Deutsche Concept · Liquidation of the sub-fund Deutsche Concept Global Risk Premia The sub-fund Deutsche Concept Global Risk Premia was liquidated effective February 22, 2018, following

Deutsche ConceptSemiannual Report 2018

n Deutsche Concept Kaldemorgen n Deutsche Concept Global Risk Premia

Investment Company with Variable Capital Incorporated under Luxembourg Law

1

Contents

Semiannual report 2018 for the period from January 1, 2018, through June 30, 2018

General information ................................................................................................... 2

Semiannual report Deutsche Concept Deutsche Concept Kaldemorgen ................................................................................ 4

Deutsche Concept Global Risk Premia ....................................................................... 5

Semiannual financial statements ................................................................................ 8

2

General information

The funds described in this report are sub-funds of a SICAV (Société d’Investisse-ment à Capital Variable) incorporated under Luxem-bourg law.

PerformanceThe investment return, or per-formance, of a mutual fund investment is meas ured by the change in value of the fund’s shares. The net asset values per share (= redemption prices) with the addition of intervening dis-tributions, which are, for exam-ple, reinvested free of charge within the scope of investment accounts at Deutsche Asset Management S.A., are used as the basis for calculating the value. Past performance is not a guide to future results.

The corresponding bench-marks – if available – are also presented in the report. All financial data in this publication is as of June 30, 2018 (unless otherwise stated).

Sales prospectusesFund shares are purchased on the basis of the current sales prospectus, the key investor information document and the articles of incorporation and by-laws of the SICAV, in combination with the latest audited annual report and any semi annual report that is more recent than the latest annual report.

Issue and redemption pricesThe current issue and redemp-tion prices and all other infor-mation for shareholders may be requested at any time at the registered office of the Man-agement Company and from the paying agents. In addition, the issue and redemption prices are published in every country of distribution through appropriate media (such as the Internet, electronic information systems, newspapers, etc.).

Liquidation of the sub-fund Deutsche Concept Global Risk Premia

The sub-fund Deutsche Concept Global Risk Premia was liquidated effective February 22, 2018, following a resolution to that effect adopted by the Board of Directors of the SICAV. The issue of new shares of the sub-fund was discontin-ued effective February 14, 2018. Investors could redeem sub-fund shares until February 14, 2018.

Semiannual report

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Deutsche Concept Kaldemorgen

Deutsche Concept Kaldemorgen Performance of share classes (in euro)

Share class ISIN 6 months

Class LC LU0599946893 -0.7%

Class FC LU0599947271 -0.3%

Class FD LU0599947354 -0.3%

Class IC LU059994743 8 -0.2%

Class LD LU0599946976 -0.7%

Class LD2 LU1606606942 -0.7%

Class NC LU0599947198 -1.0%

Class RVC LU1663838461 -0.3%

Class SC LU1028182704 -0.2%

Class SCR LU1254423079 -0.7%

Class SFC LU1303389503 -0.8%

Class TFC LU1663838545 -0.3%

Class TFD LU1663838891 -0.3%

Class VC LU1268496996 -0.7%

Class CHF FCH1 LU1254422691 -0.6%

Class CHF SFCH1 LU1303387986 -1.1%

Class GBP CH RD2 LU1422958493 0.1%

Class USD FCH3 LU0599947784 0.8%

Class USD LCH3 LU0599947602 0.4%

Class USD SFCH3 LU1303389925 0.3%

Class USD TFCH3 LU1663838974 0.7%

1 in CHF 2 in GBP3 in USD

“BVI method” performance, i.e., excluding the initial sales charge. Past performance is no guide to future results. As of: June 30, 2018

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Deutsche Concept Global Risk Premia

Deutsche Concept Global Risk Premia Performance of share classes (in euro)

Share class ISIN Since the beginning oftheshortenedfiscalyear

Class FC LU1637317972 -8.7%

Class XC LU1637318194 -8.6%

“BVI method” performance, i.e., excluding the initial sales charge. Past performance is no guide to future results. Asof:February22,2018(liquidationdate)

Liquidationproceedsfortheshareclasses(ineuro)

Shareclass ISIN Liquidationproceedspershare

Class FC LU1637317972 89.82

Class XC LU1637318194 89.89

Semiannualfinancial statements

The format used for complete dates

in securities descriptions in the invest-

ment portfolio is “day/month/year”.

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Securities traded on an exchange 3 917 082 459.81 61.92 EquitiesNestle SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 200 000 500 000 CHF 76 .52 79 381 665 .45 1 .25Novartis AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 700 000 1 200 000 CHF 75 .42 110 840 748 .10 1 .75Roche Holding AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 175 000 125 000 CHF 220 33 283 173 .46 0 .53Allianz SE . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 250 000 50 000 225 000 EUR 177 .78 44 445 000 .00 0 .70AXA SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 000 000 1 150 000 1 150 000 EUR 21 .095 63 285 000 .00 1 .00Banco Santander SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 18 000 000 4 250 000 11 250 000 EUR 4 .618 83 133 000 .00 1 .31BASF SE . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 850 000 800 000 550 000 EUR 82 .45 70 082 500 .00 1 .11CTS Eventim AG & Co KGaA . . . . . . . . . . . . . . . . . . . . . . . . . Count 450 000 135 000 435 000 EUR 42 .06 18 927 000 .00 0 .30Danone SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 550 000 200 000 450 000 EUR 63 34 650 000 .00 0 .55Deutsche Post AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 600 000 250 000 50 000 EUR 28 .03 72 878 000 .00 1 .15Deutsche Telekom AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 19 268 368 8 289 913 7 981 632 EUR 13 .285 255 980 268 .90 4 .05Essilor International Cie Generale d‘Optique SA ** . . . . . . . . Count 500 000 200 000 100 000 EUR 121 .15 60 575 000 .00 0 .96Evonik Industries AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 950 000 119 016 3 169 016 EUR 29 .51 87 054 500 .00 1 .38ING Groep NV . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 7 000 000 7 000 000 EUR 12 .386 86 702 000 .00 1 .37Ingenico Group SA ** . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 450 000 726 642 EUR 76 .64 34 488 000 .00 0 .54Intesa Sanpaolo SpA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 20 000 000 20 000 000 EUR 2 .498 49 970 000 .00 0 .79Koninklijke Ahold Delhaize NV ** . . . . . . . . . . . . . . . . . . . . . . Count 1 150 000 200 000 4 550 000 EUR 20 .605 23 695 750 .00 0 .37OSRAM Licht AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 250 000 250 000 EUR 35 .16 8 790 000 .00 0 .14Royal Dutch Shell PLC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 500 000 500 000 1 000 000 EUR 30 .035 75 087 500 .00 1 .19Sanofi . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 800 000 400 000 EUR 69 .16 55 328 000 .00 0 .87SAP SE . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 700 000 200 000 EUR 99 .05 69 335 000 .00 1 .10AstraZeneca PLC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 400 000 550 000 150 000 GBP 52 .82 23 876 397 .96 0 .38Reckitt Benckiser Group PLC . . . . . . . . . . . . . . . . . . . . . . . . . Count 650 000 550 000 700 000 GBP 62 .57 45 961 049 .00 0 .73Shire PLC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 500 000 500 000 GBP 42 .725 24 141 402 .47 0 .38Tencent Holdings Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 350 000 1 350 000 HKD 393 .8 58 198 175 .25 0 .92FANUC Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 200 000 200 000 JPY 22 005 34 133 511 .42 0 .54Panasonic Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 750 000 3 250 000 JPY 1 493 .5 31 854 259 .96 0 .50Singapore Exchange Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 500 000 SGD 7 .17 6 773 753 .34 0 .11Singapore Telecommunications Ltd . . . . . . . . . . . . . . . . . . . . Count 7 500 000 2 500 000 SGD 3 .08 14 548 926 .27 0 .23Taiwan Semiconductor Manufacturing Co ., Ltd . . . . . . . . . . . Count 15 000 000 TWD 216 .5 91 488 567 .66 1 .45Advanced Micro Devices, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . Count 750 000 750 000 USD 15 .3 9 856 129 .95 0 .16Alibaba Group Holding Ltd -ADR- . . . . . . . . . . . . . . . . . . . . . . Count 300 000 300 000 USD 186 .05 47 940 731 .41 0 .76Allergan PLC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 350 000 350 000 USD 168 .16 50 552 713 .21 0 .80Alphabet, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 160 000 100 000 15 000 USD 1 125 .32 154 649 936 .80 2 .44Amazon .com, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 10 000 20 000 10 000 USD 1 718 .44 14 760 059 .21 0 .23American Express Co . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 200 000 550 000 USD 98 .9 16 989 477 .15 0 .27Amgen, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 175 000 225 000 50 000 USD 184 .42 27 720 419 .16 0 .44Anadarko Petroleum Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 200 000 250 000 50 000 USD 74 .61 12 816 834 .08 0 .20Arconic, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 250 000 1 250 000 USD 17 .15 18 413 140 .37 0 .29AXA Equitable Holdings, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 000 000 1 000 000 USD 20 .55 17 650 847 .09 0 .28Cisco Systems, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 500 000 2 100 000 2 350 000 USD 43 .27 18 582 777 .46 0 .29CVS Health Corp . ** . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 000 000 1 000 000 750 000 USD 65 .21 56 010 303 .60 0 .89Gazprom PJSC -ADR- . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 500 000 5 500 000 9 000 000 USD 4 .413 20 847 325 .32 0 .33MasterCard, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 550 000 150 000 USD 197 .13 93 125 611 .59 1 .47Merck & Co ., Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 250 000 250 000 USD 60 .95 13 087 823 .97 0 .21Microsoft Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 350 000 575 000 625 000 USD 99 .41 29 884 902 .60 0 .47Pfizer, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 100 000 240 000 USD 36 .39 34 381 788 .73 0 .54Regions Financial Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 850 000 150 000 800 000 USD 18 .15 13 251 019 .15 0 .21Sberbank of Russia PJSC -ADR- . . . . . . . . . . . . . . . . . . . . . . . Count 3 500 000 3 500 000 USD 14 .4 43 289 668 .79 0 .68Wells Fargo & Co . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 500 000 500 000 450 000 USD 56 .45 72 729 220 .33 1 .15

Interest-bearing securities 0 .00 % America Movil SAB de CV 2015/2020 . . . . . . . . . . EUR 50 000 000 % 98 .352 49 176 000 .00 0 .78 10 .125 % Assicurazioni Generali SpA (MTN) 2012/2042 * . . . EUR 6 200 000 % 125 .081 7 755 022 .00 0 .12 8 .125 % BAWAG PSK Bank fuer Arbeit und Wirtschaft und

