Anheuser- Busch InBev, the global brewing business which holds around half the growing US markets. We took profits in Bank of Ireland and sold Intesa San Paolo, the Italian bank, reducing our exposure to peripheral eurozone financial stocks in the face of low growth. We also sold temporary-employment agency Adecco, which is sensitive to a weak French economy. Our move to a more defensive positioning boosted returns, which nevertheless fell slightly behind the benchmark index over the period. We welcome the ECB s stimulus package, although the benefits of further interest-rate cuts are limited; rates have been low for a prolonged period without stimulating growth or inflation, and we need a mechanism to move liquidity from the ECB into the real economy. The ECB s action has weakened the euro, which will help companies with sales and operations outside the euro area. Full QE in the eurozone may be necessary, but will depend on future economic growth and inflation; there are few signs that the Germans will agree to this yet. Many companies in Europe (outside the financial sector) have strong balance sheets and cash flow, potentially boosting dividend growth; valuations, in our view, are not stretched. We favour companies with robust earnings prospects and pricing power, and continue to find attractive investment opportunities. STATEMENT OF TOTAL RETURN Income Net capital (losses)/gains (2,822) 8,012 Revenue Expenses (512) (960) Net revenue/(expenses) before taxation 319 (112) Taxation (58) (57) Net revenue/(expenses) after taxation 261 (169) Total return (2,561) 7,843 Finance costs: Equalisation (40) (1) Change in net assets attributable to shareholders from investment activities (2,601) 7,842 BALANCE SHEET as at 31 October 2014 April Assets Investment assets 72,772 83,303 Other assets Debtors 1,214 8,934 Cash and bank balances Total other assets 1,271 9,119 Total assets 74,043 92,422 Liabilities Other liabilities Creditors (1,070) (8,785) Bank overdrafts (47) Total other liabilities (1,070) (8,832) Total liabilities (1,070) (8,832) Net assets attributable to shareholders 72,973 83,590 STATEMENT OF CHANGE IN NET ASSETS ATTRIBUTABLE TO SHAREHOLDERS Opening net assets attributable to shareholders 83,590 66,943 Movement due to sales and repurchases of shares: Amounts receivable on the issue of shares 2,709 8,296 Amounts payable on the cancellation of shares (10,731) (10,425) (8,022) (2,129) Dilution adjustment 6 11 Stamp duty reserve tax (3) Change in net assets attributable to shareholders from investment activities (see statement of total return above) (2,601) 7,842 Closing net assets attributable to shareholders 72,973 72,664 The comparatives used within the Statement of Change in s Attributable to Shareholders are for the corresponding period of the previous year. Therefore the opening net assets attributable to shareholders for the current year are at 30 April 2014 whilst the figure disclosed in the comparatives closing net assets attributable to shareholders is at 31 October * In pound Sterling and against UK peer group. Please refer to pages 63 to 69 for comparative tables. 14 Notes to the financial statements 1 ACCOUNTING POLICIES The accounting policies for the fund are the same as those disclosed in the aggregated financial statements on page 5.

17 Threadneedle Pan European Equity Dividend Fund Investment Report Investment Objective The investment objective of the Pan European Equity Dividend Fund is to achieve a growing income combined with prospects for capital growth from a portfolio of Pan European equities. Investment Policy The ACD s investment policy is to invest the assets of the Fund primarily in the equities of companies domiciled in Continental Europe and the UK or with significant Continental European and UK activities. The ACD will look to invest in companies that exhibit a high potential for paying above average dividends. If the ACD considers it desirable it may further invest up to one third of the total assets of the Fund in other securities (including fixed interest securities, other equities, money market securities, cash and near cash). Performance of Net Income Class 1 Shares* Over the six months to 31 October 2014, the published share price of the Threadneedle Pan European Equity Dividend Fund has fallen from 81.33p to 78.67p in sterling terms and risen from to Euros. For comparison, using noon prices, the performance of the Class 1 share class was -3.34% and -3.06% for the Class 2 share class compared to a return of -3.19% for the Morningstar UK Unit Trusts/OEICS (IMA) Europe Including UK Peer Group (on a bid to bid basis, with income reinvested for a UK basic rate taxpayer). For information purposes, using global close prices, the total return of the MSCI Europe Index was -3.44%. Portfolio Activity European equities, as measured by the MSCI Europe Index, were lower in sterling and euro terms over the reporting period as Europe grappled with the problems of anaemic growth, low inflation and geopolitical worries. Sanctions against Russia, in response to the Ukraine conflict, prompted concerns over gas supplies and companies with Russian exposure. German exports to Russia fell by over 26% in August. The eurozone economy continued to experience low growth, and inflation reached a five-year low of 0.3% in September, well below the European Central Bank s (ECB s) 2% target. In June, the ECB unveiled further measures to encourage growth and fend off deflation, cutting official interest rates to 0.15% and deposit rates to -0.1%. Monetary policy was loosened further in September: the ECB reduced benchmark interest rates by a further 10 basis points and announced an asset purchase programme, although this fell short of full scale quantitative easing (QE). The UK is performing better, producing higher levels of growth, but there are concerns around the excesses in the housing market. The portfolio was focused on high quality defensive growth stocks, with low exposure to cyclical and domestic companies. Purchases included the UK pharmaceutical group AstraZeneca, which has been the subject of take-over interest and has a good drugs portfolio and strong long-term prospects, and BT, the UK telecommunications business, which also offers stable and predictable growth prospects. We sold Edenred, the vouchers business, which has Latin American interests that are sensitive to the economic problems in that area, and also because low interest rates reduce the company s returns on cash balances from uncashed vouchers. We sold Syngenta, the crop protection and seeds business, after disappointing results; it may suffer from lower crop prices. This defensive positioning boosted returns, which were ahead of the benchmark index over the period. We welcome the ECB s stimulus package, although the benefits of further interest-rate cuts are limited; rates have been low for a prolonged period without stimulating growth or inflation, and we need a mechanism to move liquidity from the ECB into the real economy. The ECB s action has weakened the euro, which will help companies with sales and operations outside the euro area. Full QE in the eurozone may be necessary, but will depend on future economic growth and inflation; there are few signs that the Germans will agree to this yet. Many companies in Europe (outside the financial sector) have strong balance sheets and cash flow, potentially boosting dividend growth; in our view, valuations are not stretched. We favour companies with robust earnings prospects and pricing power, and continue to find attractive investment opportunities. STATEMENT OF TOTAL RETURN Income Net capital (losses)/gains (4,969) 2,767 Revenue 1, Expenses (386) (251) Net revenue before taxation 1, Taxation (119) (37) Net revenue after taxation 1, Total return before distributions (3,625) 3,052 Finance costs: s (1,677) (508) Change in net assets attributable to shareholders from investment activities (5,302) 2,544 BALANCE SHEET as at 31 October 2014 April Assets Investment assets 42,744 92,114 Other assets Debtors 242 1,044 Cash and bank balances Total other assets 1,206 1,316 Total assets 43,950 93,430 Liabilities Other liabilities Creditors (864) (226) payable on income shares (569) (686) Total other liabilities (1,433) (912) Total liabilities (1,433) (912) Net assets attributable to shareholders 42,517 92,518 STATEMENT OF CHANGE IN NET ASSETS ATTRIBUTABLE TO SHAREHOLDERS Opening net assets attributable to shareholders 92,518 24,476 Movement due to sales and repurchases of shares: Amounts receivable on the issue of shares 15,537 16,431 Amounts payable on the cancellation of shares (60,606) (3,793) (45,069) 12,638 Dilution adjustment Stamp duty reserve tax (1) (6) Change in net assets attributable to shareholders from investment activities (see statement of total return above) (5,302) 2,544 Retained distribution on accumulation shares Closing net assets attributable to shareholders 42,517 39,894 The comparatives used within the Statement of Change in s Attributable to Shareholders are for the corresponding period of the previous year. Therefore the opening net assets attributable to shareholders for the current year are at 30 April 2014 whilst the figure disclosed in the comparatives closing net assets attributable to shareholders is at 31 October * In pound Sterling and against UK peer group. Please refer to pages 63 to 69 for comparative tables. 15 DISTRIBUTION TABLE Dividend distribution in pence per share Class 1 Shares Net Income Period Net Revenue Equalisation Payable Paid Group 1 01/05/14 to 31/10/ Group 2 01/05/14 to 31/10/ Total distributions in the period Class 1 Shares Net Accumulation Period Net Revenue Equalisation Net Revenue Net Revenue Accumulated Accumulated Group 1 01/05/14 to 31/10/ Group 2 01/05/14 to 31/10/ Total distributions in the period

18 Threadneedle Pan European Equity Dividend Fund DISTRIBUTION TABLE (continued) Class 2 Shares Net Income Period Net Revenue Equalisation Payable Paid Group 1 01/05/14 to 31/10/ Group 2 01/05/14 to 31/10/ Total distributions in the period Class 2 Shares Net Accumulation Period Net Revenue Equalisation Net Revenue Net Revenue Accumulated Accumulated Group 1 01/05/14 to 31/10/ Group 2 01/05/14 to 31/10/ Total distributions in the period Notes to the financial statements 1 ACCOUNTING POLICIES The accounting policies for the fund are the same as those disclosed in the aggregated financial statements on page 5. Class X Shares Net Income* Period Net Revenue Equalisation Payable 2014 Group 1 31/07/14 to 31/10/ Group 2 31/07/14 to 31/10/ Total distributions in the period Class X Shares Net Accumulation** Period Net Revenue Equalisation Net Revenue Accumulated 2014 Group 1 01/05/14 to 31/10/ Group 2 01/05/14 to 31/10/ Total distributions in the period Class Z Shares Net Income Period Net Revenue Equalisation Payable Paid Group 1 01/05/14 to 31/10/ Group 2 01/05/14 to 31/10/ Total distributions in the period Class Z Shares Net Accumulation*** Period Net Revenue Equalisation Net Revenue Accumulated 2014 Group 1 20/08/14 to 31/10/ Group 2 20/08/14 to 31/10/ Total distributions in the period Group 2: shares purchased during a distribution period. * Class X Net income shares commenced 31 July ** Class X Net accumulation shares commenced 1 April *** Class Z Net accumulation shares commenced 20 August

19 Threadneedle American Extended Alpha Fund Investment Report Investment Objective The investment objective of the American Extended Alpha Fund is to achieve above average capital growth. Investment Policy The ACD s investment policy is to actively manage an exposure primarily to equities of companies which are domiciled in North America or which have significant North American operations, by investing directly or indirectly in such securities. If the ACD considers it desirable it may further invest up to one third of the total assets of the Fund in markets other than in North America. Exposure to North American and other markets may be gained through both long and short positions. The ACD may invest in equities, derivatives, forward transactions and collective investment schemes. The ACD may also invest in other securities (including fixed interest securities and money market securities), deposits and cash. In order to gain short exposure the ACD will invest in derivatives. The ACD may also invest in derivatives to gain long exposure. Performance of Net Accumulation Class 1 Shares* Over the six months to 31 October 2014, the published share price of the Threadneedle American Extended Alpha Fund has risen from p to p. For comparison, on a total return basis using noon prices, the performance of the Class 1 share class was % and % for the Class 2 share class compared to a return of % for the Morningstar UK Unit Trusts/OEICS (IMA) North America Peer Group (on a bid to bid basis, with income reinvested for a UK basic rate taxpayer). For information purposes, using global close prices, the total return of the S&P 500 Composite Index was %. Portfolio Activity US equity markets posted positive returns in dollar terms over the period, despite bouts of volatility associated with market expectations around the pace of monetary policy stimulus withdrawal. Markets were supported by generally robust corporate earnings and evidence that economic recovery is gaining momentum. Slowing global growth impacted internationally exposed US stocks, and also precipitated declines in the price of oil and a further fall in bond yields. Within this context healthcare and technology stocks, that could evidence sustainable growth, outperformed, while energy, materials and industrials stocks lagged the market. The fund outperformed the S&P 500 index over the period, with outperformance driven by security selection decisions. The short book contributed strongly, but there was some detraction from the long book. Activity was driven by stock level decisions. We initiated new positions in home improvement business Home Depot, and in diversified bank Well Fargo. We also added to existing holdings including credit-card companies MasterCard and Visa, as well as diversified bank JP Morgan Chase. Conversely, we closed our positions in oil major Exxon Mobil. The net impact of our activity was to reduce exposures to consumer discretionary, energy and industrials sectors and to increase our positions in technology, financials and utilities. We believe that the fundamentals of the US economy remain positive and we are forecasting GDP growth of 2.5-3% in We believe this can support earnings growth of around 9.5% in We note slower growth in China and the eurozone, and the risk this entails for the export earnings of US multinationals. However, we view the US favourably on a relative basis and see a stronger dollar, lower energy and food prices, and continued low interest rates as part of a generally constructive backdrop for the US consumer. We also believe that these will work to the benefit of lower- and middle-income America and the domestic economy. STATEMENT OF TOTAL RETURN Income Net capital gains 78, ,671 Revenue 3,510 4,078 Expenses (5,186) (7,182) Finance costs: Derivative expense (439) (941) Interest (2) Net expenses before taxation (2,117) (4,045) Taxation (540) (480) Net expenses after taxation (2,657) (4,525) Total return 75, ,146 Finance costs: Equalisation (10) Change in net assets attributable to shareholders from investment activities 75, ,146 BALANCE SHEET as at 31 October 2014 April Assets Investment assets 590, ,983 Other assets Debtors 19,975 15,826 Cash and bank balances 178, ,881 Total other assets 198, ,707 Total assets 789, ,690 Liabilities Derivative liabilities (961) (3) Other liabilities Creditors (9,731) (12,189) Total other liabilities (9,731) (12,189) Total liabilities (10,692) (12,192) Net assets attributable to shareholders 778, ,498 STATEMENT OF CHANGE IN NET ASSETS ATTRIBUTABLE TO SHAREHOLDERS Opening net assets attributable to shareholders 726, ,553 Movement due to sales and repurchases of shares: Amounts receivable on the issue of shares 291, ,256 Amounts payable on the cancellation of shares (315,789) (359,783) (24,038) 106,473 Dilution adjustment Stamp duty reserve tax (19) Change in net assets attributable to shareholders from investment activities (see statement of total return above) 75, ,146 Closing net assets attributable to shareholders 778,909 1,082,209 The comparatives used within the Statement of Change in s Attributable to Shareholders are for the corresponding period of the previous year. Therefore the opening net assets attributable to shareholders for the current year are at 30 April 2014 whilst the figure disclosed in the comparatives closing net assets attributable to shareholders is at 31 October Notes to the financial statements 1 ACCOUNTING POLICIES The accounting policies for the fund are the same as those disclosed in the aggregated financial statements on page 5. *In pound Sterling and against UK peer group. Please refer to pages 63 to 69 for comparative tables. 17

20 Threadneedle China Opportunities Fund Investment Report Investment Objective The investment objective of the China Opportunities Fund is to achieve long-term capital growth. Invest Policy The ACD s investment policy is to invest the assets of the Fund primarily in equities and equity related securities of Chinese companies. These are defined as companies domiciled in and/ or whose significant activities are in the People s Republic of China. If the ACD considers it desirable, it may further invest up to one third of the total assets of the Fund in derivatives, forward transactions and other securities (including fixed interest securities, other equities, money market securities and cash). In exceptional circumstances and on a temporary basis, the ACD may hold a substantial proportion of the Fund in cash and/or money market instruments. Performance of Net Accumulation Class 1 Shares* Over the six months to 31 October 2014, the published share price of the Threadneedle China Opportunities Fund has risen from p to p. For comparison, using noon prices, the performance of the Class 1 share class was % and % for the Class 2 share class compared to a return of % for the Morningstar UK Unit Trusts/OEICS (IMA) China Greater China Peer Group (on a bid to bid basis, with income reinvested for a UK basic rate taxpayer). For information purposes, using global close prices, the total return of the MSCI China Index was %. Portfolio Activity Chinese equities performed strongly over the reporting period, despite bouts of volatility. Initially, sentiment was buoyed by some better economic data and speculation that the authorities would loosen monetary policy. China s economy grew by 7.5% in the second quarter, manufacturing growth hit a six-month high in June, and exports grew by 14.5% (year on year) in July. By August, however, the economic news was becoming less positive, and September saw a sharp fall in Chinese equities, fuelled by worries over the political demonstrations in Hong Kong. Growth in the Chinese economy slowed to 7.3% in the third quarter, with the downturn in the property market leading to softer consumer demand. The market rallied strongly at the very end of the period, buoyed by the Bank of Japan s decision to expand its programme of quantitative easing (QE), which should help to increase global liquidity at a time when the US Federal Reserve has ended its own QE policy. During the period, the fund participated in the successful listing of Alibaba, now the largest online and mobile e-commerce business in the world in terms of gross merchandise volume. We also bought new positions in Huadian Power, which is benefitting from lower coal costs in China, and China Mobile, where improvements in the quality of its 4G network and lower marketing expenses should expand profit margins. Earlier, we established new holdings in PetroChina, the country s biggest oil and gas producer, which has started to undergo strategic reform with a greater focus on returns, and in Hong Kong Exchanges & Clearing Limited, which stands to benefit from increased market turnover when the Hong Kong Shanghai Stock Connect scheme is rolled out in November. Other new purchases included China Unicom (telecommunications), Sinotrans (logistics), Luye Pharma (drugs), Tianhe Chemicals (specialty chemicals) and JD.com (e-commerce). Sales included Guangshen Railway (railway operation in Guangdong province), CIMC Enric (engineering), Nine Dragons (paper), China Life Insurance, Biostime International (infant products) and Yashili International (infant formula). We reduced the significant overweight in Vipshop, China s leading online discount retailer, after a strong run. Given relatively subdued demand for cement, we trimmed the holdings in China Resources Cement. STATEMENT OF TOTAL RETURN Income Net capital gains 11,521 5,659 Revenue 1,759 1,201 Expenses (518) (415) Net revenue before taxation 1, Taxation (121) (46) Net revenue after taxation 1, Total return 12,641 6,399 Change in net assets attributable to shareholders from investment activities 12,641 6,399 BALANCE SHEET as at 31 October 2014 April Assets Investment assets 93,179 68,162 Other assets Debtors 1, Cash and bank balances 1,636 1,298 Total other assets 2,644 1,360 Total assets 95,823 69,522 Liabilities Other liabilities Creditors (485) (303) Total other liabilities (485) (303) Total liabilities (485) (303) Net assets attributable to shareholders 95,338 69,219 STATEMENT OF CHANGE IN NET ASSETS ATTRIBUTABLE TO SHAREHOLDERS Opening net assets attributable to shareholders 69,219 70,651 Movement due to sales and repurchases of shares: Amounts receivable on the issue of shares 42,526 21,613 Amounts payable on the cancellation of shares (29,155) (24,500) 13,371 (2,887) Dilution adjustment Change in net assets attributable to shareholders from investment activities (see statement of total return above) 12,641 6,399 Closing net assets attributable to shareholders 95,338 74,278 The comparatives used within the Statement Of Change In s Attributable To Shareholders are for the corresponding period of the previous year. Therefore the opening net assets attributable to shareholders for the current year are at 30 April 2014 whilst the figure disclosed in the comparatives closing net assets attributable to shareholders is at 31 October Notes to the financial statements 1 ACCOUNTING POLICIES The accounting policies for the fund are the same as those disclosed in the aggregated financial statements on page 5. *In pound Sterling and against UK peer group. Please refer to pages 63 to 69 for comparative tables. 18

21 Threadneedle Global Emerging Markets Equity Fund Investment Report Investment Objective The investment objective of the Global Emerging Markets Equity Fund is to achieve long-term capital growth. Investment Policy The ACD s investment policy is to invest the assets of the Fund primarily in equities of Emerging Markets companies. These are defined as companies domiciled in and/or whose significant activities are in Emerging Market countries. Emerging Market countries are those characterised as developing or emerging by the World Bank, the United Nations or the MSCI Emerging Markets Free Index. If the ACD considers it desirable, it may further invest up to one third of the total assets of the Fund in other securities (including fixed interest securities, other equities and money market securities). In addition, the ACD may use derivatives and forward transactions for purposes that are limited to efficient portfolio management. Performance of Net Accumulation Class 1 Shares* Over the six months to 31 October 2014, the published share price of the Threadneedle Global Emerging Markets Equity Fund has risen from 82.44p to 91.22p. For comparison, using noon prices, the performance of the Class 1 share class was % and % for the Class 2 share class compared to a return of +9.00% for the Morningstar UK Unit Trusts/OEICS (IMA) Global Emerging Markets Peer Group (on a bid to bid basis, with income reinvested for a UK basic rate taxpayer). For information purposes, using global close prices, the total return of the MSCI Emerging Markets Index was +9.73%. Portfolio Activity Emerging markets experienced mixed fortunes in the period under review. The MSCI Emerging Markets Index rallied strongly for much of the period between May and August, buoyed by the ample liquidity provided by the Fed, ECB and the BoJ, some easing of liquidity in China and by positive newsflow regarding reforms in India and Mexico. The Indian market performed particularly strongly following the victory by Prime Minister Narendra Modi in the April/May elections, given his pro-reform credentials. Brazil also drove performance initially after polls suggested that the presidential candidate Marina da Silva, who replaced her running mate Eduardo Campos following his death in a plane crash, might defeat the incumbent president, Dilma Rousseff, who had become so unpopular with investors. Other buoyant markets included Thailand, which benefited from optimism that the new military government will be able to restore business and consumer confidence. Mexico also performed well as it is a key beneficiary of the strength of the US economic recovery, given its role as a manufacturing base for many US companies. The exception was Russia, where equities and the rouble came under pressure due to the escalation of the conflict in Ukraine and the imposition of sanctions against Russia by the US and EU. To help support the currency, as Western sanctions continued to bite, the Russian central bank was forced to hike interest rates to 9.5% at the end of the period. Following this period of strength for most emerging markets, however, September saw a sharp reversal in fortunes, as the US dollar rallied and weak data from the Chinese property market raised renewed concerns about the prospects of the Chinese economy. In aggregate, the MSCI Emerging Markets Index finished the review period up 4% in US dollar terms. Brazil came under particular pressure in the latter stages of the period, as it became clear that the unpopular incumbent president would in fact defeat her rivals in the national elections. The Indian market, on the other hand, proved relatively resilient as the newly elected government began to deliver on some of their promises regarding economic reforms. During the period, we invested in Melco Crown Philippines, an operator of casino and entertainment resorts and BanColombia, the largest bank in Colombia. In China we initiated a position in the logistics business, Sinotrans, and participated in the IPO by the drugs company, Luye Pharma. We took profits in Alpha Bank in Greece after a run of strong performance. Early on in the period, we sold out of PTTGC, a Thai chemicals business, Ansell, a producer of health and safety products, and CIMC Enric, which manufactures gas equipment in China. STATEMENT OF TOTAL RETURN Income Net capital gains/(losses) 16,511 (2,018) Revenue 2,403 2,699 Expenses (1,316) (1,021) Finance costs: Interest (1) Net revenue before taxation 1,086 1,678 Taxation (245) (304) Net revenue after taxation 841 1,374 Total return 17,352 (644) Change in net assets attributable to shareholders from investment activities 17,352 (644) BALANCE SHEET as at 31 October 2014 April Assets Investment assets 284, ,781 Other assets Debtors 9,048 1,804 Cash and bank balances 12,607 13,381 Total other assets 21,655 15,185 Total assets 305, ,966 Liabilities Other liabilities Creditors (7,168) (2,526) Total other liabilities (7,168) (2,526) Total liabilities (7,168) (2,526) Net assets attributable to shareholders 298, ,440 STATEMENT OF CHANGE IN NET ASSETS ATTRIBUTABLE TO SHAREHOLDERS Opening net assets attributable to shareholders 187, ,086 Movement due to sales and repurchases of shares: Amounts receivable on the issue of shares 122,842 58,495 Amounts payable on the cancellation of shares (29,476) (27,338) 93,366 31,157 Dilution adjustment Change in net assets attributable to shareholders from investment activities (see statement of total return above) 17,352 (644) Closing net assets attributable to shareholders 298, ,792 The comparatives used within the Statement of Change in s Attributable to Shareholders are for the corresponding period of the previous year. Therefore the opening net assets attributable to shareholders for the current year are at 30 April 2014 whilst the figure disclosed in the comparatives closing net assets attributable to shareholders is at 31 October *In pound Sterling and against UK peer group. Please refer to pages 63 to 69 for comparative tables. Notes to the financial statements 1 ACCOUNTING POLICIES The accounting policies for the fund are the same as those disclosed in the aggregated financial statements on page 5. 19

22 Threadneedle Emerging Market Local Fund Investment Report Investment Objective The investment objective of the Emerging Market Local Fund is to achieve a total return primarily by way of income with some capital growth. Investment Policy The ACD s investment policy is to actively manage an exposure primarily to emerging market local currencies and debt securities issued by governments in Emerging Markets and/or companies which are domiciled or have significant operations in an Emerging Market. Those debt securities may be denominated in any currency, but at least two-thirds of the Fund will be invested in securities denominated in the local emerging market currency. Emerging markets countries are those characterised as developing or emerging by the MSCI Emerging Markets Index or those not listed in the OECD country list. If the ACD considers it desirable the Fund may gain exposure of up to one third of the total assets of the Fund to non-emerging market currencies and non-emerging market government / corporate debt securities. The ACD will utilise the following investments to obtain the Funds exposure: government bonds, treasury bills, corporate bonds, cash or near cash, securitised notes, foreign exchange forward transactions, swaps (including but not limited to cross currency interest rate and credit default swaps) and other types of derivative. At times the portfolio may be concentrated in any one or a combination of such assets. Performance of Net Income Class 1 Shares* Over the six months to 31 October 2014, the published share price of Class 1 shares in the Threadneedle Emerging Market Local Fund has fallen from 99.61p to 98.27p. For comparison, using noon prices, the performance of the Class 1 share class was +2.24%. The performance of the Class 1 gross accumulation share class was +2.25% and +2.68% for the Class 2 gross accumulation share class. For information purposes, using global close prices, the total return of the JPM GBI-EM Global Diversified Index was +4.26%. Portfolio Activity Emerging-market debt delivered negative returns over the six months under review. Local-currency bonds have been hurt by the secular strength in the US dollar, weakness in commodity prices and crisis in the Middle East and Ukraine. The relationship between the West and Russia has deteriorated sharply following outbreak of violence in the East of Ukraine. This led to economic sanctions imposed on Russia, triggering a sharp sell-off in the rouble. The Central Bank of Russia had to react in order to alleviate the situation and delivered a cumulative 400 basis points of interest-rate hikes. Meanwhile, Argentina has defaulted on its debt for the second time in 13 years. There was also some disappointing economic data from China and concerns about potential outflows from emerging markets after Bill Gross left PIMCO, the world s largest bond manager. The volatility persisted into October, with Brazilian bonds selling off after Dilma Rousseff won re-election as president of Brazil. We reacted promptly to the deteriorating relationship between the Kremlin and the West by exiting our positions in Russia. We also successfully avoided any exposure to defaulted Argentine debt. We participated in some attractively priced new issues that offered interesting investment theses, such as Macedonia. On expectations of a positive outcome in the Indonesian elections, we bought local-currency bonds that should benefit greatly from the structural reforms proposed by the new government. Following the appointment of a market-friendly cabinet in Turkey, we decided to cover our underweight through localcurrency positions and by investing in rates as the central bank adopted a cautious stance to monetary policy. In September, we sold some of our positions in Venezuela as President Maduro reshuffled his cabinet and some of the key proreform ministers lost their posts. We thus avoided the significant sell-off in the Venezuela s bonds that ensued during the month. We continue to watch the situation in the country very closely. We reduced our position in long-dated Brazilian government bonds as opinion polls pointed to a Rousseff victory in the October election. We also reduced our positions in long-dated inflation-linked bonds in Mexico. As volatility spiked in the emerging-market universe, we promptly cut risks in the portfolio by paying rates in Poland, Mexico and Brazil. STATEMENT OF TOTAL RETURN Income Net capital losses (317) (15,281) Revenue 1,106 2,357 Expenses (187) (523) Finance costs: Derivative expense (54) Interest (2) (1) Net revenue before taxation 863 1,833 Taxation (30) Net revenue after taxation 863 1,803 Total return before distributions 546 (13,478) Finance costs: s (1,017) (2,254) Change in net assets attributable to shareholders from investment activities (471) (15,732) BALANCE SHEET as at 31 October 2014 April Assets Investment assets 27,262 27,815 Other assets Debtors Cash and bank balances 2, Total other assets 3,175 1,486 Total assets 30,437 29,301 Liabilities Derivative liabilities (1,556) (1,389) Other liabilities Creditors (2,082) (111) Bank overdrafts (174) (11) payable on income shares (80) (74) Total other liabilities (2,336) (196) Total liabilities (3,892) (1,585) Net assets attributable to shareholders 26,545 27,716 STATEMENT OF CHANGE IN NET ASSETS ATTRIBUTABLE TO SHAREHOLDERS Opening net assets attributable to shareholders 27, ,754 Movement due to sales and repurchases of shares: Amounts receivable on the issue of shares 10,175 9,817 Amounts payable on the cancellation of shares (11,768) (19,734) (1,593) (9,917) Dilution adjustment Change in net assets attributable to shareholders from investment activities (see statement of total return above) (471) (15,732) Retained distribution on accumulation shares 854 2,032 Closing net assets attributable to shareholders 26,545 83,196 The comparatives used within the Statement of Change in s Attributable to Shareholders are for the corresponding period of the previous year. Therefore the opening net assets attributable to shareholders for the current year are at 30 April 2014 whilst the figure disclosed in the comparatives closing net assets attributable to shareholders is at 31 October DISTRIBUTION TABLE Interest distribution in pence per share Class 1 Shares Net Income Period Gross Revenue Income Tax Net Revenue Equalisation Payable Paid Group 1 01/05/14 to 31/10/ Group 2 01/05/14 to 31/10/ Total distributions in the period Class 1 Shares Gross Accumulation Gross Gross Revenue Gross Revenue Period revenue Equalisation Accumulated Accumulated Group 1 01/05/14 to 31/10/ Group 2 01/05/14 to 31/10/ Total distributions in the period *In pound Sterling and against UK peer group. Please refer to pages 63 to 69 for comparative tables. 20

