HBOS Specialised Investment Funds ICVC

Contents Introduction 1 Director's Report and Statement 2 Statement of the Authorised Corporate Director's (ACD's) Responsibilities 4 Aggregated Interim Financial Statements 5 Notes to the Aggregated Interim Financial Statements 7 Investment markets overview, Performance record, Portfolio statement and Financial statements: Cautious Managed Fund 8 Ethical Fund 44 Fund of Investment Trusts 54 Smaller Companies Fund 63 Special Situations Fund 74 Distribution Tables 85 Additional Information 88

Introduction We are pleased to present the for the HBOS Specialised Investment Funds ICVC ( the Company ) for the six month period ended 30 November 2013. The financial statements have been prepared on an aggregated basis including all Funds as permitted by the Financial Conduct Authority's (''the FCA'') Collective Investment Schemes sourcebook ( the COLL sourcebook ). As required by the COLL sourcebook, information for each of the five Funds has also been included. About the Company The HBOS Specialised Investment Funds ICVC is an Open-Ended Investment Company ( OEIC ) with variable capital incorporated in England and Wales since 27 September 2000 and authorised by the Financial Services Authority (which has since been succeeded by the Financial Conduct Authority the FCA ) with effect from 20 September 2000. The Company is managed by HBOS Investment Fund Managers Limited, the Authorised Corporate Director ( the ACD ), who is responsible for the day to day running of the Company including the preparation of interim and annual reports. The property of the Company is entrusted to State Street Trustees Limited ("the Depositary"). The objective of the Company is to invest the Scheme Property in transferable securities, money market instruments, cash and near cash, derivatives and forward transactions, deposits and units (as defined in the COLL sourcebook) of collective investment schemes in accordance with the COLL sourcebook with the aim of spreading investment risk and giving its shareholders the benefit of the results of the management of that property. The Shareholders have no interest in the scheme property, and are not liable for the debts of the Company. The Company is a UCITS scheme operating in accordance with the COLL sourcebook and is structured as an umbrella company, as defined in the Open-Ended Investment Company Regulations 2001 ( the OEIC Regulations ), in that it currently contains five Funds, each with different investment objectives. New Funds may be established from time to time by the ACD with the approval of the FCA. Within the financial statements there is an investment review for each Fund, which includes details of the investment objectives. The Cautious Managed Fund was launched on 6 April 2005. The following four Funds were launched on 3 November 2000 following the conversion of four existing unit trusts: Ethical Fund Fund of Investment Trusts Smaller Companies Fund Special Situations Fund 1

Director's Report and Statement Director's Report HBOS Investment Fund Managers Limited is the Authorised Corporate Director ( the ACD ) and Registrar for the HBOS Specialised Investment Funds ICVC. HBOS Investment Fund Managers Limited is authorised and regulated by the Financial Conduct Authority ( the FCA ). The ACD is the sole director. The HBOS Specialised Investment Funds ICVC is an Open-Ended Investment Company with variable capital under Regulation 12 (Authorisation) of the Open-Ended Investment Companies Regulations 2001. It is a UCITS retail scheme and is structured as an umbrella scheme with five Funds. The shareholders are not liable for any debts of the Company. As the Funds are not legal entities, if the assets attributable to any Fund were insufficient to meet the liabilities attributable to it, the shortfall might have to be met out of the assets attributable to one or more other Funds of the HBOS Specialised Investment Funds ICVC. The investment objective for each of the five Funds, together with the ACD's policy for achieving those objectives and a review of the investment activities during the period, is set out in the respective investment market overview in this report. During the period there have been a number of changes to the Company: These changes are detailed below in the section Prospectus changes. Prospectus changes During the period and up to the date of this report, the following changes were made to the Company and therefore the following changes were reflected in the Prospectus of HBOS Specialised Investment Funds ICVC: With effect from 1 October 2013, for certain share classes of the Scheme (as detailed below) the existing fee charges were changed to allow the fees of auditors, tax, legal and other professional advisors (the Expense) to be paid out of the Scheme property. For share classes A, Institutional and Scottish Widows Share Class 1 for all sub-funds of the Scheme, the ACD amended the Prospectus of the Scheme to allow it to pay the Expense out of the scheme property. The ACD has deemed it necessary to make the changes due to increasing costs associated with management of the Scheme where such costs are primarily incurred as a result of investing in and operating in certain overseas jurisdictions where filing of overseas tax returns and reclaims is required through agents in order to provide the optimum returns for the potential benefit of Shareholders in the Scheme. As a result, the costs will be aligned with the benefits accruing to the Scheme. With effect from 1 October 2013, the investment and borrowing powers of the Cautious Managed Fund were amended to allow for wider investment in other collective investment schemes (as notified to Shareholders in August 2013). The Cautious Managed Fund may now invest up to 20 the value of its scheme property in other regulated collective investment schemes. Under the FCA rules, the Cautious Managed Fund could be permitted to invest all of its scheme property in other collective investment schemes but, until this change, the Fund was restricted to investing only 10 its assets in this way. However, we believe that the Fund should take only the flexibility we view as being in the best interests of shareholders, considering the investment objective and policy of the Fund and so we raised the permitted level of investment to 20%. This change is not intended to have any impact on the risk profile of the Fund. A copy of the Prospectus is available on request. 2

Director's Report and Statement (continued) Important information Amendments to the UK Regulations governing Open-Ended Investment Companies and the *FCA s Collective Investment Schemes sourcebook which require limitation of liability between sub-funds of the Company came into effect on 21 December 2011. The new segregated liability regime is mandatory and it is our intention to apply to the FCA within the transitional period for approval to amend the Company s Prospectus and Instrument of Incorporation which will provide for this change. The transitional implementation period is open until 20 December 2014. *FSA was replaced by the Financial Conduct Authority (FCA) on 1 April 2013. In the future, the Company may launch further Funds. The ultimate parent undertaking of the ACD is Lloyds Banking Group plc. The statement of the ACD's Responsibilities is set out on page 4 of this report. The names and addresses of the ACD, the Depositary, the Investment Adviser, the Registrar and the Auditors can be found on page 88 of this report. Director's Statement In accordance with the rules in the Collective Investment Schemes sourcebook as issued and amended by the Financial Conduct Authority, I hereby approve the report and financial statements on behalf of the Authorised Corporate Director of the HBOS Specialised Investment Funds ICVC. Robert Fletcher Director HBOS Investment Fund Managers Limited 30 January 2014 3

Statement and Reports Statement of the Authorised Corporate Director's (ACD's) Responsibilities The rules in the Collective Investment Schemes sourcebook issued by the Financial Conduct Authority ("the FCA") require the ACD to prepare financial statements for each accounting period which give a true and fair view of the financial position of the Company and of the net revenue and net gains and losses on the property of the Company for the period then ended. In preparing the financial statements the ACD is required to: select suitable accounting policies and then apply them consistently; make judgments and estimates that are reasonable and prudent; comply with the disclosure requirements of the Statement of Recommended Practice relating to the Financial Statements of Authorised Funds issued by the Investment Management Association in October 2010; follow generally accepted UK accounting principles and applicable UK accounting standards; and prepare the financial statements on the going concern basis unless it is inappropriate to presume that the Company will continue in operation. The ACD is responsible for keeping proper accounting records and for the management of the Company in accordance with its Instrument of Incorporation, the Prospectus and the FCA Rules. The ACD has general responsibility for taking such steps as are reasonably open to it to prevent and detect fraud and other irregularities. 4

Aggregated Interim Financial Statements Statement of total return Income 30 November 2013 30 November 2012 Net capital gains 57,423 337,896 Revenue 72,435 72,252 Expenses (12,393) (11,672) Finance costs: Interest (2) (7) Net revenue before taxation 60,040 60,573 Taxation (4,698) (4,685) Net revenue after taxation 55,342 55,888 Total return before distributions 112,765 393,784 Finance costs: Distributions (53,073) (52,960) Change in net assets attributable to shareholders from investment activities 59,692 340,824 Statement of change in net assets attributable to shareholders 30 November 2013 30 November 2012 Opening net assets attributable to shareholders 4,516,168 4,036,050 Amounts receivable on issue of shares 81,334 106,136 Amounts payable on cancellation of shares (243,741) (275,353) (162,407) (169,217) Stamp duty reserve tax (77) (124) Change in net assets attributable to shareholders from investment activities (see Statement of total return above) 59,692 340,824 Retained distributions on accumulation shares 46,764 46,996 Closing net assets attributable to shareholders 4,460,140 4,254,529 Comparative information is provided for the Statement of change in net assets attributable to shareholders. Since this information is for the prior interim period, the net assets at the end of that period do not correspond to the net assets at the start of the current period. 5

Aggregated Interim Financial Statements Balance sheet (unaudited) 30 November 2013 31 May 2013 ASSETS Portfolio of investments 4,370,619 4,445,127 Debtors 46,214 43,367 Cash and bank balances 66,817 56,142 Total other assets 113,031 99,509 Total assets 4,483,650 4,544,636 LIABILITIES Derivative liabilities 1,846 411 Creditors 16,525 16,509 Distribution payable on income shares 5,139 11,548 Total other liabilities 21,664 28,057 Total liabilities 23,510 28,468 Net assets attributable to shareholders 4,460,140 4,516,168 6

Notes to the Financial Statements Accounting Policies The aggregated financial statements represent the summation of the financial statements for each of the sub-funds. The interim financial statements for each of the sub-funds have been prepared in accordance with the Statement of Recommended Practice (SORP) for Authorised Funds issued by the Investment Management Association (IMA) in October 2010 (the IMA SORP 2010). The accounting and distribution policies applied are consistent with those of the financial statements for the year ended 31 May 2013 and are described in those annual financial statements. 7

Cautious Managed Fund Investment markets overview Investment objective The investment objective of the Cautious Managed Fund is to achieve long term growth by investing in a managed portfolio of equities investing mainly in the UK and fixed interest investments such as corporate bonds and gilts. Investment policy The Fund will actively manage a balanced mixture of assets between equities and fixed interest investments. The core of the equity assets within the Fund will tend to be invested in large companies whilst maintaining a reasonable presence in medium and small sized companies with above average potential for growth. However, the Fund is not restricted to the choice of company either by size or industry. The fixed interest assets will be invested primarily in a wide range of Sterling and Euro dominated investment grade interest bearing securities. UCITS scheme The Fund would qualify as a UCITS scheme operating under Chapter 5 of the COLL sourcebook if it were in itself an Open-Ended Investment Company in respect of which an authorisation order made by the FCA were in force. Not more than 20 the scheme property may consist of units in collective investment schemes. Synthetic risk and reward profile There are several different ways of measuring risk. The table below uses an industry standard measure of fund risk based on measuring a fund's volatility using its returns over the past five years. Volatility is generated by both rising and falling prices. Volatility doesn't tell you how much a fund has lost or gained; it indicates how volatile its returns were historically. The Fund's ranking may change over time and may not be a reliable indication of its future risk profile. This is a separate measure to the fund Risk Profiles we used to determine our investment portfolios (where we used our own methodology to take an overall look at the funds' risks and aims and group our funds into Cautious/Medium, Medium, Medium/Adventurous, Adventurous Profiles). This Fund is ranked at 5 because it has experienced medium to high levels of volatility over the past 5 years. The synthetic risk and reward indicator shown above is accurate and there have been no changes to this ranking to date. Investment review Performance 01/06/13 01/06/12 01/06/11 01/06/10 01/06/09 01/06/08 to 30/11/13 to 31/05/13 to 31/05/12 to 31/05/11 to 31/05/10 to 31/05/09 % % % % % % Cautious Managed Fund 1.16 20.38 (1.74) 13.77 19.85 (11.36) Benchmark* 1.71 19.05 1.03 13.68 19.33 (11.79) Source: Financial Express for Cautious Managed Fund after 1 June 2013, Morningstar between 1 June 2011 and 31 May 2013 and Lipper for previous periods. Basis: Percentage growth, total return Share Class C (gross of tax and charges) at 12.00pm. *51% FTSE All Share Index, 39.2% iboxx Sterling Non-Gilt All Stocks Index and 9.8% FTSE Actuaries Government Securities UK Gilts All Stocks Index. Source: Scottish Widows Investment Partnership. Basis: Revenue reinvested and gross of expenses at close of business. Past performance is not a guide to future performance. The value of an investment and the revenue from it may go up and down and you may get back less than invested. 8

Cautious Managed Fund Investment markets overview (continued) Investment review (continued) The period under review produced mixed returns, although on the whole equities outperformed. The Fund adopts a comparatively cautious approach, which means it did not participate in the equity rally to the same extent as funds that are focussed purely on equities. It generated a gross return of 1.16% over the six months under review. Looking first at fixed income markets, both government and corporate bonds struggled over the last six months. Yields on government bonds rose, and prices fell throughout much of the reporting period. The initial causes were stronger-than-usual economic data and signs that central banks might start to withdraw their monetary stimulus policies, which have involved the purchase of bonds. However, after the Federal Reserve (Fed) reassured investors that its extraordinary stimulus measures would remain in place for the time being, a large part of the earlier falls were reversed. Corporate bonds outperformed their government-issued equivalents, as investors continued on their search for higher yield investments. The Fund s bond holdings are mainly concentrated within corporate bonds, which helped shield investors from some of the losses incurred in the government bond sector. The Fund s equity holdings produced stronger returns. The Fund s main equity position is in the UK equity market, which performed well. The main driver of sentiment stemmed from overseas and the ongoing extraordinary support from the world s central bankers. The US Fed, for example, has been ploughing $85 billion-a-month into the world s largest economy in order to spur growth. But it wasn t only events in the US that occupied UK investors. News that the economy is starting to recover was well received. This proved particularly beneficial for stocks that are sensitive to economic conditions. Looking ahead, we expect that stock markets will continue to receive support from modest economic improvements, combined with ongoing stimulus measures from central banks. As a result, the Fund retains a comparatively high weighting in equities. However, gains in the coming year appear unlikely to be of the magnitude experienced over the last year and a half and markets looks set for further volatility. For this reason, maintaining a cautiously managed portfolio of diversified holdings remains a sensible strategy. Scottish Widows Investment Partnership Limited December 2013 9

Cautious Managed Fund Performance record Calendar Highest Lowest Net revenue year price price per share p p p 2008 Share Class C 30.00 22.24 0.8096 Share Class F 25.58 19.00 0.7221 Share Class G 25.58 19.04 0.7690 Share Class I 31.01 23.25 1.1837 2009 Share Class C 29.38 21.64 0.7832 Share Class F 25.16 18.51 0.7180 Share Class G 25.24 18.54 0.7603 Share Class I 31.10 22.72 1.1380 2010 Share Class C 32.23 28.65 0.6410 Share Class F 27.66 24.56 0.5946 Share Class G 27.80 24.65 0.6540 Share Class I 34.52 30.42 1.0688 2011 Share Class C 33.03 29.57 0.7778 Share Class F 28.38 25.42 0.7155 Share Class G 28.56 25.60 0.7812 Share Class I 35.66 32.04 1.2485 2012 Share Class C 34.97 31.59 0.7641 Share Class F 30.14 27.19 0.7163 Share Class G 30.42 27.41 0.7769 Share Class I 38.45 34.49 1.2626 2013* Share Class C 38.48 35.10 0.7445 Share Class F 33.22 30.26 0.7059 Share Class G 33.59 30.54 0.7768 Share Class I 42.74 38.60 1.3097 * Up to 30 November 2013. 10

Cautious Managed Fund Performance record (continued) Net asset Net asset value of value Shares share class per share in issue p as at 31 May 2011 Share Class C 1,218,013,697 32.89 3,703,712,000 Share Class F 280,178,142 28.25 991,816,000 Share Class G 11,599,535 28.43 40,807,000 Share Class I 2,156,309,392 35.47 6,079,896,000 as at 31 May 2012 Share Class C 1,043,396,376 31.74 3,287,812,000 Share Class F 333,098,605 27.32 1,219,181,000 Share Class G 10,358,898 27.54 37,612,000 Share Class I 1,839,994,096 34.65 5,310,521,000 as at 31 May 2013 Share Class C 1,114,425,749 37.62 2,962,067,000 Share Class F 449,324,735 32.45 1,384,471,000 Share Class G 12,701,717 32.78 38,747,000 Share Class I 1,989,752,977 41.57 4,785,991,000 Share Class C 1,072,460,513 37.94 2,826,642,000 Share Class F 474,546,918 32.76 1,448,486,000 Share Class G 13,074,802 33.12 39,472,000 Share Class I 1,925,756,629 42.18 4,565,675,000 Ongoing charges figure The ongoing charges figure (OCF) is the total expenses paid by each share class for the period, annualised, against its average net asset value. It excludes the cost of buying or selling assets for the Fund (unless these assets are shares of another fund). The OCF can fluctuate as underlying costs change. as at 31 May 2013 % % Share Class C 1.50 1.50 Share Class F 1.25 1.25 Share Class G 1.00 1.00 Share Class I # 0.00 0.00 # Fees are payable by institutional investors in this share class to the ACD outside the Fund. 11

Cautious Managed Fund Portfolio statement UNITED KINGDOM (72.33%, 31/05/2013 67.22%) 72.33 BASIC MATERIALS (2.88%, 31/05/2013 3.01%) 2.88 Chemicals Alent 180,713 602 0.02 Carclo 32,926 92 0.00 Croda International 108,234 2,547 0.07 Elementis 413,892 1,072 0.03 Johnson Matthey 165,104 5,262 0.15 Synthomer 220,531 516 0.02 Victrex 65,838 1,067 0.03 11,158 0.32 Forestry & Paper Mondi 295,699 2,987 0.09 2,987 0.09 Industrial Metals & Mining Evraz 409,992 442 0.01 Ferrexpo 115,682 210 0.01 652 0.02 Mining Anglo American 1,049,116 14,352 0.41 Antofagasta 297,043 2,379 0.07 BHP Billiton 1,695,759 31,745 0.91 Eurasian Natural Resources 200,356 436 0.01 Fresnillo 136,078 1,147 0.03 Hochschild Mining 131,823 187 0.01 Kazakhmys 134,485 322 0.01 Lonmin 360,854 1,129 0.03 Petropavlovsk 148,311 92 0.00 Rio Tinto 1,001,711 32,961 0.95 Vedanta Resources 80,849 727 0.02 85,477 2.45 TOTAL BASIC MATERIALS 100,274 2.88 CONSUMER GOODS (6.31%, 31/05/2013 7.21%**) 6.31 Automobiles & Parts GKN 1,307,709 4,938 0.14 4,938 0.14 Beverages A.G. Barr 69,581 385 0.01 Britvic 192,615 1,308 0.04 Diageo 2,022,248 39,656 1.14 Fuller Smith & Turner 15,684 155 0.01 SABMiller 753,091 23,817 0.68 65,321 1.88 12

Cautious Managed Fund Portfolio statement (continued) UNITED KINGDOM (continued) 72.33 CONSUMER GOODS (continued) 6.31 Food Producers Anglo-Eastern Plantations 10,141 67 0.00 Associated British Foods 279,791 6,413 0.19 Cranswick 38,614 449 0.01 Dairy Crest 111,610 580 0.02 Devro 136,516 401 0.01 Hilton Food 24,074 101 0.00 Premier Foods 26,480 33 0.00 Tate & Lyle 371,203 2,907 0.08 Unilever 961,080 23,796 0.68 34,747 0.99 Household Goods & Home Construction Barratt Developments 798,421 2,630 0.08 Bellway 98,886 1,423 0.04 Berkeley 99,976 2,349 0.07 Bovis Homes 109,020 850 0.02 Headlam 197,366 793 0.02 McBride 61,909 66 0.00 Persimmon 242,682 2,818 0.08 Reckitt Benckiser 513,913 25,254 0.73 Redrow 178,663 498 0.01 Taylor Wimpey 2,606,389 2,784 0.08 39,465 1.13 Leisure Goods Games Workshop 40,435 295 0.01 295 0.01 Personal Goods Burberry 352,923 5,414 0.16 PZ Cussons 245,773 974 0.03 SuperGroup 26,281 316 0.01 6,704 0.20 Tobacco British American Tobacco 1,540,406 50,194 1.44 Imperial Tobacco 782,234 18,187 0.52 68,381 1.96 TOTAL CONSUMER GOODS 219,851 6.31 CONSUMER SERVICES (4.32%, 31/05/2013 4.40%**) 4.32 Food & Drug Retailers Booker 1,266,443 2,100 0.06 Greggs 83,070 369 0.01 J Sainsbury 1,112,591 4,550 0.13 Ocado 347,280 1,417 0.04 Tesco 6,400,405 22,305 0.64 WM Morrison Supermarkets 1,737,760 4,610 0.13 35,351 1.01 13