Oesterreichische Postsparkasse AG (MTN) 2013/2023 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 5 000 000 % 134 .272 6 713 600 .00 0 .11

6 .50 % CMA CGM SA -Reg- 2017/2022 ** . . . . . . . . . . . . EUR 40 000 000 % 93 .224 37 289 600 .00 0 .59 5 .25 % CMA CGM SA -Reg- 2017/2025 . . . . . . . . . . . . . . . EUR 20 000 000 20 000 000 % 81 .543 16 308 600 .00 0 .26 7 .00 % Eurofins Scientific SE (MTN) 2013/perpetual * ** . EUR 9 000 000 % 108 .312 9 748 125 .00 0 .15 5 .125 % Hapag-Lloyd AG -Reg- 2017/2024 ** . . . . . . . . . . . EUR 30 000 000 % 97 .815 29 344 500 .00 0 .46 0 .70 % Italy Buoni Poliennali Del Tesoro 2015/2020 . . . . . . EUR 160 000 000 210 000 000 350 000 000 % 99 .954 159 926 400 .00 2 .53 5 .625 % SFR Group SA -Reg- 2014/2024 ** . . . . . . . . . . . . . EUR 4 000 000 % 103 .905 4 156 200 .00 0 .07 4 .50 % Valeant Pharmaceuticals International, Inc . -Reg-

2015/2023 ** . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 50 000 000 % 94 .794 47 397 000 .00 0 .75 14 .00 % Barclays Bank PLC 2008/perpetual * . . . . . . . . . . . GBP 3 400 000 % 110 .72 4 254 175 .62 0 .07 7 .60 % Russian Federal Bond - OFZ 2011/2021 . . . . . . . . . RUB 5 000 000 000 5 000 000 000 % 101 .392 69 288 448 .47 1 .09 7 .00 % Russian Federal Bond - OFZ 2013/2023 . . . . . . . . . RUB 5 000 000 000 5 000 000 000 % 98 .813 67 526 032 .22 1 .07 5 .125 % Arconic, Inc . 2014/2024 . . . . . . . . . . . . . . . . . . . . . USD 100 000 000 % 99 .183 85 190 460 .70 1 .35 7 .75 % Cemex SAB de CV -Reg- 2016/2026 ** . . . . . . . . . USD 20 000 000 % 108 .022 18 556 494 .45 0 .29 4 .95 % Gazprom OAO Via Gaz Capital SA -Reg- 2012/2022 USD 45 000 000 % 100 .914 39 004 764 .61 0 .62 2 .342 % GE Capital International Funding Co ., Unlimited Co .

2016/2020 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 50 000 000 50 000 000 % 97 .762 41 984 966 .27 0 .66 5 .875 % I celand Government International Bond -Reg-

2012/2022 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 8 000 000 % 108 .846 7 479 252 .28 0 .12 5 .375 % Petrobras Global Finance BV 2011/2021 . . . . . . . . . USD 50 000 000 % 100 .719 43 254 882 .44 0 .68 8 .375 % Petrobras Global Finance BV 2016/2021 . . . . . . . . . USD 50 000 000 % 108 .732 46 696 153 .44 0 .74 6 .50 % Petroleos Mexicanos -Reg- 2018/2027 ** . . . . . . . USD 30 000 000 30 000 000 % 103 .03 26 548 420 .09 0 .42 6 .125 % Sberbank of Russia Via SB Capital SA -Reg-

2012/2022 ** . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 9 000 000 % 104 .564 8 083 108 .80 0 .13 6 .25 % SFR Group SA -Reg- 2014/2024 . . . . . . . . . . . . . . . USD 30 000 000 % 98 .098 25 277 687 .94 0 .40

Investment portfolio – June 30, 2018

Count/ Quantity/ Purchases/ Sales/ Total market % ofDescription units/ principal additions disposals Currency Market price value in net assets currency amount in the reporting period EUR


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7.00 % Sprint Communications, Inc. 2012/2020 . . . . . . . . . USD 50 000 000 25 000 000 % 103.75 44 556 578.73 0.70 7.25 % Sprint Corp. 2014/2021 . . . . . . . . . . . . . . . . . . . . . . USD 50 000 000 50 000 000 % 104.093 44 703 883.86 0.71 7.25 % Stora Enso Oyj -Reg- 2006/2036 . . . . . . . . . . . . . . . USD 5 836 000 % 119.956 6 012 971.91 0.09 6.00 % T-Mobile USA, Inc. 2014/2023 . . . . . . . . . . . . . . . . USD 50 000 000 % 103.342 44 381 143.92 0.70 6.50 % Transocean, Inc. 2010/2020 ** . . . . . . . . . . . . . . . . USD 28 500 000 % 102.127 24 999 951.21 0.39 2.00 % United States Treasury Note/Bond 2017/2022 ** . USD 200 000 000 % 97.102 166 805 337.30 2.64 2.75 % United States Treasury Note/Bond 2018/2023 ** . USD 250 000 000 250 000 000 % 100.098 214 940 197.10 3.40 4.55 % Williams Cos, Inc./The 2014/2024 . . . . . . . . . . . . . . USD 5 000 000 % 99.977 4 293 622.24 0.07 Securities admitted to or included in organized markets 179 436 802.64 2.84

EquitiesIntesa Sanpaolo SpA -Rights- Exp 17Jul2018 . . . . . . . . . . . . . Count 15 000 000 15 000 000 EUR 0 0.00 0.00

Interest-bearing securities 8.125 % Commerzbank AG -Reg- 2013/2023 . . . . . . . . . . . . USD 5 600 000 % 113.825 5 474 940.61 0.09 4.50 % Fresenius US Finance II, Inc. -144A- 2015/2023 . . . USD 6 160 000 % 101.862 5 389 477.18 0.09 4.875 % Kraft Heinz Foods Co. -144A- 2015/2025 . . . . . . . . USD 10 000 000 % 102.686 8 819 926.45 0.14 6.00 % Teva Pharmaceutical Finance Netherlands III BV

2018/2024 ** . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 41 240 000 41 240 000 % 100.138 35 470 825.55 0.56 6.375 % T-Mobile USA, Inc. 2014/2025 . . . . . . . . . . . . . . . . USD 25 000 000 % 103.938 22 318 551.34 0.35 1.00 % Twitter, Inc. 2014/2021 . . . . . . . . . . . . . . . . . . . . . . USD 55 000 000 20 000 000 % 97.748 46 176 612.99 0.73 5.25 % VeriSign, Inc. 2015/2025 . . . . . . . . . . . . . . . . . . . . . USD 20 000 000 % 101.977 17 518 057.75 0.28 2.625 % Verizon Communications, Inc. 2016/2026 . . . . . . . . USD 50 000 000 % 89.108 38 268 410.77 0.60

Unlisted securities 27 383 284.80 0.43

Interest-bearing securities 4.50 % Teva Pharmaceutical Finance Netherlands II BV

2018/2025 ** . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 26 680 000 26 680 000 % 102.636 27 383 284.80 0.43

Investment fund units 720 805 026.00 11.40

In-group fund units db Physical Gold ETC EUR - (0.250%) . . . . . . . . . . . . . . . . . . Units 2 630 000 1 930 000 EUR 105 276 150 000.00 4.37Deutsche Floating Rate Notes -IC- EUR - (0.100%) . . . . . . . . Units 4 070 657 EUR 84.21 342 790 026.00 5.42

Non-group fund units Gold Bullion Securities Ltd (0.400%) . . . . . . . . . . . . . . . . . . . Units 1 000 000 2 000 000 EUR 101.865 101 865 000.00 1.61

Total securities portfolio 4 844 707 573.22 76.59 Derivatives (Minus signs denote short positions) Equity index derivatives 2 751 215.23 0.04Receivables/payables Equity index futures Dax Index 09/2018 (DB) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count -250 250 1 225 316.67 0.02Hang Seng China Enterprises Index 07/2018 (DB) . . . . . . . . . Count -1 600 1 600 989 072.31 0.02S & P MINI 500 Futures 09/2018 (DB) . . . . . . . . . . . . . . . . . . Count -250 250 536 826.25 0.01 Interest rate derivatives -2 021 921.06 -0.03Receivables/payables Interest rate futures Euro BTP Futures 09/2018 (DB) . . . . . . . . . . . . . . . . . . . . . . . Count -500 500 344 110.00 0.01Euro SCHATZ Futures 09/2018 (DB) . . . . . . . . . . . . . . . . . . . Count -2 850 2 850 -299 250.00 0.00US Treasury Notes 30 year Futures 09/2018 (DB) . . . . . . . . . Count -2 500 2 500 -2 066 781.06 -0.03 Currency derivatives -3 575 998.05 -0.06Receivables/payables

Forward currency transactions Forward currency transactions (long) Open positions CHF/EUR 8.5 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16 215.40 0.00GBP/EUR 0.5 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -1 825.60 0.00RUB/EUR 5 000 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 372 591.61 0.01USD/EUR 161.9 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 694 615.59 0.03 Forward currency transactions (short) Open positions EUR/CHF 288.2 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 610 813.50 0.01EUR/USD 300 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -5 485 863.57 -0.09 Closed positions EUR/USD 143.2 million -782 544.98 -0.01



10

Cash at bank 1 444 839 036.81 22.85

Demand deposits at Depositary EUR deposits . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 99 153 750 .05 1 .57 Deposits in other EU/EEA currencies British pound . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 23 495 562 26 551 939 .49 0 .42Danish krone . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . DKK 98 060 541 13 160 882 .18 0 .21Norwegian krone . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . NOK 1 911 760 200 757 .07 0 .00Swedish krona . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SEK 800 010 76 484 .73 0 .00 Deposits in non-EU/EEA currencies Australian dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . AUD 321 285 203 837 .13 0 .00Brazilian real . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . BRL 984 597 218 785 .11 0 .00Hong Kong dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . HKD 100 367 932 10 987 398 .13 0 .17Japanese yen . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . JPY 5 457 191 528 42 325 178 .22 0 .67Canadian dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CAD 591 533 385 260 .14 0 .01Mexican peso . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . MXN 2 613 446 113 999 .16 0 .00New Taiwan dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . TWD 263 792 135 7 431 551 .84 0 .12Russian rouble . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . RUB 7 413 500 101 323 .56 0 .00Swiss franc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CHF 27 892 419 24 112 940 .49 0 .38Singapore dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . SGD 1 530 770 964 114 .96 0 .02South Korean won . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . KRW 66 172 072 136 50 997 441 .49 0 .81Turkish lira . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . TRY 329 832 61 844 .42 0 .00U .S . dollar . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 85 432 022 73 379 443 .44 1 .16 Time deposits EUR deposits (Unicredit Bank AG, Frankfurt) . . . . . . . . . . . . . 400 000 000 .00 6 .32EUR deposits (Commerzbank AG, Frankfurt) . . . . . . . . . . . . . 14 258 105 .20 0 .23EUR deposits (BNP Paribas SA, Paris) . . . . . . . . . . . . . . . . . . 199 425 000 .00 3 .16EUR deposits (DZ Privatbank SA, Luxemburg) . . . . . . . . . . . . 80 729 000 .00 1 .28USD deposits (Commerzbank AG, Frankfurt) . . . . . . . . . . . . . 400 000 000 .00 6 .32 Other assets 62 777 449.46 0.99Dividends receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10 469 825 .01 0 .17Interest receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18 675 920 .90 0 .30Other receivables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 33 631 703 .55 0 .53 Receivables from share certificate transactions 7 999 789.83 0.13 Total assets *** 6 366 113 410.65 100.64 Short-term liabilities -2 819 926.69 -0.04EUR loans . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR -2 819 926 .69 -0 .04

Other liabilities -18 344 543.00 -0.29Liabilities from cost items . . . . . . . . . . . . . . . . . . . . . . . . . . . . -8 245 488 .44 -0 .13Additional other liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . -10 099 054 .56 -0 .16 Liabilities from share certificate transactions -10 742 556.25 -0.17 Total liabilities -40 543 291.15 -0.64 Net assets 6 325 570 119.50 100.00 Negligible rounding errors may have arisen due to the rounding of calculated percentages .



