2016 ANNUAL REPORT AND AUDITED FINANCIAL STATEMENTS ... 2016 ANNUAL REPORT AND AUDITED FINANCIAL STATEMENTS ... 2 Background to the ... United States of America UniCredit Bank Austria

2016 ANNUAL REPORT AND AUDITED FINANCIAL STATEMENTS

30 June 2016

Russell Absolute Return Equity Fund

Russell Alpha Fund

Russell Multi Strategy Volatility Fund

Russell Global Regional Equity Fund

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

Russell Investment Company IV plc

Contents

Contents

Administration of the Company .................................................................................................................................... 2 Background to the Company ....................................................................................................................................... 4 Directors’ Report .......................................................................................................................................................... 5 Depositary’s Report ..................................................................................................................................................... 8 Independent Auditors’ Report ...................................................................................................................................... 9 Combined Statements ................................................................................................................................................. 12 Russell Absolute Return Equity Fund ......................................................................................................................... 15 Russell Alpha Fund ..................................................................................................................................................... 20 Russell Multi Strategy Volatility Fund .......................................................................................................................... 41 Russell Global Regional Equity Fund ........................................................................................................................... 55 Notes to the Financial Statements .............................................................................................................................. 78 Supplementary Information – Remuneration Policy of the Manager (Unaudited) ....................................................... 106


Administration of the Company

2 Administration of the Company

Board of Directors of the Company* Global Sub-Custodian

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

Mr. James Beveridge Copley Place

Mr. Peter Gonella 100 Huntington Avenue

Mr. Neil Jenkins Boston, MA 02116

Mr. John McMurray United States of America

Mr. Tom Murray

Mr. William Roberts Company Secretary

Mr. David Shubotham MFD Secretaries Limited

Mr. Kenneth Willman 2nd Floor, Beaux Lane House

Mercer Street Lower

Members of the Manager’s Audit Committee Dublin 2

Mr. David Shubotham (Chairman) Ireland

Mr. Tom Murray

Mr. William Roberts Adviser, Distributor and UK Facilities Agent

Russell Investments Limited

Registered Office Rex House

78 Sir John Rogerson’s Quay 10 Regent Street, St James’

Dublin 2 London SW1Y 4PE

Ireland England

Manager Money Managers for Russell Alpha Fund

Russell Investments Ireland Limited Alken Asset Management, LLP

78 Sir John Rogerson’s Quay Floor 3, 61 Conduit Street

Dublin 2 London W1S 2GB

Ireland England

Independent Auditors Hermes Sourcecap International, LLP

PricewaterhouseCoopers 1 Portsoken Street

Chartered Accountants and Statutory Audit Firm London E1 8HZ

One Spencer Dock England

North Wall Quay

Dublin 1 Kopernik Global Investors, LLC

Ireland 302 Knights Run Avenue

Tampa, FL 33602

Legal Adviser United States of America

Maples and Calder

75 St. Stephen’s Green Lazard Japan Asset Management K.K.

Dublin 2 30 Rockefeller Plaza, 57th Floor

Ireland New York, NY 10112

United States of America

Administrator

State Street Fund Services (Ireland) Limited Levin Capital Strategies, L.P.

78 Sir John Rogerson’s Quay 595 Madison Avenue

Dublin 2 New York, NY 10022

Ireland United States of America

Depositary** Next Century Growth Investors, LLC

State Street Custodial Services (Ireland) Limited 5500 Wayzata Boulevard, Suite 1275

78 Sir John Rogerson’s Quay Minneapolis, MN 55416

Dublin 2 United States of America

Ireland

* As of 30 June 2016.

** UCITS V Directive

The regulations transposing the UCITS Directive (Directive 2014/91/EU) (“UCITS V”) into Irish Law came into effect on 21 March 2016.

UCITS V places an increased responsibility on the party acting as Depositary of a UCITS Fund. State Street Custodial Services (Ireland)

Limited, as Custodian and Trustee, has acted as Depositary under a custody agreement and will continue to fulfil this role of Depositary

under a new Depositary agreement that replaces the existing custody agreement and as such is herein after referred to as the Depositary.


Administration of the Company - continued

Administration of the Company 3

Robeco Investment Management, Inc. Lazard Asset Management, LLC

909 Third Avenue 30 Rockefeller Plaza

32nd Floor 57th Floor

New York, NY 10022 New York, NY 10112-6300

United States of America United States of America

Russell Investments Limited Mar Vista Investment Partners, LLC

Rex House 11150 Santa Monica Boulevard

10 Regent Street, St James’ Suite 320

London SW1Y 4PE Los Angeles, CA 90025

England United States of America

Russell Investments Implementation Services, LLC Numeric Investors, LLC

1301 Second Avenue 470 Atlantic Avenue

18th Floor 6th Floor

Seattle, WA 98101 Boston, MA 02210

United States of America United States of America

Westwood Management Corp. Pzena Investment Management

200 Crescent Court, Suite 1200 Tower 45, 8th Floor

Dallas, TX 75201 320 Park Ave

United States of America New York, NY 10022


Money Manager for Russell Multi Strategy Volatility Fund

Russell Investment Management, LLC Wellington Management Company

1301 Second Avenue 280 Congress Street

18th Floor Boston, MA 02210

Seattle, WA 98101 United States of America


Zebra Capital Management

Money Managers for Russell Global Regional Equity Fund 612 Wheelers Farms Rd

Ceredex Value Advisors, LLC Milford, CT 06461

301 East Pine Street United States of America

Suite 500

Orlando, FL 32801 Paying and Information Agent in Austria

United States of America UniCredit Bank Austria AG

Schottengasse 6-8

Hermes Sourcecap International, LLP 1010 Vienna

1 Portsoken Street Austria

London E1 8HZ

England Paying and Information Agent in Germany*

Marcard, Stein & Co. AG

HS Management Partners, LLC Ballindamm 36

598 Madison Avenue 20095 Hamburg

14th Floor Germany

New York, NY 10022


Jacobs Levy Equity Management, Inc.

100 Campus Drive

P.O. Box 650

Florham Park, NJ 07932-0650


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

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

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

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

repurchase the Company’s shares at those prices.


Background to the Company

4 Background to the Company

Russell Investment Company IV plc (the “Company”) was incorporated in Ireland as a public limited company on 10 November

2004. The Company operates under the Companies Act 2014 and has been authorised since 2 March 2005 by the Central Bank of

Ireland (the “Central Bank”).

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

Communities (Undertakings for Collective Investment in Transferable Securities) Regulations, 2011 (as amended) (the “UCITS

Regulations”) and under the Central Bank (Supervision and Enforcement) Act 2013 (Section 48(1)) (Undertakings for Collective

Investment in Transferable Securities) Regulations 2015, as amended.

The Company is organised in the form of an umbrella fund and as of 30 June 2016 had three funds available for investment (each

a “Fund”, collectively the “Funds”).

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

The Adviser, the Manager and their affiliated group companies are referred to collectively as Russell Investments in these

financial statements.

The net assets under management for the Funds at 30 June 2016 amounted to USD 809,273,683 (as at 30 June 2015: USD

1,129,980,608) are broken down as follows:

Fund Funded during

the year ended Functional

Currency

Net Assets

30 June 2016

‘000

Net Assets

30 June 2015

‘000

Russell Absolute Return Equity Fund* 30 June 2009 GBP - 425,639

Russell Alpha Fund 30 June 2005 USD 243,871 226,253

Russell Multi Strategy Volatility Fund 30 June 2015 USD 206,075 234,274

Russell Global Regional Equity Fund 30 June 2016 EUR 323,431 -

* The Fund ceased trading on 7 August 2015

All share classes listed throughout this report are accumulation class shares unless otherwise indicated in the name of the share

class.

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

shares unless otherwise stated.


Directors’ Report

Directors’ Report 5

The Directors submit their report together with the audited financial statements for the financial year ended 30 June 2016.

Directors’ responsibilities The Directors are responsible for preparing the Annual Report and the financial statements in accordance with applicable Irish

law and Generally Accepted Accounting Practice in Ireland (“Irish GAAP”) including the accounting standards issued by the

Financial Reporting Council and promulgated by The Institute of Chartered Accountants in Ireland.

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

the assets, liabilities and financial position for Russell Investment Company IV plc (the “Company”) and of the profit or loss of

the Company for that financial year. In preparing the financial statements, the Directors are required to:

select suitable accounting policies and then apply them consistently;

make judgements and estimates that are reasonable and prudent; and

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

continue in business.

The Directors confirm that they believe that they have complied with the above requirements in preparing the financial

statements.

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

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

Ireland governing the preparation and dissemination of financial statements may differ from legislation in other jurisdictions.

In carrying out the above requirements, the Directors have appointed Russell Investments Ireland Limited as manager (the

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

“Administrator”) of the Company.

Remuneration of the Company’s Directors

The Company does not have any staff. The Company pays Directors fees which is discussed in Note 5. The maximum amount of

remuneration payable to the Directors is detailed in the Company’s Prospectus or such other maximum amount as may be

determined by the Directors from time to time.

Transactions involving Directors

In respect of the 2016 year, the Directors are not aware of any contracts or arrangements of any significance in relation to the

business of the Company in which the Directors or their connected persons had any interest as defined by the Companies Act

2014, other than those disclosed in Note 5, “Transactions with related parties”.

Accounting Records

The Directors are responsible for maintaining adequate accounting records which correctly explain and record the transactions of

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

reasonable accuracy, enable them to ensure that the financial statements and Directors’ Report comply with the Companies Act

2014 and enable the financial statements to be audited. They are also responsible for ensuring that the financial statements are

prepared in accordance with accounting standards generally accepted in Ireland and comply with the Companies Act 2014 and the

UCITS Regulations and the Central Bank (Supervision and Enforcement) Act 2013 (Section 48(1)) (Undertakings for Collective

Investment in Transferable Securities) Regulations, 2015 , as amended (the “Central Bank UCITS Regulations”). The Directors

are also responsible for safeguarding the assets of the Company. In this regard they have appointed State Street Custodial Services

(Ireland) Limited (the “Depositary”) as Depositary to the Company pursuant to the terms of a depositary agreement. The

Directors have a responsibility for taking such steps as are reasonably open to them to prevent and detect fraud and other

irregularities. The Directors believe that they have complied with the requirements of the Companies Act 2014, with regard to

accounting records by employing an experienced administrator with appropriate expertise and by providing adequate resources to

the financial function. The accounting records of the Company are maintained by the Administrator at 78 Sir John Rogerson’s

Quay, Dublin 2, Ireland.


Directors’ Report - continued

6 Directors’ Report

Distributions

Please refer to Note 8 to the financial statements for details of the distribution policy of each of the Funds.

Connected party transactions

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

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

of the unit-holders of the UCITS”.

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

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

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

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

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

A detailed performance review of the business and future developments is included in the Manager’s Report for each Fund.

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

Results and dividends The results for the financial year are set out in the Profit and Loss Account for each Fund. Dividends were declared during the

financial year as detailed in Note 8 of the financial statements.

Significant events during the financial year

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

Significant events since the financial year end

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

Voluntary adoption of the Corporate Governance Code

The Irish Funds Industry Association (Irish Funds) in association with the Central Bank has published a corporate governance

code (the “Irish Funds Code”) that may be adopted on a voluntary basis by Irish authorised collective investment schemes. The

Board of Directors voluntarily adopted the Irish Funds Code as the Company’s corporate governance code effective from 31

December 2012. The Company has been in compliance with the Irish Funds Code since its adoption.

Directors

The name and nationality of persons who were Directors at any time during the financial year ended 30 June 2016 are set out

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

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

Mr. James Beveridge (British)

Mr. Peter Gonella (British)

Mr. Neil Jenkins (British)

Mr. John McMurray (American)

Mr. Tom Murray (Irish)

Mr. William Roberts (British and Irish resident)

Mr. David Shubotham (Irish)

Mr. Kenneth Willman (American and British)

Directors’ and Secretary’s interests

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

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

Roberts, Mr. David Shubotham and Mr. James Firn. Mr. Firn is a former employee of Russell Investments who retired in June

2014. He continues to act as a director of the Manager and the funds managed by the Manager.

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

significance, in relation to the business of the Company.


Directors’ Report - continued

Directors’ Report 7

Compliance statement

The Directors acknowledge that they are responsible for securing the Company’s compliance with its relevant obligations. These

include all requirements of the Company under Section 167 of Companies Act 2014, and all tax law within the Republic of

Ireland (the “relevant obligations”).

In keeping with this responsibility, the Directors have:

drawn up a compliance policy statement setting out the Company’s compliance with the relevant obligations;

appointed the Adviser, and relies on the Adviser’s risk and compliance departments to implement these procedures and

secure material compliance with the relevant obligations; and

performed a review of this policy statement, and its implementation by the Adviser.

Audit Committee

The Audit Committee of Manager will oversee the Company’s audit related affairs according to the Terms of Reference of the

Audit Committee of the Manager. The membership of the Audit committee is disclosed in the Administration page of the

Company.

Relevant audit information

So far as the Directors are aware, there is no relevant audit information of which the Company's auditors are unaware and the

Directors have taken all the steps that should have been taken as Directors in order to make themselves aware of any relevant

audit information and to establish that the Company's auditors are aware of that information.

Independent Auditors

The Auditors, PricewaterhouseCoopers, will be reappointed in accordance with section 383 of the Companies Act 2014.

On behalf of the Board

Director Director

13 October 2016


Depositary’s Report

8 Depositary’s Report

We have enquired into the conduct of Russell Investment Company IV plc (the “Company”) for the financial year ended 30 June

2016, in our capacity as Depositary’s to the Company.

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

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

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

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

Responsibilities of the Depositary

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

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

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

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

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

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

Basis of Depositary’s Opinion

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

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

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

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

and the appropriate regulations.

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

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

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

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

Central Bank UCITS Regulations’) and

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

Regulations.

State Street Custodial Services (Ireland) Limited

78 Sir John Rogerson’s Quay

Dublin 2

Ireland

13 October 2016

PricewaterhouseCoopers, One Spencer Dock, North Wall Quay, Dublin 1, Ireland, I.D.E. Box No. 137 T: +353 (0) 1 792 6000, F: +353 (0) 1 792 6200, www.pwc.com/ie Chartered Accountants

Independent Auditors’ Report 9

Independent auditors’ report to the members of Russell Investment Company IV plc

Report on the financial statements

Our opinion

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

give a true and fair view of the company’s and fund’s assets, liabilities and financial position as at 30 June 2016 and of their results for the year then ended;

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

have been properly prepared in accordance with the requirements of the Companies Act 2014 and the European Communities (Undertakings for Collective Investments in Transferable Securities) Regulations 2011 (as amended).

What we have audited

The financial statements comprise:

the balance sheet as at 30 June 2016;

the profit and loss account for the year then ended;

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

the schedule of investments for each of the funds as at 30 June 2016; and

the notes to the financial statements for the company and for each of its funds which include a summary of significant accounting policies and other explanatory information.

The financial reporting framework that has been applied in the preparation of the financial statements is Irish law and accounting standards issued by the Financial Reporting Council and promulgated by the Institute of Chartered Accountants in Ireland (Generally Accepted Accounting Practice in Ireland).

In applying the financial reporting framework, the directors have made a number of subjective judgements, for example in respect of significant accounting estimates. In making such estimates, they have made assumptions and considered future events.


10 Independent Auditors’ Report

Independent auditors’ report to the members of Russell Investment Company IV plc - continued

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

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

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

The financial statements are in agreement with the accounting records.

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

Matter on which we are required to report by exception

Directors’ remuneration and transactions

Under the Companies Act 2014 we are required to report to you if, in our opinion, the disclosures of directors’ remuneration and transactions specified by sections 305 to 312 of that Act have not been made. We have no exceptions to report arising from this responsibility.

Responsibilities for the financial statements and the audit

Our responsibilities and those of the directors

As explained more fully in the Directors’ Responsibilities Statement set out on page 5, the directors are responsible for the preparation of the financial statements and for being satisfied that they give a true and fair view.

Our responsibility is to audit and express an opinion on the financial statements in accordance with Irish law and International Standards on Auditing (UK and Ireland). Those standards require us to comply with the Auditing Practices Board’s Ethical Standards for Auditors.

This report, including the opinions, has been prepared for and only for the company’s members as a body in accordance with section 391 of the Companies Act 2014 and for no other purpose. We do not, in giving these opinions, accept or assume responsibility for any other purpose or to any other person to whom this report is shown or into whose hands it may come save where expressly agreed by our prior consent in writing.


Independent Auditors’ Report 11

Independent auditors’ report to the members of Russell Investment Company IV plc - continued

What an audit of financial statements involves

We conducted our audit in accordance with International Standards on Auditing (UK and Ireland). An audit involves obtaining evidence about the amounts and disclosures in the financial statements sufficient to give reasonable assurance that the financial statements are free from material misstatement, whether caused by fraud or error. This includes an assessment of:

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

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

the overall presentation of the financial statements.

We primarily focus our work in these areas by assessing the directors’ judgements against available evidence, forming our own judgements, and evaluating the disclosures in the financial statements.

We test and examine information, using sampling and other auditing techniques, to the extent we consider necessary to provide a reasonable basis for us to draw conclusions. We obtain audit evidence through testing the effectiveness of controls, substantive procedures or a combination of both.

In addition, we read all the financial and non-financial information in the Annual Report to identify material inconsistencies with the audited financial statements and to identify any information that is apparently materially incorrect based on, or materially inconsistent with, the knowledge acquired by us in the course of performing the audit. If we become aware of any apparent material misstatements or inconsistencies we consider the implications for our report.

Patricia Johnston for and on behalf of PricewaterhouseCoopers Chartered Accountants and Statutory Audit Firm Dublin Ireland 13 October 2016


Combined Balance Sheet

As at 30 June 2016

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

12 Combined Balance Sheet

Total

30 June 2016

USD ‘000

Total

30 June 2015*

USD ‘000

Assets

Financial assets at fair value through profit or loss ................................................................... 757,483 1,049,961

Cash at bank .............................................................................................................................. 61,538 64,693

Cash held with brokers and counterparties for open financial derivative instruments .............. 22,563 47,060

Debtors:

Receivable for investments sold ............................................................................................. 3,316 3,255

Receivable on fund shares issued ........................................................................................... 10 564

Dividends receivables ............................................................................................................. 1,158 1,451

Interest receivable ................................................................................................................... 124 124

Other debtors .......................................................................................................................... 61 -

846,253 1,167,108

Liabilities

Financial liabilities at fair value through profit or loss ..................................................... (32,555) (21,116)

Creditors – amounts falling due within one financial year:

Payable for investments purchased ......................................................................................... (1,723) (10,621)

Payable on fund shares redeemed ........................................................................................... (1,480) (475)

Distributions payable on income share classes ....................................................................... - (3,742)

Management fees payable ....................................................................................................... (627) (862)

Performance fees payable ....................................................................................................... (313) (50)

Depositary fees payable .......................................................................................................... (24) (15)

Sub-custodian fees payable ..................................................................................................... (125) (104)

Administration fees payable ................................................................................................... (33) (46)

Audit fees payable .................................................................................................................. (93) (74)

Other fees payable .................................................................................................................. (6) (22)

(36,979) (37,127)

Net asset value attributable to redeemable participating shareholders .............................. 809,274 1,129,981

* The Combined Balance Sheet and the Balance Sheet of the individual Funds as at 30 June 2015 have been restated due to a change in the

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

policies during the year under review.

On behalf of the Board Director Director

13 October 2016


Combined Profit and Loss Account

For the financial year ended 30 June 2016


Combined Profit and Loss Account 13

Total

2016

USD ‘000

Total

2015*

USD ‘000

Income

Dividends ................................................................................................................................ 11,809 16,124

Interest income ....................................................................................................................... 527 260

12,336 16,384

Net gain (loss) on investment activities .................................................................................. (65,136) (44,140)

Total investment income (expense) ..................................................................................... (52,800) (27,756)

Expenses

Management fees .................................................................................................................... (8,998) (8,084)

Performance fees .................................................................................................................... (290) 116

Depositary fees ....................................................................................................................... (87) (64)

Sub-custodian fees .................................................................................................................. (544) (509)

Administration and transfer agency fees ................................................................................. (352) (382)

Audit fees ................................................................................................................................ (96) (74)

Professional fees ..................................................................................................................... (116) (165)

Other fees ................................................................................................................................ (101) (72)

Total operating expenses ...................................................................................................... (10,584) (9,234)

Net income (expense) ............................................................................................................ (63,384) (36,990)

Finance costs

Distributions ........................................................................................................................... (4,276) (5,037)

Profit (Loss) for the financial year before taxation ........................................................... (67,660) (42,027)

Taxation

Withholding tax ...................................................................................................................... (2,148) (2,178)

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

shareholders resulting from operations ..............................................................................

(69,808) (44,205)

* The Combined Profit and Loss Account and the Profit and Loss Account of the individual Funds for the year ended 30 June 2015 have been

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

the Company's accounting policies.

With the exception of those Funds which ceased trading, as noted in the Background to the Company, all amounts in respect of the financial

year ended 30 June 2016 arose solely from continuing operations. There are no recognised gains or losses other than those dealt with in the

Profit and Loss Account.


Combined Statement of Changes in Net Assets Attributable to Redeemable Shareholders


The accompanying notes are an integral part of the financial statements

14 Combined Statement of Changes in Net Assets Attributable to Redeemable Shareholders

2016

USD ‘000

2015

USD ‘000


shareholders resulting from operations ......................................................................... (69,808) (44,205)

Share transactions

Reinvestment of deemed distributions on accumulation shares .............................................. 4,276 1,305

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

transactions ............................................................................................................................. (215,216) 209,943

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

participating shareholders .............................................................................................. (280,748) 167,043

Currency translation (Note 2) ................................................................................................. (39,959) (56,756)

Net assets attributable to redeemable participating shareholders

Beginning of financial year ..................................................................................................... 1,129,981 1,019,694

End of financial year ............................................................................................................... 809,274 1,129,981



Manager’s Report

Russell Absolute Return Equity Fund 15

Russell Absolute Return Equity Fund (the “Fund”) ceased trading on 7 August 2015.

Investment Objective Prior to the Fund ceasing to trade, the Fund attempted to achieve capital appreciation with limited net asset value volatility by

primarily investing the assets of the Fund in equity securities which are listed, traded or dealt in on regulated markets worldwide

(or in respect of which an application for listing on a regulated stock exchange will be sought) and by investing in derivative

positions in order to seek to hedge all of the Fund’s underlying market and currency exposures.

As the Fund ceased trading on 7 August 2015 there is no performance data of relevance to report.



Balance Sheet

As at 30 June 2016


16 Russell Absolute Return Equity Fund

30 June 2016*

GBP ‘000

30 June 2015

GBP ‘000

Assets

Financial assets at fair value through profit or loss (Note 2) ................................................................................... - 402,738

Cash at bank (Note 3) .............................................................................................................................................. 621 11,526

Cash held with brokers and counterparties for open financial derivative instruments

(Note 3) .................................................................................................................................................................... - 19,141

Debtors:

Receivable for investments sold .................................................................................................................... - 1,250

Receivable on fund shares issued .................................................................................................................. - 294

Dividends receivable ..................................................................................................................................... - 749

Other debtors ................................................................................................................................................. 46 -

667 435,698

Liabilities

Financial liabilities at fair value through profit or loss (Note 2) ....................................... - (679)


Payable for investments purchased ............................................................................................................... - (6,369)

Payable on fund shares redeemed ................................................................................................................. (653) (302)

Distributions payable on income share classes .............................................................................................. - (2,379)

Management fees payable ............................................................................................................................. - (225)

Performance fees payable .............................................................................................................................. - (15)

Depositary fees payable ................................................................................................................................ - (6)

Sub-custodian fees payable ........................................................................................................................... - (38)

Administration fees payable .......................................................................................................................... - (18)

Audit fees payable ......................................................................................................................................... (14) (16)

Other fees payable ......................................................................................................................................... - (12)

(667) (10,059)

Net asset value attributable to redeemable participating shareholders ................................................................... - 425,639

* The Fund ceased trading on 7 August 2015.



Profit and Loss Account




2016

GBP ‘000

2015*

GBP ‘000

Income

Dividends ..................................................................................................................................................... 59 7,532

Interest income ............................................................................................................................................. 4 75

63 7,607

Net gain (loss) on investment activities (Note 4) ............................................................................................................... (1,805) (9,476)

Total investment income (expense) ................................................................................................................................ (1,742) (1,869)

Expenses

Management fees (Note 5) ........................................................................................................................... (291) (2,911)

Performance fees (Note 5) ............................................................................................................................ 15 25

Depositary fees (Note 6) ............................................................................................................................... (7) (27)

Sub-custodian fees (Note 6) ......................................................................................................................... (16) (193)

Administration and transfer agency fees (Note 6) ........................................................................................ (18) (163)

Audit fees (Note 6) ....................................................................................................................................... (14) (16)

Professional fees ........................................................................................................................................... (9) (63)

Other fees ..................................................................................................................................................... (30) (20)

Total operating expenses .......................................................................................................................................... (370) (3,368)

Net income (expense) ................................................................................................................................................ (2,112) (5,237)

Finance costs

Distributions (Note 8) ................................................................................................................................... - (3,018)

Profit (loss) for the financial year before taxation ..................................................................................................... (2,112) (8,255)

Taxation

Withholding tax (Note 9) ............................................................................................................................. (212) (952)


shareholders resulting from operations ......................................................................................................... (2,324) (9,207)

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

Account.




Statement of Changes in Net Assets Attributable to Redeemable Participating Shareholders



18 Russell Absolute Return Equity Fund

2016

GBP ‘000

2015*

GBP ‘000


shareholders resulting from operations ........................................................................................................ (2,324) (9,207)

Share transactions

Reinvestment of deemed distributions on accumulation shares (Note 8) ..................................................... - 640


shareholders resulting from share transactions (Note 10) ............................................................................. (423,315) 19,959

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

participating shareholders (425,639) 11,392


Beginning of year ......................................................................................................................................... 425,639 414,247

End of year ................................................................................................................................................... - 425,639




Schedule of Changes in Composition of Portfolio (unaudited)

Listed below are the 20 largest cumulative investment purchases and sales during the financial year ended 30 June 2016

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

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


Portfolio Securities

Acquisition Cost

GBP ‘000 Portfolio Securities

Disposal Proceeds

GBP ‘000

U.K., Government of U.K., Government of

4.750% due 07/09/2015 25,002 4.750% due 07/09/2015 (24,997)

U.K., Treasury Bill 2.000% due 22/01/2016 (8,386)

Zero Coupon due 03/08/2015 23,498 Mitsubishi UFJ Financial Group Inc (3,922)

Zero Coupon due 27/07/2015 15,999 Valeo SA (3,286)

U.K., Government of Nidec Corp (3,236)

2.000% due 22/01/2016 8,388 U.K., Government of

U.K., Treasury Bill 1.750% due 22/01/2017 (3,049)

Zero Coupon due 20/07/2015 6,919 Jafco Co Ltd (3,037)

U.K., Government of Industria de Diseno Textil SA (2,989)

1.750% due 22/01/2017 3,050 Mizuho Financial Group Inc (2,964)

5.000% due 07/03/2018 2,501 Dai-ichi Life Insurance Co Ltd (2,899)

U.K., Treasury Bill Western Digital Corp (2,746)

Zero Coupon due 13/07/2015 2,039 Mitsubishi Corp (2,704)

Zero Coupon due 06/03/2020 1,400 Renault SA (2,676)

U.K., Government of Legrand SA (2,630)

4.750% due 07/03/2020 550 Bayer AG (2,595)

Tokyo Electron Ltd 533 Seagate Technology Plc (2,585)

Glaukos Corporation 403 Sumitomo Mitsui Trust Holdings Inc (2,563)

Micron Technology Inc 398 Nomura Holdings Inc (2,503)

Q2 Holdings Inc 395 U.K., Government of

Chubb Ltd 374 1.750% due 07/03/2018 (2,501)

Shire Plc 365 U.K., Treasury Bill

Pandora A/S 293 Zero Coupon due 29/06/2015 (2,500)

Ryanair Holdings Plc 280

Wolseley Plc 260

Caltex Australia Ltd 253


Russell Alpha Fund

Manager’s Report

20 Russell Alpha Fund

Money Managers as at 30 June 2016

Alken Asset Management, LLP

Hermes Sourcecap International, LLP

Kopernik Global Investors, LLC

Lazard Japan Asset Management K.K.

Levin Capital Strategies, L.P.

Next Century Growth Investors, LLC

Robeco Investment Management, Inc.

Russell Investments Limited

Russell Investments Implementation Services, LLC

Westwood Management Corp

Investment Objective

Russell Alpha Fund (the “Fund”) attempts to achieve capital appreciation with limited net asset value volatility by primarily

investing the assets of the Fund in equity securities which are listed, traded or dealt in on regulated markets worldwide (or in

respect of which an application for listing on a regulated stock exchange will be sought) and by investing in derivative positions

in order to seek to hedge all of the Fund’s underlying equity market and currency positions.

Fund Performance

During financial year ended 30 June 2016, the Fund returned 1.3 per cent on a gross-of-fee basis (0.2 per cent on a net-of-fee

basis), while the benchmark* returned 0.3 per cent. (Class U.S. Dollar Roll-Up)

Market Comment

Global equities, as measured by the benchmark, fell 9.4 per cent over the third quarter of 2015. The non-U.S. component fell by

12.1 per cent. Early in the quarter, the renewed bailout deal with Greece brought a degree of harmony in Europe. This positive

development soon became a distant memory, as two central stories unfolded over the period. In China, the country’s devaluation

of its currency, amid slowing growth, gave rise to a severe sell off in global markets. This, in turn, became a lead factor in

preventing the U.S. Federal Reserve (the “Fed”) from raising its interest rate in September. The combination of these major

events engendered the fourth biggest quarterly increase in volatility in the past 10 years, as measured by the Chicago Board

Options Exchange’s Vix Index. It also handed over renewed market uncertainty to the final quarter of this year.

Global equities, as measured by the benchmark, rose by 5.1 per cent over the last quarter of 2015 in U.S. dollar terms. The non-

U.S. component rose by 3.9 per cent. Global markets gained in aggregate over the fourth quarter as the negative effects of China’s

third-quarter slowdown began to fade and the Fed moved towards policy tightening, exhibiting confidence in the American

economy’s steady recovery. In Europe, investors were slightly disappointed by the European Central Bank’s (the “ECB”) timid

actions to quell sluggish growth, whilst the downward trend of the oil price weighed on Emerging Markets (EM). In Japan,

equities surged 9.2 per cent with the nation’s economy escaping a technical recession as third quarter GDP growth was revised

upwards from -0.8 per cent to +1.0 per cent on an annualised basis. The Bank of Japan (BoJ) also left its interest rate unchanged

and would continue to buy government bonds at an annual pace of YEN 80 trillion. EM had a positive quarter in aggregate,

gaining 2.6 per cent. China recovered well, with equity markets moving up by 9.3 per cent. While exports figures were poor,

other domestic economic data proved encouraging, including improving industrial production figures and retail sales, as well as

annualised GDP growth that exceeded expectations.

Global equities, as measured by the benchmark, rose by 0.4 per cent over the first quarter of 2016 in U.S. dollar terms. The non-

U.S. component fell by 0.2 per cent. The period was characterised by two halves. In the first half, slowing growth in China

coupled with an ongoing commodities rout (especially in oil), engendered significant market volatility and a considerable risk off

sentiment. However in the latter part of the quarter, more accommodative central bank policies alongside oil price stabilisation,

thawed sentiment for global equities to some degree. At the Federal Open Market Committee (FOMC) meeting, Fed Chair Yellen

explained that whilst economic “forecasts have not changed much since December”, this was being overshadowed by “global

economic and financial developments”, posing a risk to growth. As a result, FOMC “dots” reduced to two possible interest rate

hikes this year, as opposed to four. In Europe, ECB President Draghi delivered on his promise to do “whatever it takes” by

introducing raft of new accommodative stimulus measures in an effort to boost eurozone inflation and encourage new credit

provision. The ECB reduced its main refinancing rate to 0.0 per cent, whilst quantitative easing (QE) was increased to EUR 80

billion a month. In addition, the ECB initiated another targeted longer-term refinancing operation (TLTRO II).


Russell Alpha Fund

Manager’s Report - continued

Russell Alpha Fund 21

Global equities, as measured by the benchmark rose by 0.9 per cent in the second quarter of 2016. Global markets gained over the

second quarter despite the startling result of the U.K.’s referendum on European Union (E.U.) membership. U.K.’s decision to

leave the E.U. threw worldwide markets into turmoil in the last days of June. However, equities were bolstered during the period

by stronger oil prices, a cautious Fed, and additional easing from the ECB. In the U.S. (2.5 per cent), the final first quarter GDP

growth rate was revised upwards to 1.1 per cent quarter on quarter, beating estimates of 1.0 per cent. However, a poor jobs report

in May, with non-farm payrolls only advancing by 38,000 versus the 164,000 expected, seriously dented hopes for a June Fed rate

hike. Inflation also continued to remain below target at 1.0 per cent year on year in May, whilst retail sales (2.5 per cent year on

year) did not match estimates for a 3.0 per cent growth over the same period. This mixed economic data, combined with market

uncertainties, left the Fed in a position to be more cautious in raising interest rates for the rest of the year. After the U.K.’s

surprising E.U. referendum results, David Cameron announced that he would step down as Prime Minister but would stay in

office for the next few months to “steady the ship”. The British Pound also plunged to a 31 year low (against the U.S. Dollar),

setting a record intraday swing of more than 10 per cent between its highs and lows. In response, the Bank of England (BoE)

pledged USD 345 billion of new stimulus and BoE Governor Carney stated the he had further measures in place to deal with the

“period of uncertainty and adjustment”.

General Comment on Money Managers/Performance

The Fund finished ahead of the benchmark in a quarter (third quarter 2015) characterised by volatility and significant market

decline. Underlying value and growth strategies struggled to find significant traction, however growth managed to perform

slightly better. The U.K. and Europe were the best performing regions for the Fund, with the underlying European strategy

contributing positively. Japan and EM’s struggled slightly, reflected by the aggregate underperformance of the underlying

strategies in those regions.