Cautious Managed Fund Portfolio statement (continued) UNITED KINGDOM (continued) 72.33 CONSUMER SERVICES (continued) 4.32 General Retailers Carpetright 41,638 245 0.01 Darty 69,613 60 0.00 Debenhams 1,015,486 986 0.03 Dixons Retail 2,968,208 1,540 0.05 Dunelm 80,313 719 0.02 Findel 11,260 29 0.00 Halfords 117,460 577 0.02 Home Retail 672,268 1,297 0.04 Howden Joinery 504,700 1,622 0.05 Inchcape 381,145 2,283 0.07 JD Sports Fashion 7,346 98 0.00 Kingfisher 1,901,881 7,104 0.20 Lookers 285,317 349 0.01 Marks & Spencer 1,290,156 6,286 0.18 Mothercare 17,494 67 0.00 N Brown 125,330 677 0.02 Next 121,269 6,670 0.19 Pendragon 867,051 301 0.01 Photo-Me International 41,745 60 0.00 Sports Direct International 168,214 1,244 0.04 Ted Baker 20,922 420 0.01 Topps Tiles 135,903 163 0.01 WH Smith 96,908 924 0.03 33,721 0.99 Media Bloomsbury Publishing 36,013 61 0.00 British Sky Broadcasting 774,936 6,354 0.18 Chime Communications 34,773 108 0.00 Cineworld 103,786 386 0.01 Euromoney Institutional Investor 30,976 381 0.01 Huntsworth 69,233 46 0.00 ITE 194,885 601 0.02 ITV 2,935,903 5,611 0.16 Johnston Press 134,336 18 0.00 Moneysupermarket.com 294,780 537 0.02 Pearson 652,830 8,807 0.25 Perform 81,767 359 0.01 Reed Elsevier 953,751 8,431 0.24 Rightmove 79,672 2,034 0.06 St Ives 8,633 15 0.00 Trinity Mirror 34,135 61 0.00 Wilmington 7,724 17 0.00 33,827 0.96 14

Cautious Managed Fund Portfolio statement (continued) UNITED KINGDOM (continued) 72.33 CONSUMER SERVICES (continued) 4.32 Travel & Leisure Betfair 75,956 779 0.02 Carnival 146,512 3,280 0.09 Compass 1,448,641 13,458 0.39 Domino's Pizza 114,211 622 0.02 easyjet 199,468 2,852 0.08 Enterprise Inns 415,969 579 0.02 Firstgroup 988,787 1,139 0.03 Go-Ahead 30,665 499 0.02 Greene King 178,065 1,544 0.04 InterContinental Hotels 211,150 4,039 0.12 JD Wetherspoon 73,270 520 0.01 Ladbrokes 727,683 1,276 0.04 Marston's 353,225 517 0.01 Millennium & Copthorne Hotels 122,183 717 0.02 Mitchells & Butlers 191,925 797 0.02 National Express 281,129 738 0.02 Restaurant 163,261 939 0.03 Spirit Pub 526,004 381 0.01 Stagecoach 348,922 1,283 0.04 Thomas Cook 1,172,300 2,073 0.06 TUI Travel 369,566 1,374 0.04 Whitbread 144,770 5,167 0.15 William Hill 692,607 2,659 0.08 47,232 1.36 TOTAL CONSUMER SERVICES 150,131 4.32 FINANCIALS (16.15%, 31/05/2013 10.48%) 16.15 Banks Bank of Georgia 20,878 477 0.01 Barclays 12,907,100 35,088 1.01 HSBC 14,818,227 101,090 2.90 Investec 411,331 1,782 0.05 Lloyds Banking Group 38,828,029 29,894 0.86 Royal Bank of Scotland 1,669,450 5,508 0.16 Standard Chartered 1,587,331 23,096 0.66 196,935 5.65 Equity Investment Instruments Aberdeen Asian Smaller Companies Investment Trust 19,010 171 0.01 Aberdeen New Dawn Investment Trust 63,280 109 0.00 Aberdeen UK Tracker Trust 142,748 441 0.01 Aberforth Smaller Companies Trust 84,829 866 0.03 Alliance Trust 461,006 2,063 0.06 Artemis Alpha Trust 21,252 63 0.00 Asian Total Return Investment Company 37,592 70 0.00 Baillie Gifford Japan Trust 32,995 120 0.00 Bankers Investment Trust 91,407 537 0.02 Baring Emerging Europe 10,707 82 0.00 Biotech Growth Trust 17,450 76 0.00 BlackRock Commodities Income Investment Trust 47,824 52 0.00 15

Cautious Managed Fund Portfolio statement (continued) UNITED KINGDOM (continued) 72.33 FINANCIALS (continued) 16.15 Equity Investment Instruments (continued) BlackRock Emerging Europe Trust 19,921 54 0.00 BlackRock Greater Europe Investment Trust 59,000 141 0.01 BlackRock Latin American Investment Trust 19,971 89 0.00 BlackRock Smaller Companies Trust 90,011 744 0.02 BlackRock World Mining Trust 158,764 713 0.02 British Assets Trust 146,839 205 0.01 British Empire Securities and General Trust 124,814 619 0.02 Brunner Investment Trust 15,380 78 0.00 Caledonia Investments 27,104 517 0.02 Candover Investments 69,022 269 0.01 City Natural Resources High Yield Trust 33,921 48 0.00 Dunedin Income Growth Investment Trust 76,740 209 0.01 Ecofin Water & Power Opportunities 56,298 74 0.00 Edinburgh Dragon Trust 160,754 414 0.01 Edinburgh Worldwide Investment Trust 24,861 98 0.00 Electra Private Equity 29,148 682 0.02 European Investment Trust 21,345 158 0.01 F&C Capital & Income Investment Trust 44,311 115 0.00 F&C Global Smaller Companies 22,477 188 0.01 F&C Private Equity Trust 36,674 77 0.00 F&C US Smaller Companies 12,118 80 0.00 Fidelity Asian s 84,339 179 0.01 Fidelity European s 34,693 528 0.02 Fidelity Special s 27,590 245 0.01 Finsbury Growth & Income Trust 39,385 196 0.01 Foreign & Colonial Investment Trust 468,640 1,770 0.05 Henderson European Focus Trust 8,651 76 0.00 Henderson EuroTrust 42,626 330 0.01 Henderson Global Trust 20,252 75 0.00 Henderson High Income Trust 50,156 87 0.00 Henderson Smaller Companies Investment Trust 107,754 554 0.02 Henderson Trust 24,334 61 0.00 Herald Investment Trust 70,721 490 0.02 HgCapital Trust 34,712 376 0.01 Invesco Asia Trust 45,676 74 0.00 Invesco Income Growth Trust 29,707 79 0.00 Invesco Perpetual UK Smaller Companies Investment Trust 47,425 145 0.00 JPMorgan American Investment Trust 43,514 516 0.01 JPMorgan Asian Investment Trust 53,867 112 0.00 JPMorgan Chinese Investment Trust 38,655 62 0.00 JPMorgan Claverhouse Investment Trust 27,884 164 0.01 JPMorgan Emerging s Investment Trust 107,950 613 0.02 JPMorgan European Investment Trust 48,653 106 0.00 JPMorgan European Smaller Companies Trust 18,228 202 0.01 JPMorgan Japanese Investment Trust 82,031 196 0.01 JPMorgan Mid Cap Investment Trust 48,317 342 0.01 JPMorgan Overseas Investment Trust 11,994 114 0.00 JPMorgan Russian Securities 67,318 350 0.01 JPMorgan Smaller Companies Investment Trust 9,266 71 0.00 Jupiter European Opportunities Trust 40,281 171 0.01 Keystone Investment Trust 6,846 114 0.00 16

Cautious Managed Fund Portfolio statement (continued) UNITED KINGDOM (continued) 72.33 FINANCIALS (continued) 16.15 Equity Investment Instruments (continued) Law Debenture 79,331 420 0.01 Lowland Investment Company 13,403 187 0.01 Martin Currie Pacific Trust 21,468 63 0.00 Martin Currie Portfolio Investment Trust 52,632 87 0.00 Mercantile Investment Trust 88,955 1,317 0.04 Merchants Trust 84,966 425 0.01 Monks Investment Trust 186,816 717 0.02 Montanaro UK Smaller Companies Investment Trust 16,135 78 0.00 Murray Income Trust 55,288 434 0.01 Murray International Trust 102,190 1,067 0.03 North American Income Trust 15,971 137 0.00 Pacific Assets Trust 59,285 91 0.00 Pantheon International Participations 42,701 440 0.01 Perpetual Income and Growth Investment Trust 193,088 700 0.02 Personal Assets Trust 947 309 0.01 Polar Capital Technology Trust 104,106 494 0.02 RCM Technology Trust 12,882 66 0.00 RIT Capital Partners 104,052 1,296 0.04 Schroder AsiaPacific Fund 142,767 353 0.01 Schroder Income Growth Fund 34,850 91 0.00 Schroder Japan Growth Fund 63,421 79 0.00 Schroder UK Growth Fund 81,699 152 0.00 Schroder UK Mid Cap Fund 143,733 657 0.02 Scottish Investment Trust 93,257 551 0.02 Scottish Mortgage Investment Trust 220,054 2,212 0.06 Scottish Oriental Smaller Companies Trust 16,757 138 0.00 Securities Trust of Scotland 56,493 83 0.00 Standard Life Equity Income Trust 19,260 77 0.00 Standard Life European Private Equity Trust 41,193 82 0.00 Standard Life UK Smaller Companies Trust 92,915 288 0.01 SVG Capital 210,053 857 0.02 Temple Bar Investment Trust 50,456 620 0.02 Templeton Emerging s Investment Trust 283,240 1,554 0.04 The City of London Investment Trust 212,567 789 0.02 The Edinburgh Investment Trust 172,845 1,027 0.03 Throgmorton Trust 108,020 314 0.01 TR European Growth Trust 25,433 136 0.00 TR Property Investment Trust 261,731 588 0.02 Troy Income & Growth Trust 120,203 73 0.00 and Income Trust 19,623 52 0.00 Witan Investment Trust 155,978 1,019 0.03 Witan Pacific Investment Trust 33,669 76 0.00 Worldwide Healthcare Trust 37,577 473 0.01 39,289 1.10 17

Cautious Managed Fund Portfolio statement (continued) UNITED KINGDOM (continued) 72.33 FINANCIALS (continued) 16.15 Financial Services 3i 789,067 2,923 0.08 Aberdeen Asset Management 760,627 3,742 0.11 Ashmore 350,218 1,387 0.04 Brewin Dolphin 214,378 584 0.02 Close Brothers 120,806 1,631 0.05 Crest Nicholson 102,996 363 0.01 esure 208,903 531 0.02 F&C Asset Management 470,638 438 0.01 Fidelity China Special Situations 492,339 522 0.01 Hargreaves Lansdown 175,180 2,134 0.06 Hogg Robinson 124,690 95 0.00 ICAP 439,105 1,827 0.05 IG 323,191 1,891 0.05 Impax Environmental s 219,221 321 0.01 Intermediate Capital 322,897 1,374 0.04 International Personal Finance 202,056 1,197 0.04 IP 300,000 548 0.02 Jupiter Fund Management 253,240 992 0.03 London Stock Exchange 154,676 2,500 0.07 Man 1,339,882 1,195 0.03 Paragon 244,411 854 0.02 Provident Financial 111,275 1,783 0.05 Rathbone Brothers 37,543 592 0.02 Schroders 90,735 2,258 0.07 Tullett Prebon 145,809 484 0.01 32,166 0.92 Life Insurance Aviva 2,346,116 10,170 0.29 Chesnara 27,618 82 0.00 Legal & General 4,706,129 10,071 0.29 Old Mutual 3,893,229 7,740 0.22 Partnership Assurance 135,311 413 0.01 Prudential 2,032,710 26,568 0.76 St James's Place 352,813 2,237 0.07 Standard Life 1,929,064 6,810 0.20 64,091 1.84 Non-Equity Investment Instruments Greencoat UK Wind 277,726 285 0.01 Greencoat UK Wind Rights 18/12/2013 138,863-0.00 Scottish Widows UK Smaller Companies Fund X Acc 2,092,482 7,954 0.23 Scottish Widows Fundamental Index UK Equity Fund X Acc 166,164,306 181,784 5.21 190,023 5.45 18

Cautious Managed Fund Portfolio statement (continued) UNITED KINGDOM (continued) 72.33 FINANCIALS (continued) 16.15 Non-Life Insurance Admiral 154,666 1,930 0.06 Amlin 378,801 1,706 0.05 Direct Line Insurance 885,774 2,080 0.06 Jardine Lloyd Thompson 100,128 1,023 0.03 Novae 58,079 341 0.01 RSA Insurance 2,934,625 3,120 0.09 10,200 0.30 Real Estate Investment & Services Capital & Counties Properties 536,543 1,771 0.05 CLS 8,454 103 0.00 Countrywide 64,004 341 0.01 Development Securities 92,141 208 0.01 Grainger 336,400 677 0.02 Helical Bar 50,349 168 0.01 LSL Property Services 42,806 177 0.01 Quintain Estates & Development 231,054 215 0.01 Savills 101,836 656 0.02 ST Modwen Properties 135,346 482 0.01 Unite 193,616 770 0.02 5,568 0.17 Real Estate Investment Trusts Big Yellow 130,758 632 0.02 British Land 801,606 4,922 0.14 Derwent London 74,908 1,830 0.05 Great Portland Estates 281,632 1,649 0.05 Hammerson 568,105 2,920 0.08 Hansteen 523,123 564 0.02 Intu Properties 566,378 1,841 0.05 Land Securities 630,287 6,032 0.17 Londonmetric Property 465,518 607 0.02 Mucklow A & J 8,745 43 0.00 Primary Health Properties 47,658 159 0.01 Segro 607,333 2,039 0.06 Shaftesbury 204,690 1,267 0.04 Workspace 85,447 435 0.01 24,940 0.72 TOTAL FINANCIALS 563,212 16.15 19

Cautious Managed Fund Portfolio statement (continued) UNITED KINGDOM (continued) 72.33 FIXED INCOME (23.25%, 31/05/2013 21.42%) 23.25 Corporate Bonds Abbey National Treasury Services 5.75% 02/03/2027 5,753,000 6,900 0.20 Abbey National Treasury Services 5.25% 16/02/2030 8,332,000 9,511 0.27 Amlin 6.5% 19/12/2026 5,903,000 6,054 0.17 Anglian Water Services Financing 6.293% 30/07/2030 2,184,000 2,679 0.08 Arqiva Financing 4.882% 31/12/2032 5,860,000 5,947 0.17 Artesian Finance 6% 30/09/2033 9,559,000 11,002 0.32 Aviva 6.125% 14/11/2036 3,840,000 4,112 0.12 Aviva 6.875% 20/05/2058 6,068,000 6,836 0.20 Aviva 6.125% Perpetual 5,490,000 5,619 0.16 Bank of Scotland 6.375% 16/08/2019 5,535,000 6,096 0.17 Barclays Bank 10% 21/05/2021 6,822,000 8,906 0.26 Barclays Bank 4.25% 12/01/2022 3,478,000 3,759 0.11 Barclays Bank 5.75% 14/09/2026 4,856,000 5,185 0.15 Barclays Bank 6.375% Perpetual 4,116,000 4,139 0.12 Barclays Bank 14% Perpetual 3,895,000 5,218 0.15 BAT International Finance 6.375% 12/12/2019 4,432,000 5,328 0.15 BAT International Finance 6% 29/06/2022 6,100,000 7,236 0.21 BG Energy Capital 5% 04/11/2036 3,888,000 4,155 0.12 BG Energy Capital 6.5% 30/11/2072 5,147,000 5,615 0.16 BP Capital s 4.325% 10/12/2018 8,819,000 9,653 0.28 British Telecommunications 5.75% 07/12/2028 11,916,000 13,513 0.39 BUPA Finance 5% 25/04/2023 6,867,000 6,918 0.20 Centrica 6.375% 10/03/2022 9,853,000 11,796 0.34 Centrica 4.25% 12/09/2044 2,978,000 2,755 0.08 Circle Anglia Social Housing 5.2% 02/03/2044 4,454,000 4,964 0.14 Clydesdale Bank 4.625% 08/06/2026 8,177,000 8,717 0.25 Coventry Building Society 4.625% 19/04/2018 6,786,000 7,516 0.22 CTRL Section 1 Finance 5.234% 02/05/2035 8,436,000 9,680 0.28 EE Finance 4.375% 28/03/2019 4,817,000 5,006 0.14 Experian Finance 4.75% 23/11/2018 5,739,000 6,341 0.18 Firstgroup 6.125% 18/01/2019 5,067,000 5,534 0.16 Friends Life 8.25% 21/04/2022 4,517,000 5,037 0.15 G4S 7.75% 13/05/2019 2,790,000 3,334 0.10 GKN 6.75% 28/10/2019 3,382,000 3,889 0.11 Great Rolling Stock 6.5% 05/04/2031 4,622,000 5,530 0.16 Hammerson 6.875% 31/03/2020 3,334,000 4,025 0.12 Hammerson 7.25% 21/04/2028 2,406,000 3,099 0.09 Heathrow Finance 7.125% 01/03/2017 1,790,000 1,965 0.06 HSBC 6.5% 20/05/2024 2,612,000 3,194 0.09 HSBC 5.375% 22/08/2033 4,612,000 4,837 0.14 HSBC 7% 07/04/2038 8,550,000 10,640 0.31 Hutchison Whampoa Finance 'B' 5.625% 24/11/2026 5,850,000 6,642 0.19 Imperial Tobacco Finance 7.75% 24/06/2019 4,924,000 6,056 0.17 Imperial Tobacco Finance 8.125% 15/03/2024 7,503,000 9,870 0.28 Integrated Accommodation Services 6.48% 31/03/2029 353,578 434 0.01 InterContinental Hotels 3.875% 28/11/2022 5,724,000 5,752 0.17 Jaguar Land Rover Automotive 8.125% 15/05/2018 3,678,000 3,988 0.12 Lloyds TSB Bank 6.9625% 29/05/2020 6,149,000 6,432 0.18 Lloyds TSB Bank 10.75% 16/12/2021 3,533,000 4,219 0.12 Lloyds TSB Bank 10.375% 12/02/2024 3,019,000 3,156 0.09 Lloyds TSB Bank 7.5% 15/04/2024 3,694,000 4,785 0.14 20

Cautious Managed Fund Portfolio statement (continued) UNITED KINGDOM (continued) 72.33 FIXED INCOME (continued) 23.25 Corporate Bonds (continued) Lloyds TSB Bank 5.75% 09/07/2025 7,687,000 7,939 0.23 Lloyds TSB Bank 6.5% 17/09/2040 3,298,000 4,108 0.12 London & Quadrant Housing Trust 4.625% 05/12/2033 4,098,000 4,329 0.12 London Power Networks 5.125% 31/03/2023 3,820,000 4,199 0.12 London Stock Exchange 6.125% 07/07/2016 2,047,000 2,240 0.06 Marks & Spencer 4.75% 12/06/2025 6,090,000 6,106 0.18 Mitchells & Butlers Finance 5.965% 15/12/2025 2,128,972 2,408 0.07 Motability Operations 5.625% 29/11/2030 11,737,000 13,723 0.39 National Grid Electricity Transmission 6.5% 27/07/2028 4,194,000 5,243 0.15 National Grid Electricity Transmission 7.375% 13/01/2031 8,141,000 11,030 0.32 National Grid Gas 6.375% 03/03/2020 2,500,000 2,991 0.09 National Westminster Bank 6.5% 07/09/2021 4,210,000 4,564 0.13 Nationwide Building Society 6.75% 22/07/2020 6,662,000 6,563 0.19 Northumbrian Water Finance 5.125% 23/01/2042 5,262,000 5,673 0.16 Octagon Healthcare Funding 5.333% 30/06/2036 7,484,162 8,153 0.23 Pearson Funding One 6% 15/12/2015 1,428,000 1,554 0.04 Pennon 6.75% Perpetual 4,612,000 4,869 0.14 Provident Financial 8% 23/10/2019 4,550,000 5,016 0.14 Prudential 6.875% 20/01/2023 5,125,000 6,434 0.18 RMPA Services 5.337% 30/09/2038 6,187,310 6,755 0.19 Royal Bank of Scotland 7.5% 29/04/2024 7,141,000 9,165 0.26 RSA Insurance 9.375% 20/05/2039 2,832,000 3,457 0.10 RSA Insurance 8.5% Perpetual 6,304,000 6,572 0.19 Sanctuary Capital 5% 26/04/2047 2,800,000 3,112 0.09 Santander UK 9.625% 30/10/2023 5,710,000 6,801 0.20 Santander UK 7.5% Perpetual 4,395,000 4,244 0.12 Segro 5.625% 07/12/2020 3,183,000 3,614 0.10 Severn Trent Utilities Finance 6% 22/01/2018 2,286,000 2,616 0.08 Severn Trent Utilities Finance 6.125% 26/02/2024 4,601,000 5,487 0.16 Smiths 4.125% 05/05/2017 5,103,000 4,579 0.13 Society of Lloyd's 6.875% 17/11/2025 4,474,000 4,812 0.14 Society of Lloyd's 7.421% Perpetual 3,859,000 4,175 0.12 South Eastern Power Networks 5.5% 05/06/2026 4,149,000 4,682 0.13 Southern Electric Power Distribution 4.625% 20/02/2037 4,100,000 4,187 0.12 Southern Gas Networks 4.875% 21/12/2020 5,179,000 5,723 0.16 SPD Finance UK 5.875% 17/07/2026 4,395,000 4,986 0.14 SSE 5.875% 22/09/2022 9,019,000 10,696 0.31 SSE 5.025% Perpetual 3,760,000 3,244 0.09 Standard Chartered Bank 7.75% Perpetual 11,660,000 13,234 0.38 Standard Life 6.75% Perpetual 8,715,000 9,570 0.27 Tesco 5% 24/03/2023 800,000 854 0.02 Thames Water Kemble Finance 7.75% 01/04/2019 4,304,000 4,681 0.13 Thames Water Utilities Finance 5.125% 28/09/2037 7,593,000 8,137 0.23 THFC Funding No 3 5.2% 11/10/2043 4,297,000 4,723 0.14 Transport for London 2.25% 09/08/2022 3,260,000 3,060 0.09 United Utilities Water 5.75% 25/03/2022 4,951,000 5,742 0.16 21