23 Threadneedle Emerging Market Local Fund DISTRIBUTION TABLE (continued) Class 2 Shares Gross Accumulation Gross Gross Revenue Gross Revenue Period Revenue Equalisation Accumulated Accumulated Group 1 01/05/14 to 31/10/ Group 2 01/05/14 to 31/10/ Total distributions in the period Class X Shares Gross Income* Period Gross Revenue Equalisation Payable 2014 Group 1 31/07/14 to 31/10/ Group 2 31/07/14 to 31/10/ Total distributions in the period Class X Shares Gross Accumulation Gross Gross Revenue Gross Revenue Period Revenue Equalisation Accumulated Accumulated Group 1 01/05/14 to 31/10/ Group 2 01/05/14 to 31/10/ Total distributions in the period Class Z Shares Net Income Period Gross Revenue Income Tax Net Revenue Equalisation Payable Paid Group 1 01/05/14 to 31/10/ Group 2 01/05/14 to 31/10/ Total distributions in the period Class Z Shares Gross Accumulation Gross Gross Revenue Gross Revenue Period Revenue Equalisation Accumulated Accumulated Group 1 01/05/14 to 31/10/ Group 2 01/05/14 to 31/10/ Total distributions in the period *Class X Gross income shares commenced 31 July Group 2: shares purchased during a distribution period Notes to the financial statements 1 ACCOUNTING POLICIES The accounting policies for the fund are the same as those disclosed in the aggregated financial statements on page 5. 21

24 Threadneedle Global Extended Alpha Fund Investment Report Investment Objective The investment objective of the Global Extended Alpha Fund is to achieve long term capital growth. Investment Policy The ACD s investment policy is to actively manage an exposure by investing directly or indirectly into equity securities worldwide, including companies located in developed and emerging markets. Exposure to these markets may be gained through both long and short positions. The ACD may invest in equities, derivatives, forward transactions and collective investment schemes. The ACD may also invest in other securities (including fixed interest securities and money market securities), deposits and cash. In order to gain short exposure the ACD will invest in derivatives. The ACD may also invest in derivatives to gain long exposure. Performance of Net Accumulation Class 1 Shares* Over the six months to 31 October 2014, the published share price of Class 1 shares in the Threadneedle Global Extended Alpha Fund has risen from p to p. For comparison, using noon prices, the performance of the Class 1 share class was +8.74% and +9.19% for the Class 2 share class compared to a return of +5.06% for the Morningstar UK Unit Trusts/OEICS (IMA) Global Growth Peer Group (on a bid to bid basis, with income reinvested for a UK basic rate taxpayer). Portfolio Activity Global equity markets experienced mixed fortunes during the six months under review, largely reflecting their divergent economic and corporate prospects. Across the developed world, monetary policy remained supportive of economic activity, which continued to strengthen in the US and UK but was disappointing in Europe and Japan. Emerging markets saw a resurgence of investor interest, with China and Mexico proving particularly strong. The US equity market performed well over the period, with the S&P 500 index reaching record highs as the economy rebounded strongly from a sluggish first quarter caused by the particularly harsh winter weather. Corporate earnings growth proved robust, and the market was buoyed by the Federal Reserve s (Fed s) decision to hold official interest rates at their current historic lows. At the end of October, the Fed had sufficient confidence in the strength of the US economy to end its programme of quantitative easing (QE). By comparison, the European Central Bank (ECB) cut interest rates to an all-time low of 0.05% in September and announced a policy of asset purchases to head off deflation and boost the sluggish eurozone economy. While the ECB stopped short of full scale quantitative easing, the Bank of Japan surprised markets at the end of October by significantly increasing its QE programme to 80 trillion yen on an annual basis. The Japanese market was particularly strong over the review period and ended October with a flourish; the Topix index rose 4.28% on the day the QE expansion was announced. The UK market slipped back over the reporting period despite the strength of the country s ongoing economic recovery. Europe is a major export market for UK companies and anaemic growth in the eurozone poses a growing threat for leading exporters. The market was also unsettled ahead of the Scottish independence referendum. Emerging markets saw improved performance after a weak Notably, the Indian market gained after the election of a pro-reform leader in the spring. During the period, we became more cautious on the global growth outlook given rising nationalist sentiment and the implications of geopolitics, trade sanctions and weak conditions in Europe and emerging markets. As a result, we reduced positions in US macro-sensitive stocks in sectors such as industrials and semi-conductors, which had performed strongly and thereby offered less upside. We added to positions in Japan, and to healthcare stocks. STATEMENT OF TOTAL RETURN Income Net capital gains 4,766 1,305 Revenue Expenses (363) (196) Finance costs: Derivative expense (176) (35) Net expenses before taxation (118) (96) Taxation (45) (13) Net expenses after taxation (163) (109) Total return 4,603 1,196 Finance costs: Equalisation 1 Change in net assets attributable to shareholders from investment activities 4,603 1,197 BALANCE SHEET as at 31 October 2014 April Assets Investment assets 57,668 46,802 Other assets Debtors 1, Cash and bank balances 6, Total other assets 7, Total assets 64,913 47,800 Liabilities Derivative liabilities (82) Other liabilities Creditors (1,522) (607) Total other liabilities (1,522) (607) Total liabilities (1,604) (607) Net assets attributable to shareholders 63,309 47,193 STATEMENT OF CHANGE IN NET ASSETS ATTRIBUTABLE TO SHAREHOLDERS Opening net assets attributable to shareholders 47,193 13,502 Movement due to sales and repurchases of shares: Amounts receivable on the issue of shares 16,360 7,102 Amounts payable on the cancellation of shares (4,854) (1,796) 11,506 5,306 Dilution adjustment 7 8 Stamp duty reserve tax (1) Change in net assets attributable to shareholders from investment activities (see statement of total return above) 4,603 1,197 Closing net assets attributable to shareholders 63,309 20,012 The comparatives used within the Statement of Change in s Attributable to Shareholders are for the corresponding period of the previous year. Therefore the opening net assets attributable to shareholders for the current year are at 30 April 2014 whilst the figure disclosed in the comparatives closing net assets attributable to shareholders is at 31 October Notes to the financial statements 1 ACCOUNTING POLICIES The accounting policies for the fund are the same as those disclosed in the aggregated financial statements on page 5. *In pound Sterling and against UK peer group. Please refer to pages 63 to 69 for comparative tables. 22

25 Threadneedle Global Equity Income Fund Investment Report Investment Objective The investment objective of the Global Equity Income Fund is to achieve a high and growing income over the long term combined with prospects for capital growth. Investment Policy The ACD s investment policy is to invest no less than two-thirds of the gross assets of the Fund in global equities. Income will be in the form of dividend distribution. If the ACD considers it desirable it may further invest up to one third of the total assets of the Fund in derivatives, forward transactions and other securities (including fixed interest securities and money market securities) deposits and cash. Performance of Net Income Class 1 Shares* Over the six months to 31 October 2014, the published share price of Class 1 shares in the Threadneedle Global Equity Income Fund has fallen from p to p. For comparison, using noon prices, the performance of the Class 1 share class was +1.76% and +2.06% for the Class 2 share class compared to a return of +3.85% for the Morningstar UK Unit Trusts/OEICS (IMA) Global Growth Peer Group (on a bid to bid basis, with income reinvested for a UK basic rate taxpayer). For information purposes, using global close prices, the total return of the MSCI AC World Free Index was +8.32%. Portfolio Activity Global equity markets experienced mixed fortunes during the six months under review, largely reflecting their divergent economic and corporate prospects. Across the developed world, monetary policy remained supportive of economic activity, which continued to strengthen in the US and UK but was disappointing in Europe and Japan. Emerging markets saw a resurgence of investor interest, with China and Mexico proving particularly strong. The US equity market performed well over the period, with the S&P 500 index reaching record highs as the economy rebounded strongly from a sluggish first quarter caused by the particularly harsh winter weather. Corporate earnings growth proved robust, and the market was buoyed by the Federal Reserve s (Fed s) decision to hold official interest rates at their current historic lows. At the end of October, the Fed had sufficient confidence in the strength of the US economy to end its programme of quantitative easing (QE). By comparison, the European Central Bank (ECB) cut interest rates to an all-time low of 0.05% in September and announced a policy of asset purchases to head off deflation and boost the sluggish eurozone economy. While the ECB stopped short of full scale quantitative easing, the Bank of Japan surprised markets at the end of October by significantly increasing its QE programme to 80 trillion yen on an annual basis. The Japanese market was particularly strong over the review period and ended October with a flourish; the Topix index rose 4.28% on the day the QE expansion was announced. The UK market slipped back over the reporting period despite the strength of the country s ongoing economic recovery. Europe is a major export market for UK companies and anaemic growth in the eurozone poses a growing threat for leading exporters. The market was also unsettled ahead of the Scottish independence referendum. Emerging markets saw improved performance after a weak Notably, the Indian market gained after the election of a pro-reform leader in the spring. During the period, we became more cautious on the global growth outlook given rising nationalist sentiment and the implications of geopolitics, trade sanctions and weak conditions in Europe and emerging markets. As a result, we reduced positions in European macro-sensitive stocks in sectors such as financials and autos. We added to our Asian technology hardware holdings; we believe the sector will benefit from both a stronger dollar and higher US consumer and enterprise IT spending. We exited positions in US chemicals stocks after strong performance, reinvesting the funds into other US stocks with higher dividend yields and upside. STATEMENT OF TOTAL RETURN Income Net capital gains 2,157 13,015 Revenue 34,692 12,032 Expenses (7,029) (3,229) Finance costs: Interest (1) Net revenue before taxation 27,662 8,803 Taxation (3,486) (915) Net revenue after taxation 24,176 7,888 Total return before distributions 26,333 20,903 Finance costs: s (29,956) (10,876) Change in net assets attributable to shareholders from investment activities (3,623) 10,027 BALANCE SHEET as at 31 October 2014 April Assets Investment assets 1,314,052 1,333,176 Other assets Debtors 23,875 15,500 Cash and bank balances 28,821 18,432 Total other assets 52,696 33,932 Total assets 1,366,748 1,367,108 Liabilities Derivative liabilities (125) Other liabilities Creditors (13,563) (2,715) payable on income shares (7,056) (9,942) Total other liabilities (20,619) (12,657) Total liabilities (20,744) (12,657) Net assets attributable to shareholders 1,346,004 1,354,451 STATEMENT OF CHANGE IN NET ASSETS ATTRIBUTABLE TO SHAREHOLDERS Opening net assets attributable to shareholders 1,354, ,676 Movement due to sales and repurchases of shares: Amounts receivable on the issue of shares 229, ,523 Amounts payable on the cancellation of shares (222,911) (15,235) Amounts payable on inspecie transfers (23,121) (16,889) 389,288 Dilution adjustment Stamp duty reserve tax (37) (28) Change in net assets attributable to shareholders from investment activities (see statement of total return above) (3,623) 10,027 Retained distribution on accumulation shares 11,993 5,126 Closing net assets attributable to shareholders 1,346, ,887 The comparatives used within the Statement of Change in s Attributable to Shareholders are for the corresponding period of the previous year. Therefore the opening net assets attributable to shareholders for the current year are at 30 April 2014 whilst the figure disclosed in the comparatives closing net assets attributable to shareholders is at 31 October *In pound Sterling and against UK peer group. Please refer to pages 63 to 69 for comparative tables. 23 DISTRIBUTION TABLE Dividend distribution in pence per share Class 1 Shares Net Income Period Net Revenue Equalisation Paid/Payable Paid Group 1 01/05/14 to 31/07/ /08/14 to 31/10/ Group 2 01/05/14 to 31/07/ /08/14 to 31/10/ Total distributions in the period Class 1 Shares Net Accumulation Period Net Revenue Equalisation Net Revenue Net Revenue Accumulated Accumulated Group 1 01/05/14 to 31/07/ /08/14 to 31/10/ Group 2 01/05/14 to 31/07/ /08/14 to 31/10/ Total distributions in the period

26 Threadneedle Global Equity Income Fund DISTRIBUTION TABLE (continued) Class 1 SGD Hedged Shares Net Income Period Net Revenue Equalisation Paid/Payable Paid Group 1 01/05/14 to 31/07/ /08/14 to 31/10/ Group 2 01/05/14 to 31/07/ /08/14 to 31/10/ Total distributions in the period Class 1 SGD Hedged Shares Net Accumulation Period Net Revenue Equalisation Net Revenue Net Revenue Accumulated Accumulated Group 1 01/05/14 to 31/07/ /08/14 to 31/10/ Group 2 01/05/14 to 31/07/ /08/14 to 31/10/ Total distributions in the period Class 2 Shares Net Income Period Net Revenue Equalisation Paid/Payable Paid Group 1 01/05/14 to 31/07/ /08/14 to 31/10/ Group 2 01/05/14 to 31/07/ /08/14 to 31/10/ Total distributions in the period Class 2 Shares Net Accumulation Period Net Revenue Equalisation Net Revenue Net Revenue Accumulated Accumulated Group 1 01/05/14 to 31/07/ /08/14 to 31/10/ Group 2 01/05/14 to 31/07/ /08/14 to 31/10/ Total distributions in the period Class 2 EUR Hedged Shares Net Income* Period Net Revenue Equalisation Paid/Payable 2014 Group 1 03/06/14 to 31/07/ /08/14 to 31/10/ Group 2 03/06/14 to 31/07/ /08/14 to 31/10/ Total distributions in the period Class X Shares Net Income** Period Net Revenue Equalisation Paid/Payable 2014 Group 1 31/07/14 to 31/07/ /08/14 to 31/10/ Group 2 31/07/14 to 31/07/ /08/14 to 31/10/ Total distributions in the period Class X Shares Net Accumulation*** Period Net Revenue Equalisation Net Revenue Accumulated 2014 Group 1 01/05/14 to 31/07/ /08/14 to 31/10/ Group 2 01/05/14 to 31/07/ /08/14 to 31/10/ Total distributions in the period Class Z Shares Net Income Period Net Revenue Equalisation Paid/Payable Paid Group 1 01/05/14 to 31/07/ /08/14 to 31/10/ Group 2 01/05/14 to 31/07/ /08/14 to 31/10/ Total distributions in the period Class Z Shares Net Accumulation Period Net Revenue Equalisation Net Revenue Net Revenue Accumulated Accumulated Group 1 01/05/14 to 31/07/ /08/14 to 31/10/ Group 2 01/05/14 to 31/07/ /08/14 to 31/10/ Total distributions in the period Class Z SGD Hedged Shares Net Income**** Period Net Revenue Equalisation Paid/Payable 2014 Group 1 03/06/14 to 31/07/ /08/14 to 31/10/ Group 2 03/06/14 to 31/07/ /08/14 to 31/10/ Total distributions in the period Class Z SGD Hedged Shares Net Accumulation***** Period Net Revenue Equalisation Net Revenue Accumulated 2014 Group 1 03/06/14 to 31/07/ /08/14 to 31/10/ Group 2 03/06/14 to 31/07/ /08/14 to 31/10/ Total distributions in the period Group 2: shares purchased during a distribution period. *Class 2 EUR Hedged net income shares commenced 3 June **Class X Net income shares commenced 31 July ***Class X Net accumulation shares commenced 31 March ****Class Z SGD Hedged net income shares commenced 3 June *****Class Z SGD Hedged net accumulation shares commenced 3 June Notes to the financial statements 1 ACCOUNTING POLICIES The accounting policies for the fund are the same as those disclosed in the aggregated financial statements on page 5. 24

27 Threadneedle UK Mid 250 Fund Portfolio Statement as at 31 October 2014 Holding Investment Holding Investment OIL & GAS 3.73% (6.30%) Oil & Gas Producers 2.00% (2.62%) 798,493 Premier Oil 2, Oil Equipment, Services & 1.73% (3.68%) 237,493 Hunting 1, Total Oil & Gas 3, BASIC MATERIALS 2.71% (5.49%) Chemicals 2.71% (5.49%) 637,040 Elementis 1, ,207 Victrex 1, Total Basic Materials 2, INDUSTRIALS 35.60% (33.34%) Construction & Materials 4.84% (5.05%) 182,841 Keller Group 1, ,252,532 Tyman 3, Aerospace & Defence 2.84% (5.38%) 164,946 Ultra Electronics Holdings 2, General Industrials 3.28% (1.11%) 481,665 DS Smith 1, ,177 RPC Group 2, Electronic & Electrical Equipment 4.03% (5.03%) 262,308 Domino Printing Sciences 1, ,242 Halma 1, ,214 Oxford Instruments Industrial Engineering 1.25% (1.41%) 411,251 Fenner 1, Support Services 19.36% (15.36%) 277,166 Ashtead Group 2, ,390 Berendsen 1, ,543 DCC 2, ,690 Howden Joinery Group 2, ,247 Optimal Payments 2, ,211 PayPoint 1, ,589,507 Rentokil Initial 3, ,000,000 RPS Group 2, Total Industrials 36, CONSUMER GOODS 12.99% (10.13%) Beverages 2.92% (2.25%) 949,530 Stock Spirits Group 2, Household Goods & Home Construction 7.22% (5.86%) 147,252 Bellway 2, ,760 Bovis Homes Group 2, ,056 Crest Nicholson Holdings 2, CONSUMER SERVICES 19.10% (18.47%) Food & Drug Retailers 2.58% (2.05%) 1,894,851 Booker Group 2, General Retailers 3.49% (4.18%) 673,171 N Brown Group 2, ,736 Pets at Home Group 1, Media 4.68% (6.16%) 236,159 Euromoney Institutional Investor 2, ,157,126 Moneysupermarket.com Group 2, Travel & Leisure 8.35% (6.08%) 70,000 Betfair Group ,988 Go-Ahead Group ,503 Greene King 2, ,171 Restaurant Group 1, ,436,613 Spirit Pub 2, Total Consumer Services 19, UTILITIES 1.94% (3.25%) Gas, Water & Multiutilities 1.94% (3.25%) 236,279 Pennon Group 1, Total Utilities 1, FINANCIALS 16.68% (15.67%) Life Insurance 2.60% (2.30%) 357,175 St James s Place 2, Real Estate Investment Trusts 3.59% (4.32%) 69,017 Derwent London 2, ,100,000 Londonmetric Property 1, Financial Services 10.49% (9.05%) 253,471 Close Brothers Group 3, ,079 Intermediate Capital Group 2, ,635 IP Group 1, ,851 Jupiter Fund Management ,977 Plus500 1, Total Financials 16, TECHNOLOGY 6.78% (6.37%) Software & Computer Services 2.28% (2.74%) 151,030 AVEVA Group 2, Technology Hardware & Equipment 4.50% (3.63%) 546,907 CSR 4, Total Technology 6, Total value of investments 101, Net other assets (0.98%) Net assets 101, April 2014 comparatives in brackets. Personal Goods 2.85% (2.02%) 147,377 Ted Baker 2, Total Consumer Goods 13,

28 Threadneedle UK Extended Alpha Fund Portfolio Statement as at 31 October 2014 Holding Investment Holding Investment OIL & GAS 8.75% (11.12%) Oil & Gas Producers 5.29% (6.19%) 162,061 BG Group 1, ,556 BP 1, Oil Equipment, Services & 3.46% (4.93%) 74,065 Hunting ,843 John Wood Group 1, Total Oil & Gas 5, BASIC MATERIALS 6.56% (5.81%) Chemicals 2.29% (1.94%) 45,581 Johnson Matthey 1, Mining 4.27% (3.87%) 84,784 Rio Tinto 2, Total Basic Materials 3, INDUSTRIALS 15.06% (14.36%) Aerospace & Defence 2.24% (3.73%) 159,635 Rolls-Royce Holdings 1, ,367,150 *Rolls-Royce C Shares General Industrials 2.00% (2.17%) 102,074 Smiths Group 1, Industrial Engineering 2.81% (2.27%) 299,607 Melrose Industries ,451 Weir Group Support Services 8.01% (6.19%) 27,312 Aggreko ,080 Berendsen ,054 G4S ,866 Howden Joinery Group ,839 Wolseley 2, Total Industrials 8, CONSUMER GOODS 19.16% (16.91%) Automobiles & Parts 2.46% (2.14%) 454,244 GKN 1, Household Goods & Home Construction 6.63% (4.54%) 365,602 Crest Nicholson Holdings 1, ,088 Persimmon ,325 Reckitt Benckiser Group 1, Personal Goods 2.79% (2.71%) 40,390 Burberry Group ,627 Unilever 1, Tobacco 7.28% (7.52%) 60,037 British American Tobacco 2, ,703 Imperial Tobacco Group 2, Total Consumer Goods 11, HEALTH CARE 7.16% (4.52%) Health Care Equipment & Services 2.21% (2.61%) 125,534 Smith & Nephew 1, Pharmaceuticals & Biotechnology 4.95% (1.91%) 43,250 AstraZeneca 1, ,490 GlaxoSmithKline Total Health Care 4, CONSUMER SERVICES 13.49% (14.23%) General Retailers 2.96% (2.80%) 206,786 Inchcape 1, ,397 Majestic Wine Media 5.95% (6.77%) 431,968 Informa 2, ,107 WPP 1, Travel & Leisure 4.58% (4.66%) 26,698 Carnival ,910 Compass Group 1, ,954 Merlin Entertainments ,946 Spirit Pub Total Consumer Services 7, TELECOMMUNICATIONS 4.31% (4.46%) Fixed Line Telecommunications 3.28% (3.40%) 529,412 BT Group 1, Mobile Telecommunications 1.03% (1.06%) 292,445 Vodafone Group Total Telecommunications 2, UTILITIES 2.95% (4.66%) Gas, Water & Multiutilities 2.95% (4.66%) 275,522 Centrica ,269 Pennon Group Total Utilities 1, FINANCIALS 16.70% (13.99%) Banks 4.92% (4.12%) 258,858 Barclays ,244 HSBC Holdings 1, ,029 Standard Chartered Nonlife Insurance 2.25% (2.04%) 151,483 Amlin ,411 esure Group Life Insurance 4.56% (4.69%) 119,006 Prudential 1, ,396 St James s Place Real Estate Investment Trusts 1.05% (0.00%) 20,872 Derwent London Financial Services 3.92% (3.14%) 192,130 ICAP ,366 London Stock Exchange Group 1, Total Financials 9,

29 Threadneedle UK Extended Alpha Fund Portfolio Statement (continued) Holding Investment TECHNOLOGY 2.59% (1.35%) Software & Computer Services 2.59% (1.35%) 21,683 AVEVA Group ,882 FDM Group Holdings ,220 Sage Group Total Technology 1, DERIVATIVES 0.00% (0.58%) Portfolio Swap 0.00% (0.58%) UBS - Portfolio Swap (2) Total Derivatives (2) Total value of investments 57, Net other assets (8.01%) 1, Net assets 59, April 2014 comparatives in brackets. *Manually Priced. 27

30 Threadneedle UK Equity Alpha Income Fund Portfolio Statement as at 31 October 2014 Holding Investment Holding Investment OIL & GAS 5.44% (6.34%) Oil & Gas Producers 5.44% (6.34%) 1,888,237 Royal Dutch Shell B Shares 43, Total Oil & Gas 43, INDUSTRIALS 22.14% (26.49%) Construction & Materials 1.41% (1.82%) 765,125 Kier Group 11, Aerospace & Defence 8.07% (8.02%) 9,294,771 BAE Systems 42, ,798,163 Cobham 22, General Industrials 4.78% (6.14%) 7,154,638 DS Smith 18, ,696,586 Smiths Group 19, Industrial Engineering 0.00% (0.46%) Support Services 7.88% (10.05%) 8,888,605 Electrocomponents 20, ,141,619 Rentokil Initial 22, ,647 Wolseley 21, Total Industrials 178, CONSUMER GOODS 9.82% (11.14%) Automobiles & Parts 0.00% (2.72%) Personal Goods 4.20% (3.33%) 1,338,514 Unilever 33, Tobacco 5.62% (5.09%) 1,666,887 Imperial Tobacco Group 45, Total Consumer Goods 79, UTILITIES 10.69% (7.58%) Gas, Water & Multiutilities 10.69% (7.58%) 9,087,261 Centrica 27, ,077,516 National Grid 37, ,524,303 Pennon Group 21, Total Utilities 86, FINANCIALS 19.64% (16.23%) Banks 3.31% (0.00%) 4,184,182 HSBC Holdings 26, Life Insurance 9.27% (9.62%) 4,612,689 Aviva 24, ,104,544 Chesnara 7, ,863,003 Legal & General Group 43, Real Estate Investment Trusts 2.80% (2.93%) 15,526,807 Londonmetric Property 22, Financial Services 4.26% (3.68%) 5,174,845 3i Group 20, ,915,369 Jupiter Fund Management 13, Total Financials 158, TECHNOLOGY 1.97% (2.79%) Technology Hardware & Equipment 1.97% (2.79%) 21,006,553 Spirent Communications 15, Total Technology 15, Total value of investments 794, Net other assets/(liabilities) (-0.72%) 12, Net assets 806, April 2014 comparatives in brackets. HEALTH CARE 11.63% (11.44%) Pharmaceuticals & Biotechnology 11.63% (11.44%) 1,063,050 AstraZeneca 48, ,210,183 GlaxoSmithKline 45, Total Health Care 93, CONSUMER SERVICES 14.44% (15.87%) Food & Drug Retailers 1.87% (2.56%) 9,624,636 WM Morrison Supermarkets 15, General Retailers 2.11% (2.52%) 4,189,316 Marks & Spencer Group 17, Media 7.49% (7.44%) 2,959,550 Pearson 34, ,537,447 Reed Elsevier 25, Travel & Leisure 2.97% (3.35%) 6,053,019 Stagecoach Group 23, Total Consumer Services 116, TELECOMMUNICATIONS 2.67% (2.84%) Fixed Line Telecommunications 2.67% (2.84%) 5,913,077 BT Group 21, Total Telecommunications 21,

