EDMOND DE ROTHSCHILD FUND de Rothschi… · Model and inputs for the VaR approach: Historical Value at Risk ... EDMOND DE ROTHSCHILD FUND 9 INFORMATION TO THE SHAREHOLDERS IN …

EDMOND DE ROTHSCHILD FUND

Société d'Investissement à Capital Variable

Annual Report and Audited FinancialStatements as atMarch 31, 2016

R.C.S. Luxembourg B 76441

2


TABLE OF CONTENTS

EURO GOVERNMENT BONDS MID TERM .......................................................................................................................................... .EURO GOVERNMENT BONDS MID TERM 61

BOND SUB-FUNDS

Government Bond Sub-Funds

EURO LONG DURATION GOVT BONDS.............................................................................................................................................. .EURO LONG DURATION GOVT BONDS 63

CONVERTIBLE EUROPE ALL CAPS ..................................................................................................................................................... .CONVERTIBLE EUROPE ALL CAPS 73

Convertible Bond Sub-Funds

EUROPE CONVERTIBLES....................................................................................................................................................................... .EUROPE CONVERTIBLES 85

GLOBAL CONVERTIBLES ...................................................................................................................................................................... .GLOBAL CONVERTIBLES 99

GLOBAL CONVEXITY............................................................................................................................................................................. .GLOBAL CONVEXITY 113

EURO CREDIT SHORT TERM................................................................................................................................................................. .EURO CREDIT SHORT TERM 128

Bond Sub-Funds

GLOBAL CROSSOVER BONDS ............................................................................................................................................................. .GLOBAL CROSSOVER BONDS 140

EMERGING BONDS.................................................................................................................................................................................. .EMERGING BONDS 157

EMERGING CORPORATE BONDS ......................................................................................................................................................... .EMERGING CORPORATE BONDS 169

Corporate Bond Sub-Funds

EURO IG CORPORATE BONDS .............................................................................................................................................................. .EURO IG CORPORATE BONDS 181

US IG CORPORATE BONDS.................................................................................................................................................................... .US IG CORPORATE BONDS 194

SIGNATURES EURO HIGH YIELD......................................................................................................................................................... .SIGNATURES EURO HIGH YIELD 205

DIRECTORS AND ADMINISTRATION................................................................................................................................................. . 5

INFORMATION TO THE SHAREHOLDERS, NET ASSET VALUE PER SHARE AND RISK MANAGEMENT ........................... . 7

INFORMATION TO THE SHAREHOLDERS AND TO THE INVESTORS IN SWITZERLAND ...................................................... . 9

REPORT ON THE ACTIVITIES............................................................................................................................................................... . 15

AUDIT REPORT........................................................................................................................................................................................ . 58

COMBINED STATEMENT OF NET ASSETS ........................................................................................................................................ . 59

COMBINED STATEMENT OF OPERATIONS ...................................................................................................................................... . 60

3


TABLE OF CONTENTS(continued)

EUROPE VALUE ....................................................................................................................................................................................... .EUROPE VALUE 218

EQUITY SUB-FUNDS

Equity Sub-Funds

RETURN PLUS........................................................................................................................................................................................... .RETURN PLUS 220

INCOME EUROPE ..................................................................................................................................................................................... .INCOME EUROPE 231

PREMIUMSPHERE.................................................................................................................................................................................... .PREMIUMSPHERE 244

SELECTIVE EUROPE................................................................................................................................................................................ .SELECTIVE EUROPE 255

EUROPE SYNERGY .................................................................................................................................................................................. .EUROPE SYNERGY 266

EUROPE VALUE & YIELD ...................................................................................................................................................................... .EUROPE VALUE & YIELD 278

GLOBAL EMERGING ............................................................................................................................................................................... .GLOBAL EMERGING 289

US VALUE & YIELD................................................................................................................................................................................. .US VALUE & YIELD 301

EUROPE FLEXIBLE .................................................................................................................................................................................. .EUROPE FLEXIBLE 313

GLOBAL HEALTHCARE.......................................................................................................................................................................... .GLOBAL HEALTHCARE 323

GLOBAL VALUE....................................................................................................................................................................................... .GLOBAL VALUE 332

INFRASPHERE........................................................................................................................................................................................... .INFRASPHERE 344

CHINA......................................................................................................................................................................................................... .CHINA 353

GLOBAL DATA ......................................................................................................................................................................................... .GLOBAL DATA 364

QUAM 5 ...................................................................................................................................................................................................... .QUAM 5 375

STRATEGY SUB-FUNDS

Strategy Sub-Funds

QUAM 7 ...................................................................................................................................................................................................... .QUAM 7 388

QUAM 10 .................................................................................................................................................................................................... .QUAM 10 395

QUAM 15 .................................................................................................................................................................................................... .QUAM 15 407

4


TABLE OF CONTENTS(continued)

NOTES TO THE FINANCIAL STATEMENTS....................................................................................................................................... .423

QUAM SUSTAINABLE 10 ........................................................................................................................................................................ .QUAM SUSTAINABLE 10 414


5

DIRECTORS AND ADMINISTRATION

REGISTERED OFFICE 20 Boulevard Emmanuel Servais L-2535 Luxembourg BOARD OF DIRECTORS

CHAIRMAN OF THE BOARD

Edmond de Rothschild Asset Management (France) Chairman of the Board of Directors represented by Mr. Laurent Tignard, Global Chief Executive Officer of the Asset Management 47 Rue du Faubourg Saint Honoré F-75008 Paris

DIRECTORS Mr Didier Deléage, Director Chief Operating Officer of Edmond de Rothschild Asset Management (France) 47 Rue du Faubourg Saint Honoré F-75008 Paris Mr Geoffroy Linard de Guertechin, Director Independent director Mr Guillaume Poli, Director Managing Director of Edmond de Rothschild Asset Management (France) 47 Rue du Faubourg Saint Honoré F-75008 Paris Mr Christian Lorenz, Director Chairman of the Executive Committee of Edmond de Rothschild Asset Management (Suisse) S.A. 18 Rue de l’Arquebuse CH-1204 Geneva Mr Daniel Elias, Director (since July 28, 2015) Chief Operating Officer of Edmond de Rothschild (Suisse) S.A. 18 rue de Hesse CH-1204 Genève Mr Franck Sarrazin, Director Chief Executive Officer of Edmond de Rothschild Asset Management (Luxembourg) 20 Boulevard Emmanuel Servais L-2535 Luxembourg

MANAGEMENT COMPANY AND CENTRAL ADMINISTRATION (INCLUDING TRANSFER AGENT) Edmond de Rothschild Asset Management (Luxembourg) 20 Boulevard Emmanuel Servais L-2535 Luxembourg AUDITOR PricewaterhouseCoopers, Société coopérative 2 Rue Gerhard Mercator BP 1443 L-1014 Luxembourg DEPOSITARY BANK AND DOMICILIARY AGENT Edmond de Rothschild (Europe) 20 Boulevard Emmanuel Servais L-2535 Luxembourg INVESTMENT MANAGERS Edmond de Rothschild Asset Management (France) 47 Rue du Faubourg Saint-Honoré F-75008 Paris Edmond de Rothschild Asset Management (UK) Limited 4 Carlton Gardens London SW1Y 5AA Edmond de Rothschild (Suisse) S.A. 18 Rue de Hesse CH-1204 Geneva Or any member of Edmond de Rothschild Group that the Management Company may appoint as investment adviser and/or manager to a specific Sub-fund from time to time. GLOBAL DISTRIBUTOR Edmond de Rothschild Asset Management (France) 47 Rue du Faubourg Saint-Honoré F-75008 Paris Or any member of Edmond de Rothschild Group that the Management Company may appoint as sale agent or distributor.


6

DIRECTORS AND ADMINISTRATION (continued)

SUB-TRANSFER AGENT CACEIS Bank Luxembourg 5 Allée Scheffer L-2520 Luxembourg LEGAL ADVISER ALLEN & OVERY, Société en Commandite Simple 33 Avenue JF Kennedy L-1855 Luxembourg LOCAL AGENTS In Germany (paying and information agent) Marcard, Stein GmbH & Co KG Ballindamm 36 D-20095 Hamburg In Switzerland Legal representative (until September 30, 2015 for the Sub-Funds registered by the FINMA) and paying agent: Edmond de Rothschild (Suisse) S.A. 18 Rue de Hesse CH-1204 Geneva Legal representative (since October 1, 2015 and for the Sub-Funds registered by the FINMA): Edmond de Rothschild Asset Management (Suisse) S.A. 8 Rue de l’Arquebuse, Case postale 5441 CH-1211 Geneva In Italy (paying agents) Société Générale Securities Services S.p.A. Via Benigno Crespi, 19/A - MAC 2 I-20159 Milano BNP PARIBAS Securities Services 3 Rue d’Antin F-75002 Paris STATE STREET BANK S.p.A. Via Ferrante Aporti, 10 I-20125 Milano Allfunds Bank S.A. Via Santa Margherita 7 I-20121 Milano

In France (paying and information agent) CACEIS Bank France 1-3 Place Valhubert F-75013 Paris In Austria (information agent) Société Générale Vienna Branch Prinz-Eugen-Strasse 8-10/5/TOP 11 A-1040 Vienna In Belgium (information agent) CACEIS Belgium Avenue du Port 86c bte 320 B-1000 Bruxelles In Sweden (paying agent) SEB (Skandinaviska Enskilda Banken AB) KBBV S-106 40 Stockholm In Spain (information agent) Edmond de Rothschild Asset Management (France) Sucursal en España Paseo de la Castellana 55 28046 - Madrid España In United Kingdom (information agent) Société Générale Global Banking & Investor Solutions (Securities Services) SG House - 41 Tower Hill, London EC3N 4SG, United Kingdom


7

INFORMATION TO THE SHAREHOLDERS All information concerning the SICAV is published in newspapers designated by the Board of Directors and, if required by law, in the Memorial, the official gazette of Luxembourg, and deposited with the Registrar of the Luxembourg District Court. The marketing of the SICAV may give rise to the remuneration of distributors as stated in the prospectus. These distributors are entities of the Edmond de Rothschild Group, like for example Edmond de Rothschild Asset Management (France) which consequently receives up to 50% of Management and distribution fees and 20% of performance/outperformance fees.

The articles of incorporation have been deposited with the Registrar of the Luxembourg District Court, where they are available for inspection and where copies may be obtained.

The issue and redemption prices of shares of each Sub-Fund are made public at the registered office of the SICAV, where the annual and semi-annual reports may be obtained.

Investors residing in Germany can receive free of charge from the German Payments and Information Office the prospectus, the articles of association of the investment company and the most recent report on activities and,

insofar as subsequently published, also the latest semi-annual report, as well as requesting the net asset value per share, the current issue, exchange and redemption prices of the shares and all other financial information about the SICAV which is available to the shareholders from the registered office of the investment company.

The issue and redemption prices of the shares of each Sub-Fund as well as other communications to the shareholders are published in the “Bundesanzeiger”.

Subscriptions cannot be received on the basis of this financial report. Subscriptions are valid only if made on the basis of the current prospectus, supplemented by the latest annual report and the most recent semi-annual report if published thereafter.

The Management Company draws the attention of investors to the fact that before subscribing to any Shares, investors may consult the key investor information document (“KIID”) for the Share Classes, available from the website www.edmond-de-rothschild.com. A paper copy of the key investor information may also be obtained free of charge from the registered office of the Management Company, the Global Distributor or from intermediaries who are part of the distribution network.

NET ASSET VALUE PER SHARE For all the QUAM Sub-Funds and the Sub-Fund EDMOND DE ROTHSCHILD FUND - RETURN PLUS, the net asset value of the shares is calculated on each business day in Luxembourg.

For the Sub-Fund EDMOND DE ROTHSCHILD FUND - CHINA, the net asset value of the shares is calculated on each day on which banks are generally open for business in Luxembourg and in France and any other day on which the French and the Chinese financial markets are open (official calendar of EURONEXT PARIS S.A. and the Hong Kong Stock Exchange) is a Valuation Day.

For the Sub-Fund EDMOND DE ROTHSCHILD FUND - GLOBAL DATA and , EDMOND DE ROTHSCHILD FUND - US VALUE & YIELD the net asset value of the shares is calculated on each day on which banks are generally open for business in Luxembourg, in France and any other day on which the French and the American financial markets are open (official calendar of NYSE and EURONEXT PARIS S.A.) is a Valuation Day.

For the Sub-Fund EDMOND DE ROTHSCHILD FUND - GLOBAL CONVERTIBLES and , EDMOND DE ROTHSCHILD FUND - GLOVAL CONVEXITY the net asset value of the shares is calculated on each day on which banks are generally open for business in Luxembourg, the United States and in France and any

other day on which the French and the American financial markets are open (official calendar of NYSE and EURONEXT PARIS S.A.) is a Valuation Day.

For all other Sub-Funds the net asset value of the shares is calculated on each day on which banks are generally open for business in Luxembourg and in France and any other day on which the French financial markets are open (official calendar of EURONEXT PARIS S.A.) is a Valuation Day.

For all Sub-Funds the Net Asset Value: - is not calculated on Good Friday or December 24

(Christmas Eve) - is calculated and published on the first Business Day

following the relevant Valuation Day (the “NAV calculation day”).

If the September 30 and/or the March 31 are not bank working days in Luxembourg, then, for the purpose of the SICAV financial reporting and statements, a net asset value per share will be calculated for each Sub-Fund as at these dates, provided that such net asset value will not be used for the purposes of subscription, redemption and conversion.


8

RISK MANAGEMENT The method used for the determination of the global exposure is the commitment approach for all sub-funds except for the Emerging Bonds sub-fund for which the absolute VAR approach is applied. The sub-fund VaR may not exceed 20% of the sub-fund net asset value as defined by the law and in the prospectus. The calculation method for the leverage is the sum of the (risk adjusted) notional of all the derivatives, including the derivatives used for hedging purposes, until the March 31, 2016. The Prospectus dated March 2016 disclosed the level of expected leverage that is the following: - Emerging Bonds:

• Sum of the notional: 500% of the net asset value of the sub-fund

However, under certain circumstances the level of leverage might exceed the aforementioned level.

Use of leverage (Sum of the notional) in % TNA from 28 January 2016 (Launch date) to 31 March 2016

Sub-Fund Average Minimum MaximumEMERGING BONDS 248.85 217.54 272.93

Absolute Value-at-risk from 28 January 2016 (Launch date) to 31 March 2016

Sub-Fund Average Minimum MaximumEMERGING BONDS 10.50 3.97 13.89 Model and inputs for the VaR approach: Historical Value at Risk Confidence interval (one-tailed) 99% VaR Horizon / holding period 1 month (20 business days) Data history / effective observation period 2 years


9

INFORMATION TO THE SHAREHOLDERS IN SWITZERLAND (Unaudited)

EDMOND DE ROTHSCHILD (SUISSE) S.A., Geneva, was authorised by the Swiss Federal Banking Commission as Swiss representative of the SICAV and acts also as paying agent for the Sub-Funds registered by the FINMA until September 30, 2015. As from October 1, 2015 EDMOND DE ROTHSCHILD ASSET MANAGEMENT (SUISSE) S.A. was authorized by the Swiss Federal Bank Commission as Swiss

representative of the SICAV for the Sub-Funds registered by the FINMA.

The prospectus, the simplified prospectus, the Key Investors Information Document (KIID), the articles of incorporation, the annual and semi-annual reports of the SICAV, as well as the list of the purchases and sales which the SICAV has undertaken during the period, may be obtained, on simple request and free of charge, at the head office of the Swiss representative.

INFORMATION TO THE INVESTORS IN SWITZERLAND (Unaudited) The Total Expense Ratio (TER) as at March 31, 2016 for each Sub-Fund is calculated in accordance with the recommendations of the S.F.A.M.A., approved by the FINMA and is included under the statistical information of each Sub-Fund. TER (Total Expense Ratio) The Total Expense Ratio (TER) represents the ratio of the total expenses, except transactions fees, annually supported by the Fund for each Sub-Fund. The TER should be calculated as follow: TER = Total charges of the Sub-Fund’s/Average net asset value of the Sub-Fund Average net asset value of the Sub-Fund = Amount of net assets over the year / Observation’s number. If a collective investment scheme invests at least 10% of its net assets as a fund of funds in other collective investment schemes (target funds) which publish a TER within the meaning of the present guidelines, a composite (synthetic) TER of the fund of funds is to be calculated as of the closing date of the financial year or the end of the first half of the financial year. This corresponds to the sum of: - the prorated TER of the individual target funds, weighted

on the basis of their proportion in the net assets of the fund of funds as of the closing date,

- the issue and redemption commissions of the target funds actually paid, and

- the TER of the fund of funds minus the reimbursements received from the target funds during the reporting period.

If any of the target funds does not publish a TER pursuant to the present guidelines, the following procedure must be followed when disclosing the costs incurred by the fund of funds: - Reference must be made to the fact that no composite

(synthetic) TER can be determined for the respective portion of the fund of funds.

- A composite (synthetic) value must be indicated for the overall costs that the fund of funds is expected to incur. To this end o a truncated (synthetic) TER is calculated which –

weighted on the basis of the fund of fund’s investment proportion – includes the TERs of all target funds for which the TER is determined as per the present guidelines (i.e. target funds with TER), and

o to this are added for each of the other target funds (i.e. target funds without TER) the issue and redemption commissions plus as precise as possible an estimate of the upper limit of the costs relevant for the TER. This value – weighted on the basis of the target funds’ weighting in the fund of fund – must include the maximum management fee and the most recent performance-related management fee available for this target fund.


Performances are historical and are not necessarily an indication of present or future results, they do not include redemption or subscription’s commissions and fees.

10

INFORMATION TO THE INVESTORS IN SWITZERLAND (Unaudited) (continued) Performances of the Sub-Funds distributed in Switzerland:

Sub-Funds Classes of Shares Date of launch

N.A.V. as at 03.31.16

2016 in %

2015 in %

2014 in %

2013 in %

EDMOND DE ROTHSCHILD FUND - EURO LONG DURATION GOVT BONDS A-EUR 07.09.15 -

- - - -

B-EUR DIS 07.09.15 - - - - - I-EUR 07.09.15 - - - - - EDMOND DE ROTHSCHILD FUND - CONVERTIBLE EUROPE ALL CAPS A-EUR 03.06.01 251.68 -4.05 7.60 16.48 9.56

B-EUR DIS 08.21.15 - - - - - I-EUR 05.14.14 99.71 -3.58 - - - K-EUR 09.26.14 103.77 -3.66 - - - N-EUR 12.21.15 - - - - - EDMOND DE ROTHSCHLD FUND - EUROPE CONVERTIBLES A-EUR 01.29.16 - - - - - A-USD 01.29.16 - - - - - A-USD (H) 01.29.16 - - - - - B-EUR DIS 01.29.16 - - - - - C-EUR 01.29.16 - - - - - I-EUR 01.29.16 - - - - - J-EUR DIS 01.29.16 - - - - - K-EUR 01.29.16 - - - - - N-EUR 01.29.16 - - - - - O-EUR DIS 01.29.16 - - - - - R-EUR 01.29.16 - - - - - R-USD 01.29.16 - - - - - EDMOND DE ROTHSCHILD FUND - GLOBAL CONVERTIBLES A-CHF (H) 01.29.16 - - - - - A-EUR 01.29.16 - - - - - A-USD (H) 01.29.16 - - - - - B-EUR DIS 01.29.16 - - - - - I-EUR 01.29.16 - - - - - J-EUR DIS 01.29.16 - - - - - K-EUR 01.29.16 - - - - - K-USD (H) 01.29.16 - - - - - R-EUR 01.29.16 - - - - - R-USD 01.29.16 - - - - - EDMOND DE ROTHSCHILD FUND - GLOBAL CONVEXITY A-EUR 01.29.16 - - - - - B-EUR DIS 01.29.16 - - - - - I-EUR 01.29.16 - - - - - I-USD (H) 01.29.16 - - - - - J-EUR DIS 01.29.16 - - - - - K-EUR 01.29.16 - - - - - N-EUR 01.29.16 - - - - - S-EUR 01.29.16 - - - - - EDMOND DE ROTHSCHILD FUND - EURO CREDIT SHORT TERM A-EUR 10.08.14 146.67 0.24 - - - B-EUR DIS 10.08.14 99.10 -1.07 - - - I-CHF(H) 10.08.14 99.22 -0.53 - - - I-EUR 10.08.14 11,241.92 0.49 - - - N-EUR 10.08.14 11,123.81 0.60 - - - O-EUR DIS 10.08.14 10,089.10 -0.95 - - -



11



N.A.V. as at 03.31.16

2016 in %

2015 in %

2014 in %

2013 in %

EDMOND DE ROTHSCHILD FUND - GLOBAL CROSSOVER BONDS A-EUR 07.15.14 127.80 -0.40 - - - A-USD(H) 07.15.14 102.05 -0.14 - - - B-EUR DIS 07.15.14 116.48 -2.40 - - - B-USD (H) DIS 07.15.14 100.18 -1.97 - - - I-EUR 07.15.14 132.22 0.02 - - - I-USD(H) 07.15.14 102.78 0.28 - - - EDMOND DE ROTHSCHILD FUND - EMERGING BONDS A-EUR 01.29.16 - - - - - A-USD (H) 01.29.16 - - - - - B-EUR DIS 01.29.16 - - - - - I-EUR 01.29.16 - - - - - K-EUR 01.29.16 - - - - - K-USD (H) 01.29.16 - - - - - R-EUR 01.29.16 - - - - - R-USD (H) 01.29.16 - - - - - EDMOND DE ROTHSCHILD FUND - EMERGING CORPORATE BONDS A-EUR (H) 07.15.14 92.40 5.04 - - - A-USD 07.15.14 141.91 5.63 - - - B-EUR (H) DIS 07.15.14 88.71 0.84 - - - B-USD DIS 07.15.14 115.14 1.82 - - - I-EUR (H) 07.16.14 100.73 5.72 - - - I-USD 07.15.14 119.47 6.31 - - - EDMOND DE ROTHSCHILD FUND - EURO IG CORPORATE BONDS A-EUR 07.15.14 166.67 -0.97 1.76 - - A-GBP (H) 07.21.14 102.21 -0.70 1.72 - - B-CHF (H) DIS 07.23.14 99.07 -3.31 1.32 - - B-EUR DIS 07.21.14 100.42 -2.50 1.76 - - B-GBP (H) DIS 07.21.14 100.79 -2.09 1.72 - - I-EUR 07.21.14 102.71 -0.56 1.97 - - EDMOND DE ROTHSCHILD FUND - US IG CORPORATE BONDS A-USD 07.21.14 184.36 0.64 1.82 - - B-USD DIS 07.21.14 134.79 -0.90 1.82 - - I-USD 07.21.14 102.89 1.06 2.03 - - EDMOND DE ROTHSCHILD FUND - SIGNATURES EURO HIGH YIELD A-CHF 03.10.16 - - - - -

A-EUR 07.02.15 - - - - - A-USD (H) 07.02.15 - - - - - B-EUR DIS 07.02.15 - - - - - I-EUR 07.02.15 - - - - - J-EUR DIS 07.02.15 - - - - - N-EUR 07.02.15 - - - - - O-EUR DIS 07.02.15 - - - - - R-EUR 07.02.15 - - - - - EDMOND DE ROTHSCHILD FUND - RETURN PLUS A-CHF 02.03.15 96.08 -3.88 - - - A-EUR 02.04.15 96.94 -3.19 - - - A-USD 02.10.15 97.95 -2.43 - - - B-CHF DIS 02.06.15 96.24 -3.86 - - - B-EUR DIS 02.10.15 97.27 -3.14 - - - B-USD DIS 02.10.15 98.00 -2.38 - - - D-CHF 16.03.15 96.03 -3.79 - - - E-CHF 01.22.15 96.34 -3.66 - - - E-EUR 01.22.15 97.33 -2.90 - - - E-USD 08.21.15 99.75 -0.25 - - -


Performances are historical and are not necessarily an indication of present or future results, they do not include redemption or

subscription’s commissions and fees.

12

INFORMATION TO THE INVESTORS IN SWITZERLAND (Unaudited) (continued)

Performances of the Sub-Funds distributed in Switzerland:

Sub-Funds Classes of Shares Date of

launch

N.A.V. as

at 03.31.16

2016

in %

2015

in %

2014

in %

2013

in %

EDMOND DE ROTHSCHILD FUND - INCOME EUROPE A-EUR 12.31.13 110.20 -1.64 7.41 - -

B-EUR DIS 12.31.13 102.31 -5.77 4.10 - -

C-EUR 02.01.16 - - - - -

IA-EUR 12.31.13 111.73 -0.97 7.79 - -

ID-EUR DIS 12.31.13 106.69 -2.58 4.49 - -

EDMOND DE ROTHSCHILD FUND - PREMIUMSPHERE A-EUR 10.08.14 146.51 -19.87 - - -

A-USD 10.08.14 117.38 -15.19 - - -

B-EUR DIS 10.08.14 133.15 -19.25 - - -

I-EUR 10.08.14 133.68 -19.05 - - -

J-EUR DIS 10.08.14 133.29 -19.81 - - -

K-EUR 10.08.14 147.37 -18.73 - - -

R-EUR 10.08.14 115.06 -20.15 - - -

EDMOND DE ROTHSCHILD FUND - SELECTIVE EUROPE A-EUR 10.08.14 202.18 -18.09 - - -

A-USD 10.08.14 95.86 -13.07 - - -

B-EUR DIS 10.08.14 113.05 -19.61 - - -

C-EUR 02.01.16 - - - - -

I-EUR 10.08.14 21,290.36 -17.22 - - -

J-EUR DIS 10.08.14 120.61 -18.60 - - -

K-EUR 10.08.14 148.46 -17.48 - - -

L-GBP 10.08.14 0.94 -8.74 - - -

R-EUR 10.08.14 146.58 -18.43 - - -

EDMOND DE ROTHSCHILD FUND - EUROPE SYNERGY A-EUR 01.21.16 - - - - -

A-USD 01.21.16 - - - - -

B-EUR DIS 01.21.16 - - - - -

C-EUR 01.21.16 - - - - -

I-EUR 01.21.16 - - - - -

J-EUR DIS 01.21.16 - - - - -

K-EUR 01.21.16 - - - - -

L-GBP 01.21.16 - - - - -

N-EUR 01.21.16 - - - - -

O-EUR DIS 03.30.16 - - - - -

R-EUR 01.21.16 - - - - -

R-USD 01.21.16 - - - - -

EDMOND DE ROTHSCHILD FUND - EUROPE VALUE&YIELD A-EUR 01.14.16 - - - - -

A-USD 01.14.16 - - - - -

B-EUR DIS 01.14.16 - - - - -

I-EUR 01.14.16 - - - - -

J-EUR DIS 01.14.16 - - - - -

L-GBP 01.14.16 - - - - -

N-EUR 01.14.16 - - - - -

O-EUR DIS 01.14.16 - - - - -

R-EUR 01.14.16 - - - - -

R-USD 01.14.16 - - - - -

EDMOND DE ROTHSCHILD FUND - GLOBAL EMERGING A-EUR 02.05.16 - - - - -

A-USD 02.05.16 - - - - -

B-EUR DIS 02.05.16 - - - - -

C-EUR 03.23.16 - - - - -

I-EUR 02.05.16 - - - - -



13



N.A.V. as at 03.31.16

2016 in %

2015 in %

2014 in %

2013 in %

EDMOND DE ROTHSCHILD FUND - GLOBAL EMERGING J-EUR DIS 02.05.16 - - - - - K-EUR 02.05.16 - - - - - R-EUR 02.05.16 - - - - - R-USD 02.05.16 - - - - - EDMOND DE ROTHSCHILD FUND - US VALUE & YIELD A-EUR 01.20.16 - - - - - A-EUR (H) 01.20.16 - - - - - A-USD 01.20.16 - - - - - B-EUR DIS 01.20.16 - - - - - I-EUR 01.20.16 - - - - - I-EUR (H) 01.20.16 - - - - - I-USD 01.20.16 - - - - - J-EUR DIS 01.20.16 - - - - - J-EUR(H) DIS 01.20.16 - - - - - K-EUR 01.20.16 - - - - - L-GBP 01.20.16 - - - - - N-EUR 01.20.16 - - - - - N-USD 02.22.16 - - - - - R-EUR 01.20.16 - - - - - R-USD 01.20.16 - - - - - EDMOND DE ROTHSCHILD FUND - EUROPE FLEXIBLE A-EUR 01.21.16 - - - - - B-EUR DIS 01.21.16 - - - - - I-EUR 01.21.16 - - - - - J-EUR DIS 01.21.16 - - - - - K-EUR 01.21.16 - - - - - EDMOND DE ROTHSCHILD FUND - GLOBAL HEALTHCARE A-EUR 07.02.15 - - - - - A-USD 07.02.15 - - - - - I-EUR 07.02.15 - - - - - K-EUR 07.02.15 - - - - - R-EUR 07.02.15 EDMOND DE ROTHSCHILD FUND - GLOBAL VALUE A-EUR 07.09.15 - - - - - A-USD 07.09.15 - - - - - B-EURDIS 02.20.16 - - - - - C-EUR 07.28.15 - - - - - I-EUR 07.09.15 - - - - - K-EUR 07.09.15 - - - - - N-EUR 07.09.15 - - - - - R-EUR 07.09.15 - - - - - EDMOND DE ROTHSCHILD FUND - INFRASPHERE A-EUR 02.05.16 - - - - - I-EUR 02.05.16 - - - - - K-EUR 02.05.16 - - - - - R-EUR 02.05.16 - - - - - EDMOND DE ROTHSCHILD FUND - CHINA A-AUD 06.25.15 - - - - - A-EUR 06.25.15 - - - - - A-RMB (H) 07.03.15 - - - - - A-USD 06.25.15 - - - - - C-EUR 06.25.15 - - - - - I-EUR 06.25.15 - - - - -



14



N.A.V. as at 03.31.16

2016 in %

2015 in %

2014 in %

2013 in %

EDMOND DE ROTHSCHILD FUND - CHINA J-EUR DIS 06.25.15 - - - - - K-EUR 06.25.15 - - - - - R-EUR 06.25.15 - - - - - R-USD 06.25.15 - - - - - EDMOND DE ROTHSCHILD FUND - GLOBAL DATA A-CHF 08.31.15 - - - - - A-EUR 08.31.15 - - - - - A-USD 08.31.15 - - - - - C-USD 11.12.15 - - - - - I-EUR 08.31.15 - - - - - I-USD 08.31.15 - - - - - N-EUR 08.31.15 - - - - - R-EUR 09.24.15 - - - - - EDMOND DE ROTHSCHILD FUND - QUAM 5 A-CHF 01.21.14 115.00 -4.79 5.97 - - A-EUR 01.21.14 137.20 -3.93 7.80 - - A-USD 01.21.14 138.25 -3.28 7.06 - - B-CHF DIS 01.21.14 100.25 -8.43 5.95 - - B-EUR DIS 01.21.14 105.61 -7.81 7.79 - - B-USD DIS 01.21.14 104.83 -7.00 7.05 - - D-EUR 01.21.14 127.04 -3.53 8.07 - - D-USD 01.21.14 105.21 -3.35 7.35 - - E-EUR 01.21.14 103.93 -3.19 6.08 - - E-CHF 02.04.15 96.11 -4.36 - - - E-USD 06.01.15 98.32 -1.66 - - - R-EUR 01.21.14 104.40 -3.96 7.52 - - EDMOND DE ROTHSCHILD FUND - QUAM 7 A-EUR 03.22.16 - - - - - E-EUR 03.22.16 - - - - - EDMOND DE ROTHSCHILD FUND - QUAM 10 A-CHF 01.21.14 123.79 -11.79 5.87 - - A-EUR 01.21.14 154.53 -10.84 6.95 - - A-USD 01.21.14 164.43 -10.84 6.41 - - B-CHF DIS 01.21.14 117.77 -14.37 5.86 - - B-EUR DIS 01.21.14 146.41 -13.98 6.95 - - B-USD DIS 01.21.14 157.32 -13.43 6.40 - - D-CHF 01.21.14 116.42 -11.22 6.04 - - D-EUR 01.21.14 116.04 -10.37 7.16 - - D-USD 01.21.14 99.66 -10.22 6.59 - - E-CHF 01.21.14 121.65 -10.94 6.17 - - M-EUR 06.22.15 92.69 -7.82 - - - R-EUR 01.21.14 98.12 -11.35 6.75 - - EDMOND DE ROTHSCHILD FUND - QUAM 15 A-CHF 01.21.14 105.22 -18.34 9.69 - - A-EUR 01.21.14 139.48 -17.29 10.51 - - A-GBP 01.21.14 95.06 -17.65 10.56 - - A-USD 01.21.14 146.89 -17.15 10.20 - - B-CHF DIS 01.21.14 86.85 -18.43 9.68 - - B-USD DIS 01.21.14 90.65 -17.29 10.23 - - D-CHF 01.21.14 111.80 -18.93 10.04 - - D-EUR 01.21.14 104.45 -16.87 10.29 - - E-CHF 01.21.14 87.37 -18.74 0.25 - - E-EUR 01.21.14 122.69 -16.66 10.85 - - EDMOND DE ROTHSCHILD FUND - QUAM SUSTAINABLE 10 A-EUR 01.31.14 103.63 -6.40 1.35 M-EUR 01.31.14 102.64 -6.04 -1.33

NB: Performances for all shares opened during the year under review are not disclosed because their performance is not relevant.


15

REPORT ON THE ACTIVITIES OF THE SICAV

Edmond de Rothschild Fund - Euro Government Bonds Mid Term Due to interest of economic efficiency in the management of the Sub-Funds, the Company’s board of directors has decided to merge the sub-fund Euro Government Bonds Mid Term (the Merging Sub-Fund) and Euro Long Duration Govt Bonds (the Receiving Sub-Fund).

The Merger took place on 16 December 2015 (the Effective Date) on the basis of the net asset values of the respective Sub-Funds dated 15 December 2015 and determined on 16 December 2015.

Edmond de Rothschild Fund - Euro Long Duration Govt Bonds In the eurozone, the persistent weakness of inflation throughout the year continued to bolster expectations of action by the ECB and led it to act, while the fall in inflation intensified due in particular to a drop in oil prices. Following the previous programmes for ABS and covered bonds, the sovereign bond purchase programme, amounting to monthly purchases of €60 billion, brought rates for European government bonds to their lowest levels since the programme was first implemented in March 2015. In September, the ECB toughened its stance by declaring itself ready to focus on unconventional measures if necessary, supporting this stance by deciding to increase its maximum holding in a security from 25% to 33%. In December, the ECB extended the end date for its monthly purchases to March 2017 and reduced the deposit rate by a further 10bp to -0.3%, while maintaining the refinancing rate at 0.05%. These measures were deemed disappointing after the expectations created by Mario Draghi’s previous statements. In March, the ECB extended its quantitative easing measures by increasing its monthly purchases from €60 billion to €80 billion and expanding the programme to cover corporate bonds. The central bank also lowered its key interest rates by 10 bps on its deposit rate and by 5 bps on its refinancing rate, taking them to -40 bps and 0%, respectively. It also announced a new long-term refinancing programme for banks at more attractive rates. After taking the international climate into account and with the poor outlook for inflation in mind, the Fed maintained the status quo in September before eventually raising its rates by 25 bps in December. The same reasoning resulted in its remaining cautious and not intervening at the end of the financial year. On the political front, despite the election of the radical left sparking a fresh round of fraught negotiations and a referendum that rejected the measures imposed on Greece in exchange for European assistance, the reaction on peripheral rates excluding Greece, which were protected by the measures in place, remained moderate. A compromise was eventually found and new elections in September enabled the formation of a parliamentary majority in favour of the European plan as Syriza’s victory saw it stripped of its anti-troika wing. By the end of the year, the removal of these key uncertainties enabled Greek rates to post performances markedly above those seen by other eurozone countries. In Spain, regional elections, the debate on independence in Catalonia and the split in Spanish public opinion between four parties during the legislative elections at the end of the year, notably with the breakthrough of the Podemos party, all made the formation of a new government an impossible task. In Portugal, elections led to the formation of a coalition, hitherto unseen in the country, between the centre-left and the parties on the radical left. These events dampened the performance of rates for the Iberian Peninsula, with both peripheral rates and central European rates underperforming over the year. Conversely, the absence of political elections as well as ongoing reforms, particularly to Italy’s labour market, bolstered Slovenian and Italian rates to outperform eurozone rates on rates below 10 years. Nevertheless, all European rates in excess of 15 years saw the rates widen, with the curve steepening: German rates narrowed by 25, 28 and 21 bps and widened by 22 bps on 2-year, 5-year, 10-year and 30-year maturities compared with a narrowing of 31, 40 and 21 bps and a rise of 26 bps on Italian rates. With the exception of 2-year rates, US rates outperformed European rates, narrowing by 11, 32 and 30 bps on 2-year, 5-year and 10-year maturities while rates on 30-year issues increased by 6 bps.


16

REPORT ON THE ACTIVITIES OF THE SICAV (continued)

Edmond de Rothschild Fund - Euro Long Duration Govt Bonds (continued) Throughout the year, Long Duration overweighted peripheral interest rate investments and underweighted investments in core rates, favouring Italy over Spain. The Fund began the financial year with its duration aligned with that of the index, with European rates hitting a low in mid-April before bouncing back sharply in June. The Fund therefore took profits on Slovakian and covered bonds and fared better during this period of rising rates, favouring the most sensitive issuers with the greatest liquidity. The Fund increased its exposure to short rates at the end of May and then strengthened its exposure to European maturities while boosting its sell-side exposure to US maturities. This was before a summer period marked by technical flows favourable to the European rate markets. In the second half of the year, the Fund made shifts into agencies and local authorities, particularly French and German, took profits on its Irish exposure in advance of the risks associated with Brexit, and profits on Spain when the ECB took action in March and before the Spanish legislative elections. Profits over the duration were made at the end of the financial year, at a level below that of the index. Between 31/03/2015 and 31/03/2016, I and A units of EdR Fund Long Duration achieved performances of -2.42% and -2.90%, respectively compared with -1.34% for the index, Barclays Euro Treasury AAA-AA +10 years. Edmond de Rothschild Fund - Convertible Europe All Caps In March, Deutsche Post’s poor earnings were a boon to us. The stock has declined over 4% during over the month and we remained significantly under-exposed as we reckon it was fully valued. Outokumpu has continued its rodeo, at the moment it is by far the most successful issue in Europe. With the imposition of customs tariffs on stainless steel imports from China and Taiwan, the Finnish company has regained its highly competitive edge and accelerated its deleveraging. The new face at the head of Indra’s management team was roundly welcomed by the market. This new CEO is a credible asset with which to open a new page. The next earnings reports will be posted in May and the company will release a new development plan in June. We will be looking closely at how management maximises its free cash-flow and working capital, which is very expensive at the moment. This time our German real estate underweighting has paid off (Deutsche Wohnen). The convertible bonds are no longer convex, and they’re too risky for us. Siemens has warned that the drop in oil prices will have a negative impact on its business. Our positions cost us 13 bps. Meanwhile, we are not changing our defensive stance. Our sensitivity is leveling out at around 30% while the index touched 45% at the beginning of April. We believe that the equity market has climbed too quickly. Accordingly, we have not hesitated to take our profits on convertible bonds with convexity that no longer looks attractive, such as Aabar Daimler and STMicroelectronics. Also, we significantly reduced our options positions, taking the profits on our bank exposure (Société Générale, Calyon, BNP) and on Kering plus Faurecia.. All our bond exposure on Quick has been sold, and we have taken part in the new bond issues for Faurecia, ACS and Prysmian. The new issues launched by Telecom Italia and Aabar UniCredit proved disappointing. We are waiting for a more promising opportunity to position ourselves more aggressively. Summer coming, investors began cashing-in their profits after an acceleration in stock market gains towards the month’s end. With the corporate reporting season reaching its end, talks with Greece dragging on laboriously, interest rates set to rise in the United States, and upcoming elections in the United Kingdom — investors were confronting events that bring volatility and undermine confidence. Meanwhile, we maintained our defensive bias. It is still our belief that the equity market has risen too far and too quickly, given the ongoing uncertainties impacting growth in the euro zone, in particular. We have nevertheless continued to take our profits on positions such as Indra Sistemas, St Modwen and Deutsche Post. Also, we took advantage of the announcement of a merger between Nokia and Alcatel to build a position by buying call options on Nokia stock, which should benefit considerably. Meanwhile, we seized on a dip in Outukumpu stock, in the wake of its profits warning, to strengthen our position. We reckon the progress mentioned by its management will show through in the second half of the year. The macroeconomic environment in Europe is improving. Confidence indicators are climbing once again, particularly in countries like Spain and Italy. Inflation forecasts, which are also climbing gradually, show deflationary risk to be receding. Could the ECB’s Quantitative Easing programme already be having an impact? The equity market has continued to climb. But the credit market, meanwhile, has shown no sign of excitement even though long-term rates in Germany and France have recovered significantly. Everything suggests that lasting economic growth could return to Europe. We agree with this scenario, despite dark clouds on the horizon — with Greece as the main risk. At any rate, we have taken advantage of the equity market weakness to increase fund sensitivity to equities by investing in names such as Allianz, Generali, Saint-Gobain, Philips, Intesa, Repsol, Iberdrola and Deutsche Post. Meanwhile, we have sold our Capgemini options as we reckon the stock reached its target price on the news that it intended to buy Igate. Nokia has been strengthened given the positive outlook we have on its merger with Alcatel. The profile offered by new convertible bonds issues such Haniel Metro and Telecom Italia has not aroused great interest. However, we reckon their underlying assets offer timely exposure to the European market, which is why we bought them in the form of options. Also, we have steered clear of taking excessive bond duration risk. The positions in


17


Edmond de Rothschild Fund - Convertible Europe All Caps (continued) Indra and Outukumpu were strengthened on showing some weakness. On the primary market, we took part in Ablynx (biopharmaceuticals) and Europcar’s new issue. Although our equity exposure has been increased, we remain conservative after what might have been too rapid a climb on the equity market. So we are still waiting for a better opportunity to reposition more strongly on these markets. The Greek situation dominated July with the ‘No’ campaign’s victory in the referendum on July 5, and volatility tracking negotiations with the country’s creditors. The final accord on the bailout package and its approval by parliament in Athens has freed investors to refocus on central bank monetary policy and China’s stock melt-down. Greek risk nevertheless remains high because Germany’s parliament may not support the bailout without the IMF, which has been reluctant to join the bailout. Looking at European corporate fundamentals, solid second quarter earnings reports have confirmed the improved business outlook. On the macroeconomic front, Germany’s IFO index turned out better than expected and Spain’s GDP posted its largest quarterly hike since 2007. In the second half of July, we started gradually reducing equity sensitivity by selling convertibles on CA/Eurazeo, STM and GBL, which have become too pricey. The options positions on DPW, Axa, Banca Intesa and Generali were also pruned following a rebound in their underlying securities. What’s more, we cashed in some of our profits on Sainsbury, Iberdrola and Novafives. Our strategy on Telecom Italia has been changed so that we are now positioned short on call options to take advantage of the momentum potential. On the primary market we took part in the Steinhoff, Beni Stabili and Verallia issues. We also bought cover to limit volatility against tail risk on Greece and China. Given a potential spike in volatility around August 20, the next key date for the Greek accord, we are adopting a more defensive strategy. We expect the primary market to lose some momentum over the summer, with a rebound in early autumn if the news-flow is positive. On the equity markets, August was particularly agitated. An unexpected devaluation of the yuan led to new fears of a slowdown in China, taking place the day after the disappointing statistics were published. Markets remained under pressure with a strong swing to risk-off towards the month end, with uncertainty over world growth and the ongoing correction of commodity prices leading to a massive sell-off across the asset class spectrum. The Chinese authorities’ intervention and the publication of positive economic numbers in Europe and the United States helped mitigate investor sentiment, but were not sufficient to fully restore confidence. Since February, we have gradually reduced equity sensitivity, at a cost to performance in March-April. However, this conservative approach together with the provision of cover enabled the portfolio to weather the storm in August. We sold our position on Folli Follie, so we no longer have any exposure to Greece. Our options strategy on Nokia, Telecom and VW were changed by selecting more attractively profiled calls. We have kept a wary eye on Ingenico’s M&A moves given in a possible increase in leveraging if it makes a major acquisition, recalling that we did not take part in June’s convertible issue. We are positive on European equity markets, given their strong fundamentals. However, we have remained underexposed to the market, with our equity sensitivity at 23.27% against the benchmark’s 32.97%. We have remained conservative given the uncertainty linked to Chinese growth, the timing of the Federal Reserve’s rate hike and the unstable political situation in Greece. And we cannot rule out further correction in the months ahead. Markets remained very agitated in September, penalised by the Federal Reserve’s decision to delay a rate hike in the United States. This option was chosen amid concerns about inflation levels, global growth and the recent hike in volatility due to China’s devaluation of its currency, and the uncertainty created on emerging markets. Given this climate, European stocks lost more than 5% over the month and credit spreads widened. Convertible bonds have continued to post a positive performance since the beginning of the year, despite our benchmark dipping -26 bps in September. New issues have become rare on the European market, with just $1.6 billion issued in September (against $4.4 billion the previous September). Valuations are still holding up, in contrast to the significant drop in the emerging regions. We took advantage of September’s market correction to adjust portfolio sensitivity while remaining underweighted against the benchmark. We strengthened our options positions on Adidas, Metro, Kering, Iberdrola, Telecom Italia and Crédit Agricole. The position on Alcatel was sold to take advantage of the option before the deal with Nokia closed. Meanwhile, we switched from Nexans 2016 to Nexans in 2019 in order to monetise the option. Cash from new subscriptions has been used to strengthen the positions on Rag-Stiftung, Salzgitter, Steinhoff, Unibail-Rodamco, Capegemini, Telenet Finance, Ageas, Amorim, Indra and CNP Assurances. We remain positive on the European market, given the stabilisation seen in business surveys and the ECB’s accommodating discourse. However, faced with the uncertain outlook for global growth, as well as the timing of the Fed’s rate hike, we are maintaining our defensive positioning to hedge against market volatility and take advantage of any potential new entry points.


18


Edmond de Rothschild Fund - Convertible Europe All Caps (continued) October offered more visibility on central bank monetary policy. The ECB maintained its highly accommodating tone, and US Federal Reserve chair, Janet Yellen, meanwhile, showed more confidence in the domestic economy, which makes a rate hike this year more likely. This clarification and easing concerns about emerging economies allowed both equity markets (+7.3%) and credit markets (-20 bps for investment grade, -78 bps for high yields) to rebound in October. To limit our portfolio volatility we remained under-exposed to the equity markets, which explains why we underperformed the benchmark. We took part in the BIM/Elior exchangeable issue on the primary market. Meanwhile, selected positions were strengthened to maximise the portfolio’s carry including CNP Assurances, Sainsbury’s, Telenet Finance, Orpea, Pierre & Vacances, Acciona, Nexity, La Caixa, Horizon Holdings and Sogefi. The position in Sonae Investments was also strengthened ahead its quarterly results. A new position was initiated in Rallye/Casino (after publication of Casino’s positive earnings) and in Wereldhave (to benefit from the European real estate rebound). On the other hand, we took advantage of the residual option value of the Alcatel convertible bonds to liquidate the position. The Siemens 2017 convertibles (with implied volatility at 31 points), which we considered expensive, were exited to invest in an equivalent 2017 option with implied volatility at 21.5 points. In addition, we cashed in some of our profits on Kering and Adidas, reducing their respective options positions. We have kept our investment approach conservative. And, in order to control portfolio volatility, we have remained equity under-exposed and ready to protect the portfolio with hedging. It was the monetary policy of major central banks that once again focused the minds of investors in November. The ECB expressed concerns about the level of inflation in the euro zone, with markets now anticipating a cut in the deposit rate and a possible extension of the quantitative easing programme. We also noted the publication of reassuring numbers in Europe, with PMI manufacturing and services showing growth, and the IFO index in Germany improving significantly. The US Federal Reserve could well raise its key rate in December. The primary market for convertible bonds has finally reopened after months of lack-lustre activity. During November, we took part in new issues for IAG, Iren/Torino, Vodafone, Brenntag and Iberdrola (instead of calls on the latter). We strengthened the calls on ING, and synthesized the Accor convertible. Given our confidence in the Nokia / Alcatel merger, we re-struck our options position on Nokia upwards, enabling us to cash in the profits while maintaining exposure to the group. We also switched the exercise price on our Allianz calls. What’s more, we bought Telecom Italia calls with strike at 1.25, by selling those with strike at 1.2 to monetise the volatility. On the other hand, we reduced our options positions on UCB, Kering and Metro. Instead, we have remained positive on equity markets in Europe and the United States, while maintaining a conservative approach. It is likely that a new wave of primary issues will follow if the market confirms its positive trend. Equity markets closed on a negative note at the end of 2015, while convertible bonds continued to perform as expected, cushioning this decline well. Over the year, European convertibles managed to capture all of the stock market’s upside, with much less volatility. This performance was due to a number of M&A deals in the real estate sector such as Deutsche Wohnen and Leg Immobilien. There was also a buying frenzy around the Telecom Italia 2022 convertible (which reached €2 billion on issue) in the wake of merger rumours with Vivendi or Orange, and of Iliad founder, Xavier Niel, buying into the capital. Short supply on the primary market and redemptions also explain the convertible bond market’s solid performance, which led investors to rely on existing financial instruments. We took the profits on our Beni Stabili 2019 to invest in its 2021 convertible, offering a more varied profile. Some of our profits on the Orpea convertible were also cashed in, as it had become too sensitive to the underlying security. Earlier this month we strengthened our position on the Rallye Casino exchangeable. We reckon that the yield levels it has reached have made it a buy opportunity once again. Also, we think 2016 will prove positive for European stock markets, especially in the euro zone, where companies should benefit from the euro’s decline and falling commodity prices. Accordingly, we have unwound all our equity market cover. Given this climate, the consumption, investment and credit pumped into the economy are expected to remain high. The primary market slumped sharply in the second half of the year and is likely to show more vigor next year. Global stock markets opened 2016 down sharply amid an oil price collapse and fears of a global slowdown in growth. The market for equity and credit accordingly closed January 2016 in the red. Only government bond rates tightened in a global wave of flight-to-quality. ECB chief Mario Draghi announced that the Bank might well take new measures to inject more liquidity into the economy. He said the ECB had the power, the desire and the determination to act, and that there was no limit on this. Looking at the US Federal Reserve, the market now believes there will only be one rate hike in 2016. In Japan, a debate was launched on the likelihood of new monetary-easing measures being introduced. Our conservative bias in 2015 enabled us to seize investment opportunities and get further into the black on the equity markets. We raised our equity sensitivity through call options on Philips, Deutsche Post, Telecom Italia, Metro, Ferrovial, ING, Generali, Nokia, STMicroelectronics, Crédit Agricole and Kering. In the convertibles compartment we continued to invest in Basilea, a Swiss biopharmaceutical that we reckon could become a tempting target. Meanwhile, we reduced Acciona and Orpea which had


19


Edmond de Rothschild Fund - Convertible Europe All Caps (continued) become too equity sensitive. Among the convertible instruments we found attractive, we have continued to strengthen BIM Elior, Vodafone, Brenntag, Rallye Casino and Brait. In the real estate compartment we arbitraged convertibles on British Land and Beni Stabili. We took part in Safran’s new issue since we are confident in the underlying equity. Then, at the month end we sold both IAG convertibles, which were showing too high a premium. Given that we reckon the equity market could rebound over the short term, we raised our equity exposure. February was mixed, with high volatility and two distinct market phases: (1) First, a negative trend until February 11, marked by a risk-off wave and a flight-to-quality phenomenon that was positive for so-called ‘safe haven’ stocks such as US and German government bonds, as well as gold. The main reason given was concern over banking stocks, which have reached levels close to those seen in the 2012 crisis. (2) The second fortnight saw a strong rebound by risky assets. This turnaround was based on renewed support from the PBoC’s governor for China’s economy and currency; a possible move towards an oil production cap by Opec countries; accommodating statements by members of the ECB, hinting at a new tide of measures from March 10; plus better numbers on the US economy. At the political level, the risk of a Brexit has become more significant, given the decision of London’s popular mayor, Boris Johnson, to support it. Meanwhile, we found that stock and convertible valuations have once again become attractive at around 2,700 points on the Euro Stoxx 50. In the fund, we have begun to take on some risk, for example in re-striking call options (on Nokia, Telecom Italia, and Deutsche Post). Convertible Europe All Caps has not invested in LVMH’s new convertible because we would rather focus on issues with a more dynamic profile, like the Buzzi Unicem convertible. We have paired our Faurecia bonds with call options on the same underlying security. At the month end, we cut back on Air France and Nexans convertibles, in the wake of their strong rally. EdR Convertible Europe All Caps posted a return of over 3%. The financial market rebound continued in March, in a climate that has remained highly volatile. Accommodating arguments made on both sides of the Atlantic by Fed chair, Janet Yellen, and ECB chief, Mario Draghi, made a positive contribution to the market recovery. The ECB has taken a number of measures such as cutting all its rates, increasing its asset repurchasing programme by €20 billion per month, broadening the pool of eligible securities to include non-financial corporate debt (rated investment grade) and adding four new TLTROs. These are should all contribute to a positive credit performance in the euro zone in the months ahead, in a historically low interest rate environment. The US Federal Reserve, meanwhile, is now anticipating two rate hikes in 2016 and moving towards gradual normalisation in monetary policy. The uncertainties regarding global growth have been offsetting the improvement on the US labour market and higher inflation forecasts. One result has been a weaker dollar, a supporting factor for commodity prices. Oil has accordingly recorded a gain of some +50% since its low. In Japan, while the market picked up, there are still concerns focusing on currency trends. Back in Britain, the leading sources of market concern have continued to crystallise around the impending Brexit referendum. We have reduced a number of positions to limit our overall equity sensitivity (Nexity, Indra Sistemas, Soitec, Adidas, Philips, Kering, Rallye Casino and Cap Gemini). In addition, we have sold the Solidium Sampo exchangeables that have lost their allure to invest in GrandCity, which could benefit from its better credit situation. In much the same vein, we sold the La Caixa exchangeable to take a position on the STM 2019, which we reckon has been underestimated by the market. Edmond de Rothschild Fund - Europe Convertibles (from February 2, 2016 (commencement of operations) to March 31, 2016) As this Sub-Fund was launched at the end of the year under review, there are no relevant events. Edmond de Rothschild Fund - Global Convertibles (from February 2, 2016 (commencement of operations) to March 31, 2016) As this Sub-Fund was launched at the end of the year under review, there are no relevant events.