Cautious Managed Fund Portfolio statement (continued) UNITED KINGDOM (continued) 72.33 FIXED INCOME (continued) 23.25 Corporate Bonds (continued) UPP Bond 1 Issuer 4.9023% 28/02/2040 4,535,475 4,579 0.13 Vodafone 5.9% 26/11/2032 4,095,000 4,726 0.14 Western Power Distribution South West 5.75% 23/03/2040 950,000 1,105 0.03 Western Power Distribution West Midlands 5.75% 16/04/2032 9,594,000 10,967 0.31 WM Morrison Supermarkets 4.625% 08/12/2023 2,834,000 2,937 0.08 Yorkshire Building Society 4.75% 12/04/2018 4,612,000 5,078 0.15 589,016 16.90 Government Bonds UK Treasury 2.25% 07/03/2014 26,592,000 26,724 0.77 UK Treasury 5% 07/09/2014 8,052,000 8,333 0.24 UK Treasury 2% 22/01/2016 9,910,000 10,204 0.29 UK Treasury 4% 07/09/2016 10,930,000 11,910 0.34 UK Treasury 1.75% 22/01/2017 3,192,000 3,274 0.09 UK Treasury 1.25% 22/07/2018 629,000 621 0.02 UK Treasury 4.5% 07/03/2019 7,094,000 8,098 0.23 UK Treasury 3.75% 07/09/2019 704,000 778 0.02 UK Treasury 3.75% 07/09/2020 996,000 1,101 0.03 UK Treasury 5% 07/03/2025 5,162,000 6,206 0.18 UK Treasury 4.25% 07/12/2027 12,381,000 13,906 0.40 UK Treasury 6% 07/12/2028 1,968,000 2,630 0.08 UK Treasury 4.25% 07/06/2032 1,001,000 1,120 0.03 UK Treasury 4.5% 07/09/2034 22,015,000 25,423 0.73 UK Treasury 4.25% 07/03/2036 3,763,000 4,207 0.12 UK Treasury 4.75% 07/12/2038 3,969,000 4,792 0.14 UK Treasury 3.75% 22/07/2052 2,055,000 2,138 0.06 UK Treasury 4% 22/01/2060 1,990,000 2,207 0.06 133,672 3.83 Mortgage Backed Securities Annington Finance No 4 8.07% 10/01/2023 1,550,000 1,955 0.06 Aspire Defence Finance Series A 4.674% 31/03/2040 3,556,000 3,581 0.10 Aspire Defence Finance Series B 4.674% 31/03/2040 5,303,000 5,330 0.15 Canary Wharf Finance II 6.455% 22/10/2033 3,545,102 4,342 0.13 Canary Wharf Finance II 5.952% 22/10/2037 5,060,000 6,171 0.18 Dignity Finance 8.151% 31/12/2031 3,440,000 4,645 0.13 Equity Release Funding 5.05% 26/04/2033 7,742,000 8,221 0.24 Fosse Master Issuer 4.635% 18/10/2054 7,174,000 7,792 0.22 Holmes Master Issuer FRN 1.9695% 3,800,000 3,876 0.11 Land Securities Capital s 4.875% 29/09/2025 1,355,000 1,508 0.04 Land Securities Capital s 5.376% 30/09/2029 3,055,000 3,480 0.10 Land Securities Capital s 5.396% 31/07/2032 3,242,000 3,706 0.11 Land Securities Capital s 5.125% 07/02/2036 1,105,000 1,240 0.04 Meadowhall Finance 4.986% 12/07/2037 5,485,130 6,112 0.18 Meadowhall Finance 4.988% 12/07/2037 2,145,813 2,283 0.07 22

Cautious Managed Fund Portfolio statement (continued) UNITED KINGDOM (continued) 72.33 FIXED INCOME (continued) 23.25 Mortgage Backed Securities (continued) Telereal Securitisation 5.4252% 10/12/2033 4,226,343 4,620 0.13 Telereal Securitisation 6.1645% 10/12/2033 3,825,932 4,470 0.13 Tesco Property Finance 1 7.6227% 13/07/2039 7,630,854 10,055 0.29 Tesco Property Finance 4 5.8006% 13/10/2040 297,723 326 0.01 Tesco Property Finance 6 5.4111% 13/07/2044 3,384,000 3,496 0.10 87,209 2.52 TOTAL FIXED INCOME 809,897 23.25 HEALTH CARE (3.17%, 31/05/2013 3.56%) 3.17 Health Care Equipment & Services Al Noor Hospitals 41,921 363 0.01 Dignity 43,373 579 0.02 Optos 36,471 61 0.00 Smith & Nephew 719,919 5,867 0.17 Synergy Health 40,219 424 0.01 7,294 0.21 Pharmaceuticals & Biotechnology AstraZeneca 1,001,567 34,880 1.00 BTG 309,121 1,728 0.05 Dechra Pharmaceuticals 71,113 486 0.01 Genus 49,586 615 0.02 GlaxoSmithKline 3,954,730 63,928 1.83 Hikma Pharmaceuticals 109,063 1,313 0.04 Vectura 169,874 190 0.01 103,140 2.96 TOTAL HEALTH CARE 110,434 3.17 INDUSTRIALS (3.82%, 31/05/2013 3.75%**) 3.82 Aerospace & Defence BAE Systems 2,604,666 11,276 0.32 Cobham 918,814 2,436 0.07 Meggitt 630,255 3,141 0.09 QinetiQ 521,302 1,134 0.03 Rolls-Royce 1,502,811 18,695 0.54 Rolls Royce Preference Shares 129,241,746 129 0.00 Ultra Electronics 56,932 1,053 0.03 37,864 1.08 23

Cautious Managed Fund Portfolio statement (continued) UNITED KINGDOM (continued) 72.33 INDUSTRIALS (continued) 3.82 Construction & Materials Balfour Beatty 563,578 1,524 0.04 Carillion 352,324 1,062 0.03 Costain 19,158 57 0.00 Galliford Try 56,773 614 0.02 Keller 52,159 553 0.02 Kier 43,581 771 0.02 Low & Bonar 150,053 107 0.00 Marshalls 99,929 171 0.00 Morgan Sindall 4,983 38 0.00 4,897 0.13 Electronic & Electrical Equipment Dialight 23,958 224 0.01 Domino Printing Sciences 88,812 617 0.02 E2V Technologies 31,369 48 0.00 Laird 238,449 620 0.02 Morgan Crucible 220,412 646 0.02 Oxford Instruments 43,311 657 0.02 Renishaw 29,807 551 0.02 Spectris 104,353 2,560 0.07 TT Electronics 211,684 416 0.01 Xaar 61,190 611 0.02 6,950 0.21 General Industrials British Polythene Industries 12,557 92 0.00 DS Smith 797,326 2,464 0.07 Rexam 623,491 3,149 0.09 RPC 135,285 677 0.02 Smiths 314,763 4,328 0.12 Vesuvius 216,924 1,065 0.03 11,775 0.33 Industrial Engineering Bodycote 156,551 947 0.03 Chemring 159,120 335 0.01 Fenner 157,283 696 0.02 Halma 300,019 1,776 0.05 Hill & Smith 97,583 517 0.01 IMI 253,915 3,750 0.11 Melrose Industries 1,016,960 2,982 0.09 Rotork 76,253 2,156 0.06 Senior 337,844 976 0.03 Severfield-Rowen 149,857 93 0.00 Spirax-Sarco Engineering 62,859 1,853 0.05 Weir 170,616 3,678 0.11 19,759 0.57 24

Cautious Managed Fund Portfolio statement (continued) UNITED KINGDOM (continued) 72.33 INDUSTRIALS (continued) 3.82 Industrial Transportation BBA Aviation 385,019 1,254 0.04 Clarkson 6,318 126 0.00 James Fisher & Sons 33,489 377 0.01 UK Mail 11,039 66 0.00 Wincanton 14,196 17 0.00 1,840 0.05 Support Services Aggreko 202,401 3,226 0.09 Ashtead 443,942 3,105 0.09 Babcock International 288,279 3,742 0.11 Berendsen 133,712 1,229 0.04 Brammer 64,618 290 0.01 Bunzl 265,677 3,714 0.11 Capita 528,139 5,255 0.15 De La Rue 81,480 730 0.02 Diploma 92,729 654 0.02 Electrocomponents 359,262 1,052 0.03 Filtrona 188,212 1,541 0.04 G4S 1,245,758 3,264 0.09 Hays 1,137,558 1,397 0.04 HellermannTyton 163,835 491 0.01 Homeserve 224,221 579 0.02 Interserve 80,485 526 0.02 Intertek 129,061 3,943 0.11 John Menzies 32,285 252 0.01 Lavendon 269,496 481 0.01 Mears 49,922 223 0.01 Michael Page International 236,485 1,099 0.03 Mitie 292,306 905 0.03 Northgate 97,530 400 0.01 PayPoint 53,036 559 0.02 Premier Farnell 301,290 670 0.02 Rentokil Initial 1,482,255 1,570 0.05 Ricardo 61,923 354 0.01 RPS 179,958 558 0.02 Safestore * 60,646 96 0.00 Serco 396,001 1,815 0.05 Shanks 75,005 81 0.00 SIG 459,611 987 0.03 Speedy Hire 92,675 49 0.00 Sthree 185,682 605 0.02 Travis Perkins 194,308 3,484 0.10 WS Atkins 69,321 930 0.03 Xchanging 67,122 101 0.00 49,957 1.45 TOTAL INDUSTRIALS 133,042 3.82 25

Cautious Managed Fund Portfolio statement (continued) UNITED KINGDOM (continued) 72.33 OIL & GAS (6.65%, 31/05/2013 7.62%) 6.65 Oil & Gas Producers Afren 889,918 1,446 0.04 BG 2,732,496 34,470 0.99 BP 14,943,178 72,041 2.07 Cairn Energy 493,269 1,360 0.04 EnQuest 589,193 810 0.02 Essar Energy 234,744 192 0.01 John Wood 297,189 2,351 0.07 Ophir Energy 414,151 1,398 0.04 Premier Oil 414,970 1,290 0.04 Royal Dutch Shell 'A' 3,022,136 62,075 1.78 Royal Dutch Shell 'B' 2,019,173 43,342 1.24 Salamander Energy 103,902 106 0.00 Soco International 160,069 638 0.02 Tullow Oil 725,688 6,332 0.18 227,851 6.54 Oil Equipment, Services & Distribution AMEC 256,767 2,912 0.08 Hunting 111,388 890 0.03 3,802 0.11 TOTAL OIL & GAS 231,653 6.65 TECHNOLOGY (0.69%, 31/05/2013 0.80%**) 0.69 Software & Computer Services Anite 253,129 219 0.01 Aveva 51,803 1,165 0.03 Computacenter 63,154 405 0.01 Fidessa 30,361 644 0.02 Innovation 493,109 166 0.00 Invensys 561,874 2,818 0.08 Kofax 34,995 137 0.00 Micro Focus International 101,270 821 0.02 NCC 99,313 165 0.00 Sage 891,023 3,118 0.09 SDL 54,480 147 0.00 Telecity 164,396 1,150 0.03 10,955 0.29 Technology Hardware & Equipment ARM 1,121,399 11,472 0.33 CSR 128,751 650 0.02 Imagination Technologies 198,900 485 0.01 Pace 267,313 849 0.02 Spirent Communications 527,001 568 0.02 Wolfson Microelectronics 54,990 81 0.00 14,105 0.40 TOTAL TECHNOLOGY 25,060 0.69 26

Cautious Managed Fund Portfolio statement (continued) UNITED KINGDOM (continued) 72.33 TELECOMMUNICATIONS (3.41%, 31/05/2013 3.00%) 3.41 Fixed Line Telecommunications BT 6,272,452 23,534 0.68 Cable & Wireless Communications 2,070,211 982 0.03 Kcom 419,713 415 0.01 TalkTalk Telecom 371,630 1,005 0.03 Telecom Plus 43,364 816 0.02 Telecom Plus New Ordinary Shares Rights 05/12/2013 1,238-0.00 26,752 0.77 Mobile Telecommunications Inmarsat 339,148 2,355 0.07 Vodafone 39,104,699 89,511 2.57 91,866 2.64 TOTAL TELECOMMUNICATIONS 118,618 3.41 UTILITIES (1.68%, 31/05/2013 1.97%) 1.68 Electricity Drax 315,839 2,186 0.06 SSE 769,463 10,265 0.29 12,451 0.35 Gas, Water & Multiutilities Centrica 4,136,509 14,064 0.40 National Grid 2,994,697 23,209 0.67 Pennon 296,612 1,918 0.06 Severn Trent 189,750 3,332 0.10 United Utilities 547,407 3,607 0.10 46,130 1.33 TOTAL UTILITIES 58,581 1.68 TOTAL UNITED KINGDOM 2,520,753 72.33 AUSTRALIA (0.99%, 31/05/2013 0.72%) 0.99 FIXED INCOME (0.99%, 31/05/2013 0.72%) 0.99 Corporate Bonds BHP Billiton Finance 4.3% 25/09/2042 3,472,000 3,329 0.10 Commonwealth Bank of Australia 3% 04/09/2026 12,492,000 11,544 0.33 National Australia Bank 5.125% 09/12/2021 6,149,000 6,942 0.20 Origin Energy Finance 7.875% 16/06/2071 4,715,000 4,237 0.12 QBE Insurance 6.125% 28/09/2015 4,307,000 4,629 0.13 Santos Finance 8.25% 22/09/2070 4,265,000 3,990 0.11 34,671 0.99 TOTAL FIXED INCOME 34,671 0.99 TOTAL AUSTRALIA 34,671 0.99 27

Cautious Managed Fund Portfolio statement (continued) BELGIUM (0.22%, 31/05/2013 0.13%) 0.22 FIXED INCOME (0.22%, 31/05/2013 0.13%) 0.22 Corporate Bonds Anheuser-Busch InBev 9.75% 30/07/2024 3,148,000 4,818 0.14 Anheuser-Busch InBev 4% 24/09/2025 2,900,000 2,954 0.08 7,772 0.22 TOTAL FIXED INCOME 7,772 0.22 TOTAL BELGIUM 7,772 0.22 BERMUDA (0.15%, 31/05/2013 0.16%) 0.15 BASIC MATERIALS (0.01%, 31/05/2013 0.06%) 0.01 Mining Aquarius Platinum 27,607 12 0.00 Petra Diamonds 335,939 361 0.01 373 0.01 TOTAL BASIC MATERIALS 373 0.01 FINANCIALS (0.14%, 31/05/2013 0.10%) 0.14 Non-Life Insurance Catlin 276,040 1,504 0.05 Hiscox 308,456 2,096 0.06 Lancashire 148,706 1,169 0.03 4,769 0.14 TOTAL FINANCIALS 4,769 0.14 TOTAL BERMUDA 5,142 0.15 BRAZIL (0.15%, 31/05/2013 0.15%) 0.15 FIXED INCOME (0.15%, 31/05/2013 0.15%) 0.15 Corporate Bonds Votorantim Cimentos 5.25% 28/04/2017 5,771,000 5,183 0.15 5,183 0.15 TOTAL FIXED INCOME 5,183 0.15 TOTAL BRAZIL 5,183 0.15 BRITISH VIRGIN ISLANDS (0.00%, 31/05/2013 0.00%) 0.00 BASIC MATERIALS (0.00%, 31/05/2013 0.00%) 0.00 Mining Gem Diamonds 23,981 34 0.00 34 0.00 TOTAL BASIC MATERIALS 34 0.00 TOTAL BRITISH VIRGIN ISLANDS 34 0.00 28

Cautious Managed Fund Portfolio statement (continued) CANADA (0.10%, 31/05/2013 0.09%) 0.10 CONSUMER SERVICES (0.01%, 31/05/2013 0.00%) 0.01 Media Entertainment One 163,398 394 0.01 394 0.01 TOTAL CONSUMER SERVICES 394 0.01 FIXED INCOME (0.09%, 31/05/2013 0.09%) 0.09 Corporate Bonds Xstrata Finance Canada 7.375% 27/05/2020 2,521,000 3,025 0.09 3,025 0.09 TOTAL FIXED INCOME 3,025 0.09 TOTAL CANADA 3,419 0.10 CAYMAN ISLANDS (1.13%, 31/05/2013 0.98%) 1.13 FINANCIALS (0.03%, 31/05/2013 0.00%) 0.03 Life Insurance Phoenix 152,644 1,081 0.03 1,081 0.03 TOTAL FINANCIALS 1,081 0.03 FIXED INCOME (1.10%, 31/05/2013 0.98%) 1.10 Corporate Bonds Dwr Cymru Financing 6.907% 31/03/2021 3,215,000 3,955 0.11 Hutchison Whampoa Europe Finance 13 3.75% Perpetual 7,125,000 5,716 0.16 South East Water Finance 5.6577% 30/09/2019 4,840,000 5,434 0.16 Thames Water Utilities Cayman Finance 5.5% 11/02/2041 3,920,000 4,440 0.13 Yorkshire Water Services Bradford Finance 6% 24/04/2025 6,252,000 6,904 0.20 Yorkshire Water Services Odsal Finance 6.454% 28/05/2027 1,745,000 2,150 0.06 Yorkshire Water Services Odsal Finance 6.6011% 17/04/2031 7,814,000 9,793 0.28 38,392 1.10 TOTAL FIXED INCOME 38,392 1.10 TOTAL CAYMAN ISLANDS 39,473 1.13 DENMARK (0.41%, 31/05/2013 0.47%) 0.41 FIXED INCOME (0.41%, 31/05/2013 0.47%) 0.41 Corporate Bonds Danske Bank 5.375% 29/09/2021 6,837,000 7,038 0.20 DONG Energy 4.875% 12/01/2032 3,306,000 3,369 0.10 DONG Energy 5.75% 09/04/2040 3,430,000 3,887 0.11 14,294 0.41 TOTAL FIXED INCOME 14,294 0.41 TOTAL DENMARK 14,294 0.41 29

Cautious Managed Fund Portfolio statement (continued) FINLAND (0.27%, 31/05/2013 0.26%) 0.27 BASIC MATERIALS (0.00%, 31/05/2013 0.00%) 0.00 Industrial Metals & Mining Talvivaara Mining 605,449 33 0.00 33 0.00 TOTAL BASIC MATERIALS 33 0.00 FIXED INCOME (0.27%, 31/05/2013 0.26%) 0.27 Corporate Bonds Nordea Bank Finland 6.25% Perpetual 9,280,000 9,484 0.27 9,484 0.27 TOTAL FIXED INCOME 9,484 0.27 TOTAL FINLAND 9,517 0.27 FRANCE (2.35%, 31/05/2013 2.42%) 2.35 FIXED INCOME (2.35%, 31/05/2013 2.42%) 2.35 Corporate Bonds AXA 5.25% 16/04/2040 4,850,000 4,376 0.13 AXA 6.6666% Perpetual 5,443,000 5,661 0.16 BNP Paribas 7.436% Perpetual 4,100,000 4,259 0.12 Bouygues 5.5% 06/10/2026 8,100,000 8,806 0.25 Cie de St-Gobain 5.625% 15/12/2016 800,000 884 0.03 Cie de St-Gobain 5.625% 15/11/2024 1,200,000 1,327 0.04 CNP Assurances 7.375% 30/09/2041 1,800,000 1,994 0.06 Electricite de France 5.875% 18/07/2031 5,247,000 6,019 0.17 Electricite de France 6.125% 02/06/2034 2,600,000 3,089 0.09 Electricite de France 5.5% 17/10/2041 6,000,000 6,637 0.19 Electricite de France 5.125% 22/09/2050 2,950,000 3,094 0.09 Electricite de France 6% Perpetual 6,300,000 6,528 0.19 GDF Suez 6.125% 11/02/2021 1,950,000 2,330 0.07 Lafarge 10% 30/05/2017 3,830,000 4,581 0.13 Orange 7.25% 10/11/2020 3,280,000 4,055 0.12 Orange 5.25% 05/12/2025 3,907,000 4,217 0.12 Orange 8.125% 20/11/2028 5,855,000 7,979 0.23 Reseau Ferre de France 5.5% 01/12/2021 1,755,000 2,050 0.06 Veolia Environnement 4.625% 30/03/2027 3,900,000 3,583 0.10 81,469 2.35 TOTAL FIXED INCOME 81,469 2.35 TOTAL FRANCE 81,469 2.35 GERMANY (0.19%, 31/05/2013 1.56%) 0.19 FIXED INCOME (0.19%, 31/05/2013 1.56%) 0.19 Corporate Bonds KFW 2.75% 07/09/2015 2,814,000 2,913 0.08 Unitymedia Hessen 5.625% 15/04/2023 4,715,000 3,957 0.11 6,870 0.19 TOTAL FIXED INCOME 6,870 0.19 TOTAL GERMANY 6,870 0.19 30