31 Threadneedle UK Absolute Alpha Fund Portfolio Statement as at 31 October 2014 Holding Investment Holding Investment OIL & GAS 5.63% (4.50%) Oil & Gas Producers 2.41% (1.19%) 264,361 BG Group 2, ,493 Royal Dutch Shell B Shares 2, Oil Equipment, Services & 3.22% (3.31%) 453,879 Hunting 3, ,292 John Wood Group 4, Total Oil & Gas 13, BASIC MATERIALS 1.86% (1.61%) Mining 1.86% (1.61%) 145,444 Rio Tinto 4, Total Basic Materials 4, INDUSTRIALS 3.65% (4.64%) Aerospace & Defence 0.70% (2.08%) 194,878 Rolls-Royce Holdings 1, ,539,020 * Rolls-Royce C Shares General Industrials 1.15% (1.01%) 1,006,971 DS Smith 2, Industrial Transportation 0.00% (0.85%) Support Services 1.80% (0.70%) 1,216,851 Howden Joinery Group 4, Total Industrials 8, CONSUMER GOODS 4.72% (5.08%) Household Goods & Home Construction 3.45% (1.76%) 1,059,714 Crest Nicholson Holdings 3, ,993 Persimmon 2, ,767 Reckitt Benckiser Group 2, Personal Goods 0.00% (1.14%) Tobacco 1.27% (2.18%) 82,689 British American Tobacco 2, Total Consumer Goods 10, HEALTH CARE 4.37% (5.19%) Health Care Equipment & Services 1.76% (1.28%) 392,489 Smith & Nephew 4, Pharmaceuticals & Biotechnology 2.61% (3.91%) 68,066 AstraZeneca 3, ,464 GlaxoSmithKline 2, Total Health Care 10, CONSUMER SERVICES 13.30% (12.17%) General Retailers 1.22% (1.08%) 406,637 Inchcape 2, Media 4.72% (4.79%) 2,104,437 ITV 4, ,278 Reed Elsevier 2, ,338 WPP 3, Travel & Leisure 7.36% (6.30%) 265,287 Compass Group 2, ,229 InterContinental Hotels Group 3, ,878 Merlin Entertainments 2, ,457,552 Spirit Pub 2, ,483 Stagecoach Group 3, ,462 TUI Travel 1, Total Consumer Services 30, TELECOMMUNICATIONS 1.59% (1.53%) Fixed Line Telecommunications 1.59% (1.53%) 1,007,945 BT Group 3, Total Telecommunications 3, UTILITIES 0.97% (3.02%) Gas, Water & Multiutilities 0.97% (3.02%) 743,477 Centrica 2, Total Utilities 2, FINANCIALS 15.21% (13.49%) Banks 2.39% (2.23%) 867,914 HSBC Holdings 5, Nonlife Insurance 2.77% (2.58%) 836,114 Amlin 3, ,047,554 esure Group 2, Life Insurance 6.38% (5.50%) 2,817,365 Legal & General Group 6, ,237 Prudential 4, ,522 St James s Place 4, Financial Services 3.67% (3.18%) 544,805 ICAP 2, ,937 London Stock Exchange Group 4, ,489,577 Sherborne Investors Guernsey B 1, Total Financials 35, TECHNOLOGY 1.42% (0.86%) Software & Computer Services 0.63% (0.00%) 95,135 AVEVA Group 1, Technology Hardware & Equipment 0.79% (0.86%) 220,411 CSR 1, Total Technology 3, DERIVATIVES 0.33% ( 0.23%) Futures And Options 0.24% (-0.53%) GBP (741) UBS FTSE 100 Future Expiring December Forward Foreign Exchange Contracts -0.04% (-0.04%) Sell GBP 1,146 Buy EUR 1,454 JP Morgan Sell GBP 421,176 Buy EUR 534,148 JP Morgan (1) 29

32 Threadneedle UK Absolute Alpha Fund Portfolio Statement (continued) Holding Investment DERIVATIVES 0.33% (-0.23%) (continued) Sell GBP 55,480,443 Buy EUR 70,406,564 JP Morgan (102) (0.04) Sell EUR 41,973 Buy GBP 33,057 JP Morgan Sell EUR 70,440 Buy GBP 55,665 JP Morgan Portfolio Swap 0.13% (0.34%) UBS Portfolio Swap Total Derivatives Total value of investments 122, Net other assets (48.14%) 108, Net assets 231, ANALYSIS OF UNDERLYING EXPOSURE FUTURES AND OPTIONS UBS FTSE 100 Future Expiring December 2014 (48,361) Total net exposure (48,361) April 2014 comparatives in brackets. *Manually priced. 30

33 Threadneedle Absolute Return Bond Fund Portfolio Statement as at 31 October 2014 Holding Investment Holding Investment AUSTRALIA 7.94% (4.29%) AAA 0.04% (0.12%) GBP 100,000 *Firstmac Bond Trust FRN 25/11/ Aaa 0.08% (0.00%) GBP 100,000 *National Australia Bank FRN 12/08/ GBP 100,000 *National Australia Bank FRN 27/01/ AA 3.92% (2.33%) GBP 4,850,000 Commonwealth Bank of Australia 3.875% 14/12/2015 5, GBP 5,354,000 *Commonwealth Bank of Australia FRN 04/09/2015 5, A 3.90% (1.84%) GBP 9,915,000 QBE Insurance Group 6.125% 28/09/ , CHILE 0.00% (0.28%) AA 0.00% (0.28%) Total Australia 20, Total Chile DENMARK 3.62% (3.43%) A 3.62% (3.43%) GBP 9,301,000 Danske Bank 4% 09/12/2015 9, DOMINICAN REPUBLIC 0.00% (0.79%) B+ 0.00% (0.79%) Total Denmark 9, Total Dominican Republic FINLAND 0.85% (0.00%) Aaa 0.85% (0.00%) GBP 2,250,000 Municipality Finance 1.25% 15/12/2016 2, Total Finland 2, FRANCE 1.87% (0.10%) AA 0.00% (0.06%) Aa1 0.04% (0.00%) GBP 122,000 Caisse d Amortissement de la Dette Sociale 2.25% 07/12/ A 0.99% (0.04%) GBP 2,500,000 *Banque Federative du Credit Mutuel FRN 16/05/2016 2, GBP 100,000 Societe Generale 3.875% 17/12/ BBB 0.84% (0.00%) GBP 2,050,000 Cie de St-Gobain 5.625% 15/12/2016 2, Total France 4, GERMANY 0.09% (1.52%) AAA 0.06% (1.49%) GBP 150,000 *KFW FRN 09/03/ AA 0.03% (0.03%) GBP 91,000 *State of North Rhine-Westphalia FRN 23/05/ INDONESIA 0.00% (0.69%) Bb+ 0.00% (0.69%) Total Germany Total Indonesia ITALY 2.06% (1.10%) BBB+ 0.00% (1.10%) Not Rated 2.06% (0.00%) EUR 6,600,000 Banca Monte dei Paschi di Siena 3.5% 20/03/2017 5, Total Italy 5, JERSEY 1.20% (1.14%) A 1.20% (1.14%) GBP 3,150,000 Heathrow Funding 3% 08/06/2015 3, Total Jersey 3, MEXICO 2.06% (3.59%) BBB+ 2.06% (3.59%) EUR 2,011,000 Mexico Government International Bond 2.75% 22/04/2023 1, USD 5,500,000 Petroleos Mexicanos 5.75% 01/03/2018 3, Total Mexico 5, NETHERLANDS 12.29% (5.66%) AA 0.06% (0.06%) GBP 52,000 Nederlandse Waterschapsbank 2.125% 07/09/ GBP 117,000 *Nederlandse Waterschapsbank FRN 25/01/ AA 2.06% (1.98%) GBP 5,306,000 Rabobank Nederland 4% 10/09/2015 5, A 7.20% (0.00%) GBP 9,770,000 ING Bank 3.875% 23/12/ , GBP 6,400,000 Volkswagen Financial Services 1.25% 15/12/2016 6, GBP 2,082,000 Volkswagen Financial Services 2% 23/10/2015 2, GBP 309,000 Volkswagen International Finance 2.13% 19/12/ A 1.36% (2.53%) GBP 3,356,000 British American Tobacco Holdings 5.5% 15/09/2016 3, BBB+ 0.00% (0.17%) BBB 1.03% (0.92%) USD 4,325,000 Petrobras Global Finance 3.25% 17/03/2017 2, Not Rated 0.58% (0.00%) GBP 1,500,000 Heineken 7.25% 10/03/2015 1, Total Netherlands 32,

34 Threadneedle Absolute Return Bond Fund Portfolio Statement (continued) Holding Investment Holding Investment NEW ZEALAND 7.82% (4.55%) AA 2.98% (0.00%) NZD 14,500,000 New Zealand Government Bond 5.5% 15/04/2023 7, AA 4.84% (4.55%) GBP 5,183,000 ANZ New Zealand International London 1.5% 17/12/2015 5, GBP 7,430,000 *ASB Finance London FRN 23/10/2015 7, GBP 100,000 *BNZ International Funding London FRN 29/01/ NORWAY 4.08% (4.30%) AAA 0.00% (0.67%) Total New Zealand 20, Bb+ 4.08% (3.63%) USD 4,175,000 Eksportfinans 2% 15/09/2015 2, USD 13,125,000 Eksportfinans 3% 17/11/2014 8, Total Norway 10, PERU 0.10% (0.00%) BBB+ 0.10% (0.00%) USD 400,000 Financiera de Desarrollo 3.25% 15/07/ Total Peru PORTUGAL 3.63 % (3.58%) Ba1 3.63% (0.00%) EUR 4,000,000 Portugal Government International Bond 3.85% 15/04/2021 3, EUR 6,650,000 Portugal Government International Bond 5.65% 15/02/2024 6, Ba3 0.00% (3.58%) Total Portugal 9, REPUBLIC OF IRELAND 0.46% (0.44%) AA 0.46% (0.44%) GBP 91,000 GE Capital UK Funding 5.125% 03/03/ GBP 1,000,000 GE Capital UK Funding 5.625% 12/12/2014 1, GBP 123,000 *GE Capital UK Funding FRN 09/05/ Not Rated 0.00% (0.00%) Total Republic of Ireland 1, SLOVENIA 1.48% (1.42%) A 1.48% (1.42%) EUR 4,870,000 Slovenia Government Bond 1.75% 09/10/2017 3, Total Slovenia 3, SOUTH KOREA 3.57% (1.94%) A+ 3.57% (1.94%) GBP 3,800,000 Export-Import Bank of Korea 2% 07/12/2017 3, USD 650,000 Export-Import Bank of Korea 2.88% 17/09/ USD 3,055,000 Export-Import Bank of Korea 5.13% 16/03/2015 1, USD 4,329,000 Export-Import Bank of Korea 5.88% 14/01/2015 2, USD 875,000 Korea Midland Power 2.75% 11/02/ Total South Korea 9, SPAIN 2.48% (4.07%) BBB+ 1.15% (0.00%) GBP 3,000,000 Santander International Debt 3.16% 01/12/2015 3, BBB 1.33% (1.09%) USD 5,250,000 Instituto de Credito Oficial 5% 14/11/2016 3, BBB 0.00% (2.98%) Total Spain 6, SUPRANATIONAL 0.06% (0.05%) AAA 0.06% (0.05%) GBP 156,000 *European Investment Bank FRN 19/02/ Total Supranational SWEDEN 4.52% (4.29%) Aa1 1.89% (1.78%) GBP 5,000,000 Svensk Exportkredit 1.5% 15/12/2014 5, AA 2.63% (2.51%) GBP 2,619,000 Nordea Bank 3.875% 15/12/2015 2, GBP 4,000,000 Svenska Handelsbanken 5.5% 26/05/2016 4, Total Sweden 11, SWITZERLAND 0.95% (0.00%) A 0.95% (0.00%) GBP 2,500,000 *Credit Suisse FRN 15/07/2016 2, TURKEY 0.11% (0.14%) BBB 0.00% (0.14%) Total Switzerland 2, Baa3 0.11% (0.00%) USD 420,000 Coca-Cola Icecek 4.75% 01/10/ Total Turkey UNITED KINGDOM 29.50% (37.59%) AAA 4.15% (5.88%) GBP 2,000,000 *Abbey National Treasury Services London FRN 05/04/2017 2, GBP 8,130,000 *Abbey National Treasury Services London FRN 16/02/2015 8, GBP 250,000 *Arkle Master Issuer FRN 17/05/ GBP 132,000 *Barclays Bank FRN 20/01/ GBP 1,200,000 E-Carat Asset Backed Fixed Rate Note 18/06/ GBP 104,000 *Lanark Master Issuer FRN 22/12/

35 Threadneedle Absolute Return Bond Fund Portfolio Statement (continued) Holding Investment Holding Investment UNITED KINGDOM 29.50% (37.59%) (continued) GBP 91,000 *Permanent Master Issuer FRN 15/07/ Aaa 0.10% (0.00%) GBP 200,000 *Brass No 1 FRN 16/12/ GBP 100,000 *Friary No 1 FRN 21/10/ GBP 118,000 *Gosforth Funding FRN 18/11/ GBP 200,000 *Silk Road Finance Number One FRN 21/12/ AA 0.00% (6.93%) Aa1 4.06% (10.23%) GBP 4,473,000 *Clydesdale Bank 2.22% 08/06/2015 4, GBP 6,100,000 *Yorkshire Building Society FRN 23/03/2016 6, Aa1u 4.91% (0.00%) GBP 6,400,000 United Kingdom Gilt 3.5% 29/12/2049 5, GBP 2,147,000 United Kingdom Gilt Inflation Linked 2.5% 26/07/2016 7, AA 0.06% (0.05%) GBP 149,000 *HSBC Bank FRN 16/05/ A+ 2.11% (1.98%) GBP 5,419,000 Prudential 1.25% 16/11/2015 5, GBP 165,000 Unilever 4% 19/12/ A 5.24% (6.83%) GBP 8,500,000 *Barclays Bank FRN 01/09/2016 8, GBP 52,000 Lloyds Bank 5.375% 07/09/ GBP 4,515,700 Lloyds Bank 5.5% 25/09/2016 4, GBP 191,000 Santander UK 6.5% 09/09/ A 0.28% (2.51%) GBP 78,000 Centrica 5.125% 10/12/ GBP 50,000 Centrica 5.5% 24/10/ GBP 577,000 Hutchison Ports UK Finance 6.75% 07/12/ BBB+ 0.83% (0.83%) GBP 2,071,000 United Utilities Water 6.125% 29/12/2015 2, BBB 5.66% (2.35%) GBP 5,000,000 British Telecommunications 8.5% 07/12/2016 5, GBP 5,200,000 Imperial Tobacco Finance 5.5% 22/11/2016 5, GBP 2,500,000 InterContinental Hotels Group 6% 09/12/2016 2, GBP 1,000,000 *Southern Gas Networks FRN 21/10/ Baa2 2.07% (0.00%) GBP 5,000,000 BUPA Finance 7.5% 04/07/2016 5, Not Rated 0.03% (0.00%) GBP 65,000 Segro 6.25% 30/09/ Total United Kingdom 78, UNITED STATES OF AMERICA 6.37% (8.58%) AA 0.58% (0.55%) AUD 2,800,000 Toyota Motor Credit 5.54% 18/12/2014 1, A 5.79% (8.03%) GBP 104,000 Goldman Sachs Group 5.25% 15/12/ GBP 150,000 *JPMorgan Chase 6.125% FRN 30/05/ GBP 3,415,000 Bank of America 5.75% 12/12/2014 3, GBP 3,117,000 Citigroup 5.5% 18/11/2015 3, USD 3,400,000 Morgan Stanley 4.75% 22/03/2017 2, USD 6,300,000 Morgan Stanley 6% 28/04/2015 4, AUD 3,500,000 Morgan Stanley 7.63% 03/03/2016 2, Total United States of America 16, DERIVATIVES 2.16% ( 2.22%) Credit Default Swaps 1.53% ( 2.25%) EUR 2,400,000 Barclays Itraxx Crossover Credit Default Swap Index Buy Protection 20/12/2019 (114) (0.04) EUR 70,000,000 Goldman Sachs Itraxx Crossover Credit Default Swap Index Buy Protection 20/12/2019 (3,311) (1.25) USD 58,300,000 HSBC Japan Credit Default Swap Buy Protection 20/12/2016 (628) (0.24) Forward Foreign Exchange Contracts 0.02% (0.18%) Sell EUR 16,326,166 Buy GBP 12,922,079 Lloyds Sell USD 69,207,029 Buy GBP 42,899,401 Lloyds (351) (0.13) Sell USD 956,936 Buy GBP 593,159 Goldman Sachs (5) Sell GBP 7,611,783 Buy JPY 1,311,739,730 Citigroup (266) (0.10) Sell USD 45,568,617 Buy JPY 4,869,775,959 JP Morgan (1,206) (0.46) Sell USD 24,324,221 Buy NOK 160,072,057 Credit Suisse (349) (0.13) Sell AUD 72,042,267 Buy USD 63,030,067 UBS (331) (0.13) Sell CAD 347,525 Buy USD 308,221 Bank of Scotland (1) Sell CHF 38,423,333 Buy USD 40,701,049 Goldman Sachs Sell MXN 192,819 Buy USD 14,233 HSBC Sell NZD 68,006,073 Buy USD 53,939,024 Goldman Sachs Sell USD 2,959,314 Buy JPY 315,000,000 Bank of Scotland (85) (0.03) Sell USD 1,222,030 Buy NOK 8,000,000 Bank of Scotland (21) (0.01) Sell AUD 3,000,000 Buy USD 2,638,511 JP Morgan (5) Sell CHF 1,850,000 Buy USD 1,967,449 JP Morgan

36 Threadneedle Absolute Return Bond Fund Portfolio Statement (continued) Holding Investment Holding Investment DERIVATIVES 2.16% ( 2.22%) (continued) Sell GBP 1,000,000 Buy USD 1,616,271 Citigroup 10 Sell JPY 3,642,069,686 Buy USD 34,174,188 Citigroup Sell NZD 3,000,000 Buy USD 2,395,056 Credit Suisse Sell USD 25,637,390 Buy CNY 157,413,574 HSBC (17) (0.01) Sell JPY 3,649,829,799 Buy MXN 462,829,835 Citigroup 1, Sell JPY 2,732,117,684 Buy USD 25,637,390 Citigroup Sell USD 17,096,509 Buy CNY 104,981,116 HSBC (10) Sell USD 17,096,485 Buy MXN 231,399,214 Bank of Scotland Sell JPY 1,824,485,629 Buy USD 17,096,509 JP Morgan Sell NZD 21,458,273 Buy USD 17,091,965 UBS Sell CHF 16,198,425 Buy USD 17,040,839 Credit Suisse Sell USD 17,038,822 Buy MXN 231,135,031 Lloyds Sell AUD 19,410,957 Buy USD 17,020,783 Barclays (65) (0.02) Sell USD 4,551,527 Buy GBP 2,835,946 HSBC (8) Sell CHF 535,306 Buy USD 561,567 UBS 2 Sell EUR 734,531 Buy USD 929,530 JP Morgan 3 Sell JPY 121,299,105 Buy USD 1,121,696 Bank of Scotland Sell NZD 1,846,957 Buy USD 1,446,628 JP Morgan (4) Sell USD 43,019,921 Buy AUD 48,750,487 Citigroup (3) Sell USD 42,921,332 Buy EUR 33,793,823 Credit Suisse (248) (0.09) Sell USD 51,494,918 Buy JPY 5,563,707,688 Citigroup (1,023) (0.39) Sell USD 21,425,990 Buy NZD 27,179,581 Citigroup (33) (0.01) Sell USD 12,858,552 Buy NZD 16,306,287 HSBC (22) (0.01) Sell CNY 262,431,165 Buy USD 42,758,642 HSBC Sell USD 34,314,680 Buy JPY 3,697,365,584 Credit Suisse (739) (0.28) Sell JPY 3,243,210,700 Buy USD 30,020,000 Credit Suisse Sell NZD 32,882,339 Buy AUD 29,392,534 UBS Sell NZD 15,844,223 Buy GBP 7,714,105 RBC (73) (0.03) Sell USD 17,312,313 Buy MXN 233,851,267 HSBC Sell AUD 73,886,098 Buy USD 64,744,363 Citigroup (276) (0.10) Sell JPY 1,892,538,884 Buy USD 17,324,850 Bank of Scotland Sell NZD 55,545,859 Buy USD 43,230,226 JP Morgan (282) (0.11) Futures And Options 0.08% ( 0.02%) GBP 37,400,000 Citigroup Currency Put Option Expiring October 2014 Strike EUR (37,400,000) Credit Suisse Currency Call Option Expiring November 2014 Strike 1.28 (369) (0.14) EUR 109,000,000 Credit Suisse Currency Call Option Expiring November 2014 Strike USD 68,500,000 Credit Suisse Currency Put Option Expiring November 2014 Strike USD 873 UBS 90 Day Euro Future Expiring December USD (875) UBS 90 Day Euro Future Expiring December 2016 (87) (0.03) USD (872) UBS 90 Day Euro Future Expiring March 2015 (70) (0.02) USD 873 UBS 90 Day Euro Future Expiring September AUD 326 UBS Australia 3 Year Bond Future Expiring December EUR (800) UBS Euribor 3 Month Put Option Expiring December 2014 Strike (4) EUR 800 UBS Euribor 3 Month Put Option Expiring December 2014 Strike EUR 98 UBS Euro Bund Future Expiring December EUR (136) UBS Euro Buxl 30 Year Future Expiring December 2014 (444) (0.17) EUR (51) UBS Euro-BOBL Future Expiring December 2014 (2) EUR (182) UBS Euro-BTP Bond Future Expiring December USD (531) UBS IMM Euro Futures Put Option Expiring December 2014 Strike (2) USD 531 UBS IMM Euro Futures Put Option Expiring December 2014 Strike JPY (70) UBS Japan 10 Year Bond Future Expiring December 2014 (316) (0.12) USD 85 UBS US Ultra Bond Future Expiring December Interest Rate Swaps 0.57% ( 0.13%) NZD 78,800,000 Citigroup Interest Rate Swap Receive 4.145% Pay NZD BKBM-BBA 12/05/ AUD 72,000,000 Citigroup Interest Rate Swap Receive AUD BBSW-BBA Pay 3.055% 09/05/2017 (266) (0.10) JPY 165,000,000 Citigroup Interest Rate Swap Receive JPY Libor-BBA Pay % 28/01/2023 (22) (0.01) 34

37 Threadneedle Absolute Return Bond Fund Portfolio Statement (continued) Holding Investment DERIVATIVES 2.16% ( 2.22%) (continued) JPY 1,398,800,000 Citigroup Interest Rate Swap Receive JPY Libor-BBA Pay % 28/06/2033 (626) (0.24) GBP 3,400,000 Lloyds Interest Rate Swap Receive GBP Libor-BBA Pay 3.225% 04/11/2044 (338) (0.13) GBP 3,800,000 Lloyds Interest Rate Swap Receive GBP Libor-BBA Pay 3.285% 24/04/2044 (425) (0.16) Total Derivatives (5,719) (2.16) Total value of investments 251, Net other assets (8.68%) 13, Net assets 264, ANALYSIS OF INVESTMENTS BY ASSET CLASS Investment Fixed interest 206, Floating rate notes 50, Derivatives (5,719) (2.28) Total value of investments 251, ANALYSIS OF INVESTMENTS BY CREDIT RATINGS AAA 11,417 Aaa 2,750 AA+ 9,284 Aa1 15,864 Aa1u 12,994 AA 37,379 A+ 15,052 A 47,575 A 37,048 BBB+ 10,936 BBB 20,717 Baa2 5,474 BBB 2,730 Baa3 278 BB+ 10,806 Ba1 9,613 Not rated 7,056 Total Bonds 256,973 Derivatives (5,719) Total value of investments 251,254 ANALYSIS OF UNDERLYING EXPOSURE FUTURES AND OPTIONS UBS 90 Day Euro Future Expiring March 2015 (135,866) UBS 90 Day Euro Future Expiring September ,585 UBS 90 Day Euro Future Expiring December ,265 UBS 90 Day Euro Future Expiring December 2016 (134,205) UBS Euro-BTP Bond Future Expiring December 2014 (18,631) UBS Japan 10 Year Bond Future Expiring December 2014 (57,509) UBS Euro-BOBL Future Expiring December 2014 (5,132) UBS Euro Bund Future Expiring December ,624 UBS Euro Buxl 30 Year Future Expiring December 2014 (15,557) UBS US Ultra Bond Future Expiring December ,313 UBS Australia 3 Year Bond Future Expiring December ,747 UBS IMM Euro Futures Put Option Expiring December 2014 Strike (349) UBS IMM Euro Futures Put Option Expiring December 2014 Strike UBS Euribor 3 Month Put Option Expiring December 2014 Strike (21) UBS Euribor 3 Month Put Option Expiring December 2014 Strike Citigroup Currency Put Option Expiring October 2014 Strike Citigroup Currency Put Option Expiring October 2014 Strike Credit Suisse Currency Call Option Expiring November 2014 Strike 1.28 (73) Credit Suisse Currency Put Option Expiring November 2014 Strike (123) Total net exposure (56,457) April 2014 comparatives in brackets. *Variable rate bonds. 35

38 Threadneedle Target Return Fund Portfolio Statement as at 31 October 2014 Holding Investment Holding Investment CANADA 2.91% (2.10%) BBB 2.91% (2.10%) EUR 1,200,000 Glencore Canada Financial 6.25% 27/05/ Total Canada CAYMAN ISLANDS 4.80% (0.00%) A 4.80% (0.00%) EUR 500,000 Hutchison Whampoa Europe Finance 2.5% 06/06/ EUR 1,400,000 Hutchison Whampoa Finance 4.75% 14/11/2016 1, CHILE 0.00% (0.62%) AA 0.00% (0.62%) CZECH REPUBLIC 0.00% (1.92%) A 0.00% (1.92%) Total Cayman Islands 1, Total Chile Total Czech Republic DENMARK 2.48% (1.76%) A 2.48% (1.76%) EUR 1,000,000 Danske Bank 3.875% 18/05/ DOMINICAN REPUBLIC 0.00% (0.75%) B+ 0.00% (0.75%) Total Denmark Total Dominican Republic FRANCE 1.18% (0.00%) A 1.18% (0.00%) EUR 500,000 *Credit Agricole FRN 28/03/ GERMANY 0.00% (1.42%) AAA 0.00% (1.42%) INDONESIA 0.00% (1.60%) BB+ 0.00% (1.60%) Total France Total Germany Total Indonesia ITALY 8.91% (2.07%) BBB+ 0.00% (2.07%) Baa2u 5.95% (0.00%) EUR 2,300,000 Italy Buoni Poliennali Del Tesoro 4.75% 01/09/2017 1, Not Rated 2.96% (0.00%) EUR 1,200,000 Banca Monte dei Paschi di Siena 3.5% 20/03/ Total Italy 2, LUXEMBOURG 1.69% (2.63%) BBB 1.69% (2.63%) EUR 700,000 Glencore Finance Europe 7.125% 23/04/ Total Luxembourg MEXICO 2.64% (3.93%) BBB+ 2.64% (3.93%) EUR 384,000 Mexico Government International Bond 2.75% 22/04/ USD 820,000 Petroleos Mexicanos 5.75% 01/03/ NETHERLANDS 19.30% (16.47%) AA 0.00% (2.90%) Total Mexico A+ 0.00% (1.79%) A 6.27% (7.31%) EUR 500,000 Airbus Group Finance 4.625% 12/08/ EUR 1,000,000 KBC Internationale Financieringsmaatschappij 4.375% 26/10/ EUR 1,000,000 KBC Internationale Financieringsmaatschappij 4.5% 27/03/ BBB+ 3.96% (0.00%) EUR 1,500,000 Deutsche Telekom International Finance 6% 20/01/2017 1, BBB 6.53% (4.47%) USD 1,450,000 Petrobras Global Finance 3.25% 17/03/ EUR 1,500,000 Koninklijke KPN 6.5% 15/01/2016 1, Not Rated 2.54% (0.00%) EUR 1,000,000 Heineken 4.625% 10/10/ Total Netherlands 6, NEW ZEALAND 2.93% (0.00%) Aa+ 2.93% (0.00%) NZD 1,800,000 New Zealand Government Bond 5.5% 15/04/ NORWAY 5.27% (5.11%) Aaa 0.00% (0.69%) Total New Zealand BB+ 5.27% (4.42%) USD 1,000,000 Eksportfinans 3% 17/11/ USD 1,825,000 Eksportfinans 2% 15/09/2015 1, Total Norway 1,