The Fund finished below the benchmark in the final quarter of 2015. In the prevailing market environment, an allocation away

from the large cap scale was not rewarded. The underlying European strategy was positive for the Fund, as well as the EM

strategy which benefited from holdings in Asia. The Japan strategy failed to find significant traction whilst the U.S. strategy was

the worst performer, especially through manager Next Century Growth Investors, LLC. In sectors, whilst consumer discretionary

names were headwinds for several managers, the Fund generated overall gains through a position within the automobile industry,

through picks such as Renault and Valeo.

The Fund finished above the benchmark in the first quarter of 2016. In factors, small cap stocks contributed to performance. The

Fund found also alpha within the health care sector. Stock selection within the rebounding industrials and materials sectors also

added to gains. The global strategy found significant traction within the small cap spectrum. Our EMs strategy also outperformed

in the prevailing market environment. The U.S. and European strategies were net negative, whilst the Japanese strategy struggled,

owing to a strong bias towards the financial sector.

The Fund outperformed the benchmark quarter in the second quarter of 2016. The Fund generated gains through stock selection

within the technology and health care sectors, whilst holdings within consumer discretionary and industrials were negative. At the

stock level Anacor Pharmaceuticals (health care) and Wirecard (technology) were notable contributors to performance, whilst an

overweight to Peugeot (consumer discretionary) detracted. The global strategy drove performance, notably through Kopernik

Global Investors, LLC who benefitted from its long gold stock positions. The EM strategy also contributed to gains, whilst the

Japanese and U.S. strategies struggled to find any particular traction over the period. The European strategies however, were the

main detractors as the surprise ‘Brexit’ vote engendered a broad based sell off in the region.

Company’s Market Outlook

Our strategists have a broadly neutral view between equities and bonds.

Equities: Our regional equity positioning is close to neutral

We are underweight the U.S. relative to other major developed regions mostly because of valuation. This underweight is fairly

evenly distributed as small overweights to the other regions. We are neutral EMs, where attractive valuations are offset by

business cycle headwinds from deleveraging risks, along with the potential for further Fed tightening.

Fixed income: Bond yields are likely to rise, but only modestly

Our process scores government bonds poorly on value as 10 year yields in all the major developed markets are near record lows at

the end of the second quarter of 2016. On balance, however, the cycle is neutral. Cycle pressures are moderately negative in the

U.S. where wages are gradually picking up and putting pressure on the Fed to raise rates. But the cycle is more supportive of bond

markets in the rest of the developed world. Both the European Central Banks and Bank of Japan (BoJ) are contemplating further

unconventional easing to bolster inflation expectations. The net result is that the upward pressure on bond yields from inflation

pressures in the U.S. will be muted by deflation pressures in the rest of the world.


Russell Alpha Fund



Currencies: A sideways move for major currencies

Even with Brexit, we think that the major currencies will stay in the ranges they have traded in since the beginning of the year,

albeit with the U.S. Dollar pushing towards the top of that range. There is some downside risk for the Euro and Japanese Yen if

central banks adopt more unconventional easing. But this is likely to be limited, since both currencies are relatively cheap and

have already priced in significant monetary policy accommodation. We like the value in Emerging Market (EM) currencies, but

the downside risks to the Chinese Renminbi keep us concerned about the risks of further depreciation for EM currencies in

general.

Conclusion: Noise outweighing signals

Fading cycle fundamentals and flat equity market momentum suggest that markets are being driven more by noise than

fundamentals. We worry that risk assets, like equities and corporate credit, are vulnerable to bad news. However, our low

expectation of a U.S. and global recession means that we are willing to “buy the dips”. Without strong buy signals, we remain

cautious and have fairly neutral asset class views. However, we are remaining vigilant on signals to “buy the dips”, and “sell the

rallies”.

Past performance is no indication of present or future performance.

* Benchmark Source: USD Libor 1 Month

Russell Investments Ireland Limited

August 2016


Russell Alpha Fund

Balance Sheet

As at 30 June 2016



30 June 2016

USD ‘000

30 June 2015

USD ‘000

Assets

Financial assets at fair value through profit or loss (Note 2) ................................................ 237,386 205,099

Cash at bank (Note 3) ........................................................................................................... 17,576 11,684


(Note 3) ................................................................................................................................. 3,960 11,149

Debtors:

Receivable for investments sold .......................................................................................... 441 445

Receivable on fund shares issued ......................................................................................... 10 -

Dividends receivable ........................................................................................................... 345 273

259,718 228,650

Liabilities

Financial liabilities at fair value through profit or loss (Note 2) ...................................... (14,949) (1,525)


Payable for investments purchased ..................................................................................... (101) (604)

Payable on fund shares redeemed ........................................................................................ (507) -

Management fees payable ................................................................................................... (186) (164)

Performance fees payable .................................................................................................... - (26)

Depositary fees payable ...................................................................................................... (7) (3)

Sub-custodian fees payable ................................................................................................. (61) (38)

Administration fees payable ................................................................................................ (11) (8)

Audit fees payable ............................................................................................................... (25) (25)

Other fees payable ............................................................................................................... - (4)

(15,847) (2,397)

Net asset value attributable to redeemable participating shareholders ......................... 243,871 226,253


Russell Alpha Fund





2016

USD ‘000

2015

USD ‘000

Income

Dividends ............................................................................................................................ 4,318 4,301

Net gain (loss) on investment activities (Note 4) .................................................................. (20,442) (41,787)

Total investment income (expense) ................................................................................... (16,124) (37,486)

Expenses

Management fees (Note 5) .................................................................................................. (2,412) (2,364)

Performance fees (Note 5) ................................................................................................... - 77

Depositary fees (Note 6) ...................................................................................................... (24) (17)

Sub-custodian fees (Note 6) ................................................................................................ (263) (195)

Administration and transfer agency fees (Note 6) ............................................................... (108) (102)

Audit fees (Note 6) .............................................................................................................. (26) (25)

Professional fees .................................................................................................................. (42) (57)

Other fees ............................................................................................................................ (11) (40)

Total operating expenses .................................................................................................... (2,886) (2,723)

Net income (expense) .......................................................................................................... (19,010) (40,209)

Finance costs

Distributions (Note 8) .......................................................................................................... (267) (300)

Profit (loss) for the financial year before taxation ............................................................ (19,277) (40,509)

Taxation

Withholding tax (Note 9) ..................................................................................................... (626) (684)


shareholders resulting from operations ............................................................................ (19,903) (41,193)


Account.


Russell Alpha Fund





2016

USD ‘000

2015

USD ‘000


shareholders resulting from operations .................................................................................... (19,903) (41,193)

Share transactions

Reinvestment of deemed distributions on accumulation shares (Note 8) ............................ 267 300


transactions (Note 10) ......................................................................................................... 37,254 (44,190)

Total net increase in net assets attributable to redeemable participating

shareholders ................................................................................................................................ 17,618 (85,083)


Beginning of financial year ................................................................................................. 226,253 311,336

End of financial year ........................................................................................................... 243,871 226,253


Russell Alpha Fund

Schedule of Investments

30 June 2016



Number

of Shares

Fair Value

USD ‘000

Fund

%

Transferable Securities (85.17%) (2015: 78.83%)

Common Stock (83.57%) (2015: 76.50%)

Australia (0.31%)

Metals and Mining

43,729 Newcrest Mining Ltd .......... 749 0.31

Austria (0.03%)

Real Estate

37,181 Immofinanz AG .................. 79 0.03

Belgium (0.22%)

Pharmaceuticals

7,259 UCB SA .............................. 542 0.22

Bermuda (0.89%)

Banks

4,967 Credicorp Ltd ...................... 767 0.32

Diversified Financials

7,000 Guoco Group Ltd ................ 74 0.03

Food Products

866,000

China Yurun Food Group

Ltd ....................................... 131 0.05

Gas Utilities

209,680

China Resources Gas Group

Ltd ....................................... 638 0.26

Insurance

27,400 Maiden Holdings Ltd .......... 335 0.14

Transport

209,139 Golden Ocean Group Ltd .... 132 0.05

18,329

Tsakos Energy Navigation

Ltd ....................................... 86 0.04

2,163 0.89

Brazil (0.71%)

Agriculture

36,800 SLC Agricola SA ................ 170 0.07

Commercial Services and Supplies

67,847 Cielo SA .............................. 717 0.29

Electric Utilities

84,000

Centrais Eletricas Brasileiras

SA ....................................... 337 0.14

Insurance

56,884

BB Seguridade Participacoes

SA ....................................... 499 0.21

1,723 0.71

Canada (2.86%)

Advertising

12,120 MDC Partners Inc ............... 222 0.09

Beverages

79,666 Cott Corp ............................. 1,112 0.46


21,100 Dundee Corp ....................... 124 0.05

256,824 Sprott Inc ............................. 508 0.21

Number

of Shares

Fair Value

USD ‘000

Fund

%

Hotels, Restaurants and Leisure

57,700

Performance Sports Group

Ltd ...................................... 173 0.07

Metals and Mining

20,194 Barrick Gold Corp .............. 431 0.18

54,312 Cameco Corp ...................... 596 0.24

57,960

Dundee Precious Metals

Inc ....................................... 137 0.06

11,958 Goldcorp Inc ....................... 229 0.09

241,555 Ivanhoe Mines Ltd .............. 188 0.08

90,017 Kinross Gold Corp .............. 440 0.18

16,558 New Gold Inc ...................... 73 0.03

14,574

Novagold Resources

Inc ....................................... 89 0.04

9,921

Silver Standard Resources

Inc ....................................... 129 0.05

16,519 Silver Wheaton Corp .......... 389 0.16

96,262

Turquoise Hill Resources

Ltd ...................................... 325 0.13

Oil and Gas

31,407 MEG Energy Corp .............. 164 0.07

Other Finance

93,934

Uranium Participation

Corp .................................... 291 0.12

Transport

22,968

Canadian National Railway

Co ....................................... 1,356 0.55

6,976 2.86

Cayman Islands (0.41%)

Electrical Equipment

356,000

NVC Lighting Holding

Ltd ...................................... 38 0.01

Semiconductor Equipment and Products

71,884

ASM Pacific Technology

Ltd ...................................... 515 0.21

Software

2,347 NetEase Inc (ADR) ............. 453 0.19

1,006 0.41

Chile (0.28%)

Chemicals

1,630

Sociedad Quimica y Minera

de Chile SA (ADR) ............. 40 0.02

Electric Utilities

2,236,380 Enersis Americas SA .......... 383 0.15

2,236,380 Enersis Chile SA ................. 263 0.11

686 0.28

China (0.31%)

Building Products

233,496

Anhui Conch Cement Co

Ltd ...................................... 561 0.23

Transport

420,000

Guangshen Railway Co

Ltd ...................................... 200 0.08

761 0.31


Russell Alpha Fund

Schedule of Investments - continued

30 June 2016



Number

of Shares

Fair Value

USD ‘000

Fund

%

Cyprus (0.13%)

Real Estate

62,146

Aroundtown Property

Holdings Plc ........................ 314 0.13

Denmark (1.06%)

Beverages

2,009 Carlsberg A/S ...................... 190 0.08

Health Care Equipment and Supplies

3,134 Coloplast A/S ...................... 233 0.09

Pharmaceuticals

18,117 Novo Nordisk A/S ............... 969 0.40

Retail Trade

8,260 Pandora A/S ........................ 1,119 0.46

Transport

1,837 DSV A/S ............................. 77 0.03

2,588 1.06

Egypt (0.23%)

Banks

126,899

Commercial International

Bank Egypt SAE ................. 564 0.23

Finland (0.48%)

Telecommunications

126,645 Nokia OYJ ........................... 718 0.29

79,110 Nokia OYJ (ADR) ............... 450 0.19

1,168 0.48

France (5.89%)

Aerospace and Defence

6,280 Thales SA ............................ 523 0.21

Auto Components

9,194 Faurecia ............................... 294 0.12

46,893 Valeo SA ............................. 2,091 0.86

Automobiles

99,172 Peugeot SA .......................... 1,192 0.49

19,595 Renault SA .......................... 1,490 0.61

Biotechnology

1,007 Genfit .................................. 28 0.01

Chemicals

7,451 Arkema SA .......................... 572 0.23


3,163 Edenred ............................... 65 0.03

9,710 Elis SA ................................ 170 0.07

Computers and Peripherals

2,096 Cap Gemini SA ................... 182 0.07

Construction and Engineering

2,773

Altran Technologies

SA ....................................... 37 0.02

11,271 Eiffage SA ........................... 804 0.33

2,543 Vinci SA .............................. 180 0.07

Number

of Shares

Fair Value

USD ‘000

Fund

%

Distributors

1,402 Rexel SA ............................. 18 0.01

Electric Utilities

33,894 Electricite de France SA ..... 413 0.17


40,343 Legrand SA ......................... 2,076 0.85

Food Products

7,968 Carrefour SA ....................... 197 0.08

18,499 Danone SA .......................... 1,303 0.54

6,340 Sodexo SA .......................... 682 0.28

Internet Software and Services

2,821 Criteo (ADR) ...................... 130 0.05

407 Iliad SA ............................... 83 0.04

Machinery

16,161 Alstom SA .......................... 375 0.15

23,899 Areva SA ............................ 86 0.04

Real Estate Investment Trust

398 Gecina SA ........................... 54 0.02

Textile and Apparel

7,858

LVMH Moet Hennessy

Louis Vuitton SE ................ 1,187 0.49

Transport

11,257 Groupe Eurotunnel SE ........ 119 0.05

14,351 5.89

Germany (3.73%)

Auto Components

2,591 Rheinmetall AG .................. 153 0.06

Chemicals

6,462 K&S AG ............................. 132 0.05

9,456 Lanxess AG ........................ 413 0.17

5,852 Linde AG ............................ 815 0.34


49,884 Wirecard AG ....................... 2,187 0.90


7,079 Deutsche Boerse AG ........... 578 0.24

Health Care Providers and Services

12,500 Fresenius SE & Co KGaA .. 914 0.37

Media

10,879

ProSiebenSat.1 Media

SE ....................................... 474 0.19

Pharmaceuticals

18,936 Bayer AG ............................ 1,893 0.78


14,872

Infineon Technologies

AG ...................................... 214 0.09

Telecommunications

6,229 Drillisch AG ....................... 238 0.10

Textile and Apparel

7,555 Adidas AG .......................... 1,078 0.44

9,089 3.73


Russell Alpha Fund


30 June 2016



Number

of Shares

Fair Value

USD ‘000

Fund

%

Guernsey, Channel Islands (0.07%)

Real Estate

70,035 Etalon Group Ltd (GDR) ..... 171 0.07

Hong Kong (1.31%)

Banks

182,508

BOC Hong Kong Holdings

Ltd ....................................... 546 0.22


868,801 Lenovo Group Ltd ............... 523 0.22

Holding Companies - Diversified Operations

65,689 Wharf Holdings Ltd ............ 397 0.16

Insurance

116,065 AIA Group Ltd .................... 692 0.28

Oil and Gas

334,542 Cnooc Ltd ............................ 415 0.17

Real Estate

173,401

China Overseas Land &

Investment Ltd .................... 548 0.23


78,000

Hua Hong Semiconductor

Ltd ....................................... 73 0.03

3,194 1.31

India (0.80%)

Banks

68,272 Axis Bank Ltd ..................... 540 0.22


2,170

Tata Consultancy Services

Ltd ....................................... 82 0.04

Metals and Mining

11,485 Bharat Forge Ltd ................. 129 0.05

Oil and Gas

22,360

Reliance Industries Ltd

(GDR) ................................. 638 0.26

Retail Trade

12,700 Titan Co Ltd ........................ 77 0.03

Software

45,457 HCL Technologies Ltd ........ 491 0.20

1,957 0.80

Indonesia (0.75%)

Banks

814,558

Bank Mandiri Persero Tbk

PT ........................................ 587 0.24

Gas Utilities

2,769,481

Perusahaan Gas Negara

Persero Tbk ......................... 490 0.20

Telecommunications

2,520,693

Telekomunikasi Indonesia

Persero Tbk PT .................... 759 0.31

1,836 0.75

Ireland (3.09%)

Airlines

101,280 Ryanair Holdings Plc .......... 1,274 0.52

Number

of Shares

Fair Value

USD ‘000

Fund

%

Building Products

1,928 Kingspan Group Plc ............ 42 0.02


15,823 Accenture Plc ...................... 1,793 0.73

Entertainment

2,610 Paddy Power Betfair Plc ..... 274 0.11

Food Products

7,343 Kerry Group Plc .................. 651 0.27


22,095 Medtronic Plc ..................... 1,917 0.79

39,400

Trinity Biotech Plc

(ADR) ................................. 447 0.18

Miscellaneous Manufacturers

8,642 Eaton Corp Plc .................... 516 0.21

545 Ingersoll-Rand Plc .............. 35 0.02

Pharmaceuticals

2,575 Allergan Plc ........................ 595 0.24

7,544 3.09

Israel (0.04%)


22,900 SuperCom Ltd ..................... 87 0.04

Italy (0.20%)

Banks

638,783

Banca Monte dei Paschi di

Siena SpA ........................... 269 0.11

11,505

FinecoBank Banca Fineco

SpA ..................................... 75 0.03

Electric Utilities

7,617 ERG SpA ............................ 87 0.04


2,320

Yoox Net-A-Porter Group

SpA ..................................... 54 0.02

485 0.20

Japan (6.62%)

Banks

145,400

Mitsubishi UFJ Financial

Group Inc ............................ 646 0.26

473,800

Mizuho Financial Group

Inc ....................................... 685 0.28

188,000

Sumitomo Mitsui Trust

Holdings Inc ....................... 604 0.25

Building Products

20,700 LIXIL Group Corp .............. 340 0.14

Chemicals

75,000 Asahi Kasei Corp ................ 518 0.21

4,700 Nitto Denko Corp ............... 295 0.12


8,700

Japan Digital Laboratory Co

Ltd ...................................... 118 0.05

Distributors

50,000 Mitsubishi Corp .................. 871 0.36

43,800 Mitsui & Co Ltd .................. 518 0.21


Russell Alpha Fund


30 June 2016



Number

of Shares

Fair Value

USD ‘000

Fund

%


120,700 Nomura Holdings Inc .......... 430 0.18

53,700 ORIX Corp .......................... 685 0.28

Electric Utilities

40,200

Kansai Electric Power Co

Inc ....................................... 388 0.16


11,600 Nidec Corp .......................... 873 0.36

Environmental Control

11,200

Kurita Water Industries

Ltd ....................................... 249 0.10

Hand and Machine Tools

10,300 Makita Corp ........................ 679 0.28


7,300 Miraca Holdings Inc ............ 315 0.13

Home Builders

12,900

Daiwa House Industry Co

Ltd ....................................... 375 0.15

Home Furnishings

15,300 Sony Corp ........................... 446 0.18

Insurance

49,800

Dai-ichi Life Insurance Co

Ltd ....................................... 547 0.23

Iron and Steel

127,000 Japan Steel Works Ltd ......... 576 0.23

26,500

Nippon Steel & Sumitomo

Metal Corp .......................... 506 0.21

Machinery

29,700

Amada Holdings Co

Ltd ....................................... 299 0.12

3,300 FANUC Corp ...................... 532 0.22

105,000 Hitachi Ltd .......................... 434 0.18

32,200 Komatsu Ltd ........................ 555 0.23

Other Finance

21,100 Jafco Co Ltd ........................ 517 0.21

Real Estate

21,500 Hulic Co Ltd ........................ 225 0.09

58,100

Tokyu Fudosan Holdings

Corp ..................................... 359 0.15

Retail Trade

5,100 Izumi Co Ltd ....................... 198 0.08

20,200 Marui Group Co Ltd ............ 270 0.11

53,000 Takashimaya Co Ltd ........... 378 0.16


8,400 Tokyo Electron Ltd ............. 702 0.29

Toys, Games and Hobbies

3,300 Nintendo Co Ltd .................. 469 0.19

Transport

17,000 Kamigumi Co Ltd ............... 156 0.06

148,000 Nippon Yusen KK ............... 258 0.11

1,900

West Japan Railway

Co ........................................ 120 0.05

16,136 6.62

Number

of Shares

Fair Value

USD ‘000

Fund

%

Jersey, Channel Islands (0.35%)

Metals and Mining

7,503 Randgold Resources Ltd ..... 844 0.35

Korea, Republic of (1.67%)

Auto Components

14,830 Hankook Tire Co Ltd .......... 657 0.27

58,921 Hanon Systems ................... 537 0.22

Automobiles

1,181 Hyundai Motor Co .............. 139 0.06


62,402 BNK Financial Group Inc ... 437 0.18

Home Furnishings

6,624 Coway Co Ltd ..................... 601 0.24

Personal Products

7,886 Korea Kolmar Co Ltd ......... 685 0.28


490 Samsung Electronics Co Ltd 606 0.25

Telecommunications

2,613 KT Corp .............................. 67 0.03

23,808 KT Corp (ADR) .................. 340 0.14

4,069 1.67

Lebanon (0.01%)

Real Estate

3,180 Solidere (GDR) ................... 30 0.01

Luxembourg (0.88%)

Agriculture

5,816 Kernel Holding SA ............. 78 0.03

10,667 MHP SA ............................. 98 0.04

36,983 MHP SA (GDR) (US listed) 340 0.14

Household Products

182,819 Samsonite International SA 504 0.21

Metals and Mining

16,585 Tenaris SA (ADR) .............. 478 0.19

Real Estate

6,175 Grand City Properties SA ... 127 0.05

Retail Trade

155,185

B&M European Value Retail

SA ....................................... 529 0.22

2,154 0.88

Marshall Islands (0.27%)

Transport

15,600 Ardmore Shipping Corp ...... 106 0.05

25,600 Diana Shipping Inc ............. 62 0.03

4,700 Navigator Holdings Ltd ...... 54 0.02

23,158 Safe Bulkers Inc .................. 24 0.01

65,600 Scorpio Tankers Inc ............ 276 0.11

33,200 StealthGas Inc ..................... 125 0.05

647 0.27


Russell Alpha Fund


30 June 2016



Number

of Shares

Fair Value

USD ‘000

Fund

%

Mauritius (0.10%)

Agriculture

952,200

Golden Agri-Resources

Ltd ....................................... 248 0.10

Mexico (0.73%)

Beverages

6,400

Fomento Economico

Mexicano SAB de CV

(ADR) ................................. 592 0.24

Household Products

285,986

Kimberly-Clark de Mexico

SAB de CV .......................... 669 0.28

Retail Trade

217,266

Wal-Mart de Mexico SAB

de CV .................................. 518 0.21

1,779 0.73

Netherlands (1.52%)

Banks

88,528 ING Groep NV .................... 903 0.37

Beverages

9,787 Heineken NV ....................... 900 0.37

Chemicals

11,302 Akzo Nobel NV ................... 708 0.29

Insurance

84,992 Delta Lloyd NV ................... 300 0.12


7,764 Yandex NV ......................... 170 0.07

7,396 ASML Holding NV ............. 726 0.30

3,707 1.52

Norway (0.60%)

Banks

49,265 DNB ASA ........................... 585 0.24

Food Products

15,170 Marine Harvest ASA ........... 253 0.10

Oil and Gas

36,677 Statoil ASA ......................... 632 0.26

1,470 0.60

Philippines (0.25%)

Real Estate

741,879 Ayala Land Inc .................... 612 0.25

Puerto Rico (0.16%)

Banks

13,200 Popular Inc .......................... 387 0.16

Russia (1.28%)

Banks

145,091 Sberbank of Russia PJSC .... 304 0.12

86,932

Sberbank of Russia PJSC

(ADR) ................................. 757 0.31

Number

of Shares

Fair Value

USD ‘000

Fund

%

2,607


(ADR) (US Listed) ............. 23 0.01


66,123

Moscow Exchange MICEX-

RTS PJSC ........................... 116 0.05

Electric Utilities

250,686,83

4

Federal Grid Co Unified

Energy System PJSC .......... 608 0.25

443,165 RusHydro PJSC (ADR) ...... 403 0.17

Oil and Gas

82,880

Gazprom PAO ADR (US

Listed) ................................. 359 0.15

112,770 Gazprom PJSC .................... 247 0.10

1,405 Lukoil PJSC ........................ 59 0.02

1,535

Lukoil PJSC ADR (UK

Listed) ................................. 64 0.03

Retail Trade

36,965 Protek PJSC ........................ 48 0.02

Telecommunications

34,757

Mobile TeleSystems

PJSC ................................... 133 0.05

3,121 1.28

South Africa (0.77%)

Food Products

16,700 Bid Corp Ltd ....................... 315 0.13

16,792 Bidvest Group Ltd .............. 159 0.06


93,420 AVI Ltd .............................. 529 0.22

Metals and Mining

106,122

Impala Platinum Holdings

Ltd ...................................... 342 0.14

Telecommunications

55,247 MTN Group Ltd .................. 539 0.22

1,884 0.77

Spain (2.11%)


4,257 Aena SA .............................. 559 0.23

19,687 Ferrovial SA ....................... 381 0.16


76,986

Gamesa Corp Tecnologica

SA ....................................... 1,513 0.62

Gas Utilities

33 Enagas SA .......................... 1 0.00


6,400

Axiare Patrimonio SOCIMI

SA ....................................... 82 0.03

Retail Trade

50,937

Industria de Diseno Textil

SA ....................................... 1,693 0.69

Software

21,170

Amadeus IT Holding

SA ....................................... 924 0.38

5,153 2.11


Russell Alpha Fund


30 June 2016



Number

of Shares

Fair Value

USD ‘000

Fund

%

Sweden (0.74%)

Automobiles

33,505 Volvo AB ............................ 328 0.13

Banks

31,150 Swedbank AB ...................... 646 0.27

Metals and Mining

27,764 SKF AB ............................... 439 0.18

Retail Trade

13,220 Hennes & Mauritz AB ......... 385 0.16

1,798 0.74

Switzerland (2.59%)

Banks

30,938 UBS Group AG ................... 399 0.16

Food Products

18,753 Nestle SA ............................ 1,447 0.59

5,962 Nestle SA (ADR) ................ 461 0.19

Insurance

5,344 Chubb Ltd ........................... 699 0.29

Machinery

13,010 ABB Ltd .............................. 255 0.10

Pharmaceuticals

5,429 Roche Holding AG .............. 1,427 0.59

Retail Trade

12,409

Cie Financiere Richemont

SA ....................................... 723 0.30

3,559 Dufry AG ............................ 425 0.17

Software

9,833 Temenos Group AG ............ 490 0.20

6,326 2.59

Taiwan (0.83%)

Metals and Mining

82,227 Catcher Technology Co Ltd 605 0.25


6,560 Largan Precision Co Ltd ...... 599 0.25


161,476

Taiwan Semiconductor

Manufacturing Co Ltd ......... 813 0.33

2,017 0.83

Thailand (0.72%)

Banks

100,017 Kasikornbank PCL (NVDR) 484 0.20

Food Products

1,149,678 Thai Union Group PCL ....... 720 0.29


41,518 Siam Cement PCL (NVDR) 562 0.23

1,766 0.72

Turkey (0.74%)


379,432 Enka Insaat ve Sanayi AS ... 579 0.24

77,042

TAV Havalimanlari Holding

AS ....................................... 330 0.13

Number

of Shares

Fair Value

USD ‘000

Fund

%

Metals and Mining

17,064

Koza Altin Isletmeleri

AS ....................................... 76 0.03

Oil and Gas

14,189

Tupras Turkiye Petrol

Rafinerileri AS .................... 315 0.13

Real Estate

513,102

Emlak Konut Gayrimenkul

Yatirim Ortakligi AS .......... 510 0.21

1,810 0.74

United Kingdom (4.41%)

Agriculture

11,882

Imperial Tobacco Group

Plc ....................................... 644 0.26

Banks

7,873 Metro Bank Plc ................... 190 0.08

17,565 Shawbrook Group Plc ......... 40 0.02

Beverages

40,447 Diageo Plc .......................... 1,128 0.46

14,566 SABMiller Plc .................... 851 0.35


16,147 Schroders Plc ...................... 509 0.21

147,236 Worldpay Group Plc ........... 535 0.22

Entertainment

58,651 Merlin Entertainments Plc .. 345 0.14

Home Builders

65,476 Barratt Developments Plc ... 355 0.15

16,799 Persimmon Plc .................... 325 0.13

74,613 Taylor Wimpey Plc ............. 132 0.05

Home Furnishings

37,622 Howden Joinery Group Plc . 193 0.08

Household Products

15,002 Reckitt Benckiser Group Plc 1,502 0.62


61,025 Auto Trader Group Plc ....... 288 0.12

60,895 Just Eat Plc .......................... 347 0.14

Media

1,387 Liberty Global Plc ............... 45 0.02

13,476

Liberty Global Plc (Class A)

............................................. 392 0.16

Pharmaceuticals

54,974 GlaxoSmithKline Plc .......... 1,179 0.48


39,320 ARM Holdings Plc ............. 594 0.24

Telecommunications

130,794

TalkTalk Telecom Group

Plc ....................................... 383 0.16

255,264 Vodafone Group Plc ........... 777 0.32

10,754 4.41

United States (32.42%)