Cautious Managed Fund Portfolio statement (continued) GIBRALTAR (0.02%, 31/05/2013 0.01%) 0.02 CONSUMER SERVICES (0.02%, 31/05/2013 0.01%) 0.02 Travel & Leisure Bwin.Party Digital Entertainment 567,708 719 0.02 719 0.02 TOTAL CONSUMER SERVICES 719 0.02 TOTAL GIBRALTAR 719 0.02 GUERNSEY (0.51%, 31/05/2013 0.35%) 0.51 FINANCIALS (0.34%, 31/05/2013 0.16%) 0.34 Equity Investment Instruments AcenciA Debt Strategies 59,843 59 0.00 Advance Developing s Fund 32,547 139 0.01 BH Global 30,534 368 0.01 BlueCrest AllBlue 362,879 633 0.02 Dexion Trading 48,532 64 0.00 Genesis Emerging s Fund 110,518 579 0.02 HICL Infrastructure 971,935 1,256 0.04 International Public Partnerships 609,110 756 0.02 Ruffer Investment Company 63,218 136 0.00 Schroder Oriental Income Fund 110,577 199 0.01 4,189 0.13 Financial Services BH Macro 22,721 276 0.01 Medicx Fund 132,129 107 0.00 383 0.01 Life Insurance Resolution 1,093,040 3,755 0.11 3,755 0.11 Non-Equity Investment Instruments BACIT 269,450 318 0.01 BH Macro 34,280 714 0.02 John Laing Infrastructure Fund 538,045 612 0.02 NB Global Floating Rate Income Fund 678,584 715 0.02 2,359 0.07 Real Estate Investment & Services F&C UK Real Estate Investment 105,559 87 0.00 Raven Russia 186,130 147 0.00 UK Commercial Property Trust 333,362 255 0.01 489 0.01 Real Estate Investment Trusts F&C Commercial Property Trust 405,729 476 0.01 Picton Property Income 174,722 95 0.00 Schroder Real Estate Investment Trust 180,584 88 0.00 659 0.01 TOTAL FINANCIALS 11,834 0.34 31

Cautious Managed Fund Portfolio statement (continued) GUERNSEY (continued) 0.51 FIXED INCOME (0.02%, 31/05/2013 0.02%) 0.02 Corporate Bonds UK Care 6.3% 01/10/2029 700,000 860 0.02 860 0.02 TOTAL FIXED INCOME 860 0.02 INDUSTRIALS (0.00%, 31/05/2013 0.00%) 0.00 Industrial Transportation Stobart 57,589 80 0.00 80 0.00 TOTAL INDUSTRIALS 80 0.00 OIL & GAS (0.15%, 31/05/2013 0.15%) 0.15 Oil & Gas Producers Indus Gas 592,339 5,213 0.15 5,213 0.15 TOTAL OIL & GAS 5,213 0.15 TECHNOLOGY (0.00%, 31/05/2013 0.02%) 0.00 TOTAL GUERNSEY 17,987 0.51 INDIA (0.03%, 31/05/2013 0.04%) 0.03 OIL & GAS (0.03%, 31/05/2013 0.04%) 0.03 Oil & Gas Producers Great Eastern Energy GDR 546,388 902 0.03 902 0.03 TOTAL OIL & GAS 902 0.03 TOTAL INDIA 902 0.03 IRELAND (4.67%, 31/05/2013 9.98%) 4.67 BASIC MATERIALS (0.01%, 31/05/2013 0.02%) 0.01 Mining Kenmare Resources 2,233,553 444 0.01 444 0.01 TOTAL BASIC MATERIALS 444 0.01 CONSUMER GOODS (0.02%, 31/05/2013 0.00%) 0.02 Food Producers Greencore 328,400 627 0.02 627 0.02 TOTAL CONSUMER GOODS 627 0.02 32

Cautious Managed Fund Portfolio statement (continued) IRELAND (continued) 4.67 FINANCIALS (3.42%, 31/05/2013 9.16%) 3.42 Non-Equity Investment Instruments SWIP Global Liquidity Fund 20,713,336 20,713 0.59 SWIP Sterling Short Term Fund X Acc 773,904 98,533 2.83 119,246 3.42 TOTAL FINANCIALS 119,246 3.42 FIXED INCOME (0.88%, 31/05/2013 0.56%) 0.88 Corporate Bonds Ardagh Packaging Finance 7.375% 15/10/2017 3,048,000 2,720 0.08 Freshwater Finance 5.182% 20/04/2035 569,000 594 0.02 Freshwater Finance 4.607% 17/10/2036 6,763,000 6,544 0.19 GE Capital UK Funding 5.125% 24/05/2023 4,076,000 4,525 0.13 GE Capital UK Funding 5.875% 18/01/2033 3,571,000 4,226 0.12 GE Capital UK Funding 8% 14/01/2039 7,994,000 12,013 0.34 30,622 0.88 TOTAL FIXED INCOME 30,622 0.88 HEALTH CARE (0.02%, 31/05/2013 0.02%) 0.02 Health Care Equipment & Services UDG Healthcare 190,624 593 0.02 593 0.02 TOTAL HEALTH CARE 593 0.02 INDUSTRIALS (0.32%, 31/05/2013 0.22%) 0.32 Construction & Materials CRH 583,416 9,136 0.26 9,136 0.26 General Industrials DCC 71,555 2,071 0.06 2,071 0.06 TOTAL INDUSTRIALS 11,207 0.32 TOTAL IRELAND 162,739 4.67 ISLE OF MAN (0.07%, 31/05/2013 0.09%) 0.07 CONSUMER SERVICES (0.02%, 31/05/2013 0.00%) 0.02 Travel & Leisure Playtech 122,090 846 0.02 846 0.02 TOTAL CONSUMER SERVICES 846 0.02 33

Cautious Managed Fund Portfolio statement (continued) ISLE OF MAN (continued) 0.07 OIL & GAS (0.01%, 31/05/2013 0.00%) 0.01 Oil & Gas Producers Exillon Energy 55,723 149 0.01 Hardy Oil & Gas 66,967 59 0.00 208 0.01 Oil Equipment, Services & Distribution Lamprell 48,325 71 0.00 71 0.00 TOTAL OIL & GAS 279 0.01 UTILITIES (0.04%, 31/05/2013 0.09%) 0.04 Electricity KSK Power Ventur 874,273 1,311 0.04 1,311 0.04 TOTAL UTILITIES 1,311 0.04 TOTAL ISLE OF MAN 2,436 0.07 ITALY (0.51%, 31/05/2013 0.45%) 0.51 FIXED INCOME (0.51%, 31/05/2013 0.45%) 0.51 Corporate Bonds Enel 5.75% 22/06/2037 1,392,000 1,301 0.04 Enel 7.75% 10/09/2075 4,137,000 4,365 0.13 Eni 4.25% 03/02/2020 3,048,000 2,843 0.08 Pirelli 5.125% 22/02/2016 3,984,000 3,533 0.10 Telecom Italia 5.875% 19/05/2023 6,000,000 5,680 0.16 17,722 0.51 TOTAL FIXED INCOME 17,722 0.51 TOTAL ITALY 17,722 0.51 JERSEY (3.97%, 31/05/2013 3.32%) 3.97 BASIC MATERIALS (0.81%, 31/05/2013 0.84%) 0.81 Industrial Metals & Mining Centamin 861,162 362 0.01 Polymetal International 159,819 865 0.02 1,227 0.03 Mining Glencore Xstrata 7,662,207 24,010 0.69 Randgold Resources 73,180 3,139 0.09 27,149 0.78 TOTAL BASIC MATERIALS 28,376 0.81 34

Cautious Managed Fund Portfolio statement (continued) JERSEY (continued) 3.97 CONSUMER SERVICES (0.54%, 31/05/2013 0.48%) 0.54 Media Informa 492,082 2,741 0.08 UBM 206,268 1,409 0.04 WPP 1,070,276 14,534 0.42 18,684 0.54 TOTAL CONSUMER SERVICES 18,684 0.54 FINANCIALS (0.11%, 31/05/2013 0.04%) 0.11 Equity Investment Instruments 3i Infrastructure 483,549 613 0.02 Aberdeen Asian Income Fund 96,379 194 0.01 Henderson Far East Income 52,181 168 0.01 975 0.04 Financial Services Henderson 851,427 1,822 0.05 1,822 0.05 Non-Equity Investment Instruments City Merchants High Yield Trust 36,936 65 0.00 65 0.00 Non-Life Insurance Beazley 331,178 816 0.02 816 0.02 TOTAL FINANCIALS 3,678 0.11 FIXED INCOME (1.56%, 31/05/2013 0.93%) 1.56 Corporate Bonds AA Bond 6.269% 02/07/2043 4,356,000 4,780 0.14 AA Bond 9.5% 31/07/2043 4,496,000 4,912 0.14 ASIF III Jersey 5.375% 14/10/2016 6,119,000 6,718 0.19 Gatwick Funding 5.75% 23/01/2039 4,098,000 4,588 0.13 Heathrow Funding 5.225% 15/02/2025 10,052,000 11,107 0.32 Heathrow Funding 6.75% 03/12/2028 5,183,000 6,500 0.19 Porterbrook Rail Finance 5.5% 20/04/2019 6,144,000 6,861 0.20 QBE Capital Funding 7.5% 24/05/2041 4,506,000 4,929 0.14 WPP 6% 04/04/2017 3,544,000 3,976 0.11 54,371 1.56 TOTAL FIXED INCOME 54,371 1.56 HEALTH CARE (0.35%, 31/05/2013 0.33%) 0.35 Pharmaceuticals & Biotechnology Shire 440,699 12,115 0.35 12,115 0.35 TOTAL HEALTH CARE 12,115 0.35 35

Cautious Managed Fund Portfolio statement (continued) JERSEY (continued) 3.97 INDUSTRIALS (0.51%, 31/05/2013 0.61%) 0.51 General Industrials Wolseley 219,201 7,306 0.21 7,306 0.21 Industrial Engineering Kentz 78,987 468 0.01 468 0.01 Support Services Experian 804,581 9,084 0.26 Regus 506,481 1,000 0.03 10,084 0.29 TOTAL INDUSTRIALS 17,858 0.51 OIL & GAS (0.09%, 31/05/2013 0.09%) 0.09 Oil & Gas Producers Heritage Oil 165,409 269 0.01 269 0.01 Oil Equipment, Services & Distribution Cape 24,622 67 0.00 Petrofac 219,514 2,786 0.08 2,853 0.08 TOTAL OIL & GAS 3,122 0.09 TOTAL JERSEY 138,204 3.97 LUXEMBOURG (0.89%, 31/05/2013 2.54%) 0.89 BASIC MATERIALS (0.02%, 31/05/2013 0.02%) 0.02 Chemicals AZ Electronic Materials 266,164 727 0.02 727 0.02 TOTAL BASIC MATERIALS 727 0.02 FINANCIALS (0.00%, 31/05/2013 0.00%) 0.00 Non-Equity Investment Instruments Bilfinger Berger Global Infrastructure 118,694 133 0.00 Bilfinger Berger Global Infrastructure Rights 11/12/2013 47,477 0 0.00 133 0.00 TOTAL FINANCIALS 133 0.00 36

Cautious Managed Fund Portfolio statement (continued) LUXEMBOURG (continued) 0.89 FIXED INCOME (0.86%, 31/05/2013 2.51%) 0.86 Corporate Bonds CNH Industrial Finance Europe 6.25% 09/03/2018 4,373,000 4,147 0.12 European Investment Bank 8.75% 25/08/2017 8,066,000 10,187 0.29 European Investment Bank 5.375% 07/06/2021 3,051,000 3,602 0.10 Gaz Capital (Gazprom) 6.605% 13/02/2018 2,314,000 2,189 0.06 Glencore Finance Europe 6.5% 27/02/2019 5,400,000 6,141 0.18 HeidelbergCement Finance 8.5% 31/10/2019 3,690,000 3,925 0.11 30,191 0.86 TOTAL FIXED INCOME 30,191 0.86 TELECOMMUNICATIONS (0.01%, 31/05/2013 0.01%) 0.01 Fixed Line Telecommunications Colt 262,806 335 0.01 335 0.01 TOTAL TELECOMMUNICATIONS 335 0.01 TOTAL LUXEMBOURG 31,386 0.89 MEXICO (0.43%, 31/05/2013 0.24%) 0.43 FIXED INCOME (0.43%, 31/05/2013 0.24%) 0.43 Corporate Bonds America Movil 5.75% 28/06/2030 7,282,000 8,079 0.23 America Movil 6.375% 06/09/2073 6,847,000 7,053 0.20 15,132 0.43 TOTAL FIXED INCOME 15,132 0.43 TOTAL MEXICO 15,132 0.43 NETHERLANDS (3.21%, 31/05/2013 3.06%) 3.21 FIXED INCOME (3.21%, 31/05/2013 3.06%) 3.21 Corporate Bonds ABN AMRO Bank 7.125% 06/07/2022 5,606,000 5,619 0.16 BMW Finance 3.375% 14/12/2018 4,356,000 4,580 0.13 Deutsche Bahn Finance 1.375% 30/10/2017 5,637,000 5,633 0.16 Deutsche Telekom International Finance 6.5% 08/04/2022 6,458,000 7,711 0.22 Deutsche Telekom International Finance 8.875% 27/11/2028 3,872,000 5,715 0.16 E.ON International Finance 6% 30/10/2019 5,150,000 6,033 0.17 E.ON International Finance 5.875% 30/10/2037 6,850,000 8,046 0.23 Enel Finance International 5.625% 14/08/2024 2,460,000 2,548 0.07 Enel Finance International 5.75% 14/09/2040 4,333,000 4,040 0.12 Highbury Finance 7.017% 20/03/2023 5,160,264 6,165 0.18 ING Bank 5.375% 15/04/2021 5,125,000 5,784 0.17 ING Bank 6.875% 29/05/2023 7,781,000 8,662 0.25 Koninklijke KPN 5% 18/11/2026 3,977,000 4,100 0.12 Linde Finance 8.125% 14/07/2066 5,338,000 6,052 0.17 OI European 6.75% 15/09/2020 2,537,000 2,458 0.07 Petrobras Global Finance 5.375% 01/10/2029 5,125,000 4,696 0.13 RWE Finance 5.625% 06/12/2023 772,000 866 0.02 RWE Finance 6.25% 03/06/2030 2,634,000 3,059 0.09 37

Cautious Managed Fund Portfolio statement (continued) NETHERLANDS (continued) 3.21 FIXED INCOME (continued) 3.21 Corporate Bonds (continued) RWE Finance 6.125% 06/07/2039 3,350,000 3,887 0.11 Siemens Financieringsmaatschappij 6.125% 14/09/2066 5,888,000 6,379 0.18 Swiss Reinsurance 6.3024% Perpetual 7,150,000 7,718 0.22 Ziggo Bond 8% 15/05/2018 3,075,000 2,728 0.08 112,479 3.21 TOTAL FIXED INCOME 112,479 3.21 TOTAL NETHERLANDS 112,479 3.21 SINGAPORE (0.00%, 31/05/2013 0.00%) 0.00 INDUSTRIALS (0.00%, 31/05/2013 0.00%) 0.00 Electronic & Electrical Equipment XP Power 7,256 106 0.00 106 0.00 TOTAL INDUSTRIALS 106 0.00 TOTAL SINGAPORE 106 0.00 SPAIN (0.56%, 31/05/2013 0.58%) 0.56 CONSUMER SERVICES (0.16%, 31/05/2013 0.19%) 0.16 Travel & Leisure International Consolidated Airlines 1,525,885 5,618 0.16 5,618 0.16 TOTAL CONSUMER SERVICES 5,618 0.16 FIXED INCOME (0.40%, 31/05/2013 0.39%) 0.40 Corporate Bonds Iberdrola Finanzas 7.375% 29/01/2024 1,650,000 1,982 0.06 Santander International Debt 3.16% 01/12/2015 2,600,000 2,644 0.08 Telefonica Emisiones 5.375% 02/02/2018 5,226,000 5,645 0.16 Telefonica Emisiones 5.289% 09/12/2022 3,500,000 3,633 0.10 13,904 0.40 TOTAL FIXED INCOME 13,904 0.40 TOTAL SPAIN 19,522 0.56 SWEDEN (0.14%, 31/05/2013 0.00%) 0.14 FIXED INCOME (0.14%, 31/05/2013 0.00%) 0.14 Corporate Bonds Svenska Handelsbanken 3% 20/11/2020 5,000,000 5,000 0.14 5,000 0.14 TOTAL FIXED INCOME 5,000 0.14 TOTAL SWEDEN 5,000 0.14 38

Cautious Managed Fund Portfolio statement (continued) SWITZERLAND (0.53%, 31/05/2013 0.44%) 0.53 CONSUMER GOODS (0.08%, 31/05/2013 0.00%) 0.08 Beverages Coca-Cola 158,483 2,721 0.08 2,721 0.08 TOTAL CONSUMER GOODS 2,721 0.08 FIXED INCOME (0.45%, 31/05/2013 0.44%) 0.45 Corporate Bonds UBS 6.625% 11/04/2018 13,267,000 15,673 0.45 15,673 0.45 TOTAL FIXED INCOME 15,673 0.45 TOTAL SWITZERLAND 18,394 0.53 UNITED STATES (3.79%, 31/05/2013 2.82%) 3.79 FIXED INCOME (3.79%, 31/05/2013 2.82%) 3.79 Corporate Bonds Amgen 4% 13/09/2029 10,249,000 9,660 0.28 AT&T 5.875% 28/04/2017 2,500,000 2,812 0.08 AT&T 5.5% 15/03/2027 4,050,000 4,450 0.13 AT&T 7% 30/04/2040 2,200,000 2,827 0.08 Bank of America 7% 31/07/2028 5,700,000 7,277 0.21 Citigroup 5.875% 01/07/2024 4,427,000 4,913 0.14 Citigroup 4.5% 03/03/2031 3,075,000 2,863 0.08 Citigroup 6.8% 25/06/2038 6,970,000 9,103 0.26 General Electric Capital 5.5% 07/06/2021 4,884,000 5,578 0.16 General Electric Capital 4.875% 18/09/2037 13,248,000 13,104 0.38 General Electric Capital 6.5% 15/09/2067 6,761,000 7,217 0.21 Goldman Sachs 7.125% 07/08/2025 6,490,000 8,195 0.24 Merrill Lynch 7.75% 30/04/2018 7,350,000 8,901 0.26 MetLife 5.25% 29/06/2020 5,696,000 6,438 0.18 National Capital Instruments FRN 1.171% Perpetual 12,250,000 9,345 0.27 Pfizer 6.5% 03/06/2038 3,400,000 4,473 0.13 Rabobank 5.556% Perpetual 7,744,000 7,894 0.23 Time Warner Cable 5.75% 02/06/2031 5,502,000 4,799 0.14 Verizon Wireless Capital 8.875% 18/12/2018 1,084,000 1,401 0.04 Wal-Mart Stores 5.625% 27/03/2034 2,919,000 3,513 0.10 Wal-Mart Stores 4.875% 19/01/2039 6,160,000 6,751 0.19 131,514 3.79 TOTAL FIXED INCOME 131,514 3.79 TOTAL UNITED STATES 131,514 3.79 39