39 Threadneedle Target Return Fund Portfolio Statement (continued) Holding Investment Holding Investment PERU 0.37 % (0.00%) BBB+ 0.37% (0.00%) USD 200,000 Financiera de Desarrollo 3.25% 15/07/ Total Peru PORTUGAL 3.38% (3.53%) Ba1 2.18% (0.00%) EUR 780,000 Portugal Government International Bond 5.65% 15/02/ Ba3 0.00% (3.53%) Not Rated 1.20% (0.00%) EUR 470,000 Portugal Government International Bond 3.85% 15/04/ REPUBLIC OF IRELAND 1.18% (2.10%) AA+ 0.00% (2.10%) Total Portugal 1, A 1.18% (0.00%) EUR 500,000 *Caterpillar International Finance FRN 23/05/ Total Republic of Ireland SLOVENIA 2.21% (1.52%) A 2.21% (1.52%) EUR 920,000 Slovenia Government Bond 1.75% 09/10/ Total Slovenia SOUTH KOREA 5.40% (7.63%) A+ 5.40% (7.63%) USD 1,245,000 Export-Import Bank of Korea 5.13% 16/03/ EUR 770,000 Export-Import Bank of Korea 4.625% 20/02/ USD 275,000 Export-Import Bank of Korea 2.88% 17/09/ USD 286,000 Korea Midland Power 2.75% 11/02/ Total South Korea 1, SPAIN 3.77% (3.01%) BBB 3.77% (0.00%) USD 625,000 Instituto de Credito Oficial 5% 14/11/ EUR 1,000,000 Instituto de Credito Oficial 5% 05/07/ BBB 0.00% (3.01%) Total Spain 1, SWEDEN 1.20% (0.00%) A 1.20% (0.00%) EUR 500,000 Scania CV 0% 23/03/ Total Sweden TURKEY 0.53% (0.34%) BBB 0.00% (0.34%) Baa3 0.53% (0.00%) USD 270,000 Coca-Cola Icecek 4.75% 01/10/ Total Turkey UNITED KINGDOM 10.09% (19.12%) AAA 0.87% (0.00%) EUR 350,000 Bradford & Bingley 4.25% 04/05/ AA+ 0.00% (1.84%) Aa1 0.00% (10.35%) A 0.00% (4.15%) BBB+ 3.29% (0.00%) EUR 1,375,000 Royal Bank of Scotland Group 1.5% 28/11/2016 1, BBB 3.85% (2.78%) EUR 1,600,000 Anglo American 5.875% 17/04/2015 1, Not Rated 2.08% (0.00%) GBP 760,000 United Kingdom Gilt 3.5% 29/12/ Total United Kingdom 3, UNITED STATES OF AMERICA 11.59% (14.63%) AA 1.99% (1.35%) AUD 1,200,000 Toyota Motor Credit 5.54% 18/12/ A 9.60% (13.28%) EUR 1,600,000 Goldman Sachs Group 4% 02/02/2015 1, AUD 1,500,000 Morgan Stanley 7.63% 03/03/ USD 1,600,000 Morgan Stanley 4.75% 22/03/2017 1, Total United States of America 3, DERIVATIVES 2.45% ( 2.75%) Credit Default Swaps 1.48% ( 2.66%) EUR 700,000 Barclays Itraxx Crossover Credit Default Index Buy Protection 20/12/2019 (33) (0.10) EUR 8,300,000 Goldman Sachs Itraxx Crossover Credit Default Swap Index Buy Protection 20/12/2019 (393) (1.17) USD 6,500,000 HSBC Japan Credit Default Swap Buy Protection 20/12/2016 (70) (0.21) Interest Rate Swaps 0.54% ( 0.13%) JPY 198,228,000 Barclays Interest Rate Swap Receive JPY Libor-BBA Pay % 07/06/2033 (92) (0.27) NZD 8,300,000 Citigroup Interest Rate Swap Receive 4.145% Pay NZD BKBM- BBA 12/05/ AUD 7,600,000 Citigroup Interest Rate Swap Receive AUD BBSW-BBA Pay 3.055% 09/05/2017 (28) (0.08) 37

40 Threadneedle Target Return Fund Portfolio Statement (continued) Holding Investment Holding Investment DERIVATIVES 2.45% ( 2.75%) (continued) GBP 120,000 HSBC Interest Rate Swap Receive GBP Libor-BBA Pay % 10/01/2044 (15) (0.04) GBP 710,000 Lloyds Interest Rate Swap Receive GBP Libor-BBA Pay 3.225% 11/04/2044 (70) (0.21) Futures and Options 0.08% ( 0.03%) GBP 4,260,000 Citigroup Currency Put Option Expiring October 2014 Strike GBP (4,260,000) Citigroup Currency Put Option Expiring October 2014 Strike 175 (42) (0.13) EUR 8,500,000 Credit Suisse Currency Call Option Expiring November 2014 Strike USD 13,500,000 Credit Suisse Currency Put Option Expiring November 2014 Strike USD 108 UBS 90 Day Euro Future Expiring December USD (108) UBS 90 Day Euro Future Expiring December 2016 (9) (0.03) AUD (108) UBS 90 Day Euro Future Expiring March 2015 (8) (0.02) USD 108 UBS 90 Day Euro Future Expiring September EUR 40 UBS Australia 3 Year Bond Future Expiring December EUR (94) UBS Euribor 3 Month Put Option Expiring December 2014 Strike (1) EUR 94 UBS Euribor 3 Month Put Option Expiring December 2014 Strike EUR 12 UBS Euro Bund Future Expiring December USD (17) UBS Euro Buxl 30 Year Future Expiring December 2014 (52) (0.15) EUR (6) UBS Euro-BOBL Future Expiring December 2014 JPY (23) UBS Euro-BTP Bond Future Expiring December USD (254) UBS IMM Euro Futures Put Option Expiring December 2014 Strike (1) USD 254 UBS IMM Euro Futures Put Option Expiring December 2014 Strike EUR (8) UBS Japan 10 Year Bond Future Expiring December 2014 (37) (0.11) USD 11 UBS US Ultra Bond Future Expiring December Forward Foreign Exchange Contracts 0.35% (0.07%) Sold GBP 886,497 Buy EUR 1,120,028 (6) (0.02) Sold USD 13,555,395 Buy EUR 10,610,794 (127) (0.38) Sold USD 128,831 Buy EUR 100,845 (1) Sold GBP 934,399 Buy JPY 161,025,179 (33) (0.10) Sold USD 5,640,192 Buy JPY 602,749,669 (149) (0.45) Sold USD 2,996,539 Buy NOK 19,719,530 (43) (0.13) Sold AUD 10,895,991 Buy USD 9,532,947 (50) (0.15) Sold CAD 41,953 Buy USD 37,208 Sold CHF 4,733,432 Buy USD 5,014, Sold MXN 43,718 Buy USD 3,227 Sold NZD 8,357,604 Buy USD 6,628, Sold JPY 428,854,718 Buy USD 4,024, Sold USD 3,018,810 Buy CNY 18,535,492 (2) (0.01) Sold JPY 429,768,474 Buy MXN 54,498, Sold JPY 321,707,617 Buy USD 3,018, Sold USD 2,092,770 Buy CNY 12,850,775 (1) Sold USD 2,013,133 Buy MXN 27,247, Sold USD 225,463 Buy MXN 3,050,000 1 Sold USD 131,800 Buy NOK 865,000 (2) (0.01) Sold AUD 320,000 Buy USD 281,663 Sold CHF 195,000 Buy USD 205,966 2 Sold GBP 95,000 Buy USD 153,448 1 Sold JPY 15,500,000 Buy USD 145, Sold JPY 223,335,924 Buy USD 2,092, Sold NZD 2,526,739 Buy USD 2,012, Sold NZD 430,000 Buy USD 342, Sold CHF 1,979,810 Buy USD 2,082, Sold USD 2,082,535 Buy MXN 28,250, Sold AUD 2,372,453 Buy USD 2,080,321 (8) (0.02) Sold GBP 489,212 Buy EUR 620,000 (2) Sold USD 160,679 Buy CNY 987,742 Sold USD 860,472 Buy EUR 679,960 (3) (0.01) Sold USD 113,586 Buy MXN 1,541,152 Sold AUD 154,008 Buy USD 135,031 (1) Sold CHF 154,491 Buy USD 162,070 1 Sold GBP 294,196 Buy USD 472,167 1 Sold JPY 19,873,104 Buy USD 183, Sold NZD 348,186 Buy USD 272,716 (1) 38

41 Threadneedle Target Return Fund Portfolio Statement (continued) Holding Investment Investment DERIVATIVES 2.45% ( 2.75%) (continued) Sold USD 115,713 Buy CNY 710,711 Sold USD 185,039 Buy MXN 2,510,920 1 Sold USD 124,339 Buy NOK 822,117 (1) Sold AUD 206,145 Buy USD 181,220 Sold CHF 141,028 Buy USD 148,665 1 Sold EUR 76,598 Buy USD 97,355 1 Sold JPY 12,694,886 Buy USD 117, Sold NZD 205,082 Buy USD 161,349 Sold EUR 9,504 Buy CHF 11,459 Sold EUR 273,543 Buy USD 347, Sold USD 14 Buy EUR 11 Sold USD 5,417,797 Buy AUD 6,139,487 Sold USD 5,405,381 Buy EUR 4,255,89 (31) (0.09) Sold USD 6,485,112 Buy JPY 700,676,303 (129) (0.39) Sold USD 2,698,324 Buy NZD 3,422,913 (4) (0.01) Sold USD 1,619,367 Buy NZD 2,053,564 (3) (0.01) Sold CNY 33,089,319 Buy USD 5,391, Sold USD 4,321,484 Buy JPY 465,634,715 (93) (0.28) Sold EUR 62 Buy USD 79 Sold JPY 405,131,250 Buy USD 3,750, Sold NZD 4,085,771 Buy AUD 3,652, Sold EUR 74 Buy USD 94 Sold NZD 1,967,225 Buy EUR 1,215,946 (11) (0.03) Sold USD 2,151,732 Buy MXN 29,065, Sold AUD 9,183,235 Buy USD 8,047,017 (34) (0.10) Sold JPY 235,221,600 Buy USD 2,153, Sold NZD 6,903,744 Buy USD 5,373,045 (35) (0.10) Total Derivatives (821) (2.45) Total value of investments 29, Net other assets (10.49%) 3, Net assets 33, ANALYSIS OF INVESTMENTS BY ASSET CLASS Fixed interest 29, Floating rate notes Derivatives (821) (2.75) Total value of investments 29, ANALYSIS OF INVESTMENTS BY CREDIT RATINGS AAA 292 AA+ 980 AA 664 A+ 1,806 A 3,719 A 5,959 BBB+ 3,433 BBB 4,092 Baa2u 1,989 BBB 2,182 Baa3 178 BB+ 1,764 Ba1 728 Not Rated 2,936 Derivatives (821) Total value of investments 29,901 ANALYSIS OF UNDERLYING EXPOSURE FUTURES AND OPTIONS Citigroup Currency Put Option Expiring October 2014 Strike Citigroup Currency Put Option Expiring October 2014 Strike Credit Suisse Currency Call Option Expiring November 2014 Strike 1.28 (9) Credit Suisse Currency Put Option Expiring November 2014 Strike (15) UBS 90 Day Euro Future Expiring December ,734 UBS 90 Day Euro Future Expiring December 2016 (16,565) UBS 90 Day Euro Future Expiring March 2015 (16,827) UBS 90 Day Euro Future Expiring September ,773 UBS Australia 3 Year Bond Future Expiring December ,423 UBS Euribor 3 Month Put Option Expiring December 2014 Strike UBS Euribor 3 Month Put Option Expiring December 2014 Strike (2) UBS Euro Bund Future Expiring December ,423 UBS Euro Buxl 30 Year Future Expiring December 2014 (1,945) UBS Euro-BOBL Future Expiring December 2014 (604) UBS Euro-BTP Bond Future Expiring December 2014 (2,354) UBS IMM Euro Futures Put Option Expiring December 2014 Strike UBS IMM Euro Futures Put Option Expiring December 2014 Strike (176) UBS Japan 10 Year Bond Future Expiring December 2014 (6,572) UBS US Ultra Bond Future Expiring December ,076 Total net exposure (6,489) April 2014 comparatives in brackets. *Variable rate bond. 39

42 Threadneedle Pan European Focus Fund Portfolio Statement as at 31 October 2014 Holding Investment Holding Investment BELGIUM 8.86% (6.25%) Beverages 4.68% (0.00%) 50,000 Anheuser-Busch InBev 3, Pharmaceuticals & Biotechnology 4.18% (3.51%) 59,401 UCB 3, Banks 0.00% (2.74%) Total Belgium 6, CANADA 2.90% (2.38%) Media 2.90% (2.38%) 674,262 Entertainment One 2, Total Canada 2, DENMARK 10.39% (6.04%) Pharmaceuticals & Biotechnology 4.78% (2.94%) 30,000 H Lundbeck ,713 Novo Nordisk 3, Personal Goods 5.61% (3.10%) 77,256 Pandora 4, Total Denmark 7, FINLAND 0.00% (1.77%) Industrial Engineering 0.00% (1.77%) Total Finland FRANCE 23.64% (19.81%) Aerospace & Defence 0.00% (1.76%) General Industrials 0.00% (3.00%) Industrial Transportation 5.11% (3.77%) 472,351 Groupe Eurotunnel 3, Automobiles & Parts 0.00% (3.75%) Personal Goods 4.19% (0.00%) 31,232 L Oreal 3, Media 7.15% (1.99%) 50,000 Publicis Groupe 2, ,000 Vivendi 3, Software & Computer Services 4.63% (5.54%) 24,380 Iliad 3, Technology Hardware & Equipment 2.56% (0.00%) 30,000 Ingenico 1, Total France 17, GERMANY 13.38% (8.88%) Chemicals 8.90% (3.78%) 50,000 Bayer 4, ,981 Brenntag 2, Automobiles & Parts 2.82% (2.80%) 11,945 Bayerische Motoren Werke ,174 Continental 1, Media 1.66% (2.30%) 47,928 ProSiebenSat.1 Media 1, GREECE 0.00% (1.30%) Banks 0.00% (1.30%) Total Germany 9, Total Greece ISRAEL 0.00% (1.88%) Financial Services 0.00% (1.88%) ITALY 0.00% (6.33%) Banks 0.00% (6.33%) Total Israel Total Italy NETHERLANDS 6.59% (3.66%) Aerospace & Defence 3.57% (1.01%) 70,000 Airbus Group 2, Banks 0.89% (2.65%) 73,025 ING Groep Technology Hardware & Equipment 2.13% (0.00%) 25,000 ASML 1, NORWAY 1.75% (2.42%) Media 0.00% (0.82%) Total Netherlands 4, Banks 1.75% (1.60%) 110,548 DnB NOR Bank 1, REPUBLIC OF IRELAND 0.00% (4.15%) Banks 0.00% (4.15%) Total Norway 1, Total Republic of Ireland SPAIN 0.00% (6.04%) Support Services 0.00% (1.29%) Banks 0.00% (4.75%) Total Spain SWEDEN 8.41% (5.53%) Banks 8.41% (4.49%) 393,134 Nordea Bank 3, ,000 Svenska Handelsbanken 2, Financial Services 0.00% (1.04%) Total Sweden 6,

43 Threadneedle Pan European Focus Fund Portfolio Statement (continued) Holding Investment SWITZERLAND 8.07% (6.33%) Support Services 0.00% (6.33%) Food Producers 4.36% (0.00%) 69,726 Nestle 3, Banks 3.71% (0.00%) 250,000 UBS 2, Total Switzerland 5, UNITED KINGDOM % (16.89%) Support Services 2.67% (4.76%) 88,145 Ashtead Group ,000 Howden Joinery Group 1, Household Goods & Home Construction 0.00% (1.76%) Personal Goods 4.14% (0.00%) 119,435 Unilever 3, Pharmaceuticals & Biotechnology 5.61% (0.00%) 90,000 AstraZeneca 4, General Retailers 0.00% (1.45%) Travel & Leisure 0.00% (1.60%) Fixed Line Telecommunications 0.00% (3.47%) Mobile Telecommunications 0.00% (1.81%) Life Insurance 1.57% (2.04%) 155,160 St James s Place 1, Financial Services 1.74% (0.00%) 62,452 London Stock Exchange Group 1, Total United Kingdom 11, Total value of investments 72, Net other assets (0.34%) Net assets 72, April 2014 comparatives in brackets. 41

44 Threadneedle Pan European Equity Dividend Fund Portfolio Statement as at 31 October 2014 Holding Investment Holding Investment BELGIUM 6.77% (6.82%) Chemicals 0.00% (1.52%) Industrial Transportation 2.85% (2.82%) 79,111 bpost 1, Beverages 3.92% (2.48%) 24,362 Anheuser-Busch InBev 1, Total Belgium 2, BERMUDA 1.11% (0.92%) Nonlife Insurance 1.11% (0.92%) 88,489 Catlin Group Total Bermuda DENMARK 0.00% (1.67%) Health Care Equipment & Services 0.00% (1.67%) Total Denmark FINLAND 5.29% (6.53%) Nonlife Insurance 3.09% (1.87%) 43,658 Sampo 1, Industrial Engineering 2.20% (3.01%) 34,961 Kone Leisure Goods 0.00% (1.65%) Total Finland 2, FRANCE 1.53% (4.19%) Industrial Transportation 1.53% (1.27%) 82,523 Groupe Eurotunnel Support Services 0.00% (2.92%) Total France GERMANY 17.89% (23.53%) Chemicals 6.22% (8.48%) 17,950 BASF ,534 Bayer 1, Automobiles & Parts 2.00% (0.00%) 12,658 Bayerische Motoren Werke Mobile Telecommunications 0.00% (2.05%) Nonlife Insurance 3.43% (2.52%) 14,694 Allianz 1, Media 2.95% (2.98%) 49,622 ProSiebenSat.1 Media 1, Industrial Transportation 3.29% (3.30%) 71,545 Deutsche Post 1, Personal Goods 0.00% (1.32%) ITALY 2.07% (5.95%) Gas, Water & Multiutilities 2.07% (3.08%) 262,935 Snam Rete Gas Travel & Leisure 0.00% (2.87%) Total Italy NETHERLANDS 3.08% (4.96%) Media 3.08% (4.96%) 90,962 Reed Elsevier 1, Total Netherlands 1, NORWAY 0.00% (1.60%) Oil Equipment, Services & 0.00% (1.60%) Total Norway SPAIN 4.66% (1.98%) Construction & Materials 3.01% (1.98%) 100,243 Ferrovial 1, Electricity 0.69% (0.00%) 23,920 Endesa Financial Services 0.96% (0.00%) 17,032 Bolsas y Mercados Espanoles Total Spain 1, SWEDEN 9.51% (10.82%) Banks 6.69% (4.87%) 183,943 Nordea Bank 1, ,944 Svenska Handelsbanken 1, Industrial Engineering 0.00% (2.91%) Tobacco 2.82% (3.04%) 58,987 Swedish Match 1, Total Sweden 4, SWITZERLAND 21.09% (15.59%) Chemicals 3.03% (6.34%) 1,238 Givaudan 1, Banks 2.11% (0.00%) 83,023 UBS Pharmaceuticals & Biotechnology 10.81% (2.75%) 39,886 Novartis 2, ,223 Roche 2, Food Producers 5.14% (5.03%) 47,843 Nestle 2, Support Services 0.00% (1.47%) Total Switzerland 8, Support Services 0.00% (2.88%) Total Germany 7,

45 Threadneedle Pan European Equity Dividend Fund Portfolio Statement (continued) Holding Investment UNITED KINGDOM 27.53% (15.00%) Oil & Gas Producers 4.53% (0.00%) 85,831 Royal Dutch Shell A Shares 1, Fixed Line Telecommunications 3.36% (0.00%) 390,732 BT Group 1, Aerospace & Defence 2.06% (0.00%) 191,611 BAE Systems Pharmaceuticals & Biotechnology 8.13% (4.36%) 38,319 AstraZeneca 1, ,833 GlaxoSmithKline 1, Nonlife Insurance 1.48% (3.35%) 137,328 Amlin Media 2.09% (3.17%) 76,228 Pearson Life Insurance 2.50% (0.00%) 460,346 Legal & General Group 1, Household Goods & Home Construction 0.00% (0.63%) Personal Goods 3.38% (3.49%) 56,752 Unilever 1, Total United Kingdom 11, Total value of investments 42, Net other (liabilities)/assets (0.44%) (227) (0.53) Net assets 42, April 2014 comparatives in brackets 43

46 Threadneedle American Extended Alpha Fund Portfolio Statement as at 31 October 2014 Holding Investment Holding Investment BERMUDA 0.79% (0.00%) Financial Services 0.79% (0.00%) 396,854 Markit 6, Total Bermuda 6, CANADA 2.33% (3.73%) Oil & Gas Producers 1.11% (1.92%) 394,550 Suncor Energy 8, Chemicals 0.42% (1.81%) 90,400 Methlanex 3, Software & Computer Services 0.80% (0.00%) 206,200 Catamaran 6, Total Canada 18, NETHERLANDS 0.00% (1.37%) Chemicals 0.00% (1.37%) Total Netherlands PANAMA 0.70% (1.12%) Travel & Leisure 0.70% (1.12%) 76,557 Copa Holdings Class A 5, Total Panama 5, REPUBLIC OF IRELAND 2.92% (3.04%) General Industrials 1.32% (1.18%) 244,700 Eaton 10, Industrial Engineering 1.60% (1.86%) 320,174 Ingersoll-Rand 12, Total Republic Of Ireland 22, SWITZERLAND 0.42% (1.24%) Support Services 0.42% (1.24%) 123,431 Tyco International 3, Total Switzerland 3, UNITED KINGDOM 2.15% (2.84%) Automobiles & Parts 0.00% (1.63%) Nonlife Insurance 1.00% (0.00%) 147,600 Aon 7, Media 1.15% (1.21%) 311,300 Liberty Global A Shares 8, Total United Kingdom 16, UNITED STATES OF AMERICA 65.52% (65.05%) Oil & Gas Producers 1.30% (6.02%) 341,800 Cabot Oil & Gas 6, ,978 EOG Resources 3, Chemicals 1.37% (1.50%) 154,785 Airgas 10, Construction & Materials 0.00% (0.65%) Automobiles & Parts 0.00% (1.17%) Health Care Equipment & Services 2.12% (2.52%) 181,534 Express Scripts 8, ,531 Thermo Fisher Scientific 7, Food & Drug Retailers 0.50% (0.00%) 158,200 Whole Foods Market 3, Fixed Line Telecommunications 0.00% (1.27%) Electricity 1.06% (0.00%) 82,900 Consolidated Edison 3, ,710 DTE Energy 4, Banks 4.49% (6.10%) 907,818 Bank of America 9, ,385 JPMorgan Chase 25, Software & Computer Services 5.33% (5.97%) 162,754 Facebook 7, ,216 Google Class A 23, ,316 Google 7, ,200 International Business Machines 2, Oil Equipment, Services & 1.27% (1.19%) 291,044 Halliburton 9, Beverages 0.90% (2.44%) 267,500 Coca-Cola 6, Pharmaceuticals & Biotechnology 3.54% (1.57%) 426,300 Bristol-Myers Squibb 15, ,200 Vertex Pharmaceuticals 11, General Retailers 4.83% (3.44%) 48,961 Amazon.com 9, ,992 ebay 9, ,600 Home Depot 18, Gas, Water & Multiutilities 1.08% (0.00%) 161,121 Duke Energy 8, Nonlife Insurance 2.05% (0.00%) 180,800 Berkshire Hathaway 15, Technology Hardware & Equipment 8.69% (6.18%) 187,500 Altera 3, ,800 Analog Devices 4, ,972 Apple 33, ,100 Applied Materials 3, ,200 Hewlett-Packard 7,

47 Threadneedle American Extended Alpha Fund Portfolio Statement (continued) Holding Investment Holding Investment UNITED STATES OF AMERICA 65.52% (65.05%) (continued) 143,987 Lam Research 6, ,600 Linear Technology 1, ,098 Texas Instruments 2, ,800 Xilinx 3, Food Producers 2.14% (1.79%) 751,600 Mondelez International 16, Media 4.70% (2.74%) 107,760 Charter Communications 10, ,600 Discovery Communications 4, ,800 Discovery Communications A Shares 4, ,300 Time Warner 8, ,234 Twenty-First Century Fox 8, Life Insurance 0.00% (1.15%) Electronic & Electrical Equipment 0.51% (0.00%) 126,200 Amphenol 3, Household Goods & Home Construction 3.22% (3.86%) 86,500 Lennar 2, ,952 Mohawk Industries 6, ,100 Procter & Gamble 16, DERIVATIVES 0.90% (0.20%) Forward Foreign Exchange Contracts 0.12% (0.00%) Sell USD 151,896,934 Buy EUR 119,500,193 JP Morgan (943) (0.12) Sell USD 3,042,789 Buy EUR 2,395,397 JP Morgan (18) Sell EUR 1,467,756 Buy USD 1,860,594 JP Morgan 8 Sell EUR 83 Buy USD 104 JP Morgan Sell EUR 133,928 Buy USD 170,537 JP Morgan 1 Portfolio Swap 1.02% (0.20%) Merril Lynch Portfolio Swap 7, Total Derivatives 7, Total value of investments 589, Net other assets (21.41%) 189, Net assets 778, April 2014 comparatives in brackets. Travel & Leisure 2.86% (7.91%) 168,200 McDonald s 9, ,098 Priceline Group 9, ,581 Sabre 2, Leisure Goods 1.27% (0.00%) 391,600 Electronic Arts 9, Industrial Transportation 1.14% (0.00%) 122,000 Union Pacific 8, Personal Goods 1.18% (0.71%) 157,600 NIKE 9, Financial Services 7.99% (6.21%) 292,300 CME Group 15, ,384 Discover Financial Services 4, ,760 MasterCard Class A 20, ,757 Visa A Shares 21, Support Services 0.00% (0.66%) Tobacco 1.98% (0.00%) 276,400 Philip Morris International 15, Total United States Of America 510,

48 Threadneedle China Opportunities Fund Portfolio Statement as at 31 October 2014 Holding Investment Holding Investment BERMUDA 3.96% (2.90%) Forestry & Paper 0.00% (0.79%) Industrial Transportation 0.28% (0.65%) 322,855 COSCO Pacific Pharmaceuticals & Biotechnology 3.04% (1.46%) 1,487,000 Luye Pharma Group 1, ,130,000 Sihuan Pharmaceutical Holdings Group 1, Technology Hardware & Equipment 0.64% (0.00%) 910,000 PAX Global Technology Total Bermuda 3, BRITISH VIRGIN ISLANDS 1.05% (2.73%) Electronic & Electrical Equipment 1.05% (2.73%) 67,962 Hollysys Automation Technologies 1, Total British Virgin Islands 1, CAYMAN ISLANDS 23.49% (36.84%) Alternative Energy 1.13% (1.32%) 5,093,000 GCL-Poly Energy Holdings 1, Construction & Materials 0.51% (1.48%) 500,000 China State Construction International Holdings Industrial Engineering 0.00% (1.59%) Food Producers 1.12% (4.64%) 389,000 China Mengniu Dairy 1, Personal Goods 0.00% (0.86%) Pharmaceuticals & Biotechnology 1.07% (1.26%) 43,239 WuXi PharmaTech Cayman ADR 1, General Retailers 4.61% (4.93%) 14,053 Alibaba Group ADR ,748 JD.com ADR ,462,000 SA SA International Holdings ,831 Vipshop Holdings ADR 2, Media 0.51% (0.00%) 1,002,000 Wisdom Holdings Group Travel & Leisure 2.01% (3.87%) 1,872,000 NagaCorp ,400 Sands China Gas, Water & Multiutilities 0.86% (2.29%) 204,000 ENN Energy Holdings Real Estate Investment & Services 0.80% (2.94%) 566,500 Shimao Property Holdings Software & Computer Services 10.87% (11.66%) 23,400 21Vianet Group ADR ,358 Baidu (ADS) 1, ,100 Tencent Holdings 8, Total Cayman Islands 22, CHINA 37.69% (30.61%) Oil & Gas Producers 6.49% (3.69%) 5,092,000 China Petroleum & Chemical 2, ,400,000 PetroChina 3, Oil Equipment, Services & 0.63% (1.55%) 460,000 China Oilfield Services Construction & Materials 1.05% (0.54%) 2,323,000 Beijing Urban Construction Design & Development Group 1, Electronic & Electrical Equipment 1.38% (0.88%) 1,305,000 Sunny Optical Technology Group 1, Industrial Engineering 0.85% (1.28%) 303,000 Zhuzhou CSR Times Electric Industrial Transportation 1.85% (0.00%) 3,561,000 Sinotrans 1, Automobiles & Parts 2.99% (2.90%) 1,840,799 AviChina Industry & Technology ,000 Dongfeng Motor Group ,150 Great Wall Motor 1, Personal Goods 0.00% (0.24%) General Retailers 0.77% (1.44%) 54,665 New Oriental Education & Technology Group ADR Travel & Leisure 0.00% (0.51%) Electricity 1.71% (1.01%) 1,142,000 Huadian Power International ,424,000 Huaneng Power International 1, Banks 12.29% (9.44%) 15,535,000 Bank of China 4, ,250,000 China Construction Bank 4, ,569,000 Industrial & Commercial Bank of China 2, Life Insurance 3.58% (4.79%) 952,000 China Life Insurance 1, ,000 Ping An Insurance Group of China 1, Real Estate Investment & Services 1.40% (0.00%) 406,200 China Vanke ,980,411 KWG Property Financial Services 2.70% (2.34%) 841,000 CITIC Securities 'H' Shares 1, ,185,200 Haitong Securities 1, Total China 35,