Agriculture

13,400 Cadiz Inc ............................. 79 0.03


Russell Alpha Fund


30 June 2016



Number

of Shares

Fair Value

USD ‘000

Fund

%

Airlines

5,865 SkyWest Inc ........................ 155 0.06

3,200 Spirit Airlines Inc ................ 144 0.06

Auto Components

25,206

Metaldyne Performance

Group Inc ............................ 347 0.14

Banks

15,400

Central Pacific Financial

Corp ..................................... 363 0.15

24,479 Citigroup Inc ....................... 1,038 0.43

16,500 Customers Bancorp Inc ....... 415 0.17

7,770 First Foundation Inc ............ 167 0.07

22,000 Fulton Financial Corp .......... 297 0.12

14,200 Kearny Financial Corp ........ 179 0.07

14,271 Morgan Stanley ................... 371 0.15

18,900

National Bank Holdings

Corp ..................................... 385 0.16

22,800

State Bank Financial

Corp ..................................... 464 0.19

22,675 State Street Corp ................. 1,223 0.50

15,700

United Community Banks

Inc/GA ................................. 287 0.12

12,100 Yadkin Financial Corp ........ 304 0.12

Biotechnology

4,767 Bio-Rad Laboratories Inc .... 682 0.28

2,985 Gilead Sciences Inc ............. 249 0.10

3,149

Ligand Pharmaceuticals

Inc ....................................... 376 0.16

76,852 NeoGenomics Inc ................ 618 0.25

Building Products

9,624 Apogee Enterprises Inc ....... 446 0.18

5,008 US Concrete Inc .................. 305 0.13

Chemicals

22,118 Dow Chemical Co ............... 1,099 0.45

17,650 Landec Corp ........................ 190 0.08

3,835 Praxair Inc ........................... 431 0.18

10,928 Univar Inc ........................... 207 0.08


13,736

AMN Healthcare Services

Inc ....................................... 549 0.23

51,000

ARC Document Solutions

Inc ....................................... 198 0.08

3,494 CoStar Group Inc ................ 764 0.31

17,842

Cross Country Healthcare

Inc ....................................... 248 0.10

132,000

Great Lakes Dredge & Dock

Corp ..................................... 576 0.24

20,600 HealthEquity Inc ................. 626 0.26

15,190 ICF International Inc ........... 621 0.25

8,300 Korn/Ferry International ...... 172 0.07

5,602

MarketAxess Holdings

Inc ....................................... 815 0.33

5,500

Matthews International

Corp ..................................... 306 0.13

14,761 Paylocity Holding Corp ....... 638 0.26

Number

of Shares

Fair Value

USD ‘000

Fund

%


7,011 Apple Inc ............................ 670 0.27

139,200 Ciber Inc ............................. 209 0.09

4,915

Electronics For Imaging

Inc ....................................... 212 0.09

54,146 EMC Corp .......................... 1,471 0.60

4,900 Engility Holdings Inc .......... 103 0.04

9,692 EPAM Systems Inc ............. 623 0.25

16,600 KEYW Holding Corp ......... 165 0.07

9,068 Manhattan Associates Inc ... 582 0.24

4,000 Mercury Systems Inc .......... 99 0.04

14,104 Virtusa Corp ....................... 407 0.17

14,500

Vocera Communications

Inc ....................................... 186 0.08


3,038 Dycom Industries Inc .......... 273 0.11

25,202 KBR Inc .............................. 334 0.14

37,000 Orion Group Holdings Inc .. 196 0.08

8,200 Primoris Services Corp ....... 155 0.06

19,600

Sterling Construction Co

Inc ....................................... 96 0.04

16,600 Tutor Perini Corp ................ 391 0.16

Distributors

5,644 G-III Apparel Group Ltd ..... 258 0.11

30,700 Libbey Inc ........................... 488 0.20

3,900

SiteOne Landscape Supply

Inc ....................................... 133 0.05

18,600 Titan Machinery Inc ........... 207 0.09


6,372 Ellie Mae Inc ...................... 584 0.24

14,300 FBR & Co ........................... 213 0.09

18,900 FNFV Group ....................... 217 0.09

28,778 Synchrony Financial ........... 728 0.30

23,556 Visa Inc ............................... 1,747 0.71

Electric Utilities

4,000 Allete Inc ............................ 259 0.11

5,200 PNM Resources Inc ............ 184 0.08

4,700

Portland General Electric

Co ....................................... 207 0.08


31,000 Corning Inc ......................... 635 0.26

25,840 Fluidigm Corp ..................... 233 0.10

5,200 Generac Holdings Inc ......... 182 0.07

16,293 Honeywell International Inc 1,895 0.78

8,378 Waters Corp ........................ 1,178 0.48

1,200 Woodward Inc .................... 69 0.03

Energy Equipment and Services

51,750 Pacific Ethanol Inc .............. 282 0.12


10,400 Covanta Holding Corp ........ 171 0.07

Food Products

22,036 Pinnacle Foods Inc .............. 1,020 0.42


Russell Alpha Fund


30 June 2016



Number

of Shares

Fair Value

USD ‘000

Fund

%

Gas Utilities

2,300 Chesapeake Utilities Corp ... 152 0.06

6,800

South Jersey Industries

Inc ....................................... 215 0.09


14,805 Milacron Holdings Corp ...... 215 0.09


6,541 ABIOMED Inc .................... 715 0.29

110,000 Accuray Inc ......................... 571 0.23

22,278 Glaukos Corp ...................... 650 0.27

4,619 Inogen Inc ........................... 231 0.09

11,800 Invacare Corp ...................... 143 0.06

5,157 Nevro Corp .......................... 380 0.16

12,832

Thermo Fisher Scientific

Inc ....................................... 1,896 0.78

18,059

Zimmer Biomet Holdings

Inc ....................................... 2,174 0.89


6,312 Acadia Healthcare Co Inc .... 350 0.14

9,245 Adeptus Health Inc .............. 478 0.20

Home Builders

12,900

Century Communities

Inc ....................................... 224 0.09

24,771 LGI Homes Inc .................... 791 0.33


13,200 Callaway Golf Co ................ 135 0.06

Insurance

19,120

CNO Financial Group

Inc ....................................... 334 0.14

7,500 Employers Holdings Inc ...... 218 0.09

1,800

Hanover Insurance Group

Inc ....................................... 152 0.06

14,600 Kemper Corp ....................... 452 0.18


33,135 8x8 Inc ................................ 484 0.20

98,854 Boingo Wireless Inc ............ 882 0.36

26,537 Pandora Media Inc .............. 330 0.14

19,384 Q2 Holdings Inc .................. 543 0.22

3,291 Stamps.com Inc ................... 288 0.12

27,797 TechTarget Inc .................... 225 0.09

Iron and Steel

11,600

Allegheny Technologies

Inc ....................................... 148 0.06

5,100

Carpenter Technology

Corp ..................................... 168 0.07

Media

22,188 Time Warner Inc ................. 1,632 0.67

16,583 Walt Disney Co ................... 1,622 0.66

Metals and Mining

21,587

Atkore International Group

Inc ....................................... 345 0.14

17,208 CONSOL Energy Inc .......... 277 0.11

6,020 Royal Gold Inc .................... 434 0.18

25,300 Westmoreland Coal Co ....... 241 0.10

Number

of Shares

Fair Value

USD ‘000

Fund

%


6,624 3M Co ................................. 1,160 0.48

29,700 FreightCar America Inc ...... 417 0.17

Oil and Gas

9,696

Anadarko Petroleum

Corp .................................... 516 0.21

30,300 Approach Resources Inc ..... 64 0.03

23,900 Bill Barrett Corp ................. 153 0.06

7,800 Gulfport Energy Corp ......... 244 0.10

13,407

Occidental Petroleum

Corp .................................... 1,013 0.41

46,000 Synergy Resources Corp ..... 306 0.13

Oil and Gas Services

10,400 Flotek Industries Inc ........... 137 0.05

12,800 Matrix Service Co ............... 211 0.09

22,200 Newpark Resources Inc ...... 129 0.05

68,200

TETRA Technologies

Inc ....................................... 434 0.18

Other Finance

22,500

Kennedy-Wilson Holdings

Inc ....................................... 427 0.18

7,700 Real Industry Inc ................. 60 0.02

Paper and Forest Products

10,300

Schweitzer-Mauduit

International Inc .................. 363 0.15

Pharmaceuticals

8,117 Cempra Inc ......................... 134 0.05

6,130

Pacira Pharmaceuticals

Inc ....................................... 207 0.09

19,866 Pfizer Inc ............................ 699 0.29

Real Estate

12,703 HFF Inc ............................... 367 0.15


34,300

CatchMark Timber Trust

Inc ....................................... 419 0.17

55,500 Cedar Realty Trust Inc ........ 412 0.17

17,300 Colony Starwood Homes .... 526 0.22

16,700 Equity Commonwealth ....... 486 0.20

24,000

FelCor Lodging Trust

Inc ....................................... 150 0.06

19,546 GEO Group Inc ................... 668 0.27

51,200 Gramercy Property Trust .... 472 0.19

4,200

Seritage Growth

Properties ............................ 209 0.09

14,000

Two Harbors Investment

Corp .................................... 120 0.05

Retail Trade

4,707

Casey's General Stores

Inc ....................................... 619 0.25

11,100

Destination XL Group

Inc ....................................... 51 0.02

5,586 Five Below Inc .................... 259 0.11

17,100 Freshpet Inc ........................ 160 0.07

12,337 Gap Inc ............................... 262 0.11

25,518 Habit Restaurants Inc .......... 418 0.17


Russell Alpha Fund


30 June 2016



Number

of Shares

Fair Value

USD ‘000

Fund

%

45,620 Kona Grill Inc ..................... 489 0.20

9,800

Lumber Liquidators

Holdings Inc ........................ 151 0.06

3,209 McDonald's Corp ................ 386 0.16

1,800 Shoe Carnival Inc ................ 45 0.02

26,814

Sportsman's Warehouse

Holdings Inc ........................ 216 0.09

2,824 Target Corp ......................... 197 0.08

6,301 Wal-Mart Stores Inc ............ 460 0.19

14,241 Zoe's Kitchen Inc ................. 517 0.21

Savings and Loans

33,200 Investors Bancorp Inc .......... 368 0.15

28,500 Meridian Bancorp Inc .......... 421 0.17

27,300

Northfield Bancorp

Inc ....................................... 405 0.17


26,841 Applied Materials Inc .......... 643 0.26

26,800

Applied Micro Circuits

Corp ..................................... 172 0.07

77,200 Exar Corp ............................ 621 0.26

20,126 Inphi Corp ........................... 645 0.26

13,988 Intel Corp ............................ 459 0.19

15,300 Ultratech Inc ........................ 351 0.14

28,500 Xcerra Corp ......................... 164 0.07

Software

22,600 Digi International Inc .......... 241 0.10

11,489 Guidewire Software Inc ...... 709 0.29

4,510 HubSpot Inc ........................ 195 0.08

19,100 InnerWorkings Inc ............... 157 0.07

15,065 Mindbody Inc ...................... 242 0.10

28,864 Oracle Corp ......................... 1,182 0.48

9,768 Proofpoint Inc ...................... 616 0.25

9,000 QAD Inc .............................. 173 0.07

1,708 Tyler Technologies Inc ........ 285 0.12

2,821

Ultimate Software Group

Inc ....................................... 593 0.24

Telecommunications

11,000 Aerohive Networks Inc ....... 73 0.03

1,400 Finisar Corp ......................... 25 0.01

5,300 Ooma Inc ............................. 43 0.02

3,100 Plantronics Inc ..................... 136 0.05

18,600 Viavi Solutions Inc .............. 123 0.05

Textile and Apparel

9,900 Crocs Inc ............................. 112 0.04

75,774

Sequential Brands Group

Inc ....................................... 605 0.25

Transport

9,260

Air Transport Services

Group Inc ............................ 120 0.05

9,800 Celadon Group Inc .............. 80 0.03

22,494

Knight Transportation

Inc ....................................... 598 0.25

7,688

Old Dominion Freight Line

Inc ....................................... 464 0.19

Number

of Shares

Fair Value

USD ‘000

Fund

%

16,900 Rand Logistics Inc .............. 17 0.01

14,576

United Parcel Service

Inc ....................................... 1,570 0.64

Water Utilities

6,200

California Water Service

Group .................................. 217 0.09

79,049 32.42

Total Common Stock ........ 203,794 83.57

Preferred Stock (1.07%) (2015: 1.39%)

Brazil (1.07%)

Banks

74,592 Banco Bradesco SA ............ 586 0.24

Electric Utilities

65,100

Centrais Eletricas Brasileiras

SA ....................................... 358 0.15

Iron and Steel

66,407 Vale SA .............................. 270 0.11

Oil and Gas

279,655 Petroleo Brasileiro SA ........ 822 0.34

Retail Trade

113,542 Lojas Americanas SA ......... 570 0.23

Total Preferred Stock ....... 2,606 1.07

Warrants (0.53%) (2015: 0.94%)

Netherlands (0.50%)

4,549 HCL Technologies Ltd ....... 49 0.02

16,164

Tata Consultancy Services

Ltd ...................................... 610 0.24

94,511 Titan Co Ltd ........................ 571 0.24

1,230 0.50

France (0.03%)

43,275 Peugeot SA ......................... 76 0.03

Total Warrants .................. 1,306 0.53

Total Transferable

Securities ........................... 207,706 85.17

Investment Funds (9.70%) (2015: 8.79%)

Ireland (5.69%)

13,122,222

BNY Mellon Absolute

Return Equity Fund ............. 13,717 5.63

13,498

iShares Gold Producers

UCITS ETF ......................... 156 0.06

13,873 5.69

Luxembourg (4.01%)

108,005

Fulcrum UCITS SICAV -

Fulcrum Alternative Beta

Plus Daily Fund .................. 9,784 4.01

Total Investment Funds .... 23,657 9.70

Total Investments

excluding Financial

Derivative Instruments ..... 231,363 94.87


Russell Alpha Fund


30 June 2016



Financial Derivative Instruments (3.66%) (2015:2.30)

Open Futures Contracts (0.49%) (2015: 1.00%)

Notional

Amount

USD ‘000

Average

Cost Price

USD

Unrealised

Gain (Loss)

USD ‘000

Fund

%

(8,857) (7,979.34)

111 of Swiss Market Index Futures

Short Futures Contracts

Expiring September 2016 .......................................... (235) (0.10)

(17,493) (7,987.58)

219 of FTSE 100 Index Futures


Expiring September 2016 .......................................... (1,310) (0.54)

(59,163) (1,183.26)

500 of Russell 2000 Mini Index Futures


Expiring September 2016 .......................................... 1,793 0.73

(32,333) (822.72)

786 of Mini MSCI Emerging Markets Index

Futures



(41,066) (2,105.93)

390 of S&P 500 E Mini Index Futures


Expiring September 2016 .......................................... 307 0.13

(999) (18,156.45)




(1,403) (467.71)

15 of Amsterdam Index Futures


Expiring July 2016 .................................................... (48) (0.02)

(20,058) (3,178.80)

631 of Euro Stoxx 50 Index Futures



(3,478) (10,700.11)

13 of DAX Index Futures



(643) (2,572.23)

5 of Hang Seng Index Futures


Expiring July 2016 .................................................... (32) (0.01)

(1,750) (624.92)

14 of S&P TSX 60 Index Futures


Expiring September 2016 .......................................... (6) 0.00

(1,353) (9,017.58)

15 of IBEX 35 Index Futures


Expiring July 2016 .................................................... (2) 0.00

(19,935) (12.94)

154 of TOPIX Index Futures


Expiring September 2016 .......................................... 1,239 0.51

(3,944) (4,694.87)

84 of CAC 40 Index Futures


Expiring July 2016 .................................................... (7) 0.00

(1,249) (3,844.08)

13 of SPI 200 Index Futures


Expiring September 2016 .......................................... (3) 0.00


Russell Alpha Fund


30 June 2016



Notional

Amount

USD ‘000

Average

Cost Price

USD

Unrealised

Gain (Loss)

USD ‘000

Fund

%

(2,100) (151.06)

139 of OMX 30 Index Futures


Expiring July 2016 .................................................... (63) (0.03)

Unrealised gain on open futures contracts ...................................................................... 3,392 1.39

Unrealised loss on open futures contracts ....................................................................... (2,190) (0.90)

Net unrealised gain (loss) on open futures contracts ................................................. 1,202 0.49

Open Forward Foreign Currency Exchange Contracts ((4.15)%) (2015:1.30%)

Settlement

Date

Amount

Bought '000

Amount

Sold '000

Unrealised

Gain (Loss)

USD ‘000

Fund

%

08/07/2016 AUD 438 USD 327 (1) 0.00

08/07/2016 AUD 438 USD 326 - 0.00

08/07/2016 AUD 438 USD 326 - 0.00

08/07/2016 AUD 270 USD 195 6 0.00

08/07/2016 CAD 570 USD 441 (2) 0.00

08/07/2016 CAD 570 USD 441 (2) 0.00

08/07/2016 CAD 570 USD 440 (2) 0.00

08/07/2016 CAD 327 USD 250 2 0.00

08/07/2016 CHF 160 USD 163 1 0.00

08/07/2016 CHF 2,191 USD 2,246 4 0.00

08/07/2016 CHF 2,191 USD 2,244 6 0.00

08/07/2016 CHF 2,191 USD 2,243 7 0.00

08/07/2016 CHF 330 USD 334 4 0.00

08/07/2016 EUR 1,652 USD 1,849 (14) (0.01)

08/07/2016 EUR 1,430 USD 1,589 (1) 0.00

08/07/2016 EUR 27,566 USD 30,782 (155) (0.06)

08/07/2016 EUR 27,543 USD 30,782 (180) (0.08)

08/07/2016 EUR 7,473 USD 8,324 (21) (0.01)

08/07/2016 EUR 27,556 USD 30,782 (165) (0.07)

08/07/2016 EUR 7,473 USD 8,312 (8) 0.00

08/07/2016 EUR 27,556 USD 30,782 (166) (0.07)

08/07/2016 EUR 7,473 USD 8,308 (4) 0.00

08/07/2016 EUR 840 USD 939 (6) 0.00

08/07/2016 GBP 19,750 USD 28,915 (2,513) (1.03)

08/07/2016 GBP 19,743 USD 28,915 (2,522) (1.03)

08/07/2016 GBP 3,279 USD 4,415 (32) (0.01)

08/07/2016 GBP 19,751 USD 28,915 (2,511) (1.03)

08/07/2016 GBP 3,279 USD 4,411 (27) (0.01)

08/07/2016 GBP 19,746 USD 28,915 (2,519) (1.03)

08/07/2016 GBP 3,279 USD 4,409 (25) (0.01)

08/07/2016 GBP 194 USD 283 (23) (0.01)

08/07/2016 GBP 130 USD 187 (14) (0.01)

08/07/2016 HKD 1,278 USD 165 - 0.00

08/07/2016 HKD 1,278 USD 165 - 0.00

08/07/2016 HKD 1,278 USD 165 - 0.00

08/07/2016 HKD 1,030 USD 133 - 0.00

08/07/2016 JPY 535,189 USD 5,208 10 0.00

08/07/2016 JPY 535,189 USD 5,207 10 0.00

08/07/2016 JPY 535,189 USD 5,209 8 0.00


Russell Alpha Fund


30 June 2016



Settlement

Date

Amount

Bought '000

Amount

Sold '000

Unrealised

Gain (Loss)

USD ‘000

Fund

%

08/07/2016 JPY 68,130 USD 622 42 0.02

08/07/2016 SEK 960 USD 113 - 0.00

08/07/2016 SEK 4,600 USD 544 (1) 0.00

08/07/2016 SEK 4,600 USD 543 - 0.00

08/07/2016 SEK 4,600 USD 543 - 0.00

08/07/2016 USD 489 AUD 674 (13) (0.01)

08/07/2016 USD 489 AUD 674 (13) (0.01)

08/07/2016 USD 489 AUD 674 (13) (0.01)

08/07/2016 USD 107 CAD 140 (1) 0.00

08/07/2016 USD 592 CAD 772 (2) 0.00

08/07/2016 USD 118 CAD 150 2 0.00

08/07/2016 USD 593 CAD 772 (2) 0.00

08/07/2016 USD 593 CAD 772 (2) 0.00

08/07/2016 USD 2,436 CHF 2,408 (36) (0.01)

08/07/2016 USD 236 CHF 230 (1) 0.00

08/07/2016 USD 2,438 CHF 2,408 (34) (0.01)

08/07/2016 USD 1,823 CHF 1,802 (26) (0.01)

08/07/2016 USD 2,437 CHF 2,408 (36) (0.01)

08/07/2016 USD 2,572 EUR 2,300 17 0.01

08/07/2016 USD 8,772 EUR 7,856 44 0.02

08/07/2016 USD 546 EUR 480 12 0.00

08/07/2016 USD 8,780 EUR 7,856 51 0.02

08/07/2016 USD 6,496 EUR 5,816 35 0.01

08/07/2016 USD 8,775 EUR 7,856 47 0.02

08/07/2016 USD 4,663 EUR 4,183 15 0.01

08/07/2016 USD 4,307 GBP 2,968 340 0.14

08/07/2016 USD 5,065 GBP 3,460 440 0.18

08/07/2016 USD 290 GBP 220 (4) 0.00

08/07/2016 USD 2,110 GBP 1,475 139 0.06

08/07/2016 USD 5,067 GBP 3,460 442 0.19

08/07/2016 USD 3,877 GBP 2,648 337 0.15

05/08/2016 USD 5,066 GBP 3,460 441 0.19

05/08/2016 USD 59 HKD 460 - 0.00

05/08/2016 USD 244 HKD 1,893 - 0.00

05/08/2016 USD 244 HKD 1,893 - 0.00

05/08/2016 USD 244 HKD 1,893 - 0.00

05/08/2016 USD 9,141 JPY 1,014,147 (745) (0.32)

05/08/2016 USD 9,148 JPY 1,014,147 (738) (0.31)

05/08/2016 USD 1,629 JPY 180,592 (132) (0.06)

05/08/2016 USD 2,328 SEK 19,360 42 0.02

05/08/2016 USD 327 AUD 438 1 0.00

05/08/2016 USD 326 AUD 438 - 0.00

05/08/2016 USD 326 AUD 438 - 0.00

05/08/2016 USD 441 CAD 570 2 0.00

05/08/2016 USD 441 CAD 570 2 0.00

05/08/2016 USD 440 CAD 570 2 0.00

05/08/2016 USD 2,249 CHF 2,191 (5) 0.00

05/08/2016 USD 2,247 CHF 2,191 (7) 0.00

05/08/2016 USD 2,247 CHF 2,191 (7) 0.00

05/08/2016 USD 8,333 EUR 7,473 22 0.01


Russell Alpha Fund


30 June 2016



Settlement

Date

Amount

Bought '000

Amount

Sold '000

Unrealised

Gain (Loss)

USD ‘000

Fund

%

05/08/2016 USD 8,320 EUR 7,473 8 0.00

05/08/2016 USD 8,316 EUR 7,473 4 0.00

05/08/2016 USD 4,417 GBP 3,279 33 0.01

05/08/2016 USD 4,412 GBP 3,279 27 0.01

05/08/2016 USD 4,410 GBP 3,279 25 0.01

05/08/2016 USD 165 HKD 1,278 - 0.00

05/08/2016 USD 165 HKD 1,278 - 0.00

05/08/2016 USD 165 HKD 1,278 - 0.00

05/08/2016 USD 5,212 JPY 535,189 (10) 0.00

05/08/2016 USD 5,212 JPY 535,189 (10) 0.00

05/08/2016 USD 5,214 JPY 535,189 (8) 0.00

05/08/2016 USD 545 SEK 4,600 1 0.00

05/08/2016 USD 544 SEK 4,600 - 0.00

05/08/2016 USD 543 SEK 4,600 - 0.00

Unrealised gain on open forward foreign currency exchange contracts ................................ 2,631 1.08

Unrealised loss on open forward foreign currency exchange contracts ................................ (12,759) (5.23)

Net unrealised gain (loss) on open forward foreign currency exchange contracts ............................. (10,128) (4.15)

Total Financial Derivative Instruments ................................................................................................. (8,926) (3.66)

Fair Value

USD ‘000

Fund

%

Total Financial Assets at Fair Value through Profit or Loss

(97.34%) ............................................................................................................................... 237,386 97.34

Total Financial Liabilities at Fair Value through Profit or

Loss ((6.13)%) ...................................................................................................................... (14,949) (6.13)

Net Financial Assets at Fair Value through Profit or Loss

(91.21%) .................................................................................................................................................... 222,437 91.21

Other Net Assets (8.79%) ......................................................................................................................... 21,434 8.79

Net Assets .................................................................................................................................................. 243,871 100.00

Abbreviation used:

ADR – American Depositary Receipt

GDR – Global Depositary Receipt

Analysis of gross assets (unaudited)

% of

gross assets

Transferable securities admitted to an official stock exchange listing ..................................................................... 79.96

Investment Funds (UCITS) ...................................................................................................................................... 9.11

Exchange trades financial derivative instruments .................................................................................................... 1.31

Over the counter financial derivative instruments ................................................................................................... 1.01

Other assets .............................................................................................................................................................. 8.61

100.00

The broker for the open futures contracts is Morgan Stanley.


Russell Alpha Fund


30 June 2016



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

Bank of America

Bank of Montreal

BNP Paribas

Brown Brothers Harriman & Co

Commonwealth Bank of Australia

HSBC

Royal Bank of Canada

State Street Bank and Trust

UBS AG

Fair Value Hierarchy (Note 12 b i))

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

measured at fair value at 30 June 2016 and 30 June 2015.

As at 30 June 2016

Level 1

USD ‘000

Level 2

USD ‘000

Level 3

USD ‘000

Total

USD ‘000

Assets

Financial assets at fair value through profit or loss:

Investments at fair value:

Transferable securities ............................................................... 206,400 1,306 - 207,706

Investment funds ........................................................................ 156 23,501 - 23,657

Unrealised gain on open futures contracts ..................................... 3,392 - - 3,392

Unrealised gain on forward foreign currency exchange

contracts ........................................................................................ - 2,631 - 2,631

Total assets ...................................................................................... 209,948 27,438 - 237,386

Liabilities

Financial liabilities at fair value through profit or loss:

Unrealised loss on open futures contracts ..................................... (2,190) - - (2,190)

Unrealised loss on forward foreign currency exchange

contracts ........................................................................................ - (12,759) - (12,759)

Total liabilities ................................................................................ (2,190) (12,759) - (14,949)

As at 30 June 2015

Level 1

USD ‘000

Level 2

USD ‘000

Level 3

USD ‘000

Total

USD ‘000

Assets



Transferable securities ............................................................... 176,506 1,960 - 178,466

Investment funds ........................................................................ 154 19,740 - 19,894

Unrealised gain on open futures contracts ..................................... 2,370 - - 2,370


contracts ........................................................................................ - 4,369 - 4,369

Total assets ...................................................................................... 179,030 26,069 - 205,099

Liabilities


Unrealised loss on open futures contracts ..................................... (103) - - (103)


contracts ........................................................................................ - (1,422) - (1,422)

Total liabilities ................................................................................ (103) (1,422) - (1,525)


Russell Alpha Fund


Listed below are the 20 largest cumulative investment purchases and sales during the financial year ended 30 June 2016


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



Acquisition Cost

USD ‘000 Portfolio Securities

Disposal Proceeds

USD ‘000

BNY Mellon Absolute Return Equity Western Digital Corp (2,806)

Fund 11,000 Seagate Technology Plc (2,528)

Zimmer Biomet Holdings Inc 2,898 Micron Technology Inc (2,359)

Bayer AG 2,210 Corning Inc (1,852)

Western Digital Corp 2,159 Pfizer Inc (1,794)

Micron Technology Inc 2,126 Reckitt Benckiser Group Plc (1,759)

Time Warner Inc 2,029 Zimmer Biomet Holdings Inc (1,722)

Reckitt Benckiser Group Plc 2,019 Legrand SA (1,616)

Legrand SA 1,952 Discover Financial Services (1,596)

Wirecard AG 1,952 Target Corp (1,571)

Renault SA 1,893 Oracle Corp (1,530)

Thermo Fisher Scientific Inc 1,868 Time Warner Inc (1,505)

Seagate Technology Plc 1,864 Anacor Pharmaceuticals Inc (1,487)

Peugeot SA 1,701 Pinnacle Foods Inc (1,480)

Visa Inc 1,700 Thermo Fisher Scientific Inc (1,460)

Valeo SA 1,659 Cott Corp (1,421)

Pfizer Inc 1,656 Carrefour SA (1,420)

Walt Disney Co 1,609 Renault SA (1,404)

Medtronic Plc 1,589 Visa Inc (1,386)

Accenture Plc 1,571 Accenture Plc (1,370)

Honeywell International Inc 1,563



Manager’s Report

Russell Multi Strategy Volatility Fund 41

Money Manager as at 30 June 2016 Russell Investment Management, LLC

Investment Objective Russell Multi Strategy Volatility Fund (the “Fund”) seeks to achieve its investment objective by investing in eligible financial

indices through Financial Derivative Instruments (“FDI”) (exchange traded or over-the-counter and including futures and options)

with the aim of the FDI being to remove directional or market exposure and for hedging or efficient portfolio management

purposes. For the purposes of covering the FDI positions, the Fund will invest in cash and cash equivalents (including money

market instruments, cash deposits, commercial paper and certificates of deposit).

Fund Performance

During financial year ended 30 June 2016, the Fund returned -8.5 per cent on a gross-of-fee basis (-10.2 per cent on a net-of-fee*

basis), while the benchmark* returned 6.4 per cent. (USD returns)

General Comment on Market and Fund

The Fund is a return seeking strategy that aims to benefit from several different aspects of market volatility and how it is priced

and traded. The strategy seeks to capture what is known as “volatility risk premia”, which is the difference between the volatility

of the targeted index which is anticipated by the market and the actual volatility which the targeted index eventually realises.

The Russell 1000 Index declined 6.8 per cent over the third quarter of 2015. China’s currency devaluation, amid slowing

economic growth, gave rise to a severe sell off in U.S. and global markets. These adverse international developments, in turn,

became a lead factor in preventing the U.S. Federal Reserve (the “Fed”) from raising its interest rate in September. While the

market initially spiked higher following news of the Fed hike delay, investors grew more concerned about global economic

growth, tilting demand away from risk and towards safe haven assets, such as treasuries. After the Fed’s September meeting,

Chair Yellen stated that, despite recent international developments, domestically “the economy has been performing well, and we

expect it to continue to do so”. At the time, second-quarter Gross Domestic Product (GDP) had been revised upwards to 3.7 per

cent, and was later revised higher to 3.9 per cent. Unemployment slipped to 5.1 per cent for August, its lowest in seven years,

assisted by a decline in the participation rate. However, non-farm payrolls missed expectations at 173,000 in August, following

upwardly revised readings for June (245,000) and July (223,000). Inflation was also lacklustre, slipping to -0.1 per cent in August

having read 0.3 per cent in June.

The Russell 1000 Index rose 6.5 per cent over the fourth quarter of 2015. In some regards the period was a repeat of the third

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

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

an event which had been largely priced in by the markets. This crystallised a diverging central bank policy environment between

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

eased further) and Japan. Economic growth was healthy, with third quarter GDP expanding 2.0 per cent. Employment numbers

were also supportive, as the unemployment rate remained within the 5.0 per cent range and non-farm payrolls increased

comfortably above 200,000 each month during the quarter. Driven by overall positive economic growth, strong employment as

well as housing data, the Fed’s Open Market Committee (FOMC) unanimously decided to lift the interest rate by 25 basis points

to 0.5 per cent. The central bank’s accompanying statement revealed that its policy would “remain accommodative” and that “the

actual path of [increases in] the federal funds rate will depend on the economic outlook as informed by incoming data”.

The Russell 1000 Index rose 1.2 per cent over the first quarter of 2016. The period was characterised by two halves. The first half

of the quarter was characterised by slowing growth in China coupled with an ongoing commodities rout (especially in oil), which

contributed to significant market volatility and substantial risk-off sentiment. However, in the latter part of the quarter there was a

rebound in the traditional cyclical areas of the market driven in part by more dovish rhetoric from the Fed alongside oil price

stabilisation. GDP growth during the fourth quarter of 2015 was revised further upwards to 1.4 per cent. Nonfarm payrolls also

rose by 242,000 in February and the core inflation rate (2.3 per cent in February) was slightly above expectations of 2.2 per cent.

However, at the first quarter FOMC meeting, Fed Chair Yellen explained that even though domestic “economic forecasts have

not changed much since December”, this was being overshadowed by “global economic and financial developments”, posing a

risk to growth. As a result, FOMC “dots” reduced to two possible interest rate hikes this year down from four earlier in the year.

The Russell 1000 Index rose 2.5 per cent over the second quarter of 2016. U.S. markets gained over the period despite the

startling result of the U.K.’s referendum on European Union membership. U.K.’s decision to leave the E.U. threw worldwide

markets into turmoil in the last days of June. However, equities were bolstered during the period by stronger oil prices and a more

cautious Fed. The final first quarter GDP growth rate was revised upwards to 1.1 per cent, beating estimates of 1.0 per cent.

However, a poor jobs report in May, with non-farm payrolls only advancing by 38,000 versus the 164,000 expected, seriously

dented hopes for a June Fed rate hike. Inflation also continued to remain below target at 1.0 per cent in May, whilst retail sales

(2.5 per cent) did not match estimates for a 3.0 per cent growth over the same period. This mixed economic data, combined with

market uncertainties, left the Fed in a position to be more cautious in raising interest rates for the rest of the year.




42 Russell Multi Strategy Volatility Fund

Company’s Market Outlook

Our strategists have a broadly neutral view between equities and bonds



evenly distributed as small overweights to the other regions. We’re neutral Emerging Markets (EM), where attractive valuations

are offset by business cycle headwinds from deleveraging risks, along with the potential for further Fed tightening.


Our process scores government bonds poorly on value as 10 year yields in all the major developed markets are near record lows at

the end of the second quarter of 2016. On balance, however, the cycle is neutral. Cycle pressures are moderately negative in the







albeit with the USD pushing towards the top of that range. There is some downside risk for the Euro and Japanese Yen if central

banks adopt more unconventional easing. But this is likely to be limited, since both currencies are relatively cheap and have

already priced in significant monetary policy accommodation. We like the value in Emerging Market (EM) currencies, but the

downside risks to the Chinese Renminbi keep us concerned about the risks of further depreciation for EM currencies in general.






rallies”.

Past performance is no indication of present or future performance.

* Benchmark Source: USD Libor 1 Month +6 per cent pa


August 2016



Balance Sheet

As at 30 June 2016



30 June 2016

USD ‘000

30 June 2015

USD ‘000

Assets

Financial assets at fair value through profit or loss (Note 2) ................................................ 171,209 211,427

Cash at bank (Note 3) ........................................................................................................... 40,024 34,881


(Note 3) ................................................................................................................................. 10,748 5,806

Debtors:

Receivable for investments sold .......................................................................................... - 844

Receivable on fund shares issued ........................................................................................................... - 102

Interest receivable ................................................................................................................ 123 124

222,104 253,184

Liabilities

Financial liabilities at fair value through profit or loss (Note 2) ...................................... (15,564) (18,523)


Payable on fund shares redeemed ....................................................................................... (100) -

Management fees payable ................................................................................................... (309) (344)

Depositary fees payable ...................................................................................................... (9) (3)

Sub-custodian fees payable ................................................................................................. (14) (6)

Administration fees payable ................................................................................................ (6) (10)

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

Other fees payable ............................................................................................................... (3) -

(16,029) (18,910)

Net asset value attributable to redeemable participating shareholders ......................... 206,075 234,274







2016

USD ‘000

2015*

USD ‘000

Income

Interest income .............................................................................................................................................. 521 142

Net gain (loss) on investment activities (Note 4) .................................................................. (21,908) 12,553

Total investment income (expense) ................................................................................... (21,387) 12,695

Expenses

Management fees (Note 5) .................................................................................................. (4,672) (1,150)

Depositary fees (Note 6) ...................................................................................................... (26) (5)

Sub-custodian fees (Note 6) ................................................................................................ (54) (11)

Administration and transfer agency fees (Note 6) ............................................................... (107) (24)

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

Professional fees .................................................................................................................. (26) (10)

Other fees ............................................................................................................................ (28) -

Total operating expenses .................................................................................................... (4,937) (1,224)


shareholders resulting from operations ............................................................................ (26,324) 11,471


Account.

* The Fund launched on 29 January 2015.







2016

USD ‘000

2015*

USD ‘000


shareholders resulting from operations .................................................................................... (26,324) 11,471

Share transactions


transactions (Note 10) ......................................................................................................... (1,875) 222,803

Total net increase in net assets attributable to redeemable participating

shareholders ................................................................................................................................ (28,199) 234,274


Beginning of financial year ................................................................................................. 234,274 -

End of financial year ........................................................................................................... 206,075 234,274

* The Fund launched on 29 January 2015.