Cautious Managed Fund Portfolio statement (continued) DERIVATIVES (0.01%, 31/05/2013 0.14%) 0.01 Forward Currency Contracts Bought EUR596,000 for GBP497,354 Settlement 23/12/2013 0 (1) 0.00 Bought EUR1,201,000 for GBP1,004,012 Settlement 23/12/2013 0 (3) 0.00 Bought EUR1,059,000 for GBP885,795 Settlement 23/12/2013 0 (4) 0.00 Bought EUR4,483,000 for GBP3,778,797 Settlement 23/12/2013 0 (44) 0.00 Bought EUR118,610,298 for GBP100,484,865 Settlement 23/12/2013 0 (1,672) (0.05) Sold EUR104,690,600 for GBP88,035,372 Settlement 23/12/2013 0 818 0.03 Sold EUR4,429,000 for GBP3,776,006 Settlement 23/12/2013 0 86 0.00 Sold EUR3,589,000 for GBP3,014,581 Settlement 23/12/2013 0 25 0.00 Sold EUR3,858,000 for GBP3,228,490 Settlement 23/12/2013 0 14 0.00 Sold EUR1,236,698 for GBP1,042,163 Settlement 23/12/2013 0 12 0.00 Sold EUR314,000 for GBP264,022 Settlement 23/12/2013 0 2 0.00 Sold EUR167,000 for GBP141,142 Settlement 23/12/2013 0 2 0.00 Sold EUR326,000 for GBP272,981 Settlement 23/12/2013 0 1 0.00 Sold EUR23,000 for GBP19,501 Settlement 23/12/2013 0 0 0.00 (764) (0.02) Futures Contracts Euro Bobl Futures December 2013 (40) 2 0.00 Euro Bund Futures December 2013 100 (20) 0.00 FTSE 100 Index Futures December 2013 663 414 0.01 FTSE 250 Index Futures December 2013 245 735 0.02 1,131 0.03 TOTAL DERIVATIVES 367 0.01 Investment assets^ 3,403,206 97.63 Net other assets 82,633 2.37 Total net assets 3,485,839 100.00 All holdings are ordinary shares or stock units and admitted to official stock exchange listings unless otherwise stated. s are denominated in Sterling unless otherwise stated. Stocks shown as GDR's represent Global Depositary Receipts. ^ Including derivative liabilities. * Real Estate Investment Trust. ** Prior period comparatives have been restated. Related party. Scottish Widows Investment Partnership (SWIP). This investment is a related party. 40

Cautious Managed Fund Portfolio statement (continued) Rating Block Investment grade (AAA to BBB-) 1,365,725 39.18 Non-Investment grade (BB+ to C) 54,308 1.56 Unrated 18,492 0.53 Total bonds 1,438,525 41.27 Other 2,047,314 58.73 Total net assets 3,485,839 100.00 The credit ratings used in the above table have been supplied by Standard & Poor's, Moody's or Fitch Ratings. 41

Cautious Managed Fund Statement of total return Income 30 November 2013 30 November 2012 Net capital (losses)/gains (7,310) 257,997 Revenue 62,856 62,663 Expenses (10,985) (10,434) Finance costs: Interest - (2) Net revenue before taxation 51,871 52,227 Taxation (4,613) (4,555) Net revenue after taxation 47,258 47,672 Total return before distributions 39,948 305,669 Finance costs: Distributions (47,257) (47,680) Change in net assets attributable to shareholders from investment activities (7,309) 257,989 Statement of change in net assets attributable to shareholders 30 November 2013 30 November 2012 Opening net assets attributable to shareholders 3,566,205 3,226,848 Amounts receivable on issue of shares 42,498 50,570 Amounts payable on cancellation of shares (161,871) (191,307) (119,373) (140,737) Stamp duty reserve tax (55) (92) Change in net assets attributable to shareholders from investment activities (see Statement of total return above) (7,309) 257,989 Retained distributions on accumulation shares 46,371 46,633 Closing net assets attributable to shareholders 3,485,839 3,390,641 Comparative information is provided for the Statement of change in net assets attributable to shareholders. Since this information is for the prior interim period, the net assets at the end of that period do not correspond to the net assets at the start of the current period. 42

Cautious Managed Fund Balance sheet (unaudited) 30 November 2013 31 May 2013 ASSETS Portfolio of investments 3,404,950 3,502,733 Debtors 40,523 39,420 Cash and bank balances 52,309 36,276 Total other assets 92,832 75,696 Total assets 3,497,782 3,578,429 LIABILITIES Derivative liabilities 1,744 91 Creditors 10,199 12,133 Total other liabilities 10,199 12,133 Total liabilities 11,943 12,224 Net assets attributable to shareholders 3,485,839 3,566,205 43

Ethical Fund Investment markets overview Investment objective The investment objective of the Ethical Fund is to achieve capital growth in the long term by investing in companies whose activities are considered ethical, both in terms of their primary activities as well as in the means of achieving them. Investment policy To select an international portfolio of companies with an above average potential for growth. The majority of the portfolio will be invested in the following areas: a. Pollution control b. Environmental protection c. Efficient utilisation of material and energy resources d. Clean fuels and alternative energy systems e. Healthcare services and medical technology f. Enabling technologies considered to be beneficial to society Additionally, the Fund will strive to avoid investments in companies involved in any of the following areas: Alcohol, animal testing, armaments, banking, child labour, fur trade, gambling, links with undemocratic regimes, nuclear power production, polluting the environment, pornography and tobacco. UCITS scheme The Fund would qualify as a UCITS scheme operating under Chapter 5 of the COLL sourcebook if it were in itself an Open-Ended Investment Company in respect of which an authorisation order made by the FCA were in force. Not more than 10 the scheme property may consist of units in collective investment schemes. Synthetic risk and reward profile There are several different ways of measuring risk. The table below uses an industry standard measure of fund risk based on measuring a fund's volatility using its returns over the past five years. Volatility is generated by both rising and falling prices. Volatility doesn't tell you how much a fund has lost or gained; it indicates how volatile its returns were historically. The Fund's ranking may change over time and may not be a reliable indication of its future risk profile. This is a separate measure to the fund Risk Profiles we used to determine our investment portfolios (where we used our own methodology to take an overall look at the funds' risks and aims and group our funds into Cautious/Medium, Medium, Medium/Adventurous, Adventurous Profiles). This Fund is ranked at 6 because it has experienced high levels of volatility over the past 5 years. The synthetic risk and reward indicator shown above is accurate and there have been no changes to this ranking to date. 44

Ethical Fund Investment markets overview (continued) Investment review Performance 01/06/13 01/06/12 01/06/11 01/06/10 01/06/09 01/06/08 to 30/11/13 to 31/05/13 to 31/05/12 to 31/05/11 to 31/05/10 to 31/05/09 % % % % % % Ethical Fund 2.90 28.89 (2.15) 10.29 26.45 (20.42) FTSE World Index 1.66 29.40 (5.95) 12.40 29.06 (19.59) Source: Financial Express for Ethical Fund and FTSE World Index after 1 June 2013, Morningstar between 1 June 2011 and 31 May 2013 and Lipper for previous periods. Basis: For Ethical Fund, percentage growth, total return Share Class C (gross of tax and charges) at 12.00pm. Basis: For FTSE World Index, revenue reinvested and gross of expenses at close of business. Past performance is not a guide to future performance. The value of an investment and the revenue from it may go up and down and you may get back less than invested. The period under review has been positive for the world s stock markets, with share prices rising over the course of the last six months. Actions by central banks have given investors the confidence to move away from the safe havens of cash and government bonds in favour of assets that carry a slightly higher level of risk. Investors were also emboldened by signs of improvement in the global economy. The Fund produced a gross return of 2.90% over the review period. The comparable return from its benchmark, the FTSE World Index, was 1.66%. In the UK, the economy is performing better than many had forecast, with most areas on the rise. The housing sector in particular has rebounded strongly, leading many to fear a bubble may be forming. However, the Bank of England has acted, removing its Funding for Lending scheme for mortgage buyers. The Bank has also initiated forward guidance. This will see interest rates remain low until unemployment hits 7% (currently 7.4%). Meanwhile, US equities underwent a period of volatility following the Federal Reserve s (the Fed) announcement that it plans to slow its current $85 billion a month quantitative easing programme. Investors have therefore treated some recent positive economic announcements with suspicion, fearing that they may hasten the cuts to the scheme. In November, focus fell on a much better-thanexpected jobs report. This time however, the good news failed to dampen investor confidence. Instead, market participants looked to Janet Yellen, the soon-to-be-head of the Fed, for reassurance. She commented that the US jobs market and its wider economy are both performing far short of their potential. US equity markets surged, reaching a series of record highs before closing for the Thanksgiving holiday. European equities also delivered robust gains over the period. Forward-looking indicators have improved, but unemployment remains a concern, while credit conditions are poor. Elsewhere, Japanese stocks did well, partly on the back of Tokyo s successful bid for the 2020 Olympics. As a whole, emerging markets lagged behind their developed peers. At asset level, the holding in ITV made a strongly positive contribution. The stock s performance was boosted by management investment in improving the quality of ITV s television programmes for subsequent distribution to the US and other markets. Orix, a Japanese real estate company, also had a positive influence on returns. We added the stock to the portfolio in June. Throughout 2013, the Fund has been overweight in the industrials sector, which has continued to benefit from improved spending and industrial activity in domestic US and UK markets. Regionally, we remain overweight in UK equities which have performed well despite concerns amid wider developed equity markets. The US and eurozone look set to end 2013 on a weak note, but the similarities end there. For the US, this is mainly a technical correction following a strong third quarter. Congress has struck a deal preventing another government shutdown next year. The debt ceiling remains an issue for spring 2014, but is not expected to derail a recovery underpinned by improving consumer spending, accelerating business investment and a stronger housing market. Nor is asset-purchase tapering, which the Fed has announced will begin in January 2014. The eurozone s problems are more enduring, and we expect a weak expansion next year. Growth will continue to be largely accounted for by exports, leaving the recovery vulnerable to any unexpected euro appreciation. Scottish Widows Investment Partnership Limited December 2013 45

Ethical Fund Performance record Calendar Highest Lowest Net revenue year price price per share p p p 2008 Share Class A 105.31 67.54 1.0013 Share Class C 43.73 28.08 0.0757 Share Class F 26.81 17.26 0.0727 Share Class G 26.82 17.29 0.0968 Share Class I 104.50 67.70 1.3914 Share Class SW1* 58.76 50.00 0.0000 2009 Share Class A 95.58 65.06 1.2188 Share Class C 40.02 26.97 0.2262 Share Class F 24.64 16.58 0.1816 Share Class G 24.75 16.63 0.2214 Share Class I 95.80 65.31 1.5419 Share Class SW1 69.24 46.66 0.2548 2010 Share Class A 104.30 87.65 1.2332 Share Class C 43.82 36.95 0.1403 Share Class F 27.04 22.78 0.1371 Share Class G 27.20 22.90 0.1989 Share Class I 104.53 87.67 1.5250 Share Class SW1 75.65 63.89 0.1092 2011 Share Class A 106.12 84.92 1.3555 Share Class C 44.90 35.88 0.1711 Share Class F 27.75 22.18 0.1658 Share Class G 27.96 22.36 0.2294 Share Class I 77.49 61.90 1.8090 Share Class SW1 106.30 85.05 0.2133 2012 Share Class A 107.70 93.22 1.0021 Share Class C 45.42 39.28 0.0171 Share Class F 28.17 24.30 0.0734 Share Class G 28.47 24.51 0.1366 Share Class I 108.00 67.73 1.4768 Share Class SW1 78.27 71.19 0.0000 2013** Share Class A 131.00 107.90 1.1867 Share Class C 55.27 45.48 0.0542 Share Class F 34.35 28.21 0.0976 Share Class G 34.80 28.52 0.1672 Share Class I 131.40 108.20 1.7034 Share Class SW1 95.14 78.36 0.0000 * From launch on 24 November 2008. ** Up to 30 November 2013. With effect from 6 December 2010, Clerical Medical (CM) Share Class 1 was rebranded Scottish Widows (SW) Share Class 1. 46

Ethical Fund Performance record (continued) Net asset Net asset value of value Shares share class per share in issue p as at 31 May 2011 Share Class A 4,841,132 102.11 4,741,233 Share Class C 13,340,103 43.26 30,840,000 Share Class F 2,429,241 26.72 9,090,000 Share Class G 69,712 26.92 259,000 Share Class I 150,715,462 102.11 147,605,373 Share Class SW1 70,919 74.65 95,000 as at 31 May 2012 Share Class A 4,401,220 98.43 4,471,233 Share Class C 11,473,603 41.74 27,485,000 Share Class F 3,212,267 25.85 12,425,000 Share Class G 78,044 26.10 299,000 Share Class I 135,391,605 98.43 137,545,373 Share Class SW1 104,403 72.00 145,000 as at 31 May 2013 Share Class A 5,055,484 124.79 4,051,233 Share Class C 13,423,303 52.91 25,370,000 Share Class F 4,773,371 32.84 14,535,000 Share Class G 167,494 33.23 504,000 Share Class I 158,852,011 124.86 127,220,373 Share Class SW1 41,010 91.13 45,000 Share Class A 5,246,080 130.62 4,016,233 Share Class C 13,431,376 55.11 24,370,000 Share Class F 5,268,755 34.25 15,385,000 Share Class G 197,419 34.70 569,000 Share Class I 155,699,073 131.00 118,850,373 Share Class SW1 42,701 94.89 45,000 Ongoing charges figure The ongoing charges figure (OCF) is the total expenses paid by each share class for the period, annualised, against its average net asset value. It excludes the cost of buying or selling assets for the Fund (unless these assets are shares of another fund). The OCF can fluctuate as underlying costs change. as at 31 May 2013 % % Share Class A 0.50 0.50 Share Class C 1.52 1.52 Share Class F 1.27 1.27 Share Class G 1.02 1.02 Share Class I # 0.00 0.00 Share Class SW1 1.65 1.65 # Fees are payable by institutional investors in this share class to the ACD outside the Fund. 47

Ethical Fund Portfolio statement BRAZIL (0.00%, 31/05/2013 1.06%) 0.00 CANADA (0.00%, 31/05/2013 1.55%) 0.00 CHINA (2.29%, 31/05/2013 0.00%) 2.29 Technology Baidu ADR 41,332 4,123 2.29 4,123 2.29 TOTAL CHINA 4,123 2.29 DENMARK (0.00%, 31/05/2013 2.49%) 0.00 FRANCE (0.00%, 31/05/2013 2.26%) 0.00 GERMANY (9.13%, 31/05/2013 6.29%) 9.13 Basic Materials Bayer 57,524 4,663 2.59 4,663 2.59 Consumer Goods Continental 49,714 6,375 3.54 6,375 3.54 Health Care Fresenius Medical Care 126,326 5,393 3.00 5,393 3.00 TOTAL GERMANY 16,431 9.13 HONG KONG (4.91%, 31/05/2013 0.00%) 4.91 Oil & Gas Kunlun Energy 2,468,000 2,782 1.55 2,782 1.55 Utilities CIMC Enric 2,898,000 2,997 1.67 GCL-Poly Energy 15,261,000 3,036 1.69 6,033 3.36 TOTAL HONG KONG 8,815 4.91 IRELAND (0.00%, 31/05/2013 1.88%) 0.00 ISLE OF MAN (2.21%, 31/05/2013 1.86%) 2.21 Utilities Greenko 2,698,555 3,967 2.21 3,967 2.21 TOTAL ISLE OF MAN 3,967 2.21 48

Ethical Fund Portfolio statement (continued) JAPAN (8.97%, 31/05/2013 4.00%) 8.97 Consumer Goods Toyota Motor 140,700 5,354 2.98 5,354 2.98 Financials Mitsubishi Estate 278,000 4,729 2.63 ORIX 542,500 6,050 3.36 10,779 5.99 TOTAL JAPAN 16,133 8.97 NORWAY (0.00%, 31/05/2013 1.83%) 0.00 SWITZERLAND (9.74%, 31/05/2013 4.55%) 9.74 Consumer Goods Swatch 4,820 1,943 1.08 1,943 1.08 Financials UBS 431,928 5,085 2.83 5,085 2.83 Health Care Roche 27,208 4,645 2.58 4,645 2.58 Industrials Adecco 58,275 2,769 1.54 Pentair 70,528 3,077 1.71 5,846 3.25 TOTAL SWITZERLAND 17,519 9.74 TAIWAN (1.62%, 31/05/2013 0.00%) 1.62 Financials Cathay Financial 3,031,345 2,915 1.62 2,915 1.62 TOTAL TAIWAN 2,915 1.62 UNITED KINGDOM (15.39%, 31/05/2013 15.40%) 15.39 Basic Materials Johnson Matthey 132,953 4,237 2.36 4,237 2.36 Consumer Services ITV 2,321,729 4,437 2.47 4,437 2.47 49

Ethical Fund Portfolio statement (continued) UNITED KINGDOM (continued) 15.39 Financials Aon 87,848 4,424 2.46 Prudential 378,764 4,950 2.75 9,374 5.21 Industrials Melrose Industries 1,057,181 3,100 1.72 Travis Perkins 68,394 1,226 0.68 4,326 2.40 Oil & Gas BG 171,621 2,165 1.20 2,165 1.20 Telecommunications BT 839,707 3,151 1.75 3,151 1.75 TOTAL UNITED KINGDOM 27,690 15.39 UNITED STATES (45.33%, 31/05/2013 57.07%) 45.33 Consumer Goods Beacon Roofing Supply 186,198 4,232 2.35 Mead Johnson Nutrition 73,094 3,793 2.11 TripAdvisor 66,707 3,605 2.00 11,630 6.46 Consumer Services LKQ 156,192 3,171 1.76 O'Reilly Automotive 29,600 2,260 1.26 5,431 3.02 Financials American Express 91,935 4,816 2.68 American International 169,078 5,138 2.86 SolarWinds 92,554 1,897 1.05 11,851 6.59 Health Care Cooper 56,380 4,544 2.52 McKesson 56,345 5,707 3.17 UnitedHealth 60,105 2,736 1.52 12,987 7.21 Industrials Danaher 101,556 4,683 2.60 Hexcel 200,184 5,367 2.98 Roadrunner Transportation Systems 267,790 4,484 2.49 14,534 8.07 50

Ethical Fund Portfolio statement (continued) UNITED STATES (continued) 45.33 Oil & Gas Halliburton 79,699 2,556 1.42 2,556 1.42 Technology ANSYS 56,315 2,984 1.66 EMC 186,041 2,714 1.51 F5 Networks 56,014 2,823 1.57 Google 11,195 7,280 4.05 Solera 85,535 3,501 1.95 Teradata 116,976 3,270 1.82 22,572 12.56 TOTAL UNITED STATES 81,561 45.33 Investment assets 179,154 99.59 Net other assets 731 0.41 Total net assets 179,885 100.00 All investments are ordinary shares or stock units and are admitted to an official stock exchange listing unless otherwise stated. s are denominated in Sterling unless otherwise stated. Stocks shown as ADR's represent American Depositary Receipts. 51

Ethical Fund Statement of total return Income 30 November 2013 30 November 2012 Net capital gains 7,860 13,268 Revenue 760 1,123 Expenses (145) (124) Finance costs: Interest (1) (1) Net revenue before taxation 614 998 Taxation (81) (126) Net revenue after taxation 533 872 Total return before equalisation 8,393 14,140 Finance costs: Equalisation (30) (25) Change in net assets attributable to shareholders from investment activities 8,363 14,115 Statement of change in net assets attributable to shareholders 30 November 2013 30 November 2012 Opening net assets attributable to shareholders 182,313 154,661 Amounts receivable on issue of shares 3,505 10,043 Amounts payable on cancellation of shares (14,296) (13,916) (10,791) (3,873) Change in net assets attributable to shareholders from investment activities (see Statement of total return above) 8,363 14,115 Closing net assets attributable to shareholders 179,885 164,903 Comparative information is provided for the Statement of change in net assets attributable to shareholders. Since this information is for the prior interim period, the net assets at the end of that period do not correspond to the net assets at the start of the current period. 52

Ethical Fund Balance sheet (unaudited) 30 November 2013 31 May 2013 ASSETS Portfolio of investments 179,154 182,758 Debtors 309 449 Cash and bank balances 684 2,239 Total other assets 993 2,688 Total assets 180,147 185,446 LIABILITIES Creditors 262 918 Distribution payable on income shares - 2,215 Total other liabilities 262 3,133 Net assets attributable to shareholders 179,885 182,313 53