20


Edmond de Rothschild Fund - Global Convexity The US equity market fell by 2.85% in January as it suffered from the effects of profit-taking and the increasing strength of the dollar against the euro. Against this backdrop, the MSCI Global rose only slightly, by 0.33%. However, US convertibles performed well, as the loss was kept to just 0.5% over the period (TR US convertible). In Europe, the convertible bond market rose sharply, by 3.5%, and the equity market performed similarly well, increasing by 3.9% (MSCI Europe). Global Convexity benefited from its positioning in this area due to the rise in certain stocks such as STMicroelectronics, Foncière des Régions and Air France. In Japan, Teijin took over from Toray, which we had sold in the previous month, with a solid performance of over 9% from the underlying. Our positioning in Suez Environnement (convertible bonds and options) benefited from the surge in all high-yield securities that are coveted for their attractive dividends compared with low bond yields, a trend that can no doubt be explained by the commencement of the quantitative easing initiated by the ECB. We sold our call options on the security as we considered that it had reached its target valuation. We introduced an option position in Capital One. The US bank should benefit from the increased consumption that we expect to see in the United States. When opportunity allowed, we strengthened our position in Ford for that very same reason. The end of the month saw us take a more cautious stance, reducing our exposure to equities slightly. We sold our Folli Follie bond so that we were no longer directly exposed to Greece. The announcement of quantitative easing by the ECB was the main contributing factor to the positive performance of financial assets. Equity markets and high-yield and convertible bond markets continued their meteoric rise in February following the agreement with Greece and the hope of an impact from the ECB’s expansionist monetary policy. In Europe, we believe that the rise in the equity market reflects the drop in oil prices and the fall of the euro against the US dollar. However, economic growth in the eurozone would need to accelerate sharply for hopes of continuing positive share performance to persist. The Crossover index also took note of this good news, returning to the lows of 2014 at around 260 bps. Performance was just as impressive in the United States and Japan, with increases of 5.75% for the S&P 500 and 6.41% for the Nikkei. Against this backdrop, we felt it was prudent to reduce equity exposure by selling our options on the Nikkei. The Japanese primary market was also very dynamic, with convertible bonds issued by Japan Airport, Chugoku and Toyosa, all of which we bought into. We also bought into the issue from European specialist steel manufacturer Outokumpu. At the start of the month, we took a tactical position by purchasing call options on banks such as BNP, Société Générale and Crédit Agricole, as we felt that the underperformance of the banks was disproportionate to the market. We added a position in AXA at the same time and took our profits on Ford. We took advantage of the opportunity to invest in the Siem Subsea exchangeable and the Yandex convertible bond. In March, we opportunistically bought into several primary offerings: Prysmian, Faurecia, ACS and Whiting Oil. We quickly took our profits on Whiting Oil, collecting just over five points. At the start of the month, we made the call that the equity market had reached high valuation levels. We reduced or sold a number of positions such as Foncière des Régions, STMicroelectronics, Alcatel, Outukumpu and Larsen & Toubro as convertibles were no longer quite as mixed. The NXP and Horizon Pharma convertibles were also sold off following mergers that created significant value. In the previous month, we had introduced a position in banking securities, with some call options on BNP, Crédit Agricole and Société Générale. We felt that these positions had achieved their objectives and therefore sold them all. The sales of Pages Jaunes and Gestamp high-yield bonds were offset by purchases of convertible bonds such as Solidium Telia, Interdigital and The Medicine Company, and call options on Ford, Micron and Capital One. We had no exposure to SanDisk, which fell following a profits warning. We kept a mainly European allocation as opportunities on both credit and equities continued to be clear to us. The weakness of the euro and the fall in commodity prices gave European consumers a shot in the arm. The second quarter of the year was marked by the growth of several industrial convertible positions in China, which performed exceptionally well during April. Among the underlying equities were names such as Shanghai Industrial, Yuexiu Transport, Beijing Enterprises and Kingsoft, which posted performances of between +15% and +30%. We reacted fairly quickly to these movements at the end of the period, taking our profits on most of these positions. We believe that the rise in the Chinese market, just as with the European market, was perhaps too fast and was mainly motivated by a great deal of expectation that Chinese monetary policy would be eased. Part of what we sold was reinvested in the China Unicom convertible bond, which has a very attractive technical profile. However, the Chinese economy is noticeably slowing at present. HSBC’s PMI index also turned out lower than expected at the start of May. Yandex published its results online; they showed a significant decrease in the intensity of the geopolitical tensions in Ukraine, which gave the share price of the Russian Media Group the chance to bounce back. The announcement that Nokia was to repurchase Alcatel gave us the idea of positioning ourselves by purchasing call options on securities and we opportunistically returned to Outokumpu following results that were deemed disappointing by the market. Our investments were concentrated in a purchase of call options on Telecom Italia and in the introduction of a position in LinkedIn and SanDisk. We strengthened our position in Telsa.


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Edmond de Rothschild Fund - Global Convexity (continued) Over the course of the month, we gradually increased sensitivity to equities within our portfolio, particularly in Europe as we took advantage of market consolidation. We were not overly interested in the profile of new convertible bond issues such as Haniel Metro or Telecom Italia. However, we believe that their underlying instruments offer opportune exposure to the European market, which is why we purchased options rather than directly buying the convertible bonds. This allowed us to avoid taking too much bond duration risk. In the same vein, we invested in or strengthened several positions such as Allianz, Saint Gobain, Philips, CRM, Ford, Intesa, Repsol, Iberdrola and Deutsche Post. We invested in FireEye and T&D Holdings issues. Our worries about Greece prompted us to sell some peripheral positions such as Sacyr, OHL and Sonae in Spain and Portugal. We strengthened some convertible bonds that had convex profiles we liked, such as SanDisk, LinkedIn, Outukumpu and China Unicom. Although our exposure to equities is higher, we remain cautious after the equities market’s rise, which might have been too fast. We are still awaiting a more opportune window to return to the markets more directly. The Greek crisis continues to preoccupy all minds and is clouding very important issues such as the prospect of an interest rate hike in the United States, geopolitical tensions in Europe and the sudden collapse of the Shanghai stock exchange. The upcoming referendum on 5 July should finally give us the outcome to this tragedy. A “yes” vote by the people should logically lead to the fall of the government and the rapid conclusion of an agreement. If the opposite should happen, we could venture into unknown territory, but the European institutions will be able to continue discussions. We are still positive on European equities and have profited from opportunities in this bearish environment. We strengthened a number of option-based positions such as Iberdrola, Banca Intesa, AXA, Metro, Deutsche Post, Philips, Generali, Telecom Italia and Repsol. We also added two other securities in this selection, Volkswagen and Cap Gemini. The integration of IGATE should spur on the profitability of this French service company. We also bought into the Cap Gemini 2020 bond issue with a 1.75% coupon. We performed the same transaction with Atos and UCB by subscribing for the first time to the bond issue and buying call options. We still prefer option-based investments because European convertible bonds continue to present a slightly expensive profile. However, we did make some purchases of convertible bonds from STMicroelectronics and British Land. We did not buy into the last two European issues (Ingenico and Airbus) as their premiums were excessive and dividend restrictions made them unattractive. In the United States, we bought into ON Corporation’s primary issuance. We took profits on FireEye and Capital One. We began the early summer period with sensitivity at 29%, with this figure having been on the rise for a month due to all the investments we had made. The month was dominated by the situation in Greece, with the “no” vote coming out on top in the referendum. The final agreement on the Greek bailout plan and its approval by the parliament there allowed investors to turn their attention to the subject of the sell-off of Chinese equities and central bank monetary policies. Disappointing industrial results in China increased concerns over the Chinese economy, with its market having fallen by over 6% since the beginning of the month. However, investors were reassured, when the state staged a short-term intervention. In the US, an improved economic situation increased the likelihood of a rate hike by the Fed in September. However, at the meeting held from 28-29 July, Janet Yellen did not set out a strict timetable, emphasising that the Fed required further improvement before any rise. In the second half of the month, we began reducing equity sensitivity. We reduced our option-based positions on Deutsche Post, AXA, Iberdrola and Generali. We took advantage of the equities rebound in order to take some profits on IIDA Group Holdings, Novafives, Tesla, Yue Xiu, Sainsbury and SanDisk. We took profits on our position in convertible bond Illumina since the profile had become rather convex following a continuous increase of 20% on the share. We positioned ourselves on short calls for Telecom Italia to take advantage of the potential momentum. We bought into the primary issuances from Towa Pharmaceutical and Steinhoff. We also purchased hedging in order to contain volatility in the event of tail risk (Greece and China). We adopted a more defensive strategy as a result of a potential increase in volatility around 20 August, which was linked to the Greek agreement and uncertainties around the Chinese stock exchange and the Fed’s policy. We anticipate a less dynamic primary market during the summer period with recovery in early autumn in the event of favourable news. The month of August proved difficult for the equity markets. The unexpected devaluation of the yuan, following the publication of disappointing economic figures in China, increased investor concerns regarding China’s growth prospects. Growing uncertainty about the outlook for global growth and the ongoing fall in commodity prices exerted a great deal of pressure on all asset classes, leading to an acceleration in sales at the end of the month. The intervention of the Chinese authorities, the upward revision of US growth figures and the publication of better-than-expected confidence indices in Europe and the United States helped to improve market sentiment, but did not fully restore investor confidence. Overall, the Chinese equity market lost more than 11% from the beginning of July. The European and Japanese markets lost nearly 10% and 8% respectively, due to the preceding fundamentals-oriented valuation, while the US markets underwent a correction of 6%. Since February, we have gradually decreased our exposure to equities, and this slightly reduced our performance for March-April.


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Edmond de Rothschild Fund - Global Convexity (continued) However, this prudent approach, together with our hedging strategy, enabled the portfolio to withstand a tumultuous August. We remained underexposed to international equities, with low equity exposure in general. August saw us take profits on our position in Terumo. We took advantage of the market correction to strengthen our positions in Tesla, given its solid fundamentals and attractive risk-return profile. We also changed our options strategy on Nokia, Telecom Italia and VW, selecting call options with a more attractive profile. We continued to avoid taking positions in Abengoa, because of uncertainties relating to the company’s capital increase. As per our investment approach, we maintained a positive attitude towards developed markets and Europe in particular. However, we remained cautious, due to uncertainties surrounding China’s economic growth, the Fed’s timetable for interest rate hikes and the political instability in Greece, as we could not rule out the possibility of a correction in the equity markets. In September, global markets continued to be pegged back by the Fed’ s decision to postpone the US rate rise. This decision was taken against a backdrop of concerns regarding inflation levels, global growth and recent renewed volatility stemming from the devaluation of the Chinese yuan, as well as uncertainty around emerging markets. In this context, global shares lost 3.4% and credit spreads widened on the investment grade and high yield markets. In this environment, convertible bonds continued to post positive year-to-date performance, even though performance for the month of September was negative for most geographic regions. The market decreased in value somewhat, in particular in the emerging regions and Japan. Issues became scarce, with just US$5.7 billion worth of new issues this month on the convertible bond market (compared with US$14.4 billion in September 2014). This month, we took advantage of the market correction to increase the portfolio’s exposure while remaining underweight against the benchmark index, strengthening our options positions in Metro, Crédit Agricole, Kering, Ageas, Iberdrola, Nokia, Philips, CapGemini and Intel. We also strengthened our positions in Rag-Stiftung, Citrix, LinkedIn, Steinhoff and Telenet. We took positions in call options on JP Morgan, AIG and Wells Fargo, securities that we believe will benefit from strengthening interest rates in the United States and an increase in consumption and, therefore, credit volume. We took profits on Tesla, Xefin, DomusVi, Terumo and Unicharm (after buying into the primary issuance from the latter). We reduced our position in STMicro, given the slowdown in emerging markets and the uncertainty surrounding the potential restructuring of the digital segment. We took positions in ENI/SNAM due to their weak underlying. We also bought into the primary issuance launched by Shimizu (Japanese construction firm). However, in view of the uncertainty regarding the global growth outlook and the timing of the Fed's interest rate rise, we maintained our defensive position in order to guard against market volatility and to take advantage of any potential entry points. October offered better visibility of the central banks’ monetary policy. The chairman of the ECB, Mario Draghi, made a particularly conciliatory speech at the meeting held on 22 October, mentioning the possibility of new quantitative easing measures in December. However, the Bank of Japan, did not extend its asset purchase programme, confident that the Japanese economy would be able to manage on its own, despite the slowdown in emerging economies, without additional support from the monetary authorities. Meanwhile, the Chair of the US Federal Reserve, Janet Yellen, appeared to be more confident about the national economy and less concerned about emerging economies, increasing the likelihood of a rate hike later this year. This clarification of the central banks’ monetary policies, together with the easing of fears about emerging economies, helped the equity and credit markets to bounce back in October. Consequently, European equities rose by 7.3% and US equities by more than 8%, while the Japanese equities markets recorded a rise of 10.93% and emerging equity markets a rise of 5.45%. In order to limit the volatility of our portfolio, we remained underexposed to the equity market. We strengthened our positions in Telenet Finance, Allianz, Generali, Sogecap and NN Group this month, to maximise our portfolio’s yield potential. We bought into the convertible bond issue by Integrated Device Technology (IDTI) in the United States. However, we reduced certain positions following the credit market’s recovery in October, including ZF NA Capital, Air France and Cellnex. We also reduced our exposure to China Precious Metals, given the lack of visibility regarding the group and uncertainties surrounding its merger and acquisition activity. The call options on CRM were sold due to the group’s high valuation. We took some profits on Kering and Adidas, reducing their respective option positions. We also took profits on the performance recorded by Citrix and LinkedIn, whose share prices rose by over 11% following the announcement of solid quarterly results. Once more, the monetary policy of the central banks was a key concern for investors in November. The volatility of recent months seems to have had less impact on decision-making than the Federal Reserve’s new monetary policy, which will be announced at its next meeting. Against the backdrop of an upward revision in US GDP and the relative resilience of the domestic economy, the likelihood of a rate hike in December rose to almost 70%, from 30% in October. The ECB has less confidence in the European economy, particularly in regard to its inflation target. It is apparently prepared to use all the tools at its disposal to support the economy, including the possible extension of its programme of quantitative easing and a reduction in deposit rates. The primary convertible bond market finally opened up again after months of sluggish activity. During the month of November, we bought into new issues by Iberdrola, IAG, Tohoku, Vodafone and Brenntag. Our call options on Crédit


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Edmond de Rothschild Fund - Global Convexity (continued) Agricole and ING were consolidated, as were our positions in Steinhoff and British Land convertible bonds. New positions were taken in Iliad and Accor. We also changed the exercise price of our call options on Nokia and Allianz. We took advantage of the temporary weakness of the Brait convertible bond to introduce a new position in this security and purchased the America Movil/KPN exchangeable bond to strengthen our cyclical exposure to the eurozone. We also purchased the new Qualcomm call option, the day before the share price correction. In addition, we took profits on the SanDisk convertible bond and reduced our positions in Teijin and Terumo, replacing them with the Sony convertible bond, as the latter offers a more balanced profile. We reduced our positions in options on UCB, Metro, Adidas, JP Morgan and Wells Fargo. Conversely, we maintained our positive stance on the European and US equity markets, while continuing to take a conservative approach. A new wave of primary issuances is likely if the market continues to stabilise. The equity markets in Europe suffered a more severe downturn than in the United States following the decisions taken by the respective central banks at the start of month: the European Central Bank’s decision not to increase quantitative easing and the Fed’s long-awaited decision to increase interest rates. Several of our exposures in Europe suffered as a result, including the Steinhoff 2022 convertible bond and some options positions, such as those in Philips, Kering, Metro and Atos. Bond positions, such as those in CNP and ACS, were battered by tensions in Brazil on the one hand and uncertain election results in Spain on the other. In the United States, ARCC was also hit hard by the interest rate hike. However, we did benefit from our investments in Vodafone, which is rumoured to be in talks with Liberty Media about a possible merger. Generally speaking, the portfolio was not significantly impacted by the continued weakening in oil prices. We strengthened our position in DP World and our options positions in Telecom Italia. Next year could see a move towards a recovery in the sector. We also took a very opportunistic approach with Rallye Casino, investing in its exchangeable bond after a report published by a controversial US activist sent the Casino and Rallye securities into freefall. The exchangeable bond offers in excess of a 10% yield on the 2018 put option. We took some profits on our positions in Cap Gemini and Metro. We also introduced some new option and bond positions in CNP, STM and Jazz Pharmaceutical. Our opinions for 2016 have not changed. Growth should return gradually in Europe, causing the equities market to perform better in Europe than in the United States. Our positioning towards emerging countries will start to change as valuation levels become attractive once more. We are approaching 2016 with equity exposure at around 18% and significant geographic exposure to Europe. Edmond de Rothschild Fund - Euro Credit Short Term Investors were guided by the messages from the central banks, monitoring the published macroeconomic indicators (economic activity, employment and inflation) closely to anticipate their next move. In the eurozone, the persistent weakness of inflation throughout the year continued to sustain expectations that the ECB would take action, leading it to reduce key interest rates and introduce a covered bond and asset-backed securities purchase programme. Key interest rates were cut from 0% for the deposit rate and 0.25% for the refinancing rate to -0.20% and 0.05% respectively, with the ECB imposing negative rates. The Japanese and Chinese economies also propelled the central banks to act, with a new Japanese quantitative easing programme in October. International geopolitical tensions also bolstered the interest rate markets with flight-to-quality trends. The Fed stood out by continuing to gradually decrease the amounts of its asset purchases until it confirmed the end of its programme in October, and preparing the markets for an initial rate increase in 2015. - We witnessed a rally in the first quarter of 2015: over the period of a general rise in markets, the European HY market, out in front compared to its bond counterparts, saw a record number of primary issues (€31 billion compared with €22 billion for the same period in 2014). A number of US issuers also came to refinance themselves on the European market. - The increase in rates in April and May brought high volatility in European rates, while doubts over Greek solvency weighed down on credit markets, specifically the investment grade market. The high yield market showed resilience during this period of rate rises. - There was volatility across all markets from June to late August: the Greek crisis, the sharp fall in Chinese exports, the devaluation of the yuan, fears about global growth and the spectre of a future interest-rate hike by the Fed created volatility in a market that continued to lack liquidity. Against this backdrop, the European high yield market held up better than its US counterpart, recording few outflows. Positive results from European companies also supported the market. A “black” September: the high yield market was affected by fears on emerging markets, uncertainty over interest-rate rises in the US and a series of “specific cases”. The market was penalised by the Volkswagen scandal and bad news coming from such


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Edmond de Rothschild Fund - Euro Credit Short Term (continued) names as Glencore and Abengoa. The European high yield market posted a negative performance of -2.5%, while the US market posted a performance of -2.6%, its fourth consecutive month of negative performance. - October saw a strong upturn in the asset class: September’s correction took spreads on the European high yield market to over 500 bps, a level not reached since October 2012. With a yield of over 5.5%, we once again saw investors showing an active interest in the asset class, with European companies continuing to post positive results. The European high yield market finished the month of October in pole position, with a performance of 3.5%. Markets reacted positively to the announcement of a QE increase by the European Central Bank, based on growth and inflation forecasts. The primary market reopened on all bond markets. Several factors helped to explain the performance differential between European and US high yield markets: - The weight of the energy and metals sectors in the US HY market, which particularly suffered in 2015: 19.3% in the US compared to 7% in Europe; - Quantitative easing in Europe compared with the Fed’s rate rise on 16 December; - Fundamentals of European companies; - The difference in default rates: at the end of September, the US default rate was 2.44%, with the European rate at around 0.7%. Overall, we saw more outflows on the US high yield segment than on the European high yield market. Buoyed by low interest rates and the search for alternative sources of financing, European issuers are gaining in number. The market saw more than €60 billion in new issues. The market was very active over the first half-year, with more than €50 billion of new issues, followed by a particularly quiet third quarter (in fact, it was closed in September 2015 due to market volatility). Default rates were historically low in Europe, at 2.8% for 2015; the trend for the first quarter of 2016 remained at around 3%. Until the middle of February, the first quarter of 2016 was swayed by fears about the US economy, the Chinese slowdown and the collapse of commodities prices. The low oil prices also raised fears that the exposure of banks to the oil sector might lead to a serious recession. The financial markets continued their recovery in March in a still volatile environment. The accommodating rhetoric from both sides of the Atlantic by Janet Yellen and Mario Draghi definitively helped to drive this recovery in the markets. The ECB took a number of measures, such as reducing its key interest rate and increasing its asset purchase programme by €20 billion per month, extending it to non-financial investment grade company debt. These factors advocated a robust credit performance in the eurozone in the coming months, against a backdrop of historically low rates. EdR Euro Credit Short Term achieved a performance of 1.08% for the year owing to a widening of credit spreads during the financial year. The Main index increased from 55bps to 75bps during the year, peaking at more than 120 bps in February 2016. The iTraxx Crossover index hovered between 245 bps and 305 bps, peaking at 500 bps in mid-February 2016. During the financial year, management avoided names with ties to the energy sector and to commodities prices. Its benchmark index reported a performance of 0.86% for the period. As at 31 March 2016, interest rate sensitivity had fallen over the course of the year to 1.13. We reduced sensitivity to reflect the persistent interest rate cuts in Europe. The average actuarial rate was 1.04%. EdR Euro Credit Short Term ended the financial year with €179.42 million outstanding. Edmond de Rothschild Fund - Global Crossover Bonds Investors were guided by the messages from the central banks, monitoring the published macroeconomic indicators (economic activity, employment and inflation) closely to anticipate their next move. In the eurozone, the persistent weakness of inflation throughout the year continued to sustain expectations that the ECB would take action, leading it to reduce key interest rates and introduce a covered bond and asset-backed securities purchase programme. Key interest rates were cut from 0% for the deposit rate and 0.25% for the refinancing rate to -0.20% and 0.05% respectively, with the ECB imposing negative rates. The Japanese and Chinese economies also propelled the central banks to act, with a new Japanese quantitative easing programme in October. International geopolitical tensions also bolstered the interest rate markets with flight-to-quality trends. The Fed stood out by continuing to gradually decrease the amounts of its asset purchases until it confirmed the end of its programme in October, and preparing the markets for an initial rate increase in 2015.


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Edmond de Rothschild Fund - Global Crossover Bonds (continued) - We witnessed a rally in the first quarter of 2015: over the period of a general rise in markets, the European HY market, out in front compared to its bond counterparts, saw a record number of primary issues (€31 billion compared with €22 billion for the same period in 2014). A number of US issuers also came to refinance themselves on the European market. - The increase in rates in April and May brought high volatility in European rates, while doubts over Greek solvency weighed down on credit markets, specifically the investment grade market. The high yield market showed resilience during this period of rate rises. - There was volatility across all markets from June to late August: the Greek crisis, the sharp fall in Chinese exports, the devaluation of the yuan, fears about global growth and the spectre of a future interest-rate hike by the Fed created volatility in a market that continued to lack liquidity. Against this backdrop, the European high yield market held up better than its US counterpart, recording few outflows. Positive results from European companies also supported the market. A “black” September: the high yield market was affected by fears on emerging markets, uncertainty over interest-rate rises in the US and a series of “specific cases”. The market was penalised by the Volkswagen scandal and bad news coming from such names as Glencore and Abengoa. The European high yield market posted a negative performance of -2.5%, while the US market posted a performance of -2.6%, its fourth consecutive month of negative performance. - October saw a strong upturn in the asset class: September’s correction took spreads on the European high yield market to over 500 bps, a level not reached since October 2012. With a yield of over 5.5%, we once again saw investors showing an active interest in the asset class, with European companies continuing to post positive results. The European high yield market finished the month of October in pole position, with a performance of 3.5%. Markets reacted positively to the announcement of a QE increase by the European Central Bank, based on growth and inflation forecasts. The primary market reopened on all bond markets. Several factors helped to explain the performance differential between European and US high yield markets: - The weight of the energy and metals sectors in the US HY market, which particularly suffered in 2015: 19.3% in the US compared to 7% in Europe; - Quantitative easing in Europe compared with the Fed’s rate rise on 16 December; - Fundamentals of European companies; - The difference in default rates: at the end of September, the US default rate was 2.44%, with the European rate at around 0.7%. Overall, we saw more outflows on the US high yield segment than on the European high yield market. Buoyed by low interest rates and the search for alternative sources of financing, European issuers are gaining in number. The market saw more than €60 billion in new issues. The market was very active over the first half-year, with more than €50 billion of new issues, followed by a particularly quiet third quarter (in fact, it was closed in September 2015 due to market volatility). Default rates were historically low in Europe, at 2.8% for 2015; the trend for the first quarter of 2016 remained at around 3%. Until the middle of February, the first quarter of 2016 was swayed by fears about the US economy, the Chinese slowdown and the collapse of commodities prices. The low oil prices also raised fears that the exposure of banks to the oil sector might lead to a serious recession. The financial markets continued their recovery in March in a still volatile environment. The accommodating rhetoric from both sides of the Atlantic by Janet Yellen and Mario Draghi definitively helped to drive this recovery in the markets. The ECB took a number of measures, such as reducing its key interest rate and increasing its asset purchase programme by €20 billion per month, extending it to non-financial investment grade company debt. These factors advocated a robust credit performance in the eurozone in the coming months, against a backdrop of historically low rates. To sum up, during the observation period credit spreads widened, both in the U.S and Europe. Concerning investment grade spreads the CDS indices widened from 63bps to 75bps in the US and from 55 bps to 75bps in Europe. US high yield spreads (CDX high yield index) went from 340bps to 432bps and European high yield spreads went from 245bps to 305bps (Itraxx crossover index). Treasury and Bund curves steepened during the period, with short end yields falling but with 10 year yields being virtually unchanged.


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Edmond de Rothschild Fund - Global Crossover Bonds (continued) EDR Global Crossover (I) posted a performance that was globally in line with its index, 0.02% against 0.13%. During the period, the most significant differences with the index were to overweight high yield (generally 38% to 40%) relative to the index (33%), to strongly overweight European high yield relative to US high yield, and to overweight subordinated financials and investment grade sovereign peripheral bonds (Spain, Italy). During the period high beta energy issuers were strongly underweighted. Duration during the period was generally below the index duration. The average rating of the portfolio was always either BBB or BBB-. This positioning helped the fund outperform its index over the first three quarters under review, but the strong rebound in the price of oil and of the US high yield market in the first quarter of 2016, as well as the weakness in subordinated financials meant that the index came back strongly compared to the fund to close the period. The fund’s volatility was in line with the index over the period (3.41 against 3.37). EDR Global Crossover closed the period with net assets of 375 million EUR. Edmond de Rothschild Fund - Emerging Bonds Since our last report and over the period September 2015 – March 2016 our fund had a strong performance being up +8.48% (I share) which compares to +6.35% for EM hard currency debt ( EMBI Global hedged in Euros) and +11% for local currency debt (GBI-EM index). In a very similar fashion to last year’s winter, the period from December to February was marked by a an increase in market volatility. While it is always comfortable to look for logical explanations ex-post, this time a change in sentiment and poor liquidity, made worse at the end of the year, were the main culprits. True, oil prices reached their bottom in January, close to USD 25 a barrel, however most of the moves in commodities had already happened at this stage and any fundamental factors present during the winter 2014-2015 (oil debacle and Russia-Ukraine conflict) we clearly absent. Overall we remained invested during the period and the volatility coupled with some local developments offered us some investment opportunities. This has been the case in the corporate sector where we have added some exposure to Brazil. The ongoing political events, with the destitution of the president, open the way for possible structural reforms. Indeed our exposure to Brazil has been growing steadily over the period to reach the second position in the portfolio. Quite a change for a country which had not been represented among our convictions for close to four years. Valuations and investor positioning have become much more attractive in what could evolve as the next transition story in Latin America. Writing about transitions, a successful one happened with the November 2015 election in Argentina. The first 100 days of the new president were marked by sweeping reforms and a strong momentum. Asset prices have been reflecting this and we have taken some profits in this key strategy which was a substantial contributor to our performance over the past 3 years. In line with our usual long term approach, this constitutes a very good example of the type of specific themes we tend to focus on. The other transition story and top country exposure in our fund, Venezuela, has also seen important developments over the period. First with an overwhelming victory of the opposition which took control over the congress following last December elections. Then with some timid steps from the government to address the distorted foreign currency market. And finally with the obstructive tactics of the executive branch to limit the powers of lawmakers and delay the process of a recall referendum of the president. On the ground there is obviously a much more polarized context than in Argentina with risks of a more chaotic transition. However, given assets valuations, the long term prospects of the country make it a compelling and very asymmetric investment case despite the potential volatility. On the technical side, we have witnessed a return of inflows into the asset class at the end of the period after two very negative years. Given the still cautious positioning of most investors it offers some positive perspectives for the remainder of the year.


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Edmond de Rothschild Fund - Emerging Corporate Bonds Activity report 2015-2016 In the bond markets for emerging corporate debt denominated in dollars, the period under review was characterised by marked differences between regions or sectors. Market trends were generally positive at the start of the period. Thereafter, external events caused significant movements. Generally speaking, this resulted in a relatively unprofitable year in terms of performance. First of all, global growth, which was revised downwards throughout the year, in particular on the emerging portion, offered no support to the market. Secondly, commodities prices declined further in 2015 and continued to weigh on producing companies. The dollar remained strong and did not favour the already fragile sentiment. Fears over Russia abated and investors regained confidence, allowing Russian assets to recover some of the ground lost at the end of 2014 when the rouble and oil prices collapsed. Russian companies very quickly adapted to the implementation of sanctions and continued to report solid financial results. In the second half of the period, the political, economic and financial scandal in Brazil involving Petrobras and some of the country’s largest construction companies extended to other domestic actors and aggravated the internal climate. The crisis of confidence was significant and caused the price of borrowing to fall. These events influenced the changes to the Fund, in terms of its structure and the beliefs represented. As such, the Fund is exposed to growth sectors and commodities producers. After the crisis of confidence which hit Russia at the end of 2014, the valuation on the Russian segment became particularly generous. It was thus important to retain these positions so as to make the most of the expected rebound. A normalisation phase began at the start of 2015 with a significant recovery of prices. This helped to achieve a positive performance over the period despite the fact that exposure to other markets, including Brazil, was less favourable. In this environment, the balance of the Fund was respected. The Fund’s average quality remained “BB”, which is the target rating. The Fund’s investment grade segment fell particularly short in terms of performance following multiple rating cuts that affected the segment. The duration remained short to medium during the period under review, at below four years. We remained fully invested, with the cash component varying between 2–3% according to market conditions. It should also be noted that liquidity remains difficult in the emerging companies market during periods of tension.

Edmond de Rothschild Fund - Euro IG Corporate Bonds The Fund’s performance over the period is positive, at close to 2%, while almost all of the market ended in negative territory. Data from the Fund suggests a strong potential for recovery in the subsequent period, following the market’s recent exaggerations, particularly in the Latin American allocation. The latter should benefit from a return of confidence supported by a positive trend in the commodities market; a scenario which we are in favour of. In addition, the search for performance in the current low rate environment continues to support the asset class. In a 2015 and early 2016 that saw the ECB launch a QE program, another Greek crisis, a growing divergence in outlook between the ECB and the Fed, weakness in the Chinese economy and a collapse in the resource sector- longer end high grade fixed income markets were actually very little changed relative to the beginning of the period. 10 year Bund yields started the period at 0.16% and closed the closed the period at 0.16%. There was volatility however, as 10 year bund yields did rise as high as 1% during the period. The ECB’s QE program had a very strong effect on shorter rates, as the 2 year bund went from a negative -0.25% to a negative -0.50%.European sovereigns outperformed investment grade credit, largely due the performance of peripheral bonds, who were not only the main beneficiaries of the QE program but performed better economically and fiscally than expected. European corporate investment grade bonds saw spreads widen somewhat during the period under review, with the Itraxx Main index going from 56 to 74. The rise in spreads was relatively gradual throughout 2015, but spiked sharply during the first 5 weeks of 2016 as concerns over the world economy (notably China), as well as continuing fall in commodity pricing and strengthening US dollar weighed on markets. World central banks were able to reassure markets that they could still take meaningful action, and EUR Corporate IG spreads rallied strongly to close the period.


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Edmond de Rothschild Fund - Euro IG Corporate Bonds (continued) The EDR EUR Corporate IG was positioned relatively defensively in terms of duration during the period, as the low nominal yields and possibility of rising inflation expectations from extreme low levels argued for restraint. We however held a slight credit bias during the period, being overweight in BBBs relative to the index for the period. Edmond de Rothschild Fund - US IG Corporate Bonds In a 2015 and early 2016 that saw the Federal Reserve raise rates for the first time in 7 years, the ECB launch a QE program, another Greek crisis, a growing divergence in outlook between the ECB and the Fed, weakness in the Chinese economy and a collapse in the resource sector- longer end high grade fixed income markets were actually very little changed relative to the beginning of the period. 10 year Treasury yields started the period at 1.86% and closed the closed the period at 1.77%. There was volatility however, as 10 year Treasury yields did rise as high as 2.47%% during the period. The Fed’s rate hike (and rate hike guidance in general) had a stronger effect on shorter rates, as the 2 year Treasury went from 0.55%% to 0.72%.Treasuries outperformed investment grade credit. European corporate investment grade bonds saw spreads widen somewhat during the period under review, with the Itraxx CDX main index going from 63 to 75. The rise in spreads was relatively gradual throughout 2015, but spiked sharply during the first 5 weeks of 2016 as concerns over the world economy (notably China), as well as continuing fall in commodity pricing and strengthening US dollar weighed on markets. World central banks were able to reassure markets that they could still take meaningful action, and US Corporate IG spreads rallied strongly to close the period. The EDR US Corporate IG was positioned relatively defensively in terms of duration during the period, as the low nominal yields and possibility of rising inflation expectations from extreme low levels argued for restraint. Although having had a generally constructive view of credit worldwide, the fund during the period was generally in line with the index in terms of credit due to the later stage in the leverage cycle in the US. Edmond de Rothschild Fund - Signatures Euro High Yield Investors were guided by the messages from the central banks, monitoring the published macroeconomic indicators (economic activity, employment and inflation) closely to anticipate their next move. In the eurozone, the persistent weakness of inflation throughout the year continued to sustain expectations that the ECB would take action, leading it to reduce key interest rates and introduce a covered bond and asset-backed securities purchase programme. Key interest rates were cut from 0% for the deposit rate and 0.25% for the refinancing rate to -0.20% and 0.05% respectively, with the ECB imposing negative rates. The Japanese and Chinese economies also propelled the central banks to act, with a new Japanese quantitative easing programme in October. International geopolitical tensions also bolstered the interest rate markets with flight-to-quality trends. The Fed stood out by continuing to gradually decrease the amounts of its asset purchases until it confirmed the end of its programme in October, and preparing the markets for an initial rate increase in 2015. - We witnessed a rally in the first quarter of 2015: over the period of a general rise in markets, the European HY market, out in front compared to its bond counterparts, saw a record number of primary issues (€31 billion versus €22 billion for the same period in 2014). A number of U.S. issuers also came to improve their finance capacity on the European market - The increase in rates in April and May brought high volatility in European rates, while doubts over Greek solvency weighed on credit markets, specifically the investment grade market. The High Yield market showed resilience during this period of rate rises. - There was volatility across all markets from June to late August: the Greek crisis, the sharp fall in Chinese exports, the devaluation of the yuan, fears about global growth and the spectre of a future interest-rate hike by the Fed created volatility in a market that continued to lack liquidity. Against this backdrop, the European High Yield market held up better than its US counterpart, recording few outflows. Positive results from European companies also supported the market.


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Edmond de Rothschild Fund - Signatures Euro High Yield (continued) September was a “black” month, with the High Yield market affected by fears on emerging markets, uncertainty over interest-rate rises in the US and a series of “specific cases”. The market was penalised by the Volkswagen scandal and bad news coming from such names as Glencore and Abengoa. The European High Yield market posted negative performance of -2.5%, while the US market posted performance of -2.6%, its fourth consecutive month of negative performance. - October saw a strong upturn in the asset class: September’s correction took spreads on the Euro High Yield market to over 500 bps, a level not achieved since October 2012. With a yield of over 5.5%, we again saw investors taking an active interest in the asset class, with European companies continuing to post positive results. The European High Yield market finished the month of October in pole position, with a performance of 3.5%. Markets reacted positively to the announcement of a QE increase by the European Central Bank, based on growth and inflation forecasts. The primary market reopened on all bond markets. Several factors helped to explain the performance differential between Euro and US High Yield markets: - The weight of the energy and metals sectors in the US HY market, which particularly suffered in 2015: 19.3% in the U.S. compared to 7% in Europe; - Quantitative Easing in Europe compared with the Fed’s rate rise on 16 December; - Fundamentals of European companies; - The gap in default rates: at the end of September, the US default rate was 2.44%, with the European rate at around 0.7%. Overall, we saw more outflows on the US High Yield segment than on the European High Yield market. Buoyed by low interest rates and the search for alternative sources of financing, European issuers are gaining in number. The market saw more than €60 billion in new issues. The market was very active over the first half-year, with more than €50 billion of new issues, followed by a particularly quiet third quarter (in fact, it was closed in September 2015 due to market volatility). Default rates were historically low in Europe, at 2.8% for 2015; the trend for the first quarter of 2016 remained at around 3%. Q1 2016 was influenced until mid-February by fears on the US economy, the Chinese slowdown and the fall in commodity prices. The fall in oil prices thus aroused fears that banks’ exposure to this sector might lead to a major recession. The financial markets continued their recovery in March in a still-volatile environment. The accommodative rhetoric from both sides of the pond by Janet Yellen and Mario Draghi definitively helped to drive this recovery in the markets. The ECB took a number of measures, such as reducing its key interest rate and increasing its asset purchase programme by €20 billion per month, extending it to non-financial Investment Grade company debt. These factors militated in favour of robust credit performance in the eurozone in the coming months, against a backdrop of historically low rates. EdR Signatures Euro High Yield achieved a performance of 1.99% for the year owing to a widening of credit spreads during the financial year. The Itraxx Crossover index moved between 245bps and 305bps, peaking at 500bps in mid-February 2016. During the year, management avoided names linked to the energy sector and to commodity prices and we also avoided issuers close to default such as Abengoa. Benchmark index performance was 2.21% over the period. The portfolio spread per rating was 55.8% for single-B ratings, 29.6% for BB ratings and 7.98% for CCC+ ratings. We also had 2.1% of non-rated. At 31 March 2016, the portfolio’s interest rate sensitivity was 3.15. The average actuarial rate was 4.51%. EdR Signatures Euro High Yield closed the year with assets of €318.68m. Edmond de Rothschild Fund - Europe Value Due to the fact that the net assets of the Sub-Fund were below the minimum net asset amount stipulated in the Company’s prospectus, which is set at EUR 5,000,000, the Company’s board of directors has decided to proceed with the mandatory redemption of all currently issued shares of the sub-fund Edmond de Rothschild Fund – Europe Value. This mandatory redemption was carried out based on the net asset value per share as at 8 January 2016 and calculated on 11 January 2016.


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Edmond de Rothschild Fund - Return Plus At the end of March 2016, the AUM of EDR Fund RETURN PLUS totals EUR 80’084’182 EDR Fund - Return Plus aims to take part in bond market upside within a maximum annual volatility target of 2% and has a 3-year recommended investment horizon. Market environment: The bond markets suffered several shocks throughout this period. Bond markets began relatively upbeat. Low inflation and large asset purchase programmes drove European rates to historical lows, with many in negative territory (-0.45% for the 2Y Bund) in April, before moving up sharply in a unprecedented manner. In two months (May & June) the yield on the 10-year Bund climbed to 0.93% versus 0.06% in April. The entire market suffered as a result, with government yields leading the way. Only convertible bonds, supported by a rise in equity markets showed some solidity during the period. During the rest of 2015, most bond segments partially recovered, whereas emerging markets and corporate debt continued to suffer, reporting negative annual returns. Starting 2016, the bond market benefited from a flight-to-quality phenomenon posting positive yields. RETURN PLUS has been impacted by the sharp and sudden correction but limited losses during this period. The portfolio maintained a rather important and diversified bond exposure, 58% on average, that allowed to recover partly from this loss. The allocation in aggregate and short-mid-term bonds has been predominant. To a lesser extent, the portfolio has also invested in government, high yield and investment grade bonds. RETURN PLUS (E class denominated in EUR) has generated a negative performance of 2.90% while maintaining risk under control (annualised volatility of 1.40% and maximum drawdown of -3.91%). The quantitative asset management methodology, RETURN PLUS, does not allow an ex-ante identification of market trends. However, it enables us to understand how the product will react in different market configurations:

• During periods of established uptrend, RETURN PLUS will optimise the risk by selecting the asset classes and investments that exhibit favourable trends. • During periods of trend reversal, RETURN PLUS will initially suffer from the negative trend before gradually divest or will not be upward indexed over the first period before gradually reinvest. • During established downward market, RETURN PLUS will have low or no exposure in asset classes that perform negatively in order to consolidate the gains of previous trends.

Edmond de Rothschild Fund - Income Europe January European markets closed up smartly in January. They were driven mainly by the ECB’s announcement of quantitative easing, that was surprising both for its scale, and the fact that its has not given rise to any major political debate since it falls within the ECB’s remit to bring inflation expectations close to — but below —2%. Political developments in Greece at the month end had a slight impact on the market uptrend, without putting it into any doubt. The victory of Greece’s radical left party Syriza, its alliance with the right-wing nationalist party, and the appointment of a finance minister known for his anti-austerity position have driven Greek yields over 10% and sent the price of the country’s banks reeling. Any systemic risk seems, for the moment, confined to Greece, with yields in other peripheral European countries continuing to ease in the wake of the ECB’s announcements. Earnings reports and early indications for 2015 seem to confirm earnings growth prospects, which are being driven by three factors: the decline of the euro, falling oil prices and lower financing costs. Note, too, the encouraging results of the European credit survey, with a recovery in credit demand for business investment in Germany and Spain, while in France it remains at a high level. In this climate, the positions on E.On, Vodafone and RWE were sold, and three new positions were initiated in Ontex, Inchcape and Telefonica. On the credit markets, the iTraxx Crossover index tightened 30 bps to reach 315 bps by the month’s end. The primary market recorded €8 billion in issues—including €4.6 billion for the Altice jumbo deal alone, to finance the acquisition of Portugal Telecom’s Portuguese assets. We also took part in the recent issues for Platform Specialty, Ziggo and Virgin Media.


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Edmond de Rothschild Fund - Income Europe (continued) February The European market uptrend launched in January continued through February, enabling it to post double-digit growth since the beginning the year. At the macroeconomic level, the supporting factors have held up (with the euro's decline, falling crude oil prices and interest rates, plus the ECB's accommodative monetary policy). What’s more, recently published numbers on the economy have been reassuring,with the euro zone PMI composite up by nearly 1 bps to 53.5, and positive inflation numbers in Germany, which had all been negative a month earlier. In geopolitical terms, the peace pact between pro-Russian rebels and the Ukraine offers some hope, but requires vigilance. Tensions between the new Greek government and European authorities did not hurt the market uptrend, and seemed to be fading gradually by the month end. Meanwhile, corporate earnings reports have proved reassuring. Restructuring projects carried out in recent years have helped sustain profitability despite a lack of growth —or even through a drop in sales. This promises strong operating leverage when volumes finally start to grow. Investment spending could also see a catch-up effect after the restraint of recent years. Within the equity compartment, the only movement we made this month was to sell the position in GdF Suez. While in the credit compartment, we took part in the primary market issues for Picard, Gtech, Viridian,Platform Specialty and Ziggo, plus TDC’s hybrid tranche. March The impact of the new round of quantitative easing, launched by the ECB in January, has been spectacular. It has pushed the yield curve down even further than sovereign yields, to score a double-whammy that is highly positive for the euro zone —at once lowering the euro and reducing the cost of capital. The euro’s fall has relayed the monetary policy impact very quickly, both to activity levels and inflation. The reduced cost of capital has created conditions that favour a recovery in investment. Under these conditions, economic indicators are continuing to improve, as is evidenced by growth prospect upgrades for the region, with a consensus that is probably running late. The impact of micro and macro effects favouring the euro zone (on the euro, oil prices, lower interest rates and less fiscal austerity) is reflected in the earnings upgrades. These have turned positive in the euro zone (except in the energy sector) for the first time since early 2011. The equity market’s continued rise since March has taken the quarter’s growth to nearly 20%. The market seems largely to have priced in these stimulus effects and now needs to find new vectors. This prompted us to sell our well valued and high visibility securities (Reed Elsevier, Heineken, Danone, Compass) and those of lower quality (Neopost, Lagardère, Telefonica Deutschland) to reinvest in two new positions, Informa and Eutelsat, taking the equity position to 22%. After February’s rapid credit spread tightening, the strong flow of new issues had a slight impact on risk premiums in March. Companies have continued to take advantage of the positive climate to (i) refinance with long maturities and (ii) finance their acquisitions. In this climate, we took part in Valéant’s primary market issue (US pharmaceuticals). We also took positions on primary issues by Repsol and Air France. At last, we have taken advantage of the relatively greater increase in peripheral spreads to initiate a hybrid debt position on Fenosa, owned by Spain’s Gas Natural. In addition, we reduced our positions on a number of vulnerable issuers and those at risk of re-leveraging, such as Selecta and R&R Ice Cream. April Recent business indicators reflect market sentiment following a first quarter of strong growth: April’s numbers were disappointing, but this is because expectations probably rose too far in recent months. In other words, the recovery is still in tact; it’s only the rate of acceleration that slowed in April. The movements seen on the forex and bond markets probably also reflect an increasing tendency to unwind profit-making positions, rather than any more fundamental triggers. The bond market has become very pricey and volatile, but the ECB’s intervention programme is still making the headlines. When it comes to stock-picking, the challenge is now to distinguish a margin improvement —driven by oil, forex and bond rates (so often well priced-in by the market) —from whatever arises through organic growth, which is surprising and unexpected on the market. The market’s second support comes from M&A, which is accelerating in Europe (for example with Nokia/Alcatel and Shell/BG), with deals often driven by US players taking advantage of the weak euro (Fedex bidding for TNT or IPO Logistics’ play for Norbert Dentressangle). There were no movements in the portfolio’s equity compartment during the month. In the credit compartment, we took part in high grade primary issues for Progroup (packaging), Matterhorn (telecoms), Elis (industrial laundry), ZF Friedrichshafen (auto equipment), SPCM (chemicals) and a hybrid bond for Eurofins Scientific (certification).


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Edmond de Rothschild Fund - Income Europe (continued) May For the first time since 2010, quarterly growth was positive in all four of the euro zone’s largest economies at the same time. This shows further growth in the recovery, particularly noticeable amongst the laggards, such as France and Italy. The impact of lower oil prices, interest rates and the euro —already seen in corporate profit margins —should now start to show through in sales. This in turn should have a strong leverage effect on companies, which have restructured since the beginning of the crisis. Meanwhile, the ECB has demonstrated its determination to keep the euro from appreciating again, which should help preserve the positive environment from which business is benefiting.What’s more, the ongoing recovery in bank lending should eventually lead to accelerating investment, which, while not visible at this stage, could reduce the spectacular lag generated since the crisis began. Further stabilisation in bond and forex markets would be very welcome news for the equity markets. New positions were established in Korian-Medica, GTT, Nexity and ING. Royal Dutch Shell was also strengthened. The high valuation levels reached by Amadeus prompted us to cash in on the position. Siemens,however, was sold for its weak fundamentals. The corporate bond market, and, in particular, its high yield segment, coped rather well with the pressure witnessed in late April/early May on sovereign bond rates. New positions were initiated on stable funding via the primary market in Mat. These included Europcar 5.75% dated 2022 and Progroup 5.125% dated 2012. Meanwhile, we strengthened a number of positions that we felt to have good upside potential on their medium-term credit profile, including Celanese 3.25% dated 2019, ESL 3.625% 2023 and Valeant 4.5% 2023. The position on Oi Brazil (4.625%2020) was sold due to a lack of visibility over the telecom sector’s future in Brazil, and the company’s cash generation. June Two risk factors prompted us to reduce the portfolio’s equity exposure from the end of March: a sovereign debt market in the euro zone hovering at zero or even negative yield, and Greek political risk. Elimination of deflation risk and ‘secular’ (chronic) stagnation in the euro zone has helped to reduce the risk of sovereign debt bubbling with interest rates moving closer to their equilibrium point. It’s also evidence that the ECB’s programme is proving effective, and the euro zone’s economic recovery is tangible. The second factor, the dramatisation of the Greek financial crisis, instead of its resolution, seems to have been partially priced-in with the market downturn. Accordingly, we reinvested on the conviction that the current recovery is not threatened by a contagion effect. In contrast to summer 2011, which hit the cyclical recovery with the emergence of a sovereign debt crisis in the euro zone, the ECB has provided safety nets. Also, while the support of global growth is no longer there, the triple shock (currency +interest rates + oil prices) has had a powerful effect on domestic demand, as evidenced by the latest activity indicators, with the PMI at its highest since June 2011. There’s further evidence in the accelerating M&A cycle in Europe and attractive terms of financing for companies in the euro zone, even after the return to normal seen in long-term yields. In the equity compartment, we re-opened a position on Bouygues, added Nokia to the portfolio and strengthened our positions on MunichRe, Deutsche Telekom, Coface and Alstom. Within the credit compartment, we took part in the following new issues: Antolin 2022 (automotive equipment), Sealed Air 2023 (packaging), Oi Brasil (Telecoms) and Douglas 2022 (retail distribution). And, turning to financials, we sold a UBS Tier 1 at 7.152%. July The equity market has recovered most of the losses resulting from the resurgent Greek crisis. While Greece remains a problem, the ECB has demonstrated its ability to limit contagion risk and also its readiness to intervene if the risk materialises. This also applies if there’s a US shift to monetary tightening, which would ensure a relative decoupling between long rates in the euro zone and the United States. Instead, risk has migrated suddenly to China, shaken by its bursting market bubble and a more structural slowdown in its growth rate. This has persuaded us to maintain a strong bias towards stocks with low exposure to emerging markets. As a result sovereign rates have been easing with the slowdown in China and falling oil prices; while credit has tightened as the stress of the Greek crisis eases. But the main lesson of the Greek crisis is that it has not put the euro zone recovery into jeopardy. Rather, the positive external double-shock (the drop in the euro and oil prices) has had an impact, which is set to continue at full force in 2016 and 2017. Zero-rate monetary policies and less restrictive budgetary tactics are also becoming more expansionary inputs. And the credit cycle is now well underway: the precursor to an investment recovery cycle that should make up for the under-investment building up since 2008. With the support of this euro zone recovery, per share earnings growth —running at 10% -15% in 2015 —seems set to keep up that pace in 2016, too. Turning to equities, we have exited two financial stocks in the wake of strong performances since the beginning of the year (Deutsche Börse and ING). Meanwhile, Engie has been brought into the portfolio for its 5.7% yield and strong balance sheet. Looking at credit, the reopening of the primary market has allowed new names to enter, including Verallia, Ibercajas, Dufry and Softbank. Reductions have been made on cyclical companies such as Bombardier and Faurecia, while those on Kaufman & Broad and Mapfre were strengthened.