30 June 2016



Principal

Amount

Fair Value

USD ‘000

Fund

%

Transferable Securities (11.25%) (2015: 28.16%)

Long Term Bonds and Notes (0.96%) (2015:

15.73%)

Toyota Motor Credit Corp

USD 2,000,000 1.026% due 12/03/20 ....... 1,988 0.96

Total Long Term Bonds

and Notes ............................ 1,988 0.96

Short Term Investments (10.29%) (2015:

12.43%)

Sweden (0.40%)

Svenska Handelsbanken AB

833,000 3.125% due 12/07/16 ....... 833 0.40


Federal Home Loan Bank

2,275,000

Zero Coupon due

19/07/16 ........................... 2,275 1.10

5,000,000

Zero Coupon due

27/07/16 ........................... 4,999 2.43

Federal Home Loan Bank

Discount Notes

600,000

Zero Coupon due

06/07/16 ........................... 600 0.29

4,300,000

Zero Coupon due

13/07/16 ........................... 4,300 2.09

5,400,000

Zero Coupon due

20/07/16 ........................... 5,400 2.62

1,800,000

Zero Coupon due

22/07/16 ........................... 1,800 0.87

International Bank for

Reconstruction &

Development

1,000,000 0.453% due 26/07/16 ....... 1,000 0.49

Total Short Term

Investments ........................ 21,207 10.29

Total Transferable

Securities ............................ 23,195 11.25

Certificates of Deposit (5.31%) (2015: 3.97%)

France (1.12%)

Societe Generale

Institutional

1,500,000 0.580% due 01/07/16 ....... 1,500 0.73

Credit Agricole SA

810,000 0.860% due 07/07/16 ....... 811 0.39

2,311 1.12

Japan (0.44%)

Mizuho Bank Ltd

900,000 0.700% due 01/07/16 ....... 900 0.44

Sweden (0.48%)

Svenska Handelsbanken AB

1,000,000 0.827% due 17/01/17 ....... 1,000 0.48

Principal

Amount

Fair Value

USD ‘000

Fund

%


Citibank

2,000,000 0.710% due 07/07/16 ...... 2,000 0.97

HSBC Bank USA

2,239,000 0.860% due 14/11/16 ...... 2,240 1.09

State Street Bank and Trust

2,500,000 0.848% due 07/12/16 ...... 2,500 1.21

6,740 3.27

Total Certificates of

Deposit ............................... 10,951 5.31

Commercial Papers (26.61%) (2015: 14.59%)

Bermuda (1.21%)

Novartis Securities

Investment

2,495,000

Zero Coupon due

12/07/16 .......................... 2,495 1.21

Canada (3.48%)

Caisse Centrale Desjardins

2,400,000

Zero Coupon due

05/07/16 .......................... 2,400 1.17

Ontario Teachers Finance

Trust

1,365,000

Zero Coupon due

04/10/16 .......................... 1,362 0.66

Province of Ontario

1,000,000

Zero Coupon due

11/07/16 .......................... 1,000 0.49

Province of Quebec

2,400,000

Zero Coupon due

08/07/16 .......................... 2,400 1.16

7,162 3.48

France (1.21%)

BNP Paribas SA

2,500,000

Zero Coupon due

06/07/16 .......................... 2,500 1.21

Japan (1.17%)

Bank of Tokyo Mitsubishi

UFJ Ltd

2,400,000

Zero Coupon due

05/07/16 .......................... 2,400 1.17

Luxembourg (1.16%)

European Investment Bank

2,400,000

Zero Coupon due

26/07/16 .......................... 2,399 1.16

Netherlands (1.16%)

Cooperatieve Centrale

Rabobank

2,400,000

Zero Coupon due

06/07/16 .......................... 2,400 1.16




30 June 2016



Principal

Amount

Fair Value

USD ‘000

Fund

%

Norway (1.24%)

DNB ASA

2,550,000

Zero Coupon due

19/08/16 ........................... 2,548 1.24


Anheuser-Busch InBev

Worldwide Inc

1,500,000

Zero Coupon due

07/07/16 ........................... 1,500 0.73

Apple Inc

2,400,000

Zero Coupon due

06/07/16 ........................... 2,400 1.17

Atlantic Asset Securitization

1,520,000

Zero Coupon due

15/07/16 ........................... 1,520 0.74

Barton Capital LLC

700,000

Zero Coupon due

06/07/16 ........................... 700 0.34

Coca-Cola Co

1,000,000

Zero Coupon due

04/01/17 ........................... 995 0.48

Eni Finance USA

2,500,000

Zero Coupon due

05/07/16 ........................... 2,500 1.21

Export Development

Corporation

1,500,000

Zero Coupon due

05/07/16 ........................... 1,500 0.73

Fairway Finance Company

LLC

1,223,000

Zero Coupon due

15/07/16 ........................... 1,223 0.59

Gotham Funding Corporation

2,500,000

Zero Coupon due

13/07/16 ........................... 2,500 1.21

Jupiter Securitization Co LLC

1,880,000

Zero Coupon due

01/07/16 ........................... 1,880 0.91

Manhattan Asset Funding

LLC

2,000,000

Zero Coupon due

18/07/16 ........................... 2,000 0.97

595,000

Zero Coupon due

20/07/16 ........................... 595 0.29

Nestle Capital Corp

1,225,000

Zero Coupon due

08/08/16 ........................... 1,223 0.59

Principal

Amount

Fair Value

USD ‘000

Fund

%

1,000,000

Zero Coupon

due 06/09/16 ................... 999 0.49

Nieuw Amsterdam

Receivables Corp

2,400,000

Zero Coupon due

08/07/16 ......................... 2,400 1.17

Old Line Funding LLC

2,000,000

Zero Coupon due

18/08/16 .......................... 1,998 0.97

PACCAR Financial Corp

2,500,000

Zero Coupon due

13/07/16 .......................... 2,500 1.21

Pfizer Inc

2,000,000

Zero Coupon due

25/08/16 .......................... 1,998 0.97

Sheffield Receivables Corp

2,500,000

Zero Coupon due

07/07/16 .......................... 2,500 1.21

32,931 15.98

Total Commercial Papers . 54,835 26.61

Money Market Instruments (29.06%) (2015:

36.30%)


U.S. Treasury Bills

7,400,000

Zero Coupon due

21/07/16* ........................ 7,399 3.59

7,000,000

Zero Coupon due

25/08/16** ...................... 6,998 3.39

7,500,000

Zero Coupon due

06/10/16** ...................... 7,495 3.64

7,500,000

Zero Coupon due

08/09/16** ...................... 7,497 3.64

7,500,000

Zero Coupon

due 22/09/16** ................ 7,496 3.64

7,500,000

Zero Coupon due

11/08/16** ...................... 7,498 3.64

8,000,000

Zero Coupon due

13/10/16** ...................... 7,995 3.88

7,500,000

Zero Coupon due

18/08/16** ...................... 7,498 3.64

Total Money Market

Instruments ....................... 59,876 29.06

Total Investments

excluding Financial


Financial Derivative Instruments (3.29%) (2015: 0.69%)

Open Futures Contracts ((2.89)%) (2015: 0.07%)

Notional

Amount

USD ‘000

Average

Cost Price

USD

Unrealised

Gain (Loss)

USD ‘000

Fund

%

2,822

22.58

125 of CBOE Volatility Index Future

Long Futures Contracts

Expiring July 2016 .................................................... (700) (0.34)




30 June 2016



Notional

Amount

USD ‘000

Average

Cost Price

USD

Unrealised

Gain (Loss)

USD ‘000

Fund

%

(3,159)

(21.06)




1,876

20.85



Expiring December 2016 .......................................... (74) (0.04)

(172,223)

(2,026.16)



Expiring September 2016 .......................................... (5,444) (2.64)

Unrealised gain on open futures contracts ...................................................................... 272 0.13

Unrealised loss on open futures contracts ....................................................................... (6,218) (3.02)

Net unrealised loss on open futures contracts ............................................................ (5,946) (2.89)

Open Forward Foreign Currency Exchange Contracts (2.01%) (2015: 0.57%)

Settlement

Date

Amount

Bought ‘000

Amount

Sold ‘000

Unrealised

Gain (Loss)

USD ‘000

Fund

%

08/07/2016 AUD 1,208 USD 899 - 0.00

08/07/2016 AUD 54,730 USD 39,666 1,081 0.52

08/07/2016 AUD 54,708 USD 39,666 1,065 0.52

08/07/2016 AUD 54,719 USD 39,666 1,073 0.52

08/07/2016 AUD 54,687 USD 39,666 1,049 0.51

08/07/2016 EUR 11 USD 12 - 0.00

08/07/2016 EUR 463 USD 517 (3) 0.00

05/08/2016 EUR 233 USD 259 - 0.00

08/07/2016 USD 7,836 AUD 10,696 (127) (0.06)

08/07/2016 USD 259 EUR 228 5 0.00

08/07/2016 USD 271 EUR 244 - 0.00

Unrealised gain on open forward foreign currency exchange contracts ......................................... 4,273 2.07

Unrealised loss on open forward foreign currency exchange contracts .......................................... (130) (0.06)

Net unrealised gain on open forward foreign currency exchange contracts ........................... 4,143 2.01

Options Purchased (8.64%) (2015: 6.29%)

Notional

Amount

USD ‘000

Fair Value

USD ‘000

Fund

%

United States

2300

Call at 30 of CBOE Volatility Index

Expiring October 2016 ................................................................................................. 241 0.12

5000


Expiring July 2016 ....................................................................................................... 113 0.05

6800

Put at 15 of CBOE Volatility Index

Expiring December 2016 ............................................................................................. 459 0.22

6900


Expiring July 2016 ....................................................................................................... 345 0.17

433

Call at 2,110 of S&P 500 Index

Expiring July 2016 ....................................................................................................... 776 0.38

1855



2300






30 June 2016



Notional

Amount

USD ‘000

Fair Value

USD ‘000

Fund

%

6500



255


Expiring July 2016 ....................................................................................................... 1,111 0.54

4600


Expiring July 2016 ....................................................................................................... 242 0.12

633


Expiring July 2016 ....................................................................................................... 39 0.02

2766


Expiring August 2016 .................................................................................................. 1,860 0.89

6500


Expiring August 2016 .................................................................................................. 341 0.17

4600


Expiring July 2016 ....................................................................................................... 219 0.11

4500


Expiring July 2016 ....................................................................................................... 79 0.04

255

Put at 1,900 of S&P 500 Index

Expiring July 2016 ....................................................................................................... 76 0.04

3200


Expiring September 2016 ............................................................................................. 1,518 0.73

2766



2766


Expiring September 2016 ............................................................................................. 2,422 1.19

288


Expiring August 2016 .................................................................................................. 704 0.34

2766

Call at 32.5 of CBOE Volatility Index


288


Expiring August 2016 .................................................................................................. 934 0.45

288


Expiring August 2016 .................................................................................................. 165 0.08

5000

Put at 14.5 of CBOE Volatility Index

Expiring July 2016 ....................................................................................................... 100 0.05

2500


Expiring July 2016 ....................................................................................................... 200 0.10

2500


Expiring July 2016 ....................................................................................................... 181 0.09

433


Expiring July 2016 ....................................................................................................... 804 0.38

922


Expiring November 2016 ............................................................................................. 177 0.09

2766



2355


Expiring July 2016 ....................................................................................................... 12 0.01

9000


Expiring July 2016 ....................................................................................................... 113 0.05

4400


Expiring July 2016 ....................................................................................................... 33 0.02

3233


Expiring August 2016 .................................................................................................. 1,629 0.78

6500



Total options purchased at fair value (Premium paid USD’000 16,859,598) ................. 17,807 8.64




30 June 2016



Options Written ((4.47)%) (2015: (7.62)%)

Notional

Amount

USD ‘000

Fair Value

USD ‘000

Fund

%

(440)


Expiring July 2016 ....................................................................................................... (693) (0.34)

(43)


Expiring July 2016 ....................................................................................................... (464) (0.23)

(28)


Expiring August 2016 .................................................................................................. (194) (0.09)

(

(500)


Expiring July 2016 ....................................................................................................... (388) (0.19)

(9)


Expiring July 2016 ....................................................................................................... (54) (0.03)

(500)


Expiring July 2016 ....................................................................................................... (1,113) (0.54)

(230)


Expiring December 2016 ............................................................................................. (115) (0.06)

(276)


Expiring December 2016 ............................................................................................. (110) (0.05)

(100)


Expiring July 2016 ....................................................................................................... (37) (0.02)

(850)


Expiring July 2016 ....................................................................................................... (255) (0.12)

(250)


Expiring July 2016 ....................................................................................................... (619) (0.30)

(9)


Expiring July 2016 ....................................................................................................... (49) (0.02)

(9)


Expiring July 2016 ....................................................................................................... (65) (0.03)

(9)


Expiring July 2016 ....................................................................................................... (71) (0.03)

(710)


Expiring July 2016 ....................................................................................................... (675) (0.33)

(9)


Expiring July 2016 ....................................................................................................... (59) (0.03)

(276)


Expiring October 2016 ................................................................................................. (83) (0.04)

(595)


Expiring September 2016 ............................................................................................. (536) (0.26)

(28)


Expiring August 2016 .................................................................................................. (477) (0.23)

(28)


Expiring August 2016 .................................................................................................. (533) (0.26)

(250)


Expiring July 2016 ....................................................................................................... (663) (0.32)

(250)


Expiring July 2016 ....................................................................................................... (238) (0.12)

(460)


Expiring July 2016 ....................................................................................................... (886) (0.43)

(230)


Expiring October 2016 ................................................................................................. (92) (0.04)

(92)


Expiring November 201 ............................................................................................... 6 (69) (0.03)

(276)


Expiring November 2016 ............................................................................................. (110) (0.05)




30 June 2016



Notional

Amount

USD ‘000

Fair Value

USD ‘000

Fund

%

(598)


Expiring August 2016 .................................................................................................. (568) (0.28)

Total options written at fair value (Premium received USD (15,729,137)) .................... (9,216) (4.47)

Total financial derivative instruments ...................................................................................................... 6,788 3.29

Fair Value

USD ‘000

Fund

%

Total Financial Assets at Fair Value through Profit or

Loss (83.07%) ............................................................................................................................................ 171,209 83.07


Loss ((7.55)%) ........................................................................................................................................... (15,564) (7.55)

Net Financial Assets at Fair Value through Profit or

Loss (75.52%) ............................................................................................................................................ 155,645 75.52

Other Net Assets (24.48%) ....................................................................................................................... 50,430 24.48

Net Assets .................................................................................................................................................. 206,075 100.00

* Partly held as collateral by the brokers and counterparties in connection with the margin requirements for futures contracts and collateral

purposes for over the counter financial derivative instruments held by the Fund.

** Held as collateral by the brokers in connection with the margin requirements for futures contracts and collateral purposes for over the

counter financial derivative instruments held by the Fund.

Analysis of gross assets (unaudited)

% of

gross assets


Transferable securities dealt in on another regulated market ................................................................................... 10.52

Certificate of deposits .............................................................................................................................................. 4.93

Commercial paper .................................................................................................................................................... 24.69

Money market instruments ....................................................................................................................................... 26.96



Other assets .............................................................................................................................................................. 21.57

100.00

The broker for the open futures contracts is Goldman Sachs.


Bank of America

Bank of Montreal

Commonwealth Bank of Australia

HSBC Bank

Royal Bank of Canada

State Street Bank & Trust Company

The counterparty for the options is Goldman Sachs.




30 June 2016




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

measured at fair value at 30 June 2016 and 30 June 2015.

As at 30 June 2016

Level 1

USD ‘000

Level 2

USD ‘000

Level 3

USD ‘000

Total

USD ‘000

Assets



Transferable securities ............................................................... - 23,195 - 23,195

Certificates of deposits .............................................................. - 10,951 - 10,951

Commercial paper ...................................................................... - 54,835 - 54,835

Money market instruments ........................................................ - 59,876 - 59,876

Unrealised gain on open futures contracts ..................................... 272 - - 272

Options purchased at fair value ..................................................... 17,807 - - 17,807


contracts ........................................................................................ - 4,273 - 4,273

Total assets ...................................................................................... 18,079 153,130 - 171,209

Liabilities



Options written at fair value .......................................................... (9,216) - - (9,216)


contracts ........................................................................................ - (130) - (130)

Total liabilities ................................................................................ (15,434) (130) - (15,564)

As at 30 June 2015

Level 1

USD ‘000

Level 2

USD ‘000

Level 3

USD ‘000

Total

USD ‘000

Assets



Transferable securities ............................................................... - 65,971 - 65,971

Certificates of deposits .............................................................. - 9,300 - 9,300

Commercial paper ...................................................................... - 34,201 - 34,201

Money market instruments ........................................................ - 85,035 - 85,035


Options purchased at fair value ..................................................... 14,723 - - 14,723


contracts ........................................................................................ - 1,364 - 1,364

Total assets ...................................................................................... 15,556 195,871 - 211,427

Liabilities


Unrealised loss on open futures contracts ..................................... (660) - - (660)

Options written at fair value .......................................................... (17,849) - - (17,849)


contracts ........................................................................................ - (14) - (14)





Listed below are cumulative investment purchases and cumulative investment sales in excess of 1 per cent of total investment

purchases or sales respectively during the financial year ended 30 June 2016.





Acquisition Cost

USD ‘000 Portfolio Securities

Disposal Proceeds

USD ‘000

Russell Investment Company III Russell Investment Company III

The U.S. Dollar Cash Fund II 91,799 The U.S. Dollar Cash Fund II (91,825)

U.S. Treasury Bills U.S. Treasury Bills

Zero Coupon due 10/12/2015 59,998 Zero Coupon due 28/04/2016 (38,508)

Federal Home Loan Bank Discount Notes Zero Coupon due 03/03/2016 (35,014)

Zero Coupon due 16/10/2015 57,000 Federal Home Loan Bank Discount Notes

U.S. Treasury Bills Zero Coupon due 23/09/2015 (33,000)

Zero Coupon due 17/09/2015 52,500 U.S. Treasury Bills

Federal Agricultural Mortgage Corp Zero Coupon due 31/03/2016 (27,327)







Zero Coupon due 28/04/2016 30,986 U.S. Treasury Notes


Zero Coupon due 07/10/2015 30,000 U.S. Treasury Bills



Federal Agricultural Mortgage Corp Federal Home Loan Bank Discount Notes


Federal Home Loan Bank Discount Notes U.S. Treasury Bills





Federal Home Loan Bank Discount Notes Federal Home Loan Bank Discount Notes



U.S. Treasury Bills

Zero Coupon due 14/01/2016 24,298

Federal Home Loan Mortgage Corp

Zero Coupon due 07/10/2015 23,900

Federal Home Loan Bank Discount Notes

Zero Coupon due 16/09/2015 23,505

Federal Agricultural Mortgage Corp

Zero Coupon due 05/10/2015 20,219


Zero Coupon due 02/12/2015 20,025

Zero Coupon due 02/10/2015 20,000

U.S. Treasury Bills

Zero Coupon due 15/10/2015 20,000


Zero Coupon due 18/02/2016 20,000

U.S. Treasury Bills

Zero Coupon due 01/10/2015 20,000

Zero Coupon due 12/11/2015 19,999

Zero Coupon due 17/03/2016 19,996



Schedule of Changes in Composition of Portfolio (unaudited) - continued





Acquisition Cost

USD ‘000

Zero Coupon due 10/03/2016 19,996

Zero Coupon due 31/03/2016 19,996

Federal Agricultural Mortgage Corp

Zero Coupon due 06/10/2015 19,519


Zero Coupon due 14/01/2016 19,294



Manager’s Report

Russell Global Regional Equity Fund 55

Money Manager as at 30 June 2016 Ceredex Value Advisors, LLC

Hermes Sourcecap Limited

HS Management Partners, LLC

Jacobs Levy Equity Management, Inc.

Lazard Asset Management, LLC

Mar Vista Investment Partners, LLC

Numeric Investors, LLC

Pzena Investment Management

Wellington Management Company

Zebra Capital Management

Fund Performance During financial year ended 30 June 2016, the Russell Global Regional Equity Fund (the “Fund”) (A Euro Class) returned -2.0

per cent on a gross-of-fee basis (-2.2 per cent on a net-of-fee basis), while the benchmark* returned -1.6 per cent.

Market Comment

Global equities, as measured by the benchmark fell 8.44 per cent in the third quarter of 2015. Early in the quarter, the renewed

bailout deal with Greece brought a degree of harmony in Europe. This positive development soon became a distant memory, as

two central stories unfolded over the period. In China, the country’s devaluation of its currency, amid slowing growth, gave rise

to a severe sell off in global markets. This, in turn, became a lead factor in preventing the U.S. Federal Reserve (the “Fed”) from

raising its interest rate in September. The combination of these major events engendered the fourth biggest quarterly increase in

volatility in the past 10 years, as measured by the Chicago Board Options Exchange’s Vix Index. It also handed over renewed

market uncertainty to the final quarter of this year.

The benchmark rose 8.4 per cent over the last quarter of 2015 but fell 4.5 per cent for the month of December. Global markets

gained in aggregate over the fourth quarter as the negative effects of China’s third-quarter slowdown began to fade and the Fed

moved towards policy tightening, exhibiting confidence in the American economy’s steady recovery. In Europe, investors were

slightly disappointed by the European Central Bank’s (the “ECB”) timid actions to quell sluggish growth, whilst the downward

trend of the oil price weighed on EM. In Japan, equities surged 9.2 per cent with the nation’s economy escaping a technical

recession as third quarter GDP growth was revised upwards from -0.8 per cent to +1.0 per cent on an annualised basis. The Bank

of Japan (BoJ) also left its interest rate unchanged and would continue to buy government bonds at an annual pace of YEN 80

trillion. EM had a positive quarter in aggregate, gaining 2.6 per cent. China recovered well, with equity markets moving up by 9.3

per cent. While exports figures were poor, other domestic economic data proved encouraging, including improving industrial

production figures and retail sales, as well as annualised GDP growth that exceeded expectations.

Global equities, as measured by the benchmark fell 5 per cent over the first quarter of 2016 in U.S. Dollar terms. The period was

characterised by two halves. In the first half, slowing growth in China coupled with an ongoing commodities rout (especially in

oil), engendered significant market volatility and a considerable risk off sentiment. However in the latter part of the quarter, more

accommodative central bank policies alongside oil price stabilisation, thawed sentiment for global equities to some degree. At the

Federal Open Market Committee (FOMC) meeting, Fed Chair Yellen explained that whilst economic “forecasts have not changed

much since December”, this was being overshadowed by “global economic and financial developments”, posing a risk to growth.

As a result, FOMC “dots” reduced to two possible interest rate hikes this year, as opposed to four. In Europe, the ECB President

Draghi delivered on his promise to do “whatever it takes” by introducing raft of new accommodative stimulus measures in an

effort to boost eurozone inflation and encourage new credit provision. The central bank reduced its main refinancing rate to 0.0

per cent, whilst quantitative easing (QE) was increased to EUR 80 billion a month. In addition, the ECB initiated another targeted

longer-term refinancing operation (TLTRO II).

The benchmark rose 3.6 per cent for the second quarter of 2016. Global markets gained over the second quarter despite the

startling result of the U.K.’s referendum on European Union (E.U.) membership. U.K’.s decision to leave the E.U. threw

worldwide markets into turmoil in the last days of June. However, equities were bolstered during the period by stronger oil prices,

a cautious Fed, and additional easing from the ECB. In the U.S. (2.5 per cent), the final first quarter GDP growth rate was revised

upwards to 1.1 per cent quarter on quarter, beating estimates of 1.0 per cent. However, a poor jobs report in May, with non-farm

payrolls only advancing by 38,000 versus the 164,000 expected, seriously dented hopes for a June Fed rate hike. Inflation also

continued to remain below target at 1.0 per cent year on year in May, whilst retail sales (2.5 per cent year on year) did not match

estimates for a 3.0 per cent growth over the same period. This mixed economic data, combined with market uncertainties, left the

Fed in a position to be more cautious in raising interest rates for the rest of the year. After the U.K.’s surprising E.U. referendum

results, David Cameron announced that he would step down as Prime Minister but would stay in office for the next few months to

“steady the ship”. The British Pound also plunged to a 31 year low (against the U.S. Dollar), setting a record intraday swing of

more than 10 per cent between its highs and lows. In response, the Bank of England (BoE) pledged USD 345 billion of new

stimulus and BoE Governor Carney stated the he had further measures in place to deal with the “period of uncertainty and

adjustment”.




56 Russell Global Regional Equity Fund

General Comment on Managers/Performance

The Fund finished ahead of the benchmark in a quarter (third quarter 2015) characterised by volatility and significant market

decline. The main source of positive alpha came from the European Money Managers with all Hermes, Numeric and Wellington

adding significant value. Wellington’s defensively positioned growth strategy was the strongest performer in the portfolio, with

prudent stock selection in the consumer discretionary sector and allocation towards consumer staples proving beneficial. Pzena

detracted owing to significant exposure to the industrials sector, which suffered on aggregate from slowing demand in China. The

U.S. Money Managers also performed well through Jacobs Levy and HS. Japanese Money Manager Lazard was one of the

biggest negative contributors over the month, underperforming the benchmark. This was driven by an overweight position to

Japanese financials, such as Dai-Ichi Life Insurance and Sumitomo Mitsui, which faced headwinds during the month. An

underweight allocation to consumer staples also detracted, as this sector performed well over the quarter. The Portfolio finished

behind the benchmark in December. A net strategic tilt away from the higher dividend yielding spectrum was beneficial, however

this was offset slightly by a bias away from large cap stocks. The European strategies performed well over the period, especially

through the industrials sector, which was boosted by the wider accommodative policy of the ECB. The U.S. strategies struggled

slightly, especially through Money Manager HS, whose strong overweight towards consumer-orientated holdings was not

rewarded in the prevailing market environment. Lazard, our Japanese strategy, failed to find meaningful traction versus the

benchmark. Whilst a net exposure to the consumer discretionary sector added gains, these were neutralised by financials,

industrials and technology stocks.

The Fund outperformed the benchmark in March, as well as for the first quarter of 2016. A bias toward the small cap space was

fruitful, whilst a tilt away from the higher dividend yield spectrum was negative. Stock selection within the energy and industrials

sectors drove performance, as commodity prices continued to stabilise. An underweight allocation towards the poor performing

health care was also rewarded. However, names within financials detracted, as selling pressures remained in March. The

European Money Managers strategies were the best performers, buoyed by the dovish actions of the ECB. Lazard, our Japanese

strategy, also found meaningful traction this month, especially through stock selection within the Japanese financial sector. The

U.S. strategies were net negative; however Jacobs Levy managed to outperform its benchmark owing to stock selection within

energy.

The Fund underperformed the benchmark in June and the second quarter of 2016, as a broad based risk-off environment

engendered by the surprise ‘Brexit’ vote, led to a sell off in global markets. A strong bias towards small cap stocks was

detrimental, as this side of the market cap spectrum usually performs better in a risk-on environment. The Portfolio managed to

find alpha through stock selection within the telecoms, technology, financial and consumer discretionary sectors. However, this

was offset by underweight allocation towards the strong performing defensive consumer staples sector and overweight to

financials. Stock selection within the industrials sector was also a headwind for performance. Most regional strategies finished

behind their respective benchmarks, except for Wellington (Europe) and Mar Vista (U.S.) who benefitted from prudent stock

selection.

Company’s Market Outlook Our strategists have a broadly neutral view between equities and bonds.



evenly distributed as small overweights to the other regions. We are neutral Emerging Markets (EM), where attractive valuations

are offset by business cycle headwinds from deleveraging risks, along with the potential for further Fed tightening.


Our process scores government bonds poorly on value as 10-year yields in all the major developed markets are near record lows

at the end of the second quarter of 2016. On balance, however, the cycle is neutral. Cycle pressures are moderately negative in the







albeit with the USD pushing towards the top of that range. There is some downside risk for the Euro and Japanese Yen if central

banks adopt more unconventional easing. But this is likely to be limited, since both currencies are relatively cheap and have

already priced in significant monetary policy accommodation. We like the value in EM currencies, but the downside risks to the

Chinese Renminbi keep us concerned about the risks of further depreciation for EM currencies in general.










rallies”.

Past performance is no indication of present or future performance

* Benchmark Source: MSCI World Net


August 2016



Balance Sheet

As at 30 June 2016



30 June 2016*

EUR ‘000

Assets

Financial assets at fair value through profit or loss (Note 2) ........................................................................ 314,034

Cash at bank (Note 3) ................................................................................................................................ 2,797

Cash held with brokers and counterparties for open financial derivative instruments (Note 3) ................ 7,070

Debtors:

Receivable for investments sold ............................................................................................................. 2,588

Dividends receivable and other receivables ............................................................................................... 732

327,221

Liabilities

Financial liabilities at fair value through profit or loss (Note 2) ........................................................................ (1,838)


Payable for investments purchased .............................................................................................................. (1,460)

Management fees payable ............................................................................................................................ (119)

Performance fees payable ............................................................................................................................. (282)

Depositary fees payable ............................................................................................................................... (7)

Sub-custodian fees payable .......................................................................................................................... (45)

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

Audit fees payable ........................................................................................................................................ (23)

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

(3,790)

Net asset value attributable to redeemable participating shareholders .................................................... 323,431

* The Fund was launched on 7 July 2015.




For the period from 7 July 2015, launch date of the Fund, to 30 June 2016



Period ended

30 June 2016

EUR ‘000

Income

Dividends .............................................................................................................................................. 6,696

Net gain (loss) on investment activities (Note 4) ...................................................................................... (18,200)

Total investment income (expense) ........................................................................................................... (11,504)

Expenses

Management fees (Note 5) ........................................................................................................................ (1,343)

Performance fees (Note 5) ......................................................................................................................... (282)

Depositary fees (Note 6) ............................................................................................................................ (24)

Sub-custodian fees (Note 6) ...................................................................................................................... (184)

Administration and transfer agency fees (Note 6) ..................................................................................... (100)

Audit fees (Note 6) .................................................................................................................................... (23)

Professional fees ........................................................................................................................................ (31)

Other fees .................................................................................................................................................. (16)

Total operating expenses ........................................................................................................................ (2,003)

Net income (expense) ............................................................................................................................... (13,507)

Finance costs

Distributions (Note 8) ................................................................................................................................ (3,626)

Profit (loss) for the financial period before taxation ........................................................................................ (17,133)

Taxation

Withholding tax (Note 9) ........................................................................................................................... (1,094)

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

resulting from operations ........................................................................................................................... (18,277)


Account.




For the period from 7 July 2015, launch date of the Fund, to 30 June 2016



Period ended

30 June 2016

EUR ‘000

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

resulting from operations ................................................................................................................................. (18,227)

Share transactions

Reinvestment of deemed distributions on accumulation shares (see Note 8) ................................................... 3,626

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

(Note 10) ......................................................................................................................................................... 338,032

Total net increase in net assets attributable to redeemable participating shareholders .......................... 323,431


Beginning of period ............................................................................................................................................. -

End of period ...................................................................................................................................................... 323,431




30 June 2016



Number

of Shares

Fair Value

EUR ‘000

Fund

%

Transferable Securities (91.46%)

Common Stock (91.17%)

Belgium (0.79%)

Banks

9,686 KBC Group NV ................... 425 0.13

Distributors

14,420 D'ieteren SA NV ................. 560 0.17


32,416 AGFA-Gevaert NV ............. 95 0.03

Pharmaceuticals

18,629 UCB SA .............................. 1,252 0.39

Telecommunications

4,200 Proximus SADP .................. 120 0.04

Transport

4,550 Bpost SA ............................. 104 0.03

2,556 0.79

Bermuda (0.40%)

Agriculture

8,700 Bunge Ltd ............................ 463 0.14

Insurance

3,900

Aspen Insurance Holdings

Ltd ....................................... 163 0.05

1,500

Endurance Specialty

Holdings Ltd ....................... 91 0.03

910 Everest Re Group Ltd .......... 150 0.05

Oil and Gas

18,600 Nabors Industries Ltd .......... 168 0.05


31,800

Marvell Technology Group

Ltd ....................................... 273 0.08

1,308 0.40

Curacao (0.70%)


31,886 Schlumberger Ltd ................ 2,270 0.70

Cyprus (0.03%)

Real Estate

20,200

Aroundtown Property

Holdings Plc ........................ 92 0.03

Czech Republic (0.06%)

Electric Utilities

12,025 CEZ AS ............................... 184 0.06

Denmark (1.12%)

Banks

28,042 Danske Bank A/S ................ 661 0.20

12,262 Spar Nord Bank A/S ............ 88 0.03

Beverages

1,070 Carlsberg A/S ...................... 91 0.03

Number

of Shares

Fair Value

EUR ‘000

Fund

%


9,895 ISS A/S ............................... 334 0.11


1,153 Schouw & Co ...................... 57 0.02

Pharmaceuticals

8,476 H Lundbeck A/S ................. 285 0.09

21,804 Novo Nordisk A/S .............. 1,049 0.32

Retail Trade

489 Pandora A/S ........................ 60 0.02

Telecommunications

16,800 TDC A/S ............................. 74 0.02

Transport

1,102 Dfds A/S ............................. 43 0.01

23,071 DSV A/S ............................. 869 0.27

3,611 1.12

Finland (0.60%)

Insurance

7,736 Sampo OYJ ......................... 283 0.09

Machinery

20,526 Kone OYJ ........................... 847 0.26

Telecommunications

159,091 Nokia OYJ .......................... 812 0.25

1,942 0.60

France (5.40%)

Advertising

13,825 Publicis Groupe SA ............ 837 0.26


6,372 Safran SA ............................ 388 0.12

3,060 Thales SA ........................... 230 0.07

Auto Components

680

Cie Generale des

Etablissements Michelin ..... 58 0.02

23,984 Faurecia .............................. 689 0.21

15,351 Valeo SA ............................ 616 0.19

Automobiles

24,209 Peugeot SA ......................... 262 0.08

14,313 Renault SA .......................... 980 0.30

Banks

25,053 BNP Paribas SA .................. 996 0.31

51,444 Credit Agricole SA ............. 389 0.12

17,183 Societe Generale SA ........... 485 0.15

Beverages

6,675 Pernod Ricard SA ............... 668 0.21

Chemicals

590 Arkema SA ......................... 41 0.01


18,013 Elior .................................... 354 0.11

14,212 Elis SA ................................ 224 0.07

7,961 Sodexo SA .......................... 770 0.24




30 June 2016



Number

of Shares

Fair Value

EUR ‘000

Fund

%


20,515

Altran Technologies

SA ....................................... 246 0.08

22,016 Bouygues SA ....................... 571 0.18

7,290 Vinci SA .............................. 464 0.14


32,292 Legrand SA ......................... 1,495 0.46

22,487 Schneider Electric SE .......... 1,193 0.37


1,948 BioMerieux ......................... 238 0.07

Insurance

9,190 AXA SA .............................. 164 0.05

Metals and Mining

78,541 Vallourec SA ....................... 252 0.08

Oil and Gas

37,939 Total SA .............................. 1,646 0.51

Other Finance

367 Eurazeo SA ......................... 20 0.01

Personal Products

3,242 L'Oreal SA ........................... 558 0.17

Pharmaceuticals

12,936 Sanofi SA ............................ 969 0.30


311 Unibail-Rodamco SE ........... 73 0.02

Software

4,161 Worldline SA ...................... 109 0.03

Textile and Apparel

4,309 Christian Dior SE ................ 624 0.19

1,737

LVMH Moet Hennessy

Louis Vuitton SE ................. 236 0.07

23,125

LVMH Moet Hennessy

Louis Vuitton SE (ADR) ..... 632 0.20

17,477 5.40

Germany (4.86%)