49 Threadneedle China Opportunities Fund Portfolio Statement (continued) Holding Investment Holding Investment HONG KONG 26.28% (19.32%) Oil & Gas Producers 2.20% (1.58%) 2,138,000 CNOOC 2, Construction & Materials 0.44% (1.09%) 988,000 China Resources Cement Holdings Industrial Transportation 2.41% (1.71%) 676,000 China Merchants Holdings International 1, ,500 Orient Overseas International Support Services 1.35% (1.79%) 1,486,000 China Everbright International 1, Household Goods & Home Construction 2.00% (3.40%) 909,000 Haier Electronics Group 1, ,000 Vinda International Holdings Pharmaceuticals & Biotechnology 0.91% (1.00%) 1,506,000 CSPC Pharmaceutical Group Travel & Leisure 0.45% (0.00%) 1,804,000 China Eastern Airlines SINGAPORE 0.79% (0.00%) Support Services 0.79% (0.00%) 1,045,000 Sound Global Total Singapore SWITZERLAND 0.54% (0.00%) Chemicals 0.54% (0.00%) 4,788,000 Tianhe Chemicals Group Total Switzerland TAIWAN 0.75% (0.82%) Technology Hardware & Equipment 0.75% (0.82%) 80,000 MediaTek Total Taiwan Total value of investments 93, Net other assets (1.53%) 2, Net assets 95, April 2014 comparatives in brackets. Mobile Telecommunications 7.81% (0.00%) 809,500 China Mobile 6, ,218,000 China Unicom Hong Kong 1, Gas, Water & Multiutilities 2.70% (3.12%) 3,402,000 Beijing Enterprises Water Group 1, ,292,000 Guangdong Investment 1, Banks 0.00% (0.95%) Life Insurance 1.34% (1.54%) 367,400 AIA Group 1, Real Estate Investment & Services 1.18% (1.58%) 622,000 China Overseas Land & Investment 1, Financial Services 1.77% (0.00%) 121,900 Hong Kong Exchanges and Clearing 1, Technology Hardware & Equipment 1.72% (1.56%) 1,776,000 Lenovo Group 1, Total Hong Kong 25, ITALY 0.00% (1.41%) Personal Goods 0.00% (1.41%) Total Italy LUXEMBOURG 3.18% (3.84%) Mining 0.20% (0.24%) 124,300 J.P. Morgan International Derivatives (Shenhua A shares P Note) Construction & Materials 1.22% (1.55%) 663,100 J.P. Morgan International Derivatives (Anhui Conch Cement A shares P Note) 1, Life Insurance 1.76% (2.05%) 381,400 J.P. Morgan International Derivatives (Ping An A shares P Note) 1, Total Luxembourg 3,

50 Threadneedle Global Emerging Markets Equity Fund Portfolio Statement as at 31 October 2014 Holding Investment Holding Investment AUSTRALIA 0.00% (0.89%) Health Care Equipment & Services 0.00% (0.89%) BERMUDA 1.02% (0.00%) Pharmaceuticals & Biotechnology 1.02% (0.00%) 3,388,000 Luye Pharma Group 3, Total Bermuda 3, BRAZIL 7.08% (5.01%) Oil & Gas Producers 1.05% (1.34%) 426,199 Petroleo Brasileiro ADR 3, Food Producers 2.36% (2.36%) 302,648 BRF ADR 4, ,400 M Dias Branco 2, Personal Goods 1.03% (1.31%) 1,409,737 Alpargatas 3, Banks 2.64% (0.00%) 856,600 Itau Unibanco ADR 7, Total Brazil 21, BRITISH VIRGIN ISLANDS 0.45% (0.85%) Software & Computer Services 0.45% (0.85%) 86,428 Mail.ru Group GDR 1, Total British Virgin Islands 1, CAYMAN ISLANDS 6.02% (4.90%) Alternative Energy 0.76% (0.00%) 10,826,000 GCL-Poly Energy Holdings 2, Industrial Engineering 0.00% (0.46%) Food Producers 0.89% (1.03%) 965,000 China Mengniu Dairy 2, General Retailers 0.59% (0.68%) 27, com ADR ,100 Vipshop Holdings ADR 1, Software & Computer Services 3.78% (2.73%) 21,900 Baidu (ADS) 3, ,200 Tencent Holdings 8, Total Cayman Islands 17, CHINA 3.74% (2.70%) Oil & Gas Producers 1.15% (1.16%) 6,364,000 China Petroleum & Chemical 3, Oil Equipment, Services & 0.63% (0.85%) 1,454,000 China Oilfield Services 1, Electronic & Electrical Equipment 0.46% (0.00%) 1,373,000 Sunny Optical Technology Group 1, Industrial Engineering 0.46% (0.41%) 516,500 Zhuzhou CSR Times Electric 1, Industrial Transportation 0.87% (0.00%) 5,165,000 Sinotrans 2, Automobiles & Parts 0.17% (0.28%) 528,000 Dongfeng Motor Group Total China 11, COLOMBIA 1.11% (0.00%) Banks 1.11% (0.00%) 94,300 Bancolombia ADR 3, Total Colombia 3, CZECH REPUBLIC 1.44% (1.42%) Banks 1.44% (1.42%) 32,104 Komercni banka 4, Total Czech Republic 4, GREECE 0.35% (0.94%) Banks 0.35% (0.94%) 696,735 National Bank of Greece 1, Total Greece 1, HONG KONG 6.69% (4.39%) Support Services 0.61% (0.00%) 2,093,000 China Everbright International 1, Personal Goods 0.85% (0.94%) 384,500 Hengan International Group 2, General Retailers 0.00% (0.40%) Mobile Telecommunications 1.96% (0.53%) 749,500 China Mobile 5, Gas, Water & Multiutilities 0.96% (0.79%) 3,514,000 Guangdong Investment 2, Life Insurance 1.09% (1.00%) 933,400 AIA Group 3, Technology Hardware & Equipment 1.22% (0.73%) 3,954,000 Lenovo Group 3, Total Hong Kong 19, INDIA 6.16% (6.73%) Construction & Materials 0.75% (0.00%) 133,203 Larsen & Toubro 2, Tobacco 0.78% (0.97%) 647,573 ITC 2, Health Care Equipment & Services 0.74% (0.69%) 195,414 Apollo Hospitals Enterprise 2, Pharmaceuticals & Biotechnology 0.67% (0.75%) 144,171 Lupin 2, Banks 2.43% (1.84%) 71,202 HDFC Bank ADR 2, ,553 ICICI Bank ADR 4, Software & Computer Services 0.79% (2.48%) 143,970 HCL Technologies 2, Total India 18,

51 Threadneedle Global Emerging Markets Equity Fund Portfolio Statement (continued) Holding Investment Holding Investment INDONESIA 1.63% (0.00%) Banks 1.63% (0.00%) 6,583,300 Bank Mandiri Persero Tbk PT 3, ,381,800 Bank Rakyat Indonesia 1, Total Indonesia 4, LUXEMBOURG 1.00% (0.79%) Household Goods & Home Construction 1.00% (0.79%) 1,443,000 Samsonite International 2, Total Luxembourg 2, MALAYSIA 2.85% (2.75%) Construction & Materials 0.91% (0.59%) 2,059,500 IJM 2, Mobile Telecommunications 1.02% (1.15%) 2,618,400 DiGi.Com 3, Electricity 0.92% (1.01%) 1,086,700 Tenaga Nasional 2, Total Malaysia 8, MEXICO 8.66% (10.30%) Construction & Materials 1.93% (2.38%) 4,015,519 Cemex 3, ,321 Cemex ADR 1, ,700 OHL Mexico 1, General Industrials 0.92% (1.10%) 1,407,900 Alfa 2, Beverages 0.51% (0.50%) 25,557 Fomento Economico Mexicano ADR 1, Food Producers 0.00% (0.83%) General Retailers 0.76% (0.70%) 313,200 El Puerto de Liverpool 2, Media 1.50% (0.99%) 201,500 Grupo Televisa ADR 4, Travel & Leisure 0.26% (0.00%) 403,100 Alsea Banks 0.47% (2.01%) 345,400 Grupo Financiero Banorte 1, Real Estate Investment Trusts 1.12% (0.80%) 2,323,840 PLA Administradora Industrial S de RL de 3, Financial Services 1.19% (0.99%) 2,725,500 Bolsa Mexicana de Valores 3, Total Mexico 25, PANAMA 0.29% (0.45%) Travel & Leisure 0.29% (0.45%) 12,182 Copa Holdings Class A Total Panama PHILIPPINES 4.01% (6.02%) General Industrials 0.34% (0.74%) 2,887,500 Alliance Global Group 1, Food Producers 0.75% (1.27%) 869,890 Universal Robina 2, General Retailers 0.00% (0.89%) Travel & Leisure 0.78% (0.00%) 11,269,400 Melco Crown Philippines Resorts 2, Mobile Telecommunications 0.00% (0.87%) Gas, Water & Multiutilities 0.77% (0.70%) 33,089,300 Metro Pacific Investments 2, Banks 0.51% (0.73%) 1,329,454 Metropolitan Bank & Trust 1, Real Estate Investment & Services 0.86% (0.82%) 182,255 GT Capital Holdings 2, Total Philippines 11, POLAND 2.02% (1.50%) Electricity 0.79% (0.65%) 512,783 Energa 2, Banks 1.23% (0.85%) 109,499 Bank Pekao 3, Total Poland 6, RUSSIA 3.47% (4.44%) Oil & Gas Producers 0.00% (1.52%) Industrial Metals & Mining 0.24% (0.38%) 144,803 TMK GDR Mining 0.82% (0.76%) 4,259,641 Alrosa 2, Food & Drug Retailers 1.52% (0.73%) 18,500 Magnit 3, ,865 Magnit GDR 1, Mobile Telecommunications 0.89% (1.05%) 182,213 MegaFon GDR 2, Total Russia 10, SOUTH AFRICA 7.46% (5.47%) Oil & Gas Producers 1.03% (0.00%) 97,360 Sasol 3, Mining 0.48% (1.13%) 308,926 Impala Platinum Holdings 1,

52 Threadneedle Global Emerging Markets Equity Fund Portfolio Statement (continued) Holding Investment Holding Investment SOUTH AFRICA 7.46% (5.47%) (continued) Health Care Equipment & Services 0.88% (0.00%) 465,321 Mediclinic International 2, Pharmaceuticals & Biotechnology 1.74% (1.59%) 226,118 Aspen Pharmacare Holdings 5, Media 2.58% (2.16%) 98,077 Naspers 7, Life Insurance 0.75% (0.59%) 387,496 Discovery 2, Total South Africa 22, SOUTH KOREA 13.93% (14.10%) Construction & Materials 0.89% (0.51%) 113,131 Hyundai Development Co-Engineering & Construction 2, Automobiles & Parts 1.51% (2.03%) 87,248 Halla Visteon Climate Control 2, ,215 Hyundai Motor 2, Leisure Goods 2.83% (3.13%) 11,625 Samsung Electronics 8, Food & Drug Retailers 0.58% (0.81%) 117,954 GS Retail 1, General Retailers 0.84% (1.04%) 16,404 CJ O Shopping 2, Mobile Telecommunications 1.13% (1.17%) 189,188 SK Telecom ADR 3, Electricity 0.79% (1.06%) 171,031 Korea Electric Power ADR 2, Banks 1.95% (1.84%) 268,502 Hana Financial Group 5, Software & Computer Services 1.47% (1.47%) 9,795 NAVER 4, Samsung SDS Technology Hardware & Equipment 1.94% (1.04%) 208,797 SK Hynix 5, Total South Korea 41, TAIWAN 10.47% (12.19%) Electronic & Electrical Equipment 1.62% (2.94%) 221,000 Delta Electronics ,042,720 Hon Hai Precision Industry 4, Personal Goods 0.68% (0.45%) 343,120 Eclat Textile 2, Health Care Equipment & Services 0.15% (0.51%) 42,000 St Shine Optical Food & Drug Retailers 0.88% (1.09%) 560,000 President Chain Store 2, Technology Hardware & Equipment 7.14% (7.20%) 3,599,000 Advanced Semiconductor Engineering 2, ,000 MediaTek 3, ,213,000 Pegatron 2, ,326 Taiwan Semiconductor Manufacturing ADR 10, ,289 Taiwan Semiconductor Manufacturing ,000 Tong Hsing Electronic Industries 1, Total Taiwan 31, THAILAND 2.67% (5.11%) Oil & Gas Producers 0.00% (0.58%) Industrial Transportation 0.64% (0.65%) 415,500 Airports of Thailand 1, Food Producers 1.01% (1.12%) 2,134,600 Thai Union Frozen Products 3, Mobile Telecommunications 0.00% (1.02%) Banks 1.02% (1.74%) 261,000 Bangkok Bank 1, ,916 Bangkok Bank NVDR 2, Total Thailand 7, TURKEY 1.15% (1.39%) Beverages 0.63% (0.61%) 129,224 Coca-Cola Icecek 1, Household Goods & Home Construction 0.52% (0.58%) 1,667,902 Turkiye Sise ve Cam Fabrikalari 1, Banks 0.00% (0.20%) Total Turkey 3, UNITED ARAB EMIRATES 0.49% (0.49%) Health Care Equipment & Services 0.49% (0.49%) 141,189 Al Noor Hospitals Group 1, Total United Arab Emirates 1, UNITED KINGDOM 0.99% (0.42%) Mining 0.19% (0.42%) 327,873 Lonmin Beverages 0.80% (0.00%) 66,417 SABMiller 2, Total United Kingdom 2,

53 Threadneedle Global Emerging Markets Equity Fund Portfolio Statement (continued) Holding Investment DERIVATIVES 0.00% (0.00%) Forward Foreign Exchange Contracts 0.00% (0.00%) Sell GBP 1,060,921 Buy USD 1,700,000 Bank of Scotland 1 Total Derivatives 1 Total value of investments 284, Net other assets (6.75%) 14, Net assets 298, April 2014 comparatives in brackets. 51

54 Threadneedle Emerging Market Local Fund Portfolio Statement as at 31 October 2014 Holding Investment Holding Investment ARGENTINA 0.00% (1.99%) B 0.00% (1.99%) Total Argentina BRAZIL 11.95% (10.72%) BBB+ 9.83% (10.72%) BRL 1,418 Brazil Government International Bond 0% 01/07/ BRL 5,924 Brazil Government International Bond 0% 01/01/2017 1, BRL 1,373,000 Brazil Government International Bond 10% 01/01/ BRL 348,000 Brazil Government International Bond 10% 01/01/ BRL 896,000 Brazil Government International Bond 10% 01/01/ BRL 905,000 Brazil Government International Bond 10% 01/01/ BRL 1,142,000 Brazil Government International Bond 10% 01/01/ BBB 2.12% (0.00%) BRL 2,118,000 Brazilian Government International Bond 10.25% 10/01/ Total Brazil 3, COLOMBIA 7.69% (5.81%) BBB 4.01% (5.81%) COP 597,000,000 Colombia Government International Bond 7.75% 14/04/ COP 2,233,000,000 Colombia Government International Bond 9.85% 28/06/ Baa2 1.74% (0.00%) COP 1,716,000,000 Colombia Government International Bond 4.375% 21/03/ Baa3 1.94% (0.00%) COP 1,690,000,000 Empresas P'blicas de Medellin 7.625% 10/09/ DOMINICAN REPUBLIC 1.41% (5.04%) B 0.00% (2.71%) Total Colombia 2, Not Rated 1.41% (2.33%) DOP 26,270,000 Dominican Republic International Bond 11% 05/01/ Total Dominican Republic HUNGARY 5.59% (4.26%) BB 5.59% (4.26%) HUF 166,200,000 Hungary Government Bond 5.5% 20/12/ HUF 62,790,000 Hungary Government Bond 6% 24/11/ HUF 168,360,000 Hungary Government Bond 6.5% 24/06/ HUF 49,940,000 Hungary Government Bond 7% 24/06/ HUF 39,940,000 Hungary Government Bond 7.5% 12/11/ HUF 21,220,000 Hungary Government Bond 5.5% 24/06/ INDONESIA 7.21% (4.85%) BBB 0.00% (4.85%) Total Hungary 1, Baa3 7.21% (0.00%) IDR 6,752,000,000 Indonesia Treasury Bond 5.625% 15/05/ IDR 14,135,000,000 Indonesia Treasury Bond 8.375% 15/03/ IDR 15,856,000,000 Indonesia Treasury Bond 9.5% 15/07/ Total Indonesia 1, KENYA 0.00% (2.13%) Not Rated 0.00% (2.13%) Total Kenya MACEDONIA 1.00% (0.00%) BB 1.00% (0.00%) EUR 330,000 Former Yugoslav Republic of Macedonia 3.975% 24/07/ MALAYSIA 0.00% (2.05%) A 0.00% (2.05%) Total Macedonia Total Malaysia MEXICO 9.52% (9.30%) A 9.52% (7.87%) MXN 3,276,400 Mexican Bonos 6.5% 09/06/ MXN 2,643,400 Mexican Bonos 6.5% 10/06/ MXN 1,767,700 Mexican Bonos 7.5% 03/06/ MXN 2,044,100 Mexican Bonos 7.75% 29/05/ MXN 1,798,900 Mexican Bonos 8% 07/12/ MXN 2,543,900 Mexican Bonos 8% 11/06/ MXN 1,892,100 Mexican Bonos 8.5% 31/05/ MXN 3,068,200 Mexican Bonos 10% 05/12/ MXN 2,315,200 Mexican Bonos 10% 20/11/ MXN 51,239 Mexican Udibonos 4% 15/11/2040 1, BBB+ 0.00% (1.43%) Total Mexico 2, NIGERIA 1.66% (1.50%) Not Rated 1.66% (1.50%) NGN 62,593,000 Nigeria Government Bond 16% 29/06/ NGN 40,096,000 Nigeria Government Bond 16.39% 27/01/ Total Nigeria

55 Threadneedle Emerging Market Local Fund Portfolio Statement (continued) Holding Investment Holding Investment PERU 0.95% (2.08%) A 0.35% (2.08%) PEN 358,000 Peruvian Government International Bond 8.2% 12/08/ A3 0.60% (0.00%) PEN 699,000 Peruvian Government International Bond 6.95% 12/08/ Total Peru PHILIPPINES 0.49% (0.45%) BBB 0.49% (0.00%) PHP 9,000,000 Philippine Government International Bond 4.95% 15/01/ BBB- 0.00% (0.45%) Total Philippines POLAND 7.22% (7.27%) A 7.22% (7.27%) PLN 2,456,000 Poland Government Bond 3.75% 25/04/ PLN 1,869,000 Poland Government Bond 4% 25/10/ PLN 1,172,000 Poland Government Bond 5.25% 25/10/ PLN 1,492,000 Poland Government Bond 5.25% 25/10/ PLN 615,000 Poland Government Bond 5.5% 25/10/ PLN 1,456,000 Poland Government Bond 5.75% 25/10/ Total Poland 1, REPUBLIC OF IRELAND 0.96% (1.07%) BBB 0.96% (1.07%) RUB 19,500,000 Russian Railways via RZD Capital 8.3% 02/04/ ROMANIA 1.00 % (1.37%) BBB 0.00% (1.37%) Total Republic of Ireland Not Rated 1.00% (0.00%) RON 410,000 Romania Government Bond 5.85% 26/04/ RON 890,000 Romania Government Bond 5.95% 11/06/ Total Romania RUSSIA 6.12% (4.88%) BBB 3.51% (4.88%) RUB 9,357,000 Russian Federal Bond 6.2% 31/01/ RUB 19,493,000 Russian Federal Bond 6.8% 11/12/ RUB 8,848,000 Russian Federal Bond 7.6% 14/04/ RUB 9,055,000 Russian Federal Bond 7.6% 20/07/ RUB 24,252,000 Russian Federal Bond 8.15% 03/02/ Baa2 0.52% (0.00%) RUB 34,000 Russian Federal Bond 7% 25/01/2023 RUB 11,736,000 Russian Federal Bond 7.05% 19/01/ BBB 2.09% (0.00%) USD 1,194,000 Russian Foreign Bond - Eurobond 5% 31/03/ Total Russia 1, SERBIA 2.52% (0.00%) BB 1.55% (0.00%) USD 578,000 Republic of Serbia 7.25% 28/09/ Not Rated 0.97% (0.00%) RSD 42,800,000 Serbia Treasury Bonds 10% 05/06/ SOUTH AFRICA 10.88% (12.35%) A 0.00% (8.22%) Total Serbia BBB+ 6.83% (4.13%) ZAR 9,874,665 South Africa Government Bond 7.25% 15/01/ ZAR 10,353,124 South Africa Government Bond 8% 21/12/ ZAR 9,052,067 South Africa Government Bond 10.5% 21/12/ Baa1 3.49% (0.00%) ZAR 9,502,067 South Africa Government Bond 6.25% 31/03/ ZAR 3,171,624 South Africa Government Bond 6.5% 28/02/ ZAR 6,996,985 South Africa Government Bond 7% 28/02/ Not Rated 0.56% (0.00%) ZAR 2,531,450 South Africa Government Bond 6.5% 28/02/ Total South Africa 2, SUPRANATIONAL 3.96% (2.73%) A 3.10% (2.73%) IDR 18,500,000,000 European Investment Bank 5.2% 01/03/ Not Rated 0.86% (0.00%) RSD 36,070,000 Serbia Government International Bond 0% 25/06/ THAILAND 0.00% (1.26%) A 0.00% (1.26%) Total Supranational 1, Total Thailand 53

56 Threadneedle Emerging Market Local Fund Portfolio Statement (continued) Holding Investment Holding Investment TURKEY 11.27% (13.36%) BBB 0.00% (13.36%) Not Rated 11.27% (0.00%) TRY 1,437,436 Turkey Government Bond 3% 21/07/ TRY 915,114 Turkey Government Bond 6.3% 14/02/ TRY 857,671 Turkey Government Bond 7.1% 14/02/ TRY 1,090,669 Turkey Government Bond 8.3% 20/06/ TRY 669,105 Turkey Government Bond 8.5% 10/07/ TRY 960,000 Turkey Government Bond 8.8% 27/09/ TRY 946,167 Turkey Government Bond 9% 27/01/ TRY 1,865,427 Turkey Government Bond 9% 08/03/ TRY 1,642,276 Turkey Government Bond 10.5% 15/01/ Total Turkey 2, VENEZUELA 2.61% (0.00%) CCC+ 2.61% (0.00%) USD 1,750,000 Petroleos de Venezuela 9% 17/11/ ZAMBIA 3.75% (1.05%) B+ 0.00% (1.05%) ZMW Total Venezuela Not Rated 3.75% (0.00%) 11,000,000 Zambia Government International Bond 0% 18/05/ Total Zambia DERIVATIVES 0.92% ( 0.17%) Interest Rate Swaps 0.01% ( 0.08%) MXN (19,630,000) Citigroup Interest Rate Swap Receive MXN TIIE-BBA Pay 5.26% 09/09/2019 (6) (0.02) ZAR (17,350,000) Citigroup Interest Rate Swap Receive 7.97% Pay ZAR JIBAR-SAFEX-BBA 09/10/ ZAR (17,350,000) UBS Interest Rate Swap Receive ZAR JIBAR-SAFEX-BBA Pay 7.93% 16/10/2024 (7) (0.03) Futures and Options 0.01% ( 0.02%) USD (4) UBS US Ultra Bond Future Expiring December 2014 (6) (0.02) EUR 15,000,000 Credit Suisse Currency Call Option Expiring November 2014 Strike Forward Foreign Exchange Contracts 0.90% ( 0.07%) Sell USD 2,174,694 Buy AUD 2,470,345 Citigroup Sell USD 3,048,735 Buy AUD 3,439,287 JP Morgan (9) (0.03) Sell USD 3,472,584 Buy AUD 3,944,763 Citigroup Sell USD 3,951,801 Buy AUD 4,461,030 JP Morgan (10) (0.04) Sell USD 886,858 Buy BRL 2,233,552 Citigroup Sell USD 1,672,002 Buy BRL 4,191,208 HSBC Sell USD 2,178,998 Buy BRL 5,173,813 HSBC (32) (0.12) Sell USD 2,177,501 Buy BRL 5,300,909 HSBC Sell USD 2,141,629 Buy BRL 5,362,638 Citigroup Sell USD 3,143,978 Buy BRL 7,633,578 Citigroup (3) (0.01) Sell USD 4,010,567 Buy BRL 9,168,157 Citigroup (160) (0.60) Sell USD 3,090,609 Buy CHF 2,900,680 JP Morgan (41) (0.15) Sell USD 2,163,910 Buy CLP 1,286,444,477 HSBC Sell USD 2,164,714 Buy CLP 1,293,632,800 HSBC Sell USD 3,622,339 Buy CLP 2,133,557,851 Citigroup Sell USD 1,800,566 Buy CNY 11,022,168 UBS (6) (0.02) Sell USD 115,047 Buy COP 237,651,895 HSBC Sell USD 2,207,453 Buy COP 4,394,486,448 HSBC (42) (0.16) Sell USD 1,744,596 Buy GBP 1,089,352 JP Morgan (1) Sell USD 38,591 Buy GBP 24,000 JP Morgan Sell USD 155,082 Buy GBP 95,000 Lloyds (2) (0.01) Sell USD 197,832 Buy HUF 48,633,062 Bank of Scotland 1 Sell USD 3,066,297 Buy HUF 738,003,037 Citigroup (28) (0.11) Sell USD 2,177,445 Buy ILS 7,950,431 JP Morgan (49) (0.19) Sell USD 3,059,368 Buy JPY 330,756,644 JP Morgan (59) (0.22) Sell USD 130,354 Buy MXN 1,725, Citigroup (1) Sell USD 1,286,530 Buy MXN 17,036,877 HSBC (12) (0.05) Sell USD 2,165,520 Buy MXN 29,084,075 Citigroup (1) Sell USD 2,192,628 Buy MXN 29,119,190 HSBC (16) (0.06) Sell USD 2,612,307 Buy MXN 35,318,390 Citigroup Sell USD 3,628,253 Buy MXN 47,658,435 Citigroup (51) (0.19) Sell USD 4,603,033 Buy MYR 14,519,348 HSBC (133) (0.50) Sell USD 3,064,787 Buy NZD 3,805,832 Citigroup (45) (0.17) 54