11

Net asset value per share and Count/ Net asset value per sharenumber of shares outstanding currency in the respective currency

Net asset value per share Class CHF FCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CHF 107 .36Class CHF SFCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . CHF 104 .86Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 145 .99Class FD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 100 .01Class IC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 134 .32Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 139 .17Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 136 .64Class LD2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 97 .11Class NC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 132 .54Class RVC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 99 .29Class SC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 122 .15Class SCR . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 109 .55Class SFC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 106 .69Class TFC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 99 .28Class TFD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 98 .69Class VC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 108 .52Class GBP CH RD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP 111 .74Class USD FCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 123 .90Class USD LCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 121 .29Class USD SFCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 111 .00Class USD TFCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . USD 100 .50 Number of shares outstanding Class CHF FCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 23 538Class CHF SFCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 56 927Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 403 389Class FD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 80 518Class IC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 868 649Class LC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 12 760 739Class LD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 14 196 162Class LD2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 447 189Class NC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 864 943Class RVC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 273Class SC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 968 419Class SCR . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 770 798Class SFC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 298 703Class TFC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 180 156Class TFD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 108 553Class VC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 552 639Class GBP CH RD . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 266Class USD FCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 221 355Class USD LCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 103 312Class USD SFCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 8 100Class USD TFCH . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 127 Composition of the reference portfolio (according to CSSF circular 11/512) MSCI AC WORLD INDEX Constituents in EUR (70%) and JP Morgan GBI Global Bond Index in EUR Constituents (30%)

Market risk exposure (value-at-risk) (according to CSSF circular 11/512) Lowest market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . . % 36 .248

Highest market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . . % 63 .412

Average market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . % 53 .147 The values-at-risk were calculated for the period from January 1, 2018, through June 30, 2018, using historical simulation with a 99% confidence level, a 10-day holding period and an effective historical observation period of one year . The risk in a reference portfolio that does not contain derivatives is used as the measurement benchmark . Market risk is the risk to the fund’s assets arising from an unfavorable change in market prices . The Company determines the potential market risk by means of the relative value-at-risk approach as defined in CSSF circular 11/512 .

In the reporting period, the average leverage effect from the use of derivatives was 0 .3, whereby the total of the nominal amounts of the derivatives in relation to the fund’s assets was used for the calculation (sum-of-notional approach) .

The gross exposure generated via derivatives pursuant to point 40 a) of the “Guidelines on ETFs and other UCITS issues” of the European Securities and Markets Authority (ESMA) totaled EUR 1 646 594 520 .63 as of the reporting date . Does not include any forward currency transactions entered into for currency hedging purposes at the level of the share classes .

Market abbreviations

Futures exchanges DB = Deutsche Bank AG Contracting parties for currency futures Banco Citibank SA, Banco Société Générale Brasil S/A, Barclays Bank PLC Wholesale BNP Paribas SA Brown Brothers Harriman, Citigroup Global Markets Limited, Credit Suisse London Branch (GFX), Deutsche Bank AG, Goldman Sachs International, JP Morgan Securities PLC, Merrill Lynch International, Morgan Stanley and Co . International PLC, Nomura International PLC, Société Générale, State Street Bank and Trust Company, State Street Bank London, State Street Bank Taipei and UBS AG London


12

Securities lending

The following securities were transferred under securities loans at the reporting date:

Security description Quantity/ Fixed maturity Securities lending principal amount Total market value in EUR Total (– / ’000) No fixed maturity

CVS Health Corp. Count 560 000 31 365 770.24 Essilor International Cie Generale d‘Optique SA Count 50 000 6 057 500.00 Ingenico Group SA Count 201 928 15 475 761.92 Koninklijke Ahold Delhaize NV Count 1 140 000 23 489 700.00 6.50 % CMA CGM SA -Reg- 2017/2022 EUR 13 175 000 12 282 262.00 7.00 % Eurofins Scientific SE (MTN) 2013/perpetual * EUR 1 900 000 2 057 937.50 5.125 % Hapag-Lloyd AG -Reg- 2017/2024 EUR 21 700 000 21 225 855.00 5.625 % SFR Group SA -Reg- 2014/2024 EUR 4 000 000 4 156 200.00 4.50 % Teva Pharmaceutical Finance Netherlands II BV 2018/2025 EUR 1 100 000 1 128 996.00 4.50 % Valeant Pharmaceuticals International, Inc. -Reg- 2015/2023 EUR 2 750 000 2 606 835.00 7.75 % Cemex SAB de CV -Reg- 2016/2026 USD 11 054 000 10 256 174.45 6.50 % Petroleos Mexicanos -Reg- 2018/2027 USD 1 000 000 884 947.34 6.125 % Sberbank of Russia Via SB Capital SA -Reg- 2012/2022 USD 2 900 000 2 604 557.28 6.00 % Teva Pharmaceutical Finance Netherlands III BV 2018/2024 USD 2 900 000 2 494 311.20 6.50 % Transocean, Inc. 2010/2020 USD 3 500 000 3 070 169.45 2.00 % United States Treasury Note/Bond 2017/2022 USD 200 000 000 166 805 338.00 2.75 % United States Treasury Note/Bond 2018/2023 USD 250 000 000 214 940 197.50 Total receivables from securities loans 520 902 512.88 520 902 512.88

Contracting parties for securities loansBank of America Merrill Lynch, Barclays Capital Securities Limited, BNP Paribas Arbitrage SNC, BNP Paribas S.A., Citigroup Global Markets, Deutsche Bank AG FI, Deutsche Bank London, J.P. Morgan Sec Ltd., J.P. Morgan Securities plc (Fix Income), Merrill Lynch International, Merrill Lynch International FI, Nomura International PLC, Société Générale, UBS AG London Branch, Zuercher Kantonalbank

Total collateral pledged by third parties for securities loans EUR 561 275 830.10thereof: Bonds EUR 88 134 520.27Equities EUR 473 141 309.83

Exchange rates (indirect quotes)

As of June 29, 2018 Australian dollar . . . . . . . . . . . . . . . . . . AUD 1.576186 = EUR 1Brazilian real . . . . . . . . . . . . . . . . . . . . BRL 4.500292 = EUR 1Canadian dollar . . . . . . . . . . . . . . . . . . CAD 1.535413 = EUR 1Swiss franc . . . . . . . . . . . . . . . . . . . . . CHF 1.156741 = EUR 1Danish krone . . . . . . . . . . . . . . . . . . . . DKK 7.450909 = EUR 1British pound . . . . . . . . . . . . . . . . . . . GBP 0.884891 = EUR 1Hong Kong dollar . . . . . . . . . . . . . . . . HKD 9.134822 = EUR 1Japanese yen . . . . . . . . . . . . . . . . . . . JPY 128.934874 = EUR 1South Korean won . . . . . . . . . . . . . . . . KRW 1 297.556705 = EUR 1Mexican peso . . . . . . . . . . . . . . . . . . . MXN 22.925132 = EUR 1Norwegian krone . . . . . . . . . . . . . . . . . NOK 9.522751 = EUR 1Russian rouble . . . . . . . . . . . . . . . . . . . RUB 73.166597 = EUR 1Swedish krona . . . . . . . . . . . . . . . . . . . SEK 10.459739 = EUR 1Singapore dollar . . . . . . . . . . . . . . . . . SGD 1.587746 = EUR 1Turkish lira . . . . . . . . . . . . . . . . . . . . . . TRY 5.333255 = EUR 1New Taiwan dollar . . . . . . . . . . . . . . . . TWD 35.496238 = EUR 1U.S. dollar . . . . . . . . . . . . . . . . . . . . . . USD 1.164250 = EUR 1

Notes on valuation

Under the responsibility of the Board of Directors of the SICAV, the Management Company determines the net asset values per share and performs the valuation of the assets of the fund. The basic provision of price data and price validation are performed in accordance with the method introduced by the Board of Directors of the SICAV on the basis of the legal and regulatory requirements or the principles for valuation methods defined in the SICAV’s prospectus.

If no trading prices are available, prices are determined with the aid of valuation models (derived market values) which are agreed between State Street Bank Luxembourg S.C.A. as exter-nal price service provider and the Management Company and which are based as far as possible on market parameters. This procedure is subject to an ongoing monitoring process. The plausibility of price information from third parties is checked through other pricing sources, model calculations or other suitable procedure.

Assets reported in this report are valued to a minor extent at derived market values.

The management fee / all-in fee rates in effect as of the reporting date for the investment fund units held in the securities portfolio are shown in parentheses. A plus sign means that a performance-based fee may also be charged. As the fund held units of other investment funds (target funds) during the period under review, further costs, charges and fees may have been incurred at the level of these individual target funds.

Footnotes

* Floating interest rate. ** Some or all of these securities are lent. *** Does not include positions with a negative balance, if such exist.