Auto Components

3,517 Continental AG ................... 595 0.18

Building Products

6,030 HeidelbergCement AG ........ 407 0.13

Chemicals

4,180 BASF SE ............................. 287 0.09

18,667 Covestro AG ....................... 746 0.23

5,340 Evonik Industries AG .......... 143 0.04


15,999 Wirecard AG ....................... 631 0.20

Containers and Packaging

1,776 Gerresheimer AG ................ 123 0.04


14,963 Deutsche Boerse AG ........... 1,100 0.34

890

Wuestenrot &

Wuerttembergische AG ....... 14 0.00


13,368 OSRAM Licht AG .............. 622 0.19

Number

of Shares

Fair Value

EUR ‘000

Fund

%


14,859 Fresenius SE & Co KGaA .. 978 0.30

1,870 Rhoen Klinikum AG ........... 49 0.02

Insurance

2,972 Allianz SE ........................... 380 0.12

1,080 Hannover Rueck SE ............ 101 0.03

3,353

Muenchener

Rueckversicherungs-

Gesellschaft AG in

Muenchen ........................... 504 0.15

9,692 Talanx AG .......................... 258 0.08


7,959 United Internet AG ............. 296 0.09

Iron and Steel

44,927 Salzgitter AG ...................... 1,064 0.33

Machinery

890 KION Group AG ................ 39 0.01

Media

20,761 ProSiebenSat.1 Media SE ... 814 0.25

Metals and Mining

4,537 Aurubis AG ......................... 185 0.06

3,081 Norma Group SE ................ 131 0.04

Personal Products

5,329 Beiersdorf AG ..................... 452 0.14

Pharmaceuticals

27,837 Bayer AG ............................ 2,505 0.78

7,158 Merck KGaA ...................... 652 0.20


39,341

Infineon Technologies

AG ...................................... 510 0.16

Software

4,930 SAP SE ............................... 331 0.10

7,018 Software AG ....................... 214 0.07

Telecommunications

2,680 Deutsche Telekom AG ........ 41 0.01

Textile and Apparel

12,094 Adidas AG .......................... 1,553 0.48

15,725 4.86

Hungary (0.13%)

Banks

20,735 OTP Bank Plc ..................... 417 0.13

Ireland (1.68%)


34,225 Seagate Technology Plc ...... 750 0.23

Entertainment

3,156 Paddy Power Betfair Plc ..... 298 0.09

Food Products

9,114 Kerry Group Plc .................. 728 0.23

Insurance

9,080 Willis Towers Watson Plc .. 1,016 0.32




30 June 2016



Number

of Shares

Fair Value

EUR ‘000

Fund

%


21,800

Weatherford International

Plc ....................................... 109 0.03

Pharmaceuticals

7,588 Allergan Plc ......................... 1,578 0.49

11,200 Endo International Plc ......... 157 0.05

510 Jazz Pharmaceuticals Plc ..... 65 0.02

5,900 Mallinckrodt Plc .................. 323 0.10

Retail Trade

66,153 Grafton Group Plc ............... 394 0.12

5,418 1.68

Italy (1.22%)

Banks

119,000

Banca Popolare di Milano

Scarl .................................... 44 0.02

37,700 UniCredit SpA ..................... 74 0.02


2,690 ASTM SpA ......................... 26 0.01

Electric Utilities

92,408 A2A SpA ............................. 109 0.03

268,576 Enel SpA ............................. 1,069 0.33


980 Prysmian SpA ...................... 19 0.01


5,300 DiaSorin SpA ...................... 292 0.09

Media

21,000 Mediaset SpA ...................... 66 0.02

Oil and Gas

107,788 Eni SpA ............................... 1,565 0.48

Retail Trade

48,133 OVS SpA ............................. 252 0.08

13,209 Salvatore Ferragamo SpA ... 241 0.07

Telecommunications

268,257 Telecom Italia SpA .............. 197 0.06

3,954 1.22

Japan (10.66%)

Advertising

14,000 Hakuhodo DY Holdings Inc 150 0.05

Agriculture

19,500 Japan Tobacco Inc ............... 702 0.22

Auto Components

8,400 Aisan Industry Co Ltd ......... 49 0.02

10,400 Bridgestone Corp ................ 298 0.09

21,000 Denso Corp ......................... 659 0.20

4,200 Exedy Corp ......................... 80 0.03

6,000 G-Tekt Corp ........................ 65 0.02

2,400

Musashi Seimitsu Industry

Co Ltd ................................. 42 0.01

17,700 NHK Spring Co Ltd ............ 128 0.04

7,000 Nippon Seiki Co Ltd ........... 103 0.03

7,500 Nissin Kogyo Co Ltd ........... 86 0.03

Number

of Shares

Fair Value

EUR ‘000

Fund

%

5,300 Pacific Industrial Co Ltd ..... 43 0.01

7,600 Press Kogyo Co Ltd ............ 23 0.01

5,600 Showa Corp ........................ 28 0.01

5,200 Topre Corp .......................... 99 0.03

7,900 Toyoda Gosei Co Ltd .......... 126 0.04

9,800 Toyota Industries Corp ....... 347 0.11

3,400 TS Tech Co Ltd .................. 74 0.02

900 Yorozu Corp ....................... 11 0.00

Automobiles

22,000 Hino Motors Ltd ................. 195 0.06

14,000 Honda Motor Co Ltd .......... 316 0.10

67,100 Isuzu Motors Ltd ................. 735 0.22

83,300 Nissan Motor Co Ltd .......... 671 0.21

14,400 Toyota Motor Corp ............. 638 0.20

Banks

14,000 77 Bank Ltd ........................ 44 0.01

700 Aichi Bank Ltd ................... 27 0.01

13,000 Akita Bank Ltd ................... 33 0.01

18,000 Aomori Bank Ltd ................ 45 0.01

14,000 Awa Bank Ltd ..................... 65 0.02

900 Bank of Iwate Ltd ............... 30 0.01

8,000 Bank of Nagoya Ltd ............ 22 0.01

1,440 Bank of Okinawa Ltd .......... 38 0.01

15,200 Chugoku Bank Ltd .............. 138 0.04

70,100

Concordia Financial Group

Ltd ...................................... 245 0.08

21,000 Daishi Bank Ltd .................. 60 0.02

3,000 Eighteenth Bank Ltd ........... 7 0.00

10,000 Fukui Bank Ltd ................... 20 0.01

19,000 Gunma Bank Ltd ................. 62 0.02

41,300 Hachijuni Bank Ltd ............. 161 0.05

45,000 Hiroshima Bank Ltd ........... 134 0.04

12,000 Hokkoku Bank Ltd ............. 29 0.01

26,000 Hokuetsu Bank Ltd ............. 39 0.01

58,000

Hokuhoku Financial Group

Inc ....................................... 59 0.02

17,000 Hyakugo Bank Ltd .............. 53 0.02

22,000 Hyakujushi Bank Ltd .......... 57 0.02

24,500 Iyo Bank Ltd ....................... 134 0.04

28,000 Juroku Bank Ltd ................. 66 0.02

5,100 Kansai Urban Banking Corp 40 0.01

36,000 Keiyo Bank Ltd .................. 121 0.04

12,000

Kyushu Financial Group

Inc ....................................... 53 0.02

25,000 Minato Bank Ltd ................. 33 0.01

130,400

Mitsubishi UFJ Financial

Group Inc ............................ 522 0.16

17,000 Miyazaki Bank Ltd ............. 38 0.01

425,000 Mizuho Financial Group Inc 553 0.17

16,000 Nanto Bank Ltd .................. 46 0.02

47,000 Nishi-Nippon City Bank Ltd 74 0.02

49,200 North Pacific Bank Ltd ....... 120 0.04




30 June 2016



Number

of Shares

Fair Value

EUR ‘000

Fund

%

39,000 Ogaki Kyoritsu Bank Ltd .... 96 0.03

12,000 Oita Bank Ltd ...................... 31 0.01

58,800 Resona Holdings Inc ........... 192 0.06

7,100 San-In Godo Bank Ltd ........ 41 0.01

17,200 Senshu Ikeda Holdings Inc .. 57 0.02

16,000 Shiga Bank Ltd .................... 61 0.02

2,000 Shikoku Bank Ltd ............... 4 0.00

11,000 Shizuoka Bank Ltd .............. 69 0.02

169,000

Sumitomo Mitsui Trust

Holdings Inc ........................ 489 0.15

4,000 Tochigi Bank Ltd ................ 12 0.00

33,000 Toho Bank Ltd .................... 91 0.03

10,200 TOMONY Holdings Inc ...... 27 0.01

12,000 Yamagata Bank Ltd ............. 42 0.01

12,000

Yamaguchi Financial Group

Inc ....................................... 102 0.03

14,000

Yamanashi Chuo Bank

Ltd ....................................... 44 0.01

Building Products

7,700 Bunka Shutter Co Ltd .......... 55 0.02

7,000 Central Glass Co Ltd ........... 27 0.01

4,000 Fujitec Co Ltd ..................... 31 0.01

18,500 LIXIL Group Corp .............. 274 0.08

10,000 Nichias Corp ....................... 68 0.02

1,300 Nichiha Corp ....................... 18 0.01

5,000 Takara Standard Co Ltd ...... 41 0.01

Chemicals

3,500 ADEKA Corp ...................... 38 0.01

3,200 Aica Kogyo Co Ltd ............. 65 0.02

11,000 Air Water Inc ....................... 144 0.04

68,000 Asahi Kasei Corp ................ 422 0.13

1,500 Fuso Chemical Co Ltd ......... 19 0.01

3,800 Konishi Co Ltd .................... 44 0.01

4,600 Lintec Corp ......................... 81 0.03

11,600 Nihon Parkerizing Co Ltd ... 109 0.03

14,000

Nippon Synthetic Chemical

Industry Co Ltd ................... 64 0.02

4,300 Nitto Denko Corp ................ 243 0.08

6,000 NOF Corp ............................ 44 0.01

11,000

Sanyo Chemical Industries

Ltd ....................................... 76 0.02

3,000 Sekisui Jushi Corp ............... 38 0.01

8,000 Shikoku Chemicals Corp ..... 56 0.02

2,700 T Hasegawa Co Ltd ............. 43 0.01

1,800 Taiyo Holdings Co Ltd ........ 50 0.02

2,600 Toagosei Co Ltd .................. 21 0.01

13,000

Toyo Ink SC Holdings Co

Ltd ....................................... 49 0.02


2,800 Aeon Delight Co Ltd ........... 68 0.02

3,200 Nippon Kanzai Co Ltd ........ 46 0.01

800 TKC Corp ............................ 19 0.01

2,900 Toppan Forms Co Ltd ......... 27 0.01

Number

of Shares

Fair Value

EUR ‘000

Fund

%


1,800 Elecom Co Ltd .................... 34 0.01

1,600

Mitsubishi Research Institute

Inc ....................................... 44 0.01

3,400

NEC Networks & System

Integration Corp .................. 54 0.02


700 Hibiya Engineering Ltd ...... 9 0.00

12,200 Kinden Corp ....................... 118 0.04

5,000

Maeda Road Construction

Co Ltd ................................. 76 0.02

13,000 Nippo Corp ......................... 198 0.06

6,300

Nippon Densetsu Kogyo Co

Ltd ...................................... 95 0.03

2,000 Taikisha Ltd ........................ 44 0.01

4,000 Toenec Corp ....................... 18 0.01

2,700

Toshiba Plant Systems &

Services Corp ...................... 40 0.01

1,900 Totetsu Kogyo Co Ltd ........ 47 0.02

Containers and Packaging

1,400 FP Corp ............................... 61 0.02

Distributors

900 Advan Co Ltd ..................... 9 0.00

8,000 Canon Marketing Japan Inc 131 0.04

2,400 Doshisha Co Ltd ................. 41 0.01

4,600 Inabata & Co Ltd ................ 37 0.01

62,400 ITOCHU Corp .................... 679 0.21

5,400 Itochu Enex Co Ltd ............. 43 0.01

3,000

Japan Pulp & Paper Co

Ltd ...................................... 9 0.00

1,400 Kanematsu Electronics Ltd . 22 0.01

28,500 Mitsubishi Corp .................. 447 0.14

4,900 Nagase & Co Ltd ................ 48 0.02

400 San-Ai Oil Co Ltd ............... 2 0.00

10,100 Toyota Tsusho Corp ........... 194 0.06

5,800 Yamazen Corp .................... 41 0.01

700 Yondoshi Holdings Inc ....... 13 0.01

1,700 Yuasa Trading Co Ltd ......... 31 0.01


56,200

Ashikaga Holdings Co

Ltd ...................................... 161 0.05

10,700 Hitachi Capital Corp ........... 189 0.06

5,700 J Trust Co Ltd ..................... 38 0.01

115,000

Mitsubishi UFJ Lease &

Finance Co Ltd ................... 394 0.12

108,300 Nomura Holdings Inc ......... 347 0.11

48,200 ORIX Corp ......................... 553 0.17

Electric Utilities

36,100

Kansai Electric Power Co

Inc ....................................... 314 0.10


1,100 Eizo Nanao Corp ................. 26 0.01

3,800 HI-LEX Corp ...................... 80 0.02

1,000 Inaba Denki Sangyo Co Ltd 31 0.01




30 June 2016



Number

of Shares

Fair Value

EUR ‘000

Fund

%

3,200

Macnica Fuji Electronics

Holdings Inc ........................ 30 0.01

10,400 Nidec Corp .......................... 705 0.22

2,400 Nitto Kogyo Corp ................ 27 0.01

6,500 Nohmi Bosai Ltd ................. 78 0.02

Entertainment

10,900 Heiwa Corp ......................... 198 0.06


1,200 Asahi Holdings Inc .............. 16 0.00

Food Products

2,700 Arcs Co Ltd ......................... 58 0.02

1,500 Belc Co Ltd ......................... 56 0.02

500 Daikokutenbussan Co Ltd ... 21 0.01

1,500 Fujicco Co Ltd ..................... 39 0.01

1,300 Inageya Co Ltd .................... 15 0.00

9,400

Itoham Yonekyu Holdings

Inc ....................................... 87 0.03

10,000 J-Oil Mills Inc ..................... 30 0.01

700 Kameda Seika Co Ltd ......... 36 0.01

2,600 Kato Sangyo Co Ltd ............ 55 0.02

5,900

Mitsubishi Shokuhin Co

Ltd ....................................... 139 0.04

9,000 Mitsui Sugar Co Ltd ............ 38 0.01

9,000 Nippon Flour Mills Co Ltd .. 63 0.02

4,000 Nisshin Oillio Group Ltd ..... 17 0.01

300 Riken Vitamin Co Ltd ......... 13 0.00

1,600 S Foods Inc .......................... 39 0.01

8,000 Showa Sangyo Co Ltd ......... 31 0.01

Gas Utilities

62,000 Osaka Gas Co Ltd ............... 213 0.06

1,000 Saibu Gas Co Ltd ................ 2 0.00

11,100 Shizuoka Gas Co Ltd ........... 70 0.02

34,000 Toho Gas Co Ltd ................. 249 0.08


2,100 Hitachi Koki Co Ltd ............ 11 0.00

9,300 Makita Corp ........................ 552 0.17


1,000 As One Corp ........................ 36 0.01

2,000 Fukuda Denshi Co Ltd ........ 104 0.03

300 Hogy Medical Co Ltd .......... 19 0.01

2,000 Nakanishi Inc ...................... 53 0.01

1,400

Paramount Bed Holdings Co

Ltd ....................................... 64 0.02


1,300 BML Inc .............................. 53 0.01

6,500 Miraca Holdings Inc ............ 252 0.08

Home Builders

24,700

Daiwa House Industry Co

Ltd ....................................... 646 0.20

11,000 PanaHome Corp .................. 78 0.02

3,800

Takamatsu Construction

Group Co Ltd ...................... 80 0.03

800 Token Corp ......................... 56 0.02

Number

of Shares

Fair Value

EUR ‘000

Fund

%

Home Furnishings

2,400 Canon Electronics Inc ......... 30 0.01

13,800 Sony Corp ........................... 362 0.11


1,400 Daiichikosho Co Ltd ........... 53 0.01

6,000 Mizuno Corp ....................... 25 0.01

Household Products

500 Mitsubishi Pencil Co Ltd .... 21 0.01

Insurance

44,700

Dai-ichi Life Insurance Co

Ltd ...................................... 442 0.14

15,000

Sompo Japan Nipponkoa

Holdings Inc ....................... 355 0.11


179,500 Yahoo Japan Corp ............... 712 0.22

Iron and Steel

8,000 Aichi Steel Corp ................. 32 0.01

23,700

Nippon Steel & Sumitomo

Metal Corp .......................... 407 0.12

7,000

Sanyo Special Steel Co

Ltd ...................................... 28 0.01

Machinery

3,200 Aichi Corp .......................... 20 0.01

26,700 Amada Holdings Co Ltd ..... 242 0.08

3,000 FANUC Corp ...................... 435 0.13

3,000

Fuji Machine Manufacturing

Co Ltd ................................. 24 0.01

95,000 Hitachi Ltd .......................... 353 0.11

28,900 Komatsu Ltd ....................... 449 0.14

2,000 Max Co Ltd ......................... 20 0.01

38,000 Mitsubishi Electric Corp ..... 403 0.12

700 Nitto Kohki Co Ltd ............. 13 0.00

8,000 Tsubakimoto Chain Co ....... 44 0.01

Media

24,300

SKY Perfect JSAT Holdings

Inc ....................................... 100 0.03

12,000 Usen Corp ........................... 32 0.01

3,400 Wowow Inc ......................... 71 0.02

Metals and Mining

9,200 Kitz Corp ............................ 39 0.01

66,000

Nippon Steel & Sumikin

Bussan Corp ........................ 192 0.06

2,200 Oiles Corp ........................... 31 0.01


3,800 Amano Corp ....................... 59 0.02

5,000

Bando Chemical Industries

Ltd ...................................... 22 0.01

900

Fukushima Industries

Corp .................................... 24 0.01

3,200 JSP Corp ............................. 57 0.01

3,000

Mitsuboshi Belting Co

Ltd ...................................... 21 0.01

1,800 Morita Holdings Corp ......... 21 0.01

1,800 Nitta Corp ........................... 36 0.01




30 June 2016



Number

of Shares

Fair Value

EUR ‘000

Fund

%

2,500

Shin-Etsu Polymer Co

Ltd ....................................... 13 0.00

Office Electronics

8,800 Okamura Corp ..................... 78 0.03

3,200 Riso Kagaku Corp ............... 38 0.01

Other Finance

18,900 Jafco Co Ltd ........................ 417 0.13

Personal Products

400 Milbon Co Ltd ..................... 16 0.01

600 Noevir Holdings Co Ltd ...... 16 0.00

Pharmaceuticals

400

Mochida Pharmaceutical Co

Ltd ....................................... 29 0.01

900

Taisho Pharmaceutical

Holdings Co Ltd .................. 85 0.02

3,600 Vital KSK Holdings Inc ...... 31 0.01

Real Estate

2,000 Daibiru Corp ....................... 15 0.00

19,300 Hulic Co Ltd ........................ 182 0.06

1,100 Pressance Corp .................... 37 0.01

5,100 Starts Corp Inc ..................... 91 0.03

4,400

Sumitomo Real Estate Sales

Co Ltd ................................. 77 0.02

52,100

Tokyu Fudosan Holdings

Corp ..................................... 290 0.09

Retail Trade

3,500 AOKI Holdings Inc ............. 32 0.01

3,100

Arcland Sakamoto Co

Ltd ....................................... 31 0.01

2,100 Belluna Co Ltd .................... 11 0.00

700 Fuji Co Ltd .......................... 15 0.00

3,600 Heiwado Co Ltd .................. 63 0.02

6,300 Izumi Co Ltd ....................... 220 0.07

3,000 Joshin Denki Co Ltd ............ 23 0.01

1,000 Joyful Honda Co Ltd ........... 20 0.01

1,900 Kappa Create Co Ltd ........... 21 0.01

18,200 Marui Group Co Ltd ............ 219 0.07

400 Ohsho Food Service Corp ... 13 0.00

4,000 Parco Co Ltd ....................... 29 0.01

900 Sogo Medical Co Ltd .......... 30 0.01

47,000 Takashimaya Co Ltd ........... 301 0.09

1,300 Yellow Hat Ltd .................... 26 0.01


800 Enplas Corp ......................... 19 0.01

800 Nuflare Technology Inc ...... 34 0.01

7,500 Tokyo Electron Ltd ............. 564 0.17

Software

1,600 Fuji Soft Inc ........................ 34 0.01

4,500

Koei Tecmo Holdings Co

Ltd ....................................... 74 0.02

2,500 Transcosmos Inc .................. 64 0.02

Telecommunications

1,000 Hikari Tsushin Inc ............... 75 0.02

Number

of Shares

Fair Value

EUR ‘000

Fund

%

27,500 KDDI Corp ......................... 751 0.23

17,500

Nippon Telegraph &

Telephone Corp .................. 737 0.23

30,800 NTT Docomo Inc ................ 748 0.23

1,700

Okinawa Cellular Telephone

Co ....................................... 45 0.02

2,800 T-Gaia Corp ........................ 35 0.01

Textile and Apparel

2,900 Descente Ltd ....................... 28 0.01

3,100

Japan Wool Textile Co

Ltd ...................................... 19 0.01

1,500 Nagaileben Co Ltd .............. 32 0.01

5,100 Seiren Co Ltd ...................... 43 0.01

2,200 Tokai Corp .......................... 60 0.02

Toys, Games and Hobbies

3,000 Nintendo Co Ltd ................. 384 0.12

Transport

4,200 Central Japan Railway Co ... 668 0.21

4,300 East Japan Railway Co ....... 356 0.11

7,700

Hitachi Transport System

Ltd ...................................... 113 0.04

5,200

Konoike Transport Co

Ltd ...................................... 48 0.01

6,600

Nippon Konpo Unyu Soko

Co Ltd ................................. 106 0.03

132,000 Nippon Yusen KK .............. 207 0.06

8,000

Nishi-Nippon Railroad Co

Ltd ...................................... 37 0.01

900 Sakai Moving Service ......... 22 0.01

2,000

Yusen Logistics Co

Ltd ...................................... 18 0.01

34,486 10.66

Jersey, Channel Islands (0.60%)

Advertising

63,164 WPP Plc .............................. 1,180 0.37


9,310 Experian Plc ........................ 158 0.05

21,900 Regus Plc ............................ 76 0.02

Metals and Mining

83,400 Centamin Plc ....................... 132 0.04

15,100 Glencore Plc ....................... 28 0.01

Pharmaceuticals

6,530 Shire Plc .............................. 365 0.11

1,939 0.60

Luxembourg (0.05%)

Iron and Steel

1,210 APERAM SA ..................... 38 0.01


4,200 Subsea 7 SA ........................ 37 0.01

Telecommunications

1,580

Millicom International

Cellular SA ......................... 86 0.03

161 0.05




30 June 2016



Number

of Shares

Fair Value

EUR ‘000

Fund

%

Netherlands (3.90%)

Automobiles

37,400

Fiat Chrysler Automobiles

NV ....................................... 206 0.06

Banks

185,767 ING Groep NV .................... 1,705 0.53

Beverages

7,500 Heineken (ADR) ................. 313 0.10

13,848 Heineken NV ....................... 1,146 0.35

Chemicals

7,970 Akzo Nobel NV ................... 449 0.14


1,300 RELX NV ........................... 20 0.01


32,645 Koninklijke Philips NV ....... 731 0.22

17,267

Sensata Technologies

Holding NV ......................... 542 0.17

Food Products

41,182 Koninklijke Ahold NV ........ 820 0.25

Insurance

237,210 Delta Lloyd NV ................... 754 0.24

30,428 NN Group NV ..................... 754 0.23

Media

2,830 Wolters Kluwer NV ............ 103 0.03

Metals and Mining

1,590

AMG Advanced

Metallurgical Group

NV ....................................... 20 0.01


9,348 Core Laboratories NV ......... 1,042 0.32

Personal Products

22,177 Unilever NV (ADR) ............ 937 0.29

4,540 Unilever NV ........................ 190 0.06

Pipelines

1,980 Koninklijke Vopak NV ....... 89 0.03


13,417 ASML Holding NV ............. 1,186 0.37

830

BE Semiconductor Industries

NV ....................................... 20 0.01

157,742 STMicroelectronics NV ...... 828 0.25

Telecommunications

227,556 Koninklijke KPN NV .......... 741 0.23

12,596 3.90

Norway (1.00%)

Banks

73,286 DNB ASA ........................... 783 0.24

Chemicals

2,205 Yara International ASA ....... 63 0.02

Food Products

13,349 Austevoll Seafood ASA ...... 100 0.03

Metals and Mining

147,000 Norsk Hydro ASA ............... 479 0.15

Number

of Shares

Fair Value

EUR ‘000

Fund

%

Oil and Gas

85,730 Statoil ASA ......................... 1,329 0.41

Telecommunications

33,033 Telenor ASA ....................... 489 0.15

3,243 1.00

Panama (0.31%)


25,125 Carnival Corp ..................... 1,000 0.31

Russia (0.34%)

Banks

4,947


ADR .................................... 39 0.01

61,868


ADR (US Listed) ................ 486 0.15

Oil and Gas

150,275 Gazprom PAO (ADR) ........ 583 0.18

1,108 0.34

Spain (1.86%)


3,000

Prosegur Cia de Seguridad

SA ....................................... 16 0.01


27,083 Indra Sistemas SA ............... 257 0.08


14,900

ACS Actividades de

Construccion y Servicios SA 363 0.11

5,502 Aena SA .............................. 651 0.20

Electric Utilities

27,194 Endesa SA .......................... 490 0.15

6,900 Iberdrola SA ....................... 42 0.02


52,229

Gamesa Corp Tecnologica

SA ....................................... 924 0.29

Food Products

1,230 Ebro Foods SA .................... 25 0.01

2,879 Viscofan SA ........................ 143 0.04

Media

32,843

Mediaset Espana

Comunicacion SA ............... 331 0.10

Oil and Gas

51,330 Repsol SA ........................... 586 0.18

Retail Trade

29,432

Industria de Diseno Textil

SA ....................................... 880 0.27

Software

26,469 Amadeus IT Holding SA .... 1,040 0.32

Telecommunications

22,300 Telefonica SA ..................... 189 0.06

Transport

3,986

Cia de Distribucion Integral

Logista Holdings SA ........... 75 0.02

6,012 1.86




30 June 2016



Number

of Shares

Fair Value

EUR ‘000

Fund

%

Sweden (1.48%)

Agriculture

650 Swedish Match AB ............. 20 0.01

Banks

37,041 Swedbank AB ...................... 691 0.21


7,280 Intrum Justitia AB ............... 204 0.06

Food Products

53,185 Cloetta AB ........................... 164 0.05


32,962 Sandvik AB ......................... 293 0.09

Home Furnishings

13,431 Electrolux AB ...................... 326 0.10

Machinery

38,782 Atlas Copco AB .................. 895 0.28

Metals and Mining

37,679 Assa Abloy AB ................... 689 0.21

8,400 Boliden AB ......................... 145 0.05


27,436 Trelleborg AB ..................... 433 0.14

Personal Products

6,060

Svenska Cellulosa AB

SCA ..................................... 173 0.05

Real Estate

2,690 Castellum AB ...................... 34 0.01

6,230 Hufvudstaden AB ................ 87 0.03

11,609 Wallenstam AB ................... 85 0.02

Retail Trade

15,550 Hennes & Mauritz AB ......... 407 0.13

Telecommunications

32,200 TeliaSonera AB ................... 136 0.04

4,782 1.48

Switzerland (4.89%)

Auto Components

186 Georg Fischer AG ............... 134 0.04

Banks

51,972

Credit Suisse Group

AG ....................................... 495 0.15

152,053 UBS Group AG ................... 1,766 0.55

Beverages

1,080 Coca-Cola HBC AG ............ 20 0.01

Building Products

70 Belimo Holding AG ............ 188 0.06

1,933 Geberit AG .......................... 657 0.20

39 Sika AG ............................... 147 0.05

Chemicals

98 Givaudan SA ....................... 177 0.05

1,475 Lonza Group AG ................. 220 0.07


27,399 GAM Holding AG ............... 262 0.08

21,423 Julius Baer Group Ltd ......... 768 0.24

Number

of Shares

Fair Value

EUR ‘000

Fund

%


829 Daetwyler Holding AG ....... 100 0.03

126 LEM Holding SA ................ 102 0.03

Food Products

21

Chocoladefabriken Lindt &

Spruengli AG ...................... 113 0.04

20,891 Nestle SA ............................ 1,451 0.45

10,750 Nestle SA (ADR) ................ 748 0.23


2,967 Schindler Holding AG ........ 482 0.15


1,813 Tecan Group AG ................. 254 0.08

Insurance

9,715 Chubb Ltd ........................... 1,143 0.35

2,847 Swiss Life Holding AG ....... 589 0.18

7,274 Swiss Re AG ....................... 570 0.18

Machinery

12,860 ABB Ltd ............................. 227 0.07

560 Bobst Group SA .................. 25 0.01

416 Inficon Holding AG ............ 127 0.04

Personal Products

5,940 Oriflame Holding AG ......... 135 0.04

Pharmaceuticals

6,621 Actelion Ltd ........................ 998 0.31

8,820 Roche Holding AG ............. 2,087 0.64

Real Estate

240 PSP Swiss Property AG ...... 21 0.01

Retail Trade

15,517

Cie Financiere Richemont

SA ....................................... 814 0.25

4,249 Dufry AG ............................ 457 0.14

Software

2,089 Temenos Group AG ............ 94 0.03

Transport

3,457

Kuehne & Nagel

International AG ................. 435 0.13

15,806 4.89

United Kingdom (10.42%)