57 Threadneedle Emerging Market Local Fund Portfolio Statement (continued) Holding Investment Holding Investment DERIVATIVES 0.92% ( 0.17%) (continued) Sell USD 3,504,192 Buy NZD 4,417,195 JP Morgan (19) (0.07) Sell USD 3,905,820 Buy NZD 4,931,239 JP Morgan (17) (0.07) Sell USD 243,538 Buy PEN 702,777 Citigroup (2) (0.01) Sell USD 3,014,085 Buy PLN 10,043,938 JP Morgan (9) (0.03) Sell USD 3,976,208 Buy PLN 13,245,257 Citigroup (11) (0.04) Sell USD 1,305,571 Buy PLN 4,270,195 Goldman Sachs (19) (0.07) Sell USD 3,089,950 Buy RON 10,852,030 Citigroup Sell USD 594,246 Buy RON 2,047,844 JP Morgan (7) (0.03) Sell USD 1,414,000 Buy RUB 55,259,108 Citigroup (71) (0.27) Sell USD 76,665 Buy THB 2,491,627 HSBC Sell USD 3,025,877 Buy THB 97,433,251 HSBC (23) (0.09) Sell USD 1,194,643 Buy TRY 2,670,650 Goldman Sachs Sell USD 2,166,972 Buy TRY 4,912,762 JP Morgan Sell USD 392,763 Buy TRY 874,788 HSBC 1 Sell IDR 12,669,767,386 Buy USD 1,060,675 HSBC Sell CZK 27,136,512 Buy USD 1,251,345 JP Morgan Sell JPY 136,560,994 Buy USD 1,274,943 Citigroup Sell NZD 1,665,266 Buy USD 1,294,950 Citigroup (9) (0.03) Sell TRY 3,545,438 Buy USD 1,558,666 JP Morgan (26) (0.10) Sell CNY 11,022,168 Buy USD 1,802,480 HSBC Sell JPY 194,195,650 Buy USD 1,831,812 JP Morgan Sell GBP 95,000 Buy USD 154,406 JP Morgan 1 Sell BRL 5,173,813 Buy USD 2,091,697 HSBC (23) (0.09) Sell MXN 29,084,075 Buy USD 2,132,999 HSBC (20) (0.08) Sell ZAR 24,416,660 Buy USD 2,137,190 Citigroup (66) (0.25) Sell CLP 1,293,632,800 Buy USD 2,152,467 Citigroup (54) (0.20) Sell NZD 2,751,929 Buy USD 2,153,950 JP Morgan (6) (0.02) Sell MXN 29,119,190 Buy USD 2,161,163 JP Morgan (4) (0.01) Sell AUD 2,470,345 Buy USD 2,162,351 JP Morgan (11) (0.04) Sell BRL 5,362,638 Buy USD 2,162,354 HSBC (27) (0.10) Sell ILS 7,950,431 Buy USD 2,162,752 Citigroup Sell BRL 5,300,909 Buy USD 2,165,404 Citigroup (14) (0.05) Sell CLP 1,286,444,477 Buy USD 2,165,731 Citigroup (38) (0.14) Sell ZAR 24,270,117 Buy USD 2,168,096 Citigroup (38) (0.14) Sell ZAR 24,272,863 Buy USD 2,169,248 Citigroup (37) (0.14) Sell COP 4,394,486,448 Buy USD 2,174,412 Citigroup Sell ZAR 24,689,933 Buy USD 2,183,690 Citigroup (52) (0.20) Sell JPY 234,676,577 Buy USD 2,190,478 Citigroup Sell ZAR 24,127,245 Buy USD 2,205,069 JP Morgan (6) (0.02) Sell NZD 2,836,483 Buy USD 2,206,669 JP Morgan (15) (0.06) Sell CZK 48,248,600 Buy USD 2,284,920 JP Morgan Sell BRL 5,780,928 Buy USD 2,484,284 HSBC Sell ZAR 29,159,433 Buy USD 2,601,581 Citigroup (47) (0.18) Sell HUF 738,003,037 Buy USD 2,991,008 Citigroup (19) (0.07) Sell GBP 130,000 Buy USD 210,279 Bank of Scotland Sell ZAR 2,685,737 Buy USD 243,506 RBC (2) (0.01) Sell GBP 170,000 Buy USD 275,438 Bank of Scotland Sell HUF 738,003,037 Buy USD 3,029,532 Citigroup Sell GBP 1,890,438 Buy USD 3,044,299 Citigroup Sell PLN 10,043,938 Buy USD 3,051,000 Citigroup Sell AUD 3,439,287 Buy USD 3,064,408 JP Morgan Sell NZD 3,805,832 Buy USD 3,068,979 JP Morgan Sell CHF 2,900,680 Buy USD 3,089,909 JP Morgan Sell AUD 3,944,763 Buy USD 3,447,160 JP Morgan (21) (0.08) Sell CLP 2,133,557,851 Buy USD 3,582,199 HSBC (69) (0.26) Sell MXN 47,658,435 Buy USD 3,600,396 HSBC Sell AUD 4,461,030 Buy USD 3,891,443 Citigroup (28) (0.11) Sell NZD 4,931,239 Buy USD 3,905,966 Citigroup Sell BRL 9,168,157 Buy USD 3,932,300 HSBC Sell PLN 13,245,257 Buy USD 3,977,200 JP Morgan

58 Threadneedle Emerging Market Local Fund Portfolio Statement (continued) Holding Investment Investment DERIVATIVES 0.92% ( 0.17%) (continued) Sell RUB 11,655,659 Buy USD 309,497 Citigroup Sell RUB 21,975,053 Buy USD 562,061 Bank of Scotland Sell THB 1,856,950 Buy USD 57,313 HSBC Sell PLN 186,848 Buy USD 57,390 Bank of Scotland 1 Sell MXN 8,811,441 Buy USD 645,920 HSBC (6) (0.02) Sell GBP 406,000 Buy USD 658,515 Citigroup Sell BRL 1,651,918 Buy USD 665,291 HSBC (8) (0.03) Sell GBP 42,000 Buy USD 67,169 JP Morgan Sell EUR 634,633 Buy USD 818,325 UBS Sell HUF 21,527,933 Buy USD 88,513 Bank of Scotland Sell ZAR 10,438,382 Buy USD 938,182 HSBC (12) (0.05) Sell MYR 311,214 Buy USD 96,113 HSBC 1 Sell COP 194,584,498 Buy USD 98,350 Citigroup Sell USD 1,059,612 Buy ZAR 11,737,000 Citigroup Sell USD 2,170,676 Buy ZAR 24,127,245 Citigroup Sell USD 2,218,025 Buy ZAR 24,202,193 JP Morgan Sell USD 2,186,988 Buy ZAR 24,270,117 Citigroup Sell USD 2,155,370 Buy ZAR 24,272,863 JP Morgan Sell USD 2,157,425 Buy ZAR 24,416,660 JP Morgan Sell USD 2,204,918 Buy ZAR 24,689,933 Citigroup Sell USD 2,623,883 Buy ZAR 29,159,433 JP Morgan Sell USD 65,998 Buy ZAR 732,828 RBC 1 Total Derivatives (244) (0.92) ANALYSIS OF INVESTMENTS BY ASSET CLASS Fixed interest 25, Derivatives (244) (0.95) Total value of investments 25, ANALYSIS OF INVESTMENTS BY CREDIT RATINGS AAA 824 A 4,441 A 93 A3 159 BBB+ 4,423 Baa1 928 BBB 2,384 Baa2 601 BBB 1,118 Baa3 2,428 BB 1,485 BB 677 CCC+ 693 Not rated 5,696 Derivatives (244) Total value of investments 25,706 April 2014 comparatives in brackets. At 31 October 2014 there were investments totalling 995,657 (3.75 the NAV of the fund) which were valued using a quote from a single broker. These investments trade in a limited market and may not be able to the immediately liquidated at these estimated fair values. Total value of investments 25, Net other assets (4.65%) Net assets 26,

59 Threadneedle Global Extended Alpha Fund Portfolio Statement as at 31 October 2014 Holding Investment Holding Investment AUSTRALIA 0.69% (0.47%) Health Care Equipment & Services 0.69% (0.47%) 40,030 Ansell Total Australia BELGIUM 1.64% (2.14%) Beverages 1.64% (2.14%) 15,197 Anheuser-Busch InBev 1, Total Belgium 1, BERMUDA 0.96% (0.00%) Financial Services 0.96% (0.00%) 39,441 Markit Total Bermuda CANADA 2.41% (3.27%) Oil & Gas Producers 0.73% (2.07%) 21,000 Suncor Energy Chemicals 1.25% (0.61%) 22,051 Methlanex Media 0.43% (0.59%) 30,400 Aimia Total Canada 1, CAYMAN ISLANDS 0.78% (0.00%) Software & Computer Services 0.78% (0.00%) 3,300 Baidu (ADS) Total Cayman Islands CHINA 0.40% (0.46%) Life Insurance 0.40% (0.46%) 50,000 Ping An Insurance Group of China COLOMBIA 0.00% (0.51%) Banks 0.00% (0.51%) Total China Total Colombia FRANCE 1.16% (1.61%) Oil & Gas Producers 1.16% (1.61%) 19,592 Total Total France GERMANY 1.15% (2.31%) Chemicals 1.15% (1.82%) 23,896 Brenntag Automobiles & Parts 0.00% (0.49%) Total Germany HONG KONG 0.00% (0.49%) Real Estate Investment & Services 0.00% (0.49%) Total Hong Kong INDONESIA 0.82% (0.95%) Banks 0.82% (0.95%) 907,300 Bank Rakyat Indonesia Total Indonesia JAPAN 10.99% (9.07%) Construction & Materials 1.20% (0.00%) 336,000 Taiheiyo Cement Electronic & Electrical Equipment 1.09% (0.00%) 144,000 Hitachi Industrial Engineering 0.77% (0.80%) 91,000 Shimadzu Support Services 0.69% (0.00%) 21,284 Recruit Holdings Automobiles & Parts 0.84% (1.41%) 37,400 Mazda Motor Household Goods & Home Construction 1.76% (0.94%) 147,000 Sekisui Chemical 1, Pharmaceuticals & Biotechnology 0.00% (1.14%) General Retailers 0.00% (1.21%) Media 0.00% (0.79%) Banks 0.00% (0.60%) Real Estate Investment & Services 1.12% (0.00%) 36,000 Mitsui Fudosan Financial Services 1.91% (2.18%) 40,600 Japan Exchange Group ,500 Nomura Holdings Technology Hardware & Equipment 1.61% (0.00%) 123,800 Sumco 1, Total Japan 6, JERSEY 1.51% (1.01%) Support Services 1.51% (1.01%) 28,664 Wolseley Total Jersey MEXICO 1.73% (2.05%) Beverages 0.98% (1.01%) 10,300 Fomento Economico Mexicano ADR Banks 0.75% (1.04%) 117,000 Grupo Financiero Banorte Total Mexico 1,

60 Threadneedle Global Extended Alpha Fund Portfolio Statement (continued) Holding Investment Holding Investment NETHERLANDS 0.00% (2.99%) Chemicals 0.00% (1.01%) Life Insurance 0.00% (1.98%) Total PANAMA 0.71 % (1.02%) Travel & Leisure 0.71% (1.02%) 6,274 Copa Holdings Class A Total Panama REPUBLIC OF IRELAND 1.16% (1.70%) Health Care Equipment & Services 0.00% (0.90%) Banks 1.16% (0.80%) 3,007,351 Bank of Ireland SINGAPORE 0.64% (0.85%) Total Republic of Ireland Real Estate Investment & Services 0.64% (0.85%) 303,000 Global Logistic Properties SWEDEN 0.00% (0.83%) Banks 0.00% (0.83%) Total Singapore Total Sweden SWITZERLAND 3.88% (6.02%) Electronic & Electrical Equipment 0.51% (1.32%) 8,655 TE Connectivity Food Producers 2.25% (2.11%) 31,216 Nestle 1, Banks 1.12% (2.59%) 65,474 UBS Total Switzerland 2, UNITED KINGDOM 8.34% (8.90%) Oil & Gas Producers 1.45% (2.43%) 67,282 BG Group ,174 Tullow Oil Beverages 1.05% (0.97%) 35,937 Diageo Personal Goods 0.97% (1.73%) 24,302 Unilever Media 2.66% (1.78%) 40,553 Liberty Global A Shares 1, ,653 Liberty Global C Shares Mobile Telecommunications 0.00% (0.04%) Banks 0.48% (0.60%) 48,075 HSBC Holdings Nonlife Insurance 1.73% (1.35%) 20,883 Aon 1, Total United Kingdom 5, UNITED STATES OF AMERICA 52.12% (52.35%) Oil & Gas Producers 0.52% (0.72%) 5,970 Occidental Petroleum Oil Equipment, Services & 1.92% (1.92%) 25,310 Enterprise Products Partners ,100 Halliburton Chemicals 2.31% (2.36%) 8,102 Airgas ,700 Praxair Electronic & Electrical Equipment 2.55% (2.76%) 25,900 Amphenol ,950 WESCO International Industrial Transportation 1.50% (1.21%) 13,088 Union Pacific Support Services 0.00% (1.27%) Food Producers 1.01% (1.06%) 9,755 Mead Johnson Nutrition Household Goods & Home Construction 0.65% (0.79%) 4,800 Mohawk Industries Personal Goods 2.44% (1.91%) 17,763 Estee Lauder Companies Class C ,000 NIKE Tobacco 0.90% (1.07%) 10,150 Philip Morris International Health Care Equipment & Services 3.01% (0.89%) 25,500 Express Scripts 1, ,952 Sirona Dental Systems Pharmaceuticals & Biotechnology 8.78% (7.84%) 8,806 Amgen ,905 Bristol-Myers Squibb ,425 Gilead Sciences 1, ,680 Pfizer ,000 Vertex Pharmaceuticals 1, General Retailers 3.91% (3.02%) 2,560 Amazon.com ,400 Home Depot ,400 TJX Companies ,000 zulily

61 Threadneedle Global Extended Alpha Fund Portfolio Statement (continued) Holding Investment UNITED STATES OF AMERICA 52.12% (52.35%) (continued) Media 5.16% (4.33%) 9,670 Charter Communications ,077 Comcast 1, ,570 Discovery Communications ,203 Walt Disney Travel & Leisure 2.71% (4.72%) 27,500 Hertz Global Holdings ,143 Priceline Group ,857 Sabre Banks 1.19% (1.02%) 20,085 JPMorgan Chase Nonlife Insurance 0.80% (1.04%) 15,208 American International Group Financial Services 6.03% (6.19%) 6,202 American Express ,800 CME Group ,500 MasterCard Class A 1, ,468 Visa A Shares 1, Software & Computer Services 4.80% (4.95%) 22,077 Facebook 1, ,183 Google ,283 Google Class A 1, ,400 Symantec Technology Hardware & Equipment 1.93% (3.28%) 46,700 Applied Materials ,400 Hewlett-Packard Total United States of America 32, DERIVATIVES 0.13% (0.17%) Portfolio Swap 0.13% (0.17%) UBS - Portfolio Swap (82) (0.13) Total Derivatives (82) (0.13) Total value of investments 57, Net other assets (0.83%) 5, Net assets 63, April 2014 comparatives in brackets. 59

62 Threadneedle Global Equity Income Fund Portfolio Statement as at 31 October 2014 Holding Investment Holding Investment AUSTRALIA 7.18% (6.02%) General Industrials 1.32% (1.24%) 2,749,275 Amcor 17, Industrial Transportation 1.27% (0.78%) 7,038,360 Sydney Airport 17, General Retailers 0.72% (1.25%) 402,937 Wesfarmers 9, Fixed Line Telecommunications 1.08% (0.77%) 4,691,482 Telstra 14, Real Estate Investment Trusts 1.34% (0.90%) 5,944,455 Goodman Group 18, Financial Services 1.45% (1.08%) 2,418,229 Suncorp Group 19, Total Australia 96, BRAZIL 1.23% (1.19%) Beverages 1.23% (1.19%) 4,094,527 AMBEV 16, Total Brazil 16, CANADA 4.02% (4.32%) Oil & Gas Producers 1.79% (2.20%) 713,510 Baytex Energy 13, ,324 Crescent Point Energy 10, Media 0.84% (0.87%) 1,288,524 Aimia 11, Banks 1.39% (1.25%) 634,780 National Bank of Canada 18, Total Canada 54, CAYMAN ISLANDS 0.83% (1.81%) Travel & Leisure 0.83% (0.92%) 21,334,232 NagaCorp 11, Real Estate Investment & Services 0.00% (0.89%) Total Cayman Islands 11, DENMARK 0.80% (0.87%) General Retailers 0.80% (0.87%) 802,037 Matas 10, Total Denmark 10, FINLAND 1.27% (1.22%) Nonlife Insurance 1.27% (1.22%) 570,126 Sampo 17, Total Finland 17, FRANCE 2.19% (4.45%) Oil & Gas Producers 1.30% (2.09%) 464,709 Total 17, Construction & Materials 0.89% (0.96%) 337,848 Vinci 11, Banks 0.00% (1.40%) Total France 29, GERMANY 5.85% (6.17%) Chemicals 0.96% (1.28%) 233,790 BASF 12, General Industrials 0.92% (1.00%) 177,611 Siemens 12, Automobiles & Parts 1.19% (1.35%) 328,526 Daimler 16, Personal Goods 1.37% (1.32%) 221,030 Hugo Boss 18, Media 1.41% (1.22%) 748,112 ProSiebenSat.1 Media 18, Total Germany 78, HONG KONG 0.88% (1.11%) Travel & Leisure 0.88% (1.11%) 9,028,812 SJM Holdings 11, Total Hong Kong 11, ITALY 1.31% (1.39%) Gas, Water & Multiutilities 1.31% (1.39%) 5,264,194 Snam Rete Gas 17, Total Italy 17, JAPAN 5.79% (5.62%) Support Services 0.59% (0.00%) 847,300 Mitsui 7, Pharmaceuticals & Biotechnology 1.23% (1.06%) 614,965 Takeda Pharmaceutical 16, Banks 1.37% (1.19%) 8,468,636 Aozora Bank 18, Real Estate Investment Trusts 1.18% (1.32%) 900 Industrial & Infrastructure Fund Investment 4, ,010 Japan Retail Fund Investment 11, Financial Services 0.00% (0.80%) Technology Hardware & Equipment 1.42% (1.25%) 1,012,167 Canon 19, Total Japan 77, JERSEY 1.03% (0.97%) Support Services 1.03% (0.00%) 416,649 Wolseley 13, Media 0.00% (0.97%) Total Jersey 13,

63 Threadneedle Global Equity Income Fund Portfolio Statement (continued) Holding Investment Holding Investment MALAYSIA 0.74% (1.44%) Mobile Telecommunications 0.74% (1.44%) 8,537,500 DiGi.Com 9, Total Malaysia 9, MEXICO 1.14% (0.96%) Personal Goods 1.14% (0.96%) 10,552,013 Kimberly-Clark de Mexico 15, Total Mexico 15, NETHERLANDS 1.61% (2.97%) Chemicals 0.00% (1.33%) Personal Goods 1.61% (1.64%) 887,794 Unilever 21, Total Netherlands 21, NORWAY 1.21 % (1.19%) Mobile Telecommunications 1.21% (1.19%) 1,155,456 Telenor 16, Total Norway 16, SINGAPORE 1.60% (1.78%) Oil Equipment, Services & 1.05% (1.20%) 3,089,334 Keppel 14, Real Estate Investment Trusts 0.55% (0.58%) 7,712,875 CapitaMall Trust 7, SWEDEN 0.00% (1.36%) Banks 0.00% (1.36%) Total Singapore 21, Total Sweden SWITZERLAND 4.70% (3.47%) Chemicals 0.75% (0.00%) 51,894 Syngenta 10, Pharmaceuticals & Biotechnology 2.45% (2.27%) 369,278 Novartis 21, ,941 Roche 11, Banks 1.50% (1.20%) 1,862,121 UBS 20, Total Switzerland 63, TAIWAN 3.63% (3.90%) Electronic & Electrical Equipment 1.01% (2.64%) 6,270,334 Radiant Opto-Electronics 13, Technology Hardware & Equipment 2.62% (1.26%) 8,582,000 Pegatron 9, ,001,000 Quanta Computer 9, ,378,000 Siliconware Precision Industries 16, Total Taiwan 48, THAILAND 2.45% (2.43%) Oil & Gas Producers 0.70% (0.81%) 7,908,531 PTT Global Chemical 9, Mobile Telecommunications 0.71% (0.89%) 1,994,454 Total Access Communication 3, ,894,977 Total Access Communication NVDR 5, Banks 1.04% (0.73%) 3,691,210 Bangkok Bank 13, Total Thailand 33, UNITED KINGDOM 17.52% (15.95%) Oil & Gas Producers 1.73% (1.65%) 1,033,263 Royal Dutch Shell A Shares 23, Mining 0.88% (1.48%) 398,273 Rio Tinto 11, Aerospace & Defence 1.40% (1.40%) 4,137,184 BAE Systems 18, Household Goods & Home Construction 1.20% (0.00%) 1,100,161 Persimmon 16, Tobacco 1.49% (1.31%) 737,782 Imperial Tobacco Group 20, Pharmaceuticals & Biotechnology 2.82% (2.68%) 479,094 AstraZeneca 21, ,138,741 GlaxoSmithKline 16, Media 2.00% (1.10%) 2,079,876 Informa 10, ,500,482 Moneysupermarket.com Group 16, Mobile Telecommunications 1.15% (1.22%) 7,481,124 Vodafone Group 15, Gas, Water & Multiutilities 1.31% (1.17%) 1,899,397 National Grid 17, Banks 1.56% (1.53%) 3,282,527 HSBC Holdings 20, Nonlife Insurance 0.00% (1.23%) Life Insurance 0.97% (0.00%) 5,666,671 Legal & General Group 13, Financial Services 1.01% (1.18%) 3,329,706 Intermediate Capital Group 13, Total United Kingdom 235, UNITED STATES OF AMERICA 30.65% (27.84%) Oil & Gas Producers 2.51% (3.11%) 375,754 ConocoPhillips 16, ,454 HollyFrontier 17, Oil Equipment, Services & 2.87% (2.83%) 798,548 Enterprise Products Partners 18, ,915 Plains All American Pipeline 20,

64 Threadneedle Global Equity Income Fund Portfolio Statement (continued) Holding Investment Holding Investment UNITED STATES OF AMERICA 30.65% (27.84%) (continued) Alternative Energy 0.71% (0.65%) 527,019 Pattern Energy Group 9, Chemicals 0.00% (1.18%) General Industrials 1.29% (0.00%) 1,083,900 General Electric 17, Support Services 1.32% (0.97%) 1,639,394 RR Donnelley & Sons 17, Food Producers 1.28% (1.32%) 489,353 Kraft Foods Group 17, Sell USD 4,616 Buy SGD 5,885 JP Morgan Sell USD 77,589 Buy SGD 99,000 JP Morgan Sell SGD 4,705 Buy USD 3,700 JP Morgan Total Derivatives (125) (0.01) Total value of investments 1,313, Net other assets (1.57%) 32, Net assets 1,346, April 2014 comparatives in brackets. Tobacco 3.31% (3.05%) 588,285 Lorillard 22, ,478 Philip Morris International 22, Pharmaceuticals & Biotechnology 2.57% (2.43%) 499,333 AbbVie 19, ,756 Merck & Co 15, General Retailers 1.91% (1.22%) 569,678 L Brands 25, Media 1.38% (0.00%) 973,346 CBS Outdoor Americas 18, Travel & Leisure 2.17% (2.58%) 208,974 Las Vegas Sands 8, ,469 Six Flags Entertainment 21, Fixed Line Telecommunications 1.70% (1.44%) 735,510 Verizon Communications 22, Real Estate Investment Trusts 1.50% (1.16%) 1,438,268 Starwood Property Trust 20, Financial Services 5.21% (4.89%) 687,080 Apollo Global Management 9, ,235,807 Blackstone Group 22, ,260 CME Group 23, ,092,605 Och-Ziff Capital Management Group 14, Equity Investment Instruments 0.92% (1.01%) 1,247,583 Ares Capital 12, Total United States of America 412, DERIVATIVES 0.01% (0.00%) Forward Foreign Exchange Contracts 0.01% (0.00%) Sell USD 4,343 Buy EUR 3,417 JP Morgan Sell USD 28,581,802 Buy SGD 36,439,511 JP Morgan (111) (0.01) Sell USD 3,464,111 Buy SGD 4,416,464 JP Morgan (14) Sell USD 4,582 Buy SGD 5,842 JP Morgan 62

65 Comparative Tables Net asset value of share class Net asset value per share Shares in issue Calendar Year Net income per share p Highest share price p Lowest share price p UK Mid 250 Fund for the year ended 30 April 2012 Class 1 Net accumulation shares 38, p 29,630,912 Class 2 Net accumulation shares 54, p 39,820,496 for the year ended 30 April 2013 Class 1 Net accumulation shares 45, p 27,891,329 Class 2 Net accumulation shares 73, p 42,907,768 Class Z Net accumulation shares 5, p 4,577,876 for the year ended 30 April 2014 Class 1 Net accumulation shares 42, p 22,634,843 Class 2 Net accumulation shares 72, p 36,441,602 Class Z Net accumulation shares 22, p 16,201,495 for the period ended 31 October 2014 Class 1 Net accumulation shares 26, p 14,108,179 Class 2 Net accumulation shares 53, p 26,894,381 Class Z Net accumulation shares 21, p 15,703, Class 1 Net accumulation shares Class 2 Net accumulation shares Class 1 Net accumulation shares Class 2 Net accumulation shares Class 1 Net accumulation shares Class 2 Net accumulation shares Class 1 Net accumulation shares Class 2 Net accumulation shares Class Z Net accumulation shares Class 1 Net accumulation shares Class 2 Net accumulation shares Class Z Net accumulation shares Class 1 Net accumulation shares Class 2 Net accumulation shares Class Z Net accumulation shares To 31 October Class Z Net accumulation shares commenced on 7 September 2012 UK Extended Alpha Fund for the year ended 30 April 2012 Class 1 Net accumulation shares 3, p 1,501,583 Class 2 Net accumulation shares 15, p 5,901,093 Class X Net accumulation shares p 3,000 for the year ended 30 April 2013 Class 1 Net accumulation shares 4, p 1,374,810 Class 2 Net accumulation shares 19, p 6,241,047 Class X Net accumulation shares p 293,704 for the year ended 30 April 2014 Class 1 Net accumulation shares 5, p 1,492,271 Class 2 Net accumulation shares 41, p 11,623,970 Class X Net accumulation shares p 262,237 for the period ended 31 October 2014 Class 1 Net accumulation shares 4, p 1,378,675 Class 2 Net accumulation shares 54, p 14,819,984 Class X Net accumulation shares p 54, Class 1 Net accumulation shares Class 2 Net accumulation shares Class X Net accumulation shares Class 1 Net accumulation shares Class 2 Net accumulation shares Class X Net accumulation shares Class 1 Net accumulation shares Class 2 Net accumulation shares Class X Net accumulation shares Class 1 Net accumulation shares Class 2 Net accumulation shares Class X Net accumulation shares Class 1 Net accumulation shares Class 2 Net accumulation shares Class X Net accumulation shares Class 1 Net accumulation shares Class 2 Net accumulation shares Class X Net accumulation shares To 31 October 2014 UK Equity Alpha Income Fund for the year ended 30 April 2012 Class 1 Net income shares 66, p 140,809,329 Class 2 Net income shares 190, p 392,847,110 for the year ended 30 April 2013 Class 1 Net income shares 126, p 226,067,255 Class 2 Net income shares 288, p 498,347,290 Class Z Net income shares 2, p 2,267,500 for the year ended 30 April 2014 Class 1 Net income shares 205, p 317,468,482 Class 2 Net income shares 433, p 642,503,518 Class Z Net income shares 93, p 70,053,586 for the period ended 31 October 2014 Class 1 Net income shares 156, p 250,194,324 Class 2 Net income shares 475, p 726,444,378 Class Z Net income shares 174, p 134,765, Class 1 Net income shares Class 2 Net income shares Class 1 Net income shares Class 2 Net income shares Class 1 Net income shares Class 2 Net income shares Class 1 Net income shares Class 2 Net income shares Class Z Net income shares Class 1 Net income shares Class 2 Net income shares Class Z Net income shares Class 1 Net income shares Class 2 Net income shares Class Z Net income shares To 31 October Class Z Net income shares commenced on 7 September