13

Count/ Purchases/ Sales/ Description units/ currency additions disposals

Securities traded on an exchange Equities adidas AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 100 000 100 000Albemarle Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 231 122 231 122American Water Works Co . Inc . . . . . . . . . . . . . . Count 100 000AT&T, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 250 000Bayer AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 200 000 750 000Booking Holdings, Inc . . . . . . . . . . . . . . . . . . . . . . Count 7 500 7 500bpost SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 400 000Daimler AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 350 000 350 000E .ON SE . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 000 000Facebook, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 125 000 250 000General Electric Co . . . . . . . . . . . . . . . . . . . . . . . . Count 6 000 000 6 000 000Henkel AG & Co KGaA -Pref- . . . . . . . . . . . . . . . Count 175 000 175 000Monsanto Co . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 196 769Mosaic Co ./The . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 000 000Murata Manufacturing Co ., Ltd . . . . . . . . . . . . . . Count 300 000Prada SpA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 793 600Santen Pharmaceutical Co ., Ltd . . . . . . . . . . . . . Count 84 000Siemens Healthineers AG . . . . . . . . . . . . . . . . . . Count 864 124 864 124Smith & Nephew PLC . . . . . . . . . . . . . . . . . . . . . Count 1 500 000Societe Generale SA . . . . . . . . . . . . . . . . . . . . . . Count 750 000Total SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 250 000 1 250 000Unilever NV . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 700 000 2 200 000Unipol Gruppo Finanziario SpA . . . . . . . . . . . . . . Count 6 000 000Verizon Communications, Inc . . . . . . . . . . . . . . . . Count 250 000Vodafone Group PLC . . . . . . . . . . . . . . . . . . . . . . Count 11 296 024Zurich Insurance Group AG . . . . . . . . . . . . . . . . . Count 75 371

Interest-bearing securities 3 .50 % Anglo American Capital PLC (MTN)

2012/2022 . . . . . . . . . . . . . . . . . . . . . EUR 20 000 000 1 .75 % Anglo American Capital PLC (MTN)

2014/2018 . . . . . . . . . . . . . . . . . . . . . EUR 59 780 000 7 .75 % Commerzbank AG (MTN) 2011/2021 EUR 3 000 000 5 .00 % Deutsche Bank AG (MTN) 2010/2020 EUR 25 400 000 4 .75 % Italy Buoni Poliennali Del Tesoro

2008/2023 . . . . . . . . . . . . . . . . . . . . . EUR 150 000 000 150 000 000 4 .50 % Italy Buoni Poliennali Del Tesoro

2013/2023 . . . . . . . . . . . . . . . . . . . . . EUR 150 000 000 150 000 000 6 .125 % Koninklijke KPN NV 2013/perpetual * . EUR 3 000 000 5 .00 % National Grid PLC (MTN) 2003/2018 . EUR 10 000 000 9 .375 % Societe Generale SA 2009/perpetual * EUR 3 000 000 8 .367 % Talanx Finanz Luxembourg SA (MTN)

2012/2042 * . . . . . . . . . . . . . . . . . . . EUR 2 000 000 4 .50 % Teva Pharmaceutical Finance

Netherlands II BV -Reg- 2018/2025 . EUR 26 680 000 26 680 000 6 .75 % Thomas Cook Finance PLC -Reg-

2015/2021 . . . . . . . . . . . . . . . . . . . . . EUR 9 000 000 5 .125 % Unitymedia Hessen GmbH & Co ., KG

(MTN) -Reg- 2013/2023 . . . . . . . . . . . EUR 2 .375 % Freeport-McMoRan, Inc . 2013/2018 . USD 20 000 000 1 .125 % United States Treasury Note/Bond

2017/2019 . . . . . . . . . . . . . . . . . . . . . USD 100 000 000 200 000 000

Securities admitted to or included in organized markets

Interest-bearing securities 6 .50 % Petroleos Mexicanos -Reg- 2016/2027 USD 30 000 000 6 .00 % Teva Pharmaceutical Finance

Netherlands III BV 144A 2018/2024 . USD 37 500 000 37 500 000 6 .00 % Teva Pharmaceutical Finance

Netherlands III BV -Reg- 2018/2024 . USD 3 740 000 3 740 000


Derivatives (option premiums realized in opening transactions, or total options transactions; in the case of warrants, purchases and sales are shown)

Value (’000) Futures contracts Equity index futures Contracts purchased (Underlyings: Dax, Dax Index, DJ Euro Stoxx 50, Hang Seng China Enterprises Index, NASDAQ 100 E-mini, Nikkei 225, S&P 500) EUR 4 821 381 Contracts sold (Underlyings: Dax, Dax Index, Nikkei 225, S&P 500) EUR 1 719 075 Interest rate futuresContracts purchased (Underlyings: Euro SCHATZ Futures , Euro-BTP Futures, Germany Federal Republic Notes 10 year, US Treasury Note 30-Year) EUR 1 584 991 Contracts sold (Underlying: US Treasury Note 30-Year) EUR 62 862

Currency derivatives

Forward currency transactions

Forward currency transactions (short)

Futures contracts to sell currencies EUR/CHF EUR 293 678EUR/GBP EUR 5 138EUR/USD EUR 1 549 527

Forward currency transactions (long)

Futures contracts to purchase currencies CHF/EUR EUR 536 466GBP/EUR EUR 4 216USD/EUR EUR 1 677 019

Transactions completed during the reporting period that no longer appear in the investment portfolio:

Purchases and sales of securities, investment fund units and promissory note loans (Schuldscheindarlehen); market classifications are as of the reporting date

14

Cash at bank 20 279 752.00 100.07

Demand deposits at Depositary EUR deposits . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 20 279 752 .00 100 .07 Other assets 20 971.57 0.10Dividends receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11 008 .55 0 .05Receivables from exceeding the expense cap . . . . . . . . . . . . 9 963 .02 0 .05 Total assets 20 300 723.57 100.17 Other liabilities - 33 725.36 -0.17Liabilities from cost items . . . . . . . . . . . . . . . . . . . . . . . . . . . . - 33 725 .36 -0 .17 Liabilities from share certificate transactions -20 266 998.21 -100.00

Total liabilities - 33 725.36 -100.17 Net assets 0.00 0.00 Negligible rounding errors may have arisen due to the rounding of calculated percentages .

Net asset value per share and Count/ Net asset value per sharenumber of shares outstanding currency in the respective currency

Net asset value per share Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 89 .82Class XC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR 89 .89 Number of shares outstanding Class FC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 100Class XC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 225 361 Presentation of the maximum limit (according to CSSF circular 11/512) 14 .14% of portfolio value (January 1, 2018 - February 22, 2018) Market risk exposure (value-at-risk) (according to CSSF circular 11/512) Lowest market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . . % 0 .002

Highest market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . . % 8 .941

Average market risk exposure . . . . . . . . . . . . . . . . . . . . . . . . % 4 .034

The values-at-risk were calculated for the period from January 1, 2018, through February 22, 2018, using historical simulation with a 99% confidence level, a 10-day holding period and an effective historical observation period of one year . The risk in a reference portfolio that does not contain derivatives is used as the measurement benchmark . Market risk is the risk to the fund’s assets arising from an unfavorable change in market prices . The Company determines the potential market risk by means of the relative value-at-risk approach as defined in CSSF circular 11/512 .

In the reporting period, the average leverage effect from the use of derivatives was 9 .3, whereby the total of the nominal amounts of the derivatives in relation to the fund’s assets was used for the calculation (sum-of-notional approach) .

The gross exposure generated via derivatives pursuant to point 40 a) of the “Guidelines on ETFs and other UCITS issues” of the European Securities and Markets Authority (ESMA) totaled EUR 0 .00 as of the reporting date .

Notes on valuation

Against the backdrop of the resolution of the Management Company of the SICAV to liquidate the fund effective February 22, 2018, the going-concern basis was relinquished and the financial statements were prepared on the basis of liquidation values . Under the responsibility of the Board of Directors of the SICAV, the Management Company determines the net asset values per share and performs the valuation of the assets of the fund .

Investment portfolio – February 22, 2018 (liquidation date)



15

Securities traded on an exchange Equities 1&1 Drillisch AG . . . . . . . . . . . . . . . . . . . . . . . . . Count 423 4233i Group PLC . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 199 5 005AbbVie, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 757Abertis Infraestructuras SA . . . . . . . . . . . . . . . . . Count 3 171Acuity Brands, Inc . . . . . . . . . . . . . . . . . . . . . . . . Count 112 112adidas AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 272Admiral Group PLC . . . . . . . . . . . . . . . . . . . . . . . Count 696 696Adobe Systems, Inc . . . . . . . . . . . . . . . . . . . . . . . Count 822Advance Auto Parts, Inc . . . . . . . . . . . . . . . . . . . . Count 183 183AEON Financial Service Co ., Ltd . . . . . . . . . . . . . Count 2 320Aeon Mall Co ., Ltd . . . . . . . . . . . . . . . . . . . . . . . Count 337 337Aeroports de Paris . . . . . . . . . . . . . . . . . . . . . . . . Count 172 172Aflac, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 676AGL Energy Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 228AGNC Investment Corp . . . . . . . . . . . . . . . . . . . . Count 2 668 8 241AIA Group Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 980Air Water, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 288 288Airbus Group SE . . . . . . . . . . . . . . . . . . . . . . . . . Count 475Align Technology, Inc . . . . . . . . . . . . . . . . . . . . . . Count 271Alkermes PLC . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 539 539Allegion PLC . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 201 201Allstate Corp ./The . . . . . . . . . . . . . . . . . . . . . . . . Count 98 1 160Alstom SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 387Altria Group, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . Count 181 1 481Alumina Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 16 096Amada Holdings Co ., Ltd . . . . . . . . . . . . . . . . . . Count 542 542Amazon .com, Inc . . . . . . . . . . . . . . . . . . . . . . . . . Count 52AMERCO . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 47 47Ameren Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 739American Express Co . . . . . . . . . . . . . . . . . . . . . . Count 1 492 1 492American Financial Group, Inc . . . . . . . . . . . . . . . Count 234 234American Tower Corp . . . . . . . . . . . . . . . . . . . . . Count 314American Water Works Co . Inc . . . . . . . . . . . . . . Count 492Ameriprise Financial, Inc . . . . . . . . . . . . . . . . . . . Count 597Amgen, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 582Amundi SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 499 499ANA Holdings, Inc . . . . . . . . . . . . . . . . . . . . . . . . Count 1 317Andeavor . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 743Andritz AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 188 188Annaly Capital Management, Inc . . . . . . . . . . . . . Count 858 10 057Aon PLC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 876Apple, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 621 621Applied Materials, Inc . . . . . . . . . . . . . . . . . . . . . . Count 2 542ARC Resources Ltd . . . . . . . . . . . . . . . . . . . . . . . Count 4 225Arista Networks, Inc . . . . . . . . . . . . . . . . . . . . . . . Count 425Aristocrat Leisure Ltd . . . . . . . . . . . . . . . . . . . . . Count 3 045Asahi Kasei Corp . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 976Ashtead Group PLC . . . . . . . . . . . . . . . . . . . . . . . Count 1 938Asics Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 595 595ASM Pacific Technology Ltd . . . . . . . . . . . . . . . . Count 604 604Assurant, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 581 1 392Astellas Pharma, Inc . . . . . . . . . . . . . . . . . . . . . . . Count 591 3 421AusNet Services . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 695 4 695Avery Dennison Corp . . . . . . . . . . . . . . . . . . . . . . Count 483Axis Capital Holdings Ltd . . . . . . . . . . . . . . . . . . Count 193 1 591Azrieli Group Ltd . . . . . . . . . . . . . . . . . . . . . . . . . Count 87 87Baloise Holding AG . . . . . . . . . . . . . . . . . . . . . . . Count 112 112Bank of Queensland Ltd . . . . . . . . . . . . . . . . . . . Count 1 520 1 520Barratt Developments PLC . . . . . . . . . . . . . . . . . Count 6 495Barry Callebaut AG . . . . . . . . . . . . . . . . . . . . . . . Count 57BASF SE . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 46 686Bayer AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 16 535BCE, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 170 4 514Bendigo & Adelaide Bank Ltd . . . . . . . . . . . . . . . Count 1 608 1 608Benesse Holdings, Inc . . . . . . . . . . . . . . . . . . . . . Count 261 261Berkeley Group Holdings PLC . . . . . . . . . . . . . . . Count 286 286Bezeq The Israeli Telecommunication Corp ., Ltd Count 29 283BHP Billiton Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 501BHP Billiton PLC . . . . . . . . . . . . . . . . . . . . . . . . . Count 89 2 614BlackBerry Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 284 3 284Bluescope Steel Ltd . . . . . . . . . . . . . . . . . . . . . . Count 1 302 1 302BOC Hong Kong Holdings Ltd . . . . . . . . . . . . . . . Count 9 607Boeing Co ./The . . . . . . . . . . . . . . . . . . . . . . . . . . Count 282Bridgestone Corp . . . . . . . . . . . . . . . . . . . . . . . . . Count 109 725