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Edmond de Rothschild Fund - Income Europe (continued) August The equity markets came unstuck on two uncertainties: in China, over the credibility of Chinese economic policy (namely its management of the equity markets and the depreciation of the renminbi), with a doubt as to the level of China’s growth; and in the United States on the relevance of the Fed’s strategy, evidently wavering as to when its rate hike should kick in. August’s turbulence was preceded by renewed commodities weakness, which rather quickly became the self-sustaining theme of a hard landing in China, rather than a stimulus for global growth. Our conviction over solid EPS growth in the euro zone in 2015 and 2016 was based on the positive support of three factors in the New Year: a climate of low interest rates, cheaper commodities (including oil), and a weaker euro, particularly against the US dollar. Nor has August cast these prospects into doubt! All three clearly remain positive, with no braking effect on global growth (though without the acceleration first expected). This prompted us to maintain our domestic bias, while applying a conservative approach to stocks with emerging market exposure (to China and its commodity providers). The equity compartment has been raised to 26% by strengthening domestic stocks such as Bouygues, Engie, Pearson, MunichRe and Orange, or some that had come under focused attack in the correction, such as GSK and Inchcape. The credit compartment dipped slightly in August. We reduced exposure to a number of US corporate issuers with high USD exposure (Jarden, Darling), and also scaled back on base metals (Arcelor Mittal, Constellium). Meanwhile, we strengthened a number of specific positions that had suffered in the period when liquidity was limited and credit spreads widened (Bombardier, Obrascon, Heat Exchangers). We also stepped up duration on the Axa exposure to capture the widening credit spread. September September saw risky assets underperforming under the double-whammy of a downgrade to global growth (given a reduced contribution from China and from its commodity suppliers), and hesitation on the part of the US Federal Reserve over its monetary tightening policy. The market reading, with less growth (worldwide) and lower inflation, was negative for both the equity and credit markets. Our view is that growth remains real in the euro zone, because the recovery is domestic, buoyed by the triple effect of low oil prices, the euro exchange rate, and interest rates. What’s more, there’s less fiscal austerity here and a credit recovery —which has prompted us to focus on companies benefiting from the domestic recovery in the euro zone —with markets back at 13.5x PE 12 months ahead and with EPS growth momentum in the euro zone that has mostly kept above 10% for 2015. The emerging market positions have accordingly been sold (Inchcape, Telefonica). The credit market in particular has been struggling since late August. Unlike the US credit market, which has seen spreads widening almost everywhere, the euro market is facing pressure in a number of very specific sectors. These are: cable operators with telecoms M&A drying up, and issues encountered by the operator Altice in fund raising; the automotive sector, especially component makers with the VW bombshell; and the raw materials and oil sectors,amplified by Glencore’s woes. Nevertheless, the strength of the regional recovery means we can rule out a scenario of rising default rates. Moreover, the current yields offered by the credit market in a low interest rate environment are making this asset class attractive —and have prompted us maintain exposure at 75%. On the primary market, we took part in HSBC’s AT1 Coco launch in September, reduced some cyclical positions (Constellium, Repsol), and raised exposure to some quality paper that was less global (Telenet, Cellnex). October October saw a marked recovery, correcting the excess pessimism in the euro zone that almost wiped out the year’s gains. The ECB’s statements (that it may well extend QE in duration and assets, or even lower its deposit rate) have drawn attention back to its vision of both a durable low-interest scenario and a low-euro environment. In the process, improving euro zone activity indicators have strengthened the credibility of the Low rate/Low euro/Low oil-price configuration. Quarterly earnings reports confirmed a split between global securities (impacted by the slowdown in the global growth cycle), and other sectors benefiting from the euro zone cycle. The latter have convinced us of their upside potential. Drastically restructured over the years, these stocks can now benefit from volume effects, whether in the banking sector (with the credit recovery), in construction, or at French carmakers –to name but a few sectors where recovery is running behind, but is definitely still on track! Given this situation, Deutsche Post was removed from the equity compartment. Credit spreads also benefited from October’s catch-up effect. Turning to corporate bonds, the BB-rated segment, with its relatively higher duration component, posted the best performance. In an environment with a somewhat limited supply of primary issues, October’s in-flows have increased the attraction of high yield paper on the secondary market. We strengthened our positions on Belden Inc and Ceramtec over the period, sold our positions on Valeant and OI Brazil, and took part in new issues for BHP Billiton, Interoute and Verisure. In the financials compartment, subordinated insurance issues out-ran the market this month, registering a performance of nearly +3% and tightening 50 bps. We also took part in Generali’s new subordinated issue.


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Edmond de Rothschild Fund - Income Europe (continued) November The market remains under the sway of central banks, with the ECB’s growing resolve to address the divergence in monetary policy and avoid the risk of contagion in Europe while the Federal Reserve prepares to raise US interest rates. The ECB’s statements cite possible measures to enhance monetary policy easing, highlighting in particular its determination to strengthen the credibility of its inflation target. The ‘whatever it takes’ approach is helping to compensate for a mixed reporting season by providing a positive framework for the momentum behind corporate earnings growth. This includes even lower rates, for a longer time; and a euro that declines naturally, in a climate of falling oil prices. Since the summer, the market has done well at pricing in the prospect of slower global growth. However, it remains conservative about the euro zone’s recovery potential. While it is true that we see no real cyclical acceleration, despite the support of an oil counter-shock and massive monetary reflation, we reckon the cycle is not unwinding: in fact, it has only just begun. This underlines our portfolio construction, which concentrates on European domestic stocks, particularly those offering strong visibility over their ability to pay dividends in a low interest-rate environment. Accordingly, we initiated positions on KPN and Euler-Hermès while strengthening Nexity and Korian-Medica. Meanwhile, we took our profits on Deutsche Telekom, LVMH and Ryanair. Pearson was sold, as it no longer met our performance criteria. The portfolio’s AT1 weighting on NP and KBC was raised by 1% during the month. Turning to corporate credit, we took some of the profits on the BHP hybrid. We participated in the Worldpay and Autodis issues, and strengthened our positions on Nova Fives, Sealed Air and Softbank. December December was dominated by central bank decisions. These included measures announced by ECB which, though deemed insufficient by a market with expectations running too high, will contribute considerably to monetary policy easing. This move halted the euro’s decline against the USD, making it easier for the Federal Reserve to hike interest rates by reducing the overly restrictive impact of a sharp rise in the dollar. A further fall in oil prices, after the long slide that began in summer 2014, was the second key factor in shaping December. While the global environment remains negative (with deflation and devaluation in emerging markets and the US credit market deteriorating), the low interest rate context, weak euro and depressed commodity prices remain highly positive in terms of support for earnings in the euro zone. Nevertheless, the market’s excessive optimism on the eve of the ECB meeting prompted us to cover half the equity exposure from the beginning of the month. This cover was gradually reduced to end the month with 21% net equity exposure. In the credit compartment, we took part in the primary market’s issues of Swissport 2021, Ball 2020 and 2023, plus the Progroup 2021 tap, while buying the Bombardier 2021 bond on the secondary market. Turning to financials, we reduced a number of ageing T1s with yields that are now too low. Edmond de Rothschild Fund – Premiumsphere Over the period from March 2015 to March 2016, Fund EdR Premiumsphere has faced multiple headwinds. With the arrival of Xi at the throne, China started its long journey of anti-corruption, from Macau gaming, Swiss watch to German luxury cars. Despite continuing decline of VIP GGR (gross gaming revenue), Las Vegas Sands, best positioned within mass gaming market, expects GGR stabilization and further gaining from the Parisian Opening in September 2016. Watch market is still under pressure, with recent trends in Swiss watch data negative across all price points. Swatch continues to invest in its brands, such as Omega and James Bond launch, touch watch and payment watch, promising long-term growth. Richemont, despite half of sales exposed to watches, benefited from strength of jewelry, supported by strong pricing power, control of distribution channel, and most recently change of management at Cartier. At the Geneva Motor show, despite 2015 being a record year, management sounds confident as to 2016 outlook. BMW expects to deliver another year of record sales, while growth will rise slightly. As to Daimler, it has been able to lift net pricing globally with strong sales in China and potential for further recovery in Europe. Focus will be on electric cars and digitalization for future expansion. On the other side of Pacific, we have seen an extremely warm winter, together with US dollar appreciation, penalizing international tourism in the land of Uncle Sam. Thus, US department stores went through an excessive correction over the period; however, we remain confident in Macy’s turnaround potential, supported by its strong balance sheet, cash flows and solid dividend yield of ~4.6%, in addition to eventual upside from real estate gains. Meanwhile, brands are going through inventory clearance ahead of a potential recovery year. Ralph Lauren’s new management, led by CEO Stephan Larsson, remains confident in earnings stabilization, with the help of cost-cutting and supply chain speeding up. Overall, we remain convinced that companies with strong brand and disciplined distribution will be able to deliver sustainable growth and superior profitability driven by world wealth expansion.


35


Edmond de Rothschild Fund - Selective Europe

It was a challenging first quarter (31/03/2015–30/06/2015) on the European markets, primarily due to a sharp fall in June. The indices lost part of the 16% gain accumulated at the end of the first quarter. Contradictions about Greece weighed on the market throughout June, in the hope of an agreement that ultimately failed to materialise. However, from a macroeconomic standpoint, the extension of the ECB’s QE policy (until September 2016) turned out to be effective both in terms of inflation, and the lack of any contagion from Greece. The recovery in the eurozone continued to be headline news. PMI indices in the eurozone posted sequential growth in June (54.1 compared with 53.6 in May, while growth in France and Germany picked up in June). Exposure to the domestic European cycle therefore remained valid.

The trend in the first-quarter results announced was favourable, with organic growth rates that were up for consumer stocks (top-line growth was often better than expected). The recovery in sales volumes among automotive stocks appeared to be sustainable. The sector, which was still the top performer for the year, reported results that were above expectations. The positive currency impact began to be reflected in organic growth. The retail, travel, leisure, and media sectors all performed well. Upward revisions to growth prospects emerged, especially for consumer stocks. European technology and capital goods stocks were supported by a changing competitive situation in the United States (merger between US players).

The second quarter (30/06/2015–30/09/2015) saw a further decline of more than 9% after a terrible performance in August (one of the worst months in terms of market performance since 2008, with a loss of 8.5% across all sectors) and peaks and troughs in September, in what was clearly a downward trend.

Concerns about Greece now appear to be behind us, following the approval of a third international bailout plan by the Greek parliament in July. Following a majority “no” vote in the Greek referendum, Alexis Tsipras presented new draft reforms, which were approved by the parliament, and enabled the country to receive emergency assistance and to reopen its banks. The credit cycle was well underway in the eurozone, according to the ECB survey, which highlighted the strongest improvement in lending conditions in Europe since 2006, which was very encouraging for domestic demand. The major concern, which originated in China, following three successive devaluations of the yuan, was that of a more sluggish growth in the region’s economy (the reported PMI fell during the last two months), which would put pressure on all stocks, and especially on export companies (commodities, automotive manufacturers and luxury goods). Good European macroeconomic statistics went unnoticed: the IFO index in Germany (which was above expectations in September) and the INSEE index for manufacturing in France (which reached its highest point since August 2011).

The quarter was characterised by a large number of publications: the majority of results announced were in line with or better than expectations, thus demonstrating the benefits derived from the weak euro compared to the first quarter of 2014. The second quarter results announced by European companies were good, and included many positive surprises. Over 60% of companies reported results above expectations, thanks to positive currency effects, and a better trend in the revenues and profits generated in the eurozone. Particularly worthy of mention are Airbus, Nokia and Peugeot, which were strong in terms of both margins and cash generation. However, a few companies revised down their annual forecasts, due to uncertainties over the Chinese economy (Volkswagen, Schneider). The Volkswagen scandal (the company was accused of fitting its vehicles with rigged anti-pollution software) dragged all automotive stocks down with it. However, car manufacturers appeared relaxed about their growth prospects at the Frankfurt Motor Show (especially those manufacturers with European outlets like Renault). Discretionary consumption posted one of the rare increases during the month (Richemont, in particular, published good results).

Things were looking up in the third quarter of the year (30/09/2015–31/12/2015), with a rise of almost 5%. European markets rose on the fringe of indications from central banks that remained very accommodating in Europe. Mario Draghi suggested that the European Central Bank is ready to act to support the eurozone and to combat the prevailing weak inflation. In early December, the news around the ECB’s announcement (less accommodating than expected as regards the pace of purchases and the very weak fall in the deposit rate) in a climate of ever-decreasing oil prices (to below the symbolic threshold of $40 per barrel) wiped out some of the progress made by European markets (in the absence of an end-of-year rally, European indices posted falls of more than 5% over the month for the MSCI Europe). The market bounced back in the second half of the month based on good manufacturing PMI figures in Europe (up at 53.1).

Over the last three months of 2015, earnings reports confirmed trends already anticipated during the previous quarter. In particular, difficulties remain on emerging exposures (there were disappointments on Accor, Casino and Edenred in Brazil, and Carrefour and Burberry in China). The most cyclical sectors, commodities, energy and construction were the most heavily penalised. In the automotive sector, figures were still very good in terms of both registrations and volumes. The insurance and


36


Edmond de Rothschild Fund - Selective Europe (continued)

telecoms sectors remained robust with good results for ING and Scor, Vodafone and Deutsche Telekom. The luxury sector (particularly French stocks such as LVMH and Hermès), hotels/leisure and airlines, were affected by international tensions after the Paris attacks. Among the pleasant surprises, promising figures were reported by Airbus, and no major concerns were voiced on emerging markets. Daimler, Nokia and Heineken published figures that were well above expectations in terms of volumes, prices and margins.

On the European markets, the first quarter of 2016 (31/12/2015–31/03/2016) was characterised by the actions of the central banks, as had been the case at the end of the previous year. However, oil prices also had a significant influence, impacted by fears of a slowdown of global growth in the wake of weakness in China. December’s downward trend continued throughout the first two months of the year. The market reached a low point for the year on 11 February. The measures announced by Mario Draghi (particularly the right to buy back corporate bonds) supported the market in March, allowing for an increase in European indices, although this rise was not enough to offset the first two months of the year.

The most cyclical companies, linked to commodities and energy, were most severely affected by these fears. Banks remain under pressure, as uncertainties over banking regulation, exposure to the oil sector and publications of disappointing results (UBS, Société Générale, Crédit Suisse, HSBC) hindered the sector, which posted one of the sharpest declines since the start of the year. Results were generally reassuring for stocks exposed to the world economy in the luxury, automotive and aerospace sectors. Company profits put up more resistance in the eurozone than in the rest of Europe. M&A activity began at a slower pace than in 2015, but the consolidation of the telecoms sector in Europe led to a great deal of movement. Vivendi continued to cross new thresholds: it now holds 15% of the capital of Ubisoft and a 25% stake in Telecom Italia, making it the company’s largest shareholder. This decision led to the resignation of the CEO of Telecom Italia due to a difference of opinion with Vincent Bolloré regarding strategic decisions. In France, the merger between Orange and Bouygues Telecom, which had appeared to be making good progress, collapsed at a very advanced stage of negotiations between the two groups. In other sectors, the Chinese hotel group Jin Jiang increased its stake in Accor to almost 11%. At Axa, Chairman and Chief Executive Henri de Castries announced that he would leave his position on 1 September, to be replaced by a dual management structure. Edmond de Rothschild Fund - Europe Synergy


The trend in the first-quarter results announced was favourable, with organic growth rates up for consumer stocks (top-line growth was often better than expected). The recovery in sales volumes among automotive stocks appeared to be sustainable. The sector, which was still the top performer for the year, reported results that were above expectations. The positive currency impact began to be reflected in organic growth. The retail, travel, leisure, and media sectors all performed well. Upward revisions in growth prospects emerged, especially for consumer stocks. European technology and capital goods stocks were supported by a changing competitive situation in the United States (merger between US players).



37


Edmond de Rothschild Fund - Europe Synergy (continued)

Concerns about Greece now appear to be behind us, following the approval of a third international bailout plan by the Greek parliament in July. Following a majority “no” vote in the Greek referendum, Alexis Tsipras presented new draft reforms, which were approved by the parliament, and enabled the country to receive emergency assistance and to reopen its banks. The credit cycle was well underway in the eurozone, according to the ECB survey, which highlighted the strongest improvement in lending conditions in Europe since 2006, which was very encouraging for domestic demand. The major concern, which originated in China, following three successive devaluations of the yuan, was that of more sluggish growth in the region’s economy (the reported PMI fell during the last two months), which would put pressure on all stocks, and especially on export companies (in commodities, automotive manufacturers and luxury goods). Good European macroeconomic statistics went unnoticed: the IFO index in Germany (which was above expectations in September) and the INSEE index for manufacturing in France (which reached its highest level since August 2011).

The quarter was characterised by a large number of results announcements, with the majority in line with or better than expectations, thus demonstrating the benefits derived from the weak euro compared to the first quarter of 2014. The second quarter results announced by European companies were good, and included many positive surprises. Over 60% of companies reported figures that outstripped expectations, thanks to positive currency effects, and a better trend in revenues and profits generated in the eurozone. Particularly worthy of mention are Airbus, Nokia and Peugeot, which were strong in terms of both margins and cash generation. However, a few companies revised their annual forecasts downwards, due to uncertainties over the Chinese economy (Volkswagen and Schneider). The Volkswagen scandal (the company was accused of fitting its vehicles with rigged anti-pollution software) dragged all automotive stocks down with it. However, car manufacturers at the Frankfurt Motor Show appeared relaxed about their prospects for growth (especially those manufacturers with European outlets like Renault). Discretionary consumption posted one of the rare increases during the month (Richemont, in particular, published good results).

Things were looking up in the third quarter of the year (30/09/2015–31/12/2015), with a rise of almost 5%. European markets rose alongside indications from central banks that remained very accommodative in Europe. Mario Draghi suggested that the European Central Bank would be ready to act to support the eurozone and to combat the prevailing weak inflation. In early December, the news around the ECB’s announcement (less accommodative than expected as regards the pace of purchases and the very weak fall in the deposit rate) in a climate of ever-decreasing oil prices (to below the symbolic threshold of $40 per barrel) wiped out some of the progress made by European markets (in the absence of an end-of-year rally, European indices posted falls of more than 5% over the month for the MSCI Europe). The market bounced back in the second half of the month based on good manufacturing PMI figures in Europe (up at 53.1).

Over the last three months of 2015, earnings reports confirmed trends already anticipated during the previous quarter. In particular, difficulties remain on emerging exposures (there were disappointments on Accor, Casino and Edenred in Brazil, and Carrefour and Burberry in China). The most cyclical sectors, commodities, energy and construction were the most heavily penalised. In the automotive sector, figures were still very good in terms of both registrations and volumes. The insurance and telecoms sectors remained robust, with good results for ING and Scor, Vodafone and Deutsche Telekom. The luxury sector (particularly French stocks such as LVMH and Hermès), hotels/leisure and airlines, were affected by international tensions after the Paris attacks. Among the pleasant surprises, promising figures were reported by Airbus, and no major concerns were voiced on emerging markets. Daimler, Nokia and Heineken published figures that were well above expectations in terms of volumes, prices and margins.


The most cyclical companies, linked to commodities and energy, were most severely affected by these fears. Banks remain under pressure, as uncertainties over banking regulation, exposure to the oil sector and disappointing results announcements (from UBS, Société Générale, Crédit Suisse and HSBC) hindered the sector, which posted one of the sharpest declines since the start of the year. Results were generally reassuring for stocks exposed to the world economy in the luxury, automotive and aerospace sectors. Company earnings held up better in the eurozone than in the rest of Europe.


38


Edmond de Rothschild Fund - Europe Synergy (continued) M&A activity began at a slower pace than in 2015, but the consolidation of the telecoms sector in Europe led to a great deal of movement. Vivendi continued to cross new thresholds: it now holds 15% of the capital of Ubisoft and a 25% stake in Telecom Italia, making it the company’s largest shareholder. This decision led to the resignation of the CEO of Telecom Italia due to a difference of opinion with Vincent Bolloré regarding strategic decisions. In France, the merger between Orange and Bouygues Telecom, which had appeared to be progressing well, collapsed at a very advanced stage of negotiations between the two groups. In other sectors, the Chinese hotel group Jin Jiang increased its stake in Accor to almost 11%. At Axa, Chairman and Chief Executive Henri de Castries announced that he would leave his position on 1 September, to be replaced by a dual management structure Edmond de Rothschild Fund - Europe Value & Yield


The trend in the first-quarter results announced was favourable, with organic growth rates that were up for consumer stocks (top-line growth was often better than expected). The recovery in sales volumes among automotive stocks appeared to be sustainable. The sector, which was still the top performer for the year, reported results that were above expectations. The positive currency impact began to be reflected in organic growth. The retail, travel, leisure, and media sectors all performed well. Upward revisions to growth prospects emerged, especially for consumer stocks. European technology and capital goods stocks were supported by a changing competitive situation in the United States (merger between US players).


Concerns about Greece now appear to be behind us, following the approval of a third international bailout plan by the Greek parliament in July. Following a majority “no” vote in the Greek referendum, Alexis Tsipras presented new draft reforms, which were approved by the parliament, and enabled the country to receive emergency assistance and to reopen its banks. The credit cycle was well underway in the eurozone, according to the ECB survey, which highlighted the strongest improvement in lending conditions in Europe since 2006, which was very encouraging for domestic demand. The major concern, which originated in China, following three successive devaluations of the yuan, was that of a more sluggish growth in the region’s economy (the reported PMI fell during the last two months), which would put pressure on all stocks, and especially on export companies (commodities, automotive manufacturers and luxury goods). Good European macroeconomic statistics went unnoticed: the IFO index in Germany (which was above expectations in September) and the INSEE index for manufacturing in France (which reached its highest point since August 2011).

The quarter was characterised by a large number of publications: the majority of results announced were in line with or better than expectations, thus demonstrating the benefits derived from the weak euro compared to the first quarter of 2014. The second quarter results announced by European companies were good, and included many positive surprises. Over 60% of companies reported results above expectations, thanks to positive currency effects, and a better trend in the revenues and profits generated in the eurozone. Particularly worthy of mention are Airbus, Nokia and Peugeot, which were strong in terms of both margins and cash generation. However, a few companies revised down their annual forecasts, due to uncertainties over the Chinese economy (Volkswagen, Schneider). The Volkswagen scandal (the company was accused of fitting its vehicles with rigged anti-pollution software) dragged all automotive stocks down with it. However, car manufacturers appeared relaxed about their growth prospects at the Frankfurt Motor Show (especially those manufacturers with European outlets like Renault). Discretionary consumption posted one of the rare increases during the month (Richemont, in particular, published good results).


39


Edmond de Rothschild Fund - Europe Value & Yield (continued)

Things were looking up in the third quarter of the year (30/09/2015–31/12/2015), with a rise of almost 5%. European markets rose on the fringe of indications from central banks that remained very accommodating in Europe. Mario Draghi suggested that the European Central Bank is ready to act to support the eurozone and to combat the prevailing weak inflation. In early December, the news around the ECB’s announcement (less accommodating than expected as regards the pace of purchases and the very weak fall in the deposit rate) in a climate of ever-decreasing oil prices (to below the symbolic threshold of $40 per barrel) wiped out some of the progress made by European markets (in the absence of an end-of-year rally, European indices posted falls of more than 5% over the month for the MSCI Europe). The market bounced back in the second half of the month based on good manufacturing PMI figures in Europe (up at 53.1).

Over the last three months of 2015, earnings reports confirmed trends already anticipated during the previous quarter. In particular, difficulties remain on emerging exposures (there were disappointments on Accor, Casino and Edenred in Brazil, and Carrefour and Burberry in China). The most cyclical sectors, commodities, energy and construction were the most heavily penalised. In the automotive sector, figures were still very good in terms of both registrations and volumes. The insurance and telecoms sectors remained robust with good results for ING and Scor, Vodafone and Deutsche Telekom. The luxury sector (particularly French stocks such as LVMH and Hermès), hotels/leisure and airlines, were affected by international tensions after the Paris attacks. Among the pleasant surprises, promising figures were reported by Airbus, and no major concerns were voiced on emerging markets. Daimler, Nokia and Heineken published figures that were well above expectations in terms of volumes, prices and margins.


The most cyclical companies, linked to commodities and energy, were most severely affected by these fears. Banks remain under pressure, as uncertainties over banking regulation, exposure to the oil sector and publications of disappointing results (UBS, Société Générale, Crédit Suisse, HSBC) hindered the sector, which posted one of the sharpest declines since the start of the year. Results were generally reassuring for stocks exposed to the world economy in the luxury, automotive and aerospace sectors. Company profits put up more resistance in the eurozone than in the rest of Europe. M&A activity began at a slower pace than in 2015, but the consolidation of the telecoms sector in Europe led to a great deal of movement. Vivendi continued to cross new thresholds: it now holds 15% of the capital of Ubisoft and a 25% stake in Telecom Italia, making it the company’s largest shareholder. This decision led to the resignation of the CEO of Telecom Italia due to a difference of opinion with Vincent Bolloré regarding strategic decisions. In France, the merger between Orange and Bouygues Telecom, which had appeared to be making good progress, collapsed at a very advanced stage of negotiations between the two groups. In other sectors, the Chinese hotel group Jin Jiang increased its stake in Accor to almost 11%. At Axa, Chairman and Chief Executive Henri de Castries announced that he would leave his position on 1 September, to be replaced by a dual management structure. Edmond de Rothschild Fund - Global Emerging (from February 8, 2016 (commencement of operations) to March 31, 2016) As this Sub-Fund was launched at the end of the year under review, there are no relevant events.


40


Edmond de Rothschild Fund - US Value & Yield April 2015 The US equity markets recorded a slight upturn during the month in local currency. The pace of growth in the US economy slowed down temporarily, as demonstrated by GDP that was up by just 0.2% year on year for the first quarter. Retail sales did not receive the expected boost, as US consumers temporarily chose to save rather than spend. The Federal Reserve, while acknowledging a modest recovery, expects that consumers will continue to save during the year. Meanwhile, the ISM manufacturing and non-manufacturing indexes continued to expand, to 51.5 and 56.5 respectively. Household and business confidence remained high. The Fund’s performance during the month was relatively in line with the S&P 500 index. Overall, the earnings reporting season went smoothly for the companies in the portfolio, with a rate of positive surprises of well above 75% thus far. Two new companies joined the Fund: Bombardier in the aerospace sector and Realogy in the property sector. May 2015 The US equity markets continued to grow during the month in local currency. The property market showed signs of improvement, with housing starts up by more than 20% in April, and applications for building permits and housing sales on an upward trend. The US private sector created 213,000 jobs in April and the unemployment rate stood at 5.4%. Household and business confidence indicators remained high, while the ISM manufacturing and non-manufacturing indexes continued to expand. Against this backdrop, a rise in key interest rates by the end of the year seemed far more likely. M&A activity remained buoyant, especially in telecommunications, industrial conglomerates and semiconductors. The Fund’s clear positioning and its selection of financial stocks had a highly positive impact on performance. However, this was more than offset by the weakness of the technology sector with some disappointing results from companies such as NetApp. The most significant dispersions in performance were observed in the materials sector, with a rise of almost 20% for Louisiana Pacific during the month being counterbalanced by a decline of close to 20% for Teck Resources. We sold off the position on United Health during the month following the stock’s excellent performance. June 2015 The US equity markets declined in June. The market trend reflected the concerns about the international economy, especially Greece and China. The economic figures published over the period shed more light on American growth, with positive surprises from household consumption and the property sector, for sales of both new and old houses alike. During the month, we took advantage of the collapse of Michael Kors’ share price to take up a position on a brand which is now trading at a very high discount despite strong international growth potential. We slightly reduced our positions on Bank of America and Bank of New York Mellon to maintain the constant weight following growth in the sector. July 2015 There was a spike in volatility in July, fuelled by the risk of Grexit and the bursting of the stock exchange bubble in China. Despite some encouraging data from the US economy, especially on the employment and real-estate fronts, cyclical stocks continued their sharp downward trend. Admittedly, economic growth, which we expected to be stronger than at present, is not enough to alter inflation expectations and therefore makes growth stocks with a visible return still attractive. Against this background, risk aversion gained some ground and the Fund markedly underperformed its benchmark index. The market disregarded valuations, as low-valued companies were subject to increasing discounts while the premiums of high-growth companies gained more value. Despite a season of rather encouraging results for most of our stocks, the fundamental approach did not appear profitable at the time. Investors turned to defensive and growth stocks in their droves, leaving aside stocks whose market performance had not gained ground since the start of the year. We found these differences in style difficult to sustain. There were few changes within the portfolio, apart from the return of Micron in semiconductors, whose recent sharp underperformance appeared to be linked to short-term concerns. August 2015 The US equity markets suffered from another upturn in volatility and fell sharply during the month. Day-to-day fluctuations returned to levels last seen in 2008–2009 during the last two weeks of the month. This market development was not related in any way to the health of the US economy: more than 1.45 million jobs were created since the start of the year in the private sector. GDP for the second quarter amounted to 3.7% versus the expected 3.2%. Although the sluggish Chinese economy was a source of concern, it is important to keep in mind that the United States drives its own growth and that its dependence on exports to China is low. Against this background, we remain confident about the growth potential of the US economy for the rest of the year. The Fund’s overall performance is in line with the rest of the market. The sectoral distribution dragged down performance in a climate where defensive stocks (telecoms, public services, consumer staples) were more resilient, as predicted by the trend in the last three months. With regard to stock-picking, of note was Sprint’s 40% growth over the period following the publication of robust results and the growing involvement of its parent company, SoftBank. The second-quarter


41


Edmond de Rothschild Fund - US Value & Yield (continued) earnings reporting season was generally satisfactory for companies in the portfolio with a rate of positive surprises at close to 80%. There were no major changes within the Fund, except for the introduction of Quanta Services in the industrial sector and the sale of DR Horton, following the sharp rise in the company’s share price in anticipation of a recovery in the property market. September 2015 The markets fell sharply in September, in a context marked by a binary trend and exceptionally high daily fluctuations. The general confusion on the markets seemed to be primarily linked to concerns about the transition of the Chinese economy and the timeline for the Federal Reserve’s interest rate hike. The Fed’s decision not to raise interest rates was considered as a sign of either uneasiness in the US economy or a stronger than expected slowdown in emerging countries. However, the US economy did not show any major signs of weakness during the month: GDP figures for the second quarter were revised upwards to 3.9% year on year versus 3.7% previously, retail sales continued to grow and the morale of entrepreneurs remained high. The only disappointment came from employment figures in the private sector in September, with 140,000 jobs created versus nearly 200,000 expected and a downward revision for the previous month. October 2015 The markets recovered strongly in October, comfortably making up for the losses of the previous month. The US economy continued to grow, albeit more modestly, without showing signs of further acceleration, as illustrated by the Q3 growth figure of 1.5% and the creation of more than 100,000 jobs in the private sector in September, which was below the 200,000 trend observed in the last twelve months. Consumption remained the missing link to fuelling the momentum of the US economy. The corporate earnings reporting season for the third quarter hinted – if we exclude the energy sector – at a slight increase in profits of 3–4% and a cautious stance from businesses, which was more a result of uncertainty about the global economy than a reflection on the US economy, which remained strong in most segments under consideration (excluding energy). During the month, the Fund recorded a sharp rise that was, on the whole, in line with its benchmark index. The sectoral positioning made a positive contribution, through overweighting on materials and the absence of consumer staples stocks. Financial stocks had a slight adverse impact as they did not fully match the market upturn. Up to this point in the year, nearly two-thirds of the companies in the portfolio had reported their earnings. The ratio of positive surprises to favourable stock market reaction stood at 68%, which is generally consistent with the season and very far from the highly pessimistic anticipations that plagued the companies in the portfolio in recent months. Positions in Owens Corning and Masco –both US property companies – were sold after rising sharply. November 2015 The US equity markets ended the month at levels that were mostly unchanged. US employment figures provided a positive surprise, with nearly 270,000 new jobs created in the private sector in October versus 169,000 expected. The previous month was also revised upwards. In this climate, market expectations, strengthened by statements from Fed members, tended towards an initial increase in rates before the end of the year. The main uncertainty was about the pace and scope of future increases. The only significant shadow over the US economy was the weak growth in consumption, as illustrated by retail sales, which were up by just 0.1% month on month. Nevertheless, US consumers benefited from a low unemployment rate, enhanced purchasing power owing to the low oil prices and a lukewarm recovery in demand for credit. During the month, the Fund recorded a significant underperformance compared to its benchmark index. The positive contribution of the sectoral distribution was more than offset by stock-picking, primarily in the technology and materials sectors, with stocks such as Qualcomm, NetApp, Owens-Illinois and, once again, Teck Resources declining by more than 10% over the period. In the energy sector, we exchanged our position on Baker Hughes for a position on Halliburton, which initiated the proposed merger between the two companies. We consider that in the medium term, a sector consolidated around two major players (Schlumberger and Halliburton/Baker) will emerge stronger from the current crisis, in a field where technology and expertise are becoming increasingly important. We sold our position on Best Buy in the consumer sector. December 2015 US markets ended December on a down note, amplified by the weakness of the dollar over the same period. The Federal Reserve raised its key interest rates for the first time since 2006, thereby sending a much-awaited confidence signal regarding the state of the US economy. This first symbolic increase should be followed by a gradual increase of rates by 100 or more basis points per year until 2018. However, such a move is dependent on the health of the US economy, according to the Fed, which has given itself some room for manoeuvre. The US economy continued to send out encouraging signals. The unemployment rate stood at 5%, housing starts and applications for building permits continued to yield positive surprises, with increases of around 10.5% and 11% respectively. Lastly, morale among small and mid-sized companies, as measured by the


42


Edmond de Rothschild Fund - US Value & Yield (continued) NFIB, remained high. During the month, the Fund lagged significantly behind the S&P 500. The most resilient sectors were the traditionally defensive stocks – consumer staples, telecommunications and public services – in which we are either absent or significantly underexposed. We were also adversely affected by our overweighting on materials and financial stocks. Stock-picking also adversely impacted almost all sectors, which reflected a problem in approach and style in the absence of any specific news about stocks held in the portfolio. We significantly reduced our position on Zions Bancorporation due to the bank’s significant exposure to Texas and therefore indirectly to the energy sector. January 2016 The US market recorded a sharp fall in January, marking one of the worst starts to the year in half a century. Growing anxiety about the international outlook and more particularly the situation in China undermined the robust economic indicators reported by the US economy. Apart from industrial production which faltered as indicated by the ISM manufacturing index, consumer confidence figures, housing sales and the ISM services index were robust. In this anxious climate, the Fed’s statements, stressing the pragmatic nature of the timetable for future rate hikes, were interpreted as confirmation of the global economic downturn. The Fund declined sharply during the month. The banking sector, the Fund’s primary sector, returned to valuation levels close to those of 2008, despite greater structural strength, very low exposure to the Chinese economy and a more cautious stance linked to the effects of new regulations. For example, companies such as JP Morgan and Bank of America fell by 12% and 17% respectively. On a market dominated by automatic flows, the “mechanically defensive” sectors – telecoms, public services and consumer staples – recorded solid gains. Our marked underweighting on these sectors penalised us once again. During the month, Axiall, an industrial company held in the portfolio, rejected a takeover bid which valued the company with a 100% premium compared to its current stock market price, thereby driving the stock into positive territory. Axiall rejected the bid, because like many companies considered as “cyclical”, it currently trades at levels completely disconnected from its fundamentals and it has a significant potential for recovery. We therefore remained patient and did not make any major changes within the portfolio during the period. February 2016 February was particularly turbulent on the US equity markets, contrasting with the lack of significant change with regard to fundamentals. After a decline of more than 10% in mid-February, the markets eventually ended the month on a slight upturn. These erratic fluctuations reflected the misguided concerns of investors due to a lack of clear indications. For example, the start of the month was marked by fears of an industrial recession in the United States – linked to the oil complex – for which the decline in the ISM manufacturing index acted as a precursor. Reasonable job creation figures and consumer sentiment were not enough to allay fears. Figures for durable goods orders (up by 4.9% versus the expected +2.9%), industrial production (+0.9% versus +0.4% expected), and inflation restored some confidence, which should not have been lost in the first place. Despite the emotional roller coaster caused by market fluctuations, the actual situation of the US economy remained as follows: a modest but continuing recovery, a low unemployment rate, a positive net impact of low oil prices, a low dependency on exports to China and a banking sector which has never been more robust and cautious in the last 15 years. Against this background, the fall of banking stocks by more than 20% for no specific reason since the beginning of the year appeared disproportionate and would require a negative interest rate scenario to justify it. We felt that the recovery instigated in the second half of the month was just the beginning of a rebalancing process. In line with previous months, we made no major changes, except for the sale of Anthem after the stock’s robust market performance and that of EMC. The bid from Dell for EMC does not seem to leave much potential for increase given the latter’s conditions, especially regarding VMware. The Fund remained fully invested. March 2016 The US equity markets were up in March. Fears of a hypothetical industrial recession were dispelled in the light of the encouraging economic figures reported. Job creation in February continued with 230,000 new jobs in the private sector versus the 190,000 expected. Manufacturing activity was almost stable, as shown by the ISM manufacturing index at 49.5. At the same time, non-manufacturing activity continued to grow with an ISM index of 53.4. A novelty in March was the new direction taken by inflation anticipations, due in particular to the 2.3% increase in the consumer price index excluding energy and food. Despite all these positive indicators, the Federal Reserve refrained from raising interest rates, exercising great caution with respect to changes in the global economic climate. On the political front, a duel between Hillary Clinton and Donald Trump seems increasingly likely.


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Edmond de Rothschild Fund - US Value & Yield (continued) At this stage, it is still too early to evaluate the electoral proposals of both candidates, particularly on the Republican front where the party line remains confusing and sometimes contradictory. The Fund recorded a sharp increase over the period, driven by signs of a recovery on stocks unfairly neglected in recent months. We made no major changes to the portfolio during the period, other than to strengthen our position on Micron Technologies following the stock’s decline, as the company’s stock market price fell below the value of the assets, especially its strategic assets. We sold off our position on TDS in the telecommunications sector, as the current price war in the industry is a negative factor and we consider the company’s outlook without a strategic partnership to be limited. Edmond de Rothschild Fund - Europe Flexible (from January 22, 2016 (commencement of operations) to March 31, 2016) As this Sub-Fund was launched at the end of the year under review, there are no relevant events. Edmond de Rothschild Fund - Global Healthcare EDR Global Healthcare suffered a significant correction between 30/3/2015 and 30/3/2016: the healthcare sector has been penalized by US presidential elections debates around the pricing of drugs and large pharmaceuticals companies and biotechnology firms underperformed; after several years of strong growth, Hillary Clinton comments following Valeant pricing policy triggered significant outflows. On the other hand, healthcare services and health maintenance organizations (HMOs) were more resilient as Obamacare reform keeps unfolding and the subsector is undergoing consolidation. There were a number of M&A deals which contributed to the fund performance even though the final approval by regulators is still pending. Finally the innovation cycle and new drugs approval will drive earnings growth for many biotechnology companies. Underpinned by deep-seated trends, the healthcare sector offers high visibility. It benefits from favourable economic, financial and demographical factors. Many sector companies have robust finances and strong cash generation, helping them boost shareholder returns and drive external growth. This is why there are so many mergers and acquisitions. The sector is currently trading on 15.5 times annual profits, below its historic mean of 16.5 times and in line with international equities as a whole (15.8 times). Against this backdrop, we remain convinced that healthcare offers robust long term growth potential as long as in-depth fundamental analysis is first carried out to isolate the companies with the best prospects. Edmond de Rothschild Fund - Global Value The trading year was punctuated by statistics from China, with concern and relief alternating as regards the risk of deflation related to the Chinese slowdown, by the actions of central banks to protect themselves from the slowdown and by macroeconomic figures reflecting the continuation of US growth at a moderate but robust pace. These factors led to significant fluctuations in oil and commodity prices and, to a lesser extent, exchange rates. April 2015 US statistics reflected a slowdown at the start of the year, with GDP up by 0.2% year-on-year for the first quarter. The Fed considered this slowdown to be “temporary” and continued to explore the possibility of a rate rise. Companies’ quarterly results posted growth in EPS of 3-5% on average, penalised by the dollar. In Europe, disappointing PMI surveys cast doubt on the strength of the recovery. However, GDP in the eurozone reached +1.4% for 2015, after growth of 0.5 pp already achieved in the first quarter, sustained by solid consumption. EdR Global Value underperformed its benchmark in April. The Fund was weighed down over the month by its high exposure to the automotive sector, while Kering’s performance reflected a difficult quarter. Similarly, in the industrial sector, securities in United Continental, Owens Corning and Mastec all disappointed. In the banking sector, overexposure to US banks at the expense of European banks weighed on the Fund. The strong increase in the oil sector benefited the Fund (Marathon Oil and Whiting Petroleum). Faurecia was sold and D.R. Horton reduced, following the sharp rise in these companies since the turn of the year, whilst our interest in ASUSTeK Computer was strengthened. We remained confident regarding the economic conditions in the US and the European recovery, vindicating the decision to expose the Fund to cyclical stocks.


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Edmond de Rothschild Fund - Global Value (continued) May 2015 The US equity markets continued to progress during the month in the local currency, driven by the improvement in the property market, good job creation figures and favourable confidence indicators. In this environment, a rise in key interest rates by the end of the year seemed more than likely. M&A activity was sustained, especially in telecommunications, industrial conglomerates and semiconductors. The European equity markets posted a modest performance in May, shared between, on the one hand, the statements from the ECB announcing an acceleration in asset purchases by the summer, which helped to calm the bond markets, and, on the other, the rise in political risks following the good results achieved by Podemos in the Spanish local elections and crucial repayment deadlines arriving for the Greeks. The emerging equity markets were subject to profit-taking at the end of the month, at the same time as a depreciation of currencies, probably in anticipation of a rise in US rates. The Japanese market was sustained by better-than-expected GDP figures. The US portion of the Fund outperformed, driven by its exposure to the recovering property market and by the overrepresentation of banks. In contrast, the absence of Japanese securities, the poor performance of the Asian securities in the portfolio, and the underweighting of the British market were all unfavourable. Lastly, the technology sector recorded a few disappointments this month, as in the case of NetApp. June 2015 US economic figures confirmed their improvement during June. Job creation continued at a fast pace and there were encouraging signs of recovery in property construction. In Europe, markets moved in line with political news from Greece, ending the month on a sharp downturn following the announcement of the planned referendum. Against this uncertain background, emerging markets remained especially volatile, and fears were accentuated by disappointing economic news from China. The portfolio slightly outperformed its benchmark index over the period. US banks contributed positively whilst our exposure to emerging securities pegged back performance. We made a number of arbitrage trades on securities by continuing to reduce our automotive stocks (Michelin and Volkswagen) and telecoms holdings (Telecom Italia), and strengthening our exposure to the construction sector with Italcementi and aeronautics with Rolls Royce and Bombardier. July 2015 Concerns about the Chinese economy continued to impact the markets, following the publication at month end of the PMI Markit flash index for the manufacturing sector, down from 49.4 at the end of May to 48.2. In Europe, confidence indices in the eurozone rose to their highest annual levels following the signing of an agreement between Greece and its creditors. The first quarterly company results illustrated the benefits of a depreciated euro and cost-cutting efforts. Lastly, the US economy seemed to continue to accelerate as a result of the recovery of residential property and the fall in unemployment. Monetary tightening therefore appeared increasingly likely before the end of the year. In this climate of uncertainty on the pace of global growth, the markets further increased their focus on defensive sectors such as healthcare, basic consumption and public services, which achieved high valuation multiples, at the expense of industrial stocks; this led to significant underperformance by the Fund. Despite its underweighting, the energy sector had an impact on performance, on account of high beta stocks such as Whiting Petroleum. However, discretionary consumer stocks and US banks made a positive contribution to performance. From a geographical point of view, our exposure to emerging securities pegged back performance, whilst the overweighting of the eurozone was favourable. We took profits on Bayer and Siemens and sold Italcementi after the offer was announced. Michelin, Louisiana Pacific and Bombardier were strengthened on the back of diminishing prices. The takeover bid for Italcementi by HeidelbergCement with a premium of 60% illustrated the difference between the market valuation and the industrial value of certain securities. We remained convinced of the potential for catch-up in cyclical stocks, which were currently trading at a very significant discount, despite having strong prospects and good balance sheets. August 2015 Concerns about the Chinese economy generated historical volatility following the depreciation of the yuan and the publication of a disappointing PMI index. Oil and commodity prices reached new lows. The risks of contagion seemed overestimated. The US economy remained very well positioned, with the ISM manufacturing index at 52.7, an unemployment rate of 5.3%, sustained job creation and wage inflation of 2.3%. Consumer confidence remained high (at 101.5) and housing starts accelerated (1.2m year-on-year). The publication of year-on-year Q2 GDP growth of 3.7% caused markets to bounce back at month end. In Europe, the business climate continued to improve and the upturn in bank credits (up by 0.9% in July) made the scenario of a return of deflation unlikely. The political risk nevertheless remained high, with Greek, Spanish and Polish elections in forthcoming months. Despite all this positive news, doubts about the pace of global growth and the return of volatility further strengthened the focus on defensive sectors, at the expense of cyclical stocks. This had a particular impact on EdR Global Value, through three sectors: the energy sector suffered from an accelerated fall in oil prices and discretionary consumer stocks were held back by the perception of a Chinese slowdown, particularly European players operating in the luxury sector. Lastly, a correction was seen in financial stocks, reflecting the doubts over global economic health and


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Edmond de Rothschild Fund - Global Value (continued) postponement of the prospective rate rise. It should be remembered that the Fund’s direct exposure to China was limited to less than 2%. The devaluation of the Brazilian real affected the performance of the airline GOL. After the strong market correction, the Fund’s valuation discount compared to the market increased further, to 30%, with an average 2015 P/E of 11, a figure which had only been achieved in August 2011. September 2015 High volatility in equity markets and high-yield credit in September, boosted by a continued slowdown of the Chinese PMI index and the postponement of a rate rise by the Fed, highlighted the risk of a deterioration in financial conditions. EdR Global Value particularly suffered from this market panic. During September alone, eight portfolio positions fell by more than 25%, five of which related to the energy and materials sector. This behaviour was overstated and somewhat reminiscent of the crises of 2008 and 2011. However, we were not at all in the same situation; the fall in commodities in connection with the slowdown in Chinese demand had already been largely absorbed and did not represent a systemic crisis as with the two previous crises. The average valuation of portfolio securities was less than 11 times lower than 2016 results estimates, i.e. a discount of 30% compared to the value of the MSCI World index, an historically high level. Slightly negative news was used to sell large swathes of sectors, resulting in a lot of excess. The Volkswagen scandal weighed heavily on the performance of the stock, which fell 36% over the month, whilst concerns surrounding the level of provisions for nuclear decommissioning caused RWE to fall 25% over the period. The recovery of certain securities that saw excessive selling in previous months, such as Bombardier, which showed a 29% rise in September, illustrated the speed at which performance was returning in an environment of high volatility. In this context, we remained convinced of the potential for catch-up in our selection of cyclical stocks, which were currently trading at an historical discount, despite their strong prospects and good balance sheets. October 2015 Against a background of recovery in equity markets, fuelled by monetary policy announcements and the easing of fears about the Chinese economy, EdR Global Value performed in line with its index. The Fed half-opened the door to the possibility of a rate rise in December, which sent out a positive signal on the US economy, despite its showing no signs of renewed acceleration, as evidenced by the 1.5% GDP growth figure for the third quarter and by the creation of 100,000 private sector jobs in September (compared to 200,000 over the previous 12 months). Chinese GDP exceeded expectations, with a rise of 6.9% for the quarter, which enabled us to alleviate investors’ concerns. The plenary session of the Chinese communist party announced that it was counting on annual GDP growth of 6.5% in its next five-year plan. The European Central Bank set a date for increasing its asset purchase programme in December, with inflation remaining weak despite confirmed growth. The results season ended, allowing us to measure the health of US banks, to which the Fund is highly exposed, whilst numerous announcements of transactions in the IT segment supported the sector. US construction securities performed well, especially Masco and Louisiana Pacific. There was greater contrast in announcements in the industrial sector, with disappointment over Meggitt (aircraft maintenance). Faurecia, the European automotive OEM, heavily discounted despite prospects of improvement in its margins, went back into the Fund. November 2015 The equity markets continued their recovery, driven by a buoyant economic context and the accommodative policies of central banks. The upward revision of US GDP for the third quarter to 2.1% year-on-year and the 3% rise in durable goods in November confirmed our positive scenario for the region and the prospect – now backed by the consensus – of a Fed rate rise in December. European markets accelerated their performance at the end of the month, fuelled by the prospect of further accommodative action on the part of the ECB. Consumer confidence surveys and the PMI indices were close to their highs, at 54.4 for the eurozone Composite PMI. The terrorist attacks in Paris and the increase in tensions between Russia and Turkey did not hamper the rise. EdR Global Value took advantage of the recovery of US banks, which benefited from a rate rise, but the poor performance of some securities following disappointing quarterly results prevented the Fund from outperforming its benchmark. In the discretionary consumer sector, Swatch and Las Vegas Sands (casinos) securities suffered the consequences of the Chinese anti-corruption policy, whilst Macy’s was disadvantaged by the strength of the dollar. Furthermore, Rolls Royce published a fifth profit warning. Teck continued to be pegged back by the fall in commodities. However, Metro announced an increase in its dividend and Meggitt bounced back after the excessive correction of the previous month. ST Microelectronics recorded a strong performance, supported by the return to competitiveness linked to the fall in the euro. We took profits on Melia, Citrix


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Edmond de Rothschild Fund - Global Value (continued) and Nvidia. NH Hotels was introduced into the Fund, offering exposure to the European city-centre hotel cycle with significant operational and financial leverage. December 2015 The Fed’s rate rise confirmed its confidence in US growth and heralded a very gradual rise in rates. However, December saw a correction in equity markets, troubled by fears of a slowdown in emerging markets and the fall in commodity prices. The OPEC meeting concluded without reaching agreement on a production ceiling. The US economy nevertheless continued its favourable trajectory, with GDP growth for Q3 at 2.0% year on year, a Composite PMI at 53.5 for December and housing starts at 1.17 million year on year. In Europe, markets fell, disappointed by the actions of the European Central Bank. PMIs remained high, with the eurozone composite at 54.0 in December, still buoyed by Germany (54.9), Spain (56.2) and Italy (54.3). The Spanish elections generated a risk of instability, as with Portugal. Lastly, although feelings surrounding China remained negative, figures for industrial output, investments and power generation in November reflected something of a stabilisation in the economy. The fall in the markets was further reflected in a downturn in defensive sectors, whilst the effect of the drop in commodity prices was magnified in the industry and energy sectors. On this last point, the Fund’s exposure was limited to 5%. We did not introduce any new securities in December, in order to focus on a limited number of strong convictions. Securities of financial corporation CIT Group were sold, the price target having been reached, whilst the strengthening of Qualcomm, a mobile telephone equipment producer, sought to take advantage of a downturn at the beginning of the month. Exposure to US regional bank Zions Bancorp was greatly reduced. In this context, we remained convinced of the potential for catch-up in our selection of cyclical stocks, which were currently trading at an historical discount, despite their strong prospects and good balance sheets. January 2016 The fall in the oil price, fuelled by disappointing consumption statistics from the IEA and by the effective lifting of sanctions against Iran, seemed to have driven the equity markets. The pace of the Chinese slowdown was also the focus of concerns; GDP growth of 6.8% in the fourth quarter did not seem to substantiate a hard landing. US statistics were mixed, with disappointment at the rate of GDP growth (0.7% for Q4 on an annualised basis) and industrial output, whilst property held up well. Leading European indicators stayed at high levels. The central banks still seemed determined to maintain accommodative policies. The performance of EdR Global Value was poor in January: US financials corrected sharply, reflecting the prospect of recession, in spite of good results. A few special cases weighed on the Fund’s performance, particularly Bombardier, which was not selected by United, and Zoomlion, which made an offer for US company American Terex. The part of the Fund exposed to energy underperformed the market but the contribution was still sharply down, with independent producers having fallen further. We did not introduce any new securities but we sold off Roche, after a long run, and sold GOL, which represented high exposure to the risk of devaluation of the real. February 2016 Operational and regulatory concerns about the banks triggered panic mid-month, whilst statements with regard to oil generally drove the market, enabling a rise at month-end. Chinese statistics were quite reassuring on property, production prices and credit. In the United States, orders for durable goods rose by 4.9% in January, the strongest increase for a year, which was reassuring after the fall in the ISM manufacturing index to 48.6 and the 3.8% contraction in housing starts. In Europe, the leading ISM indicators showed a dip at the end of the month, particularly in their manufacturing component, but remained in expansion territory. Annual company results showed an aggregate increase in earnings per share for the year of 2% in the United States - due to the negative impact of the energy sector and the unfavourable currency effect - and a 7% increase in aggregate earnings in the eurozone. Although the recovery at the end of the month illustrated the potential for catch-up in the Fund, it still seemed too early to talk about sector rotation. We noted the positive contributions from commodities (Teck Resources, Mosaic and Allegheny), industrials (United Continental and Rolls Royce) and technology (NetApp and Qualcomm). The banking panic weighed on the Fund’s strategy in favour of US banks, whilst securities exposed to oil (Whiting and Marathon in particular) bore the brunt of concerns over their balance sheets, in a sector context of many capital increases. We remained convinced of the potential for catch-up in our selection of cyclical stocks, which were currently trading at an historical discount, despite their strong prospects and good balance sheets.