Fund of Investment Trusts Investment markets overview Investment objective The investment objective of the Fund of Investment Trusts is to achieve capital growth in the long term by investing mainly in investment trust companies. Investment policy To select investment trust companies which the managers believe are investing in attractive markets and having a manager expected to outperform the relevant asset category. The portfolio will also include trusts that are likely to benefit from reconstruction. UCITS scheme The Fund would qualify as a UCITS scheme operating under Chapter 5 of the COLL sourcebook if it were in itself an Open-Ended Investment Company in respect of which an authorisation order made by the FCA were in force. Not more than 10 the scheme property may consist of units in collective investment schemes. Synthetic risk and reward profile There are several different ways of measuring risk. The table below uses an industry standard measure of fund risk based on measuring a fund's volatility using its returns over the past five years. Volatility is generated by both rising and falling prices. Volatility doesn't tell you how much a fund has lost or gained; it indicates how volatile its returns were historically. The Fund's ranking may change over time and may not be a reliable indication of its future risk profile. This is a separate measure to the fund Risk Profiles we used to determine our investment portfolios (where we used our own methodology to take an overall look at the funds' risks and aims and group our funds into Cautious/Medium, Medium, Medium/Adventurous, Adventurous Profiles). This Fund is ranked at 6 because it has experienced high levels of volatility over the past 5 years. The synthetic risk and reward indicator shown above is accurate and there have been no changes to this ranking to date. Investment review Performance 01/06/13 01/06/12 01/06/11 01/06/10 01/06/09 01/06/08 to 30/11/13 to 31/05/13 to 31/05/12 to 31/05/11 to 31/05/10 to 31/05/09 % % % % % % Fund of Investment Trusts 4.55 28.54 (10.17) 24.78 25.86 (27.88) Benchmark* 3.40 29.80 (6.59) 15.72 26.40 (20.38) Source: Financial Express for Fund of Investment Trusts after 1 June 2013, Morningstar between 1 June 2011 and 31 May 2013 and Lipper for previous periods. Basis: Percentage growth, total return Share Class C (gross of tax and charges) at 12.00pm. *50% FTSE All Share Index and 50% FTSE World ex UK Index. Source: Scottish Widows Investment Partnership. Basis: Revenue reinvested and gross of expenses at close of business. Past performance is not a guide to future performance. The value of an investment and the revenue from it may go up and down and you may get back less than invested. 54

Fund of Investment Trusts Investment markets overview (continued) Investment review (continued) The period under review has been positive for the world s stock markets, with share prices rising over the course of the last six months. Actions by central banks have given investors the confidence to move away from the safe havens of cash and government bonds in favour of assets that carry a slightly higher level of risk. Investors were also energised by signs of improvement in the global economy. The Fund produced a gross return of 4.55% over the period. This compares to a benchmark* return of 3.40%. In the UK, the economy is performing better than many had forecast, with most areas on the rise. The housing sector in particular has rebounded strongly, leading many to fear a bubble may be forming. However, the Bank of England has acted, removing its Funding for Lending scheme for mortgage buyers. The Bank has also initiated forward guidance. This will see interest rates remain low until unemployment hits 7% (currently 7.4%). The pick up in the domestic economy was reflected in the strong performance of the Fund s small and mid cap-focussed holdings. Trusts such as BlackRock Smallers, Herald and Diverse Income were notable contributors to returns. We locked in profits in these and other UK-oriented funds and, as a result, net exposure to the UK market edged up only slightly during the period. Meanwhile, US equities underwent a period of volatility following the Federal Reserve s announcement that it plans to slow its current $85 billion a month quantitative easing programme. s surged towards the end of the period, however, reaching a series of record highs before closing for the Thanksgiving holiday. There was little movement in the Fund s US allocation during the period. Riverstone Energy, BACIT and JPMorgan Global Convertibles Income Fund, all of which were acquired via initial public offering (IPO) during the period, offer unique exposure to attractive asset classes with a focus on US securities. IPOs (and secondary fund raisings) were a particular feature of the six months under review, as investors sought higher returns than those available on bonds and cash. We participated in a number of issues with a focus on those funds which offer attractive yields, based on our view that this should help prevent them from trading at too wide a discount in the event of a market correction. European equities also delivered robust gains over the period. Forward-looking indicators have improved, but unemployment remains a concern, while credit conditions are poor. We took advantage of a narrowing of discounts to net asset value in a number of European funds to lock in profits but, even so, the Fund s European allocation increased modestly during the period. Elsewhere, Japanese stocks did well, partly on the back of Tokyo s successful bid for the 2020 Olympics. As a whole, emerging markets lagged behind their developed peers. We made a further reduction in BlackRock World Mining as part of a lessening of the Fund s emerging market exposure. After another good period for investors in investment trusts (buoyed by narrowing discounts and some IPO enthusiasm), it is natural to be a little cautious in terms of outlook. Nevertheless, equities continue to offer good value relative to bonds and cash. Stock market bulls will be further encouraged by the fact that we are starting to see a pick up in take-over activity. On balance, we feel it is appropriate to remain fully invested with a continuing focus on growth-oriented trusts, a stance that has served us well throughout the year. *50% FTSE All Share Index and 50% FTSE World ex UK Index. Scottish Widows Investment Partnership Limited December 2013 55

Fund of Investment Trusts Performance record Calendar Highest Lowest Net revenue year price price per share p p p 2008 Share Class A 524.78 292.89 6.0882 Share Class C 58.83 33.11 0.2210 Share Class F 26.05 14.69 0.1517 Share Class G 26.08 14.73 0.2008 Share Class I 525.71 292.87 8.0162 2009 Share Class A 435.57 278.57 6.3093 Share Class C 49.25 31.40 0.3527 Share Class F 21.90 13.94 0.1990 Share Class G 22.00 13.99 0.2455 Share Class I 436.27 278.94 8.1429 2010 Share Class A 534.92 416.91 5.8757 Share Class C 61.05 47.39 0.1546 Share Class F 27.23 21.09 0.1282 Share Class G 27.43 21.21 0.1859 Share Class I 535.13 417.26 8.1136 2011 Share Class A 560.43 457.62 6.0105 Share Class C 63.99 52.09 0.1073 Share Class F 28.57 23.28 0.1153 Share Class G 28.83 23.51 0.1820 Share Class I 560.66 458.43 8.5389 2012 Share Class A 535.68 476.01 8.1030 Share Class C 61.24 54.39 0.3569 Share Class F 27.46 24.32 0.2206 Share Class G 27.79 24.58 0.2864 Share Class I 536.24 476.21 10.5570 2013* Share Class A 651.60 538.70 8.8766 Share Class C 74.84 61.91 0.3746 Share Class F 33.61 27.75 0.2295 Share Class G 34.08 28.09 0.3071 Share Class I 653.00 538.90 11.6496 * Up to 30 November 2013. 56

Fund of Investment Trusts Performance record (continued) Net asset Net asset value of value Shares share class per share in issue p as at 31 May 2011 Share Class A 19,058,423 545.11 3,496,260 Share Class C 49,060,883 62.29 78,756,000 Share Class F 11,416,011 27.82 41,042,000 Share Class G 277,234 28.06 988,000 Share Class I 318,428,282 545.11 58,415,540 as at 31 May 2012 Share Class A 16,016,074 480.06 3,336,260 Share Class C 35,869,482 55.07 65,131,000 Share Class F 11,857,530 24.66 48,082,000 Share Class G 210,070 24.92 843,000 Share Class I 248,986,093 480.06 51,865,540 as at 31 May 2013 Share Class A 19,137,993 607.31 3,151,260 Share Class C 38,614,871 70.06 55,116,000 Share Class F 16,129,869 31.43 51,317,000 Share Class G 559,773 31.84 1,758,000 Share Class I 283,758,713 607.42 46,715,540 Share Class A 19,872,701 639.76 3,106,260 Share Class C 38,554,447 73.92 52,156,000 Share Class F 17,310,100 33.20 52,137,000 Share Class G 735,116 33.67 2,183,000 Share Class I 287,841,570 639.92 44,980,540 Ongoing charges figure The ongoing charges figure (OCF) is the total expenses paid by each share class for the period, annualised, against its average net asset value. It excludes the cost of buying or selling assets for the Fund (unless these assets are shares of another fund). The OCF can fluctuate as underlying costs change. as at 31 May 2013 % % Share Class A 0.50 0.50 Share Class C 1.51 1.51 Share Class F 1.26 1.26 Share Class G 1.01 1.01 Share Class I # 0.00 0.00 # Fees are payable by institutional investors in this share class to the ACD outside the Fund. 57

Fund of Investment Trusts Portfolio statement UNITED KINGDOM (99.97%, 31/05/2013 96.73%) 99.97 FINANCIALS (99.37%, 31/05/2013 96.05%) 99.37 Equity Investment Instruments Aberforth Smaller Companies Trust 360,894 3,685 1.01 Alliance Trust 638,571 2,858 0.78 BACIT 3,600,000 3,672 1.01 Baillie Gifford Japan Trust 385,000 1,397 0.38 Bankers Investment Trust 350,000 2,056 0.56 Biotech Growth Trust 1,483,415 6,434 1.77 BlackRock British Smaller Companies Trust 1,075,335 8,888 2.44 BlackRock Frontier Investment Trust 1,848,375 2,075 0.57 BlackRock Greater Europe Investment Trust 1,500,000 3,585 0.98 BlackRock Latin American Investment Trust 161,148 718 0.20 BlackRock World Mining Trust 975,643 4,380 1.20 British Empire Securities and General Trust 1,676,557 8,317 2.28 Caledonia Investments 122,981 2,344 0.64 Edinburgh Dragon Trust 839,867 2,164 0.59 Edinburgh UK Tracker Trust 1,738,584 5,372 1.47 Electra Private Equity 569,238 13,315 3.66 Finsbury Growth & Income Trust 2,035,000 10,114 2.78 Foreign & Colonial Investment Trust 3,676,587 13,887 3.81 Hansa Trust 140,000 1,198 0.33 Hansa Trust 'A' 663,917 5,643 1.55 Henderson Eurotrust 502,115 3,891 1.07 Henderson International Income Trust 2,000,000 2,020 0.55 Henderson Smaller Companies Investment Trust 700,000 3,602 0.99 Henderson Trust 2,625,039 6,589 1.81 Herald Investment Trust 1,052,137 7,297 2.00 HgCapital Trust 600,000 6,492 1.78 Invesco Asia Trust 2,400,000 3,888 1.07 JPMorgan American Investment Trust 943,884 11,185 3.07 JPMorgan Claverhouse Investment Trust 460,000 2,709 0.74 JPMorgan Emerging s Investment Trust 184,000 1,045 0.29 JPMorgan Japanese Investment Trust 3,160,000 7,552 2.07 JPMorgan Mid Cap Investment Trust 1,133,708 8,015 2.20 JPMorgan Overseas Investment Trust 591,800 5,613 1.54 JPMorgan Overseas Investment Trust Subscription Shares 118,360 56 0.02 Law Debenture Corporation 517,170 2,736 0.75 Martin Currie Portfolio Investment Trust 1,716,623 2,832 0.78 Mercantile Investment Trust 613,096 9,074 2.49 Monks Investment Trust 3,960,902 15,210 4.18 Murray International 614,082 6,411 1.76 North American Income Trust 1,620,000 13,851 3.80 Pantheon International Participations 298,912 3,079 0.85 Pantheon International Participations 'Redeemable' 158,662 1,579 0.43 Perpetual Income and Growth Investment Trust 1,000,000 3,626 1.00 Personal Assets Trust 20,216 6,590 1.81 Polar Capital Global Financials Trust 3,250,000 3,372 0.93 Polar Capital Global Financials Trust Subscription Shares 650,000 101 0.03 Polar Capital Technology Trust 375,000 1,778 0.49 Polar Capital Technology Trust Subscription Shares 75,000 10 0.00 RIT Capital Partners 466,039 5,807 1.59 Ruffer Investment 1,600,000 3,444 0.95 Schroder AsiaPacific Fund 2,657,539 6,569 1.80 58

Fund of Investment Trusts Portfolio statement (continued) UNITED KINGDOM (continued) 99.97 FINANCIALS (continued) 99.37 Equity Investment Instruments (continued) Schroder UK Growth Fund 4,505,000 8,402 2.31 Schroder UK Mid Cap Fund 1,037,879 4,746 1.30 Scottish American Investment Company 1,072,352 2,769 0.76 Scottish Investment Trust 1,337,217 7,896 2.17 Scottish Mortgage Investment Trust 1,211,754 12,178 3.34 Templeton Emerging s Investment Trust 1,061,054 5,820 1.60 The Edinburgh Investment Trust 216,075 1,283 0.35 The European Investment Trust 319,963 2,363 0.65 TR Property Investment Trust 3,330,872 7,484 2.05 Troy Income & Growth Trust 8,250,000 4,991 1.37 Witan Investment Trust 1,222,395 7,988 2.19 Worldwide Healthcare Trust 317,108 3,989 1.10 328,034 90.04 Financial Services Foresight Solar Fund 750,000 733 0.20 Impax Environmental s 1,768,114 2,586 0.71 LMS Capital 2,284,683 1,685 0.46 The Cayenne Trust 2,400,000 3,240 0.89 8,244 2.26 Non-Equity Investment Instruments Better Capital 3,500,000 3,833 1.05 Better Capital Fund II 2,146,605 3,274 0.90 BlackRock North American Income Trust 3,000,000 3,428 0.94 Damille Investment II* 3,200,000 2,976 0.82 Diverse Income Trust 9,583,700 7,571 2.08 Harbourvest Senior Loans Europe 1,000,000 410 0.11 JPMorgan Global Convertibles Income Fund 2,200,000 2,360 0.65 Riverstone Energy 200,000 1,906 0.52 25,758 7.07 TOTAL FINANCIALS 362,036 99.37 FIXED INCOME (0.60%, 31/05/2013 0.68%) 0.60 Electra Private Equity 5% Convertible Bond 2017 1,800 2,178 0.60 2,178 0.60 TOTAL FIXED INCOME 2,178 0.60 TOTAL UNITED KINGDOM 364,214 99.97 59

Fund of Investment Trusts Portfolio statement (continued) SWITZERLAND (0.14%, 31/05/2013 0.00%) 0.14 HEALTH CARE (0.14%, 31/05/2013 0.00%) 0.14 Pharmaceuticals & Biotechnology BB Biotech 5,300 508 0.14 508 0.14 TOTAL HEALTH CARE 508 0.14 TOTAL SWITZERLAND 508 0.14 DERIVATIVES ((0.01%), 31/05/2013 0.04%) (0.01) Forward Currency Contracts Bought USD6,523,600 for GBP4,095,488 Settlement 30/12/2013 0 (102) (0.02) Sold USD6,523,600 for GBP4,039,731 Settlement 30/12/2013 0 46 0.01 (56) (0.01) Futures Contracts FTSE 100 Index Futures December 2013 40 9 0.00 9 0.00 TOTAL DERIVATIVES (47) (0.01) Investment assets^ 364,675 100.10 Net other liabilities (361) (0.10) Total net assets 364,314 100.00 All investments are ordinary shares or stock units and are admitted to an official stock exchange listing unless otherwise stated. s are denominated in Sterling unless otherwise stated. ^ Including derivative liabilities. * Offshore Fund. 60

Fund of Investment Trusts Statement of total return Income 30 November 2013 30 November 2012 Net capital gains 18,705 24,682 Revenue 3,350 3,287 Expenses (445) (392) Finance costs: Interest (1) (3) Net revenue before taxation 2,904 2,892 Taxation - - Net revenue after taxation 2,904 2,892 Total return before distributions 21,609 27,574 Finance costs: Distributions (2,904) (2,892) Change in net assets attributable to shareholders from investment activities 18,705 24,682 Statement of change in net assets attributable to shareholders 30 November 2013 30 November 2012 Opening net assets attributable to shareholders 358,201 312,939 Amounts receivable on issue of shares 7,131 7,977 Amounts payable on cancellation of shares (19,844) (23,529) (12,713) (15,552) Stamp duty reserve tax (7) (7) Change in net assets attributable to shareholders from investment activities (see Statement of total return above) 18,705 24,682 Retained distributions on accumulation shares 128 157 Closing net assets attributable to shareholders 364,314 322,219 Comparative information is provided for the Statement of change in net assets attributable to shareholders. Since this information is for the prior interim period, the net assets at the end of that period do not correspond to the net assets at the start of the current period. 61

Fund of Investment Trusts Balance sheet (unaudited) 30 November 2013 31 May 2013 ASSETS Portfolio of investments 364,777 346,945 Debtors 3,169 1,372 Cash and bank balances 3,265 14,189 Total other assets 6,434 15,561 Total assets 371,211 362,506 LIABILITIES Derivative liabilities 102 320 Creditors 4,077 1,083 Distribution payable on income shares 2,718 2,902 Total other liabilities 6,795 3,985 Total liabilities 6,897 4,305 Net assets attributable to shareholders 364,314 358,201 62

Smaller Companies Fund Investment markets overview Investment objective The investment objective of the Smaller Companies Fund is to achieve long term capital growth through investing mainly in smaller companies, principally in the UK. Investment policy To concentrate the core of the portfolio on smaller companies with above average potential for growth. UCITS scheme The Fund would qualify as a UCITS scheme operating under Chapter 5 of the COLL sourcebook if it were in itself an Open-Ended Investment Company in respect of which an authorisation order made by the FCA were in force. Not more than 10 the scheme property may consist of units in collective investment schemes. Synthetic risk and reward profile There are several different ways of measuring risk. The table below uses an industry standard measure of fund risk based on measuring a fund's volatility using its returns over the past five years. Volatility is generated by both rising and falling prices. Volatility doesn't tell you how much a fund has lost or gained; it indicates how volatile its returns were historically. The Fund's ranking may change over time and may not be a reliable indication of its future risk profile. This is a separate measure to the fund Risk Profiles we used to determine our investment portfolios (where we used our own methodology to take an overall look at the funds' risks and aims and group our funds into Cautious/Medium, Medium, Medium/Adventurous, Adventurous Profiles). This Fund is ranked at 6 because it has experienced high levels of volatility over the past 5 years. The synthetic risk and reward indicator shown above is accurate and there have been no changes to this ranking to date. Investment review Performance 01/06/13 01/06/12 01/06/11 01/06/10 01/06/09 01/06/08 to 30/11/13 to 31/05/13 to 31/05/12 to 31/05/11 to 31/05/10 to 31/05/09 % % % % % % Smaller Companies Fund 12.55 39.37 (7.24) 27.21 30.43 (27.16) Benchmark* 14.43 39.31 (9.36) 22.10 21.06 (27.61) Source: Financial Express for Smaller Companies Fund after 1 June 2013, Morningstar between 1 June 2011 and 31 May 2013 and Lipper for previous periods. Basis: Percentage growth, total return Share Class C (gross of tax and charges) at 12.00pm. *Numis Smaller Companies ex Investment Trusts Index after 1 July 2012 and FTSE Smaller Companies ex Investment Trusts Index up to 30 June 2012. Source: Scottish Widows Investment Partnership. Basis: Revenue reinvested and gross of expenses at close of business. Past performance is not a guide to future performance. The value of an investment and the revenue from it may go up and down and you may get back less than invested. 63

Smaller Companies Fund Investment markets overview (continued) Investment review (continued) UK smaller companies delivered robust returns over the six month review period. Driving sentiment was the ongoing extraordinary support from the world s central banks and the improving economic landscape. In the former camp, the US Federal Reserve has been particularly active, buying $85 billion-a-month of bonds and other securities. This programme is designed to keep long-term interest rates subdued, while flooding the market with liquidity. As a result of these measures, equity markets in the developed world have been on a mostly upward trajectory as yield-hungry investors have sought superior returns. This policy has been so influential that fears that it could be curtailed or tapered created pockets of turbulence in the market throughout the review period. Indeed, shares dropped dramatically in June after the idea was first mooted by US Federal Reserve (Fed) Chairman Ben Bernanke. At the time of writing, Mr Bernanke announced that the scheme would be reduced by $10 billion a month, starting in January 2014. s took the news in their stride. Closer to home, the UK economic recovery is taking hold so confirmed an upbeat Mark Carney as he delivered his second quarterly Inflation Report as governor of the Bank of England (BoE). Growth was revised higher, with 1.6% now pencilled in for this year, up from the 1.4% predicted in August. Inflation, meanwhile, is under control. Small-caps, which tend to perform better when an economy is resurgent, were the main beneficiaries of this improving landscape. Turning to performance, a position in Sports Direct boosted the Fund s showing. The company s share price hit an all-time high after it announced excellent annual earnings and delivered an upbeat outlook statement. Elsewhere, fashion retailer Ted Baker also saw its shares in demand after delivering excellent first-half results. Pre-tax profits were almost double for the period, while sales were up a third year-on-year. The firm attributed the strong performance to its ongoing international expansion. Positions in Howden Joinery, Robert Walters and Topps Tiles also did well. By contrast, international recruitment firm SThree had a tough six months. Its stock sold off after the company updated the market with a disappointing set of results, with SThree reporting softness in the technology sector as a negative factor. Meanwhile, the Fund s lack of exposure to Atkins, BTG and Ocado Group relative to the benchmark was a drag on performance. The latter, an online grocer, saw its stock price soar on booming sales. Looking ahead, after several false starts the UK economy is finally gathering momentum, with growth in 2014 expected to reach a sevenyear high. We anticipate UK GDP of 2.4% next year, up from 1.4% in 2013. So far, the recovery has been narrowly focused on the consumer sector and housing market. A recent flattening off of retail sales points to continued pressure on household incomes from weak wage growth, emphasising the need for a broadening out of activity next year to investment and exports. Meanwhile, the BoE has launched forward guidance. This stipulates that rates will remain low until unemployment reaches 7%. But with the jobless rate falling faster than the Bank had forecast (currently 7.4%), some think this could arrive earlier than expected, thereby undermining the policy. That said, Mr Carney has said time and again that the 7% level was a way station at which point policy would be rethought, rather than an automatic trigger for action. Nonetheless, UK plc looks in good shape as we head into 2014. As for the portfolio, as we approached year-end we continued to take profits from those stocks that will no longer be constituents in the Numis Smaller Companies Index in 2014. To that end, we have sold our shareholdings in Close Brothers and Playtec. We are currently reviewing those stocks that will come into the benchmark index on 1 January 2014 in order to identify any undervalued companies. Scottish Widows Investment Partnership Limited December 2013 64