8,737

Ultra Electronic Holdings

Plc ....................................... 183 0.06

Agriculture

19,824

British American Tobacco

Plc ....................................... 1,155 0.36

54,081

Imperial Tobacco Group

Plc ....................................... 2,638 0.81

Airlines

18,030 Dart Group Plc .................... 114 0.03

Banks

221,323 Barclays Plc ........................ 369 0.11

159,728 HSBC Holdings Plc ............ 895 0.28

163,823

Royal Bank of Scotland

Group Plc ............................ 338 0.10




30 June 2016



Number

of Shares

Fair Value

EUR ‘000

Fund

%

59,525 Standard Chartered Plc ........ 404 0.13

6,127

Virgin Money Holdings UK

Plc ....................................... 19 0.01

Beverages

1,690 Diageo Plc ........................... 42 0.01

8,075 Diageo Plc (ADR) ............... 820 0.26

17,778 SABMiller Plc ..................... 935 0.29


15,148 Berendsen Plc ...................... 222 0.06

6,600 QinetiQ Group Plc ............... 18 0.01

Distributors

9,755 Diploma Plc ......................... 98 0.03

22,313 Inchcape Plc ........................ 169 0.05

370,326 SIG Plc ................................ 501 0.16


18,321 Schroders Plc ....................... 519 0.16

171,246 Worldpay Group Plc ............ 560 0.17


17,654 Halma Plc ............................ 216 0.07

20,964 Spectris Plc .......................... 460 0.14

Entertainment

67,435

Merlin Entertainments

Plc ....................................... 357 0.11

Food Products

243,646 Booker Group Plc ................ 508 0.16

43,181 Compass Group Plc ............. 739 0.23

39,615 SSP Group Plc ..................... 134 0.04

Gas Utilities

15,900 Centrica Plc ......................... 43 0.01


48,249

Smith & Nephew

Plc ....................................... 736 0.23

Home Builders

5,811 Persimmon Plc .................... 101 0.03

37,900 Taylor Wimpey Plc ............. 60 0.02


7,360 Carnival Plc ......................... 293 0.09

Household Products

24,393

Reckitt Benckiser Group

Plc ....................................... 2,198 0.68

Insurance

6,104 Aon Plc ................................ 600 0.18

92,526 Aviva Plc ............................. 439 0.14

28,178

Jardine Lloyd Thompson

Group Plc ............................ 319 0.10

42,842 Prudential Plc ...................... 648 0.20

106,806

RSA Insurance Group

Plc ....................................... 642 0.20

86,560 Saga Plc ............................... 201 0.06


73,975 Auto Trader Group Plc ........ 315 0.10

14,200

Moneysupermarket.com

Group Plc ............................ 46 0.01

Number

of Shares

Fair Value

EUR ‘000

Fund

%

Iron and Steel

35,748 Evraz Plc ............................. 59 0.02

Machinery

8,689

Spirax-Sarco Engineering

Plc ....................................... 391 0.12

Media

13,706

Liberty Global Plc LiLAC

(C Shares) ........................... 401 0.12

Metals and Mining

102,450 Antofagasta Plc ................... 574 0.18

11,600 BHP Billiton Plc ................. 132 0.04

27,710 Rio Tinto Plc ....................... 765 0.23

Oil and Gas

113,207 BP Plc ................................. 597 0.18

21,400 Ensco Plc ............................ 187 0.06

18,900 Premier Oil Plc ................... 17 0.01

39,714 Royal Dutch Shell Plc ......... 980 0.30

10,340

Royal Dutch Shell Plc

ADR .................................... 521 0.16


52,338

Amec Foster Wheeler

Plc ....................................... 309 0.10

Other Finance

121,024 3i Group Plc ........................ 797 0.25

6,501 SVG Capital Plc .................. 40 0.01

Pharmaceuticals

113,496 GlaxoSmithKline Plc .......... 2,191 0.68

11,017

Hikma Pharmaceuticals

Plc ....................................... 327 0.10

90,009 Indivior Plc ......................... 272 0.08


17,478 Derwent London Plc ........... 550 0.17

41,358

Great Portland Estates

Plc ....................................... 312 0.10

49,448 Hammerson Plc ................... 320 0.10

24,771

Land Securities Group

Plc ....................................... 310 0.09

Retail Trade

15,800 Debenhams Plc ................... 11 0.00

9,013 Dunelm Group .................... 86 0.03

10,870 JD Sports Fashion Plc ......... 151 0.05

38,300 Kingfisher Plc ..................... 149 0.05

12,949 SuperGroup Plc ................... 197 0.06

22,978 Travis Perkins Plc ............... 408 0.12

11,373 WH Smith Plc ..................... 215 0.07


47,158 ARM Holdings Plc ............. 642 0.20

Telecommunications

15,900 ARRIS International Plc ..... 300 0.09

763,174 Vodafone Group Plc ........... 2,091 0.65

Transport

58,578 Royal Mail Plc .................... 353 0.11

33,709 10.42




30 June 2016



Number

of Shares

Fair Value

EUR ‘000

Fund

%



16,669 BE Aerospace Inc ................ 693 0.21

8,055 TransDigm Group Inc ......... 1,912 0.59

3,700 Triumph Group Inc .............. 118 0.04

Agriculture

12,000 Altria Group Inc .................. 745 0.23

3,000

Philip Morris International

Inc ....................................... 275 0.09

Airlines

190 Allegiant Travel Co ............. 26 0.01

24,630 Delta Air Lines Inc .............. 808 0.25

Auto Components

1,200

American Axle &

Manufacturing Holdings

Inc ....................................... 16 0.00

18,332 Johnson Controls Inc ........... 730 0.23

700 Visteon Corp ....................... 41 0.01

Automobiles

46,600 Ford Motor Co ..................... 527 0.16

20,300 General Motors Co .............. 517 0.16

Banks

9,900

Bank of New York Mellon

Corp ..................................... 346 0.11

11,800 BB&T Corp ......................... 378 0.12

3,400

Capital One Financial

Corp ..................................... 194 0.06

43,100 Citigroup Inc ....................... 1,645 0.51

19,900

Citizens Financial Group

Inc ....................................... 358 0.11

8,500 Comerica Inc ....................... 315 0.10

4,000 East West Bancorp Inc ........ 123 0.04

1,700 Goldman Sachs Group Inc .. 227 0.07

17,401 JPMorgan Chase & Co ........ 973 0.30

5,300 Northern Trust Corp ............ 316 0.10

7,000

PNC Financial Services

Group Inc ............................ 513 0.16

14,900 Regions Financial Corp ....... 114 0.03

2,140 Signature Bank .................... 241 0.07

12,300 SunTrust Banks Inc ............. 455 0.14

50,005 US Bancorp ......................... 1,815 0.56

60,271 Wells Fargo & Co ............... 2,568 0.79

Beverages

2,400 Coca-Cola Co ...................... 98 0.03

24,825 PepsiCo Inc ......................... 2,367 0.73

Biotechnology

5,070 Amgen Inc ........................... 694 0.22

1,360 Biogen Inc ........................... 296 0.09

1,100 Emergent BioSolutions Inc . 28 0.01

8,670 Gilead Sciences Inc ............. 651 0.20

300

Intercept Pharmaceuticals

Inc ....................................... 40 0.01

Chemicals

Number

of Shares

Fair Value

EUR ‘000

Fund

%

15,744 Dow Chemical Co ............... 704 0.22

13,639 Ecolab Inc ........................... 1,456 0.45

6,497 Praxair Inc .......................... 657 0.20

900 Westlake Chemical Corp .... 35 0.01


3,100 Aaron's Inc .......................... 61 0.02

6,800 Global Payments Inc ........... 437 0.14

1,100

Grand Canyon Education

Inc ....................................... 40 0.01

600 Insperity Inc ........................ 42 0.01

12,600 PayPal Holdings Inc ........... 414 0.13


36,939 Apple Inc ............................ 3,179 0.98

900 CACI International Inc ....... 73 0.02

16,300

Cadence Design Systems

Inc ....................................... 357 0.11

1,000 Cray Inc .............................. 27 0.01

27,259 EMC Corp .......................... 667 0.21

4,200 Mentor Graphics Corp ........ 80 0.03

9,000 NetApp Inc ......................... 199 0.06

9,500 Synopsys Inc ....................... 462 0.14

5,600 VeriFone Systems Inc ......... 93 0.03

9,900 Western Digital Corp .......... 421 0.13


6,000 KBR Inc .............................. 72 0.02

Distributors

1,600 Anixter International Inc ..... 77 0.02

2,200 Core-Mark Holding Co Inc . 93 0.03


6,500 Ally Financial Inc ............... 100 0.03

4,440 Ameriprise Financial Inc .... 359 0.11

2,466 BlackRock Inc .................... 760 0.23

1,500 CME Group Inc .................. 132 0.04

4,400 Discover Financial Services 212 0.07

4,200 E*Trade Financial Corp ...... 89 0.03

2,130

Intercontinental Exchange

Inc ....................................... 491 0.15

7,600 MasterCard Inc ................... 602 0.19

29,500

Santander Consumer USA

Holdings Inc ....................... 274 0.08

8,100 Synchrony Financial ........... 184 0.06

18,229 Visa Inc ............................... 1,217 0.38

Electric Utilities

4,000

American Electric Power Co

Inc ....................................... 252 0.08

1,500 DTE Energy Co .................. 134 0.04

4,900 Edison International ............ 343 0.11

4,100 Entergy Corp ....................... 300 0.09

8,000 FirstEnergy Corp ................ 251 0.08

9,251 NextEra Energy Inc ............ 1,086 0.33

8,900 Southern Co ........................ 430 0.13





30 June 2016



Number

of Shares

Fair Value

EUR ‘000

Fund

%

10,388 Agilent Technologies Inc .... 415 0.13

1,000 Arrow Electronics Inc ......... 56 0.02

4,000 Avnet Inc ............................. 146 0.04

700 Belden Inc ........................... 38 0.01

600 Coherent Inc ........................ 50 0.02

3,032

Mettler-Toledo International

Inc ....................................... 996 0.31

3,400 Sanmina Corp ...................... 82 0.02

2,100 Tech Data Corp ................... 136 0.04

Energy Equipment and Services

1,400 First Solar Inc ...................... 61 0.02

Entertainment

2,500 Dolby Laboratories Inc ........ 108 0.03

350

Madison Square Garden

Co ........................................ 54 0.02

Food Products

8,600 Hormel Foods Corp ............. 283 0.09

13,300 Kroger Co ............................ 440 0.14

30,984

Mondelez International

Inc ....................................... 1,269 0.39

1,800 Performance Food Group .... 44 0.01

500 Sanderson Farms Inc ........... 39 0.01


6,400 Kennametal Inc ................... 127 0.04


5,900 Bruker Corp ......................... 121 0.04

1,480 CR Bard Inc ........................ 313 0.10

4,840 Edwards Lifesciences Corp . 434 0.13

290 Intuitive Surgical Inc ........... 173 0.05

5,860 Stryker Corp ........................ 632 0.19

5,900 VWR Corp .......................... 153 0.05


4,010 Anthem Inc .......................... 474 0.15

9,408 Cigna Corp .......................... 1,084 0.33

15,200

Envision Healthcare

Holdings Inc ........................ 347 0.11

1,900 Magellan Health Inc ............ 112 0.03

700 Molina Healthcare Inc ......... 31 0.01

10,635 UnitedHealth Group Inc ...... 1,352 0.42


21,900 Leucadia National Corp ....... 342 0.11

Home Builders

70 NVR Inc .............................. 112 0.03

Home Furnishings

1,700

Harman International

Industries Inc ....................... 110 0.03

Insurance

900 Alleghany Corp ................... 445 0.14

22,135 Allstate Corp ....................... 1,394 0.43

8,100

American International

Group Inc ............................ 386 0.12

1,400

AmTrust Financial Services

Inc ....................................... 31 0.01

Number

of Shares

Fair Value

EUR ‘000

Fund

%

14,634 Berkshire Hathaway Inc ...... 1,908 0.59

800 CNA Financial Corp ........... 23 0.01

31,400 Genworth Financial Inc ...... 73 0.02

900 Kemper Corp ...................... 25 0.01

5,300 Lincoln National Corp ........ 185 0.06

2,132 Markel Corp ........................ 1,828 0.57

16,418 MetLife Inc ......................... 589 0.18

7,400

Principal Financial Group

Inc ....................................... 274 0.08

17,285 Progressive Corp ................. 521 0.16

5,000 Travelers Cos Inc ................ 536 0.17

4,900 Unum Group ....................... 140 0.04

19,100 Voya Financial Inc .............. 426 0.13


5,745 Alphabet Inc (Class C) ........ 3,579 1.11

2,820 Amazon.com Inc ................. 1,817 0.56

2,800 Facebook Inc ....................... 288 0.09

1,700 GoDaddy Inc ....................... 48 0.02

615 Priceline Group Inc ............. 691 0.21

15,700 Symantec Corp ................... 290 0.09

Lodging

7,350 Marriott International Inc .... 440 0.14

Machinery

3,500

Babcock & Wilcox

Enterprises Inc .................... 46 0.01

6,820 Caterpillar Inc ..................... 465 0.14

1,640 Roper Technologies Inc ...... 252 0.08

3,400 Terex Corp .......................... 62 0.02

1,400

Zebra Technologies

Corp .................................... 63 0.02

Media

11,125 AMC Networks Inc ............. 605 0.19

190 Cable One Inc ..................... 87 0.03

46,274 Comcast Corp ..................... 2,715 0.84

28,700 News Corp .......................... 293 0.09

9,200 Time Inc .............................. 136 0.04

20,825 Time Warner Inc ................. 1,379 0.43

1,200 Tribune Media Co ............... 42 0.01

15,400

Twenty-First Century Fox

Inc ....................................... 375 0.12

9,675 Walt Disney Co .................. 852 0.26


8,280 Colfax Corp ........................ 197 0.06

54,277 General Electric Co ............. 1,538 0.48

11,300 Trinity Industries Inc .......... 189 0.06

Oil and Gas

6,000 Antero Resources Corp ....... 140 0.04

15,224 Chevron Corp ..................... 1,437 0.44

3,700 CVR Energy Inc ................. 52 0.02

18,800 Devon Energy Corp ............ 613 0.19

4,300

Diamond Offshore Drilling

Inc ....................................... 94 0.03




30 June 2016



Number

of Shares

Fair Value

EUR ‘000

Fund

%

14,921 EOG Resources Inc ............. 1,120 0.35

12,800 EP Energy Corp ................... 60 0.02

17,647 Exxon Mobil Corp ............... 1,489 0.46

100 Hess Corp ............................ 5 0.00

3,700 HollyFrontier Corp .............. 79 0.02

43,000 Marathon Oil Corp .............. 581 0.18

6,300

Marathon Petroleum

Corp ..................................... 215 0.07

1,900 Murphy USA Inc ................. 127 0.04

2,800 PBF Energy Inc ................... 60 0.02

1,860

Pioneer Natural Resources

Co ........................................ 253 0.08

9,600 QEP Resources Inc .............. 152 0.05

7,000 Valero Energy Corp ............ 321 0.10

5,800

Whiting Petroleum

Corp ..................................... 48 0.01


3,000 Baker Hughes Inc ................ 122 0.04

7,600 FMC Technologies Inc ........ 182 0.06

4,600 NOW Inc ............................. 75 0.02

5,400

Oceaneering International

Inc ....................................... 146 0.04

3,800

Superior Energy Services

Inc ....................................... 63 0.02

Paper and Forest Products

600 Domtar Corp ....................... 19 0.01

Personal Products

17,113 Procter & Gamble Co .......... 1,304 0.40

Pharmaceuticals

5,400 AmerisourceBergen Corp .... 386 0.12

6,300 Cardinal Health Inc ............. 442 0.14

6,200 Eli Lilly & Co ...................... 439 0.14

35,075 Johnson & Johnson ............. 3,830 1.18

26,645 Pfizer Inc ............................. 844 0.26

3,500

Quintiles Transnational

Holdings Inc ........................ 206 0.06

Pipelines

28,900 Kinder Morgan Inc .............. 487 0.15


26,879 American Tower Corp ......... 2,749 0.85

1,130

AvalonBay Communities

Inc ....................................... 183 0.06

4,357

Crown Castle International

Corp ..................................... 398 0.12

450 Equinix Inc .......................... 157 0.05

3,900 SL Green Realty Corp ......... 374 0.12

3,100

Xenia Hotels & Resorts

Inc ....................................... 47 0.01

Retail Trade

1,040

Chipotle Mexican Grill

Inc ....................................... 377 0.12

7,700 CVS Health Corp ................ 664 0.20

6,850 Home Depot Inc .................. 787 0.24

4,100 Lowe's Cos Inc .................... 292 0.09

Number

of Shares

Fair Value

EUR ‘000

Fund

%

6,300

Lululemon Athletica

Inc ....................................... 419 0.13

17,948 Macy's Inc ........................... 543 0.17

12,540 McDonald's Corp ................ 1,358 0.42

2,089 O'Reilly Automotive Inc ..... 511 0.16

5,500 Ross Stores Inc ................... 281 0.09

22,600 Staples Inc .......................... 175 0.05

37,264 Starbucks Corp ................... 1,916 0.59

20,982 TJX Cos Inc ........................ 1,459 0.45

11,875 Wal-Mart Stores Inc ........... 781 0.24

19,750 Williams-Sonoma Inc ......... 927 0.29

4,400 World Fuel Services Corp ... 188 0.06


40,300

Advanced Micro Devices

Inc ....................................... 186 0.06

5,900 Amkor Technology Inc ....... 31 0.01

38,309 Applied Materials Inc ......... 827 0.26

53,832 Intel Corp ............................ 1,589 0.49

8,700 ON Semiconductor Corp .... 69 0.02

7,400 Qualcomm Inc .................... 357 0.11

1,100 Rovi Corp ........................... 15 0.01

16,886 Texas Instruments Inc ......... 952 0.29

Software

8,287 Adobe Systems Inc ............. 715 0.22

2,100 Aspen Technology Inc ........ 76 0.02

1,700 Electronic Arts Inc .............. 117 0.04

11,030 Intuit Inc ............................. 1,108 0.34

52,335 Microsoft Corp ................... 2,411 0.75

680 MicroStrategy Inc ............... 107 0.03

70,276 Oracle Corp ......................... 2,589 0.80

1,700 Red Hat Inc ......................... 111 0.04

900 Synnex Corp ....................... 77 0.02

5,000 Verint Systems Inc .............. 149 0.05

2,300 VMware Inc ........................ 118 0.04

33,400 Zynga Inc ............................ 75 0.02

Telecommunications

2,200 Arista Networks Inc ............ 127 0.04

24,300 AT&T Inc ........................... 945 0.29

1,300 Ciena Corp .......................... 22 0.01

32,292 Cisco Systems Inc ............... 834 0.26

3,000 Finisar Corp ........................ 47 0.01

3,300 Infinera Corp ....................... 34 0.01

10,600 Juniper Networks Inc .......... 215 0.07

800 NETGEAR Inc ................... 34 0.01

4,900 T-Mobile US Inc ................. 191 0.06

4,182

Telephone & Data Systems

Inc ....................................... 112 0.03

900

Ubiquiti Networks

Inc ...................................... 31 0.01

900

United States Cellular

Corp .................................... 32 0.01

35,748

Verizon Communications

Inc ....................................... 1,797 0.56




30 June 2016



Number

of Shares

Fair Value

EUR ‘000

Fund

%

22,600 Viavi Solutions Inc .............. 135 0.04

Textile and Apparel

30,166 NIKE Inc ............................. 1,499 0.46

Transport

2,500

CH Robinson Worldwide

Inc ....................................... 168 0.05

29,203 CSX Corp ............................ 686 0.21

9,018 FedEx Corp ......................... 1,233 0.38

3,400 Hub Group Inc ..................... 117 0.04

10,433 Kansas City Southern .......... 846 0.26

8,025

United Parcel Service

Inc ....................................... 778 0.24

125,070 38.67

Total Common Stock ........ 294,866 91.17

Preferred Stock (0.29%)

Germany (0.14%)

Automobiles

4,015 Volkswagen AG .................. 435 0.14

Italy (0.15%)

Machinery

39,219

Danieli & C Officine

Meccaniche SpA ................. 490 0.15

Total Preferred Stock ........ 925 0.29

Financial Derivative Instruments (0.38)%)

Open Futures Contracts (0.12%)

Number

of Shares

Fair Value

EUR ‘000

Fund

%

Rights (0.00%)

Spain (0.00%)

14,900

ACS Actividades de

Construccion y Servicios .... 9 0.00

Total Rights ....................... 9 0.00

Total Transferable

Securities ........................... 295,800 91.46

Investment Funds (4.69%)

Ireland (4.69%)

1

Russell Investment Company

III plc

The Sterling Liquidity

Fund - Class R Roll-Up

Shares ............................... 1 0.00

3,481


III plc

The U.S. Dollar Cash Fund

II - Class R Roll-Up Shares 3,142 0.97

12,060


plc

Russell Euro Liquidity

Fund - Class C Income

Shares ............................... 12,014 3.72

Total Investment Funds .... 15,157 4.69

Total Investments

excluding Financial


Notional

Amount

EUR ‘000

Average

Cost Price

EUR

Unrealised

Gain (Loss)

EUR ‘000

Fund

%

(1,179) (421.00)

14 of Amsterdam Index Futures


Expiring July 2016 ................................................... (40) (0.01)

(3,550) (4,226.00)

84 of CAC 40 10 Euro Futures


Expiring July 2016 ................................................... (7) 0.00

(3,134) (9,644.00)

13 of DAX Index Futures


Expiring September 2016 ........................................ (8) 0.00

(11,709) (2,862.95)

409 of Euro Stoxx 50 Index Futures


Expiring September 2016 ........................................ 33 0.01

(12,470) (7,208.35)



Expiring September 2016 ........................................ (900) (0.28)

(899) (16,343.18)

11 of FTSE MIB Index Futures



3,582 2,311.19

31 of Hang Seng Index Futures


Expiring July 2016 ................................................... 185 0.06




30 June 2016



Notional

Amount

EUR ‘000

Average

Cost Price

EUR

Unrealised

Gain (Loss)

EUR ‘000

Fund

%

(1,299) (8,117.00)

16 of IBEX 35 Index Futures


Expiring July 2016 ................................................... (2) 0.00

1,535 199.37

79 of MSCI Singapore Index Futures


Expiring July 2016 ................................................... 99 0.03

(1,823) (136.02)

134 of OMX 30 Index Futures


Expiring July 2016 ................................................... (54) (0.02)

11,573 561.82

103 of S&P TSX 60 Index Futures



43,900 1,884.13



Expiring September 2016 ........................................ (62) (0.02)

8,807 3,453.53

102 of SPI 200 Futures



(5,891) (7,183.86)

82 of Swiss Market Index Futures


Expiring September 2016 ............................................ (155) (0.05)

(6,424) (11.68)

55 of TOPIX Index Futures



Unrealised gain on open futures contracts ......................................................................... 831 0.26

Unrealised loss on open futures contracts .......................................................................... (1,228) (0.38)

Net unrealised gain (loss) on open futures contracts ..................................................... (397) (0.12)

Open Forward Foreign Currency Exchange Contracts (0.50%)

Settlement

Date

Amount

Bought ‘000

Amount

Sold ‘000

Unrealised

Gain (Loss)

EUR ‘000

Fund

%

21/09/2016 AUD 13,590 EUR 8,859 198 0.06

21/09/2016 CAD 16,624 EUR 11,413 79 0.03

21/09/2016 CHF 710 EUR 656 1 0.00

21/09/2016 EUR 6,515 CHF 7,140 (93) (0.03)

21/09/2016 EUR 13,562 GBP 10,615 818 0.25

21/09/2016 EUR 7,521 JPY 916,300 (516) (0.16)

21/09/2016 EUR 2,004 SEK 18,500 37 0.01

21/09/2016 HKD 31,240 EUR 3,538 80 0.03

21/09/2016 JPY 140,860 EUR 1,236 (1) 0.00

21/09/2016 SGD 2,360 EUR 1,530 43 0.01

21/09/2016 USD 9,933 EUR 8,719 197 0.06

21/09/2016 USD 9,933 EUR 8,712 204 0.06

21/09/2016 USD 9,933 EUR 8,712 204 0.06

21/09/2016 USD 9,933 EUR 8,721 195 0.06

21/09/2016 USD 9,933 EUR 8,726 190 0.06

Unrealised gain on open forward foreign currency exchange contracts ................................ 2,246 0.69

Unrealised loss on open forward foreign currency exchange contracts ................................ (610) (0.19)

Net unrealised gain (loss) on open forward foreign currency exchange contracts ............................. 1,636 0.50

Total Financial Derivative Instruments ................................................................................................. 1,239 0.38




30 June 2016



Fair Value

EUR ‘000

Fund

%

Total Financial Assets at Fair Value through Profit or Loss

(97.10%) ............................................................................................................................... 314,034 97.10


Loss (0.57%) ......................................................................................................................... (1,838) (0.57)

Net Financial Assets at Fair Value through Profit or Loss

(96.53%) ................................................................................................................................................... 312,196 96.53

Other Net Assets (3.47%) ........................................................................................................................ 11,235 3.47

Net Assets ................................................................................................................................................. 323,431 100.00

Abbreviation used:

ADR - American Depositary Receipt

CPS - Cumulative participating Shares

GDR - Global Depositary Receipt

NVDR - Non-Voting Depositary Receipt

Analysis of total assets (unaudited)

% of

total assets


Investment Funds (UCITS) ...................................................................................................................................... 4.63



Other assets .............................................................................................................................................................. 4.05

100.00

The broker for the open futures contracts is Merrill Lynch.


Bank of America

Brown Brothers Harriman & Co

Citibank

Standard Chartered Bank

State Street bank and Trust

UBS AG

Westpac Banking Corporation




30 June 2016




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

measured at fair value at 30 June 2016.

As at 30 June 2016

Level 1

EUR ‘000

Level 2

EUR ‘000

Level 3

EUR ‘000

Total

EUR ‘000

Assets



Transferable securities ............................................................... 295,800 - - 295,800

Investment funds ........................................................................ - 15,157 - 15,157



contracts ........................................................................................ - 2,246 - 2,246

Total assets ...................................................................................... 296,631 17,403 - 314,034

Liabilities




contracts ........................................................................................

- (610) - (610)





Listed below are the 20 largest cumulative investment purchases and sales during the period 7 July 2015, launch date of the Fund,

to 30 June 2016.





Acquisition Cost

EUR ‘000 Portfolio Securities

Disposal Proceeds

EUR ‘000

Russell Investment Company Plc Russell Investment Company Plc

Russell Euro Liquidity Fund Russell Euro Liquidity Fund

Class C Income Shares 40,126 Class C Income Shares (28,091)

Russell Investment Company III plc Russell Investment Company III plc

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

Class R Roll-Up Shares 13,680 Class R Roll-Up Shares (10,474)

Apple Inc 6,892 Alphabet Inc (2,900)

Alphabet Inc 5,788 Wal-Mart Stores Inc (2,727)

Microsoft Corp 4,377 Apple Inc (2,611)

UBS Group AG 4,198 Ralph Lauren Corp (2,111)

Bayer AG 4,137 Royal Dutch Shell Plc (2,094)

Comcast Corp 4,055 Exxon Mobil Corp (2,040)

Oracle Corp 3,813 Walt Disney Co (2,021)

Wal-Mart Stores Inc 3,509 Microsoft Corp (2,004)

Johnson & Johnson Inc 3,411 Mizuho Financial Group Inc (1,991)

Exxon Mobil Corp 3,383 Nidec Corp (1,955)

Roche Holding AG 3,136 Pfizer Inc (1,947)

Mizuho Financial Group Inc 3,094 Priceline Group Inc (1,890)

Walt Disney Co 3,064 Visa Inc (1,816)

Royal Dutch Shell Plc 3,038 Dai-ichi Life Insurance Co Ltd (1,758)

Wells Fargo & Co 2,971 ORIX Corp (1,736)

Visa Inc 2,942 Jafco Co Ltd (1,715)

American Tower Corp 2,918 Nomura Holdings Inc (1,612)

Dai-ichi Life Insurance Co Ltd 2,908 Russell Investment Company III plc

The Sterling Liquidity Fund

Class R Roll-Up Shares (1,595)


Notes to the Financial Statements

30 June 2016

78 Notes to the Financial Statements

1. Basis of Preparation

a) Statement of Compliance

The Company’s financial statements are prepared in accordance with accounting standards generally accepted in Ireland

(“Irish GAAP”) including Financial Reporting Standard (“FRS”) 102, the financial reporting standard applicable in the U.K.

and Republic of Ireland for the first time, Irish statute comprising the Companies Act 2014 and under the European

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

GAAP, in preparing financial statements which present a true and fair view, are those promulgated by the Institute of

Chartered Accountants in Ireland (the “Institute”) and issued by the Financial Reporting Council (“FRC”). The Companies

Acts prescribed formats for financial statements have been adapted to make them more applicable to investment funds.

The Company has availed of the exemption available to open ended investment funds that hold a substantial proportion of

highly liquid and fair valued investments under Section 7 of FRS 102 and is not presenting cash flow statements. The

information required by FRS 102 to be included in a statement of comprehensive income, is, in the opinion of the Directors,

contained in the Profit and Loss Account of each Fund.

Investments on each individual Schedule of Investments less than 500 in value in the presentation currency of the respective

Fund are rounded to zero.

b) Transition to FRS 102

In 2012, 2013 and 2014 the FRC revised Financial Reporting Standards in the United Kingdom and Republic of Ireland. The

revisions fundamentally reformed financial reporting, replacing the extant standards with a number of new Financial

Reporting Standards. The new standards relevant to the Company are FRS 102: the Financial Reporting Standard applicable

in the UK and Republic of Ireland and FRS 104: Interim Financial Reporting. FRS 102 and FRS 104 are effective for

accounting periods beginning on or after 1 January 2015 with early adoption permitted.

The Directors, on the recommendation of the Manager’s Audit Committee, resolved to adopt and prepare the Company’s

financial statements in accordance with FRS 102, the Financial Reporting Standard applicable in the UK and Republic of

Ireland.

The date of transition to the new accounting framework is 1 July 2014 and accordingly the comparative amounts presented

for the financial year ended 30 June 2015 are based on the Company’s financial statements for that financial year after

adjustment for the transition to FRS 102.

The accounting policies applied in preparing these financial statements under FRS 102 are consistent with the accounting

policies applied, except where noted, in preparing the prior financial year financial statements under the previous accounting

framework. Please refer to note 2 to the financial statements for details of changes to the Company’s accounting policies as a

result of adoption of FRS 102.

c) Combined Financial Statements

The combined financial statements of the Company are measured using U.S. Dollars, being the functional currency of the

majority of the Funds in the Company. The accounts of the individual Funds are translated into U.S. Dollars using exchange

rates as at financial year ended 30 June 2016 and financial year ended 30 June 2015 respectively, and accumulated for

preparation of the combined financial statements.

For the purpose of producing the Combined Balance Sheet, respective financial year end exchange rates are used. For the

purpose of producing the Combined Profit and Loss Account and the Combined Statement of Changes in Net Assets

Attributable to Redeemable Participating Shareholders, the average exchange rates for the financial year are used. The

currency gain or loss on retranslation of opening net assets, and the average rate difference arising on the translation of the

Combined Profit and Loss Account and the Combined Statement of Changes in Net Assets Attributable to Redeemable

Participating Shareholders, is included in the Combined Statement of Changes in Net Assets Attributable to Redeemable

Participating Shareholders. This translation adjustment does not impact the net asset value per share of the individual Funds.


Notes to the Financial Statements - continued

30 June 2016

Notes to the Financial Statements 79

1. Basis of Preparation - continued

d) Estimates and judgements

The preparation of financial statements in conformity with Irish GAAP requires the use of certain critical accounting

estimates. It also requires the Board of Directors, based on advice of the Manager, to exercise its judgement in the process of

applying the Company’s accounting policies. Management also makes estimates and assumptions concerning the future. The

resulting accounting estimates will, by definition, seldom equal the related actual results. The areas involving a higher degree

of judgement or complexity, or areas where assumptions and estimates are significant to the financial statements are

determining fair values of certain financial instruments, as discussed in section b) of Note 2 to the financial statements and

determining the functional currency of the Company and individual Funds as discussed in section e) of Note 2 to the financial

statements.

2. Accounting Policies

The significant accounting policies adopted by the Company for the financial year ended 30 June 2016 are as follows:

a) Changes to the Company’s Accounting Policies

Changes in the Company’s accounting policies have been made as required in accordance with the transitional provisions in

FRS 102.

i) Fair value measurement and recognition

On initial application of FRS 102, in accounting for its financial instruments at fair value through profit and loss a

reporting entity is required to apply either:

a) the full provisions of section 11 “Basic Financial Instruments” and section 12 “Other Financial Instruments” of FRS

102; or

b) the recognition and measurement provisions of IAS 39 Financial Instruments: Recognition and Measurement and

only the disclosure requirements of Sections 11 and 12 of FRS 102; or

c) the recognition and measurement provisions of IFRS 9 Financial Instruments and/or IAS 39 (as amended following

the publication of IFRS 9) and only the disclosure requirements of Sections 11 and 12 of FRS 102.

The Company has chosen to implement the recognition and measurement provisions of IAS 39 and only the disclosure

requirements of Sections 11 and 12 of FRS 102.

As a result the Company changed its fair valuation input to utilise last traded market price for both financial assets and

liabilities. Where the last traded price is not within the bid ask spread, management will determine the point within the

bid ask spread which is most representative of fair value. Under the previous financial reporting standards the market

price used for financial assets held by the Company was the current bid price, the quoted market price for financial

liabilities was the current ask price. The Company’s prior financial year end Balance Sheet, as at 30 June 2015, has been

restated within these Financial Statements to recognise the fair value of the Company’s financial assets at fair value

through profit or loss using last traded market prices. The Company’s Profit and Loss Account for the financial year

ended 30 June 2015 has also been restated to reflect the use of last traded market prices.

The following tables summaries the respective restatements reflected on the Balance Sheet as of 30 June 2015 and the

Profit and Loss Account for financial year ended 30 June 2015.

Balance Sheet as at 30 June 2015

Combined

USD’000

Russell Absolute

Return Equity

Fund

GBP ‘000

Russell

Alpha Fund

USD ‘000

Russell Multi

Strategy

Volatility Fund

USD ‘000

Financial assets at fair value through profit or

loss (at bid market prices) .............................................................................................................................................. …………. 1,049,337 402,424 204,988 211,408

Adjustment from bid market prices to last traded

market prices ................................................................................................................................................................... ……….…. 624 314 111 19

Financial assets at fair value through profit or

loss (at last traded market prices) ................................................................................................................................... 1,049,961 402,738 205,099 211,427



30 June 2016


2. Accounting Policies - continued

Profit and Loss Account for the financial year ended 30 June 2015

Combined

USD ’000

Russell Absolute

Return Equity

Fund

GBP ‘000

Russell

Alpha Fund

USD ‘000

Russell Multi

Strategy

Volatility Fund

USD ‘000

Net gain (loss) on investment activities (at bid

market prices) .................................................................................................................................................................. …………. (44,255) (9,559) (41,784)

12,534

Movement in adjustment from bid market prices to

last traded market prices .................................................................................................................................................. ……….…. 115 83 (3)

19

Net gain (loss) on investment activities (at last traded

market prices) .................................................................................................................................................................. (44,140) (9,476) (41,787)

12,553

b) Financial Instruments at Fair Value through Profit or Loss

This category has two sub-categories: financial assets and liabilities held for trading, and those designated by Directors at fair

value through profit and loss at inception. All instruments on each Fund’s Schedule of Investments are classified at fair value

through profit or loss.

i) Investments

Securities listed on a recognised stock exchange or traded on any other regulated market are valued at the current last

traded market price as of the balance sheet date on the stock exchange or market which constitutes the principal market

for such securities. If for specific assets the current last traded market price does not, in the opinion of the Directors,

reflect their fair value or are not available, the price of the most recent transaction provides evidence of the current fair

value as long as there has not been a significant change in economic circumstances since the time of the transaction.

In the case of any security not listed, quoted or dealt in on a regulated market or for which no quotation or value is

available which would provide a fair valuation, or in respect of which the price is unrepresentative, the fair value of such

security is determined on the basis of the probable realisation value and is determined by the Directors, a stockbroker or

other competent person appointed by the Directors and approved for the purpose by the Depositary, using valuation

techniques. There was no requirement during the current year for the Directors to appoint a competent person for such

purposes. The Company uses a variety of methods and makes assumptions that are based on market conditions existing

at each balance sheet date. Valuation techniques used include the use of comparable recent arm’s length transactions,

discounted cash flow analysis and option pricing models. If there is a valuation technique commonly used by market

participants to price the instrument and that technique has been demonstrated to provide reliable estimates of prices

obtained in actual market transactions, the Company uses that technique. Estimation methods and valuation models may

be used to calculate fair value. Due to the dynamic nature of assumptions used in estimating fair value and market

volatility, the values reflected in the financial statements for these investments may differ from the values that would be

determined by negotiations held between parties in a near term sales transaction, and those differences could be material.

Commercial paper is valued on an amortised basis with reference to the maturity date of these instruments, which

approximates fair value.

Deposits with credit institutions are valued at par.

Investments in open-ended investment funds are valued at fair value at the latest available unaudited net asset value for

the shares or units obtained from the relevant administrator. The changes in the daily net asset value of these shares are

recognised as net gain (loss) on investment activities in the Profit and Loss Account.

ii) Warrants

Warrants are sometimes used to gain exposure to emerging market equities where custody, liquidity, or other issues

make ownership of local shares sub-optimal.



30 June 2016



The valuation of the warrants depends on the level of trading. If the warrants are actively traded in the market then the

market price is used. If the warrants are not actively traded in the market then either the intrinsic value of the warrant

based on underlying equity price and warrant strike price or modified Black Scholes derived value, adjusted for

liquidity/other risks deemed appropriate are used.

iii) Forward and Spot Foreign Currency Exchange Contracts

The fair value of open forward foreign currency exchange contracts and open foreign currency exchange spot contracts is

calculated as the difference between the contracted rate and the current forward rate that would close out the contract on

the balance sheet date. For each relevant Fund, gains or losses on open foreign currency exchange spot contracts are

included in cash at bank in the Balance Sheet and gains or losses on open forward foreign currency exchange contracts

are included in financial assets or liabilities at fair value through profit or loss, as appropriate, on the Balance Sheet and

Schedule of Investments.

iv) Futures Contracts

Initial margin deposits are made upon entering into futures contracts and are generally made in cash or cash equivalents.