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Edmond de Rothschild Fund - Global Value (continued) March 2016 In March, global equity markets continued a recovery that had started in mid-February, driven by the rise in commodities and oil and the stabilisation of the yuan. In the United States, the publication of encouraging job creation figures dissipated fears of recession. While the Federal Reserve refrained from raising its rates, inflation still seemed likely to accelerate. In Europe, the additional unconventional measures announced by Mario Draghi, although substantial, did not have the expected knock-on effect. Emerging markets led the rise, with the Brazilian index out in front. In China, the stabilisation in manufacturing was accompanied by a slowdown in deflation. These favourable developments reflected the tax and monetary incentives. The recovery of equity markets was driven in March by the materials and energy sectors, financials and industrials, whilst pharmaceuticals and basic consumption underperformed, signalling a significant sector rotation that was positive for the Fund. The doubling of Whiting Petroleum during the month, as well as the performance of Anadarko Petroleum and Tata Motors, illustrated the speed of catch-up when excessively pessimistic scenarios are set aside. We introduced two new securities into the Fund: Anadarko Petroleum, an oil exploration group that has very attractive assets in the United States and whose international assets are undervalued by the market, and ThyssenKrupp, an industrial conglomerate that should benefit from a revaluation of its capital goods division thanks to an improved outlook for steel in Europe. The position in Metlife was strengthened, with the group having been excessively disadvantaged by the risks of supervision by the Federal Reserve; we also increased exposure to Endo, a speciality pharmaceuticals group wrongly caught up in the turmoil at Valeant that could reap the benefit of new product development. Edmond de Rothschild Fund - Infrasphere

04/2015 April saw the USD suffering from renewed weakness, particularly against the EUR. The macroeconomic climate in the United States has tended to weaken, pushing back the likelihood of an initial interest rate hike in June. The US Federal Reserve has nevertheless maintained its capacity to act at any moment, thereby reducing visibility for the financial markets. The next round of economic data on the United States will be critical in determining whether the slowdown has been temporary or not. This environment has led to a correction in most equity markets. The decline was more pronounced in the US and less so in Europe, while the emerging region has come out on an uptrend. However, note India’s underperformance, which continues to trigger profit-taking, though without jeopardising the country’s outlook. The infrastructure sector’s decline therefore needs to be seen in this perspective. Among the companies most affected within the portfolio were (unsurprisingly) those based in India (including VA Tech Wabag, Gujarat Port, Larsen & Toubro). We also reduced selected positions, so India now represents 6% of the portfolio. Note, too, the sharp month-end correction dealt to Waste Management. The company, a US leader in waste management, has published results below expectations -- particularly in recycling -- due to negative currency effects. Its fundamentals remain strong and the company has reaffirmed its free cash-flow expectations for the year. Among the good performers, Guangdong Investment benefited from a solid performance by its water distribution business and a very strong rise by the Hong Kong Stock Exchange. Another good performance came from Eurotunnel, driven by a strong across-the-board increase in traffic volume. We nevertheless cashed in some of the profits after this big rise. 05/2015 Macroeconomic numbers for Europe (especially GDP) have been reassuring about the sustainability of the region’s recovery. The climate has benefited the market, which is also being fed by the ECB’s short-term boost in Quantitative Easing. In the United States, the figures were somewhat mixed. Numbers on employment and real estate are improving, but expansion is not as strong as in previous cycles, with GDP growth down in Q1. While the rate hike cycle is still expected to start in 2015, it remains conditional on improvement in the economy. Emerging markets came in for profit taking. As a theme, infrastructure ended down slightly over the month, with the sector somewhat neglected by the markets in the current climate. The prospect of rate hikes is putting a brake on yield stock performance, though we think the rise will remain moderate. The performance of midstream players (transport and storage of petroleum products) in North America this month — such as Pembina Pipeline, Keyera Facilities and Enterprise Products — has impacted the fund. The market has shown concern about converging price differentials between various product types, and the risk of a dip in volumes over the short term. Corporate earnings reports have reassured us regarding the strength of their business model. And the companies have continued to sign long-term pipeline supply contracts and to announce increases in their dividends. Rail freight companies were also hit by less-than-expected volume growth in Q1, partly due to the weather, but also to coal transport, so we have reduced exposure to this segment. Note the rebound recorded by Indian companies after the profit-taking that followed the beginning of the year.


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Edmond de Rothschild Fund - Infrasphere (continued) 06/2015 The uncertainties over Greece have generated high volatility on the financial markets, and prompted a return of risk aversion that is penalising the equity markets. The MSCI World All Countries index made a -3.9% correction, which was greater in Europe (at -4.6% on the MSCI Europe), while the US region showed better resistance (-3.5% on the S&P 500). Emerging markets fell -4.1% on the MSCI EM (total return, EUR). Except for the Greek saga, economic indicators in the euro zone have continued to show signs of improvement in the economy. Meanwhile, the US Federal Reserve still intends to raise its interest rates in 2015, but the recovery is not yet strong enough for a first increase. As a theme, Infrastructure fell in line with the market correction. Stocks in the utilities sector (GDF, Eversource, NextEra and Enel) in particular, have been badly hit. In contrast, note the positive performance of select emerging stocks (such as Aboitiz Power, Grupo Aeroportuario del Centro Norte, and Larsen & Tubro). Rubis also put in a noteworthy performance in a declining French market. A meeting with the company has reassured us that its business model was appropriate (storing petroleum products and distributing petroleum products in niche markets). Its recent acquisition of Eres in West Africa and a 71% stake in the Sara refinery in Martinique are part of this strategy, and are allowing the company to take on new dimensions. Debt remains under control (Net debt/Ebitda is 1.9x) and dividend policy remains unchanged. We have also increased the position on Severn Trent, in the UK water distribution sector. The regulatory environment was recently frozen for the next five years, resulting in improved long-term visibility. 07/2015 Having tracked the negotiations up and down, financial markets finally started to rebound following the pact between Greece and its creditors. The market upturn took place mainly in the developed countries, with Europe closing up +4% and the United States gaining +3.4%, in euros. Emerging markets lagged behind, losing -6% in the wake of China’s market correction. Plus, there was the negative impact of falling commodity prices on some of these markets, with Latin America leading the way down (-7.2%). In contrast, India, an oil importer, gained +3%. The economic picture remains mixed. In the United States, despite unemployment hitting a new low, average wages have not been increasing. This is unlikely to encourage the Federal Reserve to hike rates in September. The ECB has maintained its accommodative stance, and economic indicators point to a slowdown in growth for Europe. Meanwhile, despite further monetary easing in China, its economic performance remains mixed. As a theme, infrastructure came out in line with the MSCI AC World. Among the good performers were Vinci, which has benefited from an increase in orders and a sharp drop in its debt; and OMA (Grupo Aeroportuario del Centro Norte) in Mexico, where operating profits climbed 29% in Q2 thanks to strong growth in passenger traffic and non-aeronautical revenues. And in Canada there’s also CN Railways which, despite a drop in traffic volume (due to low commodity markets), posted a further hike in productivity and an increase in its tariffs. In contrast, falling oil prices have impacted the performance of midstream companies like Pembina, Gibson or Enterprise Product Partners. Nevertheless, MPLX’s bid for MarkWest Energy Partners is testimony to the value of pipeline and hydrocarbon storage assets. We took our profits on MarkWest and Rubis following their strong respective performances. 08/2015 The surprise devaluation of the yuan reviving fear of a currency war, slowing growth across Asia and the uncertainties surrounding US monetary policy normalisation — all impacted heavily on investor sentiment in August. Global equities (MSCI AC World) corrected by -8.7% in EUR, the worst monthly performance since February 2009! Emerging markets were down -10.8%, underperforming developed countries for a fourth month in a row. Chinese equities lost -13.3%: the measures taken by the government to stabilise the market have hardly convinced investors, who are even more concerned since publication of the manufacturing PMI. While volatility has reached levels last seen at the end of 2011 which echo investors’ risk aversion, the infrastructure theme — being defensive by nature — performed well in August. The fund outperformed the MSCI AC World by nearly 1.4% in EUR. Given the prevailing climate, we decided to reduce our emerging market exposure. We have sold Larsen & Toubro since the stock’s good performance resulted in a high valuation, and we remain doubtful about capex acceleration in India. The profits on Kepco were also cashed-in following publication of excellent Q2 numbers, due to lower fuel costs, as well as Gujarat Pipavav, India’s port terminal operator, as the slowdown in international trade could impact container volume. In the developed countries, Rubis reported excellent sales for the first half, thanks to its distribution business, which has benefited from lower oil prices. What’s more, they helped offset the weakness in its storage activity. Also worth noting was the strong performance at Vinci which, thanks to its defensive profile and strong cash-flow generation, lost only -1.7% in August. The increase in airport and road traffic this summer, and a soft-landing for the contracting business suggests the company has bright prospects.


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Edmond de Rothschild Fund – Infrasphere (continued) 09/2015 Investors were looking forward keenly to September, with some expecting an end to accommodative monetary policy in the United States. But in the end, the US Federal Reserve put the rate hike on hold, citing the deterioration in the global economy, and China’s in particular. The flash Caixin PMI index reached its lowest level since March 2009 (at 47 in September) and industrial profits dropped (-8.8% y-o-y in August) recording the biggest drop in four years — both sources of anxiety that further confirm the slowdown in China. With investors fearing contagion to the world’s economy, global equities continued their pace after August’s sharp fall, yielding -3.6% in September (MSCI AC World EUR). Unsurprisingly, emerging markets underperformed, considerably impacted by Latin America and more specifically the politico-economic crisis in Brazil, highlighted by S&P’s downgrade to its debt. Given this very nervous environment, infrastructure has performed relatively well as a theme, costing the fund just -2.2% against the MSCI AC World’s -3.3% slide. In this highly volatile climate, two emerging stocks recorded the best performances: Guangdong Investment climbing +10.1% in euros, benefiting from the high visibility of its exclusive right to supply Hong Kong with water, and Gujarat Pipavav, which rebounded +10.3% in September, after underperforming since April. Rubis (+5%), which reported excellent results at August’s end, announced that it would be merging its Easigas LPG activities in Southern Africa with Reatile Gaz. Airport consolidation is in full swing in Europe, with Fraport very close to finalising its acquisition of the Greek regional airports, while France’s ADP (-1%) preferred to focus on complex acquisition projects requiring the construction of a new terminal. Engie (-9.7%) issued a profit warning after a yet another delay in its programme to restart both its Belgian nuclear reactors in 2016, with the Belgian regulator not yet having given its green light. 10/2015 Global markets climbed significantly in October, up 9% on the MSCI World AC in euros. Growth was relatively uniform across the major geographic regions, while being slightly stronger in Europe and the United States compared with the emerging world. This development marks a partial recovery in risk appetite in the wake of announcements made by the central banks. The ECB suggested that new accommodative measures to support the economy were possible, while China's central bank has continued to lower its interest rates (making its sixth cut in less than a year), and encourage infrastructure projects. In the United States, the status quo has continued, with a first rate hike once again envisaged for the year end. In this environment, the fund gained more than 5%. It did well in particular from a rebound in midstream companies in North America (Enterprise Product Partners and Keyera Facilities in particular), which had been heavily penalised by the market since the beginning of the year. Canadian National Railways has benefited from a rise in prices which, combined with productivity gains, has more than offset weaker volumes. In contrast, Gujarat Pipapav Port has been penalised by the slowdown in shipping, which has caused some margin shrinkage. Within the fund, we exited Secure Energy Services. The stock has already corrected sharply last year, but its oil industry investment business is expected to remain lack-lustre in the medium term. A position was initiated on Jasa Marga, an Indonesian highway operator. The company should benefit from a major new highway construction programme aiming to double the existing network by 2018. We took some of our profits on Pennon following its agreement to acquire Bournemouth Water, and on ADP, which, having benefited from considerable growth in air traffic, now needs to make significant investments. 11/2015 After October’s strong rebound, equity markets consolidated in November by close to 1% in USD (+3.3% in EUR). While the likelihood that the US Federal Reserve will hike its rates in December rose sharply, the minutes released by its FOMC nevertheless stressed that the pace of the upcoming increases would be very gradual. The euro appreciated more than 4% over the period, while signs of monetary policy divergences between the United States and Europe are evident. Unsurprisingly, in a situation where the USD has been on the rise, emerging markets and commodities have underperformed. Infrastructure, as a theme, was also corrected in this climate of rising US bond yields. The fund was up slightly, gaining +0.6% in November (in euros). We have initiated two new positions, Eiffage and Airports of Thailand (AOT). Like Vinci (our top portfolio company), Eiffage appears to have reached a low in its construction activities. On its motorway concessions (around 65% of operating income), traffic remains strong (up by about +3% in 2015) and should remain buoyant in 2016. Margins are continuing to improve (+75% for the APRR franchise). But above all it was paying down APRR’s maturing debt that allowed the company to reduce its financial cost and increase cash generation. Eiffage is also expected to raise its dividend to a sustainable level over time. AOT operates six airports in Thailand, including Bangkok International (Suvarnabhumi) and Phuket. Traffic should continue to benefit from tourism, in particular from China and Japan, but also with the growth of low-cost companies. The Thai government has implemented measures that should contribute to the growth of tourism. We cashed in our profits on Pennon after the stock’s strong performance, and those on Severn Trent, too. Faced with doubts over Eurotunnel’s acquisition strategy (regarding a possible stake in London City Airport), we have reduced our exposure to it.


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Edmond de Rothschild Fund – Infrasphere (continued) 12/2015 Global equity markets ended the year on a negative note, dropping more than -1.9% (or -4.7% in euros) in December. Above all, the month was marked by the first US rate hike since 2006. Nevertheless, Federal Reserve chair Janet Yellen confirmed that the pace of policy normalisation would be gradual. The euro appreciated +2.9% in response to the ECB's announcements, which were deemed surprisingly measured by the markets. Oil prices remained under pressure, with Opec members failing to reach an agreement regarding a potential cut in output at their biannual meeting. Given the climate, infrastructure slightly outperformed global equities as a theme. The fund closed December down -4.4% in euros. Penalised by rate hike re-pricing in the US in 2015, the infrastructure sector should benefit from renewed interest in 2016 as global monetary policy is likely to remain accommodating (except in the United States, where the rise will be gradual). This will provide a relatively supportive scenario for concession operators. Highway and air traffics should also continue to benefit from the low oil prices. The fund is now fully invested with a cash reserve of approximately 2%. The terrorist bombings in Paris impacted airport traffic in Europe mainly its international contribution. French airports operator ADP reported a -1.8% (y-o-y) fall in traffic in November. Fraport was hit with another strike by Lufthansa crew which saw Frankfurt traffic dropping -11.3% (y-o-y). Japan Airlines decided to cut some of its flights to Paris. This decision reflects the current weakness in tourism after the bomb attack. Nevertheless, we believe that this tourist disenchantment will be temporary, though it will take some months before traffic returns to normal. Airport infrastructure manager OMA Mexico has published its Master Plan for 2020. It shows a surprise hike in average tariffs (+15%) at all the group’s airports. 01/2016 Financial markets opened 2016 on a very troubled note. The fall in oil prices, deflationary fears linked in particular to the yuan's depreciation, the economic slowdown in China, and more generally in emerging markets, have all unsettled investors. The MSCI ACWI, the global equities benchmark, lost up to -12% in January and then recovered before recording its worst monthly performance for January since 2008, dropping -5.9% in EUR (-6.1% USD). Salvation came, not surprisingly, from the central banks: ECB chief Mario Draghi got in first by suggesting possible intervention in March. Then the US Federal Reserve’s FOMC delivered a rather accommodating stance and once again expressed renewed concern about the risk posed by the world’s deteriorating economic outlook. Finally, BoJ head Haruhiko Kuroda set a negative deposit rate for the first time in Japan's history in trying to rekindle inflation. In this climate, the infrastructure theme outperformed, with the fund dipping just -1.5% in January. North American midstream energy stocks such as Pembina Pipeline and Gibson Energy benefited from the oil rebound. The US utilities sector profited considerably from the Fed’s accommodating line, with NextEra Energy and Eversource Energy climbing +8% and +6% respectively in EUR. French highway operators (Vinci, Eiffage) are benefiting from a +1.1% hike in road tolls, scheduled for February 1, 2016. APRR (Eiffage) also reported a positive traffic trend in Q4, up by +2.9%. When ADP and Eurotunnel stock dipped, we strengthened our positions on both. We also appreciated Eurotunnel management’s decision to withdraw from the consortium bidding for London City Airport. Exposure to India was reduced, especially Gujarat Pipavav Port, which is still suffering from the slowdown in international trade, while port container capacity is set to grow +50% by 2018. 02/2016 Equity markets rallied in February, losing only -1.2% (MSCI ACWI in EUR) despite a drop of nearly -10% in mid-month. Central bankers have recognised the risk of global economic slowdown, once again pointing a finger at the emerging markets, and a deflationary environment suggesting more accommodative monetary policy than anticipated. In China, the governor of the PBoC, in a statement on the yuan’s weakness, said that there was no credibility to concerns of a possible currency devaluation. This and a drop in reserve requirements for banks reanimated the market. Commodities also rebounded strongly over the month. Expectations of a hike in US interest rates — implied by futures trading — have settled, and the market does not expect more than one rate hike in 2016 (with a 35% probability). As a result, infrastructure, as a theme, outperformed the world index, and the fund ended the month in positive territory. Canadian stocks (comprising 21% of our exposure) performed particularly well. The Canadian dollar appreciated +2.8% against the euro, benefiting from the rebound in commodities. Midstream companies like Gibson Energy, Inter Pipeline and Pembina Pipeline continued to benefit from the rebound in oil prices and volume growth y-o-y in Q4. North American railroads — Union Pacific and Canadian National — have also recovered strongly, with freight volumes rising in February. Publishing its annual results, the Eurotunnel Group has downgraded its 2016 guidance after a slow recovery in Eurostar traffic in the wake of the Paris terror attacks, and management cannot exclude further disruption by migrants next summer. We have continued to reduce exposure to India in February after publication of disappointing earnings there.


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Edmond de Rothschild Fund – Infrasphere (continued) 03/2016 Equity markets rallied in March and climbed +2.4% in euros (MSCI ACWI). ECB chief Mario Draghi announced a series of unprecedented monetary easing measures (including rate cuts and an increase in monthly asset purchases to €80 billion from €60 billion) and stated that rates would stay low for a long time. Pointing out concern about the global economy risks, Janet Yellen, chair of the Federal Reserve, also gave an accommodating speech, saying the Fed would proceed cautiously with its monetary tightening policy. This environment led to a dip in the USD, a rise in commodities and a decline in bond rates, benefiting the infrastructure theme, with the fund outperforming the world index. The recovery in risk appetite benefited emerging equities (MSCI EM +8.0% in euros). OMA, the Mexican airport operator, was the prime contributor to the outperformance of the fund and is continuing to benefit from positive momentum since the publication of its Master Plan. We took some of our profits on OMA and introduced Grupo Aeroportuario del Pacifico (GAP) to increase our exposure to this sector. GAP is Mexico’s second largest airport operator and is benefiting from an increase in traffic thanks to the development of the Tijuana airport and with traffic back to normal in Los Cabos. Suez Environnement has strengthened our utilities exposure. Two-thirds of Suez’s assets are regulated or subject to long-term contracts and it should continue to benefit from its cost reduction program and the recovery in Europe. We also reduced our exposure to the Canadian midstream sector, which has been highly sensitive to oil price rebound, while its upside potential seems limited to us over the short term. Gibson Energy was also sold (+40% in euros since the beginning of the year), while some of its activities have been negatively impacted by the drop in oil production and drilling activity in the United States. Meanwhile, we have sold our position in MPLX, which we inherited following the acquisition of MarkWest Energy. Edmond de Rothschild Fund - China Given international environment and contrasted economic statistics, China market has gone through a rather volatile time. in Aug 2015, in light of the sudden CNY depreciation against USD in early August 2015, we have seen it caused wide market concern and an apparent pickup in capital outflows since then. The SHCOMP ended down12.49% month on month in Aug, and we went through a hard time as global markets were caught up in a China sell-off and continued market volatility. Following that, macro side, the August official manufacturing (mfg) PMI reached 49.7, in-line with market consensus, services PMI dropped 0.5pt to 53.4, China’s Caixin Mfg PMI is a touch better than the flash reading of 47.1, reached 47.3. In the 3Q of 2015, RMB depreciation and China’s weak macro data along with the approaching of Fed rate hike triggered the de-risk for global investors. Emerging equity market especially entered into a negative cycle –with accelerated fund outflows due to the currency depreciation and stock market volatility. However, coming to the second half of September 2015, emerging markets in started to show some signs of stabilisation as the governments of many countries stepped in while the PBOC cut its RRR rate by 0.5% and the interest rate by 0.25% to inject further liquidity. And following that July’s average home prices rose steadily in the 70 cities, we see more positive policies from government to prop up the real estate market, MoF, PBOC and MOHURD issued a joint statement: starting Sept 1st, in certain cases, the down payment for the 2nd house purchase can be reduced from 30% to 20%. At the meanwhile, Chinese government has stepped up its effort to launch more infrastructure projects and the 100bn RMB fund set up aimed to boost urban rail traffic. We saw China market gradually recover along with continued government investment, more visibility of Fed rate hike, and our EdR Chinagora fund remains a stable investment structures of its portfolio in the hardest time of 2015. Going forward, in the second quarter of 2016, we expect the CNY has no vocation to depreciate extensively and on a long period of time, the correlation to a basket of currencies is a long term policy and stability relative to those currencies is a priority. And we expect the 2Q 2016 GDP growth will be in line with 1Q despite very weak exports in the past months, PPI continue to improve and so do the industrial sector earnings growth. Job market is managing well despite weak global cycle, a 5% unemployment rate is acceptable and not alarming. The private sector is making up, so far, for the losses seen in the public sector with 5.5m jobs created YTD. Domestic growth and expansion in services, new sectors innovations, high savings available, capacity to adjust the fiscal policy on employers do make it possible for china to continue to grow at existing rate which can be considered as inscribed into a long term range of superior growth vs the rest of the world.


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Edmond de Rothschild Fund - Global Data Over the period ranging from 31st august 2015 to 31 march 2016, the fund Edmond de Rothschild Fund Global Data experienced strong volatility especially in the month of September 2015 and January-february 2016. During the September to December 2015 period, Falling oil prices and weak macroeconomic signal coming from China weighted on the market dynamic and impacted the fund even though the companies in the portfolio exhibited strong and structural growth and were largely untouched by these external factors. The fund was fully invested in a matter of days, and subsequent moves were mainly due to and thorough review of investment cases or M&As. Wuxi Pharmatech went private in an operation led by management and venture capital partners. Atmel in the semiconductor space got bought by its competitor Microchip. We also sold our Verizon et Nice System stake, in either case upside appeared limited and these positions were replaced by investment in Inovalon and Alibaba at the very end of the year, taking the opportunity of falling market prices. Over the period we also reinforced Qualcomm and Softbank which suffered disproportionately from market downturn and some company specific worries. During the January to March period, global market experienced extreme volatility and fears of a global recession resurfaced quite abruptly. The fund suffered a lot from its intrinsically significant exposure to “mid cap” companies and its underweight of traditionally “safe haven” sectors such as utilities, consumer staples and big pharmaceuticals. We took the opportunity to reinforce our positions and add new ones such as Marketo and Square which fell by over 30% in the first two months of the year despite very strong long term prospects. Overall from a fundamental perspective, the fund has delivered over the big data thematic opportunity with companies growing well above global economies. However in the short term these companies were not rewarded as market volatility dominated underlying fundamentals. We are therefore very confident in the fund potential over the next year and beyond.

Edmond de Rothschild Fund - QUAM 5 Applying a quantitative asset management methodology tested for over 18 years, the compartment of the Edmond de Rothschild Fund has as its objective to respect a risk limit that is equivalent to an annual volatility of 5% and seeks to optmise performance in favourable market conditions and reduce risk exposures in bear market trends. The portfolio invests in traditional long-only funds, without leverage and has a daily liquidity. 2015 was a very eventful year for all asset classes with the first quarter proving to be very supportive compared to the more disruptive period that followed. Equities and bonds varying inputs such as accommodative monetary policies by central banks, the Greek crisis and geopolitical instability. In addition, throughout the year there was a sharp decline in commodity prices and the US dollar appreciated – doubling the impact emerging economies, who subsequently disappointed again in 2015. Crucially, market corrections during the year were of an unprecedented magnitude and speed. Equity markets suffered from an increase in volatility throughout the year amid an unstable macroeconomic environment. The first part of the year was marked by a rapid rise in equity markets, particularly in Europe, boosted by “quantitative easing” policies of central banks that sought to reassure investors of their ability to act on faltering economies. In Europe, a first warning emerged in late March. The return of concerns about Greek debt and the future of the Hellenic Republic in the EU raised doubts concerning the robustness of Europe. At this point, market volatility began to climb and continued to do so with the help of two Chinese crises – July’s growth concerns derailing global markets and in August China’s central bank announced a series of measures to devalue the Yuan in order to prop up markets in turmoil. The major developed markets lost around 15% and by the end of summer, year-to-date gains had been largely wiped out. Emerging markets were generally impacted by the decline in oil prices (-35% between April and August)affecting Russian and Brazilian economies the worst. As of the end of August, all markets were directly correlated with the announcements of the two main central banks as well as the ongoing decline in oil prices, which weighed on global growth prospects. Thus, a risk-on, risk-off period with little traction ensued before markets resumed their decline later in the year (the worst performance in December since 2002). Volatilities of roughly 30% were seen, akin to crisis periods.


53


Edmond de Rothschild Fund - QUAM 5 (continued) As a reminder, most economists had projected that the Federal Reserve would raise rates during the year to the order of 1% by end of 2015. This was not the case and bond markets suffered several shocks throughout 2015. Similarly to 2014, bond markets began the year relatively upbeat. Low inflation and large asset purchase programmes drove European rates to historical lows, with many in negative territory (-0.45% for the 2Y Bund) in April, before recovering sharply. In two months (May & June) the yield on the 10-year Bund climbed to 0.93% versus 0.06% in April. The entire market suffered as a result, with government yields leading the way. Only convertible bonds, supported by a rise in equity markets early in the year, showed some solidity during this zero rate environment. During the rest of the year, most bond segments partially recovered, whereas emerging markets and corporate debt continued to suffer, reporting negative annual returns. The QUAM 5 methodology, which adapts to prevailing market conditions, managed the allocation of QUAM 5 to equities, bonds and money market funds in order to benefit from bull market phases within its risk budget. As such, the exposure to bond funds and equity funds remained relatively balanced in general: On average, QUAM 5 held 9% in equities and 42% in bonds. The fund favoured equities early in the year, with this preference changing to bonds when the large macroeconomic concerns developed in the latter part of 2015.

- At the turn of 2015, the fixed income portion remained very diversified in order to profit as much as possible from a generally robust performance across markets in Q1. Diversification and the total weight of the bond exposure increased progressively throughout the first quarter, to reach 82% in March, mostly through aggregate, investment grade and government bonds. QUAM 5 demonstrated its ability to be indexed to the market in order to deliver a solid return by keeping the risk under control. As of April, the methodology reduced its fixed income exposure significantly in favour of money market funds to limit its exposure to the tensions occurring in bond markets. Following these tensions, the methodology rapidly reinvested in “govies” – volatility being high in August and September and their risk/return ratio appearing more attractive that other bond segments. At the end of the year, the fixed income allocation became more diversified and short term and convertible bonds were added to the portfolio.

- The equity exposure was more significant at the beginning of the year, where it reached 18% of the total portfolio. In this bullish period, the fund was invested in all major sectors, mostly in Europe and followed the rapid rise of the markets. As the European crisis unfolded, the portfolio rotated towards the Japanese market and funds that were geographically diversified, Quam 5 also withdrew capital from from the financial sector. Volatility continued to rise beyond May, and the fund decreased the equity exposure to roughly 12%, shifting the remaining allocation to more robust asset classes while still holding on to some healthcare and small cap stocks. At the end of August, Chinese growth concern strongly impacted financials markets and increased volatility to around 30% on Eurostoxx. The fund kept an equity exposure lower than 4% for the remainder of the year, which saw global markets fall by 7% and the Eurostoxx fall by 11%.

QUAM 5 kept risk levels under control with an annualised volatility of 2.74%. The equity exposure as well as the dynamic and targeted bond allocation was able to diversify risk exposures and profit from healthier markets early in the year. However, the violent equity market corrections coupled with significant volatility and, uncertainties on bond markets weighed on the performance of the portfolio, which reported a result of - 0.76% for 2015. In the last part of the year, the methodology disinvested from risky assets, prioritising safe haven assets such as ‘govies’ and money market funds, to avoid heavy volatility. This defensive configuration allowed the fund to stay out of the general market turmoil. Quantitative asset management does not seek to anticipate market movements. Yet, it allows us to understand the behaviour of the models in a given market configuration. • In established market uptrends, QUAM 5 optimises the risk exposure and the selection of assets where the trends are the most favourable. • In market corrections/reversals, QUAM 5participates in the initial downtrend before gradually divesting or does not capture the first leg of an uptrend but subsequently reinvests progressively. • In established market downtrends, QUAM 5 has little to no investments in order to consolidate the benefits of earlier trends. Edmond de Rothschild Fund - QUAM 7 This Sub-Funds has been launched as at March 22, 2016.


54


Edmond de Rothschild Fund - QUAM 10

Applying a quantitative asset management methodology tested for over 18 years, the compartment of the Edmond de Rothschild Fund has as its objective to respect a risk limit that is equivalent to an annual volatility of 10% and seeks to optmise performance in favourable market conditions and reduce risk exposures in bear market trends. The portfolio invests in traditional long-only funds, without leverage and has a daily liquidity. 2015 was a very eventful year for all asset classes with the first quarter proving to be very supportive compared to the more disruptive quarters that followed. Equities and bonds were confronted with ultraaccommodative monetary policies by central banks, the Greek crisis and geopolitical instability. In addition, throughout the year we witnessed the sharp decline in commodity prices and the appreciation of the US dollar – doubly impacting emerging economies that disappointed again in 2015. Crucially, market corrections during the year were of an unprecedented magnitude and speed. Equity markets suffered from an increase in volatility throughout the year amid an unstable macroeconomic environment. The first part of the year was marked by a rapid rise in equity markets, particularly in Europe, boosted by “quantitative easing” policies of central banks that sought to reassure investors of their ability to act on faltering economies. In Europe, a first warning emerged in late March. The return of concerns about Greek debt and the future of the Hellenic Republic in the EU raised doubts about the robustness of Europe. At this point, market volatility began to climb and continued to do so with the help of two Chinese crises - July’s growth concerns derailing global markets and in August China’s central bank announced a series of measures to devalue the Yuan and prop up markets in turmoil. The major developed markets lost around 15% and by the end of summer, year-to-date gains had been largely wiped out. Emerging markets were generally impacted by the decline in oil prices (-35% between April and August), with Russia’s and Brazil’s economies being hit particularly hard. As of the end of August, all markets were directly correlated with the announcements of the two main central banks as well as the ongoing decline in oil price, which weighed on global growth prospects. Thus, a risk-on, risk-off period with little traction ensued before markets resumed their decline later in the year (the worst performance in December since 2002) reporting observed volatilities of roughly 30%, akin to crisis periods. As a reminder, most economists projected that the Federal Reserve would raise rates during the year to the order of 1% by end of 2015. This was not the case and bond markets suffered several shocks throughout the year. In step with 2014, bond markets began the year relatively upbeat. Low inflation and asset purchase programmes drove European rates to historical lows, with many in negative territory (-0.45% for the 2Y Bund) in April, before recovering sharply. In two months (May & June) the yield on the 10-year Bund climbed to 0.93% versus 0.06% in April. The entire market suffered as a result, with government yields leading the way. Only convertible bonds, supported by a rise in equity markets early in the year, weathered this zero rate environment. During the rest of the year, most bond segments partially recovered, whereas emerging markets and corporate debt continued to suffer, reporting negative annual returns. The QUAM 10 methodology, which adapts to prevailing market conditions, managed the allocation of QUAM 10 to equities, bonds and money market funds in order to benefit from bull market phases within its risk budget. As such, the exposure to bond funds and equity funds remained relatively balanced in general: On average, QUAM 10 held 42% in equities and 43% in bonds. Nonetheless, the fund favoured equities early in the year, then switched to bonds when macroeconomic concerns developed in the latter part of 2015.

- At the turn of 2015, the fixed income bucket remained very diversified in order to profit as much as possible from a generally robust performance across markets in Q1. “Long-term”, convertibles and high yield funds performed well. As of April, the methodology reduced its fixed income exposure significantly in favour of money market funds to limit its exposure to the tensions occurring in bond markets. As such, the portfolio divested from government bond funds. Following these tensions, the methodology rapidly reinvested in “govies” – volatility being high in August and September and their risk/return ratio appearing more attractive that other bond segments. At the end of the year, the fixed income bucket became more diversified and inflation-linked bonds and convertibles were added to the portfolio.

- It proved to be a nervous year for equity markets and that’s why the QuAM methodology adapted its allocation throughout the year. During the bull market phase, the fund was invested in all sectors and mostly in Europe – a diversified allocation that followed the rapid rise in equity markets. As the European crisis unfolded, the portfolio rotated towards the Japanese market and funds diversified by geography and divested from the financial sector. Volatility continued to rise


55


Edmond de Rothschild Fund - QUAM 10 (continued)

beyond May, where QuAM 10 increased its exposure to the more defensive healthcare sector and to “small cap”, which proved less sensitive to macroeconomic instability. The correction at the end of August – September was violent and prompted the fund to rapidly divest from equities. By mid-September, the fund’s equity exposure represented 1.8% while volatility on the Eurostoxx breached 30%. In Q4, the portfolio remained well diversified (geographically with Europe and Japan, and by sector investing in “value”, “small cap” and “IT”) and maintained a relatively conservative profile allowing it to weather the turmoil in December. QUAM 10 kept risk levels under control with an annualised volatility of the invested portfolio at 6.3%. The equity exposure as well as the dynamic and targeted bond allocation was able to diversify risk exposures and profit from healthier markets early in the year. However, the violent equity market corrections coupled with significant volatility and - for the first time in 10 years – uncertainties on bond markets, weighed on the performance of the portfolio, reporting -5.22% in 2015. In the last part of the year, the methodology divested from risk assets in order to remain mostly exposed to money markets and bonds, which ultimately helped it mitigate the general downtrend in Q4 and which has gained momentum since December. Quantitative asset management does not seek to anticipate market movements. Yet, it allows us to understand the behaviour of the models in a given market configuration.

• In established market uptrends, QUAM 10 optimises the risk exposure and the selection of assets where the trends are the most favourable. • In market corrections/reversals, QUAM 10 participates in the initial downtrend before gradually divesting or does not capture the first leg of an uptrend but subsequently reinvests progressively. • In established market downtrends, QUAM 10 has little to no investments in order to consolidate the benefits of earlier trends.

Edmond de Rothschild Fund - QUAM 15 Applying a quantitative asset management methodology tested for over 18 years, the compartment of the Edmond de Rothschild Fund has as its objective to respect a risk limit that is equivalent to an annual volatility of 15% and seeks to optimise performance in favourable market conditions and reduce risk exposures in bear market trends. The portfolio invests in traditional long-only funds, without leverage and has a daily liquidity. 2015 was a very eventful year for all asset classes with the first quarter proving to be very supportive compared to the more disruptive period that followed. Equities and bonds varying inputs such as accommodative monetary policies by central banks, the Greek crisis and geopolitical instability. In addition, throughout the year there was a sharp decline in commodity prices and the US dollar appreciated – doubling the impact emerging economies, who subsequently disappointed again in 2015. Crucially, market corrections during the year were of an unprecedented magnitude and speed. Equity markets suffered from an increase in volatility throughout the year amid an unstable macroeconomic environment. The first part of the year was marked by a rapid rise in equity markets, particularly in Europe, boosted by “quantitative easing” policies of central banks that sought to reassure investors of their ability to act on faltering economies. In Europe, a first warning emerged in late March. The return of concerns about Greek debt and the future of the Hellenic Republic in the EU raised doubts concerning the robustness of Europe. At this point, market volatility began to climb and continued to do so with the help of two Chinese crises – July’s growth concerns derailing global markets and in August China’s central bank announced a series of measures to devalue the Yuan in order to prop up markets in turmoil. The major developed markets lost around 15% and by the end of summer, year-to-date gains had been largely wiped out. Emerging markets were generally impacted by the decline in oil prices (-35% between April and August)affecting Russian and Brazilian economies the worst. As of the end of August, all markets were directly correlated with the announcements of the two main central banks as well as the ongoing decline in oil prices, which weighed on global growth prospects. Thus, a risk-on, risk-off period with little traction ensued before markets resumed their decline later in the year (the worst performance in December since 2002). Volatilities of roughly 30% were seen, akin to crisis periods.


56


Edmond de Rothschild Fund - QUAM 15 (continued)

As a reminder, most economists had projected that the Federal Reserve would raise rates during 2015. Similarly to 2014, bond markets began the year relatively upbeat. Low inflation and large asset purchase programmes drove European rates to historical lows, with many in negative territory (-0.45% for the 2Y Bund) in April, before recovering sharply. In two months (May & June) the yield on the 10-year Bund climbed to 0.93% versus 0.06% in April. The entire market suffered as a result, with government yields leading the way. Only convertible bonds, supported by a rise in equity markets early in the year, showed some solidity during this zero rate environment. During the rest of the year, most bond segments partially recovered, whereas emerging markets and corporate debt continued to suffer, reporting negative annual returns. The QUAM 15 methodology, which adapts to prevailing market conditions, managed the allocation of QUAM 15 to equities, bonds and money market funds in order to benefit from bull market phases within its risk budget. The QUAM 15 fund, used its ability to switch between asset classes in order to benefit from the bullish market periods, as in Q1. The fund also can deindex during market turmoil. On average the fund was invested 80% in Equity and 18% in bonds.

- At the turn of 2015, the fixed income portion remained much diversified in order to profit as much as possible from a generally robust performance across markets in Q1. It represented 8% of the portfolio, and was composed of Long-term, convertibles and high yield funds. As of April, the methodology reduced its fixed income exposure significantly in favour of money market funds, and the last 5% invested in fixed income were through emerging funds. Following the market tension, the methodology rapidly reinvested in “govies” – volatility being high in August and September and their risk/return ratio was more attractive that other bond segments. Bonds allocation reached 88% of the total net asset. At the end of the year, the fixed income bucket became more diversified and inflationlinked bonds were added to the portfolio.

- The QUAM 15 started the year largely invested in Equity, 86%, in the bullish environment which began in the end of 2014. During Q1, methodologies has taken advantage of the positive economical context to invest in servals sectors, as IT and financial, to deliver returns. Grexit fears in April, made the fund quickly de-index from the Eurozone, in favour of Japanese and emerging funds. Summer was an especially volatile period. Chinese concerns heavily impacted global markets and led the methodology to quickly reduce the equity exposure. In less than a month, the QUAM 15 equity exposure was less than 2%. In October, with the help of central banks, global markets rebounded, and the methodology adjusted the allocation accordingly, by keeping the risk budget under stringent control. During the final period of the year, the defensive configuration was maintained, and the methodology invested in small caps and continued to diversify the geographical allocation.

2015 has been marked by the return of a high volatility in global markets, QUAM 15 adhered to its risk budget to finish with a 10.06% annual volatility. A well-diversified equity exposure delivered a strong return in the first part of the year. Nonetheless, equity markets suffered heavy losses serval times this year, in quick succession. These moves impacted the QUAM 15 return, which was -8.21% for 2015. However, in the global economic turmoil that is place since August, the fund was in a very defensive configuration, removing exposure to high volatility and large drawdowns. Quantitative asset management does not seek to anticipate market movements. Yet, it allows us to understand the behaviour of the models in a given market configuration. • In established market uptrends, QUAM 15 optimises the risk exposure and the selection of assets where the trends are the most favourable. • In market corrections/reversals, QUAM 15 participates in the initial downtrend before gradually divesting or does not capture the first leg of an uptrend but subsequently reinvests progressively. • In established market downtrends, QUAM 15 has little to no investments in order to consolidate the benefits of earlier trends.


57


Edmond de Rothschild Fund - QUAM SUSTAINABLE 10

At the end of March 2016, the AUM of EDR Fund QUAM SUSTAINABLE 10 totals EUR 2’888’690 Market environment: Equity markets suffered from an increase in volatility throughout 2015 amid an unstable macroeconomic environment, the future of Greece in the EU and two Chinese crises (growth concern and Yuan devaluation). In this environment, markets suffered heavy losses, especially in December and January: Eurostoxx and Emerging markets suffered a loss of 26% by the end of January. The bond markets suffered several shocks throughout this period. Bond markets began relatively upbeat. Low inflation and large asset purchase programmes drove European rates to historical lows in April, before bouncing back sharply in an unprecedented manner. The entire market suffered as a result, with government yields leading the way. During the rest of 2015, most bond segments partially recovered, whereas emerging markets and corporate debt continued to suffer, reporting negative annual returns. Starting 2016, the bond market benefited from a flight-to-quality phenomenon posting positive yields. The QUAM SUSTAINABLE 10 methodology, which adapts to prevailing market conditions, managed the allocation of SUSTAINABLE 10 to equities (18% on average), bonds (27% on average) and money market funds in order to benefit from bull market phases within its risk budget. The main investments were done, on the equity side, in Europe among the consumer, energy & growth sectors and, on the fixed income side, in best-in-class and positive screen bonds.

Over the period, QUAM SUSTAINABLE 10 (A class denominated in EUR) generated a negative performance of 6.40% while maintaining risk under control (annualised volatility of 4.2% and maximum drawdown of -8.70%) despite the increase in market volatility and the correction that occurred in the 3rd quarter 2014 on the European markets (-10.4%).

The quantitative asset management methodology, QUAM SUSTAINABLE 10 does not allow an ex-ante identification of market trends. However, it enables us to understand how the product will react in different market configurations: • During periods of established uptrend, QUAM SUSTAINABLE 10 will optimise the risk by selecting the asset classes and investments that exhibit favourable trends. • During periods of trend reversal, QUAM SUSTAINABLE 10 will initially suffer from the negative trend before gradually divest or will not be upward indexed over the first period before gradually reinvest. • During established downward market, QUAM SUSTAINABLE 10 will have low or no exposure in asset classes that perform negatively in order to consolidate the gains of previous trends.

Luxembourg, June 30, 2016

* Indications and comparisons are historical and are not necessarily an indication of future results.

Ipwc

Audit report

To the Shareholders ofEDMON'D DE ROTHSCHILD FT'ND

We have audited the accompanying financial statements ofEDMOND DE ROTHSCHILD FIJND and of each of itssub-funds, which comprise the statement of net assets andthe statement of investments in securities and other netassets as at March 31, 2016 and the statement ofoperations and changes in net assets for the year thenended" and a sunmary of significant accounting policiesand other explanatory notes to the financial statements.

Responsibility of the Board of Directors of the SICAVfor the financial statements

The Board of Directors of the SICAV is responsible forthe preparation and fair presentation of these financialstatements in accordance with Luxembourg legal andregulatory requirements relating to the preparation of thefinancial statements and for such internal control as theBoard of Directors of the SICAV determines is necessaryto enable the preparation of financial statements that are

free from material misstatement" whether due to fraud orelTor.

Responsibility of the "RSviseur d'entreprises agr66"

Our responsibility is to express an opinion on these

frnancial statements based on our audit. We conducted ouraudit in accordance with International Standards onAuditing as adopted for Luxembourg by the "Commissionde Surveillance du Secteur Financier". Those standardsrequire that we comply with ethical requirements and planand perform the audit to obtain reasonable assurance aboutwhether the financial statements are free from materialmisstatement.

An audit involves performing procedures to obtain auditevidence about the amounts and disclosures in thefinancial statements. The procedures selected depend onthe judgment of the "R6viseur d'entreprises agr66",including the assessment of the risks of materialmisstatement of the financial statements, whether due tofraud or error. In making those risk assessments, the"Rdviseur d'entreprises agr66" considers internal controlrelevant to the entity's preparation and fair presentation ofthe frnancial statements in order to design auditprocedures that are appropriate in the circumstances, but

not for the purpose of expressing an opinion on theeffectiveness of the entity's intemal control. An audit alsoincludes evaluating the appropriateness of accountingpolicies used and the reasonableness of accountingestimates made by the Board of Directors of the SICAV,as well as evaluating the overall presentation of thefinancial statements.

We believe that the audit evidence we have obtained issufficient and appropriate to provide a basis for our auditopinion.

Opinion

In our opinion, the financial statements give a true and fairview of the financial position of EDMOND DEROTHSCHILD FIIND and of each of its sub-funds as ofMarch 3 l, 2016, and of the results of their operations andchanges in their net assets for the year then ended inaccordance with Luxembourg legal and regulatoryrequirements relating to the preparation of the flrnancialstatements.

Other matters

Supplementary information included in the annual reporthas been reviewed in the context of our mandate but has

not been subject to specific audit procedures carried out inaccordance with the standards described above.Consequently, we express no opinion on suchinformation. However. we have no observation to makeconceming such information in the context of thefinancial statements taken as a whole.

Luxembourg, July 22, 20 | 6

, Soci6t6 coop6rative

Christophe Pittie

Picmaterhowecoopers, Socidtd coopdratiye, 2 rue Gerhard Mercator, B.P. 1443, L-|014 Lutembourg

T: +352 49460t t, ,,+352 494848 2900, w.pwc.lu

Cabina de rdyision agrdd. Expert+omptable (Mtofisation gonemementale n"10028256)

R.C.S. Luembourg B 65 477 - TVA LU25482518

58

59


COMBINED STATEMENT OF NET ASSETSMarch 31, 2016

ASSETS

Portfolio: (see notes)7,565,328,176.87- Cost

(85,824,547.98)- Net unrealised result7,479,503,628.89

Cash:319,930,847.51- Cash at sight

34,721,787.59- Cash at sight by the broker (see notes)42,700,000.00- Time deposits (see notes)

Other assets:22,394,987.82- Receivable on subscriptions32,319,146.09- Interest receivable

5,184,672.08- Dividend receivable3,780.10- Formation/reorganisation expenses, net (see notes)

43,735,847.08- Receivable for investments sold15,166,222.42- Unrealised gain on futures (see notes)27,578,239.42- Unrealised gain on forward foreign exchange contracts (see notes)

501,148.00- Unrealised gain on swaps contracts (see notes)30,495,053.00- Receivable on foreign exchange transactions

1,095,418.49- Other8,055,330,778.49

LIABILITIES

Bank overdraft:6,056,951.50- Cash at sight6,012,455.74- Cash at sight by the broker (see notes)

517.54- Margin call

Other liabilities:29,728,947.98- Payable on redemptions29,882,570.34- Taxes and expenses payable30,513,951.44- Payable on foreign exchange transactions97,860,824.16- Payable for investments purchased

694,633.30- Unrealised loss on futures (see notes)14,981,243.08- Unrealised loss on forward foreign exchange contracts (see notes)16,282,715.11- Unrealised loss on swaps contracts (see notes)

87,393.64- Interest payable1,097,235.34- Payable on swaps, net

61,875.72- Other233,261,314.89

NET ASSETS 7,822,069,463.60

(in EUR)

The notes are an integral part of these financial statements.