Smaller Companies Fund Performance record Calendar Highest Lowest Net revenue year price price per share p p p 2008 Share Class A 117.75 71.74 2.3216 Share Class C 49.49 30.48 0.6226 Share Class F 25.12 15.53 0.3521 Share Class G 25.13 15.48 0.3999 Share Class I 117.79 71.74 2.7401 Share Class SW1* 52.01 49.88 0.0408 2009 Share Class A 103.22 65.32 1.8527 Share Class C 44.36 27.82 0.4988 Share Class F 22.60 14.16 0.2913 Share Class G 22.22 13.91 0.3227 Share Class I 103.35 65.40 2.1937 Share Class SW1 72.24 45.32 0.8012 2010 Share Class A 120.60 99.79 2.1679 Share Class C 52.66 43.09 0.4888 Share Class F 26.92 21.97 0.3114 Share Class G 26.54 21.62 0.3571 Share Class I 120.65 99.88 2.6445 Share Class SW1 85.73 70.18 0.7484 2011 Share Class A 128.43 102.59 2.6551 Share Class C 56.33 44.82 0.6815 Share Class F 28.83 22.96 0.4080 Share Class G 28.45 22.68 0.4637 Share Class I 91.45 72.55 3.1709 Share Class SW1 128.49 102.79 0.9597 2012 Share Class A 134.60 106.37 2.7104 Share Class C 60.21 47.05 0.6877 Share Class F 30.94 24.12 0.4170 Share Class G 30.64 23.82 0.4773 Share Class I 134.70 76.18 3.2790 Share Class SW1 123.98 80.62 0.9711 2013** Share Class A 181.00 137.00 3.7635 Share Class C 81.22 61.27 1.0224 Share Class F 41.82 34.65 0.6040 Share Class G 41.50 31.18 0.6840 Share Class I 181.40 137.10 4.4941 Share Class SW1 131.50 99.08 1.7657 * From launch on 24 November 2008. ** Up to 30 November 2013. With effect from 6 December 2010, Clerical Medical (CM) Share Class 1 was rebranded Scottish Widows (SW) Share Class 1. 65

Smaller Companies Fund Performance record (continued) Net asset Net asset value of value Shares share class per share in issue p as at 31 May 2011 Share Class A 5,718,451 125.89 4,542,516 Share Class C 25,703,003 55.26 46,513,000 Share Class F 7,153,176 28.29 25,288,000 Share Class G 322,252 27.90 1,155,000 Share Class I 162,390,472 125.89 128,996,702 Share Class SW1 647,120 89.88 720,000 as at 31 May 2012 Share Class A 4,789,610 113.43 4,222,516 Share Class C 20,496,895 50.52 40,573,000 Share Class F 8,184,196 25.93 31,563,000 Share Class G 357,602 25.63 1,395,000 Share Class I 137,740,276 113.43 121,431,702 Share Class SW1 552,197 81.81 675,000 as at 31 May 2013 Share Class A 6,026,121 154.22 3,907,516 Share Class C 24,570,490 69.56 35,324,000 Share Class F 12,107,178 35.78 33,838,000 Share Class G 632,943 35.46 1,785,000 Share Class I 174,449,127 154.26 113,086,702 Share Class SW1 50,655 112.57 45,000 Share Class A 6,742,407 178.02 3,787,516 Share Class C 26,953,603 80.71 33,394,000 Share Class F 14,565,270 41.56 35,043,000 Share Class G 853,671 41.24 2,070,000 Share Class I 187,573,407 178.10 105,321,702 Share Class SW1 58,800 130.67 45,000 Ongoing charges figure The ongoing charges figure (OCF) is the total expenses paid by each share class for the period, annualised, against its average net asset value. It excludes the cost of buying or selling assets for the Fund (unless these assets are shares of another fund). The OCF can fluctuate as underlying costs change. as at 31 May 2013 % % Share Class A 0.50 0.50 Share Class C 1.51 1.51 Share Class F 1.26 1.26 Share Class G 1.01 1.01 Share Class I # 0.00 0.00 Share Class SW1 1.60 1.60 # Fees are payable by institutional investors in this share class to the ACD outside the Fund. 66

Smaller Companies Fund Portfolio statement UNITED KINGDOM (89.18%, 31/05/2013 90.30%) 89.18 BASIC MATERIALS (1.43%, 31/05/2013 0.06%) 1.43 Chemicals Victrex 209,470 3,396 1.43 3,396 1.43 TOTAL BASIC MATERIALS 3,396 1.43 CONSUMER GOODS (4.07%, 31/05/2013 5.87%) 4.07 Food Producers Cranswick 373,375 4,346 1.84 4,346 1.84 Household Goods & Home Construction Redrow 1,897,325 5,290 2.23 5,290 2.23 TOTAL CONSUMER GOODS 9,636 4.07 CONSUMER SERVICES (27.77%, 31/05/2013 26.43%) 27.77 Food & Drug Retailers Booker 1,900,406 3,151 1.33 3,151 1.33 General Retailers Dixons Retail 5,009,580 2,600 1.10 Howden Joinery 1,384,564 4,450 1.88 Lookers 3,100,761 3,791 1.60 Sports Direct International 341,992 2,529 1.07 Ted Baker 228,193 4,584 1.94 Topps Tiles 2,077,352 2,488 1.05 WH Smith 389,549 3,714 1.57 24,156 10.21 Media Chime Communications 871,664 2,706 1.14 Euromoney Institutional Investor 391,311 4,817 2.03 InternetQ 421,634 1,269 0.53 ITE 1,431,492 4,418 1.87 STV 587,620 1,792 0.75 15,002 6.32 Travel & Leisure Marston's 948,716 1,390 0.59 National Express 1,945,445 5,105 2.16 Restaurant 840,140 4,831 2.04 Spirit Pub 5,249,548 3,806 1.61 Sportech 2,408,404 2,053 0.87 Thomas Cook 2,299,878 4,066 1.72 William Hill 567,339 2,178 0.92 23,429 9.91 TOTAL CONSUMER SERVICES 65,738 27.77 67

Smaller Companies Fund Portfolio statement (continued) UNITED KINGDOM (continued) 89.18 FINANCIALS (15.65%, 31/05/2013 18.75%) 15.65 Financial Services F&C Asset Management 51,026 47 0.02 Jupiter Fund Management 955,206 3,741 1.58 Liontrust Asset Management 614,333 1,511 0.64 Paragon 1,763,741 6,161 2.60 11,460 4.84 Non-Life Insurance Novae 570,402 3,345 1.41 3,345 1.41 Real Estate Investment & Services Development Securities 742,107 1,679 0.71 Grainger 2,257,068 4,541 1.92 LSL Property Services 796,616 3,296 1.39 Savills 703,973 4,537 1.92 14,053 5.94 Real Estate Investment Trusts Hansteen 5,199,800 5,611 2.37 Shaftesbury 415,513 2,572 1.09 8,183 3.46 TOTAL FINANCIALS 37,041 15.65 HEALTH CARE (1.61%, 31/05/2013 1.74%) 1.61 Pharmaceuticals & Biotechnology Dechra Pharmaceuticals 556,712 3,805 1.61 3,805 1.61 TOTAL HEALTH CARE 3,805 1.61 INDUSTRIALS (27.61%, 31/05/2013 24.55%) 27.61 Construction & Materials Kier 348,250 6,161 2.60 6,161 2.60 Electronic & Electrical Equipment Acal 631,563 2,244 0.95 Domino Printing Sciences 331,420 2,303 0.97 E2V Technologies 1,465,585 2,250 0.95 TT electronics 1,776,839 3,496 1.48 Xaar 234,425 2,341 0.99 12,634 5.34 General Industrials RPC 963,844 4,824 2.04 4,824 2.04 68

Smaller Companies Fund Portfolio statement (continued) UNITED KINGDOM (continued) 89.18 INDUSTRIALS (continued) 27.61 Industrial Engineering Fenner 1,392,571 6,164 2.60 Melrose 1,526,226 4,475 1.89 Senior 1,301,459 3,759 1.59 14,398 6.08 Support Services Interserve 691,034 4,512 1.91 John Menzies 266,120 2,073 0.87 Lavendon 1,289,002 2,301 0.97 Northgate 766,371 3,142 1.33 PayPoint 409,691 4,318 1.82 Robert Walters 1,451,253 4,513 1.91 SIG 2,011,827 4,321 1.83 Sthree 664,238 2,165 0.91 27,345 11.55 TOTAL INDUSTRIALS 65,362 27.61 OIL & GAS (2.57%, 31/05/2013 2.85%) 2.57 Oil & Gas Producers Afren 1,114,861 1,812 0.77 EnQuest 3,091,835 4,251 1.80 6,063 2.57 TOTAL OIL & GAS 6,063 2.57 TECHNOLOGY (4.90%, 31/05/2013 4.42%) 4.90 Software & Computer Services Fidessa 157,584 3,344 1.41 Micro Focus International 585,792 4,748 2.00 8,092 3.41 Technology Hardware & Equipment Pace 1,109,576 3,522 1.49 3,522 1.49 TOTAL TECHNOLOGY 11,614 4.90 TELECOMMUNICATIONS (3.57%, 31/05/2013 5.63%) 3.57 Fixed Line Telecommunications Kcom 3,718,590 3,674 1.55 3,674 1.55 Mobile Telecommunications Carphone Warehouse 1,685,449 4,778 2.02 4,778 2.02 TOTAL TELECOMMUNICATIONS 8,452 3.57 TOTAL UNITED KINGDOM 211,107 89.18 69

Smaller Companies Fund Portfolio statement (continued) CANADA (0.44%, 31/05/2013 0.00%) 0.44 OIL & GAS (0.44%, 31/05/2013 0.00%) 0.44 Oil & Gas Producers Caracal Energy 244,013 1,057 0.44 1,057 0.44 TOTAL OIL & GAS 1,057 0.44 TOTAL CANADA 1,057 0.44 GUERNSEY (1.75%, 31/05/2013 2.87%) 1.75 FINANCIALS (0.85%, 31/05/2013 1.88%) 0.85 Financial Services Sherborne Investors (Guernsey) 'B' 2,226,127 2,004 0.85 2,004 0.85 TOTAL FINANCIALS 2,004 0.85 OIL & GAS (0.90%, 31/05/2013 0.99%) 0.90 Oil & Gas Producers Indus Gas 242,259 2,132 0.90 2,132 0.90 TOTAL OIL & GAS 2,132 0.90 TOTAL GUERNSEY 4,136 1.75 IRELAND (3.17%, 31/05/2013 1.65%) 3.17 CONSUMER GOODS (1.11%, 31/05/2013 0.00%) 1.11 Food Producers Greencore 1,374,142 2,622 1.11 2,622 1.11 TOTAL CONSUMER GOODS 2,622 1.11 INDUSTRIALS (2.06%, 31/05/2013 1.65%) 2.06 Support Services Grafton 782,020 4,872 2.06 4,872 2.06 TOTAL INDUSTRIALS 4,872 2.06 TOTAL IRELAND 7,494 3.17 ISLE OF MAN (0.18%, 31/05/2013 3.03%) 0.18 TECHNOLOGY (0.00%, 31/05/2013 2.53%) 0.00 70

Smaller Companies Fund Portfolio statement (continued) ISLE OF MAN (continued) 0.18 UTILITIES (0.18%, 31/05/2013 0.50%) 0.18 Electricity KSK Power Ventur 283,489 425 0.18 425 0.18 TOTAL UTILITIES 425 0.18 TOTAL ISLE OF MAN 425 0.18 JERSEY (3.35%, 31/05/2013 2.86%) 3.35 FINANCIALS (2.78%, 31/05/2013 2.86%) 2.78 Non-Life Insurance Beazley 2,674,416 6,592 2.78 6,592 2.78 TOTAL FINANCIALS 6,592 2.78 OIL & GAS (0.57%, 31/05/2013 0.00%) 0.57 Oil Equipment, Services & Distribution Cape 494,223 1,352 0.57 1,352 0.57 TOTAL OIL & GAS 1,352 0.57 TOTAL JERSEY 7,944 3.35 SINGAPORE (0.45%, 31/05/2013 0.00%) 0.45 INDUSTRIALS (0.45%, 31/05/2013 0.00%) 0.45 Electronic & Electrical Equipment XP Power 73,144 1,072 0.45 1,072 0.45 TOTAL INDUSTRIALS 1,072 0.45 TOTAL SINGAPORE 1,072 0.45 DERIVATIVES (0.01%, 31/05/2013 0.00%) 0.01 Future Contracts FTSE 250 Index Futures December 2013 14 27 0.01 27 0.01 TOTAL DERIVATIVES 27 0.01 Investment assets 233,262 98.53 Net other assets 3,485 1.47 Total net assets 236,747 100.00 All investments are ordinary shares or stock units and are admitted to an official stock exchange listing unless otherwise stated. s are denominated in Sterling unless otherwise stated. 71

Smaller Companies Fund Statement of total return Income 30 November 2013 30 November 2012 Net capital gains 33,330 23,126 Revenue 3,146 2,547 Expenses (297) (239) Finance costs: Interest - (1) Net revenue before taxation 2,849 2,307 Taxation - (4) Net revenue after taxation 2,849 2,303 Total return before distributions 36,179 25,429 Finance costs: Distributions (2,849) (2,303) Change in net assets attributable to shareholders from investment activities 33,330 23,126 Statement of change in net assets attributable to shareholders 30 November 2013 30 November 2012 Opening net assets attributable to shareholders 217,837 172,121 Amounts receivable on issue of shares 22,539 32,212 Amounts payable on cancellation of shares (37,214) (34,843) (14,675) (2,631) Stamp duty reserve tax (10) (17) Change in net assets attributable to shareholders from investment activities (see Statement of total return above) 33,330 23,126 Retained distributions on accumulation shares 265 206 Closing net assets attributable to shareholders 236,747 192,805 Comparative information is provided for the Statement of change in net assets attributable to shareholders. Since this information is for the prior interim period, the net assets at the end of that period do not correspond to the net assets at the start of the current period. 72

Smaller Companies Fund Balance sheet (unaudited) 30 November 2013 31 May 2013 ASSETS Portfolio of investments 233,262 219,381 Debtors 1,538 1,093 Cash and bank balances 5,691 1,863 Total other assets 7,229 2,956 Total assets 240,491 222,337 LIABILITIES Creditors 1,323 1,868 Distribution payable on income shares 2,421 2,632 Total other liabilities 3,744 4,500 Net assets attributable to shareholders 236,747 217,837 73

Special Situations Fund Investment markets overview Investment objective The investment objective of the Special Situations Fund is to achieve capital growth by active investment in UK companies with above average potential for growth. Investment policy To select and actively manage a portfolio of large, medium and small sized companies with above average potential for capital growth. Advantage will be taken of opportunities offered by management pressures, recovery situations and market anomalies. UCITS scheme The Fund would qualify as a UCITS scheme operating under Chapter 5 of the COLL sourcebook if it were in itself an Open-Ended Investment Company in respect of which an authorisation order made by the FCA were in force. Not more than 10 the scheme property may consist of units in collective investment schemes. Synthetic risk and reward profile There are several different ways of measuring risk. The table below uses an industry standard measure of fund risk based on measuring a fund's volatility using its returns over the past five years. Volatility is generated by both rising and falling prices. Volatility doesn't tell you how much a fund has lost or gained; it indicates how volatile its returns were historically. The Fund's ranking may change over time and may not be a reliable indication of its future risk profile. This is a separate measure to the fund Risk Profiles we used to determine our investment portfolios (where we used our own methodology to take an overall look at the funds' risks and aims and group our funds into Cautious/Medium, Medium, Medium/Adventurous, Adventurous Profiles). This Fund is ranked at 6 because it has experienced high levels of volatility over the past 5 years. The synthetic risk and reward indicator shown above is accurate and there have been no changes to this ranking to date. Investment review Performance 01/06/13 01/06/12 01/06/11 01/06/10 01/06/09 01/06/08 to 30/11/13 to 31/05/13 to 31/05/12 to 31/05/11 to 31/05/10 to 31/05/09 % % % % % % Special Situations Fund 4.95 25.24 (16.99) 26.84 20.51 (26.72) FTSE All Share Index 3.84 30.11 (8.00) 19.57 23.03 (23.37) Source: Financial Express for Special Situations Fund and FTSE All Share Index after 1 June 2013, Morningstar between 1 June 2011 and 31 May 2013 and Lipper for previous periods. Basis: For Special Situations Fund, percentage growth, total return Share Class C (gross of tax and charges) at 12.00pm. Basis: For FTSE All Share Index, revenue reinvested and gross of expenses at close of business. Past performance is not a guide to future performance. The value of an investment and the revenue from it may go up and down and you may get back less than invested. 74

Special Situations Fund Investment markets overview (continued) Investment review (continued) UK equity markets recorded modest gains over the period, with the FTSE up a mere 1%. Sentiment has been driven by extremely accommodative central bank monetary policy (such as quantitative easing, historically low interest rates, etc.) and improving economic conditions. In the former camp, the US Federal Reserve (Fed) has been particularly active, buying $85 billion-a-month of bonds and other securities. This programme is designed to keep long-term interest rates subdued, while flooding the market with liquidity. As a result of these measures, equity markets in the developed world have been on a mostly upward trajectory as yield-hungry investors have sought superior returns. This policy has been so influential that fears that it could be curtailed or tapered created pockets of turbulence in the market throughout the review period. Indeed, shares dropped dramatically in June after tapering was first mooted by Fed Chairman Ben Bernanke. Closer to home, the UK economic recovery is taking hold so confirmed an upbeat Mark Carney as he delivered his second quarterly Inflation Report as governor of the Bank of England (BoE). Growth was revised higher, with 1.6% now pencilled in for this year, up from the 1.4% predicted in August. Inflation, meanwhile, is under control. On the markets, consumer discretionaries had a good second half of 2013. By contrast, mining and industrial metal firms struggled. Turning to the portfolio, programme maker and broadcaster ITV continued its remarkable turnaround since its low point in March 2009. The firm is starting to find success with its production business, ITV Studios, which is internationalising ITV s revenues and reducing the company s reliance on cyclical advertising. Elsewhere, a holding in GKN, the car and aerospace engineer, did well. The company delivered better-than-expected profits for the second quarter, prompting a series of upgrades. Other highlights included Whitbread and Resolution. By contrast, KSK Power and Great Eastern Energy had another difficult six months thanks to ongoing challenges in the domestic Indian power market. Meanwhile, our relative lack of exposure to Vodafone was a negative for the portfolio. Shares in the firm climbed strongly after it announced it was selling its US wireless stake to partner Verizon for $124 billion. Looking ahead, while equity markets have struggled to push meaningfully higher in recent months, they are still predominantly in economic-recovery mode. Indeed, latest surveys suggest the UK economy is gaining momentum. Corporate confidence is also strengthening, as surveys report an improving export outlook (helped by the EU finally exiting recession) and increasing investment intentions. There is talk that some cyclical stocks may have run a bit too far and that valuations are becoming stretched. Investors, though, are loath to miss the next leg of the rally, which continues to drive momentum. As for Fed tapering, at the time of writing Mr Bernanke announced that the scheme would be reduced by $10 billion-a-month, starting January 2014. s took the news in their stride. In general, we remain relatively upbeat about the prospects for UK markets. That said, the economic landscape remains fragile and susceptible to shocks. As such, clear communication from the world s central bankers will remain of primary importance into 2014. Scottish Widows Investment Partnership Limited December 2013 75