The fair value of futures contracts is based upon their current quoted daily settlement prices on the relevant exchange as

of the balance sheet date. Changes in the value of open futures contracts are recognised as unrealised gains or losses on

futures contracts until the contracts are terminated, at which time realised gains and losses are recognised. For each

relevant Fund, gains or losses on open futures contracts are shown in the Schedule of Investments and as appropriate, on

the Balance Sheet as financial assets or liabilities at fair value through profit or loss.

v) Options

Each Fund may purchase and sell (write) call and put options on securities, securities indices and foreign currencies

traded on a national securities exchange or in an over-the-counter market.

When a Fund writes a call or a put option, a premium is received by the Fund. The premium is subsequently marked to

market to reflect the fair value of the option written, which is reported within financial assets or liabilities at fair value

through profit or loss on the Balance Sheet for each relevant Fund. The difference between the premium amount and the

fair value reported on the Balance Sheet gives rise to an unrealised gain (loss).

When a Fund purchases a call or a put option, a premium is paid by the Fund. The premium on purchased put options

exercised is subtracted from the proceeds of the sale of the underlying security or foreign currency in determining the

realised gain or loss. The premium on purchased call options exercised is included in determining initial fair value of the

securities or foreign currency purchased. Premiums paid on the purchase of options which expire unexercised are treated

as realised losses. The option is subsequently marked to market to reflect the fair value of the option purchased, which is

reported within financial assets at fair value through profit or loss on the Balance Sheet for each relevant Fund.

The over-the-counter options are valued at close of business on the dealing day at the settlement price as provided by the

counterparty/broker and the values are independently valued, at a minimum, weekly. The fair value of exchange traded

options are based upon their quoted daily settlement prices on the relevant exchange. In the event of it being impossible

or incorrect to carry out a valuation of a specific investment in accordance with the valuation rules, or if such valuation is

not representative of a security’s fair market value, the Directors are entitled to use other generally recognised valuation

methods in order to reach a proper valuation of that specific instrument, provided that such method of valuation has been

approved by the Depositary.

If an option which a Fund has written either expires on its stipulated expiration date or a Fund enters into a closing

purchase transaction, a Fund realises a gain (or loss, if the cost of a closing purchase transaction exceeds the premium

received when the option was sold) without regard to any unrealised gain or loss on the underlying security, and the

liability related to such option is extinguished. If a call option which a Fund has written is exercised, a Fund realises a

capital gain or loss from the sale of the underlying security, and the proceeds from such sales are increased by the

premium originally received. When a put option which a Fund has written is exercised, the amount of the premium

originally received will reduce the cost of the security which a Fund purchases upon exercise of the option.



30 June 2016



c) Net Gain (Loss) on Investment Activities

In respect of each instrument type classified as financial instruments at fair value through profit or loss, the movement in

unrealised gains (losses) since the prior financial year end and realised gains (losses) are recognised within net gain (loss) on

investment activities in the Profit and Loss Account for each relevant Fund.

See Note 4 for details of realised gains (losses) and movement in unrealised gains (losses) since the prior financial year end.

Gains and losses on options, swaps and swaptions are included in the investments figure for each relevant Fund. Gains and

losses on foreign currency exchange contracts are included in foreign currency exchange gains (losses).

d) Accounting for Investment Transactions, Income and Expenses

Purchases and sales of investments are recognised on trade date, the date on which the Fund commits to purchase or sell the

asset, provided the trade instructions have been received by the Depositary prior to the calculation of the Fund’s net asset

value, being 2.30pm (Irish time) on each dealing day (the “Valuation Point”). Any trade instructions received by the

Depositary after the Valuation Point will be recognised on the next dealing day. Investments are initially recognised at fair

value and transaction costs for all financial assets and financial liabilities carried at fair value through profit or loss are

expensed as incurred.

Investments are recognised when the rights to receive cash flows from the investments are transferred to the Fund or the

Fund has exposure to substantially all risks and rewards of ownership. Investments are derecognised when the rights to

receive cash flows from the investments have expired or the Fund has transferred substantially all risks and rewards of

ownership.

Realised gains and losses on investment transactions are calculated using the average cost method. Realised gains and losses

on investments transactions in debt instruments are calculated as the difference between sales proceeds and the amortised

cost of the instrument. Amortised cost is arrived at using the effective interest method. The effective interest method is a

method of calculating the amortised cost of a financial asset or financial liability and of allocating the interest income or

interest expense over the relevant period. Interest income and expense are recognised in the Profit and Loss Account for all

relevant instruments using the effective interest method. Gains and losses realised on the sale of all financial assets and

financial liabilities carried at fair value through profit or loss are recognised in the Profit and Loss Account.

Bank interest is recognised on an accruals basis.

Dividends are credited to the Profit and Loss Account on the dates on which the relevant securities are listed as “exdividend”.

Income is accounted for gross of any non reclaimable/irrecoverable withholding taxes and net of any tax credits. The

withholding tax is shown separately in the Profit and Loss Account.

Each Fund pays all of its expenses and such proportion of the Company’s expenses as is allocated to that Fund, other than

those expressly assumed by the Manager. The costs and gains (losses) of any hedging transactions will be attributable to the

relevant Share Class. To the extent that expenses are attributable to a specific Share Class of a Fund, that Share Class bears

such expenses. All expenses, as disclosed in the Profit and Loss Account, with the exception of Professional and Other fees,

are accrued on a daily basis. Professional fees and other fees recognised in the Profit and Loss Account are generally charged

and paid when billed to the Funds.

e) Foreign Currency Transactions

In accordance with Section 30 of FRS 102, items included in the individual Fund’s financial statements are measured using

the currency of the primary economic environment in which it operates (functional currency). The Directors’ selection of the

functional currency is attributable to the functional currency being: (a) the major component of the Fund’s benchmarks; or

(b) the common currency of monies received on subscriptions and paid out on redemptions of shares for most clients in the

Funds’ varied client base or (c) the common currency of the majority of the investments held on the Fund. The functional

currency assessment is done on a Fund by Fund basis. The functional currency of the Company is the U.S. Dollar.

Each individual Fund has also adopted its functional currency as the presentation currency. Foreign currency transactions are

translated to the functional currency of the relevant Fund at the rate of exchange ruling on the date of the transaction.



30 June 2016



For each relevant Fund:

(i) Currency gains and losses can arise where there is a difference between the amounts of foreign dividends and interest

recorded on the Fund’s books and the Fund’s functional currency equivalent to the amounts actually received or paid.

These gains or losses are included where appropriate in the dividend and interest income figure in the Fund’s Profit and

Loss Account;

(ii) Currency gains and losses realised on securities purchase and sales transactions are included in net gain (loss) on

investment activities in the relevant Fund’s Profit and Loss Account;

(iii) Unrealised currency gains and losses on securities held at financial year end are included in net gain (loss) on investment

activities in the relevant Fund’s Profit and Loss Account;

(iv) Monetary assets and liabilities denominated in currencies other than the Fund’s functional currency are translated at the

rate of exchange ruling at the close of business on the relevant reporting date and exchange differences are included in

net gain (loss) on investment activities in the relevant Fund’s Profit and Loss Account; and

(v) Share transactions which are settled in a currency other than the functional currency of a Fund are settled using the

applicable foreign currency exchange rate as of the trade date. As a result, there is no foreign currency impact on the

Funds for such transactions.

f) Redeemable Participating Shares

Redeemable participating shares are redeemable at the shareholder’s option and are classified as financial liabilities. The

redeemable shares can be repurchased by the Company at any time for cash equal to a proportionate share of the Company’s

net asset value. The redeemable share is carried at the redemption amount that is payable at the balance sheet date if a

shareholder exercised his or her right to have the Company repurchase his or her share. In accordance with the Prospectus,

for the relevant Funds, the Company is contractually obliged to redeem shares at dealing prices and the liability to

redeemable participating shareholders has been adjusted to reflect this. Monetary value share transactions during the financial

year are recognised in the Statement of Changes in Net Assets Attributable to Redeemable Participating Shareholders of the

relevant Fund.

g) Distributions

Distributions on Income Share Classes, and deemed distributions on Accumulating Share Classes with an ex date during the

financial financial year are included as a finance cost in the Profit and Loss Account. The reinvestment of the deemed

distribution on the Accumulation Share Classes are included as a share transaction in the Statement of Changes in Net Assets

Attributable to Redeemable Participating Shareholders. Roll-Up Share Classes do not declare or distribute net income and the

net asset value therefore reflects net income.

h) Swing Pricing/Dilution Adjustments

Swing pricing (also known as dilution adjustment) is applied to a Fund once net subscriptions or redemptions for a Fund

relating to a Fund’s net asset value for a given dealing day is determined by the Administrator to exceed certain pre-

determined percentage thresholds. In calculating the swing pricing, the net asset value of a Fund is swung by a “swing factor”

on the following basis:

Net subscriptions - the price used to process all transactions is adjusted upwards by the swing factor to a notional offer price.

Net redemptions - the price used to process all transactions is adjusted downwards by the swing factor to a notional bid price.

If the net asset value of a Fund is swung on a specific dealing day the official price for a Fund will be the derived swing

price. In addition, all dealing activity for this dealing day will be dealt at the swing price. Swing pricing applied to a Fund

during the financial year is recognised within the share transactions figure on the Statement of Changes in Net Assets

Attributable to Redeemable Shareholders.



30 June 2016



i) Collateral

A Fund’s assets may be deposited by or on behalf of the Fund for collateral purposes with brokers, for options and futures

contracts, and counterparties, in respect of over the counter financial derivative instruments (“FDIs”), held on the Funds.

Such assets remain in the ownership of the relevant Fund and are recorded as an asset on the Balance Sheet. Cash pledged by

the Funds as collateral is recognised on the Balance Sheet within ‘Cash held with brokers and counterparties for open FDIs’.

Investments pledged by the Funds as collateral are recognised at fair value in the relevant Fund’s Schedule of Investments

and such investments are referenced accordingly at the base of the Schedule of Investments.

See Note 3 for details of cash collateral received and pledged by the Funds to and from counterparties for FDIs.

i) Impairment of Collateral

The Adviser has considered the recoverability of collateral due from relevant brokers and counterparties at financial year

end/prior financial year end and has considered the need to write-down the value of such collateral. The Adviser is

satisfied that the full value of the collateral is recoverable from all brokers and counterparties at the respective financial

financial year end dates.

j) Transaction Costs

Transaction costs are defined as the incremental costs that are directly attributable to the acquisition, issue or disposal of a

financial asset or financial liability. An incremental cost is one that would not have been incurred if the entity had not

acquired, issued or disposed of the financial instrument. When a financial asset or financial liability is recognised initially, an

entity shall measure it at its fair value through profit or loss plus, transaction costs that are directly attributable to the

acquisition or issue of the financial asset or financial liability.

Transaction costs relating to the brokers commission on the purchase and sale of a financial asset or financial liability, are

included in its purchase and sale price. Transaction costs of the Depositary or sub-custodian as the case may be are embedded

in the relevant fees in the Profit and Loss Account.

3. Cash at Bank and Cash Held with Brokers and Counterparties

a) Cash at Bank

Cash at bank balances are comprised of cash balances held within State Street Bank and Trust Company’s (“State Street”)

custodian network*, unrestricted margin accounts held by brokers for exchange traded derivative instruments held by the

Funds and net unrealised gains and losses on open spot foreign currency exchange contracts. The names of brokers used by

each individual Fund can be found at the base of each relevant Fund's Schedule of Investments.

The tables in this section of the note details all such cash held on the Funds, including relevant broker and location of broker,

as of 30 June 2016 and 30 June 2015. All cash at bank balances are held by State Street for those Funds not listed below.

Cash held in U.S. Dollar bank accounts with State Street automatically transfer into the demand deposit account at State

Street Bank and Trust New York in the name of State Street Bank and Trust Company - London.

As at 30 June 2016

Held with Location

Russell Multi

Strategy

Volatility

Fund

USD ‘000

Russell

Global

Regional

Equity Fund

EUR ‘000

Total

USD ‘000

State Street Bank & Trust Company ................................ Multiple 38,231 2,281 37,765

Goldman Sachs Execution & Clearing L.P. ....................... Jersey City, U.S.A. 1,793 - 1,793

Merill Lynch International .............................................. London, United Kingdom - 516 573

40,024 2,797 40,131

* Certain cash balances may be held by sub-custodians, as approved and appointed by State Street, in markets where State Street does not operate as a

custodian. Such cash and all cash held within the State Street custodian network is included within the State Street Bank and Trust figures in the tables

contained within this note.



30 June 2016


3. Cash at Bank and Cash Held with Brokers and Counterparties - continued

As at 30 June 2015

Held with Location

Russell

Absolute

Return Equity

Fund

GBP ‘000

Russell Alpha

Fund

USD ‘000

Russell Multi

Strategy

Volatility

Fund

USD ‘000

Total

USD ‘000

State Street Bank & Trust Company ................................ Multiple 7,286 9,174 12,098 32,731

Goldman Sachs Execution & Clearing L.P. ....................... Jersey City, U.S.A. - - 22,783 22,783

Morgan Stanley & Co. International plc ......................... London, United Kingdom 4,240 2,510 - 9,179

11,526 11,684 34,881 64,693

b) Cash held with brokers and counterparties for open financial derivative instruments

Cash is also deposited by or on behalf of the Funds for initial margin purposes with brokers for futures contracts and as

collateral with counterparties in respect of OTC FDIs held on the Funds. As this amount is the minimum deemed by the

brokers and counterparties for collateral requirements the cash is as such restricted and is reported separately to the

unrestricted cash on the Funds’ Balance Sheets.

All such cash held on the Funds, including relevant broker and location of broker, as of 30 June 2016 and 30 June 2015 are

detailed in the tables below.

As at 30 June 2016

Broker Location

Russell

Alpha Fund

USD ‘000

Russell Multi

Strategy

Volatility

Fund

USD ‘000

Russell

Global

Regional

Equity Fund

EUR ‘000

Total

USD ‘000

Goldman Sachs Execution & Co New York, U.S.A. - 10,748 - 10,748

Merril Lynch International .................................................... London, United Kingdom - - 7,070 7,855

Morgan Stanley & Co. International plc London, United Kingdom 3,960 - - 3,960

3,960 10,748 7,070 22,563

As at 30 June 2015

Broker Location

Russell

Absolute

Return Equity

Fund

GBP ‘000

Russell

Alpha Fund

USD ‘000

Russell Multi

Strategy

Volatility

Fund

USD ‘000

Total

USD ‘000

Goldman Sachs Execution & Clearing L.P. ....................... Jersey City, U.S.A. - - 5,806 5,806

Morgan Stanley & Co. International plc ......................... London, United Kingdom 19,141 11,149 - 41,254

19,141 11,149 5,806 47,060



30 June 2016


4. Net Gain (Loss) on Investment Activities

All gains and losses on investments other than futures contracts and forward foreign currency exchange contracts are

included within the investments figure in the tables below.

a) Financial year ended 30 June 2016

i) Net realised gain (loss)

Russell Absolute

Return

Equity Fund

GBP ‘000

Russell

Alpha Fund

USD ‘000

Russell Multi

Strategy

Volatility Fund

USD ‘000

Russell Global

Regional

Equity Fund

USD ‘000

Investments .................................................................. 38,209 (5,182) (14,159) (12,336)

Futures contracts ......................................................... 3,512 18,580 (12,489) 3,191

Foreign currency exchange ......................................... 8,062 (6,007) (3,579) (1,056)

49,783 7,391 (30,227) (10,201)

ii) Net change in unrealised gain (loss) on:

Russell Absolute

Return

Equity Fund

GBP ‘000

Russell

Alpha Fund

USD ‘000

Russell Multi

Strategy

Volatility Fund

USD ‘000

Russell Global

Regional Equity

Fund

USD ‘000

Investments .................................................................. (39,549) (13,691) 11,645 (9,255)

Futures contracts ......................................................... (4,679) (1,065) (6,119) (397)

Foreign currency exchange ......................................... (7,361) (13,057) 2,793 1,653

(51,588) (27,813) 8,319 (7,999)

iii) Net gain (loss) on investment activities

Russell Absolute

Return

Equity Fund

GBP ‘000

Russell

Alpha Fund

USD ‘000

Russell Multi

Strategy

Volatility Fund

USD ‘000

Russell Global

Regional Equity

Fund

USD ‘000

Net realised gain (loss) ................................................ 49,783 7,391 (30,227) (10,201)

Net change in unrealised gain (loss) ........................... (51,588) (27,813) 8,319 (7,999)

Net gain (loss) on investment activities ...................... (1,805) (20,422) (21,908) (18,200)

b) Financial year ended 30 June 2015

i) Net realised gain (loss)

Russell Absolute

Return

Equity Fund

GBP ‘000

Russell

Alpha Fund

USD ‘000

Russell Multi

Strategy

Volatility Fund

USD ‘000

Investments .................................................................. 23,885 13,077 21,086

Futures contracts ......................................................... (48,458) (22,906) (2,833)

Foreign currency exchange ......................................... 2 (20,744) (2,174)

(24,571) (30,573) 16,079

ii) Net change in unrealised gain (loss) on:

Russell Absolute

Return

Equity Fund

GBP ‘000

Russell

Alpha Fund

USD ‘000

Russell Multi

Strategy

Volatility Fund

USD ‘000

Investments .................................................................. 3,891 (16,477) (5,049)

Futures contracts ......................................................... 8,898 5,546 173

Foreign currency exchange ......................................... 2,306 (283) 1,350

15,095 (11,214) (3,526)



30 June 2016


4. Net Gain (Loss) on Investment Activities - continued

iii) Net gain (loss) on investment activities

Russell Absolute

Return

Equity Fund

GBP ‘000

Russell

Alpha Fund

USD ‘000

Russell Multi

Strategy

Volatility Fund

USD ‘000

Net realised gain (loss) ................................................ (24,571) (30,573) 16,079

Net change in unrealised gain (loss) ........................... 15,095 (11,214) (3,526)

Net gain (loss) on investment activities ...................... (9,476) (41,787) (12,553)

5. Transactions with Related Parties

a) Related Parties

Parties are considered to be related if one party has the ability to control the other party or is able to exercise significant

influence over the other party, in making financial or operational decisions. The following entities were related parties to the

Company during the years ended 30 June 2016 and 30 June 2015.

Relation to the Company Name of entity

Details

disclosed

in section of

this note

Manager ............................................................................................................................. Russell Investments Ireland Limited ................................................................................ b), i)

Adviser and Distributor (the “Adviser”) ........................................................................... Russell Investments Limited ............................................................................................ b), ii)

Affiliated Money Manager ................................................................................................ Russell Investments Implementation Services LLC and Russell Management, LLC ...... b), iii)

Currency Implementation .................................................................................................. Russell Investments Implementation Services LLC. ....................................................... b), iii)

Affiliated Broker ............................................................................................................... Russell Investments Implementation Services LLC. ....................................................... b), iii)

Directors of the Company ................................................................................................. As listed in the Administration of the Company page ..................................................... b), iv)

Related Party Investors and Investees ............................................................................... Affiliated Russell Investments entities and Russell Managed Funds .............................. b), v)

b) Related Party Transactions

i) Manager, Management Fee and Performance Fee

The Manager was a wholly owned subsidiary of Frank Russell Company, which in turn was a 100 per cent owned

subsidiary of The London Stock Exchange Group (the “LSEG”) until 31 May 2016. From 1 June 2016, the Manager is a

wholly owned subsidiary of Russell Investments Ireland Holdco Limited, which is in turn indirectly owned by Emerald

Acquisition Limited. The Manager is engaged in the business of providing investment management and administrative

services to investment funds. The Manager has: (a) appointed the Adviser to advise it on the Funds’ investments; (b)

delegated the administration of the Company to the Administrator; and (c) appointed the Adviser to market and promote

the shares of the Funds.

a) Management Fee

For services rendered under the management agreement, the Company pays the Manager a fee, accrued daily and

paid monthly in arrears, at the following annual rates based on the respective average daily net asset values of each

class of shares.

Russell Absolute Return Equity Fund Russell Alpha Fund Russell Multi Strategy Volatility Fund

A Euro Hedged Roll-Up Class 0.50% A Euro Hedged Roll-Up Class 0.50% A AUD Hedged Class 1.80%

A GBP Class 0.60% GBP Hedged Class 0.60% A US Dollar Roll-Up Class 1.75%

A GBP Income Class 0.60% U.S. Dollar Roll-Up Class 0.50% A Euro Hedged Roll-Up Class 1.80%

Q GBP Income Class 0.23% Yen Hedged Roll-Up Class 0.40% A GBP Hedged Roll-Up Class 1.80%


A Euro Class 0.45%

Rates for classes of shares not yet funded as at 30 June 2016 are not listed.



30 June 2016


5. Transactions with Related Parties - continued

The management fee for each class of shares paid to the Manager shall comprises two elements: the fixed

management fee for each class of shares as set out in the tables above plus the Weighted Average Money Manager

fees.

Weighted Average Money Manager fees are calculated by the Manager once every month in advance using the most

recently available information on the fees payable to each Money Manager and the target weight. Weighted Average

Money Manager fees shall not in any event exceed 1.0 per cent of the net asset value of each Fund. The management

fee for each class of shares may differ each month and the management fee for the same class of shares may differ

between months.

The total management fee paid to the Manager shall not in any event exceed 2.0 per cent of the net asset value of the

relevant class. Fees of the Money Managers are paid out of the management fees.

b) Performance Fee

A performance fee (the “Performance Fee”) is payable to the Manager in respect of certain Funds on an annual basis

who in turn pays the Performance Fee to the Money Manager of each Fund that is entitled to a performance fee as

described in full in the Prospectus.

For the financial year ended 30 June 2016, there was a performance fee charged of USD 290,311. For the financial

year ended 30 June 2015, there was a performance fee adjustment of USD 115,734 recognised in the Profit and Loss

Account.

ii) Adviser

The Manager discharges all fees payable to the Adviser out of its management fee.

iii) Affiliated Money Managers, Affiliated Broker and Currency Implementation

Russell Investments Implementation Services, LLC. and Russell Investments Implementation Services Limited

(collectively called “RIIS”) and Russell Investments Management, LLC (“RIM”) are affiliated group companies to the

Manager and the Adviser. The Adviser, Russell Investments Implementation Service, LLC. and RIM can be appointed as

Money Manager to the Funds. Please refer to each Fund’s Manager Report section for a list of Money Managers as at 30

June 2016.

The appointment of Russell Investments group companies as Money Manager to the Funds is subject to the same

procedures as appointing an external Money Manager and an intercompany agreement and investment guidelines are

applied.

The Funds effect certain transactions through RIIS and its global network of unaffiliated correspondent brokers. Trades

placed through RIIS and its correspondents are made (i) to manage trading associated with changes in Money Managers,

rebalancing across existing Money Managers, cash flows and other portfolio transitions or (ii) to execute portfolio

securities transactions for each Fund’s assets where RIIS has been appointed as Money Manager.

RIIS is also engaged by the Adviser to carry out foreign currency implementation trading for which a fee of 0.02 per cent

per trade is included in individual transactions.

For the financial year ended 30 June 2016, the total commission earned by RIIS, encompassing the range of services

provided, amounted to USD 300,847 (financial year ended 30 June 2015: USD 136,477).



30 June 2016


5. Transactions with Related Parties - continued

iv) Directors and Directors’ Fees

The Articles of Association provide that the Directors shall be entitled to a fee by way of remuneration at a rate to be

determined from time to time by the Directors. Directors’ fees are paid to non-executive Directors not employed by

Russell Investments group companies. Directors’ fees shall not exceed the limits contained in the Prospectus and the

Directors are entitled to certain additional expenses as listed in the Prospectus. Directors’ fees charged during the

financial year ended 30 June 2016 were USD 12,527 (financial year ended 30 June 2015: USD 8,158) these amounts are

included in other fees in the Combined Profit and Loss Account.

All of the Directors of the Company are also directors of the Russell Funds discussed in section vi) of this note below.

All of the Directors of the Company are also directors of the Manager. The following Directors of the Company are

employed by Russell Investments group companies: Mr. James Beveridge, Mr. Peter Gonella, Mr. Neil Jenkins, Mr.

John McMurray and Mr. Kenneth Willman.

Mr. James Firn is a former employee of Russell Investments who retired in June 2014. He continues to act as a Director

of the Manager and the funds managed by the Manager.

The Adviser operates a defined contribution pension plan for its employees which invests in Russell Investments

managed funds including the Funds. The pension fund is subject to a management fee rebate. The Directors who are

employed by Russell Investments group companies may be indirectly exposed to the Company through the pension

scheme.

v) Related Party Investors and Investees

a) Investment in other Russell Funds

The Funds may invest in the sub-funds of other investment funds managed by the Manager as listed in the table

below. Details of the Fund’s investments in these sub-funds can be found in the Schedule of Investments of each

relevant Fund.

Fund Structure Name

Type of Fund

Structure

Management

Fee Rate

Russell Investment Company plc ............................................................................................................................................................................. UCITS Umbrella 0.05% - 2.80%

Russell Investment Company III plc ........................................................................................................................................................................ UCITS Umbrella 0.05%

b) Related Party Shareholders of the Company

During the financial year ended 30 June 2016 and the financial year ended 30 June 2015, certain Funds of open-ended

investment funds also managed by the Manager and administered by the Administrator were invested in the Funds. In

accordance with FRS 102 these entities are deemed related party shareholders to the Company.

The table below discloses the value of shares held by related party shareholders in the Company and the percentage of

this value against the Company’s combined net asset value as at the 30 June 2016 and 30 June 2015.

Related Party Shareholder

30 June 2016

USD ‘000

Company

%

30 June 2015

USD ‘000

Company

%

Russell Institutional Funds plc ................................................................................................................................ 125,771 16.26% 136,682 12.10%

Russell Investment Company plc ............................................................................................................................ 18,639 2.41% 38,337 3.39%

Russell Investment Company V plc ........................................................................................................................ 25,391 3.28% 14,587 1.29%



30 June 2016


6. Significant Agreements

i) Depositary

State Street Custodial Services (Ireland) Limited is the Company’s Depositary. The Depositary has appointed its parent

State Street Bank and Trust Company as its global sub-custodian who in turn has appointed a network of local sub-

custodial agents. The sub-custodian fees are paid at annual rates based on the total assets held in each individual country

in which the Funds invest plus applicable transaction charges.

Up to 20 March 2016 custody services were provided by State Street Custodial Services (Ireland) Limited.

From 21 March 2016, in line with the UCITS V Regulations, State Street Custodial Services (Ireland) Limited provides

depositary services.

Depositary fees accrue daily and are paid monthly in arrears.

Included within the Custodian agreement is a right of set off fees owing to and monies lent by the Depositary.

ii) Administrator and Transfer Agency

State Street Fund Services (Ireland) Limited is the Company’s Administrator. The Administrator is responsible for the

daily determination of net asset value, maintaining the books and records of the Funds in respect of the Company and

other administrative services. The Manager has also appointed the Administrator as the Company’s Transfer Agent.

Such fees accrue daily and are paid monthly in arrears. The Manager shall discharge reasonable out of pocket expenses

payable to the Administrator out of the Funds’ assets.

The Administrator is also entitled to shareholder services fees as disclosed in the administration agreement and reporting

services fees of USD 7,000 per Fund per annum.

Transfer agency fees are charged based on the number of Funds in the umbrella structure, the number of shareholders,

number of statements issued, number of share classes and volume of trading in a period and are subject to adequate

minimum thresholds. Transfer agency fees are accrued and paid on a daily basis and are recognised within

Administration and Transfer Agency Fees in the Profit and Loss Account for each Fund.

The aggregate Administration fee and Depositary fee per Fund will not exceed 0.30 percent of the net asset value of any

Fund.

iii) Transaction Costs

Transaction costs relating to the broker commission on the purchase and sale of bonds, equities, exchange traded FDIs

and OTC FDIs, are included in the purchase and sale price of the investment. Transaction costs on Purchases and Sales

of Equities and Exchange Traded FDIs are readily identifiable.

Transaction costs on the purchase and sale of bonds and OTC FDIs cannot be practically or reliably gathered as they are

embedded in the cost of the investment and cannot be separately verified or disclosed.

Total transaction costs, incorporating broker commissions and transaction costs of the Depositary and sub-custodians are

as follows:

Fund Functional

Currency

Year ended

30 June 2016

‘000

Year ended

30 June 2015

‘000

Russell Absolute Return Equity Fund ............. GBP 318 1,035

Russell Alpha Fund .......................................... USD 869 641

Russell Multi Strategy Volatility Fund ............ USD 27,523 1,658

Russell Global Regional Equity Fund EUR 874 -



30 June 2016


6. Significant Agreements - continued

iv) Auditors’ Remuneration

The remuneration for all work carried out by the statutory audit firm in respect of the financial year under review and

prior financial year is as follows:

2016

USD ‘000

2015

USD ‘000

Statutory audit of accounts* .................................................................................................................................................................................................... 76 61

Tax advisory services ** .......................................................................................................................................................................................................... 17 13

Total ........................................................................................................................................................................................................................................ 93 74

* The fees for statutory audit of the accounts disclosed in the table above are exclusive of VAT. The audit fees recognised in the Profit and Loss

Account are inclusive of VAT.

** Exclusive of VAT.

There were no fees for other assurance services or other non-audit services during the financial year ended 30 June 2016 (30

June 2015: Nil).

7. Soft Commissions, Directed Brokerage Services and Commission Recapture Programme

The Adviser retains the right to request that the Money Managers participate in Russell’s soft commission, directed

brokerage services and commission recapture programme (the “Programme”) by executing a portion of their securities

transactions through certain brokers (the “Correspondent Broker Network”). Money Manager participation in the Programme

is not mandatory and the appropriate participation percentage target is determined on a Money Manager by Money Manager

basis, based upon asset class, investment mandate, trading habits, and tolerance for participation and is always subject to a

Money Manager’s ability to obtain best execution.

The Programme, including the Correspondent Broker Network, is administered by Recapture Services, a division of BNY

ConvergEx Execution Solutions LLC (“BNY”) and State Street Global Markets (“SSGM”).

A portion of the commission earned by the Correspondent Broker Network as a result of this trading activity will be set aside

in the Programme as “credits”. These credits are then earmarked for purchase of third party research (“Soft Commission

Credits”) or commission recapture (“Commission Credits”).

i) Soft Commission Credits

All soft commission use is overseen by Russell’s soft commission committee (the “Committee”) which is made up of

senior level investment personnel. The Committee, with the guidance of Russell’s investment strategy committee,

establishes an annual soft commission research budget for the use of the Soft Commission Credits.

Soft Commission Credits are used by the Adviser to purchase third party research that will aid Russell Investments in its

investment decision-making process. Research purchased through the Programme is obtained from unaffiliated third

parties at market rates.

Soft Commission Credits for the year ended 30 June 2016 amounted to USD 60 (year ended 30 June 2015: USD 35,257).

ii) Recapture Credits

Once the soft commission research budget has been met the Committee will instruct BNY and SSGM to recapture the

Commission Credits which are then rebated directly back to the relevant Fund from which the commission was generated.

Russell Investments does not receive any revenue (directly or indirectly from BNY or any broker) from the commission

recapture component of the Programme.

Credits rebated back to the Funds for the year ended 30 June 2016 amounted to USD 28,544 (year ended 30 June 2015:

USD 13,416).



30 June 2016


8. Distributions

The Company conducts its affairs so as to enable U.K. reporting fund status to be obtained under the United Kingdom

Income and Corporation Taxes Act, 1988 for the purposes of U.K. taxation for each applicable Fund.

Three Classes of Shares may be issued by the Funds, namely Income Class Shares, Accumulation Class Shares and Roll-Up

Class Shares. Income Class Shares distribute net income from time to time subject to Directors’ discretion. Accumulation

Class Shares are shares that declare a distribution but whose net income is then reinvested in the capital of the relevant Fund.

Roll-Up Class Shares do not declare or distribute net income and their net asset value reflects net income. Distributions

declared by Income Class Shares are paid in cash unless the shareholder chooses to reinvest part or all of the amount in the

capital of the relevant Share Class. Net income includes all interest, dividends and other amounts deemed by the Manager to

be in the nature of income less the estimated expenses of that Fund applicable to that dividend year.

Distributions are calculated and declared on a calendar semi-annual basis (i.e. semi-annual periods ended 30 June and

31 December).

9. Taxation

Under current law and practice the Company qualifies as an investment undertaking as defined in Section 739B of the Taxes

Consolidation Act, 1997, as amended (the “TCA”). On that basis, it is not chargeable to Irish tax on its income or gains.

However, Irish tax may arise on the occurrence of a “chargeable event”. A chargeable event includes any distribution

payments to shareholders or any encashment, redemption, transfer or cancellation of shares and any deemed disposal of

shares for Irish tax purposes arising as a result of holding shares in the Company for a period of eight years or more.

No Irish tax will arise in respect of chargeable events in respect of a shareholder who is an Exempt Irish Investor (as defined

in Section 739D of the TCA) or who is neither Irish resident nor ordinarily resident in Ireland for tax purposes at the time of

the chargeable event, provided, in each case, that an appropriate valid declaration in accordance with Schedule 2B of the

TCA is held by the Company or where the Company has been authorised by Irish Revenue to make gross payments in

absence of appropriate declarations.

Distributions, interest and capital gains (if any) received on investments made by the Company may be subject to

withholding taxes imposed by the country of origin and such taxes may not be recoverable by the Company or its

shareholders.

10. Number of Shares in Issue and Net Assets Attributable to Redeemable Participating Shareholders

a) Authorised Share Capital The authorised share capital of the Company is not less than EUR 2.00 represented by two subscriber shares of no par value

and the maximum issued share capital shall be not more than 500 billion participating shares of no par value. 39,000

subscriber shares have been issued but do not form part of the net asset value of the Company. They are disclosed in the

financial statements by way of this note only.

Holders of subscriber shares are not entitled to dividends or any surplus of assets over liabilities upon the winding-up of the

Company. The subscriber shares are held by the Promoter and the Adviser.

b) Redeemable Participating Shares

Each of the shares entitles the holder to participate equally on a pro rata basis in the profits and dividends of the relevant

Fund attributable to such shares and to attend and vote at meetings of the Company and of the relevant Fund represented by

those shares. No class of shares confers on the holder thereof any preferential or pre-emptive rights or any rights to

participate in the profits and dividends of any other class of shares or any voting rights in relation to matters relating solely to

any other class of shares.