60


COMBINED STATEMENT OF OPERATIONSYear ended March 31, 2016

INCOME

Income from investments: (see notes)- Dividends, net 26,644,436.77- Bond interest, net 73,976,451.02- Interest on swaps, net 194,583.32Bank interest, net 10,638.12Reversal of accruals (see notes) 9,413,060.62Other income 1,551,545.24

111,790,715.09

EXPENSES

Bank interest, net 430,557.54

Fees:- Management fee (see notes) 43,483,164.20- Performance fee (see notes) 1,506,801.85- Custodian fee and safekeeping charges (see notes) 8,150,046.12

Other expenses:- Annual tax (see notes) 1,389,586.83- Amortisation of formation/reorganisation expenses (see notes) 37,167.29- Interest on swaps, net 674,163.10- Transaction fees (see notes) 13,235,812.37- Administration and other expenses (see notes) 4,191,582.81

73,098,882.11

NET OPERATING RESULT 38,691,832.98

Net realised result on:- Investments (see notes) (119,956,097.78)- Foreign exchange (25,878,203.65)- Swaps 17,310,570.60

NET REALISED RESULT (89,831,897.85)

Change in net unrealised appreciation/(depreciation) on:- Investments (133,151,461.27)- Forward foreign exchange contracts 2,374,113.30- Futures 14,533,011.20- Swaps contracts (15,781,567.11)

NET INCREASE/(DECREASE) IN NET ASSETS AS ARESULT OF OPERATIONS

(221,857,801.73)

(in EUR)


61


BOND SUB-FUNDS

EURO GOVERNMENT BONDS MID TERM

STATEMENT OF OPERATIONS AND CHANGES IN NET ASSETSPeriod from April 1, 2015 to December 15, 2015

NET ASSETS AT THE BEGINNING OF THE PERIOD 8,365,821.74

INCOME

Income from investments: (see notes)- Bond interest, net 95,231.30

95,231.30

EXPENSES

Bank interest, net 15.56

Fees:- Management fee (see notes) 18,477.05- Custodian fee and safekeeping charges (see notes) 8,950.02

Other expenses:- Annual tax (see notes) 1,203.22- Transaction fees (see notes) 477.11- Administration and other expenses (see notes) 8,278.82

37,401.78

NET OPERATING RESULT 57,829.52

Net realised result on:- Investments (see notes) 100,686.03

NET REALISED RESULT 158,515.55

Change in net unrealised appreciation/(depreciation) on:- Investments (212,692.09)


(54,176.54)

MOVEMENTS IN CAPITAL

Subscriptions of shares 330,938.56Redemptions of shares (8,642,583.76)

(8,311,645.20)

NET ASSETS AT THE END OF THE PERIOD 0.00

(in EUR)


62


BOND SUB-FUNDS

EURO GOVERNMENT BONDS MID TERM

STATISTICAL INFORMATION

Period from April 1, 2015 to December 15, 2015

CHANGES IN THE NUMBER OF SHARES,IN NET ASSETS AND

IN NET ASSET VALUE PER SHARE

Date ShareClass

Number of shares

outstanding

NetAssets

Ccy Net assetvalue

per share

** Last valuation

18,832.3607 229.944,330,366.08Class A EUR03.31.14 EUR

34,007.0850 246.008,365,821.74Class A EUR03.31.15 EUR

8,030.9250 244.911,966,817.2512.15.15 Class A EUR** EUR

Class A EUR

Shares outstanding at the beginning of the period 34,007.0850

Subscriptions of shares 1,357.7040

Redemptions of shares (35,364.7890)

Shares outstanding at the end of the period 0.0000

NET ASSET VALUE PER SHARE EUR

Highest 247.0612.02.15

Lowest 238.1506.16.15

At the end of the period 244.9112.15.15

**

SHARES

63


BOND SUB-FUNDS

EURO LONG DURATION GOVT BONDS

STATEMENT OF NET ASSETSMarch 31, 2016

ASSETS

Portfolio: (see notes)- Cost 28,666,155.75- Net unrealised result 1,864,977.83

30,531,133.58

Cash:- Cash at sight 1,313,051.36- Cash at sight by the broker (see notes) 63,327.53

Other assets:- Receivable on subscriptions 495,050.23- Interest receivable 306,626.39- Unrealised gain on futures (see notes) 65,273.63- Unrealised gain on swaps contracts (see notes) 43,998.00

32,818,460.72

LIABILITIES

Bank overdraft:- Cash at sight 110,737.35

Other liabilities:- Payable on redemptions 73,515.09- Taxes and expenses payable 89,503.61- Unrealised loss on futures (see notes) 13,175.63

286,931.68

NET ASSETS 32,531,529.04

(in EUR)


453.2267,572.3130

Net asset value per shareShares outstanding

Class A EUR

316.493,500.5900


Class B EUR DIS

16,300.2549.0000


Class I EUR

64


BOND SUB-FUNDS


STATEMENT OF OPERATIONS AND CHANGES IN NET ASSETSPeriod from July 10, 2015 to March 31, 2016

NET ASSETS AT THE BEGINNING OF THE PERIOD 0.00

INCOME

Income from investments: (see notes)- Bond interest, net 242,193.07Bank interest, net 7,736.54

249,929.61

EXPENSES


Other expenses:- Annual tax (see notes) 6,771.56- Transaction fees (see notes) 12,151.06- Administration and other expenses (see notes) 17,376.86

143,181.00


Net realised result on:- Investments (see notes) 345,510.17- Foreign exchange 567.39- Swaps (11,880.00)


Change in net unrealised appreciation/(depreciation) on:- Investments 1,864,977.83- Futures 52,098.00- Swaps contracts 43,998.00


2,402,020.00


Subscriptions of shares 38,279,861.80Redemptions of shares (8,150,352.76)

30,129,509.04

NET ASSETS AT THE END OF THE PERIOD 32,531,529.04

(in EUR)


65

EDMOND DE ROTHSCHILD FUND EURO LONG DURATION GOVT BONDS

STATISTICAL INFORMATIONPeriod from July 10, 2015 to March 31, 2016

Class A EUR

Shares outstanding at the beginning of the period 0.0000



Shares outstanding at the end of the period 67,572.3130


Highest 453.4403.29.16

Lowest 396.7107.13.15

At the end of the period 453.22

SHARES

Class B EUR DIS

0.0000

4,391.4660

(890.8760)

3,500.5900

EUR

316.6503.29.16

276.9507.13.15

316.49

Class I EUR

0.0000

112.5870

(63.5870)

49.0000

EUR

16,307.9803.29.16

14,218.9907.13.15

16,300.25

66

EDMOND DE ROTHSCHILD FUND EURO LONG DURATION GOVT BONDS

TER (Total Expenses Ratio) (Unaudited)

TER (Total Expenses Ratio)

Class A EUR

1.01

Class B EUR DIS

1.05

Class I EUR

1.01

67


BOND SUB-FUNDS




Date ShareClass

Number of shares

outstanding

NetAssets

Ccy Net assetvalue

per share

* First valuation

15,561.1130 401.746,251,584.58Class A EUR07.09.15* EUR2,571.2450 280.46721,119.82Class B EUR DIS EUR

48.0000 14,398.49691,127.38Class I EUR EUR

67,572.3130 453.2230,624,924.40Class A EUR03.31.16 EUR3,500.5900 316.491,107,892.42Class B EUR DIS EUR

49.0000 16,300.25798,712.22Class I EUR EUR

68


BOND SUB-FUNDS


STATEMENT OF INVESTMENTS IN SECURITIESAND OTHER NET ASSETS

March 31, 2016(in EUR)


Quantity Description Cost Valueper

security

Marketvalue

(see notes)

% ofnet

assets

250,000 OEBB INFRA REGS 3.50 11-26 19/10A EUR 129.010 322,525.00 0.99311,550.00

AUSTRIA

BONDS

TRANSFERABLE SECURITIES AND MONEYMARKET INSTRUMENTS ADMITTED TO ANOFFICIAL STOCK EXCHANGE OR DEALT IN ONANOTHER REGULATED MARKET

250,000 OEEB INFRA 3.00 13-33 24/10A EUR 129.231 323,077.50 0.99301,075.001.98645,602.50612,625.00TOTAL AUSTRIA

200,000 BELGIUM KINGDOM REGS 3.75 13-45 22/06A EUR 156.900 313,800.00 0.96274,340.00

BELGIUM

1,000,000 BELGIUM OLO 75 1.00 15-31 22/06A EUR 100.688 1,006,880.00 3.10926,400.001,450,000 BELGIUM 144A/REGS OLO 1.90 15-38 22/06A EUR 112.235 1,627,407.50 5.001,466,423.50

9.062,948,087.502,667,163.50TOTAL BELGIUM

600,000 CHILE (REPUBLIC OF) 1.625 14-25 30/01A EUR 103.836 623,016.00 1.92594,000.00

CHILE

1.92623,016.00594,000.00TOTAL CHILE

1,000,000 AFD EMTN REGS 0.875 15-31 25/05A EUR 97.521 975,210.00 3.00960,150.00

FRANCE

200,000 BPIFRANCE FINANCEM 1.875 15-30 25/05A EUR 111.420 222,840.00 0.68206,542.25600,000 DEXIA CLF 1.25 15-25 27/10A EUR 103.387 620,322.00 1.91600,075.00

1,500,000 FRANCE OAT 3.25 12-45 25/05A EUR 144.865 2,172,975.00 6.681,936,278.001,330,000 FRANCE OAT 4.00 04-55 25/04A EUR 173.258 2,304,331.40 7.072,012,663.00

500,000 LA POSTE EMTN 4.25 06-21 08/11A EUR 122.078 610,390.00 1.88606,550.001,000,000 REGION ILE DE FRANCE 0.625 15-27 23/04A EUR 98.001 980,010.00 3.01919,060.001,500,000 SNCF RESEAU 1.125 15-30 25/05A EUR 100.631 1,509,465.00 4.641,411,325.00

28.879,395,543.408,652,643.25TOTAL FRANCE

980 GERMANY 5.625 98-28 04/01A EUR 162.587 1,593.74 0.001,519.73

GERMANY

350,000 LAND NORDRHEIN WEST 2.375 13-33 13/05A EUR 121.371 424,798.50 1.31419,930.001.31426,392.24421,449.73TOTAL GERMANY

900,000 IRLANDE REGS 2.00 15-45 18/02A EUR 107.680 969,120.00 2.98844,030.29

IRELAND

2.98969,120.00844,030.29TOTAL IRELAND

900,000 CASSA DEPOSITI PRESTI 1.50 15-25 09/04A EUR 101.185 910,665.00 2.80877,140.00

ITALY

300,000 CDP 2.75 14-21 31/05A EUR 110.563 331,689.00 1.02328,650.00400,000 ITALY BTP 4.00 05-37 01/02S EUR 132.080 528,320.00 1.62499,989.40

1,000,000 ITALY BTP 5.00 09-40 01/09S EUR 151.165 1,511,650.00 4.651,431,465.00200,000 ITALY BTPS INDEX 2.15 13-17 12/11S EUR 103.732 206,503.44 0.63207,365.28260,000 ITALY BUONI DEL TESO 5.00 03-34 01/08S EUR 147.030 382,278.00 1.18341,380.00

11.903,871,105.443,685,989.68TOTAL ITALY

Ccy

69


BOND SUB-FUNDS




security

Marketvalue

(see notes)

% ofnet

assets

100,000 LATVIA REP OF 0.50 15-20 15/12A EUR 102.035 102,035.00 0.3199,843.00

LATVIA

0.31102,035.0099,843.00TOTAL LATVIA

700,000 REPUBLIC OF LITHUANIA 2.125 15-35 22/10A EUR 114.813 803,691.00 2.47735,400.00

LITHUANIA

2.47803,691.00735,400.00TOTAL LITHUANIA

725,000 EFSF 2.35 14-44 29/08A EUR 128.120 928,870.00 2.86895,425.75

LUXEMBOURG

600,000 NEON CAPITAL 1.375 15-25 23/09A EUR 106.850 641,100.00 1.97629,250.00500,000 VAL D OISE 0.87 15-22 25/11A EUR 102.763 513,815.00 1.58500,000.00

6.412,083,785.002,024,675.75TOTAL LUXEMBOURG

250,000 POLAND 0.875 15-27 10/05A EUR 93.278 233,195.00 0.72229,352.25

POLAND

0.72233,195.00229,352.25TOTAL POLAND

1,000,000 SLOVAQUE 1.375 15-27 21/01A EUR 107.006 1,070,060.00 3.291,055,300.00

SLOVAKIA

3.291,070,060.001,055,300.00TOTAL SLOVAKIA

600,000 SLOVENIA 1.50 15-35 25/03A EUR 89.928 539,568.00 1.66504,171.00

SLOVENIA

700,000 SLOVENIA (REP OF) 4.625 09-24 09/09A EUR 127.990 895,930.00 2.75880,319.50750,000 SLOVENIE RS70 5.125 11-26 30/03A EUR 135.373 1,015,297.50 3.12993,470.00

7.532,450,795.502,377,960.50TOTAL SLOVENIA

350,000 EXP-IMP BANK KOREA 2.00 13-20 30/04A EUR 105.829 370,401.50 1.14368,970.00

SOUTH KOREA

1.14370,401.50368,970.00TOTAL SOUTH KOREA

230,000 COMMUNIDAD MADRID 4.30 06-26 15/09A EUR 123.892 284,951.60 0.88270,643.30

SPAIN

750,000 COMMUNITY OF MADRID 2.08 15-30 12/03A EUR 98.412 738,090.00 2.27670,525.00100,000 SPAIN 5.15 13-44 31/10A EUR 151.993 151,993.00 0.47136,150.00630,000 SPAIN GOVT 1.95 15-30 30/07A EUR 100.923 635,814.90 1.95609,934.50500,000 SPAIN STRIPPABLE 2.75 14-19 30/04A EUR 108.008 540,040.00 1.66538,660.00

7.232,350,889.502,225,912.80TOTAL SPAIN

400,000 BK NEDERLANDSE GEM 0.25 15-25 07/05U EUR 98.000 392,000.00 1.21377,292.00

THE NETHERLANDS

300,000 NEDER WATERSCHAPSBANK 1.00 15-25 03/09A EUR 104.478 313,434.00 0.96302,070.002.17705,434.00679,362.00TOTAL THE NETHERLANDS

TOTAL BONDS 89.2929,049,153.5827,274,677.75

TOTAL TRANSFERABLE SECURITIES AND MONEYMARKET INSTRUMENTS ADMITTED TO ANOFFICIAL STOCK EXCHANGE OR DEALT IN ONANOTHER REGULATED MARKET

89.2929,049,153.5827,274,677.75

1,000,000 VILLE DE PARIS 1.75 15-31 25/05A EUR 107.980 1,079,800.00 3.32992,390.00

FRANCE

BONDS

OTHER TRANSFERABLE SECURITIES

3.321,079,800.00992,390.00TOTAL FRANCE

Ccy

70


BOND SUB-FUNDS




security

Marketvalue

(see notes)

% ofnet

assets

400,000 FREIE HANSES BREMEN 0.375 16-24 22/02A EUR 100.545 402,180.00 1.24399,088.00

LUXEMBOURG

1.24402,180.00399,088.00TOTAL LUXEMBOURG

TOTAL BONDS 4.561,481,980.001,391,478.00

TOTAL OTHER TRANSFERABLE SECURITIES 4.561,481,980.001,391,478.00

TOTAL INVESTMENTS IN SECURITIES 93.8530,531,133.5828,666,155.75

Cash/(bank overdraft) 3.891,265,641.54Other assets and liabilities 2.26734,753.92

TOTAL NET ASSETS 100.0032,531,529.04

Ccy

71


BOND SUB-FUNDS


GEOGRAPHICAL CLASSIFICATIONOF THE INVESTMENTS IN SECURITIES

March 31, 2016(in %)

France 32.19Italy 11.90Belgium 9.06Luxembourg 7.65Slovenia 7.53Spain 7.23Slovakia 3.29Ireland 2.98Lithuania 2.47The Netherlands 2.17Austria 1.98Chile 1.92Germany 1.31South Korea 1.14Poland 0.72Latvia 0.31

TOTAL INVESTMENTS IN SECURITIES

Other assets/(liabilities) and liquid assets 6.15NET ASSETS 100.00

93.85

% ofnet

assets

COUNTRIES

72


BOND SUB-FUNDS


ECONOMIC CLASSIFICATIONOF THE INVESTMENTS IN SECURITIES

March 31, 2016(in %)

Countries and central governments 54.19Banks and other credit institutions 12.72Cantons, Federal States, Provinces Etc. 7.47Public, Non-profit Institutions 6.62Healthcare, education & social services 4.79Cities, municipal authorities 3.32Supranational organisations 2.86Miscellaneous services 1.88

ECONOMIC SECTORS % ofnet

assets



93.85

73


BOND SUB-FUNDS

CONVERTIBLE EUROPE ALL CAPS


ASSETS

Portfolio: (see notes)- Cost 114,461,835.96- Net unrealised result (2,776,678.50)

111,685,157.46


Other assets:- Receivable on subscriptions 105,530.83- Interest receivable 733,551.57- Receivable for investments sold 3,003,296.70- Unrealised gain on futures (see notes) 350,624.69- Receivable on foreign exchange transactions 2,632,618.13

123,014,984.64

LIABILITIES

Bank overdraft:- Cash at sight by the broker (see notes) 11,812.98

Other liabilities:- Payable on redemptions 115,072.04- Taxes and expenses payable 561,576.97- Payable on foreign exchange transactions 2,635,740.64- Payable for investments purchased 2,389,100.96- Unrealised loss on futures (see notes) 7,789.23

5,721,092.82

NET ASSETS 117,293,891.82

(in EUR)


74


BOND SUB-FUNDS



251.68393,720.2480Net asset value per share

Shares outstanding

Class A EUR


Shares outstanding

Class B EUR DIS


Shares outstanding

Class I EUR

103.7799.7940Net asset value per share

Shares outstanding

Class K EUR


Shares outstanding

Class N EUR


(in EUR)

75


BOND SUB-FUNDS


STATEMENT OF OPERATIONS AND CHANGES IN NET ASSETSYear ended March 31, 2016

NET ASSETS AT THE BEGINNING OF THE YEAR 96,461,584.53

INCOME

Income from investments: (see notes)- Bond interest, net 1,961,299.53Other income 447.08

1,961,746.61

EXPENSES


Fees:- Management fee (see notes) 1,455,542.61- Performance fee (see notes) 2,897.05- Custodian fee and safekeeping charges (see notes) 254,958.41


2,491,969.76

NET OPERATING RESULT (530,223.15)

Net realised result on:- Investments (see notes) 1,301,296.87- Foreign exchange 1,421,765.41

NET REALISED RESULT 2,192,839.13

Change in net unrealised appreciation/(depreciation) on:- Investments (6,512,320.81)- Futures 277,357.54


(4,042,124.14)



24,874,431.43

NET ASSETS AT THE END OF THE YEAR 117,293,891.82

(in EUR)


76

EDMOND DE ROTHSCHILD FUND CONVERTIBLE EUROPE ALL CAPS

STATISTICAL INFORMATIONYear ended March 31, 2016

Class A EUR

Shares outstanding at the beginning of the year 322,297.4040



Shares outstanding at the end of the year 393,720.2480


Highest 267.6404.14.15

Lowest 235.0202.11.16

At the end of the year 251.68

SHARES

Class B EUR DIS

0.0000

31,242.2440

(600.0000)

30,642.2440

EUR

101.6711.30.15

92.0502.11.16

98.51

Class I EUR

43,173.6270

226,550.0000

(232,872.6270)

36,851.0000

EUR

105.5404.14.15

93.0502.11.16

99.71

Class K EUR

69,277.5430

28,098.7940

(97,276.5430)

99.7940

EUR

109.9204.14.15

96.8502.11.16

103.77

Class N EUR

0.0000

115,390.3780

(0.0000)

115,390.3780

EUR

100.6012.29.15

92.9402.11.16

99.66

77

EDMOND DE ROTHSCHILD FUND CONVERTIBLE EUROPE ALL CAPS



Class A EUR

1.73

Class B EUR DIS

1.85

Class I EUR

1.22

Class K EUR

1.34


Class N EUR

0.69

78


BOND SUB-FUNDS




Date ShareClass

Number of shares

outstanding

NetAssets

Ccy Net assetvalue

per share

* First valuation** Last valuation

122,420.6800 100.0112,243,081.69Class I EUR05.15.14* EUR40,000.0000 99.863,994,224.51Class K EUR09.29.14* EUR

251,683.7983 252.1063,448,464.05Class A EUR03.31.14 EUR375.0000 184.1669,059.1903.19.14 Class D EUR** EUR

10,000.0000 99.31993,072.23Class B EUR DIS08.21.15* EUR14,000.0000 99.621,394,749.58Class N EUR12.21.15* EUR

322,297.4040 262.2984,534,975.75Class A EUR03.31.15 EUR43,173.6270 103.414,464,641.13Class I EUR EUR69,277.5430 107.717,461,967.65Class K EUR EUR

393,720.2480 251.6899,090,804.12Class A EUR03.31.16 EUR30,642.2440 98.513,018,606.40Class B EUR DIS EUR36,851.0000 99.713,674,315.44Class I EUR EUR

99.7940 103.7710,355.65Class K EUR EUR115,390.3780 99.6611,499,810.21Class N EUR EUR

79


BOND SUB-FUNDS






security

Marketvalue

(see notes)

% ofnet

assets

1,889,000 HORIZON HOLDINGS III 5.125 15-22 01/08S EUR 105.154 1,986,359.06 1.691,927,262.25

AUSTRALIA

BONDS


1.691,986,359.061,927,262.25TOTAL AUSTRALIA

1,000,000 UCB SA 1.875 15-22 02/04A EUR 101.554 1,015,540.00 0.87987,802.25

BELGIUM

0.871,015,540.00987,802.25TOTAL BELGIUM

1,400,000 ACCOR SA 2.625 14-21 05/02A EUR 107.899 1,510,586.00 1.291,474,850.00

FRANCE

500,000 ATOS 2.375 15-20 02/07A EUR 105.186 525,930.00 0.45496,612.251,200,000 CAP GEMINI SA 1.75 15-20 01/07A EUR 104.129 1,249,548.00 1.071,210,642.502,100,000 FAURECIA 3.125 15-22 15/06S EUR 99.117 2,081,457.00 1.762,080,164.451,500,000 NOVALIS SAS REGS 3.00 15-22 30/04S EUR 100.917 1,513,755.00 1.291,502,204.50

5.866,881,276.006,764,473.70TOTAL FRANCE

750,000 EUROPCAR 5.75 15-22 15/06S EUR 104.911 786,832.50 0.67744,669.75

IRELAND

0.67786,832.50744,669.75TOTAL IRELAND

2,400,000 PRYSMIAN 2.50 15-22 11/04A EUR 100.347 2,408,328.00 2.052,378,250.25

ITALY

2.052,408,328.002,378,250.25TOTAL ITALY

2,067,000 TELENET IV 4.875 15-27 15/07S EUR 99.739 2,061,605.13 1.761,969,384.75

LUXEMBOURG


2,300,000 BRAIT SE 2.75 15-20 18/09S GBP 112.313 3,258,118.18 2.783,111,781.84

MALTA

2.783,258,118.183,111,781.84TOTAL MALTA

1,000,000 ACS ACTIVIDADES CONS 2.875 15-20 01/04A EUR 94.516 945,160.00 0.81996,754.50

SPAIN

2,600,000 CELLNEX TELECOM 3.125 15-22 27/07A EUR 98.961 2,572,986.00 2.192,562,259.003.003,518,146.003,559,013.50TOTAL SPAIN

TOTAL BONDS 18.6821,916,204.8721,442,638.29

3,700,000 STEINHOFF FIN 1.25 15-22 11/08S EUR 107.273 3,969,101.00 3.383,665,816.00

AUSTRIA

CONVERTIBLE BONDS

3.383,969,101.003,665,816.00TOTAL AUSTRIA

Ccy

80


BOND SUB-FUNDS




security

Marketvalue

(see notes)

% ofnet

assets

1,100,000 ABLYNX NV 3.25 15-20 27/05S EUR 118.185 1,300,035.00 1.101,215,342.00

BELGIUM

1,000,000 SOFINA CV 1.00 12-16 19/06S USD 99.657 874,529.42 0.75779,225.031.852,174,564.421,994,567.03TOTAL BELGIUM

1,600,000 HOLDGROVE FINANCE 1.00 12-17 24 09S USD 100.980 1,417,822.83 1.211,492,795.30

CYPRUS

1.211,417,822.831,492,795.30TOTAL CYPRUS

2,500,000 OUTOKUMPU CV 3.255 15-20 26/02S EUR 76.936 1,923,400.00 1.642,571,595.00

FINLAND

1.641,923,400.002,571,595.00TOTAL FINLAND

310,989 AIR FRANCE KLM CV 2.03 13-23 15/02A EUR 11.544 3,582,062.18 3.064,001,153.43

FRANCE

100,250 BIM CV 2.50 15-20 13/11A EUR 25.891 2,574,137.60 2.192,371,405.2326,135 FONCIERE DES REGIONS 3.34 11-17 01/01S EUR 98.688 2,560,679.79 2.182,325,527.0046,537 NEXANS SA CV 2.50 12-19 01/01A EUR 76.171 3,523,959.78 3.013,545,394.1056,375 NEXITY SA CV 0.625 14-20 01/01S EUR 53.274 2,999,546.52 2.572,527,760.3973,649 PIERRE ET VACANCES 3.50 14-19 01/10S EUR 38.250 2,770,394.84 2.362,655,210.8620,400 RALLYE CV 1.00 13-20 02/10A EUR 87.359 1,772,128.90 1.511,905,198.0823,683 SAFRAN SA CV 0.00 16-20 31/10U EUR 94.334 2,234,112.12 1.902,212,148.86

510,000 SOITEC CV 6.75 13-18 18/09S EUR 2.148 1,092,519.45 0.931,441,981.887,925 UNIBAIL RODAMCO CV 0.00 14-21 01/07U EUR 326.162 2,584,833.85 2.202,425,546.39

21.9125,694,375.0325,411,326.22TOTAL FRANCE

2,300,000 RAG STIFTUNG CV 0.00 14-18 31/12U EUR 103.462 2,379,626.00 2.032,417,238.89

GERMANY

2.032,379,626.002,417,238.89TOTAL GERMANY

500,000 MARKET TECH CV REGS 2.00 15-20 31/03S GBP 97.212 613,054.17 0.52683,129.00

GUERNSEY

0.52613,054.17683,129.00TOTAL GUERNSEY

2,700,000 BENI STABILI CV 0.875 15-21 31/01S EUR 100.342 2,709,234.00 2.312,763,994.00

ITALY

1,000,000 BUZZI UNICEM CV 1.375 13-19 17/07S EUR 118.374 1,183,740.00 1.011,123,500.001,000,000 FCT HOLDING SRL CV 0.625 15-20 30/11A EUR 105.257 1,052,570.00 0.901,000,000.003,600,000 SOGEFI CV 2.00 14-21 21/05S EUR 87.673 3,156,228.00 2.693,650,302.25

6.918,101,772.008,537,796.25TOTAL ITALY

2,000,000 GRAND CITY PRO CV 0.25 16-22 02/03S EUR 106.447 2,128,940.00 1.822,128,556.00

LUXEMBOURG


3,800,000 AMORIM ENERGY CV 3.375 13-18 03/06S EUR 100.712 3,827,056.00 3.264,126,800.00

PORTUGAL

2,150,000 PARPUBLICA SGPS SA CV 5.25 10-17 28/09A EUR 105.738 2,273,367.00 1.942,192,638.735.206,100,423.006,319,438.73TOTAL PORTUGAL

1,300,000 INDRA SISTEMAS REGS 1.75 13-18 17/10S EUR 97.950 1,273,350.00 1.091,307,989.95

SPAIN

4,400,000 SACYR SA CV 4.00 14-19 08/05Q EUR 76.585 3,369,740.00 2.874,028,656.003.964,643,090.005,336,645.95TOTAL SPAIN

2,745,000 BASILEA PHARMA REG S 2.75 15-22 23/12S CHF 93.165 2,343,531.96 2.002,517,300.34

SWITZERLAND

2.002,343,531.962,517,300.34TOTAL SWITZERLAND

Ccy

81


BOND SUB-FUNDS




security

Marketvalue

(see notes)

% ofnet

assets

750,000 BRENNTAG FINANCE CV 1.875 15-22 02/12S USD 108.034 711,030.67 0.61711,969.50

THE NETHERLANDS

2,600,000 IBERDROLA INTL CV 0.00 15-22 11/11A EUR 98.167 2,552,342.00 2.182,659,300.002,100,000 SALZGITTER REG S 0.00 15-22 05/06U EUR 83.025 1,743,525.00 1.492,009,800.002,700,000 SONAE INV CV 1.625 14-19 11/06S EUR 98.753 2,666,331.00 2.262,638,725.003,000,000 STMICROELCTRONICS NV 0.00 14-19 03/07U USD 90.858 2,391,944.19 2.042,389,100.96

400,000 WERELDHAVE NV CV 1.00 14-19 22/05S EUR 103.468 413,872.00 0.35422,750.008.9310,479,044.8610,831,645.46TOTAL THE NETHERLANDS

2,700,000 J SAINSBURY PLC 1.25 14-19 21/11S GBP 106.394 3,623,179.67 3.093,711,868.40

UNITED KINGDOM

1,700,000 VODAFONE GROUP CV 0.00 15-20 26/11U GBP 99.971 2,143,541.65 1.832,348,199.994.925,766,721.326,060,068.39TOTAL UNITED KINGDOM

TOTAL CONVERTIBLE BONDS 66.2877,735,466.5979,967,918.56

4,000,000 CNP ASSURANCES FL.R 14-XX 18/11A EUR 94.403 3,776,120.00 3.223,894,957.25

FRANCE

FLOATING RATES BONDS

3.223,776,120.003,894,957.25TOTAL FRANCE

7,750,000 FORTFINLUX SA REG-S FL.R 02-XX 29/11Q EUR 56.656 4,390,840.00 3.744,776,635.00

LUXEMBOURG


TOTAL FLOATING RATES BONDS 6.968,166,960.008,671,592.25


91.92107,818,631.46110,082,149.10

600 SAINT GOBAIN DEC 44.00 18.12.17 CALL EUR 2.290 137,400.00 0.12303,264.00

FRANCE

OPTIONS

DERIVATIVE INSTRUMENTS

0.12137,400.00303,264.00TOTAL FRANCE

600 ACCOR DEC 44.00 18.12.17 CALL EUR 3.410 204,600.00 0.17261,968.00

GERMANY

200 ALLIANZ DEC 180.0 18.12.17 CALL EUR 2.130 42,600.00 0.04149,000.00321 ATOS JUN 80.0 19.06.17 CALL EUR 3.660 117,486.00 0.10235,293.00200 CAP GEMINI DEC 84.00 18.12.17 CALL EUR 10.380 207,600.00 0.18158,872.00900 CREDIT AGRICOLE DEC 14 15.12.17 CALL EUR 0.160 14,400.00 0.0197,654.20950 CREDIT AGRICOLE DEC 12.00 18.12.17 CALL EUR 0.390 37,050.00 0.0385,428.00

2,500 DEUTSCHE POST DEC 25.00 18.12.17 CALL EUR 2.090 522,500.00 0.46300,000.00210 DJ EURO STOXX 50 MAY 3000 23.05.16 PUT EUR 114.000 239,400.00 0.20214,620.00300 FAURECIA DEC 34.00 18.12.17 CALL EUR 5.990 179,700.00 0.15150,300.00

1,200 GENERALI DEC 17.00 15.12.17 CALL EUR 0.242 29,040.00 0.0274,400.002,000 ING GROEP DEC 13.00 18.12.17 CALL EUR 0.440 88,000.00 0.08172,820.001,200 ING GROEP DEC 14.00 18.12.17 CALL EUR 0.290 34,800.00 0.03141,840.00

250 KERING DEC 180 18.12.17 CALL EUR 9.900 247,500.00 0.21331,473.161,300 METRO DEC 28.00 18.12.17 CALL EUR 3.470 451,100.00 0.38358,475.00

550 PHILIPS DEC 25.00 18.12.17 CALL EUR 2.520 138,600.00 0.1296,285.00950 REPSOL JUN 15 19.06.17 CALL EUR 0.290 27,550.00 0.0241,534.00700 SIEMENS DEC 100.00 18.12.17 CALL EUR 6.560 459,200.00 0.40250,068.00

3,500 STMICROELECT DEC 6.40 18.12.17 CALL EUR 0.350 122,500.00 0.10217,000.003,000 TELECOM ITALIA DEC 1.00 15.12.17 CALL EUR 0.149 445,500.00 0.38348,000.00

210 VOLKSWAGEN VZ DEC 200.0 18.12.17 CALL EUR 1.600 33,600.00 0.03212,992.503.113,642,726.003,898,022.86TOTAL GERMANY

Ccy

82


BOND SUB-FUNDS




security

Marketvalue

(see notes)

% ofnet

assets

1,600 FERROVIAL JUN 22.00 16.06.17 CALL EUR 0.540 86,400.00 0.07178,400.00

SPAIN

0.0786,400.00178,400.00TOTAL SPAIN

TOTAL OPTIONS 3.303,866,526.004,379,686.86

TOTAL DERIVATIVE INSTRUMENTS 3.303,866,526.004,379,686.86


Cash/(bank overdraft) 3.834,492,392.28Other assets and liabilities 0.951,116,342.08

TOTAL NET ASSETS 100.00117,293,891.82

Ccy

83


BOND SUB-FUNDS



March 31, 2016(in %)

France 31.11Italy 8.96The Netherlands 8.93Luxembourg 7.32Spain 7.03Portugal 5.20Germany 5.14United Kingdom 4.92Austria 3.38Malta 2.78Belgium 2.72Switzerland 2.00Australia 1.69Finland 1.64Cyprus 1.21Ireland 0.67Guernsey 0.52



95.22

% ofnet

assets

COUNTRIES

84


BOND SUB-FUNDS



March 31, 2016(in %)

Holding and finance companies 17.68Real estate 11.95Data transmission 7.97Electrotechnical and electronic industry 5.19Building and building materials 4.69Retail trade 4.60Road vehicles 4.45Banks and other credit institutions 3.74Hotels, restaurants and leisure 3.65Miscellaneous consumer goods 3.38Oil 3.26Insurance 3.22Transportation 3.06Electronics and semiconductors 2.97Pharmaceutical and cosmetics industry 2.87Internet and software services 2.61Investment funds 2.19Mining industry 2.03Public, Non-profit Institutions 1.69Non-ferrous metals 1.64Other 1.21Biotechnology 1.10Miscellaneous services 0.07


assets



95.22

85


BOND SUB-FUNDS

EUROPE CONVERTIBLES


ASSETS


850,209,091.35

Cash:- Cash at sight 24,183,468.74- Cash at sight by the broker (see notes) 4,238,287.98

Other assets:- Receivable on subscriptions 704,026.07- Interest receivable 3,654,477.00- Receivable for investments sold 4,266,614.40- Unrealised gain on futures (see notes) 3,493,374.81

890,749,340.35

LIABILITIES


Other liabilities:- Payable on redemptions 1,068,570.46- Taxes and expenses payable 1,795,534.20- Payable for investments purchased 8,685,776.79- Unrealised loss on forward foreign exchange contracts (see notes) 20,497.47

11,806,974.44

NET ASSETS 878,942,365.91

(in EUR)


569.73513,345.6780


Class A EUR

96.45230,133.2460


Class A USD

96.608,549.9730


Class A USD (H)

109.88115,058.7130


Class B EUR DIS

86


BOND SUB-FUNDS

EUROPE CONVERTIBLES


(in EUR)


102.50100.8500


Class C EUR

151.471,656,996.0760


Class I EUR

110.60179,707.0000


Class J EUR DIS

133.77519,560.2980


Class K EUR

103.981,836,518.2780


Class N EUR

95.08221,106.2890


Class O EUR DIS

148.417,916.3080


Class R EUR

94.581,073.3490


Class R USD

87


BOND SUB-FUNDS

EUROPE CONVERTIBLES

STATEMENT OF OPERATIONS AND CHANGES IN NET ASSETSPeriod from February 1, 2016 to March 31, 2016


INCOME

Income from investments: (see notes)- Dividends, net 5,456.57- Bond interest, net 1,857,393.27

1,862,849.84

EXPENSES


Fees:- Management fee (see notes) 1,022,218.45- Performance fee (see notes) 115.16- Custodian fee and safekeeping charges (see notes) 213,264.85


2,272,385.00


Net realised result on:- Investments (see notes) (3,473,947.27)- Foreign exchange (555,806.65)


Change in net unrealised appreciation/(depreciation) on:- Investments 5,525,161.28- Forward foreign exchange contracts (20,497.47)- Futures 3,493,374.81


4,558,749.54


Subscriptions of shares 1,028,706,596.21Redemptions of shares (154,322,979.84)

874,383,616.37


(in EUR)


88

EDMOND DE ROTHSCHILD FUND EUROPE CONVERTIBLES

STATISTICAL INFORMATIONPeriod from February 1, 2016 to March 31, 2016

Class A EUR






Highest 571.5403.30.16

Lowest 540.4202.11.16


SHARES

Class A USD

0.0000

230,133.2460

(0.0000)

230,133.2460

USD

96.4503.31.16

90.1402.29.16

96.45

Class A USD (H)

0.0000

10,602.9730

(2,053.0000)

8,549.9730

USD

96.9003.30.16

91.5402.11.16

96.60

Class B EUR DIS

0.0000

118,193.7130

(3,135.0000)

115,058.7130

EUR

110.2203.30.16

104.2202.11.16

109.88

Class C EUR

0.0000

100.8500

(0.0000)

100.8500

EUR

102.8303.30.16

97.2002.11.16

102.50

89



Class I EUR


Subscriptions of shares 2,268,741.7600


Shares outstanding at the end of the period 1,656,996.0760


Highest 151.9503.30.16

Lowest 143.6002.11.16


SHARES

Class J EUR DIS

0.0000

252,222.2140

(72,515.2140)

179,707.0000

EUR

110.9503.30.16

104.8602.11.16

110.60

Class K EUR

0.0000

560,812.1420

(41,251.8440)

519,560.2980

EUR

134.1903.30.16

126.8302.11.16

133.77

Class N EUR

0.0000

2,010,169.2590

(173,650.9810)

1,836,518.2780

EUR

104.3103.30.16

98.5502.11.16

103.98

Class O EUR DIS

0.0000

221,106.2890

(0.0000)

221,106.2890

EUR

95.3803.30.16

90.1102.11.16

95.08

90



Class R EUR






Highest 148.8803.30.16

Lowest 140.8302.11.16


SHARES

Class R USD

0.0000

1,073.3490

(0.0000)

1,073.3490

USD

94.5803.31.16

88.4102.29.16

94.58

91




Class A EUR

1.25

Class A USD

1.27

Class A USD (H)

1.24

Class B EUR DIS

1.27


Class C EUR

0.91

Class I EUR

0.79

Class J EUR DIS

0.92

Class K EUR

0.97


Class N EUR

0.74

Class O EUR DIS

0.59

Class R EUR

1.48

Class R USD

1.56

92


BOND SUB-FUNDS

EUROPE CONVERTIBLES



Date ShareClass

Number of shares

outstanding

NetAssets

Ccy Net assetvalue

per share

* First valuation

560,408.1790 566.85317,671,678.18Class A EUR01.29.16* EUR230,130.2540 91.2420,997,659.59Class A USD USD

10,601.9730 96.091,018,831.19Class A USD (H) USD116,647.7130 109.3212,752,168.08Class B EUR DIS EUR

1.0000 101.93101.93Class C EUR EUR2,099,939.8050 150.59316,248,789.97Class I EUR EUR

233,721.2140 109.9625,701,742.52Class J EUR DIS EUR557,572.8920 133.0174,167,954.72Class K EUR EUR

1,135,255.2590 103.34117,324,054.48Class N EUR EUR137,001.0000 94.5012,946,662.59Class O EUR DIS EUR

14,280.3580 147.732,109,657.10Class R EUR EUR1,072.3490 89.5195,995.01Class R USD USD

513,345.6780 569.73292,470,096.69Class A EUR03.31.16 EUR230,133.2460 96.4522,195,786.41Class A USD USD

8,549.9730 96.60825,914.12Class A USD (H) USD115,058.7130 109.8812,642,217.00Class B EUR DIS EUR

100.8500 102.5010,337.25Class C EUR EUR1,656,996.0760 151.47250,984,441.44Class I EUR EUR

179,707.0000 110.6019,876,284.40Class J EUR DIS EUR519,560.2980 133.7769,499,240.72Class K EUR EUR

1,836,518.2780 103.98190,957,638.82Class N EUR EUR221,106.2890 95.0821,022,326.24Class O EUR DIS EUR


93


BOND SUB-FUNDS

EUROPE CONVERTIBLES





security

Marketvalue

(see notes)

% ofnet

assets

10,500,000 ACCOR SA 2.625 14-21 05/02A EUR 107.90 11,329,395.00 1.2910,966,200.00

FRANCE

BONDS


5,200,000 ATOS 2.375 15-20 02/07A EUR 105.19 5,469,672.00 0.625,314,920.0022,700,000 CAP GEMINI SA 1.75 15-20 01/07A EUR 104.13 23,637,283.00 2.6923,367,380.00

7,000,000 SOCIETE FONCIERE L 1.875 14-21 26/11A EUR 102.53 7,177,380.00 0.827,007,700.005.4247,613,730.0046,656,200.00TOTAL FRANCE

6,500,000 BRAIT SE 2.75 15-20 18/09S GBP 112.31 9,213,884.54 1.059,265,010.85

MALTA

1.059,213,884.549,265,010.85TOTAL MALTA

7,000,000 FCE BANK EMTN REGS 1.875 14-21 24/06A EUR 103.34 7,233,940.00 0.827,107,100.00

UNITED KINGDOM

0.827,233,940.007,107,100.00TOTAL UNITED KINGDOM

7,000,000 MONDELEZ INTL 2.375 13-21 26/01A EUR 107.36 7,514,920.00 0.857,415,800.00

UNITED STATES OF AMERICA

0.857,514,920.007,415,800.00TOTAL UNITED STATES OF AMERICA

TOTAL BONDS 8.1471,576,474.5470,444,110.85


AUSTRIA

CONVERTIBLE BONDS

2.1018,450,956.0016,623,800.00TOTAL AUSTRIA

3,170,121 COFINIMMO SA CV 3.125 11-16 28/04A EUR 100.31 3,179,821.37 0.363,192,058.03

BELGIUM

10,200,000 SAGERPAR REGS CV 0.375 13-18 09/10A EUR 106.52 10,865,244.00 1.2410,930,320.0024,000,000 SOFINA CV 1.00 12-16 19/06S USD 99.66 21,002,528.98 2.3922,119,320.28

3.9935,047,594.3536,241,698.31TOTAL BELGIUM


FINLAND

0.726,308,752.006,112,813.00TOTAL FINLAND

1,551,699 AIR FRANCE KLM CV 2.03 13-23 15/02A EUR 11.54 17,872,922.51 2.0316,770,993.12

FRANCE

359,054 BIM CV 2.50 15-20 13/11A EUR 25.89 9,219,495.28 1.059,111,732.98329,783 CREDIT AGRICOLE CV 0.00 13-16 06/12U EUR 70.66 23,303,456.13 2.6523,394,476.24273,416 FONCIERE DES REGIONS 3.34 11-17 01/01S EUR 98.69 26,789,011.87 3.0526,492,754.29

51,196 LVMH MOET HENNESSY CV 0.00 16-21 16/02U USD 261.07 11,736,462.72 1.3411,923,813.28174,009 NEXANS SA CV 2.50 12-19 01/01A EUR 76.17 13,176,627.56 1.5013,201,519.88283,222 NEXITY SA CV 0.625 14-20 01/01S EUR 53.27 15,069,402.50 1.7114,445,010.78

76,000 RALLYE CV 1.00 13-20 02/10A EUR 87.36 6,602,048.84 0.755,461,085.43

Ccy

94


BOND SUB-FUNDS

EUROPE CONVERTIBLES



security

Marketvalue

(see notes)

% ofnet

assets

161,476 SAFRAN SA CV 0.00 16-20 31/10U EUR 94.33 15,232,676.98 1.7315,150,001.2779,574 UNIBAIL RODAMCO CV 0.00 14-21 01/07U EUR 326.16 25,954,014.99 2.9525,614,870.6014,113 UNIBAIL RODAMCO CV 0.00 15-22 01/01U EUR 354.29 5,000,024.21 0.574,941,342.35

708,135 VEOLIA ENVIRONNEMENT 0.00 16-21 15/03A EUR 31.14 22,054,156.44 2.5121,960,035.7721.84192,010,300.03188,467,635.99TOTAL FRANCE

15,000,000 ADIDAS INTL FIN.CV 0.25 12-19 14/06A EUR 133.27 19,990,200.00 2.2719,296,300.00

GERMANY

12,400,000 FRESENIS REGS CV 0.00 14-19 24/09U EUR 137.61 17,063,640.00 1.9416,757,980.0022,500,000 RAG STIFTUNG CV 0.00 14-18 31/12U EUR 103.46 23,278,950.00 2.6524,107,737.50

6.8660,332,790.0060,162,017.50TOTAL GERMANY


ITALY

4,100,000 BENI STABILI CV 2.625 13-19 17/04S EUR 117.43 4,814,712.00 0.554,708,255.5026,300,000 TELECOM ITALIA CV 1.125 15-22 26/03S EUR 103.25 27,154,750.00 3.0926,681,100.00

4.6440,799,558.0040,154,023.50TOTAL ITALY

7,500,000 BRITISH LAND CV 1.50 12-17 10/09S GBP 111.15 10,521,506.47 1.1911,054,727.88

JERSEY

1,500,000 BRITISH LND JER CV 0.00 15-20 09/06U GBP 95.38 1,805,634.09 0.211,924,712.341.4012,327,140.5612,979,440.22TOTAL JERSEY

31,000,000 GBL VERWALTUNG CV 1.25 13-17 07/02A EUR 100.99 31,307,210.00 3.5631,647,435.00

LUXEMBOURG

17,000,000 GRAND CITY PRO CV 0.25 16-22 02/03S EUR 106.45 18,095,990.00 2.0618,092,726.005.6249,403,200.0049,740,161.00TOTAL LUXEMBOURG

26,000,000 AMERICA MOVIL 0.00 15-20 28/05U EUR 102.35 26,609,960.00 3.0326,329,940.00

MEXICO

3.0326,609,960.0026,329,940.00TOTAL MEXICO


PORTUGAL


14,300,000 INDRA SISTEMAS REGS 1.75 13-18 17/10S EUR 97.95 14,006,850.00 1.5912,750,881.00

SPAIN

21,800,000 LA CAXA CV 1.00 13-17 25/11S EUR 99.75 21,745,500.00 2.4821,669,963.0011,000,000 SACYR VALLEHERMOSO CV 6.50 11-16 01/05Q EUR 98.90 10,879,110.00 1.2410,563,740.00

5.3146,631,460.0044,984,584.00TOTAL SPAIN

9,250,000 BRENNTAG FINANCE CV 1.875 15-22 02/12S USD 108.03 8,775,153.67 1.008,896,846.14

THE NETHERLANDS

23,400,000 IBERDROLA INTL CV 0.00 15-22 11/11A EUR 98.17 22,971,078.00 2.6023,230,701.009,800,000 SONAE INV CV 1.625 14-19 11/06S EUR 98.75 9,677,794.00 1.109,530,500.00

20,000,000 STMICROELCTRONICS NV 0.00 14-19 03/07U USD 90.86 15,956,796.63 1.8217,706,778.722,000,000 STMICROELECTRONICS 1.00 14-21 03/07S USD 90.60 1,591,131.02 0.181,784,383.08

11,100,000 WERELDHAVE NV CV 1.00 14-19 22/05S EUR 103.47 11,484,948.00 1.3111,575,746.008.0170,456,901.3272,724,954.94TOTAL THE NETHERLANDS


UNITED KINGDOM



Ccy

95


BOND SUB-FUNDS

EUROPE CONVERTIBLES



security

Marketvalue

(see notes)

% ofnet

assets

5,000,000 BNP PARIBAS 4.032 14-XX 25/11A EUR 97.11 4,855,700.00 0.554,670,000.00

FRANCE


5,000,000 CA ASSURANCES SUB FL.R 14-XX 14/10A EUR 96.37 4,818,450.00 0.554,648,500.005,400,000 CARREFOUR BANQUE FL.R 15-19 21/10Q EUR 100.49 5,426,406.00 0.625,406,480.008,000,000 CNP ASSURANCES FL.R 14-XX 18/11A EUR 94.40 7,552,240.00 0.857,316,800.005,000,000 SOGECAP SA FL.R 14-49 29/12A EUR 95.84 4,792,050.00 0.554,609,000.00

3.1227,444,846.0026,650,780.00TOTAL FRANCE

15,000,000 ALLIANZ FL.R 14-24 19/08A EUR 99.16 14,874,150.00 1.6914,472,000.00

GERMANY

1.6914,874,150.0014,472,000.00TOTAL GERMANY


LUXEMBOURG


18,000,000 NN GROUP FL.R 14-XX 15/07A EUR 97.58 17,565,120.00 2.0017,078,400.00

THE NETHERLANDS

2.0017,565,120.0017,078,400.00TOTAL THE NETHERLANDS



88.68779,515,881.43775,218,747.48

2,900 SAINT GOBAIN DEC 44.00 18.12.17 CALL EUR 2.29 664,100.00 0.08777,200.00

FRANCE

OPTIONS


0.08664,100.00777,200.00TOTAL FRANCE

2,500 ACCOR DEC 44.00 18.12.17 CALL EUR 3.41 852,500.00 0.10700,000.00

GERMANY

1,150 AIR LIQUIDE JUN 115.0 19.06.17 CALL EUR 2.96 340,400.00 0.04363,400.001,300 ALLIANZ DEC 180.0 18.12.17 CALL EUR 2.13 276,900.00 0.03592,800.001,653 ATOS JUN 80.0 19.06.17 CALL EUR 3.66 604,998.00 0.07742,197.001,500 CAP GEMINI DEC 84.00 18.12.17 CALL EUR 10.38 1,557,000.00 0.181,753,180.006,500 CREDIT AGRICOLE DEC 14 15.12.17 CALL EUR 0.16 104,000.00 0.01136,500.003,200 CREDIT AGRICOLE DEC 12.00 18.12.17 CALL EUR 0.39 124,800.00 0.01144,000.00

21,000 DEUTSCHE POST DEC 25.00 18.12.17 CALL EUR 2.09 4,389,000.00 0.492,890,000.00600 DJ EURO STOXX 50 MAY 3000 23.05.16 PUT EUR 114.00 684,000.00 0.08613,200.00

10,000 GENERALI DEC 19.00 15.12.17 CALL EUR 0.09 92,500.00 0.01262,500.008,000 ING GROEP DEC 13.00 18.12.17 CALL EUR 0.44 352,000.00 0.04480,000.008,000 ING GROEP DEC 14.00 18.12.17 CALL EUR 0.29 232,000.00 0.03336,000.001,800 KERING DEC 180 18.12.17 CALL EUR 9.90 1,782,000.00 0.201,974,600.006,000 METRO DEC 28.00 18.12.17 CALL EUR 3.47 2,082,000.00 0.241,644,000.00

25,000 NOKIA DEC 6.40 18.12.17 CALL EUR 0.37 925,000.00 0.111,920,575.004,000 PHILIPS DEC 25.00 18.12.17 CALL EUR 2.52 1,008,000.00 0.111,064,000.006,110 REPSOL JUN 15 19.06.17 CALL EUR 0.29 177,190.00 0.02267,129.204,000 SIEMENS DEC 100.00 18.12.17 CALL EUR 6.56 2,624,000.00 0.301,789,874.756,000 STMICROELECT DEC 6.40 18.12.17 CALL EUR 0.35 210,000.00 0.02372,000.00

20,000 TELECOM ITALIA DEC 1.00 15.12.17 CALL EUR 0.15 2,970,000.00 0.342,320,000.001,050 VOLKSWAGEN VZ DEC 200.0 18.12.17 CALL EUR 1.60 168,000.00 0.02252,000.00

2.4521,556,288.0020,617,955.95TOTAL GERMANY

Ccy

96


BOND SUB-FUNDS

EUROPE CONVERTIBLES



security

Marketvalue

(see notes)

% ofnet

assets

8,000 FERROVIAL JUN 22.00 16.06.17 CALL EUR 0.54 432,000.00 0.05976,000.00

SPAIN

0.05432,000.00976,000.00TOTAL SPAIN

TOTAL OPTIONS 2.5822,652,388.0022,371,155.95


8,000 EDR QUADRIM 4 (S) EUR 1,059.38 8,475,040.00 0.968,404,320.00

FRANCE

OPEN-ENDED INVESTMENT FUNDS

INVESTMENT FUNDS

0.968,475,040.008,404,320.00TOTAL FRANCE

2,612 EDR FUND - EURO CREDIT SHORT TERM N - EUR EUR 11,120.41 29,046,510.92 3.3128,530,144.64

LUXEMBOURG

700 EDR FUND - SIGNATURES EURO HIGH YIELD N - EUR EUR 15,027.53 10,519,271.00 1.2010,159,562.004.5139,565,781.9238,689,706.64TOTAL LUXEMBOURG

TOTAL OPEN-ENDED INVESTMENT FUNDS 5.4748,040,821.9247,094,026.64

TOTAL INVESTMENT FUNDS 5.4748,040,821.9247,094,026.64



TOTAL NET ASSETS 100.00878,942,365.91

Ccy

97


BOND SUB-FUNDS

EUROPE CONVERTIBLES


March 31, 2016(in %)

France 31.42Luxembourg 13.31Germany 11.00The Netherlands 10.01Spain 5.36United Kingdom 4.66Italy 4.64Belgium 3.99Portugal 3.19Mexico 3.03Austria 2.10Jersey 1.40Malta 1.05United States of America 0.85Finland 0.72



96.73

% ofnet

assets

COUNTRIES

98


BOND SUB-FUNDS

EUROPE CONVERTIBLES


March 31, 2016(in %)