66 Comparative Tables (continued) Net asset value of share class Net asset value per share Shares in issue Calendar Year Net income per share p Highest share price p Lowest share price p UK Absolute Alpha Fund for the year ended 30 April 2012 Class 1 Net accumulation shares 16, p 15,113,075 Class 2 Net accumulation shares 46, p 42,435,330 Class 2 EUR Hedged net accumulation shares 1, p 995,686 for the year ended 30 April 2013 Class 1 Net accumulation shares 23, p 19,872,817 Class 2 Net accumulation shares 45, p 38,821,417 Class 2 EUR Hedged net accumulation shares 11, p 10,244,373 Class Z Net accumulation shares 6, p 6,241,519 for the year ended 30 April 2014 Class 1 Net accumulation shares 26, p 21,804,470 Class 2 Net accumulation shares 56, p 45,100,664 Class 2 EUR Hedged net accumulation shares 138, p 119,311,833 Class Z Net accumulation shares 44, p 40,289,084 for the period ended 31 October 2014 Class 1 Net accumulation shares 33, p 26,508,008 Class 2 Net accumulation shares 69, p 53,892,059 Class 2 EUR Hedged net accumulation shares 55, p 48,636,012 Class Z Net accumulation shares 72, p 62,569, Class 1 Net accumulation shares Class 2 Net accumulation shares Class 2 EUR Hedged net accumulation shares Class 1 Net accumulation shares Class 2 Net accumulation shares Class 2 EUR Hedged net accumulation shares Class 1 Net accumulation shares Class 2 Net accumulation shares Class 2 EUR Hedged net accumulation shares Class Z Net accumulation shares Class 1 Net accumulation shares Class 2 Net accumulation shares Class 2 EUR Hedged net accumulation shares Class Z Net accumulation shares Class 1 Net accumulation shares Class 2 Net accumulation shares Class 2 EUR Hedged net accumulation shares Class Z Net accumulation shares To 31 October Class 1 Net accumulation shares commenced 10 September Class 2 Net accumulation shares commenced 10 September Class 2 EUR Hedged net accumulation shares commenced on 15 October Class Z Net accumulation shares commenced on 7 September 2012 Absolute Return Bond Fund for the year ended 30 April 2012 Class 1 Net accumulation shares 220, p 352,880,549 Class 1 Gross accumulation shares 57, p 89,571,614 Class 2 Net accumulation shares 66, p 103,369,850 Class 2 Gross accumulation shares 135, p 202,973,675 Class X Gross accumulation shares p 3,001 for the year ended 30 April 2013 Class 1 Net accumulation shares 160, p 255,000,895 Class 1 Gross accumulation shares 72, p 112,579,804 Class 2 Net accumulation shares 42, p 65,509,138 Class 2 Gross accumulation shares 94, p 139,628,503 Class X Gross accumulation shares p 3,001 for the year ended 30 April 2014 Class 1 Net accumulation shares 114, p 181,206,150 Class 1 Gross accumulation shares 67, p 104,827,426 Class 2 Net accumulation shares 40, p 60,672,670 Class 2 Gross accumulation shares 59, p 87,164,084 Class X Gross accumulation shares p 3,001 for the period ended 31 October 2014 Class 1 Net accumulation shares 94, p 148,009,681 Class 1 Gross accumulation shares 43, p 65,974,709 Class 2 Net accumulation shares 41, p 62,471,229 Class 2 Gross accumulation shares 85, p 122,808,997 Class X Gross accumulation shares p 3,001 Only available to eligible investors 2009 Class 1 Net accumulation shares Class 1 Gross accumulation shares Class 2 Net accumulation shares Class 2 Gross accumulation shares Class 1 Net accumulation shares Class 1 Gross accumulation shares Class 2 Net accumulation shares Class 2 Gross accumulation shares Class 1 Net accumulation shares Class 1 Gross accumulation shares Class 2 Net accumulation shares Class 2 Gross accumulation shares Class X Gross accumulation shares Class 1 Net accumulation shares Class 1 Gross accumulation shares Class 2 Net accumulation shares Class 2 Gross accumulation shares Class X Gross accumulation shares Class 1 Net accumulation shares Class 1 Gross accumulation shares Class 2 Net accumulation shares Class 2 Gross accumulation shares Class X Gross accumulation shares Class 1 Net accumulation shares Class 1 Gross accumulation shares Class 2 Net accumulation shares Class 2 Gross accumulation shares Class X Gross accumulation shares To 31 October Class X Gross accumulation shares commenced 17 February

67 Comparative Tables (continued) Net asset value of share class Net asset value per share Shares in issue Calendar Year Net income per share p Highest share price p Lowest share price p Target Return Fund for the year ended 30 April 2012 Class 1 Net accumulation shares 4, p 4,264,673 Class 1 Gross accumulation shares 96, p 98,990,119 Class 1 CHF Hedged gross accumulation shares p 13,418 Class 1 USD Hedged gross accumulation shares p 1,561,701 Class 2 Gross income shares p 159,892 Class 2 Gross accumulation shares 127, p 125,358,665 Class X Gross accumulation shares 24, p 25,373,432 for the year ended 30 April 2013 Class 1 Net accumulation shares 2, p 2,073,866 Class 1 Gross accumulation shares 32, p 31,979,440 Class 1 CHF Hedged gross accumulation shares p 24,927 Class 1 USD Hedged gross accumulation shares p 667,334 Class 2 Gross income shares p 123,675 Class 2 Gross accumulation shares 104, p 98,739,468 Class X Gross accumulation shares 17, p 17,188,828 Class Z Net accumulation shares p 3,050 for the year ended 30 April 2014 Class 1 Net accumulation shares 1, p 1,760,943 Class 1 Gross accumulation shares 19, p 20,227,283 Class 1 CHF Hedged gross accumulation shares p 7,751 Class 1 USD Hedged gross accumulation shares 4, p 7,975,986 Class 2 Gross income shares p 87,409 Class 2 Gross accumulation shares 22, p 21,717,652 Class X Gross accumulation shares p 3,001 Class Z Net accumulation shares p 60,617 Class Z Gross accumulation shares p 475,690 for the period ended 31 October 2014 Class 1 Net accumulation shares 1, p 1,674,638 Class 1 Gross accumulation shares 19, p 19,990,757 Class 1 CHF Hedged gross accumulation shares p 7,751 Class 1 USD Hedged gross accumulation shares p 344,186 Class 2 Gross income shares p 87,290 Class 2 Gross accumulation shares 11, p 11,574,753 Class X Gross accumulation shares p 3,001 Class Z Net accumulation shares p 57,504 Class Z Gross accumulation shares p 767,511 Only available to eligible investors 2009 Class 1 Net accumulation shares Class 1 Gross accumulation shares Class 1 USD Hedged gross accumulation shares Class 2 Gross accumulation shares Class 1 Net accumulation shares Class 1 Gross accumulation shares Class 1 USD Hedged gross accumulation shares Class 2 Gross income shares Class 2 Gross accumulation shares Class 1 Net accumulation shares Class 1 Gross accumulation shares Class 1 USD Hedged gross accumulation shares Class 2 Gross income shares Class 2 Gross accumulation shares Class X Gross accumulation shares Class 1 Net accumulation shares Class 1 Gross accumulation shares Class 1 CHF Hedged gross accumulation shares Class 1 USD Hedged gross accumulation shares Class 2 Gross income shares Class 2 Gross accumulation shares Class X Gross accumulation shares Class Z Net accumulation shares Class 1 Net accumulation shares Class 1 Gross accumulation shares Class 1 CHF Hedged gross accumulation shares Class 1 USD Hedged gross accumulation shares Class 2 Gross income shares Class 2 Gross accumulation shares Class X Gross accumulation shares Class Z Net accumulation shares Class Z Gross accumulation shares Class 1 Net accumulation shares Class 1 Gross accumulation shares Class 1 CHF Hedged gross accumulation shares Class 1 USD Hedged gross accumulation shares Class 2 Gross income shares Class 2 Gross accumulation shares Class X Gross accumulation shares Class Z Net accumulation shares Class Z Gross accumulation shares To 31 October Class 1 USD Hedged gross accumulation shares commenced 11 March Class 2 Gross income shares commenced 20 September Class X Gross accumulation shares commenced 7 February Class 1 CHF Hedged gross accumulation shares commenced 25 April Class Z Net accumulation shares commenced 3 October Class Z Gross accumulation shares commenced 18 September 2013 Pan European Focus Fund for the year ended 30 April 2012 Class 1 Net accumulation shares 17, p 12,560,097 Class 2 Net accumulation shares 29, p 19,781,328 for the year ended 30 April 2013 Class 1 Net accumulation shares 17, p 10,339,440 Class 2 Net accumulation shares 49, p 28,284,909 Class Z Net accumulation shares p 4,786 for the year ended 30 April 2014 Class 1 Net accumulation shares 19, p 10,095,986 Class 2 Net accumulation shares 61, p 30,252,888 Class Z Net accumulation shares 2, p 1,452,831 for the period ended 31 October 2014 Class 1 Net accumulation shares 18, p 9,602,411 Class 2 Net accumulation shares 52, p 26,431,508 Class Z Net accumulation shares 2, p 1,768, Class 1 Net accumulation shares Class 2 Net accumulation shares Class 1 Net accumulation shares Class 2 Net accumulation shares Class 1 Net accumulation shares Class 2 Net accumulation shares Class 1 Net accumulation shares Class 2 Net accumulation shares Class Z Net accumulation shares Class 1 Net accumulation shares Class 2 Net accumulation shares Class Z Net accumulation shares Class 1 Net accumulation shares Class 2 Net accumulation shares Class Z Net accumulation shares To 31 October Class Z Net accumulation shares commenced 12 October

68 Comparative Tables (continued) Net asset value of share class Net asset value per share Shares in issue Calendar Year Net income per share p Highest share price p Lowest share price p Pan European Equity Dividend Fund for the year ended 30 April 2012 Class 1 Net income shares 11, p 17,830,138 Class 1 Net accumulation shares 1, p 2,013,387 Class 2 Net income shares p 506,717 Class 2 Net accumulation shares p 65,751 for the year ended 30 April 2013 Class 1 Net income shares 16, p 21,521,480 Class 1 Net accumulation shares 4, p 4,267,312 Class 2 Net income shares 1, p 1,668,515 Class 2 Net accumulation shares 2, p 2,391,248 Class Z Net income shares p 31,187 for the year ended 30 April 2014 Class 1 Net income shares 28, p 35,628,805 Class 1 Net accumulation shares 10, p 8,876,558 Class 2 Net income shares 2, p 2,779,235 Class 2 Net accumulation shares 3, p 3,250,307 Class X Net accumulation shares 45, p 45,896,154 Class Z Net income shares 1, p 1,061,522 for the period ended 31 October 2014 Class 1 Net income shares 26, p 33,775,412 Class 1 Net accumulation shares 8, p 7,928,058 Class 2 Net income shares 2, p 2,628,447 Class 2 Net accumulation shares 3, p 3,385,403 Class X Net income shares p 3,001 Class X Net accumulation shares p 3,000 Class Z Net income shares 1, p 1,438,171 Class Z Net accumulation shares p 3, Class 1 Net income shares Class 1 Net accumulation shares Class 2 Net income shares Class 2 Net accumulation shares Class 1 Net income shares Class 1 Net accumulation shares Class 2 Net income shares Class 2 Net accumulation shares Class 1 Net income shares Class 1 Net accumulation shares Class 2 Net income shares Class 2 Net accumulation shares Class 1 Net income shares Class 1 Net accumulation shares Class 2 Net income shares Class 2 Net accumulation shares Class Z Net income shares Class 1 Net income shares Class 1 Net accumulation shares Class 2 Net income shares Class 2 Net accumulation shares Class Z Net income shares Class 1 Net income shares Class 1 Net accumulation shares Class 2 Net income shares Class 2 Net accumulation shares Class X Net income shares Class X Net accumulation shares Class Z Net income shares Class Z Net accumulation shares To 31 October Class Z Net income shares commenced 12 October Class X Net income shares commenced 31 July Class X Net accumulation shares commenced 1 April Class Z Net accumulation shares commenced 20 August 2014 American Extended Alpha Fund for the year ended 30 April 2012 Class 1 Net accumulation shares 179, p 117,811,299 Class 1 EUR Hedged net accumulation shares 21, p 14,363,140 Class 2 Net accumulation shares 88, p 56,247,458 for the year ended 30 April 2013 Class 1 Net accumulation shares 593, p 333,990,978 Class 1 EUR Hedged net accumulation shares 62, p 35,989,078 Class 2 Net accumulation shares 218, p 118,719,465 for the year ended 30 April 2014 Class 1 Net accumulation shares 466, p 241,823,658 Class 1 EUR Hedged net accumulation shares 65, p 32,829,535 Class 2 Net accumulation shares 193, p 95,815,671 Class Z Net accumulation shares p 211,076 for the period ended 31 October 2014 Class 1 Net accumulation shares 497, p 227,218,702 Class 1 EUR Hedged net accumulation shares 99, p 48,227,286 Class 2 Net accumulation shares 181, p 79,614,428 Class Z Net accumulation shares p 558, Class 1 Net accumulation shares Class 1 EUR Hedged net accumulation shares Class 2 Net accumulation shares Class 1 Net accumulation shares Class 1 EUR Hedged net accumulation shares Class 2 Net accumulation shares Class 1 Net accumulation shares Class 1 EUR Hedged net accumulation shares Class 2 Net accumulation shares Class 1 Net accumulation shares Class 1 EUR Hedged net accumulation shares Class 2 Net accumulation shares Class 1 Net accumulation shares Class 1 EUR Hedged net accumulation shares Class 2 Net accumulation shares Class Z Net accumulation shares Class 1 Net accumulation shares Class 1 EUR Hedged net accumulation shares Class 2 Net accumulation shares Class Z Net accumulation shares To 31 October Class 1 EUR Hedged net accumulation shares commenced 2 April Class Z Net accumulation shares commenced 24 September

69 Comparative Tables (continued) Net asset value of share class Net asset value per share Shares in issue Calendar Year Net income per share p Highest share price p Lowest share price p China Opportunities Fund for the year ended 30 April 2012 Class 1 Net accumulation shares 21, p 13,807,832 Class 2 Net accumulation shares 41, p 25,204,124 for the year ended 30 April 2013 Class 1 Net accumulation shares 20, p 11,676,258 Class 2 Net accumulation shares 49, p 27,231,434 Class Z Net accumulation shares p 196,220 for the year ended 30 April 2014 Class 1 Net accumulation shares 16, p 8,672,786 Class 2 Net accumulation shares 45, p 23,028,230 Class Z Net accumulation shares 7, p 5,548,133 for the period ended 31 October 2014 Class 1 Net accumulation shares 25, p 11,553,236 Class 2 Net accumulation shares 43, p 18,793,375 Class Z Net accumulation shares 25, p 17,151, Class 1 Net accumulation shares Class 2 Net accumulation shares Class 1 Net accumulation shares Class 2 Net accumulation shares Class 1 Net accumulation shares Class 2 Net accumulation shares Class 1 Net accumulation shares Class 2 Net accumulation shares Class Z Net accumulation shares Class 1 Net accumulation shares Class 2 Net accumulation shares Class Z Net accumulation shares Class 1 Net accumulation shares Class 2 Net accumulation shares Class Z Net accumulation shares To 31 October Class Z Net accumulation shares commenced 5 October 2012 Global Emerging Markets Equity Fund for the year ended 30 April 2012 Class 1 Net accumulation shares 29, p 36,901,215 Class 2 Net accumulation shares 113, p 136,255,354 Class X Net accumulation shares p 3,000 for the year ended 30 April 2013 Class 1 Net accumulation shares 39, p 44,102,122 Class 2 Net accumulation shares 122, p 130,198,010 Class X Net accumulation shares 1, p 2,367,680 Class Z Net accumulation shares p 35,860 for the year ended 30 April 2014 Class 1 Net accumulation shares 39, p 48,325,504 Class 2 Net accumulation shares 106, p 122,544,787 Class X Net accumulation shares 37, p 50,333,481 Class Z Net accumulation shares 4, p 4,345,875 for the period ended 31 October 2014 Class 1 Net accumulation shares 128, p 141,539,452 Class 2 Net accumulation shares 124, p 129,707,904 Class X Net income shares p 18,097 Class X Net accumulation shares 36, p 44,895,438 Class Z Net accumulation shares 9, p 8,172, Class 1 Net accumulation shares Class 2 Net accumulation shares Class X Net accumulation shares Class 1 Net accumulation shares Class 2 Net accumulation shares Class X Net accumulation shares Class 1 Net accumulation shares Class 2 Net accumulation shares Class X Net accumulation shares Class 1 Net accumulation shares Class 2 Net accumulation shares Class X Net accumulation shares Class Z Net accumulation shares Class 1 Net accumulation shares Class 2 Net accumulation shares Class X Net accumulation shares Class Z Net accumulation shares Class 1 Net accumulation shares Class 2 Net accumulation shares Class X Net income shares Class X Net accumulation shares Class Z Net accumulation shares To 31 October Class Z Net accumulation shares commenced 5 October Class X Net income shares commenced 31 July

70 Comparative Tables (continued) Net asset value of share class Net asset value per share Shares in issue Calendar Year Net income per share p Highest share price p Lowest share price p Emerging Market Local Fund for the year ended 30 April 2012 Class 1 Net income shares 3, p 3,051,299 Class 1 Gross accumulation shares 5, p 4,011,564 Class 2 Gross accumulation shares 57, p 37,276,393 Class X Gross accumulation shares p 3,000 for the year ended 30 April 2013 Class 1 Net income shares 6, p 4,866,717 Class 1 Gross accumulation shares 26, p 16,872,047 Class 2 Gross accumulation shares 73, p 41,599,256 Class X Gross accumulation shares p 204,994 Class Z Net income shares p 46,817 Class Z Gross accumulation shares p 5,590 for the year ended 30 April 2014 Class 1 Net income shares 1, p 1,464,313 Class 1 Gross accumulation shares 12, p 9,445,607 Class 2 Gross accumulation shares 12, p 8,766,687 Class X Gross accumulation shares p 48,436 Class Z Net income shares 1, p 1,410,242 Class Z Gross accumulation shares p 80,712 for the period ended 31 October 2014 Class 1 Net income shares p 853,663 Class 1 Gross accumulation shares 11, p 8,557,614 Class 2 Gross accumulation shares 12, p 8,221,252 Class X Gross income shares p 186,045 Class X Gross accumulation shares p 3,000 Class Z Net income shares 1, p 2,131,120 Class Z Gross accumulation shares p 264,184 Only available to eligible investors 2009 Class 1 Net income shares Class 1 Gross accumulation shares Class 2 Gross accumulation shares Class X Gross accumulation shares Class 1 Net income shares Class 1 Gross accumulation shares Class 2 Gross accumulation shares Class X Gross accumulation shares Class 1 Net income shares Class 1 Gross accumulation shares Class 2 Gross accumulation shares Class X Gross accumulation shares Class 1 Net income shares Class 1 Gross accumulation shares Class 2 Gross accumulation shares Class X Gross accumulation shares Class Z Net income shares Class Z Gross accumulation shares Class 1 Net income shares Class 1 Gross accumulation shares Class 2 Gross accumulation shares Class X Gross accumulation shares Class Z Net income shares Class Z Gross accumulation shares Class 1 Net income shares Class 1 Gross accumulation shares Class 2 Gross accumulation shares Class X Gross income shares Class X Gross accumulation shares Class Z Net income shares Class Z Gross accumulation shares To 31 October Class Z Net income shares commenced 5 October Class Z Gross accumulation shares commenced 5 October Class X Gross income shares commenced 31 July 2014 Global Extended Alpha Fund for the year ended 30 April 2012 Class 1 Net accumulation shares 3, p 2,767,396 Class 2 Net accumulation shares 7, p 5,823,429 for the year ended 30 April 2013 Class 1 Net accumulation shares 4, p 2,723,165 Class 2 Net accumulation shares 9, p 5,851,266 for the year ended 30 April 2014 Class 1 Net accumulation shares 28, p 17,149,932 Class 2 Net accumulation shares 19, p 11,055,242 for the period ended 31 October 2014 Class 1 Net accumulation shares 37, p 21,187,855 Class 2 Net accumulation shares 25, p 13,542, Class 1 Net accumulation shares Class 2 Net accumulation shares Class 1 Net accumulation shares Class 2 Net accumulation shares Class 1 Net accumulation shares Class 2 Net accumulation shares Class 1 Net accumulation shares Class 2 Net accumulation shares Class 1 Net accumulation shares Class 2 Net accumulation shares Class 1 Net accumulation shares Class 2 Net accumulation shares To 31 October

71 Comparative Tables (continued) Net asset value of share class Net asset value per share Shares in issue Calendar Year Net income per share p Highest share price p Lowest share price p Global Equity Income Fund for the year ended 30 April 2012 Class 1 Net income shares 54, p 57,600,374 Class 1 Net accumulation shares 29, p 24,658,869 Class 2 Net income shares 6, p 6,891,908 Class 2 Net accumulation shares 1, p 930,410 for the year ended 30 April 2013 Class 1 Net income shares 130, p 115,232,687 Class 1 Net accumulation shares 75, p 50,467,150 Class 2 Net income shares 87, p 75,063,540 Class 2 Net accumulation shares 30, p 20,048,053 Class Z Net income shares 12, p 10,706,331 for the year ended 30 April 2014 Class 1 Net income shares 189, p 173,306,851 Class 1 Net accumulation shares 115, p 76,637,662 Class 1 SGD Hedged net income shares 14, p 14,610,628 Class 1 SGD Hedged net accumulation shares p 976,335 Class 2 Net income shares 145, p 128,822,833 Class 2 Net accumulation shares 214, p 136,600,313 Class X Net accumulation shares 167, p 167,313,429 Class Z Net income shares 477, p 414,393,515 Class Z Net accumulation shares 29, p 29,059,241 for the period ended 31 October 2014 Class 1 Net income shares 193, p 178,226,852 Class 1 Net accumulation shares 129, p 84,321,992 Class 1 SGD Hedged net income shares 17, p 18,594,052 Class 1 SGD Hedged net accumulation shares 2, p 2,171,715 Class 2 Net income shares 109, p 97,195,044 Class 2 Net accumulation shares 204, p 127,951,424 Class 2 EUR Hedged Net income shares p 3,001 Class X Net income shares p 701,001 Class X Net accumulation shares 171, p 167,313,429 Class Z Net income shares 468, p 406,596,572 Class Z Net accumulation shares 47, p 45,837,164 Class Z SGD Hedged net income shares p 3,001 Class Z SGD Hedged net accumulation shares p 3, Class 1 Net income shares Class 1 Net accumulation shares Class 2 Net income shares Class 2 Net accumulation shares Class 1 Net income shares Class 1 Net accumulation shares Class 2 Net income shares Class 2 Net accumulation shares Class 1 Net income shares Class 1 Net accumulation shares Class 2 Net income shares Class 2 Net accumulation shares Class 1 Net income shares Class 1 Net accumulation shares Class 2 Net income shares Class 2 Net accumulation shares Class Z Net income shares Class 1 Net income shares Class 1 Net accumulation shares Class 1 SGD Hedged net income shares Class 1 SGD Hedged net accumulation shares Class 2 Net income shares Class 2 Net accumulation shares Class Z Net income shares Class Z Net accumulation shares Class 1 Net income shares Class 1 Net accumulation shares Class 1 SGD Hedged net income shares Class 1 SGD Hedged net accumulation shares Class 2 Net income shares Class 2 Net accumulation shares Class 2 EUR Hedged Net income shares Class X Net income shares Class X Net accumulation shares Class Z Net income shares Class Z Net accumulation shares Class Z SGD Hedged net income shares Class Z SGD Hedged net accumulation shares To 31 October Class Z Net income shares commenced 3 October Class 1 SGD hedged net income shares commenced 10 October Class 1 SGD hedged net accumulation shares commenced 10 October Class Z Net accumulation shares commenced 18 September Class X Net accumulation shares commenced on 31 March Class 2 EUR Hedged net income shares commenced on 3 June Class Z SGD Hedged net income shares commenced on 3 June Class Z SGD Hedged net accumulation shares commenced on 3 June Class X Net income shares commenced on 31 July

72 Performance Summary for the six months ended 31 October 2014 UK Universe Funds Sector Index Class 1 Net Return Class 2 Net Return Sector Median Net Return Fund Gross Total Return Index Total Return % % % % % UK Mid 250 Fund (IMA) UK All Companies FTSE 250 x Investment Trusts* UK Extended Alpha Fund (IMA) UK All Companies FTSE All-Share* UK Equity Alpha Income Fund (IMA) UK Equity Income* FTSE All-Share UK Absolute Alpha Fund (IMA) Absolute Return UK LIBOR 3 Month Absolute Return Bond Fund (IMA) Absolute Return UK LIBOR 3 Month Target Return Fund ** (IMA) Unclassified Euribor 3 Month Deposit Rate (in GBP) Pan European Focus Fund (IMA) Europe Including UK MSCI Europe* Pan European Equity Dividend Fund (IMA) Europe Including UK* MSCI Europe American Extended Alpha Fund (IMA) North America* S&P 500 Composite China Opportunities Fund (IMA) China Greater China MSCI China* Global Emerging Markets Equity Fund (IMA) Global Emerging Markets MSCI EM (Emerging Markets)* Emerging Market Local Fund (IMA) Specialist JPM GBI-EM Global Diversified Composite* ** Global Extended Alpha Fund (IMA) Global Growth MSCI AC World Free* Global Equity Income Fund (IMA) Global Equity Income MSCI AC World Free* The Fund Sector is taken from the UK Unit Trusts/OEICs universe. Comparing the fund s performance to this Fund Sector is only relevant for UK Investors. These funds do not currently display a sector median return because the Fund Sector (as defined by the Investment Management Association) is not felt to be representative. *Denotes official benchmark of the fund. **Performance information for this fund is shown on a gross income basis Net returns (Source: Morningstar) are calculated using official noon prices, bid to bid basis with net income reinvested and are net of assumed fees and expenses but does not include any initial charges. Gross returns (Source: Factset) represent the fund at total level and are calculated using global close authorised valuations based on in-house calculated transactions with cash flow at the start of the day and are gross of total expenses to facilitate comparison with the index. All data shown in GBP. 70

73 Performance Summary for the six months ended 31 October 2014 Offshore Universe Funds Sector Index Share Class 1 Return Share Class 2 Return Sector Median Net Return Fund Gross Total Return Index Total Return % % % % % UK Mid 250 Fund GIFS Offshore UK Mid Cap Equity FTSE 250 x Investment Trusts* GBP UK Extended Alpha Fund UK Equity Alpha Income Fund UK Absolute Alpha Fund Absolute Return Bond Fund Target Return Fund Pan European Focus Fund Pan European Equity Dividend Fund American Extended Alpha Fund China Opportunities Fund Global Emerging Markets Equity Fund Emerging Market Local Fund Global Extended Alpha Fund Global Equity Income Fund Currency GIFS Offshore UK Large Cap Blend FTSE All-Share* GBP GIFS Offshore UK Large Cap FTSE All-Share GBP GIFS Offshore Alternative Long/ Short UK UK LIBOR 3 Month GBP GIFS Offshore Alternative Long/ Short Debt UK LIBOR 3 Month GBP GIFS Offshore Alternative Debt Arbitrage Euribor 3 Month Deposit Rate EUR GIFS Offshore Europe Large Cap Growth MSCI Europe* EUR GIFS Offshore - Europe Large Cap MSCI Europe EUR GIFS Offshore US Large Cap Growth S&P 500 Composite USD GIFS Offshore - China Equity GIFS Offshore Global Emerging Markets Equity GIFS Offshore Global Emerging Markets Bond Local MSCI China* USD MSCI EM (Emerging Markets)* USD JPM GBI-EM Global Diversified Composite* USD GIFS Offshore Global Large Cap Blend MSCI AC World Free* USD GIFS Offshore Global Equity Income MSCI AC World Free* USD Morningstar changed its definition of the GIFS Offshore Universe as at February This resulted in Threadneedle OEIC Funds being removed from it. For the purposes of comparison, Threadneedle continues to use this Universe with its OEICs included. Performance data is shown on a gross of tax basis. Net returns (Source: Morningstar) are calculated using official noon prices, bid to bid basis with unadjusted income and are net of assumed fees and expenses but does not include any initial charges. Gross returns (Source: Factset) represent the fund at total level and are calculated using global close authorised valuations based on in-house calculated transactions with cash flow at the start of the day and are gross of total expenses to facilitate comparison with the index. All data shown in Fund Currency. *Denotes official benchmark of the fund. 71