Special Situations Fund Performance record Calendar Highest Lowest Net revenue year price price per share p p p 2008 Share Class A 156.79 84.66 4.0328 Share Class C 41.19 22.61 0.6803 Share Class F 26.09 14.36 0.2852 Share Class G 26.09 14.40 0.3107 Share Class I 157.21 84.87 4.7136 Share Class SW1* 55.73 50.00 0.0000 2009 Share Class A 125.98 79.19 3.7241 Share Class C 34.57 21.06 0.7697 Share Class F 21.97 13.38 0.5184 Share Class G 22.07 13.42 0.5572 Share Class I 126.23 79.53 4.1563 Share Class SW1 73.56 44.63 0.7414 2010 Share Class A 140.23 111.98 3.2764 Share Class C 39.13 31.42 0.5800 Share Class F 24.95 20.00 0.4162 Share Class G 25.11 20.11 0.4683 Share Class I 140.53 112.03 3.8271 Share Class SW1 83.28 66.86 1.1730 2011 Share Class A 150.60 117.52 3.0715 Share Class C 41.93 33.31 0.4850 Share Class F 26.73 21.25 0.3703 Share Class G 26.92 21.42 0.4317 Share Class I 89.14 70.80 3.7405 Share Class SW1 151.03 117.64 0.9648 2012 Share Class A 135.06 116.71 2.8068 Share Class C 38.42 33.47 0.4302 Share Class F 24.64 21.39 0.3375 Share Class G 24.92 21.60 0.3982 Share Class I 135.00 71.07 3.4473 Share Class SW1 135.46 71.38 0.8505 2013** Share Class A 150.80 135.00 3.9106 Share Class C 43.84 38.70 0.7353 Share Class F 28.17 24.82 0.5319 Share Class G 28.55 25.11 0.6000 Share Class I 151.40 135.10 4.5764 Share Class SW1 93.12 82.27 1.4821 * From launch on 24 November 2008. ** Up to 30 November 2013. With effect from 6 December 2010, Clerical Medical (CM) Share Class 1 was rebranded Scottish Widows (SW) Share Class 1. 76

Special Situations Fund Performance record (continued) Net asset Net asset value of value Shares share class per share in issue p as at 31 May 2011 Share Class A 6,005,331 146.08 4,111,123 Share Class C 65,580,702 41.44 158,258,000 Share Class F 16,263,633 26.45 61,484,000 Share Class G 367,754 26.65 1,380,000 Share Class I 139,824,581 146.08 95,720,877 Share Class SW1 52,905 88.18 60,000 as at 31 May 2012 Share Class A 4,599,353 117.30 3,921,123 Share Class C 45,333,049 33.68 134,618,000 Share Class F 16,243,632 21.57 75,309,000 Share Class G 386,683 21.78 1,775,000 Share Class I 102,864,566 117.30 87,695,877 Share Class SW1 53,730 71.64 75,000 as at 31 May 2013 Share Class A 5,333,585 143.53 3,716,123 Share Class C 48,515,011 41.90 115,783,000 Share Class F 22,303,824 26.90 82,904,000 Share Class G 794,011 27.24 2,915,000 Share Class I 114,634,157 143.59 79,835,877 Share Class SW1 31,165 89.04 35,000 Share Class A 5,453,614 148.76 3,666,123 Share Class C 47,445,821 43.21 109,808,000 Share Class F 23,671,706 27.77 85,229,000 Share Class G 1,009,382 28.16 3,585,000 Share Class I 115,741,999 149.18 77,585,877 Share Class SW1 32,122 91.78 35,000 Ongoing charges figure The ongoing charges figure (OCF) is the total expenses paid by each share class for the period, annualised, against its average net asset value. It excludes the cost of buying or selling assets for the Fund (unless these assets are shares of another fund). The OCF can fluctuate as underlying costs change. as at 31 May 2013 % % Share Class A 0.50 0.50 Share Class C 1.51 1.51 Share Class F 1.26 1.26 Share Class G 1.01 1.01 Share Class I # 0.00 0.00 Share Class SW1 1.60 1.60 # Fees are payable by institutional investors in this share class to the ACD outside the Fund. 77

Special Situations Fund Portfolio statement UNITED KINGDOM (78.07%, 31/05/2013 74.20%) 78.07 BASIC MATERIALS (6.12%, 31/05/2013 2.68%) 6.12 Chemicals Johnson Matthey 188,515 6,008 3.11 6,008 3.11 Mining Rio Tinto 176,776 5,817 3.01 5,817 3.01 TOTAL BASIC MATERIALS 11,825 6.12 CONSUMER GOODS (6.05%, 31/05/2013 12.20%) 6.05 Automobiles & Parts GKN 882,006 3,330 1.72 3,330 1.72 Beverages Diageo 50,000 980 0.51 980 0.51 Household Goods & Home Construction Berkeley 195,472 4,594 2.38 4,594 2.38 Personal Goods Burberry 181,993 2,792 1.44 2,792 1.44 TOTAL CONSUMER GOODS 11,696 6.05 CONSUMER SERVICES (13.66%, 31/05/2013 10.86%) 13.66 General Retailers Next 80,447 4,424 2.29 Sports Direct International 348,227 2,575 1.33 6,999 3.62 Media ITV 2,333,123 4,459 2.31 Reed Elsevier 577,995 5,109 2.64 9,568 4.95 Travel & Leisure easyjet 303,776 4,344 2.25 Whitbread 154,069 5,499 2.84 9,843 5.09 TOTAL CONSUMER SERVICES 26,410 13.66 FINANCIALS (18.46%, 31/05/2013 12.74%) 18.46 Banks Barclays 2,794,477 7,597 3.93 HSBC 1,213,085 8,276 4.28 15,873 8.21 78

Special Situations Fund Portfolio statement (continued) UNITED KINGDOM (continued) 78.07 FINANCIALS (continued) 18.46 Financial Services F&C Asset Management 1,139,374 1,060 0.55 Tullett Prebon 456,896 1,515 0.78 2,575 1.33 Life Insurance Legal & General 1,716,867 3,674 1.90 Prudential 509,451 6,658 3.44 10,332 5.34 Non-Life Insurance RSA Insurance 3,343,642 3,554 1.84 3,554 1.84 Real Estate Investment Trusts Hammerson 654,735 3,365 1.74 3,365 1.74 TOTAL FINANCIALS 35,699 18.46 HEALTH CARE (8.58%, 31/05/2013 11.62%) 8.58 Pharmaceuticals & Biotechnology AstraZeneca 148,233 5,162 2.67 GlaxoSmithKline 706,573 11,422 5.91 16,584 8.58 TOTAL HEALTH CARE 16,584 8.58 INDUSTRIALS (8.72%, 31/05/2013 9.25%) 8.72 Aerospace & Defence BAE Systems 1,053,582 4,561 2.36 Meggitt 533,403 2,658 1.37 7,219 3.73 Industrial Engineering IMI 188,128 2,779 1.44 Melrose Industries 1,223,613 3,588 1.86 6,367 3.30 Support Services Travis Perkins 182,471 3,272 1.69 3,272 1.69 TOTAL INDUSTRIALS 16,858 8.72 79

Special Situations Fund Portfolio statement (continued) UNITED KINGDOM (continued) 78.07 OIL & GAS (7.34%, 31/05/2013 12.25%) 7.34 Oil & Gas Producers BG 531,518 6,705 3.47 Black Lion Resources* 33,264-0.00 Royal Dutch Shell 'B' 348,716 7,485 3.87 14,190 7.34 TOTAL OIL & GAS 14,190 7.34 TECHNOLOGY (1.39%, 31/05/2013 0.00%) 1.39 Technology Hardware & Equipment ARM 262,253 2,683 1.39 2,683 1.39 TOTAL TECHNOLOGY 2,683 1.39 TELECOMMUNICATIONS (4.44%, 31/05/2013 0.00%) 4.44 Fixed Line Telecommunications BT 2,288,680 8,587 4.44 8,587 4.44 TOTAL TELECOMMUNICATIONS 8,587 4.44 UTILITIES (3.31%, 31/05/2013 2.60%) 3.31 Electricity Drax 923,360 6,390 3.31 6,390 3.31 TOTAL UTILITIES 6,390 3.31 TOTAL UNITED KINGDOM 150,922 78.07 GUERNSEY (5.27%, 31/05/2013 11.41%) 5.27 FINANCIALS (1.49%, 31/05/2013 4.72%) 1.49 Financial Services Sherborne Investors (Guernsey) 'A' 3,073 12 0.01 12 0.01 Life Insurance Resolution 835,771 2,871 1.48 2,871 1.48 TOTAL FINANCIALS 2,883 1.49 OIL & GAS (3.78%, 31/05/2013 3.87%) 3.78 Oil & Gas Producers Indus Gas 830,346 7,307 3.78 7,307 3.78 TOTAL OIL & GAS 7,307 3.78 80

Special Situations Fund Portfolio statement (continued) GUERNSEY (continued) 5.27 TECHNOLOGY (0.00%, 31/05/2013 2.82%) 0.00 TOTAL GUERNSEY 10,190 5.27 INDIA (1.04%, 31/05/2013 1.69%) 1.04 OIL & GAS (1.04%, 31/05/2013 1.69%) 1.04 Oil & Gas Producers Great Eastern Energy GDR 1,218,930 2,011 1.04 2,011 1.04 TOTAL OIL & GAS 2,011 1.04 TOTAL INDIA 2,011 1.04 ISLE OF MAN (1.13%, 31/05/2013 2.91%) 1.13 UTILITIES (1.13%, 31/05/2013 2.91%) 1.13 Electricity KSK Power Ventur 1,460,994 2,191 1.13 2,191 1.13 TOTAL UTILITIES 2,191 1.13 TOTAL ISLE OF MAN 2,191 1.13 JERSEY (11.97%, 31/05/2013 10.68%) 11.97 BASIC MATERIALS (0.00%, 31/05/2013 3.78%) 0.00 CONSUMER SERVICES (3.84%, 31/05/2013 2.06%) 3.84 Media WPP 547,041 7,429 3.84 7,429 3.84 TOTAL CONSUMER SERVICES 7,429 3.84 FINANCIALS (1.46%, 31/05/2013 1.47%) 1.46 Real Estate Investment Trusts LXB Retail Properties 2,352,139 2,823 1.46 2,823 1.46 TOTAL FINANCIALS 2,823 1.46 HEALTH CARE (3.80%, 31/05/2013 0.00%) 3.80 Pharmaceuticals & Biotechnology Shire 267,501 7,354 3.80 7,354 3.80 TOTAL HEALTH CARE 7,354 3.80 81

Special Situations Fund Portfolio statement (continued) JERSEY (continued) 11.97 INDUSTRIALS (1.33%, 31/05/2013 1.18%) 1.33 Construction & Materials Breedon Aggregates 7,085,297 2,568 1.33 2,568 1.33 TOTAL INDUSTRIALS 2,568 1.33 OIL & GAS (1.54%, 31/05/2013 2.19%) 1.54 Oil & Gas Producers Genel Energy 284,026 2,988 1.54 2,988 1.54 TOTAL OIL & GAS 2,988 1.54 TOTAL JERSEY 23,162 11.97 Investment assets 188,476 97.48 Net other assets 4,879 2.52 Total net assets 193,355 100.00 All investments are ordinary shares or stock units and are admitted to an official stock exchange listing unless otherwise stated. s are denominated in Sterling unless otherwise stated. Stock shown as GDR's represent Global Depositary Receipts. * Suspended security. 82

Special Situations Fund Statement of total return Income 30 November 2013 30 November 2012 Net capital gains 4,838 18,823 Revenue 2,323 2,632 Expenses (521) (483) Net revenue before taxation 1,802 2,149 Taxation (4) - Net revenue after taxation 1,798 2,149 Total return before equalisation 6,636 20,972 Finance costs: Equalisation (33) (60) Change in net assets attributable to shareholders from investment activities 6,603 20,912 Statement of change in net assets attributable to shareholders 30 November 2013 30 November 2012 Opening net assets attributable to shareholders 191,612 169,481 Amounts receivable on issue of shares 5,661 5,334 Amounts payable on cancellation of shares (10,516) (11,758) (4,855) (6,424) Stamp duty reserve tax (5) (8) Change in net assets attributable to shareholders from investment activities (see Statement of total return above) 6,603 20,912 Closing net assets attributable to shareholders 193,355 183,961 Comparative information is provided for the Statement of change in net assets attributable to shareholders. Since this information is for the prior interim period, the net assets at the end of that period do not correspond to the net assets at the start of the current period. 83

Special Situations Fund Balance sheet (unaudited) 30 November 2013 31 May 2013 ASSETS Portfolio of investments 188,476 193,310 Debtors 675 1,033 Cash and bank balances 4,868 1,575 Total other assets 5,543 2,608 Total assets 194,019 195,918 LIABILITIES Creditors 664 507 Distribution payable on income shares - 3,799 Total other liabilities 664 4,306 Net assets attributable to shareholders 193,355 191,612 84

Distribution tables Cautious Managed Fund Gross revenue Tax credit Net revenue Equalisation Distribution payable Distribution paid 31 Jan 2014 31 Jan 2014 31 Jan 2014 31 Jan 2014 31 Jan 2014 31 Jan 2013 pence per share pence per share pence per share pence per share pence per share pence per share Interim Distribution Group 1: Shares purchased prior to 1 June 2013 Group 2: Shares purchased on or after 1 June 2013 Share Class C Group 1 0.4190 0.0419 0.3771-0.3771 0.3595 Group 2 0.2167 0.0217 0.1950 0.1821 0.3771 0.3595 Share Class F Group 1 0.3974 0.0397 0.3577-0.3577 0.3389 Group 2 0.2034 0.0203 0.1831 0.1746 0.3577 0.3389 Share Class G Group 1 0.4377 0.0438 0.3939-0.3939 0.3710 Group 2 0.2059 0.0206 0.1853 0.2086 0.3939 0.3710 Share Class I Group 1 0.7392 0.0739 0.6653-0.6653 0.6152 Group 2 0.4612 0.0461 0.4151 0.2502 0.6653 0.6152 The above distributions for share classes C, F, G and I will be accumulated to the capital of the Fund on or before 31 January 2014. Corporate Tax A shareholder liable to corporation tax receives this distribution, excluding equalisation, as follows: 61.87 the dividend together with the tax credit is received as franked investment income. 38.13 the dividend is received as an annual payment (non foreign element) received after the deduction of income tax at the lower rate and is liable to corporation tax. The tax deemed to be deducted is treated as income tax. 0.00 the dividend is received as an annual payment (foreign element) received after the deduction of income tax at the lower rate and is liable to corporation tax. It is treated as foreign income in the hands of the corporate investor and is liable to corporation tax. The associated deemed tax is treated as foreign tax in the hands of the investor, who may be able to claim double tax relief. Investors cannot reclaim any of this deemed tax on the foreign element from HM Revenue & Customs. 85

Distribution tables (continued) Fund of Investment Trusts Gross revenue Tax credit Net revenue Equalisation Distribution payable Distribution paid 31 Jan 2014 31 Jan 2014 31 Jan 2014 31 Jan 2014 31 Jan 2014 31 Jan 2013 pence per share pence per share pence per share pence per share pence per share pence per share Interim Distribution Group 1: Shares purchased prior to 1 June 2013 Group 2: Shares purchased on or after 1 June 2013 Share Class A Group 1 4.7160 0.4716 4.2444-4.2444 3.9272 Group 2 2.2793 0.2279 2.0514 2.1930 4.2444 3.9272 Share Class C Group 1 0.1546 0.0155 0.1391-0.1391 0.1713 Group 2 0.0411 0.0041 0.0370 0.1021 0.1391 0.1713 Share Class F Group 1 0.1102 0.0110 0.0992-0.0992 0.1037 Group 2 0.0402 0.0040 0.0362 0.0630 0.0992 0.1037 Share Class G Group 1 0.1560 0.0156 0.1404-0.1404 0.1380 Group 2 0.0621 0.0062 0.0559 0.0845 0.1404 0.1380 Share Class I Group 1 6.3896 0.6390 5.7506-5.7506 5.1169 Group 2 3.4700 0.3470 3.1230 2.6276 5.7506 5.1169 The above distributions for share classes C, F and G will be accumulated to the capital of the Fund on or before 31 January 2014. The above distributions for share classes A and I will be payable on or before 31 January 2014. Corporate Tax A shareholder liable to corporation tax receives this distribution, excluding equalisation, as follows: 100.00 the dividend together with the tax credit is received as franked investment income. 0.00 the dividend is received as an annual payment (non foreign element) received after the deduction of income tax at the lower rate and is liable to corporation tax. The tax deemed to be deducted is treated as income tax. 0.00 the dividend is received as an annual payment (foreign element) received after the deduction of income tax at the lower rate and is liable to corporation tax. It is treated as foreign income in the hands of the corporate investor and is liable to corporation tax. The associated deemed tax is treated as foreign tax in the hands of the investor, who may be able to claim double tax relief. Investors cannot reclaim any of this deemed tax on the foreign element from HM Revenue & Customs. 86

Distribution tables (continued) Smaller Companies Fund Gross revenue Tax credit Net revenue Equalisation Distribution payable Distribution paid 31 Jan 2014 31 Jan 2014 31 Jan 2014 31 Jan 2014 31 Jan 2014 31 Jan 2013 pence per share pence per share pence per share pence per share pence per share pence per share Interim Distribution Group 1: Shares purchased prior to 1 June 2013 Group 2: Shares purchased on or after 1 June 2013 Share Class A Group 1 2.0463 0.2046 1.8417-1.8417 1.3938 Group 2 1.2491 0.1249 1.1242 0.7175 1.8417 1.3938 Share Class C Group 1 0.5242 0.0524 0.4718-0.4718 0.3487 Group 2 0.2457 0.0246 0.2211 0.2507 0.4718 0.3487 Share Class F Group 1 0.3166 0.0317 0.2849-0.2849 0.2115 Group 2 0.1557 0.0156 0.1401 0.1448 0.2849 0.2115 Share Class G Group 1 0.3644 0.0364 0.3280-0.3280 0.2440 Group 2 0.1622 0.0162 0.1460 0.1820 0.3280 0.2440 Share Class I Group 1 2.4810 0.2481 2.2329-2.2329 1.6935 Group 2 1.3061 0.1306 1.1755 1.0574 2.2329 1.6935 Share Class SW1 Group 1 0.8964 0.0896 0.8068-0.8068 0.4750 Group 2 0.8964 0.0896 0.8068 0.0000 0.8068 0.4750 The above distributions for share classes C, F, G and SW1 will be accumulated to the capital of the Fund on or before 31 January 2014. The above distributions for share classes A and I will be payable on or before 31 January 2014. Corporate Tax A shareholder liable to corporation tax receives this distribution, excluding equalisation, as follows: 100.00 the dividend together with the tax credit is received as franked investment income. 0.00 the dividend is received as an annual payment (non foreign element) received after the deduction of income tax at the lower rate and is liable to corporation tax. The tax deemed to be deducted is treated as income tax. 0.00 the dividend is received as an annual payment (foreign element) received after the deduction of income tax at the lower rate and is liable to corporation tax. It is treated as foreign income in the hands of the corporate investor and is liable to corporation tax. The associated deemed tax is treated as foreign tax in the hands of the investor, who may be able to claim double tax relief. Investors cannot reclaim any of this deemed tax on the foreign element from HM Revenue & Customs. 87

Additional Information HBOS Specialised Investment Funds ICVC is an Open-Ended Investment Company with variable capital and the shareholders are not liable for the debts of the Company. Where applicable, Scottish Widows Share Class 1 is referenced as SW1. In the future there may be other Funds launched. The Prospectus and the Instrument of Incorporation of the Company are available from the ACD upon request. The value of an investment and the revenue from it may go up and down and you may get back less than invested. Past performance is not a guide to future performance. This Report and Financial Statements should not be regarded as an offer to sell or an invitation to buy investment products. Directory HBOS Specialised Investment Funds ICVC Trinity Road Halifax West Yorkshire HX1 2RG Authorised Corporate Director (ACD) and Registrar* Depositary* HBOS Investment Fund Managers Limited Trinity Road Halifax West Yorkshire HX1 2RG Regulatory Body The Financial Conduct Authority 25 The North Colonnade Canary Wharf London E14 5HS Investment Adviser* Scottish Widows Investment Partnership Limited 33 Old Broad Street London EC2N 1HZ Address of Register of Shareholders HBOS Investment Fund Managers Limited 1 Lovell Park Road Leeds West Yorkshire LS1 1NS State Street Trustees Limited 20 Churchill Place Canary Wharf London E14 5HJ Auditors PricewaterhouseCoopers LLP Erskine House 68-73 Queen Street Edinburgh EH2 4NH Investment Adviser* 0 * Authorised and regulated by the Financial Conduct Authority. 88

HBOS Investment Fund Managers Limited (Registered in England No. 941082). Registered Office: Trinity Road, Halifax, West Yorkshire HX1 2RG. Authorised and regulated by the Financial Services Authority. HBOS Investment Fund Managers Limited. Registered Office: Trinity Road, Halifax, West Yorkshire HX1 2RG. Registered in England No. 941082. 12345 RANDA 09/11 Authorised and regulated by the Financial Conduct Authority, 25 The North Colonnade, Canary Wharf, London, E14 5HS. 49130 RANDA 01/14