Holding and finance companies 17.39Real estate 15.57Data transmission 9.74Banks and other credit institutions 7.27Investment funds 6.52Insurance 5.64Internet and software services 4.90Electrotechnical and electronic industry 4.10Textiles and clothing industry 3.61Retail trade 2.70Mining industry 2.65Energy and water supply 2.51Miscellaneous consumer goods 2.10Transportation 2.03Electronics and semiconductors 2.00Pharmaceutical and cosmetics industry 1.94Oil 1.70Hotels, restaurants and leisure 1.29Building and building materials 1.24Foodstuffs and non-alcoholic drinks 0.85Non-ferrous metals 0.72Miscellaneous services 0.26


assets



96.73

99


BOND SUB-FUNDS

GLOBAL CONVERTIBLES


ASSETS


295,204,545.95


Other assets:- Receivable on subscriptions 182,424.59- Interest receivable 808,577.45- Receivable for investments sold 1,673,950.36- Unrealised gain on futures (see notes) 5,730,031.65- Unrealised gain on forward foreign exchange contracts (see notes) 323,452.64- Receivable on foreign exchange transactions 500,000.00

316,107,610.30

LIABILITIES


Other liabilities:- Payable on redemptions 396,781.94- Taxes and expenses payable 1,064,933.50- Payable on foreign exchange transactions 500,000.00- Payable for investments purchased 8,156,508.50- Unrealised loss on forward foreign exchange contracts (see notes) 1,243,631.95

11,647,844.48

NET ASSETS 304,459,765.82

(in EUR)


101.34364,008.5310


Class A CHF (H)

138.151,105,838.0480


Class A EUR

125.08238,661.2770


Class A USD (H)

107.1546,859.3580


Class B EUR DIS

100


BOND SUB-FUNDS

GLOBAL CONVERTIBLES


(in EUR)


143.01421,631.8980


Class I EUR

108.3995.3100


Class J EUR DIS

142.9264,143.7710


Class K EUR

128.51141,837.0000


Class K USD (H)

132.797,536.9850


Class R EUR

87.053,107.2740


Class R USD

101


BOND SUB-FUNDS

GLOBAL CONVERTIBLES



INCOME

Income from investments: (see notes)- Bond interest, net 491,740.62Reversal of accruals (see notes) 239,756.88

731,497.50

EXPENSES




983,299.60


Net realised result on:- Investments (see notes) 696,908.89- Foreign exchange (1,551,553.54)


Change in net unrealised appreciation/(depreciation) on:- Investments (3,068,411.14)- Forward foreign exchange contracts (920,179.31)- Futures 5,730,031.65


634,994.45



303,824,771.37


(in EUR)


102

EDMOND DE ROTHSCHILD FUND GLOBAL CONVERTIBLES


Class A CHF (H)





NET ASSET VALUE PER SHARE CHF

Highest 101.4803.16.16

Lowest 96.4702.11.16


SHARES

Class A EUR

0.0000

1,255,621.4300

(149,783.3820)

1,105,838.0480

EUR

138.3203.30.16

131.3802.11.16

138.15

Class A USD (H)

0.0000

305,701.9970

(67,040.7200)

238,661.2770

USD

125.2203.30.16

118.8702.11.16

125.08

Class B EUR DIS

0.0000

47,359.3580

(500.0000)

46,859.3580

EUR

107.2803.30.16

101.9002.11.16

107.15

Class I EUR

0.0000

431,371.8980

(9,740.0000)

421,631.8980

EUR

143.1803.30.16

135.9202.11.16

143.01

103



Class J EUR DIS






Highest 108.5503.16.16

Lowest 103.1202.11.16


SHARES

Class K EUR

0.0000

92,443.7710

(28,300.0000)

64,143.7710

EUR

143.1503.16.16

135.9502.11.16

142.92

Class K USD (H)

0.0000

141,837.0000

(0.0000)

141,837.0000

USD

128.6603.30.16

122.1302.11.16

128.51

Class R EUR

0.0000

11,336.7760

(3,799.7910)

7,536.9850

EUR

132.9803.16.16

126.4302.11.16

132.79

Class R USD

0.0000

3,107.2740

(0.0000)

3,107.2740

USD

87.0503.31.16

81.5602.29.16

87.05

104




Class A CHF (H)

1.45

Class A EUR

1.44

Class A USD (H)

1.39

Class B EUR DIS

1.46


Class I EUR

0.89

Class J EUR DIS

0.74

Class K EUR

0.86

Class K USD (H)

0.98


Class R EUR

1.97

Class R USD

2.03

105


BOND SUB-FUNDS

GLOBAL CONVERTIBLES



Date ShareClass

Number of shares

outstanding

NetAssets

Ccy Net assetvalue

per share

* First valuation

380,719.0000 100.4038,226,550.09Class A CHF (H)01.29.16* CHF1,229,813.2700 136.74168,171,332.59Class A EUR EUR


424,294.7270 141.4460,013,272.79Class I EUR EUR1.0000 107.29107.29Class J EUR DIS EUR

92,442.7710 141.4813,079,614.26Class K EUR EUR141,836.0000 127.1718,037,612.04Class K USD (H) USD


364,008.5310 101.3436,889,939.20Class A CHF (H)03.31.16 CHF1,105,838.0480 138.15152,771,995.83Class A EUR EUR


421,631.8980 143.0160,297,888.95Class I EUR EUR95.3100 108.3910,330.35Class J EUR DIS EUR

64,143.7710 142.929,167,698.88Class K EUR EUR141,837.0000 128.5118,227,554.45Class K USD (H) USD


106


BOND SUB-FUNDS

GLOBAL CONVERTIBLES





security

Marketvalue

(see notes)

% ofnet

assets

2,600,000 ATOS 2.375 15-20 02/07A EUR 105.19 2,734,836.00 0.892,657,460.00

FRANCE

BONDS


2,300,000 CAP GEMINI SA 1.75 15-20 01/07A EUR 104.13 2,394,967.00 0.792,367,620.001.685,129,803.005,025,080.00TOTAL FRANCE

1,800,000 BRAIT SE 2.75 15-20 18/09S GBP 112.31 2,551,537.26 0.842,565,695.31

MALTA

0.842,551,537.262,565,695.31TOTAL MALTA

TOTAL BONDS 2.527,681,340.267,590,775.31


AUSTRIA

CONVERTIBLE BONDS

2.437,401,837.006,668,850.00TOTAL AUSTRIA

4,500,000 SOFINA CV 1.00 12-16 19/06S USD 99.66 3,937,974.18 1.294,147,372.55

BELGIUM

1.293,937,974.184,147,372.55TOTAL BELGIUM

5,800,000 JAZZ INVESTMENT CV 1.875 14-21 15/08S USD 102.52 5,221,247.80 1.715,469,504.99

BERMUDA

1.715,221,247.805,469,504.99TOTAL BERMUDA

5,400,000 AYC FINANCE CV 0.50 14-19 02/05S USD 105.62 5,008,182.30 1.645,119,626.89

CAYMAN ISLANDS

1,800,000 CTRIP COM INTL CV 1.00 15-20 01/07S USD 110.17 1,741,375.13 0.571,766,752.863,250,000 ENN ENERGY HLD CV 0.00 13-18 26/02U USD 108.82 3,105,565.07 1.023,112,802.466,500,000 HAITIAN INTL CV 2.00 14-19 13/02S USD 98.65 5,630,593.61 1.855,815,032.79

15,000,000 HENGAN INTL GROUP CV 0.00 13-18 27/06U HKD 105.17 1,785,861.46 0.591,865,694.9865,000,000 KINGSOFT CORP LTD 1.25 14-19 11/04S HKD 96.92 7,131,949.56 2.357,384,919.12

8.0224,403,527.1325,064,829.10TOTAL CAYMAN ISLANDS

6,000,000 HOLDGROVE FINANCE 1.00 12-17 24 09S USD 100.98 5,320,337.19 1.755,501,348.36

CYPRUS

1.755,320,337.195,501,348.36TOTAL CYPRUS


FINLAND

1.193,615,992.003,503,685.50TOTAL FINLAND


FRANCE

79,929 BIM CV 2.50 15-20 13/11A EUR 25.89 2,052,351.57 0.672,028,362.6047,263 FONCIERE DES REGIONS 3.34 11-17 01/01S EUR 98.69 4,630,778.99 1.524,579,567.57

Ccy

107


BOND SUB-FUNDS

GLOBAL CONVERTIBLES



security

Marketvalue

(see notes)

% ofnet

assets

12,928 LVMH MOET HENNESSY CV 0.00 16-21 16/02U USD 261.07 2,963,688.37 0.973,010,770.7236,466 NEXANS SA CV 2.50 12-19 01/01A EUR 76.17 2,761,345.11 0.912,766,561.6414,000 RALLYE CV 1.00 13-20 02/10A EUR 87.36 1,216,166.89 0.401,005,989.4264,590 SAFRAN SA CV 0.00 16-20 31/10U EUR 94.33 6,093,033.06 2.006,059,962.9817,700 UNIBAIL RODAMCO CV 0.00 14-21 01/07U EUR 326.16 5,773,067.40 1.905,697,630.00



ITALY

0.922,809,576.002,788,758.00TOTAL ITALY

460,000,000 ASICS CORP 0.00 14-19 01/03U JPY 108.26 3,886,343.06 1.283,893,124.09

JAPAN

450,000,000 HIS CO LTD 0.00 14-19 30/08U JPY 104.69 3,676,311.07 1.213,694,660.97150,000,000 SHIMIZU CORP 0.00 15-20 16/10A JPY 106.43 1,245,910.72 0.411,204,410.42

1,031,000,000 SONY CORP CV 0.00 15-22 30/09U JPY 102.02 8,208,092.40 2.707,878,566.85400,000,000 TEIJIN LTD CV 0.00 14-18 10/12U JPY 113.15 3,531,918.21 1.163,639,173.21220,000,000 TERUMO CORP CV REGS 0.00 14-19 04/12U JPY 120.60 2,070,496.33 0.681,965,804.29550,000,000 TOHOKU ELEC POWER CV 0.00 15-20 03/12U JPY 103.80 4,455,111.60 1.464,396,706.96380,000,000 TOHOKU ELECT POWER 0.00 15-18 03/12U JPY 103.15 3,058,771.66 1.003,012,422.39

9.9030,132,955.0529,684,869.18TOTAL JAPAN

2,000,000 BRITISH LAND CV 1.50 12-17 10/09S GBP 111.15 2,805,735.06 0.922,948,846.89

JERSEY

300,000 BRITISH LND JER CV 0.00 15-20 09/06U GBP 95.38 361,126.82 0.12384,942.471.043,166,861.883,333,789.36TOTAL JERSEY

5,000,000 GRAND CITY PRO CV 0.25 16-22 02/03S EUR 106.45 5,322,350.00 1.755,321,390.00

LUXEMBOURG



MEXICO

2,500,000 CEMEX SAB DE CV 3.75 11-18 15/03S USD 104.44 2,292,830.17 0.751,959,041.373.119,457,050.179,047,871.37TOTAL MEXICO


PORTUGAL


1,750,000 BRENNTAG FINANCE CV 1.875 15-22 02/12S USD 108.03 1,660,164.21 0.551,683,187.11

THE NETHERLANDS

7,800,000 IBERDROLA INTL CV 0.00 15-22 11/11A EUR 98.17 7,657,026.00 2.507,743,567.004,700,000 NXP SEMICONDUCTOR CV 1.00 14-19 01/12S USD 110.54 4,562,153.14 1.504,572,386.416,000,000 SONAE INV CV 1.625 14-19 11/06S EUR 98.75 5,925,180.00 1.955,835,000.004,000,000 STMICROELCTRONICS NV 0.00 14-19 03/07U USD 90.86 3,191,359.33 1.053,541,355.745,250,000 YANDEX NV CV 1.125 13-18 15/12S USD 88.53 4,081,312.57 1.344,164,411.71



UNITED KINGDOM


7,200,000 ARES CAPITAL CV 4.375 14-19 15/01S USD 101.70 6,429,641.73 2.116,631,473.96


1,900,000 BIOMARIN PHARM CV SUB 0.75 13-18 15/10S USD 113.56 1,894,711.10 0.621,891,577.393,800,000 BROCADE COMM CV 1.375 15-20 01/01S USD 99.15 3,308,499.30 1.093,271,481.344,616,000 CITRIX SYSTEMS CV 0.50 15-19 15/04S USD 111.91 4,536,229.30 1.494,503,456.228,600,000 ILLUMINA CV 0.00 14-19 15/06U USD 103.68 7,829,828.77 2.588,198,910.23

Ccy

108


BOND SUB-FUNDS

GLOBAL CONVERTIBLES



security

Marketvalue

(see notes)

% ofnet

assets

3,000,000 LIBERTY MEDIA CV 1.375 13-23 15/10S USD 99.24 2,614,396.73 0.862,625,969.716,309,000 LINKEDIN CV 0.50 15-19 01/11M USD 90.58 5,018,225.58 1.655,916,289.804,500,000 MICROCHIP TEC CV 1.625 15-25 15/02S USD 102.17 4,037,434.14 1.334,029,968.604,000,000 NETSUITE CONV 0.25 14-18 01/06S USD 95.77 3,363,979.63 1.103,394,869.972,000,000 RED HAT INC CV 0.25 14-19 01/10S USD 124.11 2,179,733.05 0.722,187,292.202,981,000 SALESFORCE COM CV 0.25 14-18 01/04S USD 123.73 3,238,735.56 1.063,273,098.363,022,000 SERVICE NOW 0.00 14-18 01/11U USD 108.37 2,875,822.56 0.943,008,324.533,967,000 TESLA MOTORS CV 0.25 14-19 01/03S USD 90.90 3,166,458.84 1.043,165,759.793,925,000 TESLA MOTORS INC CV 1.25 14-21 01/03S USD 86.04 2,965,532.58 0.972,925,988.183,750,000 TOLL BROTHERS CV 0.50 12-32 15/09S USD 97.60 3,213,909.38 1.063,345,839.495,709,000 YAHOO CV 0.00 13-18 01/12U USD 99.02 4,964,017.62 1.635,078,415.96




LUXEMBOURG



1,700,000 NN GROUP FL.R 14-XX 15/07A EUR 97.58 1,658,928.00 0.541,612,960.00

THE NETHERLANDS




83.85255,303,796.42256,839,716.09

3,650,000 INTEG DEVICE TECH CV 0.875 15-22 15/11S USD 93.76 3,005,192.31 0.993,394,823.61


BONDS



TOTAL BONDS 0.993,005,192.313,394,823.61

200,000,000 K S DENKI CORP CV 0.00 14-19 20/12U JPY 116.49 1,818,183.24 0.601,867,607.35

JAPAN

CONVERTIBLE BONDS

90,000,000 KEIHAN ELEC RAILWAY 0.00 16-21 30/03U JPY 104.35 732,937.41 0.24733,378.53180,000,000 RESORTTRUST INC CV 0.00 14-21 01/12U JPY 107.54 1,510,614.95 0.501,567,651.59510,000,000 SUZUKI MOTOR CV 0.00 16-23 31/03U JPY 105.24 4,188,495.40 1.374,215,633.52500,000,000 SUZUKI MOTOR CV REGS 0.00 16-21 31/03U JPY 104.95 4,095,247.39 1.354,166,910.62390,000,000 TEIJIN CV 0.00 14-21 10/12U JPY 118.05 3,592,906.20 1.183,692,521.55430,000,000 UNICHARM CORP CV 0.00 15-20 25/09U JPY 120.21 4,033,724.83 1.323,877,182.52

6.5619,972,109.4220,120,885.68TOTAL JAPAN

800,000 ADVANCED SEMI CV REGS0.00 15-18 27/03U USD 93.20 654,738.32 0.22684,059.84

TAIWAN

0.22654,738.32684,059.84TOTAL TAIWAN

5,115,000 NUANCE COMM 144A CV 1.00 15-35 15/12S USD 92.28 4,144,596.29 1.364,272,262.65


Ccy

109


BOND SUB-FUNDS

GLOBAL CONVERTIBLES



security

Marketvalue

(see notes)

% ofnet

assets

4,434,000 NUVASIVE INC CV 2.25 16-21 15/03S USD 107.31 4,178,133.90 1.374,102,090.232.738,322,730.198,374,352.88TOTAL UNITED STATES OF AMERICA




FRANCE

OPTIONS


0.06183,200.00214,400.00TOTAL FRANCE

450 AIR LIQUIDE JUN 115.0 19.06.17 CALL EUR 2.96 133,200.00 0.04142,200.00

GERMANY

350 ALLIANZ DEC 180.0 18.12.17 CALL EUR 2.13 74,550.00 0.02159,600.00649 ATOS JUN 80.0 19.06.17 CALL EUR 3.66 237,534.00 0.08291,401.00400 CAP GEMINI DEC 84.00 18.12.17 CALL EUR 10.38 415,200.00 0.14542,400.00

2,200 CREDIT AGRICOLE DEC 14 15.12.17 CALL EUR 0.16 35,200.00 0.0146,200.001,000 CREDIT AGRICOLE DEC 12.00 18.12.17 CALL EUR 0.39 39,000.00 0.0145,000.002,000 DEUTSCHE POST DEC 25.00 18.12.17 CALL EUR 2.09 418,000.00 0.14240,000.00

105 DJ EURO STOXX 50 MAY 3000 23.05.16 PUT EUR 114.00 119,700.00 0.04107,310.002,000 GENERALI DEC 19.00 15.12.17 CALL EUR 0.09 18,500.00 0.0152,500.003,000 ING GROEP DEC 14.00 18.12.17 CALL EUR 0.29 87,000.00 0.03126,000.00

350 KERING DEC 180 18.12.17 CALL EUR 9.90 346,500.00 0.11383,950.001,650 METRO DEC 28.00 18.12.17 CALL EUR 3.47 572,550.00 0.20452,100.006,500 NOKIA DEC 6.40 18.12.17 CALL EUR 0.37 240,500.00 0.08499,349.50

775 PHILIPS DEC 25.00 18.12.17 CALL EUR 2.52 195,300.00 0.06206,150.002,550 REPSOL JUN 15 19.06.17 CALL EUR 0.29 73,950.00 0.02111,486.00

500 SIEMENS DEC 100.00 18.12.17 CALL EUR 6.56 328,000.00 0.11183,974.952,000 STMICROELECT DEC 6.40 18.12.17 CALL EUR 0.35 70,000.00 0.02124,000.003,500 TELECOM ITALIA DEC 1.20 15.12.17 CALL EUR 0.09 301,000.00 0.10504,448.00

390 VOLKSWAGEN VZ DEC 200.0 18.12.17 CALL EUR 1.60 62,400.00 0.0293,600.001.243,768,084.004,311,669.45TOTAL GERMANY

1,400 AIG JAN 65.0 20.01.17 CALL USD 0.71 87,284.86 0.03258,588.84


1,050 CIENA JAN 20.00 20.01.17 CALL USD 2.24 206,533.19 0.07137,823.124,000 FORD MOTOR JAN 14.75 20.01.17 CALL USD 0.52 182,648.40 0.06110,823.791,700 INTEL JAN 32.00 20.01.17 CALL USD 2.65 395,591.85 0.14353,250.83

750 JPMORGAN CHASE JAN 67.50 20.01.17 CALL USD 1.15 75,737.62 0.02148,919.471,900 MICRON TECHNOLOGY JAN 28.0 20.01.17 CALL USD 0.03 5,005.27 0.0015,792.391,400 QUALCOMM INC JAN 57.50 20.01.17 CALL USD 1.84 226,203.02 0.07157,739.19

75 SP 500 E MINI MAY 1900 20.05.16 PUT USD 9.10 29,965.75 0.0189,430.35700 SUNEDISON JAN 35 20.01.17 CALL USD 0.04 2,458.73 0.003,878.83

1,775 WELLS FARGO JAN 55.00 20.01.17 CALL USD 0.80 124,692.66 0.04337,689.320.441,336,121.351,613,936.13TOTAL UNITED STATES OF AMERICA

TOTAL OPTIONS 1.745,287,405.356,140,005.58


Ccy

110


BOND SUB-FUNDS

GLOBAL CONVERTIBLES



security

Marketvalue

(see notes)

% ofnet

assets

24,800 SAINT HONORE EME CONV -R- 3 DEC CAP USD USD 122.08 2,658,573.94 0.872,719,113.41

FRANCE


INVESTMENT FUNDS

0.872,658,573.942,719,113.41TOTAL FRANCE




Cash/(bank overdraft) 3.7411,398,639.07Other assets and liabilities (0.70)(2,143,419.20)

TOTAL NET ASSETS 100.00304,459,765.82

Ccy

111


BOND SUB-FUNDS

GLOBAL CONVERTIBLES


March 31, 2016(in %)

United States of America 24.41Japan 16.46France 14.27The Netherlands 9.43Cayman Islands 8.02Luxembourg 3.38Portugal 3.20Mexico 3.11Austria 2.43United Kingdom 2.05Cyprus 1.75Bermuda 1.71Belgium 1.29Germany 1.24Finland 1.19Jersey 1.04Italy 0.92Malta 0.84Taiwan 0.22



96.96

% ofnet

assets

COUNTRIES

112


BOND SUB-FUNDS

GLOBAL CONVERTIBLES


March 31, 2016(in %)

Internet and software services 15.32Holding and finance companies 13.36Electronics and semiconductors 7.79Data transmission 7.30Real estate 7.01Pharmaceutical and cosmetics industry 6.54Energy and water supply 4.75Road vehicles 4.73Investment funds 3.65Transportation 3.47Electrotechnical and electronic industry 3.41Miscellaneous consumer goods 2.43Chemicals 2.34Textiles and clothing industry 2.25Mechanical engineering and industrial equipment 1.85Other 1.75Banks and other credit institutions 1.63Retail trade 1.46Oil 1.22Non-ferrous metals 1.19Building and building materials 1.16Hotels, restaurants and leisure 1.07Biotechnology 0.62Insurance 0.54Miscellaneous services 0.12


assets



96.96

113


BOND SUB-FUNDS

GLOBAL CONVEXITY


ASSETS

Portfolio: (see notes)- Cost 119,605,120.32- Net unrealised result 365,696.24

119,970,816.56


Other assets:- Receivable on subscriptions 22,656.53- Interest receivable 585,431.57- Receivable for investments sold 380,443.26- Unrealised gain on futures (see notes) 1,255,512.56- Unrealised gain on forward foreign exchange contracts (see notes) 61,158.79

133,053,334.93

LIABILITIES


Other liabilities:- Payable on redemptions 18,441.81- Taxes and expenses payable 236,376.32- Payable for investments purchased 3,879,189.80- Unrealised loss on forward foreign exchange contracts (see notes) 224,256.84

4,366,323.41

NET ASSETS 128,687,011.52

(in EUR)


114


BOND SUB-FUNDS

GLOBAL CONVEXITY



Shares outstanding

Class A EUR


Shares outstanding

Class B EUR DIS


Shares outstanding

Class I EUR


Shares outstanding

Class I USD (H)


Shares outstanding

Class J EUR DIS


Shares outstanding

Class K EUR


Shares outstanding

Class N EUR


Shares outstanding

Class S EUR


(in EUR)

115


BOND SUB-FUNDS

GLOBAL CONVEXITY



INCOME

Income from investments: (see notes)- Bond interest, net 289,637.06Other income 6.29

289,643.35

EXPENSES




289,841.50

NET OPERATING RESULT (198.15)

Net realised result on:- Investments (see notes) (493,357.05)- Foreign exchange (324,169.97)

NET REALISED RESULT (817,725.17)

Change in net unrealised appreciation/(depreciation) on:- Investments 365,696.24- Forward foreign exchange contracts (163,098.05)- Futures 1,255,512.56


640,385.58



128,046,625.94


(in EUR)


116

EDMOND DE ROTHSCHILD FUND GLOBAL CONVEXITY


Class A EUR






Highest 112.0503.14.16

Lowest 107.5402.11.16


SHARES

Class B EUR DIS

0.0000

4,224.8570

(84.8440)

4,140.0130

EUR

106.9203.14.16

102.6102.11.16

106.72

Class I EUR

0.0000

217,571.5300

(2,650.0000)

214,921.5300

EUR

113.7103.14.16

109.0802.11.16

113.53

Class I USD (H)

0.0000

89,191.6700

(2,140.0000)

87,051.6700

USD

103.7703.14.16

99.4902.11.16

103.62

Class J EUR DIS

0.0000

55,056.0000

(0.0000)

55,056.0000

EUR

108.2103.14.16

103.8102.11.16

108.04

117



Class K EUR



Redemptions of shares (0.0000)



Highest 114.1203.14.16

Lowest 109.4902.11.16


SHARES

Class N EUR

0.0000

74,002.0000

(0.0000)

74,002.0000

EUR

98.7303.14.16

94.7002.11.16

98.58

Class S EUR

0.0000

85,002.0000

(0.0000)

85,002.0000

EUR

115.2003.14.16

110.4702.11.16

115.03

118




Class A EUR

1.24

Class B EUR DIS

1.36

Class I EUR

0.76

Class I USD (H)

0.68


Class J EUR DIS

0.75

Class K EUR

0.85

Class N EUR

0.68

Class S EUR

0.40

119


BOND SUB-FUNDS

GLOBAL CONVEXITY



Date ShareClass

Number of shares

outstanding

NetAssets

Ccy Net assetvalue

per share

* First valuation


178,560.5300 112.7920,140,206.97Class I EUR EUR56,640.6700 102.915,829,325.74Class I USD (H) USD55,055.0000 107.335,909,476.19Class J EUR DIS EUR

258,861.0000 113.2129,307,335.42Class K EUR EUR60,001.0000 97.915,875,282.97Class N EUR EUR85,001.0000 114.219,708,547.12Class S EUR EUR

388,130.1970 111.8443,409,989.61Class A EUR03.31.16 EUR4,140.0130 106.72441,826.14Class B EUR DIS EUR

214,921.5300 113.5324,399,558.36Class I EUR EUR87,051.6700 103.629,020,719.69Class I USD (H) USD55,056.0000 108.045,948,142.77Class J EUR DIS EUR

258,862.0000 113.9429,493,679.17Class K EUR EUR74,002.0000 98.587,294,760.47Class N EUR EUR85,002.0000 115.039,777,804.83Class S EUR EUR

120


BOND SUB-FUNDS

GLOBAL CONVEXITY





security

Marketvalue

(see notes)

% ofnet

assets

1,400,000 ACCOR SA 2.625 14-21 05/02A EUR 107.90 1,510,586.00 1.171,462,160.00

FRANCE

BONDS


800,000 ATOS 2.375 15-20 02/07A EUR 105.19 841,488.00 0.65817,680.00600,000 CAP GEMINI SA 1.75 15-20 01/07A EUR 104.13 624,774.00 0.49617,640.00

2,000,000 FAURECIA 3.125 15-22 15/06S EUR 99.12 1,982,340.00 1.541,926,800.002,300,000 ILIAD SA 2.125 15-22 05/12A EUR 100.78 2,318,032.00 1.802,266,715.00

950,000 LOXAM SAS 4.875 14-21 23/07S EUR 105.22 999,599.50 0.78967,765.00550,000 LOXAM SAS 7.375 13-20 24/01S EUR 105.79 581,839.50 0.45580,800.00

1,500,000 NOVALIS SAS REGS 3.00 15-22 30/04S EUR 100.92 1,513,755.00 1.181,440,750.00500,000 PAPREC HOLDING REGS 5.25 15-22 01/04S EUR 97.65 488,225.00 0.38475,000.00

8.4410,860,639.0010,555,310.00TOTAL FRANCE

1,678,000 TELENET IV 4.875 15-27 15/07S EUR 99.74 1,673,620.42 1.301,596,784.80

LUXEMBOURG


800,000 BRAIT SE 2.75 15-20 18/09S GBP 112.31 1,134,016.56 0.881,140,309.03

MALTA

0.881,134,016.561,140,309.03TOTAL MALTA

1,500,000 ACS ACTIVIDADES CONS 2.875 15-20 01/04A EUR 94.52 1,417,740.00 1.101,370,550.00

SPAIN

1,600,000 CELLNEX TELECOM 3.125 15-22 27/07A EUR 98.96 1,583,376.00 1.231,533,600.002.333,001,116.002,904,150.00TOTAL SPAIN

750,000 GRUPO ANTOLIN DUTCH 4.75 14-21 01/04S EUR 103.93 779,497.50 0.61765,000.00

THE NETHERLANDS

2,500,000 LUKOIL INTL FIN REGS 4.563 13-23 24/04S USD 95.89 2,105,132.60 1.632,083,637.922.242,884,630.102,848,637.92TOTAL THE NETHERLANDS

1,400,000 PIRELLI INTL REGS 1.75 14-19 18/11A EUR 97.34 1,362,732.00 1.061,354,360.00

UNITED KINGDOM

1,500,000 STANDARD CHARTERED 5.875 07-17 26/09A EUR 106.47 1,596,975.00 1.241,603,500.002.302,959,707.002,957,860.00TOTAL UNITED KINGDOM

TOTAL BONDS 17.4922,513,729.0822,003,051.75


AUSTRIA

CONVERTIBLE BONDS

1.752,252,733.002,029,650.00TOTAL AUSTRIA

600,000 JAZZ INVESTMENT CV 1.875 14-21 15/08S USD 102.52 540,129.09 0.42565,810.86

BERMUDA

0.42540,129.09565,810.86TOTAL BERMUDA

Ccy

121


BOND SUB-FUNDS

GLOBAL CONVEXITY



security

Marketvalue

(see notes)

% ofnet

assets

500,000 CTRIP COM INTL CV 1.00 15-20 01/07S USD 110.17 483,715.31 0.38490,764.69

CAYMAN ISLANDS

10,000,000 HENGAN INTL GROUP CV 0.00 13-18 27/06U HKD 105.17 1,190,574.30 0.921,243,796.659,000,000 KINGSOFT CORP LTD 1.25 14-19 11/04S HKD 96.92 987,500.70 0.771,022,527.27


900,000 OUTOKUMPU CV 3.255 15-20 26/02S EUR 76.94 692,424.00 0.54670,918.50

FINLAND

0.54692,424.00670,918.50TOTAL FINLAND


FRANCE

8,198 LVMH MOET HENNESSY CV 0.00 16-21 16/02U USD 261.07 1,879,356.23 1.461,908,053.516,000 RALLYE CV 1.00 13-20 02/10A EUR 87.36 521,214.38 0.41431,138.32

17,224 SAFRAN SA CV 0.00 16-20 31/10U EUR 94.33 1,624,808.82 1.261,615,990.133,637 UNIBAIL RODAMCO CV 0.00 15-22 01/01U EUR 354.29 1,288,534.55 1.001,292,226.10


2,200,000 RAG STIFTUNG CV 0.00 14-18 31/12U EUR 103.46 2,276,164.00 1.772,325,764.00

GERMANY

1.772,276,164.002,325,764.00TOTAL GERMANY

500,000 BAOSTEEL HONG KONG INV 0.00 15-18 01/12U USD 93.70 411,384.79 0.32433,925.93

HONG KONG

0.32411,384.79433,925.93TOTAL HONG KONG

500,000 BENI STABILI CV 0.875 15-21 31/01S EUR 100.34 501,710.00 0.39497,992.50

ITALY

0.39501,710.00497,992.50TOTAL ITALY

40,000,000 SHIMIZU CORP 0.00 15-20 16/10A JPY 106.43 332,242.86 0.26321,176.11

JAPAN

289,000,000 SONY CORP CV 0.00 15-22 30/09U JPY 102.02 2,300,813.49 1.792,220,968.9860,000,000 TEIJIN LTD CV 0.00 14-18 10/12U JPY 113.15 529,787.73 0.41545,875.98

150,000,000 TOHOKU ELEC POWER CV 0.00 15-20 03/12U JPY 103.80 1,215,030.44 0.941,199,101.90110,000,000 TOHOKU ELECT POWER 0.00 15-18 03/12U JPY 103.15 885,433.90 0.69872,017.01

4.095,263,308.425,159,139.98TOTAL JAPAN

700,000 BRITISH LND JER CV 0.00 15-20 09/06U GBP 95.38 842,629.24 0.65898,199.09

JERSEY

0.65842,629.24898,199.09TOTAL JERSEY

600,000 GRAND CITY PRO CV 0.25 16-22 02/03S EUR 106.45 638,682.00 0.50638,566.80

LUXEMBOURG



MEXICO

1,000,000 CEMEX SAB DE CV 3.75 11-18 15/03S USD 104.44 917,132.07 0.71804,207.442.943,782,820.073,615,587.44TOTAL MEXICO

2,250,000 CAPITALAND CV 1.95 13-23 17/10S SGD 99.83 1,463,907.72 1.141,464,031.80

SINGAPORE

1.141,463,907.721,464,031.80TOTAL SINGAPORE

200,000 INTL CONSOLIDATED CV 0.25 15-20 17/11S EUR 95.66 191,316.00 0.15190,687.00

SPAIN

200,000 INTL CONSOLIDATED CV 0.614 15-22 17/11S EUR 94.85 189,694.00 0.15190,557.00

Ccy

122


BOND SUB-FUNDS

GLOBAL CONVEXITY



security

Marketvalue

(see notes)

% ofnet

assets

1,000,000 SACYR VALLEHERMOSO CV 6.50 11-16 01/05Q EUR 98.90 989,010.00 0.76960,340.001.061,370,020.001,341,584.00TOTAL SPAIN

1,610,000 BASILEA PHARMA REG S 2.75 15-22 23/12S CHF 93.17 1,371,589.45 1.071,361,800.07

SWITZERLAND


500,000 BRENNTAG FINANCE CV 1.875 15-22 02/12S USD 108.03 474,332.63 0.37480,910.60

THE NETHERLANDS

2,200,000 IBERDROLA INTL CV 0.00 15-22 11/11A EUR 98.17 2,159,674.00 1.672,184,083.001,400,000 STMICROELCTRONICS NV 0.00 14-19 03/07U USD 90.86 1,116,975.76 0.871,220,970.291,400,000 STMICROELECTRONICS 1.00 14-21 03/07S USD 90.60 1,113,791.71 0.871,185,504.352,500,000 YANDEX NV CV 1.125 13-18 15/12S USD 88.53 1,943,482.17 1.511,979,952.43


1,200,000 DP WORLD CV 1.75 14-24 19/06S USD 101.22 1,066,606.95 0.831,072,220.17

UNITED ARAB EMIRATES

0.831,066,606.951,072,220.17TOTAL UNITED ARAB EMIRATES

600,000 J SAINSBURY PLC 1.25 14-19 21/11S GBP 106.39 805,689.62 0.63814,937.21

UNITED KINGDOM

800,000 VODAFONE GROUP CV 0.00 15-20 26/11U GBP 99.97 1,009,400.24 0.781,047,774.341.411,815,089.861,862,711.55TOTAL UNITED KINGDOM

1,500,000 ARES CAPITAL CV 4.375 14-19 15/01S USD 101.70 1,339,508.70 1.041,381,557.07


1,911,000 CITRIX SYSTEMS CV 0.50 15-19 15/04S USD 111.91 1,877,975.34 1.461,835,096.66750,000 LIBERTY MEDIA CV 1.375 13-23 15/10S USD 99.24 653,599.19 0.51649,752.62

1,061,000 LINKEDIN CV 0.50 15-19 01/11M USD 90.58 843,927.31 0.66994,956.961,500,000 NETSUITE CONV 0.25 14-18 01/06S USD 95.77 1,261,492.36 0.981,273,076.24

500,000 SALESFORCE COM CV 0.25 14-18 01/04S USD 123.73 543,229.71 0.42548,993.355.076,519,732.616,683,432.90TOTAL UNITED STATES OF AMERICA


500,000 AIR FRANCE KLM FL.R 15-XX 01/10A EUR 98.10 490,480.00 0.38453,850.00

FRANCE


3,000,000 BFCM REGS EMTN FL.R 14-19 20/03Q EUR 100.83 3,024,750.00 2.353,025,800.001,100,000 CNP ASSURANCES FL.R 14-XX 18/11A EUR 94.40 1,038,433.00 0.811,006,060.001,500,000 LVMH MOET HENNESSY L FL.R 13-16 05/09Q EUR 100.04 1,500,645.00 1.171,499,550.00

950,000 PICARD GROUPE REGS FL.R 13-19 01/08Q EUR 100.50 954,750.00 0.74948,765.001,500,000 SOCIETE AUT PARIS RHINFL.R 14-19 31/03Q EUR 100.71 1,510,620.00 1.171,507,650.001,000,000 SOGECAP SA FL.R 14-49 29/12A EUR 95.84 958,410.00 0.74921,800.002,070,000 TOTAL SA FL.R 15-XX 26/02A EUR 94.46 1,955,280.60 1.521,900,695.00

8.8811,433,368.6011,264,170.00TOTAL FRANCE

1,000,000 ALLIANZ FL.R 14-24 19/08A EUR 99.16 991,610.00 0.77964,800.00

GERMANY

1,500,000 DAIMLER FL.R 13-16 07/10Q EUR 100.03 1,500,420.00 1.171,500,150.001.942,492,030.002,464,950.00TOTAL GERMANY

1,975,000 SNAM EMTN FL.R 13-16 17/10Q EUR 100.34 1,981,695.25 1.541,981,320.00

ITALY

1.541,981,695.251,981,320.00TOTAL ITALY


LUXEMBOURG

1,000,000 WIND ACQUISITION FIN FL.R 14-20 15/07Q EUR 97.77 977,710.00 0.76975,000.001.752,252,470.002,303,865.00TOTAL LUXEMBOURG

Ccy

123


BOND SUB-FUNDS

GLOBAL CONVEXITY



security

Marketvalue

(see notes)

% ofnet

assets

2,600,000 ABN AMRO BANK FL.R 13-17 05/12Q EUR 100.74 2,619,318.00 2.042,619,760.00

THE NETHERLANDS

1,004,000 NN GROUP FL.R 14-XX 15/07A EUR 97.58 979,743.36 0.76952,595.202.803,599,061.363,572,355.20TOTAL THE NETHERLANDS

500,000 FORD MOTOR CREDIT FL.R 15-18 09/01Q USD 98.79 433,765.59 0.34456,270.78


2,000,000 GOLDMAN SACHS GRP FL.R 07-17 30/01Q EUR 100.05 2,000,940.00 1.552,000,800.001,500,000 VERIZON COMMUNICAT FL.R 14-19 17/06Q USD 99.70 1,313,237.62 1.021,372,829.70




75.5797,243,826.9796,586,054.50

1,200,000 INTEG DEVICE TECH CV 0.875 15-22 15/11S USD 93.76 988,008.43 0.771,032,569.03


BONDS


0.77988,008.431,032,569.03TOTAL UNITED STATES OF AMERICA

TOTAL BONDS 0.77988,008.431,032,569.03

600,000 CHINA OVERSEAS FIN 16-23 05/01U USD 100.34 528,635.41 0.41547,186.92

CAYMAN ISLANDS

CONVERTIBLE BONDS

0.41528,635.41547,186.92TOTAL CAYMAN ISLANDS

50,000,000 K S DENKI CORP CV 0.00 14-19 20/12U JPY 116.49 454,545.81 0.35466,901.84

JAPAN

40,000,000 KEIHAN ELEC RAILWAY 0.00 16-21 30/03U JPY 104.35 325,749.96 0.25325,946.0150,000,000 RESORTTRUST INC CV 0.00 14-21 01/12U JPY 107.54 419,615.26 0.33435,458.7880,000,000 SUZUKI MOTOR CV 0.00 16-23 31/03U JPY 105.24 657,018.89 0.51661,348.1980,000,000 SUZUKI MOTOR CV REGS 0.00 16-21 31/03U JPY 104.95 655,239.58 0.51666,080.1260,000,000 UNICHARM CORP CV 0.00 15-20 25/09U JPY 120.21 562,845.33 0.44541,002.21

2.393,075,014.833,096,737.15TOTAL JAPAN

1,462,000 NUANCE COMM 144A CV 1.00 15-35 15/12S USD 92.28 1,184,633.39 0.921,221,123.76


1,710,000 NUVASIVE INC CV 2.25 16-21 15/03S USD 107.31 1,611,323.63 1.251,581,996.582.172,795,957.022,803,120.34TOTAL UNITED STATES OF AMERICA


1,200,000 CNP ASSURANCES FL.R 15-47 10/06A EUR 96.38 1,156,536.00 0.901,128,036.00

FRANCE


0.901,156,536.001,128,036.00TOTAL FRANCE



Ccy

124


BOND SUB-FUNDS

GLOBAL CONVEXITY



security

Marketvalue

(see notes)

% ofnet

assets


FRANCE

OPTIONS


0.0568,700.0080,400.00TOTAL FRANCE

300 ACCOR DEC 44.00 18.12.17 CALL EUR 3.41 102,300.00 0.0884,000.00

GERMANY

600 AGEAS DEC 40 18.12.17 CALL EUR 1.57 94,200.00 0.07157,164.00150 AIR LIQUIDE JUN 115.0 19.06.17 CALL EUR 2.96 44,400.00 0.0347,400.00100 ALLIANZ DEC 180.0 18.12.17 CALL EUR 2.13 21,300.00 0.0245,600.00256 ATOS JUN 80.0 19.06.17 CALL EUR 3.66 93,696.00 0.07114,944.00700 CNP ASSURANCES JUN 14 19.06.17 CALL EUR 0.91 63,700.00 0.0546,900.00750 CREDIT AGRICOLE DEC 14 15.12.17 CALL EUR 0.16 12,000.00 0.0115,750.00300 CREDIT AGRICOLE DEC 12.00 18.12.17 CALL EUR 0.39 11,700.00 0.0113,500.00300 DEUTSCHE POST DEC 25.00 18.12.17 CALL EUR 2.09 62,700.00 0.0536,000.00

45 DJ EURO STOXX 50 MAY 3000 23.05.16 PUT EUR 114.00 51,300.00 0.0445,990.00100 FAURECIA DEC 34.00 18.12.17 CALL EUR 5.99 59,900.00 0.0550,100.00600 GENERALI DEC 17.00 15.12.17 CALL EUR 0.24 14,520.00 0.0127,925.02

50 ILIAD SA DEC 240.00 19.12.16 CALL EUR 17.03 85,150.00 0.07109,150.001,000 ING GROEP DEC 13.00 18.12.17 CALL EUR 0.44 44,000.00 0.0360,000.001,000 ING GROEP DEC 14.00 18.12.17 CALL EUR 0.29 29,000.00 0.0242,000.00

100 KERING DEC 180 18.12.17 CALL EUR 9.90 99,000.00 0.08109,700.00500 METRO DEC 28.00 18.12.17 CALL EUR 3.47 173,500.00 0.14137,000.00

1,800 NOKIA DEC 6.40 18.12.17 CALL EUR 0.37 66,600.00 0.05138,281.40250 PHILIPS DEC 25.00 18.12.17 CALL EUR 2.52 63,000.00 0.0566,500.00570 REPSOL JUN 15 19.06.17 CALL EUR 0.29 16,530.00 0.0124,920.40160 SIEMENS DEC 100.00 18.12.17 CALL EUR 6.56 104,960.00 0.0882,197.50

1,500 STMICROELECT DEC 6.40 18.12.17 CALL EUR 0.35 52,500.00 0.0493,000.00650 TELECOM ITALIA DEC 1.10 15.12.17 CALL EUR 0.11 74,100.00 0.0680,499.90170 VOLKSWAGEN VZ DEC 200.0 18.12.17 CALL EUR 1.60 27,200.00 0.0240,800.00

1.141,467,256.001,669,322.22TOTAL GERMANY

750 FERROVIAL JUN 22.00 16.06.17 CALL EUR 0.54 40,500.00 0.0391,500.00

SPAIN

0.0340,500.0091,500.00TOTAL SPAIN

350 AIG JAN 65.0 20.01.17 CALL USD 0.71 21,821.22 0.0264,647.21


2,000 FORD MOTOR JAN 14.75 20.01.17 CALL USD 0.52 91,324.20 0.0755,411.90250 INTEL JAN 32.00 20.01.17 CALL USD 2.65 58,175.27 0.0551,948.65150 JPMORGAN CHASE JAN 67.50 20.01.17 CALL USD 1.15 15,147.52 0.0129,783.89400 MICRON TECHNOLOGY JAN 28.0 20.01.17 CALL USD 0.03 1,053.74 0.003,324.71250 QUALCOMM INC JAN 57.50 20.01.17 CALL USD 1.84 40,393.40 0.0328,167.71

20 SP 500 E MINI MAY 1900 20.05.16 PUT USD 9.10 7,990.87 0.0123,848.09400 WELLS FARGO JAN 55.00 20.01.17 CALL USD 0.80 28,099.75 0.0276,099.00

0.21264,005.97333,231.16TOTAL UNITED STATES OF AMERICA

TOTAL OPTIONS 1.431,840,461.972,174,453.38


50 EDMOND DE ROTHSCHILD MONECOURT -R- EUR 100,642.56 5,032,128.00 3.915,031,647.50

FRANCE


INVESTMENT FUNDS

17,500 SAINT HONORE EME CONV -R- 3 DEC CAP USD USD 122.08 1,876,009.83 1.461,903,776.905.376,908,137.836,935,424.40TOTAL FRANCE

Ccy

125


BOND SUB-FUNDS

GLOBAL CONVEXITY



security

Marketvalue

(see notes)

% ofnet

assets

37,150 EDR FUND - GLOBAL CROSSOVER BONDS I EUR EUR 132.08 4,906,772.00 3.814,791,978.50

LUXEMBOURG

35 EDR FUND - SIGNATURES EURO HIGH YIELD I EUR EUR 15,070.46 527,466.10 0.41509,560.104.225,434,238.105,301,538.60TOTAL LUXEMBOURG





TOTAL NET ASSETS 100.00128,687,011.52

Ccy

126


BOND SUB-FUNDS

GLOBAL CONVEXITY


March 31, 2016(in %)

France 30.59United States of America 11.13The Netherlands 10.33Luxembourg 7.77Japan 6.48Germany 4.85United Kingdom 3.71Spain 3.42Mexico 2.94Cayman Islands 2.48Italy 1.93Austria 1.75Singapore 1.14Switzerland 1.07Malta 0.88United Arab Emirates 0.83Jersey 0.65Finland 0.54Bermuda 0.42Hong Kong 0.32



93.23

% ofnet

assets

COUNTRIES

127


BOND SUB-FUNDS

GLOBAL CONVEXITY


March 31, 2016(in %)

Holding and finance companies 11.65Investment funds 10.63Internet and software services 9.66Banks and other credit institutions 8.17Data transmission 7.03Transportation 4.45Road vehicles 4.34Electronics and semiconductors 4.30Energy and water supply 4.17Insurance 3.98Pharmaceutical and cosmetics industry 3.68Real estate 3.03Building and building materials 2.83Textiles and clothing industry 2.63Hotels, restaurants and leisure 1.88Mining industry 1.77Miscellaneous consumer goods 1.75Electrotechnical and electronic industry 1.67Oil 1.52Miscellaneous services 1.06Retail trade 1.04Foodstuffs and non-alcoholic drinks 0.74Non-ferrous metals 0.54Chemicals 0.41Aeronautical and astronomical industry 0.30


assets



93.23

128


BOND SUB-FUNDS

EURO CREDIT SHORT TERM


ASSETS


171,796,032.40


Other assets:- Receivable on subscriptions 667,651.92- Interest receivable 2,411,744.46- Unrealised gain on futures (see notes) 152,100.00- Unrealised gain on forward foreign exchange contracts (see notes) 20,252.38

179,789,046.33

LIABILITIES

Bank overdraft:- Cash at sight 44.99

Other liabilities:- Payable on redemptions 156,773.26- Taxes and expenses payable 216,883.21

373,701.46

NET ASSETS 179,415,344.87

(in EUR)


129


BOND SUB-FUNDS




Shares outstanding

Class A EUR


Shares outstanding

Class B EUR DIS


Shares outstanding

Class I CHF (H)

11,241.921,405.4570Net asset value per share

Shares outstanding

Class I EUR


Shares outstanding

Class N EUR

10,089.101.9870Net asset value per share

Shares outstanding

Class O EUR DIS


(in EUR)

130


BOND SUB-FUNDS




INCOME


7,935,366.15

EXPENSES


Fees:- Management fee (see notes) 577,785.64- Performance fee (see notes) 27,308.65- Custodian fee and safekeeping charges (see notes) 188,028.16


959,499.11




Change in net unrealised appreciation/(depreciation) on:- Investments (1,845,141.24)- Forward foreign exchange contracts (58,940.29)- Futures 279,000.00


(225,044.42)



(65,494,334.04)

DIVIDEND PAID (see notes) (63,921.19)


(in EUR)


131

EDMOND DE ROTHSCHILD FUND EURO CREDIT SHORT TERM


Class A EUR






Highest 146.6703.31.16

Lowest 143.4901.21.16


SHARES

Class B EUR DIS

22,953.3800

44,702.2990

(16,103.4130)

51,552.2660

EUR

100.3404.13.15

96.9401.21.16

99.10

Class I CHF (H)

69,335.6110

1.0000

(12,337.0110)

56,999.6000

CHF

99.9004.13.15

97.1401.21.16

99.22

Class I EUR

5,041.8530

1,588.4420

(5,224.8380)

1,405.4570

EUR

11,241.9203.31.16

10,993.2201.21.16

11,241.92

Class N EUR

6,037.3990

3,390.9550

(2,474.7540)

6,953.6000

EUR

11,123.8103.31.16

10,870.4401.21.16

11,123.81

132



Class O EUR DIS

Shares outstanding at the beginning of the year 1.9870

Subscriptions of shares 0.0000


Shares outstanding at the end of the year 1.9870


Highest 10,209.1905.26.15

Lowest 9,859.4401.21.16

At the end of the year 10,089.10

SHARES

133




Class A EUR

0.56

Class B EUR DIS

0.57

Class I CHF (H)

0.33

Class I EUR

0.30


Class N EUR

0.22

Class O EUR DIS

0.21

134


BOND SUB-FUNDS




Date ShareClass

Number of shares

outstanding

NetAssets

Ccy Net assetvalue

per share

* First valuation** Last valuation

466,079.4840 145.0567,604,703.13Class A EUR10.08.14* EUR28,479.4820 99.302,827,885.67Class B EUR DIS EUR

2,618.2530 11,077.5229,003,762.44Class I EUR EUR4,987.0090 10,940.5254,560,473.91Class N EUR EUR

1.0000 10,074.4310,074.43Class O EUR DIS EUR1.0000 100.05100.05Class R EUR12.01.14* EUR

50,000.0000 100.005,000,049.55Class I CHF (H)03.04.15* CHF

772,874.0850 146.32113,086,741.62Class A EUR03.31.15 EUR22,953.3800 100.172,299,278.02Class B EUR DIS EUR69,335.6110 99.756,916,472.44Class I CHF (H) CHF


1.9870 10,186.0420,239.67Class O EUR DIS EUR

1.0000 100.02100.0212.02.14 Class R EUR** EUR

517,832.8840 146.6775,953,024.67Class A EUR03.31.16 EUR51,552.2660 99.105,108,907.14Class B EUR DIS EUR56,999.6000 99.225,655,711.81Class I CHF (H) CHF


1.9870 10,089.1020,047.05Class O EUR DIS EUR

135


BOND SUB-FUNDS






security

Marketvalue

(see notes)

% ofnet

assets

5,200,000 BNP PARIBAAS FORTIS 5.75 08-18 30/04A EUR 110.272 5,734,144.00 3.205,938,196.98

BELGIUM

BONDS


5,000,000 ETABLISSEMENT DELHAIZE FRERES & CIE LE LION -EUR GROUPE DELHAIZE SA 4.25% 10.19.11 - 10.19.18

EUR 109.129 5,456,450.00 3.045,561,614.45

6.2411,190,594.0011,499,811.43TOTAL BELGIUM

1,300,000 ISS GLOBAL 1.00 15-21 07/01A EUR 101.579 1,320,527.00 0.741,296,100.00

DENMARK

0.741,320,527.001,296,100.00TOTAL DENMARK

1,000,000 AREVA SA EMTN 3.875 09-16 23/09A EUR 100.500 1,005,000.00 0.561,025,900.00

FRANCE

3,000,000 ATOS 2.375 15-20 02/07A EUR 105.186 3,155,580.00 1.763,005,324.50900,000 CIMENTS FRANCAIS SA 4.75 07-17 04/04A EUR 103.808 934,272.00 0.52958,950.00