Bristol-Myers Squibb Co . . . . . . . . . . . . . . . . . . . . Count 1 507 1 507Brixmor Property Group, Inc . . . . . . . . . . . . . . . . Count 541 541Brown-Forman Corp . . . . . . . . . . . . . . . . . . . . . . . Count 2 217CA, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 625 2 951Calbee, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 223 223Caltex Australia Ltd . . . . . . . . . . . . . . . . . . . . . . . Count 254 254Campbell Soup Co . . . . . . . . . . . . . . . . . . . . . . . . Count 1 068 2 065Canon, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 313 1 313CapitaLand Commercial Trust . . . . . . . . . . . . . . . Count 5 197 5 197CarMax, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 193Carnival PLC . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 075Casio Computer Co ., Ltd . . . . . . . . . . . . . . . . . . . Count 646 646Cboe Global Markets, Inc . . . . . . . . . . . . . . . . . . . Count 994CBRE Group, Inc . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 204CCL Industries, Inc . . . . . . . . . . . . . . . . . . . . . . . . Count 240 240CDK Global, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . Count 586 586Centene Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 926CenturyLink, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 195 2 195Charles Schwab Corp ./The . . . . . . . . . . . . . . . . . Count 1 114 1 114Cheniere Energy, Inc . . . . . . . . . . . . . . . . . . . . . . Count 1 288Chipotle Mexican Grill, Inc . . . . . . . . . . . . . . . . . . Count 66 66Chr Hansen Holding A/S . . . . . . . . . . . . . . . . . . . Count 670Chubb Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 61 779Chugai Pharmaceutical Co ., Ltd . . . . . . . . . . . . . Count 482Church & Dwight Co . Inc . . . . . . . . . . . . . . . . . . . Count 588 588CI Financial Corp . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 110 8 274Cie Generale des Etablissements Michelin SCA Count 21 475Cigna Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 753Cincinnati Financial Corp . . . . . . . . . . . . . . . . . . . Count 262 1 442Cintas Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 461Cisco Systems, Inc . . . . . . . . . . . . . . . . . . . . . . . . Count 338 2 708Citizens Financial Group, Inc . . . . . . . . . . . . . . . . Count 1 209 1 209City Developments Ltd . . . . . . . . . . . . . . . . . . . . Count 1 188 1 188CK Asset Holdings Ltd . . . . . . . . . . . . . . . . . . . . Count 1 934 6 091Cobham PLC . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 6 101 6 101Cochlear Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 250Cognex Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 481 2 481Colony NorthStar, Inc . . . . . . . . . . . . . . . . . . . . . . Count 978 978Colruyt SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 498 498Comcast Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 970ComfortDelGro Corp ., Ltd . . . . . . . . . . . . . . . . . . Count 5 003 5 003Constellation Brands, Inc . . . . . . . . . . . . . . . . . . . Count 724Continental AG . . . . . . . . . . . . . . . . . . . . . . . . . . Count 294Cooper Cos, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . Count 126 126Corning, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 11 2 757CoStar Group, Inc . . . . . . . . . . . . . . . . . . . . . . . . . Count 713Credit Agricole SA . . . . . . . . . . . . . . . . . . . . . . . . Count 3 419Credit Saison Co ., Ltd . . . . . . . . . . . . . . . . . . . . . Count 840 840Croda International PLC . . . . . . . . . . . . . . . . . . . . Count 194 194Crown Castle International Corp . . . . . . . . . . . . . Count 417CSL Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 364Cummins, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 34 548CYBERDYNE, Inc . . . . . . . . . . . . . . . . . . . . . . . . . Count 520 520Daicel Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 877 3 289Daifuku Co ., Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . Count 195 195Daito Trust Construction Co ., Ltd . . . . . . . . . . . . Count 157Daiwa House Industry Co ., Ltd . . . . . . . . . . . . . . Count 382 382DBS Group Holdings Ltd . . . . . . . . . . . . . . . . . . . Count 2 694Delta Air Lines, Inc . . . . . . . . . . . . . . . . . . . . . . . . Count 1 253Denso Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 600Deutsche Boerse AG . . . . . . . . . . . . . . . . . . . . . . Count 341 341Deutsche Lufthansa AG . . . . . . . . . . . . . . . . . . . Count 2 400Deutsche Wohnen AG . . . . . . . . . . . . . . . . . . . . Count 2 640Dexus . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 157 5 017Diamondback Energy, Inc . . . . . . . . . . . . . . . . . . . Count 337 337Direct Line Insurance Group PLC . . . . . . . . . . . . Count 5 497 19 242Disco Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 191Discovery Communications, Inc . . . . . . . . . . . . . . Count 355 2 714Discovery Communications, Inc . . . . . . . . . . . . . . Count 430 2 817Dollarama, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 644DR Horton, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 928Dr Pepper Snapple Group, Inc . . . . . . . . . . . . . . . Count 1 207DSV A/S . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 806E*TRADE Financial Corp . . . . . . . . . . . . . . . . . . . Count 1 843East West Bancorp, Inc . . . . . . . . . . . . . . . . . . . . Count 403 403Eaton Corp ., PLC . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 337Eaton Vance Corp . . . . . . . . . . . . . . . . . . . . . . . . . Count 460 460




Transactions completed during the reporting period that no longer appear in the investment portfolio:

Purchases and sales of securities, investment fund units and promissory note loans (Schuldscheindarlehen); market classifications are as of the reporting date

16


Japan Tobacco, Inc. . . . . . . . . . . . . . . . . . . . . . . . Count 350 1 828Jazz Pharmaceuticals PLC . . . . . . . . . . . . . . . . . . Count 211 211John Wood Group PLC . . . . . . . . . . . . . . . . . . . . Count 3 857 3 857Johnson & Johnson . . . . . . . . . . . . . . . . . . . . . . . Count 910 910Johnson Matthey PLC . . . . . . . . . . . . . . . . . . . . . Count 252 252Jones Lang LaSalle, Inc. . . . . . . . . . . . . . . . . . . . Count 116 116Julius Baer Group Ltd . . . . . . . . . . . . . . . . . . . . . Count 863Juniper Networks, Inc. . . . . . . . . . . . . . . . . . . . . Count 2 293 4 366JX Holdings, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 345Kakaku.com, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . Count 471 471Kaneka Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 664 664Kansas City Southern . . . . . . . . . . . . . . . . . . . . . Count 830 830KDDI Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 558Kering SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 125Kerry Group PLC . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 084Kimco Realty Corp. . . . . . . . . . . . . . . . . . . . . . . . Count 552 552Kingfisher PLC . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 524 11 836Kinnevik AB . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 500 500Kinross Gold Corp. . . . . . . . . . . . . . . . . . . . . . . . . Count 2 645 2 645KLA-Tencor Corp. . . . . . . . . . . . . . . . . . . . . . . . . Count 544Klepierre SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 23 1 937Knight-Swift Transportation Holdings, Inc. . . . . . Count 1 193Koito Manufacturing Co., Ltd . . . . . . . . . . . . . . . Count 581Konica Minolta, Inc. . . . . . . . . . . . . . . . . . . . . . . . Count 782 3 343Koninklijke Vopak NV . . . . . . . . . . . . . . . . . . . . . . Count 265 1 356Kose Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 238Kuraray Co., Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . Count 203 1 921Kurita Water Industries Ltd . . . . . . . . . . . . . . . . . Count 245 245Kyushu Electric Power Co., Inc. . . . . . . . . . . . . . Count 2 424Kyushu Railway Co. . . . . . . . . . . . . . . . . . . . . . . . Count 250 250L Brands, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 120 839Lam Research Corp. . . . . . . . . . . . . . . . . . . . . . . Count 88 762Lear Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 514Leggett & Platt, Inc. . . . . . . . . . . . . . . . . . . . . . . Count 461 461Lennox International, Inc. . . . . . . . . . . . . . . . . . . Count 291 291Liberty Property Trust . . . . . . . . . . . . . . . . . . . . . Count 520 3 401Linamar Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 010Link REIT . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 7 640Lion Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 419 419LKQ Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 892 1 892Lowe‘s Companies, Inc. . . . . . . . . . . . . . . . . . . . Count 465 465Lundin Mining Corp. . . . . . . . . . . . . . . . . . . . . . . Count 1 589 1 589Lundin Petroleum AB . . . . . . . . . . . . . . . . . . . . . Count 5 828M3, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 463 463Mabuchi Motor Co., Ltd . . . . . . . . . . . . . . . . . . . Count 136 136Macquarie Group Ltd . . . . . . . . . . . . . . . . . . . . . . Count 794Macquarie Infrastructure Corp. . . . . . . . . . . . . . . Count 261 261Mapfre SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 426 17 764Marathon Petroleum Corp. . . . . . . . . . . . . . . . . . Count 874 874Marine Harvest ASA . . . . . . . . . . . . . . . . . . . . . . Count 4 632 4 632MasterCard, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 794Mediobanca Banca di Credito Finanziario SpA . . Count 5 430Medtronic PLC . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 229 1 229Meggitt PLC . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 11 818 11 818MercadoLibre, Inc. . . . . . . . . . . . . . . . . . . . . . . . Count 209 209Merck & Co., Inc. . . . . . . . . . . . . . . . . . . . . . . . . Count 1 535Mercury NZ Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 867 5 867Merlin Entertainments PLC . . . . . . . . . . . . . . . . . Count 3 449 3 449Methanex Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . Count 315 315Metro, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 857 857Metso Oyj . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 323 323Micron Technology, Inc. . . . . . . . . . . . . . . . . . . . Count 3 445Millicom International Cellular SA . . . . . . . . . . . . Count 750Minebea Mitsumi, Inc. . . . . . . . . . . . . . . . . . . . . Count 1 347Minth Group Ltd . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 469 3 469Mirvac Group . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 20 909MISUMI Group, Inc. . . . . . . . . . . . . . . . . . . . . . . Count 1 360Mitsubishi Gas Chemical Co., Inc. . . . . . . . . . . . Count 763Mitsubishi Tanabe Pharma Corp. . . . . . . . . . . . . Count 1 831 1 831Mixi, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 306 760Monster Beverage Corp. . . . . . . . . . . . . . . . . . . . Count 2 340Morgan Stanley . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 847MS&AD Insurance Group Holdings, Inc. . . . . . . . Count 87 1 014MSCI, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 654MTU Aero Engines AG . . . . . . . . . . . . . . . . . . . . Count 145 145Nabtesco Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . Count 868National Retail Properties, Inc. . . . . . . . . . . . . . . Count 221 221Natixis SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 730Neste Oyj . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 978Netflix, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 313Newfield Exploration Co. . . . . . . . . . . . . . . . . . . . Count 600 600