30 June 2016


10. Number of Shares in Issue and Net Assets Attributable to Redeemable Participating Shareholders - continued

Each share represents an individual beneficial interest in the Company. The shares are not debt obligations or guaranteed by

the Company. The return on an investment in the Company will depend solely upon the investment performance of the assets

or the relevant Fund and the increase or decrease (as the case may be) in the net asset value of the shares. The amount

payable to a shareholder in respect of each share upon liquidation of the Company or a Fund will equal the net asset value per

share. However, in a relatively illiquid market, a Fund may not be able to dispose of its investments quickly and as such a

Fund may experience adverse price movements upon liquidation of its investments. Settlement of transactions may be subject

to delay and administrative uncertainties and the price repaid to the shareholders in such circumstances will not equal the

final published net asset value per share.

Net assets attributable to shareholders represent a liability on the Balance Sheet, carried at the redemption amount that would

be payable at the balance sheet date if the shareholder exercised the right to redeem the shares in the Company.

Participating Share Transactions

All cash amounts are in the functional currency of the Fund not the currency of the class.


Number of Shares in issue

Financial Year ended 30 June 2015 Financial Year ended 30 June 2016

Share Class

Beginning

of year

Shares

Issued

Shares

Redeemed

End

of year

Shares

Issued

Shares

Redeemed

End

of year

A GBP Class .................................................................... 12,722,024 1,087,738 (1,524,490) 12,285,272 30,233 (12,315,505) -

A GBP Income Class ....................................................... 23,001,120 945 (22,991,503) 10,562 - (10,562) -

A Euro Hedged

Roll-Up Class .................................................................. - 4,797,664 (574,494) 4,223,170 120,517 (4,343,687) -

Q GBP Income Class ....................................................... 6,731,808 24,642,300 (3,328,959) 28,045,149 81,644 (28,126,793) -

Value of Share Transactions

Financial Year ended

30 June 2015


30 June 2016

Share Class

Subscriptions

GBP ‘000

Redemptions

GBP ‘000

Subscriptions

GBP ‘000

Redemptions

GBP ‘000

A GBP Class .................................................................... 10,705 (14,975) 300 (120,844)

A GBP Income Class ....................................................... 9 (217,396) - (330)

A Euro Hedged

Roll-Up Class .................................................................. 36,515 (4,296) 846 (30,365)

Q GBP Income Class ....................................................... 241,791 (32,394) 797 (273,719)

Russell Alpha Fund



Share Class

Beginning

of year

Shares

Issued

Shares

Redeemed

End

of year

Shares

Issued

Shares

Redeemed

End

of year

A Euro Hedged

Roll-Up Class .................................................................. 7,291 2,353 (2,174) 7,470 4,869 (2,313) 10,026

U.S. Dollar Roll-Up

Class ................................................................................. 2,555 669 (76) 3,148 264 (1,224)

2,188

Yen Hedged Roll-Up

Class ................................................................................. 120,152 - (120,152) - - - -

GBP Hedged Class .......................................................... 9,409 2,097 (5,112) 6,394 3,366 (2,299) 7,461



30 June 2016


10. Number of Shares in Issue and Net Assets Attributable to Redeemable Participating Shareholders – continued



30 June 2015


30 June 2016

Share Class

Subscriptions

USD ‘000

Redemptions

USD ‘000

Subscriptions

USD ‘000

Redemptions

USD ‘000

A Euro Hedged

Roll-Up Class .................................................................. 30,675 (29,629) 57,745 (27,311)

U.S. Dollar Roll-Up

Class ................................................................................. 7,700 (873) 3,056 (14,216)

Yen Hedged Roll-Up

Class ................................................................................. - (9,211) - -

GBP Hedged Class .......................................................... 35,047 (77,899) 52,630 (34,650)




Share Class

Beginning

of year

Shares

Issued

Shares

Redeemed

End

of year

Shares

Issued

Shares

Redeemed

End

of year

A Euro Hedged Roll-

Up Class ...........................................................................

-

19,489 (2,843) 16,646 13,470 (29,885) 231

A AUD Hedged

Class .................................................................................

-

191,260 - 191,260 436,162 (426,512) 200,910

A U.S. Dollar Roll-Up

Class .................................................................................

-

44,974 - 44,974 49,112 (39,288) 54,798

A GBP-Hedged

Roll-Up Class ...................................................................

-

- - - 7,437 (7,437) -



30 June 2015


30 June 2016

Share Class

Subscriptions

USD ‘000

Redemptions

USD ‘000

Subscriptions

USD ‘000

Redemptions

USD ‘000

A Euro Hedged

Roll-Up Class .................................................................. 22,542 (3,356)

16,306

(36,947)

A AUD Hedged

Class ................................................................................. 157,079 -

347,860

(344,977)

A U.S. Dollar Roll-Up

Class ................................................................................. 46,538 -

52,465

(39,057)

A GBP-Hedged

Roll-Up Class ................................................................... - -

11,557

(9,082)



Financial Year ended 30 June 2016

Share Class

Beginning

of year

Shares

Issued

Shares

Redeemed

End

of year

A Euro Class .................................................................... - 338,289 - 338,289



30 June 2016

Share Class

Subscriptions

USD ‘000

Redemptions

USD ‘000

A Euro Class .................................................................... 338,032 -



30 June 2016


10. Number of Shares in Issue and Net Assets Attributable to Redeemable Participating Shareholders – continued

c) Swing Pricing/Dilution Adjustments

The swing pricing (also known as dilution adjustment) is applied to a Fund once net subscriptions or redemptions for a Fund

relating to a Fund’s net asset value for a given dealing day is determined by the Administrator to exceed certain

predetermined percentage thresholds. In calculating the swing pricing, the net asset value of a Fund is swung by a “swing

factor”. The swing factors applied during the year under review and year ended 30 June 2015 ranged from 0.15 per cent to

0.25 per cent on both subscriptions and redemptions.

d) Significant Shareholders#

The following table details the number of shareholders with significant holdings of at least 20 per cent of the relevant Fund’s

net asset value and the aggregate monetary value and percentage (of that Fund’s net asset value) of that holding as at 30 June

2016.

Fund

Number of

Significant

Shareholders

Value

of Holding

Aggregate

Shareholding as

a % of the Fund

Russell Alpha Fund ............................................................................................................. 1 USD ‘000 85,484 35.05%

Russell Global Regional Equity Fund ................................................................................ 1 EUR '000 323,431 100.00%

# Shareholders who individually hold at least 20 per cent of the relevant Funds.

The following table details the number of shareholders with significant holdings of at least 20 per cent of the relevant Fund’s

net asset value and the aggregate monetary value and percentage (of that Fund’s net asset value) of that holding as at 30 June

2015.

Fund

Number of

Significant

Shareholders

Value

of Holding

Aggregate

Shareholding as

a % of the Fund

Russell Absolute Return Equity Fund ................................................................................ 2 GBP ‘000 272,559 64.04%

Russell Alpha Fund ............................................................................................................. 1 USD ‘000 100,413 44.38%

11. Efficient Portfolio Management

The Company may enter into securities lending arrangements and repurchase agreements (together “Efficient Portfolio

Management Techniques”) and may invest in OTC FDIs, subject to the restrictions set forth the Prospectus and to the extent

consistent with the Fund’s investment objective and policies.

The use of techniques and instruments relating to transferable securities, money market instruments and/or other financial

instruments in which the Funds invest for efficient portfolio management purposes will generally be made for one or more of

the following reasons:

i) the reduction of risk;

ii) the reduction of cost; or

iii) the generation of additional capital or income for the relevant Fund with an appropriate level of risk, taking into account

the risk profile of the Fund and the risk diversification rules set out in the UCITS Regulations issued by the Central

Bank.

All the revenues arising from Efficient Portfolio Management Techniques employed shall be returned to the relevant Fund

following the deduction of any direct and indirect operational costs and fees arising. Such direct and indirect operational

costs and fees, (which are all fully transparent) which shall not include hidden revenue, shall include fees and expenses

payable to repurchase/reverse repurchase agreements counterparties and/or securities lending agents engaged by the

Company from time to time. Such fees and expenses of any repurchase/reverse repurchase agreements counterparties and/or

stocklending agents engaged by the Company, which will be at normal commercial rates together with VAT, if any, thereon,

will be borne by the Company or the Fund in respect of which the relevant party has been engaged. None of the Funds

entered into securities lending arrangements or repurchase agreements during the financial year under review or prior

financial year.



30 June 2016


11. Efficient Portfolio Management - continued

Money Manager(s) on behalf of a Fund may employ techniques and instruments relating to transferable securities, money

market instruments and/or other financial instruments in which they invest for efficient portfolio management purposes. At

any time a Fund may hold a combination of derivative instruments such as futures, forward contracts, options, swaps and

swaptions, forward foreign exchange contracts, caps, floors and credit derivatives, any of which may be listed or over-the-

counter. Please refer to Note 2 b) Financial Instruments at Fair Value through Profit or Loss for a range of FDIs that the

Company may employ for the purpose of efficient portfolio management.

12. Financial Risks

The activities of each Fund expose it to various financial risks such as market risk (including market price risk, interest rate

risk, and currency risk), credit risk and liquidity risk.

Some Funds delegate some of the management of its portfolio to external Money Managers. The Adviser primarily monitors

and manages market risk (including market price risk, interest rate risk, and currency risk), credit risk and liquidity risk by

the following techniques:

The Adviser monitors each Fund’s characteristics in detail with the Money Manager(s) at least quarterly and in some

cases monthly.

The Adviser also reviews the portfolio characteristics of each Fund in its entirety.

This review may include as appropriate a review of country allocations, country weights, capitalisation, distribution,

industry sector weights, price/book levels, currency exposure, portfolio maturity, portfolio duration, sector exposure and

quality exposure and other key risk measures.

In addition to monitoring investment activity and exposure at the point of execution by a Money Manager, the Adviser

also receives daily exposure reporting from the Administrator and Money Managers, with which they can review various

event exposures on the Funds.

The Adviser also oversees and monitors the overall level of risk in a Fund.

a) Global Exposure

The Funds will use advanced risk measurement methodology, namely Value at Risk (“VaR”) as a risk measurement

technique, in addition to other techniques, to measure, monitor and manage market risk. The absolute or relative VaR

approach is executed in accordance with the CESR (Committee of European Securities Regulators) 10/788 guidelines. VaR

quantifies the estimate of the maximum potential loss due to market risk at a given confidence level over a specified time

period under the prevailing market conditions.

VaR is a model-based estimate. As with any model-derived figure, it is subject to imprecision due to such factors as data and

measurement errors and model risk. The calculation of VaR is based on daily unaudited accounting book of record position

data. In addition, VaR assumes that future asset return distributions and correlations remain stable and consistent with the

prevailing market conditions. The Funds utilise additional measures such as stress testing analysis and exposure measurement

to provide a holistic view to the Funds’ market risk that includes tail risk and derivative exposure quantification.

Furthermore, accuracy of the VaR models is regularly checked via out-of-time/out-of-sample back testing.

VaR is calculated with Monte Carlo simulations approach (1000 paths) using granular market risk models. The approach

estimates VaR by simulating random scenarios for each relevant pricing inputs (e.g., specific equity, commodity prices,

foreign exchange and interest rates, implied volatility, etc.) used in valuing securities held in the portfolio and revaluing the

positions for each of the paths generated for pricing inputs.



30 June 2016


12. Financial Risks - continued

For Funds using the absolute VaR approach, the VaR of the Fund shall not exceed 3.16 per cent of the Net Asset Value of the

Fund, based on a 1 day holding period and a “one-tailed” 95 per cent confidence interval using observation period of at least

1 financial year. For Funds using the relative VaR approach, the VaR of the Fund shall not exceed twice that of the VaR of

the reference portfolio based on a 1 day holding period and a “one-tailed” 95 per cent confidence interval using historical

observation period of at least 1 financial year. A Fund VaR of 1 per cent means that there is a 5 per cent chance that the Fund

will lose more than 1per cent of its value over any given day, assuming that the prevailing market conditions continue into

the future.

The below table details the VaR expressed as a percentage of the NAV at financial year end 30 June 2016 and financial year

end 30 June 2015, VaR approach for each Fund and for those Funds utilising the relative VaR methodology, the reference

portfolio is also listed.

Fund Name Approach Reference Portfolio

VaR as at

30 June 2016

VaR as at

30 June 2015

Russell Absolute Return Equity Fund ............................................................ Absolute N/A N/A 0.24%

Russell Alpha Fund ........................................................................................ Absolute N/A 1.32% 0.80%

Russell Multi Strategy Volatility Fund .......................................................... Absolute N/A 1.96% 1.52%

Russell Global Regional Equity Fund ............................................................ Absolute MSCI World Index EUR 1.73% -

VaR utilisation measures the Fund’s VaR relative to the Fund’s VaR limit. The below table details the minimum, maximum

and average daily VaR utilisation that occurred during the one financial year period ending 30 June 2016 and one financial

year period ending 30 June 2015.

Daily VaR Utilisation*

30 June 2016 30 June 2015

Fund Name Minimum Maximum Average Minimum Maximum Average

Russell Absolute Return Equity Fund ............................................................ 5.9% 14.7% 9.6% 4.4% 8.9% 6.0%

Russell Alpha Fund ........................................................................................ 21.2% 41.7% 26.4% 7.9% 27.6% 18.1%

Russell Multi Strategy Volatility Fund .......................................................... 19.0% 99.1% 58.9% 22.5% 75.7% 46.2%

Russell Global Regional Equity Fund ............................................................ - 4.2% - - - -

* Absolute VaR Limit Utilisation = VaR (95% CI, 1 day) / 3.16%

Relative VaR Limit Utilisation = [Fund VaR / Benchmark VaR] - 1

Utilisation >100% equates to breaking the limit

The Daily VaR Utilization calculation excludes VaR values occurring during Fund opening or closing due to accounting and timing issues.

The below table details the Fund’s VaR relative to the Fund’s VaR limit at the financial year end 30 June 2016 and 30 June

2015.

VaR Utilisation

Year ended

30 June 2016

Year ended

30 June 2015

Fund Name Level Level

Russell Absolute Return Equity Fund ............................................................ N/A 7%

Russell Alpha Fund ........................................................................................ 42% 25%

Russell Multi Strategy Volatility Fund .......................................................... 62% 48%

Russell Global Regional Equity Fund ............................................................ 4% -



30 June 2016



The average level of leverage figures provided below are calculated as the sum of the absolute value of notionals of the

derivatives used as is required by the UCITS Regulations. This figure does not take into account any netting and hedging

arrangements that the Funds may have in place at any time even though these netting and hedging arrangements are used for

risk reduction purposes. As these netting and hedging arrangements, if taken into account, may reduce the level of leverage,

this calculation may not provide an accurate measure of the Funds’ actual leverage position. Below is the daily average level

of leverage for each Fund during the one financial year period ending 30 June 2016 and 30 June 2015.

Level of Leverage*

Fund Name

Year ended

30 June 2016

Year ended

30 June 2015

Russell Absolute Return Equity Fund ............................................................ 164% 191%

Russell Alpha Fund ........................................................................................ 215% 240%

Russell Multi Strategy Volatility Fund .......................................................... 936% 489%

Russell Global Regional Equity Fund ............................................................ 67% -

*Absolute VaR Limit Utilization = VaR(95% CI, 1 day) / 3.16% Relative VaR Limit Utilization = [Fund VaR / Benchmark VaR] - 1 Utilization >100%

equates to breaking the limit

**The Daily VaR Utilization calculation excludes VaR values occurring during fund opening or closing due to accounting and timing issues.

b) Market Price Risk

Market price risk is defined in FRS 102 as the risk that the fair value of a financial instrument or its future cash flows will

fluctuate because of changes in market prices other than those caused by interest rate risk or currency risk.

All investments present a risk of loss of capital. The Funds’ investments are susceptible to market risk arising from

uncertainties about future prices of the instruments. Except for derivatives, maximum risk resulting from financial

instruments is determined by fair value of the financial instruments. Possible losses from certain derivatives can be unlimited.

The Adviser moderates this risk by diversifying the management of its assets by allocating them between one or more Money

Managers. The Funds’ Money Manager monitors its portfolio holdings on a daily basis.

i) Fair valuation hierarchy

FRS 102 Section 11.27 on “Fair Value: Disclosure” requires the Company to classify fair value measurements using a

fair value hierarchy that reflects the significance of the inputs used in making the measurements. On 8 March 2016, the

Financial Reporting Council (FRC) issued Amendments to FRS 102 - Fair value hierarchy disclosures. The amendment

is effective for accounting periods commencing 1 January 2017, however, the Board of Directors have agreed to early

adopt this amendment in preparing these financial statements for the year ended 30 June 2016.

The fair value hierarchy of inputs is summarised in the three broad levels listed below.

Level 1: Quoted prices (unadjusted) in active markets for identical assets or liabilities.

Level 2: Inputs other than quoted prices included within Level 1 that are observable for the asset or liability, either

directly (that is, as prices) or indirectly (that is, derived from prices).

Level 3: Inputs for the asset or liability that are not based on observable market data (that is, unobservable inputs).

The level in the fair value hierarchy within which the fair value measurement is categorised in its entirety is determined

on the basis of the lowest level input that is significant to the fair value measurement in its entirety. For this purpose, the

significance of an input is assessed against the fair value measurement in its entirety. If a fair value measurement uses

observable inputs that require significant adjustment based on unobservable inputs, that measurement is a Level 3

measurement. Assessing the significance of a particular input to the fair value measurement in its entirety requires

judgement, considering factors specific to the asset or liability.

No significant transfers occurred between the levels during the year and prior year under review.



30 June 2016



The determination of what constitutes ‘observable’ requires significant judgement by by the Directors. The Directors

consider observable data to be that market data that is readily available, regularly distributed or updated, reliable and

verifiable, not proprietary, and provided by independent sources that are actively involved in the relevant market.

Investments whose values are based on quoted market prices in active markets, and therefore classified within Level 1,

include active listed equities and exchange traded derivatives. The Funds do not adjust the quoted price for these

instruments.

Financial instruments that trade in markets that are not considered to be active but are valued based on quoted market

prices, dealer quotations or alternative pricing sources supported by observable inputs are classified within Level 2.

These include stale priced listed equities, investment funds and OTC FDIs.

Investments classified within Level 3 have significant unobservable inputs, as they trade infrequently and are made up of

corporate debt securities. Level 3 securities are securities that may be priced by a single pricing vendor or may have

prolonged stale prices or may have no valid market information (indications or comparable security types) available.

There were no Level 3 securities held at 30 June 2016 and 30 June 2015.

Please refer to the base of each Fund’s Schedule of Investments for analysis, within the fair value hierarchy, of each

Fund’s financial assets and liabilities (by investment type) measured at fair value at 30 June 2016 and 30 June 2016.

c) Interest Rate Risk

The Funds’ interest bearing financial assets and liabilities expose it to risks associated with the effects of fluctuations in the

prevailing level of interest rates. The Funds may employ investment techniques and FDIs in order to hedge against interest

rate risk or gain exposure to the underlying market. In addition, mortgage and asset backed securities are also subject to

prepayment risk, which is the risk that borrowers pay off the debt underlying the mortgage backed/asset backed securities

sooner than anticipated and therefore shorten the average maturity of the Funds.

The tables below summarise each relevant Fund’s exposure to interest rate risks. It includes each relevant Fund’s assets and

trading liabilities at fair values, categorised by the earlier of contractual re-pricing or maturity dates.

The Funds not mentioned below are mainly investing in non-interest bearing assets or its investments have a very short time

to maturity. As a result, those Funds are not subject to significant amounts of risk due to fluctuations in the prevailing levels

of market interest rates.

As at 30 June 2016

Ccy

Up to

1 year

‘000

1 to

5 years

‘000

Over

5 years

‘000

Non-interest

bearing

‘000

Net

Assets

‘000

Russell Multi-Strategy

Volatility Fund ................................................................................................ USD 131,855 1,988 - 72,232 206,075

As at 30 June 2015

As at 30 June 2015 Ccy

Up to

1 year

‘000

1 to

5 years

‘000

Over

5 years

‘000

Non-interest

bearing

‘000

Net

Assets

‘000

Russell Multi-Strategy

Volatility Fund ................................................................................................ USD 137,820 53,863 - 42,577 234,274



30 June 2016



d) Currency Risk

The Funds may hold assets denominated in currencies other than the functional currency of the Fund. They are therefore

exposed to currency risk, as the value of the securities denominated in other currencies will fluctuate due to changes in

exchange rates. A Fund may use financial instruments to hedge against fluctuations in the relative values of their portfolio

positions in addition to making active currency selections.

No Fund had monetary assets or liabilities with material foreign monetary currency exposures as at 30 June 2016 or 30 June

2015.

e) Credit Risk

The Funds take on credit risk, which is the risk that a counterparty or issuer will be unable to pay amounts in full when due.

Impairment provisions are provided for losses that have been incurred by the balance sheet date, if any.

The Funds’ main credit risk concentrations arise from trading equity, debt securities, investment funds and FDIs in addition

to cash balances and investments held at the Depositary.

The Funds are exposed to credit risk on the counterparties with which it trades in relation to derivatives that are not traded on

a recognised exchange (OTC derivatives). Such instruments are not afforded the same protections as may apply to

participants trading on organised exchanges, such as the performance guarantee of an exchange clearing house.

The Funds minimise concentrations of credit risk by undertaking transactions with a large number of counterparties. The

Company’s Prospectus and the UCITS Regulations list various investment restrictions with regard to issuer and counterparty

concentration limits and minimum counterparty credit ratings. Each relevant Fund’s Money Managers conduct periodic

reviews of the counterparties with whom they conduct transactions. The Adviser also monitors each Fund’s counterparty

exposures. In addition, risk exposure to a counterparty may be reduced by collateral provided to the Fund by the counterparty

in accordance with the UCITS Regulations.

The Adviser employs a credit research team that performs robust quantitative and qualitative analysis on banks, insurance

companies, and other counterparties. The credit research analyst assigned to a particular counterparty performs full credit

analysis and writes a credit research report and subsequently sets investment parameters on OTC counterparty ratings and

exposures where appropriate. The credit research team only reviews counterparties for those assets directly managed by

Russell Investments. The individual Money Managers have their own research process for the assets under their

management. Each Fund’s Money Managers monitor each credit position on a daily basis.

All securities held on Russell Multi Strategy Volatility Fund are investment graded as at 30 June 2016.

OTC FDIs have an exposure to counterparty risk such that the counterparty may become insolvent or otherwise incapable of

meeting its obligations under an FDI contract. This includes the legal risk arising from a contract being unenforceable.

The names of brokers and counterparties used by each individual Fund can be found at the base of each relevant Fund’s

Schedule of Investments.

Collateral may be pledged by the Funds, generally by way of cash or cash equivalents, and held by the counterparties. Details

of non-cash collateral held at year-end by counterparties are asterisked within the Schedule of Investments of the Funds.

Amounts of cash collateral held at year-end by counterparties are disclosed on the Balance Sheet of the Funds.

All securities and cash at bank balances are held by the Depositary through its affiliate, State Street or through a sub-

custodian within the State Street custodial network. All OTC FDIs, investment funds, term deposits margin or other similar

investments/monies deposited by or entered into on behalf of the Company with a counterparty, options exchange, clearing

broker or other parties are not held within the State Street custodial network. The Depositary are therefore not be liable in any

way for the default of any counterparty.



30 June 2016



Bankruptcy or insolvency of the Depositary or a State Street affiliate company may cause the Company’s rights with respect

to cash and securities held by State Street to be delayed or limited and the Company would be treated as a general creditor of

that entity in respect of its cash balances. Periodic monitoring and an annual credit review are performed on the Depositary

by the Adviser. This review may include as appropriate an assessment of the Depositary’s liquidity position, income streams,

asset quality and credit ratings. The long term credit rating of State Street as of 30 June 2016 was Aa1 (30 June 2015: Aa2)

as rated by Moody’s rating agency.

f) Liquidity Risk

The liquidity risks associated with the need to satisfy shareholders’ requests for redemptions are mitigated by maintaining a

pool of cash to satisfy usual levels of demand. Generally, the Funds’ assets comprise publicly traded and securities with

various degree of liquidity. In highly volatile market conditions, the Funds may not easily liquidate assets needed for

redemption or settlement. In such conditions, the Manager may restrict redemptions and borrow monies on a temporary basis

as detailed in the Company’s Prospectus.

As at 30 June 2016 and 30 June 2015, all of the Funds’ liabilities, including net assets attributable to redeemable

participating shareholders, are payable within three months, with the exception of Russell Multi-Strategy Volatility Fund

which had financial liabilities at fair value through profit and loss with maturity dates greater than three months, however the

total value of such liabilities amounted to less than 1 per cent of the Fund's net asset value as of the respective balance sheet

date.

The tables below analyse each Fund’s currency forward contracts that will be settled on a gross basis into relevant maturity

groupings based on the remaining period at the Balance Sheet to the contractual maturity date.

As at 30 June 2016

Russell Alpha Fund

Currency

Less than

1 month

GBP ‘000

Less than

1-3 months

USD ‘000

Inflows ...................................................... USD 401,858 65,016

Outflows ................................................... USD (412,067) (64,935)

Russell Multi-Strategy Volatility Fund

Currency

Less than

1 month

USD ‘000

Less than

1-3 months

USD ‘000

Inflows ...................................................... USD 172,724 259

Outflows ................................................... USD (168,581) (259)


Currency

Less than

1 month

EUR ‘000

Less than

1-3 months

EUR ‘000

Inflows ...................................................... USD - 101,814

Outflows ................................................... USD - (100,178)

As at 30 June 2015


Currency

Less than

1 month

USD ‘000

Inflows ...................................................... USD 367,264

Outflows ................................................... USD (359,711)



30 June 2016


12. Financial Risks - continued Russell Alpha Fund

Currency

Less than

1 month

GBP ‘000

Inflows ...................................................... GBP 275,744

Outflows ................................................... GBP (272,797)

Russell Multi-Strategy Volatility Fund

Currency

Less than

1 month

USD ‘000

Inflows ...................................................... USD 189,253

Outflows ................................................... USD (187,903)

13. Exchange Rates

Where applicable, the Administrator used the exchange rates listed below to translate foreign currency amounts, market value

of investments and other assets and liabilities into U.S. Dollars at the following rates for each USD 1.

30 June 2016 30 June 2016 30 June 2016

Australian Dollar AUD 1.3430 Hong Kong Dollar HKD 7.7580 South African Rand ZAR 14.6450

Brazilian Real BRL 3.2038 Hungarian forint HUF 284.1487 Singapore Dollar SGD 1.3459

British Pound GBP 0.7481 Indian Rupee INR 67.4950 South Korean Won KRW 1,151.8500

Canadian Dollar CAD 1.2987 Indonesian Rupiah IDR 13,212.5000 Swedish Krona SEK 8.4727

Chilean Peso CLP 662.0650 Japanese Yen JPY 102.5900 Swiss Franc CHF 0.9742

Czech Krone CZK 24.37778 Norwegian Krone NOK 8.3680 Taiwan Dollar TWD 32.2590

Danish Krone DKK 6.6968 Mexican Peso MXN 18.4493 Thai Baht THB 35.1400

Egytian Pound EGP 8.8800 Polish Zloty PLN 3.9614 Turkish Lira TRY 2.8757

Euro EUR 0.9001 Phillipene Peso PHP 47.0475

30 June 2015 30 June 2015 30 June 2015

Australian Dollar AUD 1.3011 Hong Kong Dollar HKD 7.7526 South African Rand ZAR 12.1378

Brazilian Real BRL 3.1064 Indian Rupee INR 63.6800 Singapore Dollar SGD 1.3465

British Pound GBP 0.6358 Indonesian Rupiah IDR 13,332.5000 South Korean Won KRW 1,115.4500

Canadian Dollar CAD 1.2485 Japanese Yen JPY 122.3650 Swedish Krona SEK 8.2975

Chilean Peso CLP 639.5300 Norwegian Krone NOK 7.8675 Swiss Franc CHF 0.9346

Danish Krone DKK 6.6953 Mexican Peso MXN 15.6907 Taiwan Dollar TWD 30.8545

Egytian Pound EGP 7.6301 Polish Zloty PLN 3.7609 Turkish Lira TRY 2.679

Euro EUR 0.8975 Phillipene Peso PHP 45.0900 Thai Baht THB 33.7755

The Administrator used the average exchange rates for each reporting period as listed below to translate into U.S. Dollars the

Profit and Loss Account and Statement of Changes in Net Assets Attributable to Redeemable Participating Shareholders of

those Funds not prepared in U.S. Dollars in preparing the Company’s Combined Profit and Loss Account and the Combined

Statement of Changes in Net Assets Attributable to Redeemable Participating Shareholders at the following rates for each

USD 1.

Year ended 30 June 2016 Year ended 30 June 2015

British Pound GBP 0.6780 British Pound GBP 0.6371

Euro EUR 0.9044



30 June 2016


14. Comparative Dealing Net Assets


Class

A EUR Hedged

Roll-up

EUR ‘000

Class

A GBP

GBP ‘000

Class

A GBP Income

GBP ‘000

Class

Q GBP

Income

GBP ‘000

Total net asset value

30 June 2016 ............................................... - - - -

30 June 2015 ............................................... 41,882 121,903 100 273,964

30 June 2014 ............................................... - 127,597 219,852 66,798

Class

A EUR Hedged

Roll-up

EUR

Class

A GBP

GBP

Class

A GBP Income

GBP

Class

Q GBP

Income

GBP

Net asset value per share

30 June 2016 ............................................... - - - -

30 June 2015 ............................................... 9.92 9.92 9.45 9.77

30 June 2014 ............................................... - 10.03 9.56 9.92

Russell Alpha Fund

Class

A Euro Hedged

Roll-Up

EUR ‘000

Class

GBP Hedged

GBP ‘000

Class

U.S. Dollar

Roll-Up

USD ‘000

Class

Yen Hedged

Roll-Up

JPY ‘000


30 June 2016 ............................................... 106,849 74,637 25,391 -

30 June 2015 ............................................... 80,211 63,856 36,456 -

30 June 2014 ............................................... 79,535 95,058 29,961 1,007,436

Class

A Euro Hedged

Roll-Up

EUR

Class

GBP Hedged

GBP

Class

U.S. Dollar

Roll-Up

USD

Class

Yen Hedged

Roll-Up

JPY


30 June 2016 ............................................... 10,657.26 10,004.23 11,602.61 -

30 June 2015 ............................................... 10,737.39 9,986.95 11,581.20 -

30 June 2014 ............................................... 10,908.40 10,102.54 11,728.08 8,385


Class

A Euro Hedged

Roll-Up

EUR ‘000

Class

A AUD

Hedged

AUD ‘000

Class

A U.S. Dollar

Roll-Up

USD ‘000


30 June 2016 ............................................... 227 203,238 54,491

30 June 2015 ............................................... 18,392 213,381 49,776

Class

A Euro Hedged

Roll-Up

EUR

Class

A AUD

Hedged

AUD

Class

U.S. Dollar

Roll-Up

USD


30 June 2016 ............................................... 982.94 1,011.59 994.40

30 June 2015 ............................................... 1,104.93 1,115.66 1,106.78



30 June 2016


14. Comparative Dealing Net Assets - continued


Class

A Euro

EUR ‘000


30 June 2016 ............................................... 323,431

Class

A Euro

EUR

Net asset value per share ................................

30 June 2016 ............................................... 956.08

15. Segregated Liability

Each Fund will be responsible for paying its fees and expenses regardless of the level of its profitability. The Company has

availed of the segregated liability provisions of the Companies Act 2014. The adoption of segregated liability ensures that

liability incurred on behalf of a Fund will generally be discharged solely out of the assets of that Fund and there can generally

be no recourse to other Funds to satisfy these liabilities. Notwithstanding the foregoing there can be no guarantee that should

an action be brought against the Company in the court of another jurisdiction that the segregated nature of the Funds would

necessarily be upheld.

16. Significant Events During the Financial year

a) Revised Prospectus

A revised prospectus was issued on 4 August 2015 to reflect amendments to trade cut-off, dealing frequency and settlement

dates in relation to Russell Alpha Fund.

b) Amendments to Memorandum and Articles of Association

On 11 December 2015 the Memorandum and Articles of Association of the Company was amended by special resolution of

the Board. The most significant amendment was in accordance with Directive 2014/91/EU (“UCITS V”) of the European

Parliament and of the Council of 23 July 2014 amending Directive 2009/65/EC (“UCITS IV”).

Memorandum and Articles of Association of the Company, amended by Special Resolution dated 11 December 2015 noted

by the Central Bank on 17 December 2015.

c) Fund Launches and Closures

Russell Global Regional Equity Fund was launched on 7 July 2015.

Russell Absolute Return Equity Fund ceased trading on 7 August 2015.

d) Frank Russell Company

LSEG announced on 8 October 2015 that it had agreed the proposed sale of the investment management and solutions

business of Russell Investments to TA Associates and Reverence Capital Partners, subject to customary closing adjustments

and regulatory and other required approvals. The sale of Russell Investments by LSEG to TA Associates and Reverence

Capital Partners concluded on 1 June 2016.



30 June 2016


17. Significant Events Since the Financial year End

No significant events affecting the Company since the financial year end.

18. Approval of the Financial Statements

The financial statements were approved by the Directors on 13 October 2016.


Supplementary Information

106 Supplementary Information

Remuneration Policy of the Manager (Unaudited)

The Manager has a remuneration policy for its staff in place that is compliant with its obligations. A summary of its remuneration

policy is available here:

https://russellinvestments.com/uk/legal/remuneration-policy

In accordance with the applicable remuneration rules (“UCITS V remuneration rules”), the Manager will be in a position to

provide further information in the annual report of its managed funds, once it has completed the first annual performance period

after the UCITS V remuneration rules have come into effect. This will allow Manager to disclose information relevant to the

whole financial year of the annual report.

Russell Investments Rex House10 Regent Street, St James’London, SW1Y 4PE

tel +44 (0) 20 7024 6000fax +44 (0) 20 7024 6001www.russellinvestments.com