2,000,000 FONCIERE LYONNAISE 3.50 12-17 28/11A EUR 105.206 2,104,120.00 1.172,149,068.173,500,000 GECINA 4.75 12-19 11/04A EUR 113.287 3,965,045.00 2.214,064,379.371,000,000 HIT FINANCE 5.75 11-18 09/03A EUR 110.673 1,106,730.00 0.621,166,300.00

300,000 JC DECAUX SA 2.00 13-18 08/02S EUR 103.178 309,534.00 0.17312,390.003,500,000 LAFARGE EMTN 4.75 13-20 30/09A EUR 117.225 4,102,875.00 2.284,065,205.001,000,000 LAFARGE EMTN 5.875 12-19 09/07A EUR 117.628 1,176,280.00 0.661,195,790.143,500,000 STE DE AUTOROUTE 2.25 14-20 16/01A EUR 107.552 3,764,320.00 2.103,752,145.401,000,000 VALEO 4.875 11-18 11/05A EUR 109.716 1,097,160.00 0.611,143,000.003,000,000 VIVENDI 4.875 09-19 02/12A EUR 116.446 3,493,380.00 1.953,540,559.505,000,000 WENDEL EMTN 5.875 12-19 17/09A EUR 116.945 5,847,250.00 3.256,040,596.35

17.8632,061,546.0032,419,608.43TOTAL FRANCE

4,500,000 METRO AG 3.375 12-19 01/03A EUR 108.675 4,890,375.00 2.724,979,711.04

GERMANY

2,400,000 TECHEM EMTN REGS 6.125 12-19 01/10S EUR 105.274 2,526,576.00 1.412,567,336.054.137,416,951.007,547,047.09TOTAL GERMANY

3,200,000 SMURFIT KAPPA REGS 5.125 12-18 15/09S EUR 109.126 3,492,032.00 1.953,500,529.83

IRELAND

1.953,492,032.003,500,529.83TOTAL IRELAND

500,000 ATLANTIA SPA 4.50 12-19 08/02A EUR 112.602 563,010.00 0.31571,304.39

ITALY

2,000,000 EL TOWERS SPA 3.875 13-18 26/04A EUR 106.078 2,121,560.00 1.182,143,834.833,000,000 INTESA SAN PAOLO SPA 4.375 12-19 15/10A EUR 112.953 3,388,590.00 1.893,468,200.493,400,000 TELECOM ITALIA EMTN 5.375 04-19 29/01A EUR 112.589 3,828,026.00 2.143,838,538.963,000,000 UNICREDIT 1.50 14-19 19/06A EUR 102.686 3,080,580.00 1.723,052,024.68

7.2412,981,766.0013,073,903.35TOTAL ITALY

2,200,000 SOFTBANK REGS 4.625 13-20 15/04S EUR 108.874 2,395,228.00 1.342,360,275.94

JAPAN

1.342,395,228.002,360,275.94TOTAL JAPAN

Ccy

136


BOND SUB-FUNDS




security

Marketvalue

(see notes)

% ofnet

assets

2,500,000 ARCELORMITTAL REGS 3.00 14-19 25/03A EUR 97.653 2,441,325.00 1.372,557,056.78

LUXEMBOURG

1,500,000 CNH INDUSTRIAL FIN 2.75 14-19 18/03A EUR 101.912 1,528,680.00 0.851,517,444.661,000,000 HEIDELBERGCEMENT FIN 8.50 09-19 31/10S EUR 124.273 1,242,730.00 0.691,317,754.501,300,000 HEIDELBERGCEMENT REGS 2.25 14-19 12/03A EUR 103.908 1,350,804.00 0.751,323,790.00


800,000 PEMEX 5.50 09-17 09/01A EUR 103.460 827,680.00 0.46878,565.77

MEXICO

0.46827,680.00878,565.77TOTAL MEXICO

3,000,000 ABERTIS INFRAESTRUCT. 4.75 12-19 25/10A EUR 115.524 3,465,720.00 1.933,554,367.90

SPAIN

1,000,000 BBVA SENIOR FIN 2.375 14-19 22/01A EUR 105.958 1,059,580.00 0.591,067,906.334,300,000 DIA EMTN 1.50 14-19 22/07A EUR 102.304 4,399,072.00 2.454,412,180.552,500,000 GAS NATURAL REGS 6.00 12-20 27/01A EUR 121.540 3,038,500.00 1.693,142,002.502,000,000 SANTANDER INTL DEB 1.375 16-21 03/03A EUR 102.877 2,057,540.00 1.151,996,160.001,500,000 TELEFONICA EMIS 2.736 13-19 29/05A EUR 107.762 1,616,430.00 0.901,614,900.002,500,000 TELEFONICA EMIS REGS 4.71 12-20 20/01A EUR 116.340 2,908,500.00 1.622,978,872.32

10.3318,545,342.0018,766,389.60TOTAL SPAIN

2,000,000 CRH FINANCE 5.00 12-19 25/01A EUR 113.386 2,267,720.00 1.262,333,598.73

THE NETHERLANDS

3,500,000 SCHAEFFLER FINANCE 2.75 14-19 15/05S EUR 101.603 3,556,105.00 1.993,547,156.023.255,823,825.005,880,754.75TOTAL THE NETHERLANDS

447,000 ANGLO AMER CAPITAL 1.75 13-17 20/11A EUR 96.669 432,110.43 0.24458,752.13

UNITED KINGDOM

1,800,000 ANGLO AMER CAPITAL 2.75 12-19 07/06A EUR 91.259 1,642,662.00 0.921,932,234.7527,000 ANGLO AMER CAPITAL 4.375 09-16 02/12A EUR 101.511 27,407.97 0.0228,399.95

1,500,000 FCE BANK 1.75 13-18 21/05A EUR 103.055 1,545,825.00 0.861,544,250.005,000,000 FCE BANK 1.875 14-19 18/04A EUR 103.894 5,194,700.00 2.895,201,963.121,400,000 INTER GANE TECH REGS 4.125 15-20 15/02S EUR 102.611 1,436,554.00 0.801,425,163.93

200,000 LLOYDS TSB BANK EMTN 6.375 09-16 17/06A EUR 101.306 202,612.00 0.11211,340.003,000,000 LOTTOMATICA 5.375 10-18 02/02A EUR 108.862 3,265,860.00 1.813,402,226.69

600,000 PIRELLI INTL REGS 1.75 14-19 18/11A EUR 97.338 584,028.00 0.33603,018.211,000,000 RADIOTELEVISIONE ITA 1.50 15-20 28/05A EUR 102.555 1,025,550.00 0.571,004,800.002,000,000 RBS 5.375 09-19 30/09A EUR 116.483 2,329,660.00 1.302,400,527.002,600,000 TESCO CORP 1.375 14-19 01/07A EUR 99.126 2,577,276.00 1.442,533,178.41

800,000 TESCO EMTN 2.125 13-20 12/11A EUR 100.407 803,256.00 0.45785,916.002,500,000 VODAFONE GROUP 0.875 15-20 17/11A EUR 100.745 2,518,625.00 1.402,493,516.002,500,000 WPP FINANCE 2013 0.75 15-19 18/11Q EUR 101.156 2,528,900.00 1.412,503,361.67


2,500,000 AMGEN 2.125 12-19 13/09A EUR 105.939 2,648,475.00 1.482,655,227.37


1,000,000 BANK OF AMERICA EMTN 1.875 13-19 10/01A EUR 104.185 1,041,850.00 0.581,045,588.373,200,000 CELANESE CORP 3.25 14-19 15/10S EUR 104.709 3,350,688.00 1.873,299,727.583,000,000 CITIGROUP 7.375 09-19 04/09A EUR 123.337 3,700,110.00 2.053,854,969.253,500,000 COCA COLA ENTER REGS 2.00 12-19 05/12A EUR 105.472 3,691,520.00 2.063,696,742.523,000,000 ZF NORTH AMERICA CAPITAL 2.25 15-19 26/04A EUR 102.270 3,068,100.00 1.713,005,446.07


TOTAL BONDS 81.50146,234,799.40148,025,381.15

3,000,000 CARREFOUR BANQUE FL.R 15-19 21/10Q EUR 100.489 3,014,670.00 1.673,005,281.60

FRANCE


2,800,000 PICARD GROUPE REGS FL.R 13-19 01/08Q EUR 100.500 2,814,000.00 1.572,810,841.751,500,000 RCI BANQUE FL.R 15-18 16/07Q EUR 99.902 1,498,530.00 0.841,500,828.37

4.087,327,200.007,316,951.72TOTAL FRANCE

Ccy

137


BOND SUB-FUNDS




security

Marketvalue

(see notes)

% ofnet

assets

1,000,000 DAIMLER EMTN FL.R 14-19 24/06Q EUR 100.023 1,000,230.00 0.561,005,160.00

GERMANY

0.561,000,230.001,005,160.00TOTAL GERMANY

1,000,000 SMURFIT KAPPA REGS FL.R 12-20 15/10Q EUR 105.561 1,055,610.00 0.591,075,000.00

IRELAND

0.591,055,610.001,075,000.00TOTAL IRELAND

1,000,000 CDP REGS FL.R 14-17 30/06Q EUR 100.250 1,002,500.00 0.56997,000.00

ITALY

0.561,002,500.00997,000.00TOTAL ITALY

2,000,000 ARCELORMITTAL FL.R 15-18 09/04Q EUR 95.601 1,912,020.00 1.072,014,006.75

LUXEMBOURG

4,200,000 WIND ACQUISITION REGS FL.R 13-19 30/04Q EUR 100.209 4,208,778.00 2.344,251,720.133.416,120,798.006,265,726.88TOTAL LUXEMBOURG

2,000,000 TELEFONICA EMIS SA FL.R 14-17 10/04Q EUR 100.268 2,005,360.00 1.121,996,340.00

SPAIN

1.122,005,360.001,996,340.00TOTAL SPAIN

500,000 ABN AMRO FL.R 13-16 01/08Q EUR 100.161 500,805.00 0.28503,600.00

THE NETHERLANDS

0.28500,805.00503,600.00TOTAL THE NETHERLANDS

2,500,000 AT T FL.R 14-19 04/06Q EUR 100.173 2,504,325.00 1.392,502,765.83


1,000,000 GOLDMAN SACHS GROUP FL.R 14-16 05/09Q EUR 100.161 1,001,610.00 0.561,006,400.001.953,505,935.003,509,165.83TOTAL UNITED STATES OF AMERICA



94.05168,753,237.40170,694,325.58

500,000 SCHLUMBERGER FINANCE 0.625 16-19 12/02A EUR 101.300 506,500.00 0.28499,275.00

FRANCE

BONDS


2,000,000 SOCIETE GENERALE 0.75 16-21 19/02A EUR 101.163 2,023,260.00 1.131,989,200.001.412,529,760.002,488,475.00TOTAL FRANCE

500,000 THERMO FISCHER SCIEN 1.50 15-20 01/12A EUR 102.607 513,035.00 0.29499,855.00



TOTAL BONDS 1.703,042,795.002,988,330.00




TOTAL NET ASSETS 100.00179,415,344.87

Ccy

138


BOND SUB-FUNDS



March 31, 2016(in %)

France 23.35United Kingdom 14.55United States of America 11.99Spain 11.45Italy 7.80Luxembourg 7.07Belgium 6.24Germany 4.69The Netherlands 3.53Ireland 2.54Japan 1.34Denmark 0.74Mexico 0.46



95.75

% ofnet

assets

COUNTRIES

139


BOND SUB-FUNDS



March 31, 2016(in %)

Holding and finance companies 23.09Banks and other credit institutions 20.79Data transmission 9.75Retail trade 8.21Internet and software services 5.71Transportation 4.34Foodstuffs and non-alcoholic drinks 3.63Building and building materials 3.46Real estate 3.38Graphic industry and publishing houses 2.69Mining industry 2.44Energy and water supply 1.97Chemicals 1.87Biotechnology 1.48Road vehicles 1.17Miscellaneous services 0.74Oil 0.46Electronics and semiconductors 0.29Mechanical engineering and industrial equipment 0.28


assets



95.75

140


BOND SUB-FUNDS

GLOBAL CROSSOVER BONDS


ASSETS


367,999,379.65


Other assets:- Receivable on subscriptions 1,381,301.44- Interest receivable 4,344,404.19- Formation/reorganisation expenses, net (see notes) 3,780.10- Receivable for investments sold 2,809,792.33- Unrealised gain on forward foreign exchange contracts (see notes) 3,783,437.58

385,687,088.07

LIABILITIES

Bank overdraft:- Cash at sight 1,154,029.30

Other liabilities:- Payable on redemptions 3,182,470.27- Taxes and expenses payable 955,655.16- Payable for investments purchased 2,510,045.19- Unrealised loss on futures (see notes) 18,300.00- Unrealised loss on forward foreign exchange contracts (see notes) 2,783,137.56

10,603,637.48

NET ASSETS 375,083,450.59

(in EUR)


141


BOND SUB-FUNDS



127.801,566,058.7955Net asset value per share

Shares outstanding

Class A EUR


Shares outstanding

Class A USD (H)


Shares outstanding

Class B EUR DIS


Shares outstanding

Class B USD (H) DIS


Shares outstanding

Class I EUR


Shares outstanding

Class I USD (H)


(in EUR)

142


BOND SUB-FUNDS




INCOME

Income from investments: (see notes)- Dividends, net 74,562.27- Bond interest, net 15,551,922.64Other income 1,294.00

15,627,778.91

EXPENSES


Fees:- Management fee (see notes) 2,768,245.92- Custodian fee and safekeeping charges (see notes) 895,753.43

Other expenses:- Annual tax (see notes) 177,069.73- Amortisation of formation/reorganisation expenses (see notes) 2,562.10- Transaction fees (see notes) 15,034.01- Administration and other expenses (see notes) 326,661.59

4,203,965.44


Net realised result on:- Investments (see notes) (5,796,736.38)- Foreign exchange (4,072,326.68)


Change in net unrealised appreciation/(depreciation) on:- Investments (19,564,246.33)- Forward foreign exchange contracts 9,637,519.23- Futures (18,300.00)


(8,390,276.69)



(3,431,588.06)



(in EUR)


143

EDMOND DE ROTHSCHILD FUND GLOBAL CROSSOVER BONDS


Class A EUR

Shares outstanding at the beginning of the year 1,587,628.6630



Shares outstanding at the end of the year 1,566,058.7955


Highest 128.9804.15.15

Lowest 122.5602.12.16


SHARES

Class A USD (H)

1,038,697.4490

122,880.1620

(304,063.3480)

857,514.2630

USD

102.7004.15.15

97.7302.12.16

102.05

Class B EUR DIS

206,350.4740

49,045.9440

(36,957.5800)

218,438.8380

EUR

119.9804.15.15

111.7002.12.16

116.48

Class B USD (H) DIS

162,357.1600

11,772.5650

(78,659.9940)

95,469.7310

USD

102.7104.15.15

95.9302.12.16

100.18

Class I EUR

238,802.7400

270,490.8160

(105,489.6410)

403,803.9150

EUR

132.9104.15.15

126.7202.12.16

132.22

144



Class I USD (H)





NET ASSET VALUE PER SHARE USD

Highest 103.0304.15.15

Lowest 98.3702.12.16


SHARES

145




Class A EUR

1.11

Class A USD (H)

1.11

Class B EUR DIS

1.11

Class B USD (H) DIS

1.11


Class I EUR

0.70

Class I USD (H)

0.70

146


BOND SUB-FUNDS




Date ShareClass

Number of shares

outstanding

NetAssets

Ccy Net assetvalue

per share

* First valuation

1,277,931.0690 125.23160,031,939.44Class A EUR07.15.14* EUR1,119,436.2247 100.00111,943,875.62Class A USD (H) USD

216,977.4270 116.4825,274,361.31Class B EUR DIS EUR139,937.4251 100.0013,993,860.21Class B USD (H) DIS USD

71,251.1240 128.649,165,718.27Class I EUR EUR31,060.2518 100.003,106,031.19Class I USD (H) USD

1,587,628.6630 128.31203,709,117.87Class A EUR03.31.15 EUR1,038,697.4490 102.19106,145,127.20Class A USD (H) USD

206,350.4740 119.3524,628,065.31Class B EUR DIS EUR162,357.1600 102.1916,591,504.46Class B USD (H) DIS USD238,802.7400 132.2031,568,860.42Class I EUR EUR141,420.5730 102.4914,494,668.91Class I USD (H) USD

1,566,058.7955 127.80200,140,579.87Class A EUR03.31.16 EUR857,514.2630 102.0587,512,413.08Class A USD (H) USD218,438.8380 116.4825,442,665.19Class B EUR DIS EUR

95,469.7310 100.189,563,958.99Class B USD (H) DIS USD403,803.9150 132.2253,388,986.84Class I EUR EUR121,104.1050 102.7812,447,167.19Class I USD (H) USD

147


BOND SUB-FUNDS






security

Marketvalue

(see notes)

% ofnet

assets

420,000 HORIZON HOLDINGS III 5.125 15-22 01/08S EUR 105.154 441,646.80 0.12422,254.50

AUSTRALIA

BONDS


750,000 MACQUARIE GROUP LTD 4.875 10-17 10/08S USD 103.880 683,690.93 0.18602,796.511,000,000 SYDNEY AIRPORT FIN 3.375 15-25 30/04S USD 98.536 864,692.20 0.23926,224.06

0.531,990,029.931,951,275.07TOTAL AUSTRALIA

500,000 DELHAIZE GROUPE 4.125 12-19 10/04S USD 104.243 457,387.13 0.12389,494.38

BELGIUM

500,000 ONTEX GROUP REGS 4.75 14-21 15/11S EUR 106.471 532,355.00 0.14524,768.250.26989,742.13914,262.63TOTAL BELGIUM

1,000,000 FIDELITY INTL 6.875 10-17 24/02A EUR 105.743 1,057,430.00 0.281,130,950.00

BERMUDA

0.281,057,430.001,130,950.00TOTAL BERMUDA

750,000 BNDES 3.625 14-19 21/01A EUR 96.338 722,535.00 0.19783,112.50

BRAZIL

900,000 BRF SA REGS 2.75 15-22 03/06A EUR 93.337 840,033.00 0.23895,934.020.421,562,568.001,679,046.52TOTAL BRAZIL

750,000 SINOCHEM OV CAP REG S 4.50 10-20 12/11S USD 106.719 702,375.93 0.19592,587.49

BRITISH VIRGIN ISLANDS

0.19702,375.93592,587.49TOTAL BRITISH VIRGIN ISLANDS

1,500,000 BARRICK GOLD CORP 4.10 13-23 01/05S USD 98.040 1,290,509.41 0.351,124,384.78

CANADA

500,000 BOMBARDIER REGS EMTN 6.125 10-21 15/05S EUR 88.862 444,310.00 0.12485,628.551,000,000 BOMBARDIER 144A 7.75 10-20 15/03S USD 86.691 760,747.67 0.20837,924.77

500,000 TECK RESOURCES LIMITE 4.75 11-22 15/01S USD 70.016 307,208.99 0.08384,814.781,000,000 XSTRATA FINANCE EMTN 5.25 07-17 13/06A EUR 102.662 1,026,620.00 0.271,123,050.00

1.023,829,396.073,955,802.88TOTAL CANADA

1,300,000 BAIDU INC 3.00 15-20 30/06U USD 101.825 1,161,620.81 0.311,165,935.86

CAYMAN ISLANDS

500,000 BANCOMEXT SNC REGS 4.375 15-25 14/10S USD 100.709 441,880.57 0.12442,684.011,000,000 HUTCHISON WHAMPOA 2.50 12-17 06/06A EUR 102.642 1,026,420.00 0.271,048,144.831,000,000 SWIRE PACIFIC 4.50 12-22 28/02S USD 110.374 968,575.31 0.26805,440.02

900,000 UPCB FINANCE IV 4.00 15-27 15/01S EUR 97.447 877,023.00 0.23900,002.02500,000 VIRIDIAN GR II REGS 7.50 15-20 03/02S EUR 105.334 526,670.00 0.14500,001.87


1,000,000 CNDCC REGS 3.00 12-22 17/07S USD 96.638 848,036.51 0.23720,517.00

CHILE

0.23848,036.51720,517.00TOTAL CHILE

Ccy

148


BOND SUB-FUNDS




security

Marketvalue

(see notes)

% ofnet

assets

500,000 AREVA SA EMTN 3.875 09-16 23/09A EUR 100.500 502,500.00 0.13490,625.00

FRANCE

1,500,000 AXA SUB 5.50 13-XX 22/01S USD 102.199 1,345,254.70 0.361,226,064.23500,000 BNP PARIBAS 7.781 08-XX 02/07A EUR 110.344 551,720.00 0.15594,600.00500,000 BPCE 2.25 15-20 27/01S USD 100.159 439,467.33 0.12439,259.03

2,000,000 CAP GEMINI 2.50 15-23 01/07U EUR 108.315 2,166,300.00 0.582,035,502.251,500,000 CAP GEMINI SA 1.75 15-20 01/07A EUR 104.129 1,561,935.00 0.421,505,746.75

500,000 CASINO GUICHARD 3.157 12-19 06/08A EUR 106.694 533,470.00 0.14544,999.082,000,000 CASINO GUICHARD 3.248 14-24 07/03A EUR 101.171 2,023,420.00 0.542,013,177.601,000,000 CROWN EURO HLDG REGS 4.00 14-22 15/07S EUR 106.668 1,066,680.00 0.281,031,677.831,000,000 CROWN EURO HOLDINGS 3.375 15-25 15/05S EUR 99.568 995,680.00 0.27999,803.601,000,000 DARTY FINANCE REGS 5.875 14-21 01/03S EUR 106.789 1,067,890.00 0.281,067,501.501,000,000 FAURECIA 3.125 15-22 15/06S EUR 99.117 991,170.00 0.26982,482.64

500,000 FAURECIA 3.625 16-23 15/06S EUR 99.392 496,960.00 0.13500,000.001,600,000 FIN GAILLON EMTN REGS 7.00 14-19 30/09S EUR 103.798 1,660,768.00 0.441,598,111.251,500,000 GECINA 1.75 14-21 30/07A EUR 105.151 1,577,265.00 0.421,489,757.251,500,000 GECINA 4.75 12-19 11/04A EUR 113.287 1,699,305.00 0.451,737,477.25

300,000 HIT FINANCE 5.75 11-18 09/03A EUR 110.673 332,019.00 0.09349,792.092,400,000 HOMEVI REGS 6.875 14-21 15/08S EUR 106.518 2,556,432.00 0.692,482,280.64

620,000 HORIZON H.I 7.25 15-23 01/08S EUR 105.681 655,222.20 0.17624,656.752,500,000 KERING 0.875 15-22 28/03A EUR 100.910 2,522,750.00 0.672,483,502.251,000,000 KERNEOS TEC REGS 5.75 14-21 01/03S EUR 101.778 1,017,780.00 0.271,033,504.502,000,000 KLEPIERRE 1.75 14-24 06/11A EUR 105.713 2,114,260.00 0.562,000,722.25

300,000 KLEPIERRE EMTN 1.875 16-26 19/02A EUR 105.151 315,453.00 0.08299,106.001,370,000 LABEYRIE FINE FOODS 5.625 14-21 15/03S EUR 105.697 1,448,048.90 0.391,407,767.121,000,000 LOXAM SAS 4.875 14-21 23/07S EUR 105.221 1,052,210.00 0.28990,111.25

600,000 LOXAM SAS 7.375 13-20 24/01S EUR 105.789 634,734.00 0.17649,501.351,000,000 MEDI-PARTENAIRES 7.00 13-20 15/05S EUR 105.828 1,058,280.00 0.281,065,854.501,500,000 NOVAFIVES SAS REGS 4.50 14-21 30/06S EUR 87.633 1,314,495.00 0.351,523,348.811,300,000 NOVALIS SAS REGS 3.00 15-22 30/04S EUR 100.917 1,311,921.00 0.351,301,596.892,000,000 ORANGE 2.75 14-19 06/02S USD 103.126 1,809,942.52 0.481,525,372.002,000,000 PAPREC HOLDING REGS 5.25 15-22 01/04S EUR 97.645 1,952,900.00 0.522,059,333.753,000,000 PERNOD RICARD 1.875 15-23 28/09A EUR 105.626 3,168,780.00 0.852,989,202.251,000,000 PERNOD RICARD 2.95 12-17 15/01S USD 101.085 887,060.68 0.24765,207.881,000,000 PICARD BONDCO REGS 7.75 15-20 01/02S EUR 107.623 1,076,230.00 0.291,042,456.75

300,000 REXEL 3.25 15-22 15/06S EUR 100.964 302,892.00 0.08297,660.561,500,000 REXEL REGS 5.25 13-20 15/06S USD 102.438 1,348,394.11 0.361,150,962.26

800,000 SANOFI 1.25 13-18 10/04S USD 100.497 705,520.60 0.19700,281.45800,000 SMCP SAS 8.875 13-20 15/06S EUR 106.032 848,256.00 0.23853,203.24

2,500,000 SOCIETE GENERALE 5.00 14-24 17/01S USD 102.874 2,256,899.66 0.602,040,044.701,200,000 SOCIETE GENERALE SUB 2.625 15/25 27/02A EUR 99.174 1,190,088.00 0.321,210,663.751,500,000 SPCM REGS 2.875 15-23 15/06S EUR 97.572 1,463,580.00 0.391,484,064.191,330,000 SPCM SA 6.00 13-22 15/01S USD 102.125 1,191,928.83 0.321,283,127.961,000,000 VINCI EMTN 3.375 12-20 30/03A EUR 112.343 1,123,430.00 0.301,117,482.251,500,000 WENDEL 1.875 15-20 10/04A EUR 103.042 1,545,630.00 0.411,494,120.00

500,000 WENDEL 3.75 14-21 21/01A EUR 109.750 548,750.00 0.15549,501.12710,000 WFS GLOBAL HLDGS 9.50 15-22 15/07S EUR 107.949 766,437.90 0.20737,350.00

15.2557,200,110.4355,768,563.77TOTAL FRANCE

1,210,000 HP PELZER HLD REGS 7.50 14-21 15/07S EUR 105.717 1,279,175.70 0.341,252,406.75

GERMANY

650,000 KIRK BEAUTY ZERO REGS 6.25 15-22 15/07S EUR 107.384 697,996.00 0.19656,256.751,000,000 MERCK FIN SERVICES 1.375 15-22 01/09A EUR 105.747 1,057,470.00 0.28996,492.251,350,000 PROGROUP AG REGS 5.125 15-22 01/05S EUR 105.480 1,423,980.00 0.381,382,118.87

810,000 UNITY MEDIA REGS 5.125 13-23 21/01S EUR 106.751 864,683.10 0.23871,886.101,000,000 UNITYMEDIA HESSEN REGS4.00 14-25 15/01S EUR 102.369 1,023,690.00 0.271,020,746.75

500,000 WEPA HYGIENPROD REGS 6.50 13-20 15/05S EUR 105.941 529,705.00 0.14548,121.501.836,876,699.806,728,028.97TOTAL GERMANY

500,000 CS GR FUNDING 2.75 15-20 26/03S USD 99.195 435,237.59 0.12462,535.76

GUERNSEY

0.12435,237.59462,535.76TOTAL GUERNSEY

Ccy

149


BOND SUB-FUNDS




security

Marketvalue

(see notes)

% ofnet

assets

1,000,000 BANK OF IRELAND SUB 10.00 11-16 30/07A EUR 102.714 1,027,140.00 0.271,071,574.50

IRELAND

850,000 EUROPCAR 5.75 15-22 15/06S EUR 104.911 891,743.50 0.24843,958.75400,000 KERRY GROUP FIN SERV 2.375 15-25 10/09A EUR 109.376 437,504.00 0.12397,966.25600,000 SMURFIT KAP ACQ REGS 2.75 15-25 01/02S EUR 99.141 594,846.00 0.16603,070.64

0.792,951,233.502,916,570.14TOTAL IRELAND

1,000,000 ATLANTIA SPA 4.50 12-19 08/02A EUR 112.602 1,126,020.00 0.301,146,950.00

ITALY

2,700,000 CASSA DEPOSITI PRESTI 1.50 15-25 09/04A EUR 101.185 2,731,995.00 0.732,653,230.682,000,000 ENI SPA 3.75 12-19 27/06A EUR 111.208 2,224,160.00 0.592,254,666.251,000,000 INTESA SAN PAOLO SPA 4.375 12-19 15/10A EUR 112.953 1,129,530.00 0.301,145,507.252,750,000 ITALY 6.875 93-23 27/09S USD 126.135 3,043,931.82 0.812,617,989.383,500,000 ITALY BTP 4.50 13-24 01/03S EUR 126.868 4,440,380.00 1.194,024,475.00

500,000 PIAGGIO C REGS 4.625 14-21 30/04S EUR 103.930 519,650.00 0.14516,126.50800,000 SNAM REGS 1.375 15-23 19/11A EUR 104.435 835,480.00 0.22793,528.00

4.2816,051,146.8215,152,473.06TOTAL ITALY

500,000 SOFTBANK GROUP 4.00 15-27 30/01S EUR 105.450 527,250.00 0.14501,881.75

JAPAN

500,000 SOFTBANK GROUP CORP 4.75 15-25 30/07S EUR 102.957 514,785.00 0.14500,001.801,000,000 SOFTBANK REGS 4.50 13-20 15/04S USD 101.799 893,326.31 0.23779,819.69

500,000 SOFTBANK REGS 4.625 13-20 15/04S EUR 108.874 544,370.00 0.15534,805.000.662,479,731.312,316,508.24TOTAL JAPAN

800,000 LINCOLN FINANCE REGS 6.875 16-21 15/04S EUR 103.856 830,848.00 0.22812,000.00

JERSEY

0.22830,848.00812,000.00TOTAL JERSEY

1,000,000 ACTAVIS FUNDING SCS 3.80 15-25 15/03S USD 104.229 914,650.52 0.24970,364.23

LUXEMBOURG

500,000 ALTICE FINANCE REGS 5.25 15-23 15/02S EUR 102.709 513,545.00 0.14500,002.251,000,000 ALTICE FINCO SUB 7.625 15-25 15/02S USD 95.625 839,147.03 0.22908,395.38

200,000 ARCELORMITTAL 5.125 15-20 01/06 USD 96.076 168,620.95 0.04183,051.65300,000 ARCELORMITTAL 6.125 08-18 01/06S USD 101.304 266,694.75 0.07241,876.73

1,000,000 ARCELORMITTAL EMTN 5.75 12-18 29/03A EUR 105.346 1,053,460.00 0.28977,500.00560,000 CIRSA FUNDING 5.875 15-23 15/05S EUR 97.909 548,290.40 0.15555,583.85708,109 CIRSA FUNGING 8.75 10-18 15/05S EUR 101.066 715,657.88 0.19722,565.85200,000 DUFRY FIN SCA 4.50 14-22 15/07S EUR 105.320 210,640.00 0.06207,040.81250,000 DUFRY FINANCE SCA REGS4.50 15-23 01/08S EUR 105.320 263,300.00 0.07250,002.25900,000 FIAT FIN TRADE 6.75 13-19 14/10A EUR 114.280 1,028,520.00 0.271,039,282.14800,000 GARFUNKELUX REGS 7.50 15-22 01/08S EUR 102.546 820,368.00 0.22800,002.25500,000 GARFUNKELUX REGS 8.50 15-22 01/11S GBP 99.223 625,736.27 0.17674,854.91900,000 GESTAMP FUND LUX REGS 5.875 13-20 31/05S EUR 103.736 933,624.00 0.25941,171.80

1,500,000 GLENCORE FINANCE 5.25 10-17 22/03A EUR 102.573 1,538,595.00 0.411,670,505.00300,000 INTRALOT CAP LUX REGS 6.00 14-21 15/05S EUR 90.425 271,275.00 0.07276,001.35600,000 MAGNOLIA BC REGS 9.00 13-20 01/08S EUR 106.620 639,720.00 0.17635,062.50

1,500,000 MATTERHORN REGS 3.875 15-22 01/05S EUR 94.303 1,414,545.00 0.381,484,915.741,150,000 PLAY FINANCE 2 SA 5.25 14-19 01/02S EUR 102.861 1,182,901.50 0.321,205,844.50

500,000 PROLOGIS INTL FUND II 1.876 15-25 17/04A EUR 99.870 499,350.00 0.13500,002.251,200,000 SWISSPORT 6.75 15-21 15/12S EUR 105.533 1,266,396.00 0.341,224,525.00

500,000 TELECOM ITALIA CAP 6.999 08-18 04/06S USD 109.465 480,299.24 0.13422,583.261,500,000 TI CAPITAL 7.175 09-19 18/06S USD 112.987 1,487,258.12 0.401,271,231.851,000,000 UNICREDIT F REGS SUB 6.00 07-17 31/10S USD 103.698 909,990.79 0.24807,287.501,700,000 WIND ACQUI.FIN 4.00 14-20 15/07S EUR 99.504 1,691,568.00 0.451,677,189.06


1,000,000 AMERICA MOVIL 4.125 11-19 25/10A EUR 112.021 1,120,210.00 0.301,150,602.25

MEXICO

200,000 CEMEX REGS 7.25 13-21 15/01S USD 103.741 182,073.62 0.05162,879.802,000,000 FOMENTO ECONOMICO 1.75 16-23 20/03A EUR 99.708 1,994,160.00 0.531,990,340.001,000,000 PEMEX 3.50 13-18 18/07S USD 101.319 889,114.12 0.24777,076.91

Ccy

150


BOND SUB-FUNDS




security

Marketvalue

(see notes)

% ofnet

assets

1,500,000 UNITED MEXICAN STATE 3.50 14-21 21/01S USD 103.790 1,366,197.18 0.361,146,550.151.485,551,754.925,227,449.11TOTAL MEXICO

1,200,000 CARNIVAL CORP 1.875 15-22 07/11A EUR 102.481 1,229,772.00 0.321,198,157.00

PANAMA

500,000 CARNIVAL CORP 1.125 15-19 06/11A EUR 101.837 509,185.00 0.14498,000.000.461,738,957.001,696,157.00TOTAL PANAMA

1,000,000 PORTUGAL REGS 5.125 14-24 15/10S USD 101.395 889,781.06 0.24902,954.71

PORTUGAL

0.24889,781.06902,954.71TOTAL PORTUGAL

1,000,000 KOREA GAS CORP 3.50 15-25 21/07S USD 107.379 942,293.01 0.25907,243.54

SOUTH KOREA


2,000,000 CAMPOFRIO REGS 3.375 15-22 15/03S EUR 102.551 2,051,020.00 0.552,011,264.64

SPAIN

1,000,000 CELLNEX TELECOM 3.125 15-22 27/07A EUR 98.961 989,610.00 0.26984,000.001,000,000 ENCE ENERGIA REGS 5.375 15-22 01/11S EUR 105.571 1,055,710.00 0.281,019,850.001,000,000 GAS NATURAL REGS 6.00 12-20 27/01A EUR 121.540 1,215,400.00 0.321,245,552.251,500,000 SPAIN 4.00 13-18 06/03A USD 104.666 1,377,728.05 0.371,180,476.953,000,000 SPAIN 4.65 10-25 30/07A EUR 128.963 3,868,890.00 1.043,560,301.503,000,000 SPAIN 4.80 08-24 31/01A EUR 127.885 3,836,550.00 1.023,531,750.001,000,000 TELEFONICA EMIS SA 4.797 12-18 21/02A EUR 108.810 1,088,100.00 0.291,128,350.00

4.1315,483,008.0514,661,545.34TOTAL SPAIN

800,000 TVN FIN.CORPIII REGS 7.375 13-20 15/12S EUR 108.118 864,944.00 0.23897,602.40

SWEDEN

1,500,000 VERISURE HLDG REGS 6.00 15-22 01/11S EUR 106.540 1,598,100.00 0.431,521,750.000.662,463,044.002,419,352.40TOTAL SWEDEN

1,400,000 ALTICE REGS 7.25 14-22 15/05S EUR 99.387 1,391,418.00 0.371,471,936.17

THE NETHERLANDS

700,000 ALTICE REGS 7.75 14-22 15/05S USD 99.150 609,056.21 0.16549,883.311,500,000 BMW FINANCE 3.25 12-19 14/01A EUR 108.947 1,634,205.00 0.441,659,892.251,000,000 CABLE COMM SYS REGS 7.50 13-20 01/11S EUR 106.888 1,068,880.00 0.281,038,274.431,000,000 CARLSON WAGNLIT REGS 7.50 12-19 15/06S EUR 104.929 1,049,290.00 0.281,073,312.25

500,000 DEUTSCHE TEL.INTL FIN 0.625 16-23 03/04A EUR 99.940 499,700.00 0.13495,465.001,500,000 EDP FINANCE 5.25 14-21 14/01S USD 104.721 1,378,452.02 0.371,170,716.101,000,000 FIAT CHRYSLER A 3.75 16-24 29/03A EUR 100.394 1,003,940.00 0.271,000,000.001,500,000 FIAT CHRYSLER AUTO 4.50 15-20 15/04S USD 101.440 1,335,263.92 0.361,434,670.541,000,000 FLASH DUTCH 2 REGS 5.75 13-21 01/02S EUR 104.286 1,042,860.00 0.281,058,814.331,500,000 GEBERIT INTL REGS 0.688 15-21 30/03A EUR 102.376 1,535,640.00 0.411,496,219.501,400,000 GRUPO ANTOLIN DUTCH 4.75 14-21 01/04S EUR 103.933 1,455,062.00 0.391,444,986.101,100,000 GRUPO ANTOLIN DUTCH 5.125 15-22 30/06S EUR 105.232 1,157,552.00 0.311,113,942.001,000,000 OI EUROPEAN GROUP BV 4.875 13-21 31/03S EUR 109.743 1,097,430.00 0.291,071,669.67

300,000 PETROBRAS GLB FIN 3.75 14-21 14/01A EUR 78.885 236,655.00 0.06312,852.00500,000 PETROBRAS INTL FIN 3.25 12-19 01/04A EUR 84.734 423,670.00 0.11518,425.00

2,000,000 RABOBANK 4.125 12-22 14/09A EUR 113.952 2,279,040.00 0.612,223,500.002,000,000 REPSOL INTL FINANCE 4.875 12-19 19/02A EUR 111.502 2,230,040.00 0.592,316,264.50

500,000 SCHAEFFLER FINANCE 4.25 14-21 15/05S USD 102.250 448,642.01 0.12369,313.121,500,000 SCHAEFFLER FINANCE 5.75 14-21 15/11S EUR 107.600 1,614,000.00 0.431,571,578.901,400,000 SM MTH AUTO GRP REGS 4.125 14-21 15/07S EUR 98.249 1,375,486.00 0.371,391,603.151,500,000 UPC HOLDING REGS 6.75 13-23 15/03S EUR 108.337 1,625,055.00 0.431,643,629.501,000,000 ZIGGO BOND CO 4.625 15-25 15/01S EUR 98.102 981,020.00 0.261,011,358.66


1,000,000 ALIZE FINCO PLC 6.25 14-21 01/12S EUR 106.574 1,065,740.00 0.281,029,000.00

UNITED KINGDOM

1,500,000 ANGLO AMERICAN CAPITA 9.38 09-19 08/04S USD 105.750 1,391,996.84 0.371,426,211.011,000,000 ASTRAZENECA 1.75 15-18 16/11S USD 101.013 886,428.86 0.24932,096.751,500,000 BAT INTL FIN 0.875 15-23 13/10A EUR 100.421 1,506,315.00 0.401,486,502.25

Ccy

151


BOND SUB-FUNDS




security

Marketvalue

(see notes)

% ofnet

assets

1,200,000 EC FINANCE 144A REGS 5.125 14-21 15/07S EUR 104.989 1,259,868.00 0.341,203,504.501,510,000 EPHIOS BONDCO 6.25 15-22 01/07S EUR 106.078 1,601,777.80 0.421,505,409.003,000,000 EVERYTHING EVERYWHERE 3.25 12-18 03/08A EUR 107.042 3,211,260.00 0.853,231,944.00

250,000 HSBC HLDGS 3.40 16-21 08/03S USD 101.987 223,744.02 0.06229,688.291,000,000 IMPERIAL TOBACCO REGS 2.95 15-20 21/074 USD 102.175 896,625.86 0.24904,840.541,500,000 INEOS FINANCE REGS 4.00 15-23 01/05S EUR 97.600 1,464,000.00 0.391,498,256.75

600,000 INTER GAME TECH REGS 4.75 15-23 15/02S EUR 101.601 609,606.00 0.16611,365.68750,000 INTER GANE TECH REGS 4.125 15-20 15/02S EUR 102.611 769,582.50 0.21759,751.35750,000 LLOYDS BANK PLC 2.00 15-18 17/08S USD 100.199 659,464.26 0.18682,773.06

1,000,000 MERLIN ENTERTAINMENTS 2.75 15-22 15/03S EUR 99.764 997,640.00 0.27950,505.00500,000 RADIOTELEVISIONE ITA 1.50 15-20 28/05A EUR 102.555 512,775.00 0.14496,362.25

1,000,000 ROYAL BK OF SCOTL.SUB 5.50 04-XX 31/12A EUR 95.430 954,300.00 0.25974,300.001,000,000 STANDARD CHARTERED 3.625 12-22 23/11A EUR 97.779 977,790.00 0.261,059,000.001,400,000 TA MANUFACTURING REGS 3.625 15-23 15/04S EUR 87.869 1,230,166.00 0.331,403,986.261,000,000 VIRGIN MEDIA FIN 4.50 15-25 15/01S EUR 97.261 972,610.00 0.261,011,121.171,100,000 WORLDPAY FINANCE 3.75 15-22 15/11S EUR 103.824 1,142,064.00 0.301,108,775.001,000,000 3I GROUP EMTN 5.625 10-17 17/03A EUR 105.186 1,051,860.00 0.281,105,750.00


2,000,000 ADOBE SYSTEMS INC 3.25 15-25 01/02S USD 103.653 1,819,191.79 0.491,734,607.42


250,000 ALLY FINANCIAL 5.50 12-17 15/02S USD 102.125 224,046.77 0.06198,853.821,250,000 AMGEN 3.125 15-25 01/05S USD 101.929 1,118,083.90 0.301,128,878.541,000,000 APPLE INC 1.00 13-18 03/05S USD 100.234 879,592.82 0.23720,954.273,750,000 APPLE INC 3.45 14-24 06/05S USD 106.801 3,514,578.13 0.943,361,227.601,200,000 ARDAGH REGS 4.25 14-22 15/01S EUR 101.864 1,222,368.00 0.331,193,604.782,000,000 AT T INC 3.40 15-25 15/05S USD 100.440 1,762,801.11 0.471,858,937.633,000,000 AT T INC 4.50 15-35 15/05S USD 99.036 2,607,239.70 0.702,710,487.78

500,000 BALL 3.50 15-20 15/12S EUR 106.635 533,175.00 0.14506,500.00500,000 BALL CORP 4.375 15-23 15/12S EUR 107.196 535,980.00 0.14507,187.50

1,500,000 BANK OF AMERICA CORP 2.60 13-19 15/01S USD 101.718 1,338,923.26 0.361,126,810.801,600,000 BELDEN REGS 5.50 13-23 15/04S EUR 100.565 1,609,040.00 0.431,657,854.353,500,000 BLACKROCK INC 1.25 15-25 06/05A EUR 100.685 3,523,975.00 0.943,411,764.503,500,000 BMW US CAPITAL LLC 1.375 13-17 05/04A USD 100.340 3,081,830.54 0.822,595,626.80

500,000 BOSTON SCIENTIFIC 6.00 09-20 15/01S USD 112.915 495,436.80 0.13426,323.261,600,000 BRAMBLES USA REGS 4.125 15-25 23/10S USD 103.111 1,447,743.40 0.391,442,605.481,500,000 CARNIVAL CORP 1.625 16-21 22/02A EUR 102.226 1,533,390.00 0.411,497,000.00

750,000 CEMEX FIN REGS 6.00 14-24 01/04S USD 94.702 623,285.51 0.17578,465.761,000,000 CHARLES SCHWAB CORP 3.225 13-22 01/09 USD 104.929 920,792.42 0.25743,836.451,000,000 CHEVRON 1.365 15-18 02/03S USD 100.422 881,242.59 0.23889,360.91

600,000 CITIGROUP 2.65 15-20 26/10S USD 101.049 532,046.86 0.14528,391.451,000,000 CITIGROUP 4.45 12-17 10/01S USD 102.435 898,907.46 0.24811,729.16

500,000 CITIGROUP 4.45 15-27 29/09S USD 100.756 442,086.79 0.12446,567.97700,000 COCA-COLA 2.875 15-25 27/10S USD 104.332 640,888.07 0.17626,239.86

1,000,000 DAIMLER FINANCE 2.25 12-19 31/07S USD 101.103 887,218.64 0.24741,060.07500,000 DELL 4.625 11-21 01/04S USD 96.444 423,167.04 0.11359,599.19500,000 DUN BRADSTREET CORP 3.25 12-17 01/12S USD 101.196 444,016.72 0.12381,830.15

1,000,000 EBAY 1.35 12-17 15/07S USD 99.902 876,679.39 0.23759,899.552,000,000 FLOWSERVE 1.25 15-22 17/03A EUR 94.030 1,880,600.00 0.501,986,722.252,000,000 FORD MOTOR CREDIT 2.375 13-18 16/01S USD 100.428 1,762,590.49 0.471,504,698.491,250,000 FORD MOTOR CREDIT 3.00 12-17 12/06S USD 101.275 1,110,910.01 0.30977,433.091,000,000 FRESENIUS US FIN II 4.50 15-23 15/01S USD 102.219 897,009.79 0.24890,292.941,000,000 GENERAL ELEC CAP CORP 2.95 11-16 09/05S USD 100.232 879,575.27 0.23766,608.071,500,000 GENERAL MILLS 2.10 13-20 16/11A EUR 107.066 1,605,990.00 0.431,573,874.50

750,000 GLENCORE FUNDING REGS 4.00 15-25 16/04S USD 79.005 519,974.99 0.14648,209.362,500,000 GOLDMAN SACHS GROUP 4.75 06-21 12/10A EUR 116.311 2,907,775.00 0.782,852,625.001,000,000 HARLEY DAVIDS REGS 2.15 15-20 26/02S USD 100.147 878,829.36 0.23890,764.20

500,000 HARLEY-DAVIDSON FI 2.25 16-19 15/01S USD 101.223 444,135.85 0.12466,318.441,000,000 HEWLETT PACKARD 4.65 11-21 09/12S USD 105.857 928,936.86 0.25802,571.042,000,000 HEWLETT PACKARD REGS 2.85 15-18 05/10S USD 101.953 1,789,355.45 0.481,779,693.57

500,000 HEWLETT PACKARD REGS 4.90 15-25 15/10S USD 103.115 452,437.37 0.12443,645.991,500,000 HJ HEINZ CO REGS 3.50 15-22 15/07S USD 105.214 1,384,941.42 0.371,338,604.16

899,000 HJ HEINZ REGS 4.875 15-25 15/02S USD 109.760 865,905.31 0.23796,995.421,300,000 HUNTSMAN INT 5.125 14-21 15/04A EUR 99.157 1,289,041.00 0.341,384,011.85

300,000 HYUNDAI CAP TR 3 REGS 2.40 15-18 30/10S USD 100.655 264,986.18 0.07271,460.63

Ccy

152


BOND SUB-FUNDS




security

Marketvalue

(see notes)

% ofnet

assets

1,000,000 IMS HEALTH REGS 4.125 15-23 01/04S EUR 98.835 988,350.00 0.261,001,504.50750,000 INTL FLAVOR & FRAG 1.75 16-24 14/03A EUR 104.254 781,905.00 0.21748,665.00650,000 JOHN DEERE CAP 2.80 16-23 06/03S USD 102.076 582,242.12 0.16597,836.00500,000 JOHN DEERE CAP CORP 1.95 16-19 08/01S USD 101.536 445,509.19 0.12465,088.37500,000 JOHN DEERE CAP CORP 2.05 15-20 10/03S USD 101.320 444,561.45 0.12451,508.80

1,000,000 JOHN DEERE CAPITAL 2.375 15-20 14/07S USD 101.877 894,007.72 0.24899,740.84300,000 JP MORGAN CHASE 2.55 15-20 29/10S USD 101.374 266,879.04 0.07271,643.78

1,000,000 JPMORGAN CHASE & CO 2% 08.20.12 - 08.15.17 USD 101.046 886,718.44 0.24746,673.69500,000 KINDER MORGAN INC/DEL 1.50 15-22 16/03M EUR 94.970 474,850.00 0.13498,322.25

2,000,000 MANPOWER GROUP 4.50 12-18 22/06A EUR 108.620 2,172,400.00 0.582,236,726.253,000,000 MC DONALD 2.75 15-20 09/12S USD 103.758 2,731,551.93 0.732,772,558.201,000,000 MICROSOFT 1.00 13-18 01/05S USD 100.354 880,645.87 0.23726,260.281,000,000 MOLEX REGS 2.878 15-20 15/04S USD 99.784 875,647.41 0.23929,092.111,000,000 MOLSON COORS BREWING 3.50 12-22 01/05S USD 103.911 911,859.95 0.24746,342.063,000,000 MONDELEZ INTL 1.00 15-22 07/03A EUR 100.378 3,011,340.00 0.802,916,894.662,000,000 MOODY S CORP 2.50 14-19 15/07S USD 102.689 1,802,272.82 0.481,506,706.923,000,000 MOODY'S CORP 1.75 15-27 09/03A EUR 100.951 3,028,530.00 0.812,946,479.002,500,000 MORGAN STANLEY 1.75 15-25 30/01A EUR 99.941 2,498,525.00 0.672,568,754.501,500,000 MORGAN STANLEY 4.75 12-17 22/03S USD 103.321 1,360,023.70 0.361,200,920.43

500,000 NBC UNIVERSAL 4.375 11-21 01/04S USD 111.970 491,290.42 0.13405,681.401,500,000 ORACLE CORP 2.375 13-19 15/01S USD 103.605 1,363,762.01 0.361,155,761.171,000,000 PRICELINE GROUP 1.80 15-27 03/03A EUR 93.407 934,070.00 0.25967,499.503,400,000 PRICELINE GROUP IN 2.15 15-22 25/11A EUR 103.699 3,525,766.00 0.933,389,970.002,000,000 PROLOGIS 1.375 15-21 13/05A EUR 101.004 2,020,080.00 0.541,982,242.251,250,000 PROLOGIS 3.75 15-25 01/11S USD 104.840 1,150,015.36 0.311,128,101.761,300,000 PSPC ESCROW REGS 6.00 15-23 01/02S EUR 83.654 1,087,502.00 0.291,324,418.50

500,000 REYNOLDS AMERICAN 2.30 15-17 21/08S USD 101.380 444,824.72 0.12375,411.63750,000 SEALED AIR CORP RE 4.50 15-23 15/09S EUR 106.199 796,492.50 0.21762,502.25500,000 T MOBILE USA 6.125 13-22 15/01S USD 103.918 455,960.68 0.12389,619.67

1,500,000 THERMO FISHER 2.15 15-22 21/07A EUR 105.834 1,587,510.00 0.421,521,722.252,500,000 TIME WARNER INC 3.55 14-24 01/06S USD 103.230 2,264,709.75 0.602,361,579.021,000,000 UBS AG STAMFORD CT 1.80 15-18 26/03S USD 100.412 881,154.84 0.23924,173.391,000,000 UNITED TECH 1.125 16-21 15/12A EUR 101.776 1,017,760.00 0.27992,550.005,000,000 US TREASURY INDEXEE 0.125 14-24 15/07S USD 100.539 4,401,512.04 1.164,209,169.17

800,000 VENTAS REALTY 3.25 12-22 15/08S USD 100.424 705,010.58 0.19586,858.861,000,000 VERIZON COMM 3.50 14-24 01/11S USD 105.334 924,347.33 0.25897,076.072,000,000 VW CREDIT INC 1.875 12-16 13/10A USD 100.162 1,757,921.98 0.471,504,285.61

500,000 WALT DISNEY F 2.15 15-20 17/09S USD 102.892 451,458.91 0.12441,645.27250,000 WASTE MANAGEMENT 3.125 15-25 01/03S USD 102.509 224,889.21 0.06219,485.64

2,500,000 WELLS FARGO REGS 2.625 12-22 16/08A EUR 110.874 2,771,850.00 0.742,703,774.501,000,000 WHIRLPOOL 0.625 15-20 12/03A EUR 100.073 1,000,730.00 0.27990,947.25