74 Ongoing Charges Figure Summary Fund Share Class October 2014* April 2014 UK Mid 250 Fund Class 1 Net accumulation shares 1.65% 1.63% Class 2 Net accumulation shares 1.08% 1.06% Class Z Net accumulation shares 0.90% 0.89% UK Extended Alpha Fund Class 1 Net accumulation shares 1.43% 1.44% Class 2 Net accumulation shares 0.88% 0.88% Class X Net accumulation shares 0.10% 0.13% UK Equity Alpha Income Fund Class 1 Net income shares 1.63% 1.62% Class 2 Net income shares 1.05% 1.04% Class Z Net income shares 0.88% 0.88% UK Absolute Alpha Fund Class 1 Net accumulation shares 1.64% 1.64% Class 2 Net accumulation shares 1.07% 1.07% Class 2 EUR Hedged net accumulation shares 1.06% 1.06% Class Z Net accumulation shares 0.89% 0.89% Absolute Return Bond Fund Class 1 Net accumulation shares 1.39% 1.39% Class 1 Gross accumulation shares 1.40% 1.39% Class 2 Net accumulation shares 0.72% 0.72% Class 2 Gross accumulation shares 0.71% 0.72% Class X Gross accumulation shares 0.02% 0.04% Target Return Fund Class 1 Net accumulation shares 1.51% 1.42% Class 1 Gross accumulation shares 1.51% 1.41% Class 1 CHF Hedged gross accumulation shares 1.50% 1.44% Class 1 USD Hedged gross accumulation shares 1.50% 1.45% Class 2 Gross income shares 0.84% 0.74% Class 2 Gross accumulation shares 0.83% 0.75% Class X Gross accumulation shares 0.15% 0.09% Class Z Net accumulation shares 0.91% 0.85% Class Z Gross accumulation shares 0.92% 0.84% Pan European Focus Fund Class 1 Net accumulation shares 1.74% 1.67% Class 2 Net accumulation shares 1.17% 1.09% Class Z Net accumulation shares 1.00% 0.92% Pan European Equity Dividend Fund Class 1 Net income shares 1.70% 1.71% Class 1 Net accumulation shares 1.70% 1.70% Class 2 Net income shares 1.13% 1.13% Class 2 Net accumulation shares 1.14% 1.13% 1 Class X Net income shares 0.12% Class X Net accumulation shares 0.08% 0.10% Class Z Net income shares 0.96% 0.95% 2 Class Z Net accumulation shares 1.00% American Extended Alpha Fund Class 1 Net accumulation shares 1.63% 1.62% Class 1 EUR Hedged net accumulation shares 1.62% 1.60% Class 2 Net accumulation shares 0.80% 0.79% Class Z Net accumulation shares 0.87% 0.87% China Opportunities Fund Class 1 Net accumulation shares 1.67% 1.69% Class 2 Net accumulation shares 1.10% 1.11% Class Z Net accumulation shares 0.92% 0.93% Global Emerging Markets Equity Fund Class 1 Net accumulation shares 1.66% 1.71% Class 2 Net accumulation shares 1.09% 1.14% 1 Class X Net income shares 0.06% Class X Net accumulation shares 0.10% 0.13% Class Z Net accumulation shares 0.92% 0.96% Emerging Market Local Fund Class 1 Net income shares 1.85% 1.78% Class 1 Gross accumulation shares 1.82% 1.78% Class 2 Gross accumulation shares 1.01% 0.93% 3 Class X Gross income shares 0.16% Class X Gross accumulation shares 0.22% 0.22% Class Z Net income shares 0.92% 0.99% Class Z Gross accumulation shares 0.90% 0.96% Global Extended Alpha Fund Class 1 Net accumulation shares 1.71% 1.76% Class 2 Net accumulation shares 0.88% 0.94% 72

75 Ongoing Charges Figure Summary (continued) Fund Share Class October 2014* April 2014 Global Equity Income Fund Class 1 Net income shares 1.63% 1.64% Class 1 Net accumulation shares 1.63% 1.63% Class 1 SGD Hedged net income shares 1.63% 1.64% Class 1 SGD Hedged net accumulation shares 1.62% 1.65% Class 2 Net income shares 1.06% 1.06% Class 2 Net accumulation shares 1.06% 1.06% 4 Class 2 EUR Hedged net income shares 1.02% 1 Class X Net income shares 0.06% Class X Net accumulation shares 0.06% 0.06% Class Z Net income shares 0.88% 0.88% Class Z Net accumulation shares 0.88% 0.89% 5 Class Z SGD Hedged net income shares 0.87% 6 Class Z SGD Hedged net accumulation shares 0.87% The Ongoing Charges Figure (OCF) is the European standard method of disclosing the charges of a share class of a fund based on the last year s expenses and may vary from year to year. It includes charges such as the fund s annual management charge, registration fee, custody fees and distribution cost but ordinarily excludes the costs of buying or selling assets for the fund (unless these assets are shares of another fund). The Key Investor Information Document (KIID) contain the current OCF. Where the fund invests over 10 net assets in other funds, the calculation includes the fund s share of the expenses of the underlying fund less any fee rebates received. The share of costs of the underlying funds may fluctuate due to changes in investment decisions, which may be required as a result of changes in market conditions. For a more detailed breakdown please visit threadneedle. com/fees. 1 Class X Net income shares commenced 31 July Class Z Net accumulation shares commenced 20 August Class X Gross income shares commenced 31 July Class 2 EUR Hedged net income shares commenced on 3 June Class Z SGD Hedged net income shares commenced on 3 June Class Z SGD Hedged net accumulation shares commenced on 3 June 2014 *The Ongoing Charges Figure is annualised based on the fees incurred during the accounting period or since commencement date (for shareclasses launched in the year to 30 April 2014 please see the Comparative Tables for commencement date.) 73

76 Risk and Reward Profiles Fund Share Class SRRI* UK Mid 250 Fund Class 1 Net accumulation shares 6 Class 2 Net accumulation shares 6 Class Z Net accumulation shares 6 UK Extended Alpha Fund Class 1 Net accumulation shares 6 Class 2 Net accumulation shares 6 Class X Net accumulation shares 6 UK Equity Alpha Income Fund Class 1 Net income shares 5 Class 2 Net income shares 5 Class Z Net income shares 5 UK Absolute Alpha Fund Class 1 Net accumulation shares 5 Class 2 Net accumulation shares 5 Class 2 EUR Hedged net accumulation shares 5 Class Z Net accumulation shares 5 Absolute Return Bond Fund Class 1 Net accumulation shares 3 Class 1 Gross accumulation shares 3 Class 2 Net accumulation shares 3 Class 2 Gross accumulation shares 3 Class X Gross accumulation shares 3 Target Return Fund Class 1 Net accumulation shares 4 Class 1 Gross accumulation shares 4 Class 1 CHF Hedged gross accumulation shares 4 Class 1 USD Hedged gross accumulation shares 4 Class 2 Gross income shares 4 Class 2 Gross accumulation shares 4 Class X Gross accumulation shares 4 Class Z Net accumulation shares 4 Class Z Gross accumulation shares 4 Pan European Focus Fund Class 1 Net accumulation shares 6 Class 2 Net accumulation shares 6 Class Z Net accumulation shares 6 Pan European Equity Dividend Fund Class 1 Net income shares 6 Class 1 Net accumulation shares 6 Class 2 Net income shares 6 Class 2 Net accumulation shares 6 1 Class X Net income shares 6 Class X Net accumulation shares 6 Class Z Net income shares 6 2 Class Z Net accumulation shares 6 American Extended Alpha Fund Class 1 Net accumulation shares 5 Class 1 EUR Hedged net accumulation shares 6 Class 2 Net accumulation shares 5 Class Z Net accumulation shares 5 China Opportunities Fund Class 1 Net accumulation shares 6 Class 2 Net accumulation shares 6 Class Z Net accumulation shares 6 Global Emerging Markets Equity Fund Class 1 Net accumulation shares 6 Class 2 Net accumulation shares 6 1 Class X Net income shares 6 Class X Net accumulation shares 6 Class Z Net accumulation shares 6 Emerging Market Local Fund Class 1 Net income shares 4 Class 1 Gross accumulation shares 4 Class 2 Gross accumulation shares 4 3 Class X Gross income shares 4 Class X Gross accumulation shares 4 Class Z Net income shares 4 Class Z Gross accumulation shares 4 Global Extended Alpha Fund Class 1 Net accumulation shares 6 Class 2 Net accumulation shares 6 74

77 Risk and Reward Profiles (continued) Fund Share Class SRRI* Global Equity Income Fund Class 1 Net income shares 5 Class 1 Net accumulation shares 5 Class 1 SGD Hedged net income shares 6 Class 1 SGD Hedged net accumulation shares 6 Class 2 Net income shares 5 Class 2 Net accumulation shares 5 4 Class 2 EUR Hedged net income shares 5 1 Class X Net income shares 5 Class X Net accumulation shares 5 Class Z Net income shares 5 Class Z Net accumulation shares 5 5 Class Z SGD Hedged net income shares 5 6 Class Z SGD Hedged net accumulation shares 5 1 Class X Net income shares commenced 31 July Class Z Net accumulation shares commenced 20 August Class X Gross income shares commenced 31 July Class 2 EUR Hedged net income shares commenced on 3 June Class Z SGD Hedged net income shares commenced on 3 June Class Z SGD Hedged net accumulation shares commenced on 3 June 2014 *As at 31 October 2014 the synthetic risk and reward indicator (SRRI) is explained in the table below: SRRI 1 The fund is in this specific category because historically it has shown a low level of volatility (how much the value of the fund went up and down compared to other categories). 2 The fund is in this specific category because historically it has shown a relatively low level of volatility (how much the value of the fund went up and down compared to other categories). 3 The fund is in this specific category because historically it has shown a medium to low level of volatility (how much the value of the fund went up and down compared to other categories). 4 The fund is in this specific category because historically it has shown a medium level of volatility (how much the value of the fund went up and down compared to other categories). 5 The fund is in this specific category because historically it has shown a medium to high level of volatility (how much the value of the fund went up and down compared to other categories). 6 The fund is in this specific category because historically it has shown a high level of volatility (how much the value of the fund went up and down compared to other categories). 7 The fund is in this specific category because historically it has shown a very high level of volatility (how much the value of the fund went up and down compared to other categories). The Risk and Reward Profile is based on past performance data in pound sterling. If your investment in the fund is not in pound sterling, please check the figure for the risk and reward profile disclosed on our website (threadneedle.com) according to the currency of your investment in the fund. Historical data may not be a reliable indication of the future risk profile of the funds. The SRRI category shown is not guaranteed to remain unchanged and that the categorisation of the funds may shift over time. The lowest category does not mean a risk-free investment. No form of capital protection or capital guarantee applies to any of the funds. The risk and reward profile of the UK Equity Alpha Income Fund changed from 6 to 5 for all share classes on 28 July The risk and reward profile of the Target Return Fund changed from 3 to 4 for all share classes except Class 1 Net accumulation shares on 8 October The risk and reward profile of the American Extended Alpha Fund Class 1 Net accumulation shares, Class 2 Net accumulation shares, and Class Z Net accumulation shares changed from 6 to 5 on 8 October The risk and reward profile of the Emerging Market Local Fund changed from 5 to 4 for all share classes on 2 July The risk and reward profile of the Global Equity Income Fund Class 2 Net accumulation shares, Class X shares and Class Z shares changed from 6 to 5 on 15 July

78 Shares Issued and Redeemed Summary Fund Number Issued Number Redeemed Net Conversions UK Mid 250 Fund 4,229,627 (23,776,487) 975,367 UK Extended Alpha Fund 5,219,221 (2,343,931) (894) UK Equity Alpha Income Fund 146,927,997 (29,265,379) (36,283,814) UK Absolute Alpha Fund 67,168,874 (102,148,445) 79,155 Absolute Return Bond Fund 58,184,594 (92,346,019) (444,289) Target Return Fund 8,698,530 (26,507,471) Pan European Focus Fund 1,506,063 (5,598,495) 93,462 Pan European Equity Dividend Fund 14,226,844 (62,507,023) (47,909) American Extended Alpha Fund 141,438,005 (156,469,857) (29,626) China Opportunities Fund 23,505,046 (13,488,730) 232,648 Global Emerging Markets Equity Fund 131,946,119 (33,051,527) (110,802) Emerging Market Local Fund 7,497,625 (8,552,689) 55,945 Global Extended Alpha Fund 9,310,475 (2,783,715) (1,647) Global Equity Income Fund 183,811,054 (197,412,464) 798,851 76

79 Total Purchases and Sales Fund UK Mid 250 Fund Total purchases for the period 11,481 22,245 Total sales for the period 44,815 13,800 UK Extended Alpha Fund Total purchases for the period 24,500 6,366 Total sales for the period 9,447 5,469 UK Equity Alpha Income Fund Total purchases for the period 145, ,422 Total sales for the period 72,238 94,034 UK Absolute Alpha Fund Total purchases for the period 27,380 23,503 Total sales for the period 50,119 9,989 Absolute Return Bond Fund Total purchases for the period 104, ,454 Total sales for the period 112, ,734 Target Return Fund Total purchases for the period 14,766 90,571 Total sales for the period 29, ,785 Pan European Focus Fund Total purchases for the period 53,688 62,069 Total sales for the period 61,733 63,719 Pan European Equity Dividend Fund Total purchases for the period 41,413 24,552 Total sales for the period 85,790 11,781 American Extended Alpha Fund Total purchases for the period 392, ,028 Total sales for the period 438, ,253 China Opportunities Fund Total purchases for the period 37,949 30,201 Total sales for the period 24,322 32,821 Global Emerging Markets Equity Fund Total purchases for the period 168, ,043 Total sales for the period 75,330 89,246 Emerging Market Local Fund Total purchases for the period 28, ,578 Total sales for the period 30, ,688 Global Extended Alpha Fund Total purchases for the period 28,184 10,057 Total sales for the period 21,024 5,728 Global Equity Income Fund Total purchases for the period 315, ,658 Total sales for the period 336,780 50,014 October October 77

80 Further Information Threadneedle Specialist Investment Funds ICVC is an open-ended investment company with variable capital under regulation 14 (Authorisation) of the Open Ended Investment Companies Regulations 2001 (as amended) and the shareholders are not liable for the debts of the Company. The Company is structured as an umbrella company in which different subfunds (funds) may be established from time to time by the ACD with the approval of the Financial Conduct Authority (FCA) and the agreement of the depositary. Prospectus A prospectus (the Prospectus) which describes each fund in detail, is available from Threadneedle Investment Services Limited, International Financial Data Services, P.O. Box 10033, Chelmsford, Essex CM99 2AL and from the paying agents and distributors in the countries where the funds is distributed. The funds are segregated portfolios of assets and, accordingly, the assets of a fund belong exclusively to that Fund and shall not be used to discharge directly or indirectly the liabilities of, or claims against, any other person or body, including the umbrella, or any other fund, and shall not be available for any such purpose. Each fund has the investment powers equivalent to those of a UCITS scheme (as defined in the FCA rules). Other funds may be launched in the future. Key Investor Information Document Subscription requirements The KIID is a pre contractual document and investors have to confirm that they have read the latest KIID before making a subscription. Threadneedle has the right to reject a subscription if the investor does not confirm that they have read the latest KIID at the time of application. Investors can obtain the latest KIID from threadneedle.com. Changes to the management of the ACD On 30 June 2014, Mr. Philip Reed resigned from his role as a director of the ACD. Mrs Ann Roughead was appointed as a director of the ACD on 7 July 2014, and Mr. Don Jordison was appointed as a director of the ACD on 29 July Changes to the Prospectus During the period from 1 May 2014 to 31 October 2014 there have been no changes made to the Prospectus of the Company. Changes to the Instrument of Incorporation During the period from 1 May 2014 to 31 October 2014 there have been no changes to the Instrument of Incorporation of the Company. Characteristics of Shares The Company is structured as an umbrella company and currently consists of 14 different sub-funds. Several classes of share may be issued in respect of each fund, distinguished by their criteria for subscription and fee structure. Share Class Minimum Investment Class 1 GBP 2,000 EUR 2,500 EUR 3,000 USD 2,500 USD 3,000 SEK 25,000 CHF 4,000 SGD 4,000 Class 2 GBP 50, ,000 EUR 100,000 EUR 750,000 USD 750,000 USD 800,000 SEK 6 7 million CHF 1,200,000 Class X Class Z Minimum initial investment: GBP 3 million EUR 5 million USD 5 million AUD 5 million Minimum initial investment: GBP 1 million EUR 1.5 million USD 1.5 million Eligibility Retail investors Non-retail investors Eligible investors only Non-retail investors* *The minimum investment may be considerably lower through a nominee or platform that has an arrangement in place with the ACD or an associate of the ACD. May be available to retail investors. The limits for minimum initial investment, minimum subsequent investment and minimum holding of shares may be waived at the discretion of the ACD. For further information please refer to the Prospectus. Where a range of minimum initial investments is indicated, this means there are different minimum initial investments for different sub-funds. The limits for minimum initial investment, minimum subsequent investment and minimum holding of shares may be waived at the discretion of the ACD. For further information and for information regarding the minimum subsequent investment and minimum holding of shares please refer to the Prospectus. Certain classes of share may be unavailable to investors in certain countries. Hedged Share Classes (HSCs) HSCs use currency hedging transactions to try to reduce the exposure to the Reference Currency and replace it with an exposure to the hedged Currency. The terms Reference Currency, Portfolio Currency and Hedged Currency are defined as follows: n Reference Currency or Reference Currencies means (according to the context) the primary investment currency of the share class against which the currency hedging transaction will be applied in order to reduce any exchange rate fluctuation with the Hedged Currency; 78

81 Further Information (continued) n Portfolio Currency or Portfolio Currencies means (according to the context) the currency or currencies in which the underlying assets of the fund are invested in line with the investment objectives applicable to the fund; n Hedged Currency is the currency in which the Hedged Share Class is denominated. These HSCs should not be confused with other share classes that may be denominated in other currencies but will not be hedged. For full details of the HSCs available, including details of the Reference Currency or Portfolio Currency of each fund for which HSCs are available, please refer to the latest version of the Prospectus. Income Equalisation For those funds which operate equalisation, the first allocation made after the acquisition of shares will include an amount of equalisation. This amount represents the ACD s best estimate of the income included in the price at which the shares were acquired (subject to grouping where appropriate) and represents a capital repayment for UK tax purposes which should be deducted from the cost of shares in arriving at any capital gain realised on their subsequent disposal. Performance For the period under review, where applicable, fund performance has been compared to the relevant peer group. We show a peer group comparison as this more accurately reflects the way the funds are managed. We continue to show stock market indices for information purposes and for those funds for which the Investment Management Association sector is not considered to be a representative peer group. Audited peer group information is only available from Morningstar s Fund Services at month end points. Report and Accounts Investors will receive a report on Threadneedle Specialist Investment Funds ICVC twice a year. The reports received will be short form versions and reports containing the full accounts will be available from Threadneedle Investment Services Limited, P.O. Box 10033, Chelmsford, Essex CM99 2AL and from the paying agents and distributors in the countries where the funds are registered. The reports will provide information on the performance of the funds, the market background, and details of each of the portfolios. The annual accounting period for the funds shall end on 30 April and the interim reporting period shall end on 31 October. Foreign Account Tax Compliance Act (FATCA) Threadneedle and its funds ( Threadneedle ) have registered with the US Internal Revenue Service in accordance with FATCA and other current related legislation. Threadneedle has put in place appropriate processes and procedures to maintain its compliance with the statutory requirements, including ensuring that Threadneedle obtain the required certification from its clients and investors as necessary to mitigate any requirement upon Threadneedle to withhold or report such clients under the legislation. This registration and compliance process will ensure that Threadneedle will not suffer withholding tax under FATCA. 79

82 Directory Registered Office 60 St Mary Axe London EC3A 8JQ Authorised Corporate Director (ACD) Threadneedle Investment Services Limited 60 St Mary Axe London EC3A 8JQ Registrar Threadneedle Investment Services Limited Delegated to: International Financial Data Services (UK) Limited Authorised and regulated by the Financial Conduct Authority (FCA) St Nicholas Lane Basildon Essex SS15 5FS Investment Manager Threadneedle Asset Management Limited 60 St Mary Axe London EC3A 8JQ Depositary Citibank International Limited Authorised by the FCA and the Prudential Regulatory Authority 33 Canada Square Canary Wharf London E14 5LB Legal Advisers Eversheds LLP One Wood Street London EC2V 7WS Baum Financial Services Law Team Grosser Burstah Hamburg Germany Independent Auditor PricewaterhouseCoopers LLP 7 More London Riverside London SE1 2RT Authorised Corporate Director Client Services Details UK Investors Address: Threadneedle Investment Services Limited PO Box Chelmsford Essex CM99 2AL Telephone (dealing & customer enquiries): * Fax (dealing): (enquiries): [email protected] Asian Investors Address: Threadneedle Investment Services Limited International Financial Data Services 47, avenue JF Kennedy L-1855 Luxembourg Telephone (dealing & customer enquiries): * Fax (dealing): (enquiries): [email protected] All other Investors Address: Threadneedle Investment Services Limited International Financial Data Services 47, avenue JF Kennedy L-1855 Luxembourg Telephone (dealing & customer enquiries): * Fax (dealing): (enquiries): [email protected] Website: threadneedle.com Paying and Information Agent in Austria Raiffeisen Bank International AG Am Stadtpark Vienna Austria Paying and Information Agent in Belgium J.P. Morgan Chase Bank Brussels 1, Boulevard du Roi Albert II 1210 Brussels Belgium Paying and Information Agent in France BNP Paribas Securities Services 66 rue de la Victoire Paris France Paying and Information Agent in Germany J.P. Morgan AG Junghofstrasse Frankfurt am Main Germany Paying and Information Agent in Hong Kong HSBC Institutional Trust Services (Asia) Limited Services Transfer Agency, Fund Services 1 Queen s Road Central Hong Kong Paying and Information Agents in Italy Allfunds Bank S.A. Via Santa Margherita, Milan Italy BNP Paribas Securities Services Via Ansperto Milan Italy SGSS S.p.A. via Benigno Crespi 19/A MAC Milan Italy State Street Bank S.p.A. Via Ferrante Aporti, Milan Italy *Calls will be recorded 80

83 Directory (continued) Paying and Information Agent in Luxembourg State Street Bank Luxembourg S.A. 49 avenue J.F. Kennedy L-1855 Luxembourg Luxembourg Paying and Information Agent in the Netherlands Intertrust (Netherlands) B.V. Prins Bernhardplein JB Amsterdam The Netherlands Information Agent in Spain Threadneedle Specialist Investment Funds ICVC is duly authorised for its marketing in Spain under registered number 481 for such purposes with the Register of Foreign Collective Investment Schemes of the Comision Nacional del Mercado de Valores (CNMV), in accordance with section of Law 35/2003 of 4 November 2003 on Collective Investment Schemes, as amended. A list of the appointed local distributors and Funds and share classes available for public distribution in Spain is available at the CNMV web page ( Paying Agent in Sweden Skandinaviska Enskilda Banken AB Kungsträdgårdsgatan SE Stockholm Sweden Swiss representative and paying agent BNP Paribas Securities Services, Paris, Zurich Branch Selnaustrasse Zurich Switzerland 81

84 Important Information References in this document to any fund do not constitute an offer or invitation to subscribe to shares in such a fund. We recommend that you obtain detailed information before the purchase of shares. Subscriptions to a fund may only be made on the basis of the current Prospectus or KIID and the latest annual and interim reports. Please refer also to the Risk Factors in the Prospectus. Past performance is not a guide to future returns. The value of investments and any income from them is not guaranteed and may fall as well as rise and the investor may not get back the original investment. Exchange rate movements could increase or decrease the value of underlying investments/ holdings. The dealing price of the funds may include a dilution adjustment. Further details are available in the Prospectus. The mention of any specific shares or bonds should not be taken as a recommendation to deal and anyone considering dealing in these financial instruments should consult a stockbroker or financial adviser. The research and analysis included in this document has been produced by Threadneedle for its own investment management activities, may have been acted upon prior to publication and is made available here incidentally. Any opinions expressed are made as at the date of publication but are subject to change without notice. Key Risks of the funds: The following table below shows the key risks applying to each fund. A definition of the key risks can be found overleaf. Funds/Key Risks Investment Currency Investor Currency High Volatility UK Mid 250 Fund X X X Volatility Effect or Portfolio Concentration Issuer Liquidity Political and Financial Inflation Interest Rate Valuation Short Selling Leverage Investment in Derivatives No Capital Guarantee Counterparty UK Extended Alpha Fund X X X X X X X UK Equity Alpha Income Fund X X X UK Absolute Alpha Fund X X X X X X X X X Absolute Return Bond Fund X X X X X X X X X X X X X Target Return Fund X X X X X X X X X X X X X Pan European Focus Fund X X X X X Pan European Equity Dividend Fund X X X X American Extended Alpha Fund X X X X X X X China Opportunities Fund X X X X X X Global Emerging Markets Equity Fund X X X X X X Emerging Market Local Fund X X X X X X X X X X X Global Extended Alpha Fund X X X X X X X X Global Equity Income Fund X X X X 82

85 Important Information (continued) Description of the Key Risks: Investment Risk: The value of investments can fall as well as rise and investors might not get back the sum originally invested. Currency Risk: Where investments are made in assets that are denominated in multiple currencies, changes in exchange rates may affect the value of the investments. Investor Currency Risk: Where investments in the fund are in currencies other than your own, changes in exchange rates may affect the value of your investments. Volatility Risk: The fund may exhibit significant price volatility. Investment in Derivatives Risk: The Investment Policy of the fund allows it to invest materially in derivatives. No Capital Guarantee Risk: Positive returns are not guaranteed and no form of capital protection applies. Counterparty Risk: The fund may enter into financial transactions with selected counterparties. Any financial difficulties arising at these counterparties could significantly affect the availability and the value of fund assets. Further risks applicable to the fund can be found in the Prospectus. High Volatility Risk: The fund typically carries a risk of high volatility due to its portfolio composition or the portfolio management techniques used. This means that the fund s value is likely to fall and rise more frequently and this can be more pronounced than with other funds. Effect of Portfolio Concentration Risk: The fund has a concentrated portfolio (holds a limited number of investments and/or has a restricted investment universe) and if one or more of these investments declines or is otherwise affected,it may have a pronounced effect on the fund s value. Issuer Risk: The fund invests in securities whose value would be significantly affected if the issuer either refused to pay or was unable to pay or perceived to be unable to pay. Liquidity Risk: The fund may hold assets that are not always readily saleable without suffering a discount to fair value. The portfolio may have to lower the selling price, sell other investments or forego another, more appealing investment opportunity. Political and Financial Risk: The fund invests in markets where economic and regulatory risk can be significant. These factors can affect liquidity, settlement and asset values. Any such event can have a negative effect on the value of your investment. Inflation Risk: Most bond and cash funds offer limited capital growth potential and an income that is not linked to inflation. Inflation is likely to affect the value of capital and income over time. Interest Rate Risk: Changes in interest rates are likely to affect the fund s value. In general, as interest rates rise, the price of a fixed rate bond will fall, and vice versa. Valuation Risk: The fund s assets may sometimes be difficult to value objectively and the actual value may not be recognised until assets are sold. Short Selling Risk: Short selling intends to make a profit from falling prices. However if the value of the underlying investment increases, the short position will decrease. The potential losses are unlimited as the prices of the underlying investments can increase very significantly in a short space of time. Leverage Risk: Leverage amplifies the effect that a change in the price of an investment has on the fund s value. As such, leverage can enhance returns to investors but can also increase losses, including losses in excess of the amount invested. 83

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88 TO FIND OUT MORE visit threadneedle.com Threadneedle Investment Services Limited, ISA Manager, Authorised Corporate Director and Unit Trust Manager. Registered No Registered in England and Wales. Registered Office: 60 St Mary Axe, London EC3A 8JQ. Authorised and regulated by the Financial Conduct Authority. Threadneedle Investments is a brand name and both the Threadneedle Investments name and logo are trademarks or registered trademarks of the Threadneedle group of companies. threadneedle.com 91255