Eiffage SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 257 257Elbit Systems Ltd . . . . . . . . . . . . . . . . . . . . . . . . Count 75 75Elisa Oyj . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 692Enagas SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 299 1 299Encana Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 522Enel SpA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 9 157Equity Residential . . . . . . . . . . . . . . . . . . . . . . . . Count 468 2 350Estee Lauder Cos, Inc./The . . . . . . . . . . . . . . . . . Count 844Eurofins Scientific SE . . . . . . . . . . . . . . . . . . . . . Count 219Eutelsat Communications SA . . . . . . . . . . . . . . . Count 172 2 006Everest Re Group Ltd . . . . . . . . . . . . . . . . . . . . . Count 185 479Eversource Energy . . . . . . . . . . . . . . . . . . . . . . . Count 356 356F5 Networks, Inc. . . . . . . . . . . . . . . . . . . . . . . . . Count 289 289Faurecia SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 500 500FedEx Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 186 186Fisher & Paykel Healthcare Corp., Ltd . . . . . . . . Count 911 911Fletcher Building Ltd . . . . . . . . . . . . . . . . . . . . . . Count 1 065 1 065Flight Centre Travel Group Ltd . . . . . . . . . . . . . . Count 237 237FLIR Systems, Inc. . . . . . . . . . . . . . . . . . . . . . . . Count 816 816FNF Group . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 261 2 517Foot Locker, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . Count 511Fortescue Metals Group Ltd . . . . . . . . . . . . . . . . Count 611 5 866Fortinet, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 907 907Fortum Oyj . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 831Franco-Nevada Corp. . . . . . . . . . . . . . . . . . . . . . . Count 559Franklin Resources, Inc. . . . . . . . . . . . . . . . . . . . Count 2 183Frutarom Industries Ltd . . . . . . . . . . . . . . . . . . . . Count 481FUCHS PETROLUB SE -Pref- . . . . . . . . . . . . . . . Count 226 226FUJIFILM Holdings Corp. . . . . . . . . . . . . . . . . . . Count 157 1 097Gap, Inc./The . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 284 1 736Garmin Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 296 1 700Gecina SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 548Gildan Activewear, Inc. . . . . . . . . . . . . . . . . . . . . Count 628 628Gilead Sciences, Inc. . . . . . . . . . . . . . . . . . . . . . . Count 1 042Gjensidige Forsikring BA . . . . . . . . . . . . . . . . . . . Count 966 966Global Logistic Properties Ltd . . . . . . . . . . . . . . . Count 8 560Golden Resorts Group Ltd . . . . . . . . . . . . . . . . . Count 16 590 16 590Goodman Group . . . . . . . . . . . . . . . . . . . . . . . . . Count 5 123GPT Group/The . . . . . . . . . . . . . . . . . . . . . . . . . . Count 563 10 814H&R Block, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . Count 915 2 965Hamamatsu Photonics KK . . . . . . . . . . . . . . . . . . Count 223 223Hang Lung Group Ltd . . . . . . . . . . . . . . . . . . . . . Count 1 951 1 951Hannover Rueck SE . . . . . . . . . . . . . . . . . . . . . . . Count 110 597Hargreaves Lansdown PLC . . . . . . . . . . . . . . . . . Count 2 815Harris Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 290 290Harvey Norman Holdings Ltd . . . . . . . . . . . . . . . Count 2 814 10 000Hasbro, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 144 755HD Supply Holdings, Inc. . . . . . . . . . . . . . . . . . . Count 445 445Hennes & Mauritz AB . . . . . . . . . . . . . . . . . . . . . Count 345 2 578Hirose Electric Co., Ltd . . . . . . . . . . . . . . . . . . . . Count 55 55Hitachi Chemical Co., Ltd . . . . . . . . . . . . . . . . . . Count 174 1 189Home Depot, Inc./The . . . . . . . . . . . . . . . . . . . . . Count 693Hong Kong & China Gas Co., Ltd . . . . . . . . . . . . Count 10 690 10 690Hong Kong Exchanges and Clearing Ltd . . . . . . . Count 725 725Hongkong Land Holdings Ltd . . . . . . . . . . . . . . . Count 1 706 7 319Hugo Boss AG . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 175 175Husqvarna AB . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 540 1 540Idemitsu Kosan Co., Ltd . . . . . . . . . . . . . . . . . . . Count 440 440IDEX Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 740IGM Financial, Inc. . . . . . . . . . . . . . . . . . . . . . . . . Count 742 742Illumina, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 439IMI PLC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 600 600Industrial Alliance Insurance & Financial Services, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 058 3 192Industrivarden AB . . . . . . . . . . . . . . . . . . . . . . . . Count 214 3 380Infineon Technologies AG . . . . . . . . . . . . . . . . . . Count 2 798Ingredion, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 200 200Intel Corp. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 761International Business Machines Corp. . . . . . . . . Count 12 566International Consolidated Airlines Group SA . . . Count 10 329Interpublic Group of Cos, Inc./The . . . . . . . . . . . Count 1 343 4 112Intesa Sanpaolo SpA . . . . . . . . . . . . . . . . . . . . . . Count 21 265Intesa Sanpaolo SpA . . . . . . . . . . . . . . . . . . . . . . Count 27 260Invesco Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 275 2 819Investor AB . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 781Ipsen SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 766ISS A/S . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 290 290Jack Henry & Associates, Inc. . . . . . . . . . . . . . . . Count 335 335Japan Airlines Co., Ltd . . . . . . . . . . . . . . . . . . . . Count 90 1 250Japan Airport Terminal Co., Ltd . . . . . . . . . . . . . . Count 208 208Japan Exchange Group, Inc. . . . . . . . . . . . . . . . . Count 2 398



17


Singapore Press Holdings Ltd . . . . . . . . . . . . . . . Count 4 854 4 854Singapore Telecommunications Ltd . . . . . . . . . . Count 29 057 29 057Skyworks Solutions, Inc . . . . . . . . . . . . . . . . . . . . Count 742 742SMC Corp ./Japan . . . . . . . . . . . . . . . . . . . . . . . . Count 93Snap-on, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 542Societe BIC SA . . . . . . . . . . . . . . . . . . . . . . . . . . Count 240 591SoftBank Group Corp . . . . . . . . . . . . . . . . . . . . . . Count 1 358Sompo Holdings, Inc . . . . . . . . . . . . . . . . . . . . . . Count 1 728South32 Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 8 371Southwest Airlines Co . . . . . . . . . . . . . . . . . . . . . Count 100 1 214Spark New Zealand Ltd . . . . . . . . . . . . . . . . . . . . Count 11 082 24 466Spirit AeroSystems Holdings, Inc . . . . . . . . . . . . . Count 402 402Splunk, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 013 1 013Stanley Black & Decker, Inc . . . . . . . . . . . . . . . . . Count 479StarHub Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 509 20 907Start Today Co . Ltd . . . . . . . . . . . . . . . . . . . . . . . Count 720State Street Corp . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 019STMicroelectronics NV . . . . . . . . . . . . . . . . . . . . Count 2 430Straumann Holding AG . . . . . . . . . . . . . . . . . . . . Count 149Subaru Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 021Suez Environnement SA . . . . . . . . . . . . . . . . . . . Count 674 674Sumitomo Chemical Co ., Ltd . . . . . . . . . . . . . . . Count 4 233Sumitomo Realty & Development Co ., Ltd . . . . . Count 749Sun Hung Kai Properties Ltd . . . . . . . . . . . . . . . . Count 954 3 338Sundrug Co ., Ltd . . . . . . . . . . . . . . . . . . . . . . . . . Count 183 183Suruga Bank Ltd . . . . . . . . . . . . . . . . . . . . . . . . . Count 756 756Swedish Match AB . . . . . . . . . . . . . . . . . . . . . . . Count 2 315 2 315Swire Properties Ltd . . . . . . . . . . . . . . . . . . . . . . Count 11 506Swiss Prime Site AG . . . . . . . . . . . . . . . . . . . . . . Count 49 49Swiss Re AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 230 1 058SwissCom AG . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 247Synchrony Financial . . . . . . . . . . . . . . . . . . . . . . . Count 107 1 879SYSCO Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 406 1 406Sysmex Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 301 301T Rowe Price Group, Inc . . . . . . . . . . . . . . . . . . . Count 1 956Tapestry, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 391Tate & Lyle PLC . . . . . . . . . . . . . . . . . . . . . . . . . Count 7 022Techtronic Industries Co . Ltd . . . . . . . . . . . . . . . Count 5 907Teijin Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 279 279Tele2 AB . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 273 1 273Teleflex, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 448Telstra Corp ., Ltd . . . . . . . . . . . . . . . . . . . . . . . . . Count 629 12 809TELUS Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 384 2 384The Middleby Corp . . . . . . . . . . . . . . . . . . . . . . . . Count 127 127THK Co ., Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 737T-Mobile US, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 441Tokio Marine Holdings, Inc . . . . . . . . . . . . . . . . . . Count 30 738Tokyo Electron Ltd . . . . . . . . . . . . . . . . . . . . . . . Count 179Toll Brothers, Inc . . . . . . . . . . . . . . . . . . . . . . . . . Count 963 963Tosoh Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 87 937Tourmaline Oil Corp . . . . . . . . . . . . . . . . . . . . . . . Count 1 173 1 173Toyo Suisan Kaisha Ltd . . . . . . . . . . . . . . . . . . . . Count 194 194Travelers Cos, Inc ./The . . . . . . . . . . . . . . . . . . . . Count 764Travis Perkins PLC . . . . . . . . . . . . . . . . . . . . . . . . Count 546 546Trimble, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 947 947Tryg A/S . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 719 3 818Ubisoft Entertainment SA . . . . . . . . . . . . . . . . . . Count 210 210UGI Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 240 240Under Armour, Inc . . . . . . . . . . . . . . . . . . . . . . . . Count 1 546 1 546Under Armour, Inc . . . . . . . . . . . . . . . . . . . . . . . . Count 1 667 1 667Unibail-Rodamco SE . . . . . . . . . . . . . . . . . . . . . . Count 341Unilever NV . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 712UnipolSai Assicurazioni SpA . . . . . . . . . . . . . . . . Count 29 080United Rentals, Inc . . . . . . . . . . . . . . . . . . . . . . . . Count 311United Therapeutics Corp . . . . . . . . . . . . . . . . . . . Count 239 239United Urban Investment Corp . . . . . . . . . . . . . . Count 5 5United Utilities Group PLC . . . . . . . . . . . . . . . . . Count 961 961UnitedHealth Group, Inc . . . . . . . . . . . . . . . . . . . . Count 708Universal Health Services, Inc . . . . . . . . . . . . . . . Count 327 908Unum Group . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 822Vail Resorts, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . Count 462Valero Energy Corp . . . . . . . . . . . . . . . . . . . . . . . . Count 1 061Veeva Systems, Inc . . . . . . . . . . . . . . . . . . . . . . . Count 1 430Veolia Environnement SA . . . . . . . . . . . . . . . . . . Count 1 418 1 418VeriSign, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 363 363Verizon Communications, Inc . . . . . . . . . . . . . . . . Count 1 890 1 890Vermilion Energy, Inc . . . . . . . . . . . . . . . . . . . . . . Count 501 501Vicinity Centres . . . . . . . . . . . . . . . . . . . . . . . . . . Count 93 20 956Vistra Energy Corp . . . . . . . . . . . . . . . . . . . . . . . . Count 563 563Volvo AB . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 273Vonovia SE . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 443 443

Next PLC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 25 570NextEra Energy, Inc . . . . . . . . . . . . . . . . . . . . . . . Count 282Nidec Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 283Nintendo Co ., Ltd . . . . . . . . . . . . . . . . . . . . . . . . Count 100Nippon Prologis REIT, Inc . . . . . . . . . . . . . . . . . . . Count 3 3Nippon Telegraph & Telephone Corp . . . . . . . . . . Count 1 393 2 179NN Group NV . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 583NOK . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 532 532Nokian Renkaat Oyj . . . . . . . . . . . . . . . . . . . . . . . Count 318 318Nordstrom, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 434 434Norsk Hydro ASA . . . . . . . . . . . . . . . . . . . . . . . . Count 6 924NTT DOCOMO, Inc . . . . . . . . . . . . . . . . . . . . . . . Count 2 213NVR, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 21OGE Energy Corp . . . . . . . . . . . . . . . . . . . . . . . . . Count 341 341Old Dominion Freight Line, Inc . . . . . . . . . . . . . . Count 310 310Orion Oyj . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 565 565Orkla ASA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 7 110 7 110Packaging Corporation of America . . . . . . . . . . . Count 431Panasonic Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 100Pandora A/S . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 55 347Park24 Co ., Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . Count 321 321Partners Group Holding AG . . . . . . . . . . . . . . . . . Count 113Paypal Holdings, Inc . . . . . . . . . . . . . . . . . . . . . . . Count 2 067Pembina Pipeline Corp . . . . . . . . . . . . . . . . . . . . . Count 2 471Persimmon PLC . . . . . . . . . . . . . . . . . . . . . . . . . Count 118 3 093Persol Holdings Co ., Ltd . . . . . . . . . . . . . . . . . . . Count 810 810Pfizer, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 037PG&E Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 342 1 335Philip Morris International, Inc . . . . . . . . . . . . . . . Count 1 146Pinnacle West Capital Corp . . . . . . . . . . . . . . . . . Count 200 1 678Porsche Automobil Holding SE -Pref- . . . . . . . . . Count 648PrairieSky Royalty Ltd . . . . . . . . . . . . . . . . . . . . . Count 2 175Procter & Gamble Co ./The . . . . . . . . . . . . . . . . . Count 121 1 686Progressive Corp ./The . . . . . . . . . . . . . . . . . . . . . Count 2 228Proximus NV . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 232 2 628QBE Insurance Group Ltd . . . . . . . . . . . . . . . . . . Count 339 3 926QIAGEN NV . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 678 678Raymond James Financial, Inc . . . . . . . . . . . . . . . Count 688 688Recordati SpA . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 498 498Recruit Holdings Co ., Ltd . . . . . . . . . . . . . . . . . . Count 1 422Red Electrica Corp ., SA . . . . . . . . . . . . . . . . . . . . Count 474 474Red Hat, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 679Reinsurance Group of America, Inc . . . . . . . . . . . Count 408 943Remy Cointreau SA . . . . . . . . . . . . . . . . . . . . . . . Count 804Rio Tinto Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 542Rio Tinto PLC . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 56 1 029Robert Half International, Inc . . . . . . . . . . . . . . . . Count 299 299Rohm Co ., Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 376Rollins, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 639Roper Technologies, Inc . . . . . . . . . . . . . . . . . . . . Count 403Royal Dutch Shell PLC . . . . . . . . . . . . . . . . . . . . Count 3 014 3 014Royal Mail PLC . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 090 11 918RSA Insurance Group PLC . . . . . . . . . . . . . . . . . Count 2 076 2 076RTL Group . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 240 1 158Ryman Healthcare Ltd . . . . . . . . . . . . . . . . . . . . . Count 3 777 3 777Ryohin Keikaku Co ., Ltd . . . . . . . . . . . . . . . . . . . Count 143S+P Global, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 717Sage Group PLC/The . . . . . . . . . . . . . . . . . . . . . . Count 1 697 1 697Sampo Oyj . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 53 1 937Sanofi . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 75 939Saputo, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 833 833SATS Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 900 1 900SBA Communications Corp . . . . . . . . . . . . . . . . . Count 220Scentre Group . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 415 13 179Scor SE . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 441 2 222Scripps Networks Interactive, Inc . . . . . . . . . . . . Count 302 1 243Sealed Air Corp . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 243 243Seattle Genetics, Inc . . . . . . . . . . . . . . . . . . . . . . Count 589 589SEEK Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 507 507Sega Sammy Holdings, Inc . . . . . . . . . . . . . . . . . Count 888 2 785SEI Investments Co . . . . . . . . . . . . . . . . . . . . . . . Count 1 679ServiceNow, Inc . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 515SES SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 280 3 186Seven Bank Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 141 4 141Seven Generations Energy Ltd . . . . . . . . . . . . . . Count 1 359 1 359Sherwin-Williams Co ./The . . . . . . . . . . . . . . . . . . Count 146Shimamura Co ., Ltd . . . . . . . . . . . . . . . . . . . . . . . Count 59 353Shin-Etsu Chemical Co ., Ltd . . . . . . . . . . . . . . . . Count 316Shinsei Bank Ltd . . . . . . . . . . . . . . . . . . . . . . . . . Count 876 876Shiseido Co ., Ltd . . . . . . . . . . . . . . . . . . . . . . . . . Count 766Sika AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 9



18


WABCO Holdings, Inc. . . . . . . . . . . . . . . . . . . . . Count 112 112Wesfarmers Ltd . . . . . . . . . . . . . . . . . . . . . . . . . Count 378 1 885West Fraser Timber Co., Ltd . . . . . . . . . . . . . . . . Count 431 431Westar Energy, Inc. . . . . . . . . . . . . . . . . . . . . . . . Count 424 2 653WH Group Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 41 276William Demant Holding A/S . . . . . . . . . . . . . . . . Count 717 717Wirecard AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 360 360WPP PLC . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 520 3 180WR Berkley Corp. . . . . . . . . . . . . . . . . . . . . . . . . Count 630 2 178WW Grainger, Inc. . . . . . . . . . . . . . . . . . . . . . . . . Count 216Xcel Energy, Inc. . . . . . . . . . . . . . . . . . . . . . . . . . Count 993Yamaha Motor Co., Ltd . . . . . . . . . . . . . . . . . . . . Count 1 421Yue Yuen Industrial Holdings Ltd . . . . . . . . . . . . Count 6 249Zillow Group, Inc. . . . . . . . . . . . . . . . . . . . . . . . . Count 939 939

Securities admitted to or included in organized markets

EquitiesTaylor Wimpey PLC . . . . . . . . . . . . . . . . . . . . . . Count 45 000

Derivatives (option premiums realized in opening transactions, or total options transactions; in the case of warrants, purchases and sales are shown)

Value (’000) Futures contracts

Equity index futuresContracts purchased(Underlying: MSCI World Index) EUR 36 885

Swaps

Interest rate swaps (Underlyings: 6M Bank Bill Swap Rate) AUD 1 900(Underlyings: 3M CAD Offered Rate) CAD 7 000(Underlyings: 6M Libor) CHF 13 500(Underlyings: 6M Cibor) DKK 117 300(Underlyings: 6M Euribor) EUR 12 600(Underlyings: 6M Libor) GBP 7 600(Underlyings: 6M Libor) JPY 1 125 000(Underlyings: 3M Stibor) SEK 316 100(Underlyings: 3M Libor) USD 2 600

Credit default swaps

Protection buyer(Underlyings: Deutsche Bank Credit Arbitrage Spread Index, Deutsche Bank EUR Rates Long Volatility Index, Deutsche Bank Itraxx CrossOver Target Volatilty 150 Index, J.P. Morgan Bespoke Equity Volatility Basket, J.P. Morgan Global Credit Momentum EUR, J.P. Morgan Mean Reversion Bespoke 1 Index) EUR 114 900

(Underlyings: Bank of America Merrill Lynch Dynamic Synthetic Variance Index - DWSP, Bank of America Merrill Lynch Short Synthetic Variance Index - XE, Bank of America Merrill Lynch Vortex Alpha Index, DB US Weekly and Bi-weekly Mean Reversion, Deutsche Bank Currency Momentum Excess Return (USD), J.P. Morgan Equity Risk Premium Global Momentum (Long / Short) USD Index, J.P. Morgan FX Trends Series 2B in USD, Nomura Interest Rate Swaps Outright Carry Index - 3% target vol in USD) USD 103 900


19

Information pursuant to Regulation (EU) 2015/2365 on transparency of securities financing transactions (SFTs) and of reuse and amending Regulation (EU) No. 648/2012 – Statement in accordance with Section A

Securities lending Repurchase agreements Total return swapsStated in fund currency

1. Assets used

Absolute 520 902 512.88

In % of the fund’s net assets 10.75%

2. The 10 largest counterparties

1. Name UBS AG London Branch - -

Gross volume of open transactions

149 953 953.25

Country of registration United Kingdom - -

2. Name Bank of America Merrill Lynch - -


94 573 686.90

Country of registration United States - -

3. Name Société Générale - -


83 402 669.00

Country of registration France - -

4. Name Merrill Lynch International - -


55 355 143.24


5. Name Deutsche Bank London - -


41 701 334.50


6. Name Barclays Capital Securities Limited - -


41 536 336.85


7. Name Citigroup Global Markets - -


16 293 008.22


8. Name J.P. Morgan Sec Ltd. - -


14 754 231.37


9. Name Nomura International PLC - -


9 792 262.09

Country of registration Japan - -


20

10. Name Merrill Lynch International FI - -


3 426 267.83


3. Type(s) of settlement and clearing

(e.g., bilateral, tri-party, central counterparty)

Bilateral - -

4. Transactions classified by term to maturity (absolute amounts)

Less than 1 day

1 day to 1 week

1 week to 1 month

1 to 3 months

3 months to 1 year

More than 1 year

No fixed maturity 520 902 512.88

5. Type(s) and quality/qualities of collateral received

Type(s):

Bank balances

Bonds 88 134 520.27

Equities 473 141 309.83

Other

Quality/Qualities:

Insofar as securities lending transactions, reverse repurchase agreements or transactions with OTC derivatives (except forward currency transactions) are concluded, collateral in one of the following forms is provided to the fund:

– Liquid assets such as cash, short-term bank deposits, money market instruments according to the definition in Directive 2007/16/EC of March 19, 2007, letters of credit and first-demand guarantees that are issued by top-rated credit institutions not affiliated with the counterparty, or bonds issued by an OECD member country or its local authorities or by supranational institutions and authorities at local, regional or international level, regardless of their term to maturity

– Units of a collective investment undertaking (hereinafter “UCI”) investing in money market instruments that calculates a net asset value daily and has a rating of AAA or an equivalent rating

– Units of a UCITS that invests predominantly in the bonds and equities listed under the next two indents

– Bonds, regardless of their term to maturity, that have a minimum rating of low investment-grade

– Equities admitted to or traded in a regulated market in a member state of the European Union or on an exchange in an OECD mem-ber country, provided that these equities are included in a major index

The Management Company reserves the right to restrict the permissibility of the aforementioned collateral. Furthermore, the Management Company reserves the right to deviate from the aforementioned criteria in exceptional cases.

Additional information on collateral requirements can be found in the sales prospectus for the fund.


21


6. Currency/Currencies of collateral received

Currency/Currencies: AUD, CAD, CHF, DKK, EUR, GBP, HKD, JPY, SEK, USD, ZAR

- -

7. Collateral classified by term to maturity (absolute amounts)

Less than 1 day

1 day to 1 week

1 week to 1 month

1 to 3 months

3 months to 1 year

More than 1 year

No fixed maturity 561 275 830.10

8. Income and cost portions (before income adjustment)

Income portion of the fund

Absolute 553 248.19

In % of gross income 60.00%

Cost portion of the fund -

Income portion of the Management Company

Absolute 368 832.13

In % of gross income 40.00%

Cost portion of the Management Company

-

Income portion of third parties

Absolute

In % of gross income

Cost portion of third parties

9. Income for the fund from reinvestment of cash collateral, based on all SFTs and total return swaps

Absolute

10. Lent securities in % of all lendable assets of the fund

Total 520 902 512.88

Share 10.75%

11. The 10 largest issuers, based on all SFTs and total return swaps

1. Name French Republic Government Bond OAT - -

Volume of collateral received (absolute)

34 619 581.26

2. Name Vinci SA - -


23 912 334.36

22


3. Name Bayer AG - -


23 662 241.35

4. Name State of North Rhine-Westphalia Germany

- -


16 332 056.14

5. Name Nestle SA - -


14 361 477.07

6. Name GGP Inc - -


14 308 449.99

7. Name CNX Resources Corp - -


14 286 117.65

8. Name Delivery Hero - -


13 705 758.40

9. Name PetMed Express Inc - -


10 632 320.76

10. Name TLG Immobilien AG - -


10 232 244.36

12. Reinvested collateral in % of collateral received, based on all SFTs and total return swaps

Share

13. Custody type of provided collateral from SFTs and total return swaps (In % of all provided collateral from SFTs and total return swaps)

Segregated cash/custody accounts

Not applicable as no collateral was provided in the context of securities

lending transactions.

Pooled cash/custody accounts

Other cash/custody accounts

Recipient determines custody type

23


14. Depositaries/Account holders of received collateral from SFTs and total return swaps

Total number of depositaries/ account holders

1

1. Name State Street Bank Luxembourg S.C.A. - -

Amount held in custody (absolute) 561 275 830.10

2. Name - - -

Amount held in custody (absolute)

24

Information pursuant to Regulation (EU) 2015/2365 on transparency of securities financing transactions (SFTs) and of reuse and amending Regulation (EU) No. 648/2012 – Statement in accordance with Section A

There were no securities financing transactions according to the above Regulation in the reporting period.


25

* The fund’s consolidated net assets, the consolidated statement of income and expenses and the statement of changes in net assets correspond to the sum of the results of the individual sub-funds. In the case of investments between sub-funds (in which one sub-fund invests in another sub-fund of the same umbrella fund), the corresponding accounts of the fund were not the object of an elimination for the purposes of the consolidated presentation of results.

** In the case of derivatives and forward transactions, the amount reported as “total assets” comprises the positive balance of the netted individual positions within the same type of product, while negative balances are included under “total liabilities.”

Deutsche Concept, SICAV – June 30, 2018

Statement of net assets as of June 30, 2018Deutsche Concept, SICAV

EUR *Deutsche Concept Global Risk Premia

EUR


EUR

Consolidated % of net assets

Assets

Total securities portfolio 4 844 707 573.22 76.59 0.00 4 844 707 573.22

Equity index derivatives 2 751 215.23 0.04 0.00 2 751 215.23

Cash at bank 1 465 118 788.81 23.16 20 279 752.00 1 444 839 036.81

Other assets 62 798 421.03 0.99 20 971.57 62 777 449.46

Receivables from share certificate transactions 7 999 789.83 0.13 0.00 7 999 789.83

Total assets ** 6 383 375 788.12 100.91 20 300 723.57 6 363 075 064.55

Liabilities

Interest rate derivatives - 2 021 921.06 - 0.03 0.00 - 2 021 921.06

Currency derivatives - 3 575 998.05 - 0.06 0.00 - 3 575 998.05

Short-term liabilities - 2 819 926.69 - 0.04 0.00 - 2 819 926.69

Other liabilities - 18 378 268.36 - 0.29 - 33 725.36 - 18 344 543.00

Liabilities from share certificate transactions - 31 009 554.46 - 0.49 - 20 266 998.21 - 10 742 556.25

Total liabilities ** - 57 805 668.62 - 0.91 - 20 300 723.57 - 37 504 945.05

Net assets 6 325 570 119.50 100.00 0.00 6 325 570 119.50

Investment Company

Deutsche Concept SICAV2, Boulevard Konrad Adenauer1115 Luxembourg, LuxembourgRC B 160 062

Board of Directors of the Investment Company

Niklas SeifertChairmanDeutsche Asset Management S.A., Luxembourg

Stephan SchollDeutsche Asset Management International GmbH, Frankfurt/Main

Sven SendmeyerDeutsche Asset Management Investment GmbH, Frankfurt/Main

Thilo Hubertus WendenburgIndependent memberFrankfurt/Main

Management Company and Central Administration Agent, Registrar and Transfer Agent, Main Distributor

Deutsche Asset Management S.A.2, Boulevard Konrad Adenauer1115 Luxembourg, LuxembourgEquity capital as of December 31, 2017: EUR 285.7 million before profit appropriation

Supervisory Board of the Management Company

Holger NaumannChairmanDeutsche Asset Management Investment GmbH, Frankfurt/Main

Nathalie Bausch (until January 31, 2018)Deutsche Bank Luxembourg S.A., Luxembourg

Yves Dermaux (until June 5, 2018)Deutsche Bank AG,London

Stefan KreuzkampDeutsche Asset Management Investment GmbH, Frankfurt/Main

Frank KringsDeutsche Bank Luxembourg S.A., Luxembourg

Dr. Matthias LiermannDeutsche Asset ManagementInvestment GmbH, Frankfurt/Main

Management Board of the Management Company

Manfred BauerChairmanDeutsche Asset Management S.A.,Luxembourg

Nathalie Bausch (since February 1, 2018)Deutsche Asset Management S.A., Luxembourg

Ralf Rauch (until April 30, 2018)Deutsche Asset Management Investment GmbH, Frankfurt/Main

Barbara SchotsDeutsche Asset Management S.A., Luxembourg

Auditor

KPMG LuxembourgSociété coopérative39, Avenue John F. Kennedy1855 Luxembourg, Luxembourg

Depositary, Administrator and Sub-Transfer Agent

State Street Bank Luxembourg S.C.A.49, Avenue John F. Kennedy1855 Luxembourg, Luxembourg

Fund Manager

Deutsche Asset Management Investment GmbH Mainzer Landstraße 11-1760329 Frankfurt/Main, Germany

Sales, Information and Paying Agent

LUXEMBOURGDeutsche Bank Luxembourg S.A.2, Boulevard Konrad Adenauer1115 Luxembourg, Luxembourg

As of: July 31, 2018

Deutsche Concept SICAV2, Boulevard Konrad Adenauer1115 Luxembourg, LuxembourgRC B 160 062Tel.: +352 4 21 01-1 Fax: +352 4 21 01-9 00

Documents

Deutsche Concept · Liquidation of the sub-fund Deutsche Concept Global Risk Premia The sub-fund Deutsche Concept Global Risk Premia was liquidated effective February 22, 2018, following