600,000 XEROX 3.50 15-20 20/08S USD 96.899 510,196.13 0.14535,265.961,000,000 XEROX CORP 2.80 14-20 15/05S USD 94.597 830,125.93 0.22735,496.71

700,000 ZF NA CAPITAL REGS 4.75 15-25 29/04S USD 99.183 609,258.92 0.16634,107.611,000,000 ZF NORTH AMERICA CAPITAL 2.75 15-23 27/04A EUR 100.606 1,006,060.00 0.27990,350.62


TOTAL BONDS 83.70313,950,539.51305,656,471.44

1,000,000 KBC GROEP SUB FL.R 14-XX 19/03Q EUR 97.594 975,940.00 0.261,010,002.25

BELGIUM


0.26975,940.001,010,002.25TOTAL BELGIUM

1,500,000 HUTCH WHAM REGS FL.R 12-XX 07/05S USD 103.712 1,365,170.46 0.361,192,415.48

CAYMAN ISLANDS


1,000,000 AIR FRANCE KLM FL.R 15-XX 01/10A EUR 98.096 980,960.00 0.261,006,844.68

FRANCE

1,000,000 AXA SUB FL.R 04-XX 29/01Q USD 70.086 615,032.25 0.16732,630.81200,000 BNP PAR FL.R 16-XX 30/09S USD 100.515 176,411.74 0.05178,970.92500,000 BNP PARIBAS FL.R 07-XX 25/06U USD 107.829 473,120.97 0.13428,423.56

1,450,000 BNP PARIBAS FL.R 15-XX 19/08S USD 96.905 1,233,050.33 0.331,283,974.29

Ccy

153


BOND SUB-FUNDS




security

Marketvalue

(see notes)

% ofnet

assets

1,000,000 CASA TIER 1 EUR FL.R 14-49 08/04Q EUR 98.051 980,510.00 0.261,047,000.00500,000 CREDIT AGRICOLE SA FL.R 05-XX 04/02A EUR 51.852 259,260.00 0.07394,400.00

2,000,000 CREDIT AGRICOLE SUB FL.R 14-XX 23/12Q USD 94.398 1,656,759.25 0.441,776,173.441,300,000 EUROFINS SCIENTIFIC FL.R 15-49 29/04A EUR 96.544 1,255,072.00 0.331,300,904.502,000,000 NATIXIS SUB REG S FL.R 08-XX 30/04S USD 110.658 1,942,135.05 0.521,872,703.60

500,000 ORANGE EMTN SUB REGS FL.R 14-XX 01/10A EUR 103.880 519,400.00 0.14492,500.001,300,000 PICARD GROUPE REGS FL.R 13-19 01/08Q EUR 100.500 1,306,500.00 0.351,305,814.502,000,000 SOCIETE GENERALE FL.R 07-XX 05/04S USD 100.158 1,757,851.78 0.471,720,678.971,000,000 SOCIETE GENERALE SUB FL.R 13-XX 31/12S USD 101.069 886,920.27 0.24820,559.761,250,000 TOTAL SA FL.R 15-XX 26/02A EUR 91.368 1,142,100.00 0.301,243,919.251,000,000 TOTAL SA FL.R 15-XX 26/02A EUR 94.458 944,580.00 0.25994,504.50

4.3016,129,663.6416,600,002.78TOTAL FRANCE

1,500,000 BAYER SUB FL.R 15-75 02/04A EUR 97.139 1,457,085.00 0.391,492,487.25

GERMANY

1,000,000 BERTELSMANN SUB FL.R 15-75 23/04A EUR 95.402 954,020.00 0.251,000,002.250.642,411,105.002,492,489.50TOTAL GERMANY

1,000,000 SWISS RE FL.R 12-XX 01/09A USD 107.582 944,074.41 0.25828,940.02

IRELAND

2,000,000 WILLOW NO 2 FL.R 15-45 01/10A USD 94.746 1,662,866.92 0.451,874,897.320.702,606,941.332,703,837.34TOTAL IRELAND

500,000 ASSICURAZ GENERALI FL.R 15-47 27/10A EUR 103.431 517,155.00 0.14501,393.00

ITALY

1,900,000 INTESA SANPAOLO SP FL.R 15-49 17/03S USD 92.302 1,538,974.16 0.401,728,027.671,000,000 UNICREDIT FL.R 13-23 02/05S USD 101.060 886,841.30 0.24802,755.281,500,000 UNICREDIT REGS SUB FL.R 14-XX 03/06S USD 79.454 1,045,860.20 0.281,232,782.03

1.063,988,830.664,264,957.98TOTAL ITALY

2,000,000 CEMEX REGS FL.R 13-18 18/10Q USD 99.380 1,744,197.27 0.471,579,076.61

MEXICO

0.471,744,197.271,579,076.61TOTAL MEXICO

800,000 BANCO SANTANDER REGS FL.R 14-XX 19/05Q USD 90.569 635,822.91 0.17710,503.69

SPAIN

600,000 BBVA FL.R 13-XX 09/05Q USD 103.121 542,956.43 0.14585,112.61600,000 BBVA FL.R 14-XX 19/02Q EUR 93.007 558,042.00 0.15621,752.25700,000 CAJA DE AHORROS SUB FL.R 15-25 28/07A EUR 93.391 653,737.00 0.18700,002.25

0.642,390,558.342,617,370.80TOTAL SPAIN

1,000,000 CS GROUP REGS FL.R 14-XX 18/06S USD 92.042 807,704.79 0.22922,984.86

SWITZERLAND

300,000 UBS GROUP AG FL.R 15-XX 07/08S USD 96.636 254,405.68 0.07273,987.16500,000 UBS GROUP SUB FL.R 15-XX 19/02A EUR 101.080 505,400.00 0.13523,127.25


1,200,000 ABN AMRO FL.R 15-XX 22/03S EUR 96.094 1,153,128.00 0.311,201,978.06

THE NETHERLANDS

2,500,000 AEGON SUB PERP FL.R 04-XX 15/10Q EUR 52.522 1,313,050.00 0.351,893,875.00500,000 TRAFIGURA BEHEER FL.R 13-XX 19/04S USD 89.043 390,693.70 0.10388,849.56


1,500,000 BARCLAYS AT1 SUB FL.R 14-XX 17/06Q USD 90.166 1,186,863.23 0.331,347,064.85

UNITED KINGDOM

700,000 BARCLAYS BANK FL.R 13-23 10/04S USD 105.711 649,358.95 0.17626,486.531,000,000 HSBC HLDGS FL.R 14-XX 17/09S USD 93.256 818,358.12 0.22891,523.741,000,000 LLOYDS BANKING GR FL.R 14-XX 27/06Q EUR 97.191 971,910.00 0.261,065,002.25

900,000 RBS GRP PLC FL.R 15-XX 30/09Q USD 92.584 731,214.95 0.19830,732.072,000,000 ROTHSCHILD CONT SUB FL.R 04-XX 29/08Q EUR 45.750 915,000.00 0.241,461,600.00


Ccy

154


BOND SUB-FUNDS




security

Marketvalue

(see notes)

% ofnet

assets

3,010,000 GENERAL ELECTRIC CO FL.R 16-XX XX.XXS USD 103.482 2,733,366.85 0.732,718,673.32


500,000 JPM CHASE FL.R 08-XX 29/04S USD 100.433 440,669.57 0.12410,442.072,500,000 NAB NEW YORK REG S SUBFL.R 09-XX 24/09S USD 102.438 2,247,334.47 0.602,117,507.061,000,000 RABOBANK REG S FL.R 04-XX 31/12S USD 100.364 880,733.62 0.23839,699.861,000,000 UBS PFD FDG V S.1 FL.R 06-XX 15/05S USD 100.248 879,715.68 0.23823,345.97




96.63362,441,853.82356,453,503.79

3,000,000 CREDIT SUISSE GP FUN 3.75 15-25 26/03S USD 96.229 2,533,342.11 0.672,811,716.29

GUERNSEY

BONDS


0.672,533,342.112,811,716.29TOTAL GUERNSEY

600,000 MEXICAN BONOS 4.125 16-26 21/01S USD 105.238 554,102.93 0.15551,229.09

MEXICO

0.15554,102.93551,229.09TOTAL MEXICO

2,300,000 DAIMLER FINANCE 2.125 16-20 06/04S USD 99.859 2,015,494.71 0.542,017,214.44



TOTAL BONDS 1.365,102,939.755,380,159.82

200,000 ALLIED IRISH BK SUB FL.R 15-25 26/11A EUR 96.523 193,046.00 0.05199,752.00

IRELAND


0.05193,046.00199,752.00TOTAL IRELAND

300,000 UBS GROUP SUB FL.R 16-XX 16/03A USD 99.346 261,540.08 0.07270,099.94

SWITZERLAND

0.07261,540.08270,099.94TOTAL SWITZERLAND

TOTAL FLOATING RATES BONDS 0.12454,586.08469,851.94




TOTAL NET ASSETS 100.00375,083,450.59

For clarification purposes, the Sub-Fund may invest up to 10% of its net assets in Contingent ConvertibleBonds.

Ccy

155


BOND SUB-FUNDS



March 31, 2016(in %)

United States of America 32.56France 19.55The Netherlands 8.08United Kingdom 7.64Luxembourg 5.41Italy 5.34Spain 4.77Germany 2.47Mexico 2.10Cayman Islands 1.69Ireland 1.54Canada 1.02Guernsey 0.79Japan 0.66Sweden 0.66Australia 0.53Belgium 0.52Switzerland 0.49Panama 0.46Brazil 0.42Bermuda 0.28South Korea 0.25Portugal 0.24Chile 0.23Jersey 0.22British Virgin Islands 0.19



98.11

% ofnet

assets

COUNTRIES

156


BOND SUB-FUNDS



March 31, 2016(in %)

Holding and finance companies 27.74Banks and other credit institutions 14.49Countries and central governments 6.34Data transmission 6.05Internet and software services 4.99Foodstuffs and non-alcoholic drinks 3.29Road vehicles 2.84Miscellaneous services 2.66Real estate 2.55Retail trade 2.16Hotels, restaurants and leisure 2.15Office supplies and computers 2.13Oil 2.01Tobacco and alcohol 1.98Electrotechnical and electronic industry 1.97Chemicals 1.44Packaging industries 1.37Building and building materials 1.23Graphic industry and publishing houses 1.11Transportation 1.08Insurance 1.01Mechanical engineering and industrial equipment 0.96Pharmaceutical and cosmetics industry 0.91Miscellaneous consumer goods 0.85Mining industry 0.84Electronics and semiconductors 0.78Paper and timber 0.66Energy and water supply 0.60Aeronautical and astronomical industry 0.60Precious stones and metals 0.35Biotechnology 0.30Healthcare, education & social services 0.26Agriculture and fishing 0.23Public, Non-profit Institutions 0.12Environmental services & recycling 0.06


assets



98.11

157


BOND SUB-FUNDS

EMERGING BONDS


ASSETS


200,826,356.05


Other assets:- Receivable on subscriptions 638,513.40- Interest receivable 6,614,890.70- Receivable for investments sold 2,422,282.31- Unrealised gain on futures (see notes) 3,230,441.85- Unrealised gain on forward foreign exchange contracts (see notes) 3,396,257.37- Other 945,248.84

250,625,493.77

LIABILITIES

Other liabilities:- Payable on redemptions 2,629,544.13- Taxes and expenses payable 1,026,214.26- Payable for investments purchased 244,083.91- Unrealised loss on forward foreign exchange contracts (see notes) 3,555,001.51- Unrealised loss on swaps contracts (see notes) 16,282,715.11- Interest payable 86,413.25- Payable on swaps, net 830,569.00

24,654,541.17

NET ASSETS 225,970,952.60

(in EUR)


158


BOND SUB-FUNDS

EMERGING BONDS



Shares outstanding

Class A EUR


Shares outstanding

Class A USD (H)


Shares outstanding

Class B EUR DIS


Shares outstanding

Class I EUR


Shares outstanding

Class K EUR


Shares outstanding

Class K USD (H)


Shares outstanding

Class R EUR


Shares outstanding

Class R USD (H)


(in EUR)

159


BOND SUB-FUNDS

EMERGING BONDS



INCOME

Income from investments: (see notes)- Bond interest, net 3,725,263.30

3,725,263.30

EXPENSES



Other expenses:- Annual tax (see notes) 13,959.74- Interest on swaps, net 674,163.10- Transaction fees (see notes) 19,428.95- Administration and other expenses (see notes) 42,671.93

1,472,371.84


Net realised result on:- Investments (see notes) 5,773,335.42- Foreign exchange (3,840,758.13)- Swaps 18,045,073.09


Change in net unrealised appreciation/(depreciation) on:- Investments 9,185,410.61- Forward foreign exchange contracts (158,744.14)- Futures 3,230,441.85- Swaps contracts (16,282,715.11)


18,204,935.05



207,766,017.55


(in EUR)


160

EDMOND DE ROTHSCHILD FUND EMERGING BONDS


Class A EUR






Highest 133.6603.22.16

Lowest 113.7702.12.16


SHARES

Class A USD (H)

0.0000

42,481.5490

(4,327.9810)

38,153.5680

USD

1,248.5003.22.16

1,064.0902.12.16

1,230.57

Class B EUR DIS

0.0000

40,898.6690

(1,062.8350)

39,835.8340

EUR

106.0903.22.16

90.4202.12.16

104.53

Class I EUR

0.0000

590,576.7750

(22,829.7600)

567,747.0150

EUR

160.3603.22.16

136.6702.12.16

158.02

Class K EUR

0.0000

61,278.2460

(170.0000)

61,108.2460

EUR

122.3903.22.16

103.8902.12.16

120.39

161



Class K USD (H)






Highest 110.8303.22.16

Lowest 93.9702.12.16


SHARES

Class R EUR

0.0000

20,073.3810

(15,277.5750)

4,795.8060

EUR

121.2003.22.16

103.0702.12.16

119.30

Class R USD (H)

0.0000

16,952.7220

(15,964.7240)

987.9980

USD

112.9203.22.16

96.3902.12.16

111.28

162




Class A EUR

1.74

Class A USD (H)

3.38

Class B EUR DIS

2.59

Class I EUR

2.31


Class K EUR

1.01

Class K USD (H)

0.96

Class R EUR

1.26

Class R USD (H)

1.78

163


BOND SUB-FUNDS

EMERGING BONDS



Date ShareClass

Number of shares

outstanding

NetAssets

Ccy Net assetvalue

per share

* First valuation

313,497.6840 118.3937,116,413.58Class A EUR01.29.16* EUR38,990.2360 1,106.5743,145,546.45Class A USD (H) USD31,811.0490 94.092,993,372.68Class B EUR DIS EUR

515,151.7450 142.1873,248,965.13Class I EUR EUR42,216.2460 108.104,563,670.41Class K EUR EUR

478,202.2980 97.7046,723,623.51Class K USD (H) USD18,241.4340 107.241,956,391.32Class R EUR EUR15,965.7240 100.251,600,617.64Class R USD (H) USD

281,785.3520 131.6937,107,232.34Class A EUR03.31.16 EUR38,153.5680 1,230.5746,950,797.98Class A USD (H) USD39,835.8340 104.534,164,034.18Class B EUR DIS EUR

567,747.0150 158.0289,712,944.04Class I EUR EUR61,108.2460 120.397,356,820.50Class K EUR EUR

478,165.2980 109.0552,145,942.32Class K USD (H) USD4,795.8060 119.30572,145.31Class R EUR EUR

987.9980 111.28109,948.60Class R USD (H) USD

164


BOND SUB-FUNDS

EMERGING BONDS





security

Marketvalue

(see notes)

% ofnet

assets

625,000 ANGOLA (REP) REGS 9.50 15-25 12/11S USD 91.79 503,455.32 0.22482,937.48

ANGOLA

BONDS


0.22503,455.32482,937.48TOTAL ANGOLA

4,128,311 ARGENTINA (IN DEFAULT)7.82 03-33 31/12S EUR 112.84 4,658,427.53 2.064,271,964.81

ARGENTINA

2.064,658,427.534,271,964.81TOTAL ARGENTINA

17,138,000 OGX AUSTRIA REGS IN DEFAULT 12-22 01/04S USD 0.22 32,334.43 0.011,742.23

AUSTRIA

0.0132,334.431,742.23TOTAL AUSTRIA

11,002,000 REP OF BELIZE FL.R 13-38 20/02S USD 49.50 4,779,070.68 2.116,756,563.02

BELIZE

2.114,779,070.686,756,563.02TOTAL BELIZE

22,137,000 NOBLE GROUP LTD 6.75 09-20 19/01S USD 68.11 13,230,332.34 5.8610,159,636.06

BERMUDA

5.8613,230,332.3410,159,636.06TOTAL BERMUDA

10,000,000 BRASIL TELECOM REGS 5.75 12-22 10/02S USD 26.82 2,353,736.12 1.042,420,913.91

BRAZIL

69,912,000 OGX PETROLEO E GAS 8.50 11-18 01/06S USD 0.41 250,923.68 0.1113,568.251.152,604,659.802,434,482.16TOTAL BRAZIL

18,100,000 PACIFIC RUB REGS 5.125 13-23 28/03S USD 17.25 2,739,420.83 1.212,007,802.79

CANADA

1.212,739,420.832,007,802.79TOTAL CANADA

400,000 BCO BTG PACTUAL REGS 5.75 12-22 28/09S USD 79.87 280,345.75 0.12256,919.73

CAYMAN ISLANDS


500,000 COLUMBIA 8.375 97-27 15/02S USD 119.25 523,232.86 0.23531,398.73

COLOMBIA

0.23523,232.86531,398.73TOTAL COLOMBIA

2,000,000 ECUADOR REG S 7.95 14-24 20/06S USD 82.88 1,454,591.73 0.641,269,072.59

ECUADOR

0.641,454,591.731,269,072.59TOTAL ECUADOR

16,000,000 EGYPT REG-S 6.875 10-40 30/04S USD 85.09 11,946,610.50 5.2911,855,722.78

EGYPT

5.2911,946,610.5011,855,722.78TOTAL EGYPT

Ccy

165


BOND SUB-FUNDS

EMERGING BONDS



security

Marketvalue

(see notes)

% ofnet

assets

21,000,000 IRAQ FL.R 06-28 15/01S USD 69.43 12,795,155.98 5.6612,146,489.40

IRAQ

5.6612,795,155.9812,146,489.40TOTAL IRAQ

11,000,000 BTA BANK 5.50 12-22 21/12S USD 67.89 6,553,665.92 2.906,950,926.49

KAZAKHSTAN

6,500,000 FORTEBANK JSC REGS 11.75 14-24 15/12S USD 93.40 5,327,256.37 2.365,526,546.835.2611,880,922.2912,477,473.32TOTAL KAZAKHSTAN

5,000,000 INTL BK AZERBAIJAN 5.625 14-19 11/06S USD 92.93 4,077,398.97 1.803,839,009.29

LUXEMBOURG

10,000,000 MHP REGS 8.25 13-20 02/04S USD 87.74 7,699,530.52 3.417,897,971.445.2111,776,929.4911,736,980.73TOTAL LUXEMBOURG

6,707,600 MOZAMBIQUE EMATUM REGS6.305 13-20 11/09S USD 87.05 5,123,745.84 2.274,581,220.95

MOZAMBIQUE

2.275,123,745.844,581,220.95TOTAL MOZAMBIQUE

14,000,000 ESKOM HOLD SOC REGS 7.125 15-25 11/02S USD 92.74 11,393,128.87 5.0411,162,131.65

SOUTH AFRICA

5.0411,393,128.8711,162,131.65TOTAL SOUTH AFRICA

12,000,000 PETROBRAS GLB FIN 5.625 13-43 20/05S USD 65.22 6,867,447.68 3.046,605,240.06

THE NETHERLANDS

15,000,000 PETROBRAS GLB FIN 6.25 14-24 17/03S USD 80.76 10,630,380.41 4.7110,001,848.347.7517,497,828.0916,607,088.40TOTAL THE NETHERLANDS

11,000,000 UKREXIMBANK(BIZ FI 9.75 15-25 22/01S USD 86.00 8,301,908.65 3.678,694,884.71

UNITED KINGDOM


23,000,000 PETROLEOS VENEZUELA 9.75 12-35 17/05S USD 37.96 7,660,611.64 3.397,233,399.57

VENEZUELA

27,000,000 PETROLEOS VENEZUELA REG S 12.75 11-22 17/02S USD 45.33 10,741,003.03 4.759,534,901.343,000,000 VENEZUELA 9.25 97-27 15/09S USD 40.09 1,055,416.61 0.471,023,335.333,000,000 VENEZUELA 11.95 11-31 05/08S USD 40.01 1,053,310.52 0.471,031,930.14

29,000,000 VENEZUELA REGS 12.75 10-22 23/08S USD 43.79 11,143,451.37 4.9310,197,772.7433,000,000 VENEZUELA REGS 11.75 11-26 21/10S USD 40.00 11,583,519.81 5.1311,393,928.19

19.1443,237,312.9840,415,267.31TOTAL VENEZUELA

20,000,000 ZAMBIA 8.50 14-24 14/04S USD 83.20 14,602,781.80 6.4713,206,413.75

ZAMBIA

6.4714,602,781.8013,206,413.75TOTAL ZAMBIA

TOTAL BONDS 79.37179,362,195.76171,056,192.60

112,000,000 ARGENTINA FL.R 05-35 15/12S EUR 10.52 11,786,880.00 5.2211,281,760.00

ARGENTINA


5.2211,786,880.0011,281,760.00TOTAL ARGENTINA

3,700,000 BANCO BTG PACTL REGS FL.R 14-XX 18/09S USD 79.98 2,596,932.12 1.152,437,373.51

LUXEMBOURG


Ccy

166


BOND SUB-FUNDS

EMERGING BONDS



security

Marketvalue

(see notes)

% ofnet

assets

15,000,000 MIN FIN UKRAINE REGS FL.R 15-40 31/05A USD 33.16 4,365,407.40 1.934,806,688.04

UKRAINE

1.934,365,407.404,806,688.04TOTAL UKRAINE



87.67198,111,415.28189,582,014.15

1,373,297 OGX PETROLEO ADR USD 0.75 903,841.65 0.40164,991.09

BRAZIL

EQUITIES


0.40903,841.65164,991.09TOTAL BRAZIL

444,676 FORTEBANK JSC USD 0.50 195,110.35 0.09205,478.49

KAZAKHSTAN

0.09195,110.35205,478.49TOTAL KAZAKHSTAN

TOTAL EQUITIES 0.491,098,952.00370,469.58

2,900,000 PRIVATBANK(UK SPV 11.00 15-21 09/02S USD 63.50 1,615,988.77 0.711,688,461.71

UNITED KINGDOM

BONDS


TOTAL BONDS 0.711,615,988.771,688,461.71




TOTAL NET ASSETS 100.00225,970,952.60

Ccy

167


BOND SUB-FUNDS

EMERGING BONDS


March 31, 2016(in %)

Venezuela 19.14The Netherlands 7.75Argentina 7.28Zambia 6.47Luxembourg 6.36Bermuda 5.86Iraq 5.66Kazakhstan 5.35Egypt 5.29South Africa 5.04United Kingdom 4.38Mozambique 2.27Belize 2.11Ukraine 1.93Brazil 1.55Canada 1.21Ecuador 0.64Colombia 0.23Angola 0.22Cayman Islands 0.12Austria 0.01



88.87

% ofnet

assets

COUNTRIES

168


BOND SUB-FUNDS

EMERGING BONDS


March 31, 2016(in %)

Countries and central governments 40.83Oil 17.62Holding and finance companies 11.39Banks and other credit institutions 7.27Energy and water supply 5.04Foodstuffs and non-alcoholic drinks 3.41Other 2.27Data transmission 1.04


assets



88.87

169


BOND SUB-FUNDS

EMERGING CORPORATE BONDS


ASSETS


190,875,952.77

Cash:- Cash at sight 3,818,888.54

Other assets:- Receivable on subscriptions 271,496.90- Interest receivable 4,691,594.48- Unrealised gain on forward foreign exchange contracts (see notes) 1,101,182.33- Receivable on foreign exchange transactions 260,434.39

201,019,549.41

LIABILITIES


Other liabilities:- Payable on redemptions 214,971.30- Taxes and expenses payable 617,157.70- Payable on foreign exchange transactions 259,661.43

1,524,819.43

NET ASSETS 199,494,729.98

(in USD)


170


BOND SUB-FUNDS




Shares outstanding

Class A EUR (H)


Shares outstanding

Class A USD


Shares outstanding

Class B EUR (H) DIS


Shares outstanding

Class B USD DIS


Shares outstanding

Class I EUR (H)


Shares outstanding

Class I USD


(in USD)

171


BOND SUB-FUNDS




INCOME

Income from investments: (see notes)- Bond interest, net 18,664,298.05

18,664,298.05

EXPENSES




3,271,050.52




Change in net unrealised appreciation/(depreciation) on:- Investments 11,157,137.86- Forward foreign exchange contracts (1,016,672.90)


16,457,912.79



(132,736,675.22)



(in USD)


172

EDMOND DE ROTHSCHILD FUND EMERGING CORPORATE BONDS


Class A EUR (H)






Highest 95.0505.22.15

Lowest 86.2302.12.16


SHARES

Class A USD

1,376,750.3600

59,819.0080

(606,872.0050)

829,697.3630

USD

145.1605.26.15

132.2202.12.16

141.91

Class B EUR (H) DIS

79,320.9210

1,874.7650

(40,299.0340)

40,896.6520

EUR

95.0505.22.15

82.7802.12.16

88.71

Class B USD DIS

185,025.8540

13,173.5430

(89,405.0630)

108,794.3340

USD

122.1805.22.15

107.2802.12.16

115.14

Class I EUR (H)

200.0000

0.0000

(0.0000)

200.0000

EUR

103.0505.22.15

93.9202.12.16

100.73

173



Class I USD






Highest 121.5505.26.15

Lowest 111.2202.12.16


SHARES

174




Class A EUR (H)

1.39

Class A USD

1.39

Class B EUR (H) DIS

1.39

Class B USD DIS

1.39


Class I EUR (H)

0.74

Class I USD

0.75

175


BOND SUB-FUNDS




Date ShareClass

Number of shares

outstanding

NetAssets

Ccy Net assetvalue

per share

* First valuation

604,705.0879 100.0060,470,676.57Class A EUR (H)07.15.14* EUR1,757,187.4060 152.31267,637,274.26Class A USD USD

63,779.1210 100.006,377,952.95Class B EUR (H) DIS EUR212,572.1280 128.2027,251,783.79Class B USD DIS USD200,782.5080 126.8325,464,515.01Class I USD USD

18,200.0000 100.031,820,553.02Class I EUR (H)07.16.14* EUR

492,527.8960 87.9743,326,136.92Class A EUR (H)03.31.15 EUR1,376,750.3600 134.35184,965,976.92Class A USD USD

79,320.9210 87.976,977,670.73Class B EUR (H) DIS EUR185,025.8540 113.0820,923,444.05Class B USD DIS USD

200.0000 95.2819,055.44Class I EUR (H) EUR504,870.0170 112.3856,738,832.27Class I USD USD

337,609.7460 92.4031,196,262.81Class A EUR (H)03.31.16 EUR829,697.3630 141.91117,741,666.41Class A USD USD

40,896.6520 88.713,627,984.95Class B EUR (H) DIS EUR108,794.3340 115.1412,526,866.92Class B USD DIS USD

200.0000 100.7320,146.63Class I EUR (H) EUR247,091.5770 119.4729,519,267.02Class I USD USD

176


BOND SUB-FUNDS



March 31, 2016(in USD)



security

Marketvalue

(see notes)

% ofnet

assets

6,000,000 ANGOLA (REP) REGS 9.50 15-25 12/11S USD 91.794 5,507,640.00 2.765,949,560.00

ANGOLA

BONDS


2.765,507,640.005,949,560.00TOTAL ANGOLA

3,000,000 BANCO DE GALICIA 8.75 11-18 04/05S USD 104.336 3,130,080.00 1.573,046,650.00

ARGENTINA

5,000,000 BANCO HIPOTECARIO 9.75 15-20 30/11S USD 106.706 5,335,300.00 2.675,000,000.002,240,000 NEUQUEN 7.875 11-21 26/04Q USD 98.556 2,207,654.40 1.112,270,006.082,000,000 PAM AMER ENGY ARG 7.875 10-21 07/05S USD 99.322 1,986,440.00 1.002,022,980.00

6.3512,659,474.4012,339,636.08TOTAL ARGENTINA

4,000,000 JBS INV REGS 7.25 14-24 03/04S USD 91.866 3,674,640.00 1.843,906,002.55

AUSTRIA

4,000,000 JBS INVESTMENTS GMBH 7.75 13-20 28/10S USD 99.176 3,967,040.00 1.994,310,836.036,500,000 OAS INVEST REGS 8.25 12-19 19/10S USD 2.043 132,795.00 0.076,750,250.40

3.907,774,475.0014,967,088.98TOTAL AUSTRIA

3,000,000 BMG REG S 9.625 12-17 27/03S USD 101.021 3,030,630.00 1.513,286,500.00

BRAZIL

2,500,000 BNDES REG S 6.50 09-19 10/06S USD 103.375 2,584,375.00 1.302,805,897.386,000,000 BRASIL TELECOM REGS 5.75 12-22 10/02S USD 26.822 1,609,320.00 0.815,829,000.002,000,000 CAIXA ECON FDRL REGS 4.25 14-19 13/05S USD 95.340 1,906,800.00 0.962,026,607.49

4.589,131,125.0013,948,004.87TOTAL BRAZIL

4,000,000 PACIFIC RUB REGS 5.375 13-19 26/01S USD 17.509 700,360.00 0.352,306,505.05

CANADA

0.35700,360.002,306,505.05TOTAL CANADA

500,000 BANCO BTG PACT REGS 4.00 13-20 16/01S USD 81.924 409,620.00 0.21297,950.00

CAYMAN ISLANDS

500,000 BANCO BTG PACTUAL 4.875 11-16 08/07S USD 99.042 495,210.00 0.25359,000.006,500,000 BRASKEM SA REGS 5.75 11-21 15/04S USD 95.739 6,223,035.00 3.116,829,249.992,000,000 GRUPO AVAL LTD 4.75 12-22 26/09S USD 93.558 1,871,160.00 0.941,949,201.705,000,000 ITAU UNIB.SUB REGS T2 5.75 10-21 22/01S USD 101.527 5,076,350.00 2.545,248,450.762,000,000 VALE OVERSEAS 4.375 12-22 11/01S USD 85.459 1,709,180.00 0.861,535,800.00


5,000,000 COLOMBIA REGS 5.375 12-22 27/09S USD 91.198 4,559,900.00 2.295,063,544.05

COLOMBIA

2,000,000 ECOPETROL SA FL.R 15-26 26/06S USD 90.892 1,817,840.00 0.911,630,000.003.206,377,740.006,693,544.05TOTAL COLOMBIA

4,120,000 AVANGARDCO INV 10.00 10-18 29/10S USD 38.813 1,599,075.00 0.804,060,000.00

CYPRUS

0.801,599,075.004,060,000.00TOTAL CYPRUS

Ccy

177


BOND SUB-FUNDS




security

Marketvalue

(see notes)

% ofnet

assets

3,000,000 ESAL GMBH REGS 6.25 13-23 05/02S USD 87.901 2,637,030.00 1.323,009,827.91

GERMANY

1.322,637,030.003,009,827.91TOTAL GERMANY

5,500,000 ALFA BOND 7.75 11-21 28/04S USD 108.229 5,952,595.00 2.995,967,500.00

IRELAND

4,000,000 BORETS FINANCE REGS 7.625 13-18 26/09S USD 87.303 3,492,120.00 1.754,077,280.003,000,000 DME AIRPORT REGS 6.00 13-18 26/11S USD 97.908 2,937,240.00 1.473,083,580.001,500,000 MMC FINANCE REGS 5.55 13-20 28/10S USD 102.708 1,540,620.00 0.771,521,601.242,000,000 NOVATEK FIN REGS 4.422 12-22 13/12S USD 93.003 1,860,060.00 0.931,706,004.654,000,000 NOVATEK FINANCE REG S 6.604 11-21 03/02S USD 104.593 4,183,720.00 2.104,144,724.843,000,000 ROSNEFT INTL REGS 4.199 12-22 06/03S USD 93.410 2,802,300.00 1.402,691,003.051,000,000 VEB FINANCE REG S 6.902 10-20 09/07S USD 103.549 1,035,490.00 0.521,049,200.415,000,000 VNESHECONOMBANK(VEB) 6.025 12-22 05/07S USD 98.340 4,917,000.00 2.475,114,000.00

14.4028,721,145.0029,354,894.19TOTAL IRELAND

5,000,000 KAZAKH ENGINEER REGS 4.55 13-16 03/12S USD 97.552 4,877,600.00 2.445,077,100.00

KAZAKHSTAN

2.444,877,600.005,077,100.00TOTAL KAZAKHSTAN

6,000,000 CNS RESOURCES REG S 6.50 10-20 21/07S USD 46.601 2,796,060.00 1.406,255,756.07

LUXEMBOURG

4,000,000 GAZ CAPITAL REG S 9.25 09-19 23/04S USD 113.768 4,550,720.00 2.284,833,030.306,200,000 GPN CAPITAL SA 4.375 12-22 19/09S USD 92.401 5,728,862.00 2.875,789,250.003,500,000 INTL BK AZERBAIJAN 5.625 14-19 11/06S USD 92.928 3,252,480.00 1.633,499,564.986,500,000 MHP REGS 8.25 13-20 02/04S USD 87.740 5,703,100.00 2.866,074,575.007,900,000 QGOG CONST SA REGS 6.25 12-19 09/11S USD 57.991 4,581,289.00 2.306,963,512.534,000,000 STELL CAPITAL REGS 5.90 12-22 17/10S USD 102.418 4,096,720.00 2.053,981,600.005,000,000 VIRGOLINO REGS 10.50 11-18 28/01S USD 3.827 191,325.00 0.103,974,850.403,000,000 VTB CAP REGS SUB 6.95 12-22 17/10S USD 97.908 2,937,240.00 1.472,844,402.91


5,600,000 DESARROLLADOR HOMEX 7.50 06-15 28/09S USD 2.339 130,984.00 0.07895,272.00

MEXICO

0.07130,984.00895,272.00TOTAL MEXICO

3,000,000 RUSSIA REG -S- 12.75 98-28 24/06S USD 166.875 5,006,250.00 2.515,192,250.00

RUSSIA

2.515,006,250.005,192,250.00TOTAL RUSSIA

6,500,000 AFRICAN BANK LTD 12-17 24/02S USD 86.630 5,630,950.00 2.826,600,098.49

SOUTH AFRICA


5,000,000 AJECORP REGS 6.50 12-22 14/05S USD 42.938 2,146,875.00 1.084,620,400.00

THE NETHERLANDS

3,000,000 LUKOIL INT REG S 6.125 10-20 09/11S USD 105.714 3,171,420.00 1.593,235,350.002,000,000 LUKOIL INTL FIN REGS 4.563 13-23 24/04S USD 95.893 1,917,860.00 0.961,833,000.005,000,000 MARFRIG HLDGS EUROPE 8.375 11-18 09/05S USD 100.576 5,028,800.00 2.525,206,350.006,000,000 MARFRIG HOLDINGS REGS 6.875 14-19 24/06S USD 95.321 5,719,260.00 2.876,008,750.006,000,000 METINVEST REGS (IN DEFAULT) 11-18 14/02S USD 45.364 2,721,840.00 1.365,212,200.001,500,000 METINVEST REGS S2 (DEFAULT) 14-17 28/11S USD 45.649 684,735.00 0.341,420,044.003,500,000 NORTHERN LIGHTS REGS 7.00 12-19 16/08Q USD 97.443 3,410,505.00 1.713,824,388.927,000,000 PETROBRAS GLB FIN 4.375 13-23 20/05S USD 73.614 5,152,980.00 2.586,777,035.915,000,000 PETROBRAS INTL FIN 5.375 11-21 27/01S USD 82.786 4,139,300.00 2.075,207,277.75


1,947,000 MIN FIN UKRAINE REGS 7.75 15-19 27.10S USD 94.563 1,841,141.61 0.921,826,266.53

UKRAINE

1,947,000 UKRAINE GOVT REGS 7.75 15-20 01/09S USD 93.990 1,829,985.30 0.921,800,293.551.843,671,126.913,626,560.08TOTAL UKRAINE

Ccy

178


BOND SUB-FUNDS




security

Marketvalue

(see notes)

% ofnet

assets

975,836 AFREN PLC 10.25 12-19 08/04S USD 0.620 6,050.18 0.001,082,936.94

UNITED KINGDOM

6,830,852 AFREN REGS 6.625 13-20 09/12S USD 0.620 42,351.28 0.027,172,736.144,400,000 DTEK FINANCE 10.375 15-18 28/03S USD 40.505 1,782,220.00 0.893,905,000.407,750,000 DTEK FINANCE REG-S 7.875 13-18 04/04S USD 36.504 2,829,060.00 1.436,296,875.00


7,000,000 PETROLEOS VENEZUELA 5.25 07-17 12/04S USD 50.849 3,559,430.00 1.785,819,796.05

VENEZUELA

3,000,000 PETROLEOS VENEZUELA 6.00 14-24 16/05S USD 30.936 928,080.00 0.471,430,642.877,000,000 PETROLEOS VENEZUELA REG S 12.75 11-22 17/02S USD 45.333 3,173,310.00 1.596,291,294.80

3.847,660,820.0013,541,733.72TOTAL VENEZUELA

TOTAL BONDS 95.47190,461,402.77249,800,615.12

1,250,000 MIN FIN UKRAINE REGS FL.R 15-40 31/05A USD 33.164 414,550.00 0.21502,350.00

UKRAINE


0.21414,550.00502,350.00TOTAL UKRAINE



95.68190,875,952.77250,302,965.12



TOTAL NET ASSETS 100.00199,494,729.98

Ccy

179


BOND SUB-FUNDS



March 31, 2016(in %)

The Netherlands 17.08Luxembourg 16.96Ireland 14.40Cayman Islands 7.91Argentina 6.35Brazil 4.58Austria 3.90Venezuela 3.84Colombia 3.20South Africa 2.82Angola 2.76Russia 2.51Kazakhstan 2.44United Kingdom 2.34Ukraine 2.05Germany 1.32Cyprus 0.80Canada 0.35Mexico 0.07



95.68

% ofnet

assets

COUNTRIES

180


BOND SUB-FUNDS



March 31, 2016(in %)

Holding and finance companies 40.85Banks and other credit institutions 16.93Oil 11.52Foodstuffs and non-alcoholic drinks 9.57Countries and central governments 7.32Data transmission 3.10Electronics and semiconductors 1.71Mining industry 1.70Cantons, Federal States, Provinces Etc. 1.11Miscellaneous services 1.00Agriculture and fishing 0.80Building and building materials 0.07


assets



95.68

181


BOND SUB-FUNDS

EURO IG CORPORATE BONDS


ASSETS

Portfolio: (see notes)- Cost 193,588,496.05- Net unrealised result (292,062.27)

193,296,433.78


Other assets:- Receivable on subscriptions 640,907.34- Interest receivable 2,267,221.27- Receivable for investments sold 98,911.51- Unrealised gain on forward foreign exchange contracts (see notes) 34,627.19- Receivable on foreign exchange transactions 63,543.64

201,377,707.16

LIABILITIES


Other liabilities:- Payable on redemptions 95,489.80- Taxes and expenses payable 499,837.17- Unrealised loss on futures (see notes) 30,500.00- Unrealised loss on forward foreign exchange contracts (see notes) 23,960.63

649,829.33

NET ASSETS 200,727,877.83

(in EUR)


182


BOND SUB-FUNDS




Shares outstanding

Class A EUR


Shares outstanding

Class A GBP (H)


Shares outstanding

Class B CHF (H) DIS


Shares outstanding

Class B EUR DIS


Shares outstanding

Class B GBP (H) DIS


Shares outstanding

Class I EUR


(in EUR)

183


BOND SUB-FUNDS




INCOME

Income from investments: (see notes)- Bond interest, net 6,663,642.02Other income 12.86

6,663,654.88

EXPENSES




2,318,379.61




Change in net unrealised appreciation/(depreciation) on:- Investments (3,833,165.41)- Forward foreign exchange contracts (40,252.10)- Futures (30,500.00)


(3,882,198.32)



(57,430,847.00)



(in EUR)


184

EDMOND DE ROTHSCHILD FUND EURO IG CORPORATE BONDS


Class A EUR






Highest 168.7504.15.15

Lowest 161.7309.29.15


SHARES

Class A GBP (H)

25,189.1180

3,763.8010

(7,955.3050)

20,997.6140

GBP

103.2304.15.15

98.9809.29.15

102.21

Class B CHF (H) DIS

92,876.9450

20,563.1920

(13,950.0000)

99,490.1370

CHF

102.6704.15.15

96.5109.29.15

99.07

Class B EUR DIS

172,153.8450

22,240.6920

(55,279.1610)

139,115.3760

EUR

103.2604.15.15

97.4409.29.15

100.42

Class B GBP (H) DIS

7,961.2530

0.0000

(3,482.4660)

4,478.7870

GBP

103.2304.15.15

97.6009.29.15

100.79

185



Class I EUR






Highest 103.5804.15.15

Lowest 99.4609.29.15


SHARES

186




Class A EUR

1.11

Class A GBP (H)

1.10

Class B CHF (H) DIS

1.10

Class B EUR DIS

1.10


Class B GBP (H) DIS

1.11

Class I EUR

0.70

187


BOND SUB-FUNDS




Date ShareClass

Number of shares

outstanding

NetAssets

Ccy Net assetvalue

per share

* First valuation

675,641.5740 163.21110,271,106.91Class A EUR07.15.14* EUR37,875.0119 99.923,784,312.57Class A GBP (H)07.22.14* GBP85,984.4727 99.968,594,986.97Class B EUR DIS EUR

9,801.1012 99.92979,293.11Class B GBP (H) DIS GBP211,358.4985 99.9621,127,444.26Class I EUR EUR

1,500.0000 99.96149,946.80Class B CHF (H) DIS07.24.14* CHF

1,144,150.6370 168.30192,566,166.26Class A EUR03.31.15 EUR25,189.1180 102.932,592,706.02Class A GBP (H) GBP92,876.9450 102.469,516,331.23Class B CHF (H) DIS CHF

172,153.8450 102.9917,730,183.05Class B EUR DIS EUR7,961.2530 102.93819,462.33Class B GBP (H) DIS GBP

370,788.7410 103.2938,298,237.23Class I EUR EUR

916,962.4080 166.67152,830,813.14Class A EUR03.31.16 EUR20,997.6140 102.212,146,210.61Class A GBP (H) GBP99,490.1370 99.079,856,460.81Class B CHF (H) DIS CHF

139,115.3760 100.4213,970,399.50Class B EUR DIS EUR4,478.7870 100.79451,397.94Class B GBP (H) DIS GBP

210,475.2110 102.7121,618,106.14Class I EUR EUR

188


BOND SUB-FUNDS






security

Marketvalue

(see notes)

% ofnet

assets

1,000,000 BHP BILLITON FINANCE 2.125 12-18 29/11A EUR 105.094 1,050,940.00 0.521,059,047.25

AUSTRALIA

BONDS


1,500,000 NAT.AUST.BK 2.75 12-22 08/08A EUR 112.364 1,685,460.00 0.841,656,042.25900,000 ORIGIN ENERGY EMTN 2.875 12-19 11/10A EUR 97.530 877,770.00 0.44959,526.00

1.803,614,170.003,674,615.50TOTAL AUSTRALIA

1,500,000 FIDELITY INTL 6.875 10-17 24/02A EUR 105.743 1,586,145.00 0.791,697,487.25

BERMUDA

0.791,586,145.001,697,487.25TOTAL BERMUDA

1,000,000 HUTCHISON WHAMPOA 2.50 12-17 06/06A EUR 102.642 1,026,420.00 0.511,046,800.00

CAYMAN ISLANDS


1,250,000 TDC 1.75 15-27 27/02A EUR 91.314 1,141,425.00 0.571,240,347.00

DENMARK

3,750,000 TDC 3.75 12-22 02/03A EUR 113.088 4,240,800.00 2.114,287,187.502.685,382,225.005,527,534.50TOTAL DENMARK

1,000,000 ADP 4.00 11-21 08/07A EUR 119.148 1,191,480.00 0.591,178,650.00

FRANCE

2,500,000 BNP PARIBAS 2.375 15-25 17/02A EUR 99.151 2,478,775.00 1.232,543,491.751,000,000 CIE DE FIN.FONCIER 4.25 12-18 24/02A EUR 106.051 1,060,505.00 0.531,086,000.00

700,000 CREDIT AGRICOLE 2.625 15-27 17/03A EUR 99.906 699,342.00 0.35699,785.251,500,000 EDF SA 2.75 12-23 10/03A EUR 113.593 1,703,895.00 0.851,622,625.00

500,000 FONCIERE LYONNAISE 2.25 15-22 16/11A EUR 104.495 522,475.00 0.26502,082.004,500,000 GECINA 1.75 14-21 30/07A EUR 105.151 4,731,795.00 2.374,513,561.253,000,000 KLEPIERRE 1.75 14-24 06/11A EUR 105.713 3,171,390.00 1.583,006,501.75

300,000 KLEPIERRE EMTN 1.00 15-23 17/04A EUR 100.988 302,964.00 0.15298,058.25200,000 KLEPIERRE EMTN 1.875 16-26 19/02A EUR 105.151 210,302.00 0.10199,404.00

1,600,000 SOCIETE GENERALE SUB 2.625 15/25 27/02A EUR 99.174 1,586,784.00 0.791,614,695.751,000,000 UNIBAIL RODAMCO 1.375 14-22 17/10A EUR 103.977 1,039,770.00 0.521,045,632.252,000,000 UNIBAIL RODAMCO EMTN 2.25 12-18 01/08A EUR 105.247 2,104,940.00 1.052,113,062.252,000,000 UNIBAIL RODAMCO RED 3.00 12-19 22/03A EUR 108.602 2,172,040.00 1.082,181,812.25

11.4522,976,457.0022,605,361.75TOTAL FRANCE

1,500,000 BRD INDEX 0.10 15-26 15/04A EUR 109.405 1,628,980.28 0.811,615,776.00

GERMANY

2,000,000 DAIMLER AG 2.125 12-18 27/06A EUR 104.618 2,092,360.00 1.042,105,700.001,000,000 DAIMLER AG 2.625 12-19 02/04A EUR 107.610 1,076,100.00 0.541,079,400.001,000,000 MERCK FIN SERVICES 1.375 15-22 01/09A EUR 105.747 1,057,470.00 0.53996,492.252,500,000 METRO 1.375 14-21 28/10A EUR 102.637 2,565,925.00 1.282,478,069.50

4.208,420,835.288,275,437.75TOTAL GERMANY

4,500,000 BORD GAIS EIREANN 3.625 12-17 04/12A EUR 105.917 4,766,265.00 2.374,895,100.00

IRELAND

Ccy

189


BOND SUB-FUNDS




security

Marketvalue

(see notes)

% ofnet

assets

6,000,000 ESB FINANCE REGS 4.375 12-19 21/11A EUR 115.198 6,911,880.00 3.446,936,840.002,500,000 GE CAP EUR FD 2.875 12-19 18/06A EUR 108.823 2,720,575.00 1.362,732,087.32

7.1714,398,720.0014,564,027.32TOTAL IRELAND

1,000,000 CASSA DEPOSITI PRESTI 1.50 15-25 09/04A EUR 101.185 1,011,850.00 0.50936,907.25

ITALY

2,000,000 ENI SPA 3.75 12-19 27/06A EUR 111.208 2,224,160.00 1.112,253,900.002,000,000 HERA SPA 3.25 13-21 04/10A EUR 114.910 2,298,200.00 1.142,190,980.002,500,000 INTESA SAN PAOLO 3.75 09-16 23/11A EUR 102.342 2,558,550.00 1.272,655,219.504,000,000 ITALY BOT 2.00 15-25 01/12S EUR 107.125 4,285,000.00 2.134,161,760.004,500,000 ITALY BTP 4.50 13-24 01/03S EUR 126.868 5,709,060.00 2.855,401,296.556,000,000 LUXOTTICA GROUP 3.625 12-19 19/03A EUR 110.447 6,626,820.00 3.316,712,800.00

12.3124,713,640.0024,312,863.30TOTAL ITALY

1,500,000 BAA FUNDING 4.125 10-18 12/10A EUR 102.117 1,531,755.00 0.761,614,750.00

JERSEY

1,000,000 BAA FUNDING LTD 4.375 12-17 25/01A EUR 103.422 1,034,220.00 0.521,089,900.001.282,565,975.002,704,650.00TOTAL JERSEY

2,250,000 GLENCORE FINANCE 4.625 12-18 03/04A EUR 102.069 2,296,552.50 1.142,526,525.00

LUXEMBOURG

2,750,000 GLENCORE FINANCE 5.25 10-17 22/03A EUR 102.573 2,820,757.50 1.413,062,592.502.555,117,310.005,589,117.50TOTAL LUXEMBOURG

2,000,000 AMERICA MOVIL 4.125 11-19 25/10A EUR 112.021 2,240,420.00 1.122,289,300.00

MEXICO

1,000,000 FOMENTO ECONOMICO 1.75 16-23 20/03A EUR 99.708 997,080.00 0.50995,170.001,000,000 MEXICAN STATES 1.875 16-22 23/02A EUR 101.260 1,012,600.00 0.50993,840.002,000,000 PEMEX 5.50 09-17 09/01A EUR 103.460 2,069,200.00 1.032,222,689.80

3.156,319,300.006,500,999.80TOTAL MEXICO

300,000 CARNIVAL CORP 1.875 15-22 07/11A EUR 102.481 307,443.00 0.15299,103.00

PANAMA

750,000 CARNIVAL CORP 1.125 15-19 06/11A EUR 101.837 763,777.50 0.38751,410.000.531,071,220.501,050,513.00TOTAL PANAMA

4,300,000 ABERTIS INFRAESTRUCT. 3.75 13-23 20/06A EUR 119.414 5,134,802.00 2.564,837,500.00

SPAIN

1,000,000 ENAGAS FIN REGS 1.25 15-25 06/02A EUR 102.670 1,026,700.00 0.51995,553.502,000,000 SPAIN 4.40 13-23 31/10A EUR 124.510 2,490,200.00 1.242,373,779.603,000,000 SPAIN 5.15 13-28 31/10A EUR 138.008 4,140,240.00 2.063,765,752.892,000,000 TELEFONICA EMISIONES 3.961 13-21 26/03A EUR 116.140 2,322,800.00 1.162,267,661.29

7.5315,114,742.0014,240,247.28TOTAL SPAIN

1,750,000 BHARTI AIRTEL 4.00 13-18 10/12A EUR 107.558 1,882,265.00 0.941,885,147.69

THE NETHERLANDS

500,000 BMW FIN NV 1.00 16-22 15/02A EUR 103.209 516,045.00 0.26499,770.001,500,000 BMW FINANCE 3.25 12-19 14/01A EUR 108.947 1,634,205.00 0.811,664,064.50

500,000 DEUTSCHE TEL.INTL FIN 0.625 16-23 03/04A EUR 99.940 499,700.00 0.25495,465.001,500,000 ENEL FINANCE INTL 4.125 11-17 12/07A EUR 105.197 1,577,955.00 0.791,639,507.252,500,000 GAS NATURAL FENOSA 3.875 13-22 11/04A EUR 118.219 2,955,475.00 1.462,866,662.251,000,000 GEBERIT INTL REGS 0.688 15-21 30/03A EUR 102.376 1,023,760.00 0.51993,402.25

500,000 HEINEKEN NV 1.25 15-21 10/09A EUR 104.288 521,440.00 0.26499,197.251,000,000 ING BANK S-24- REG S 4.875 11-21 18/01A EUR 120.560 1,205,600.00 0.601,222,450.002,000,000 RABOBANK SUB 3.875 13-23 25/07A EUR 113.213 2,264,260.00 1.132,179,600.00

300,000 REPSOL INTL FIN 2.625 13-20 28/05A EUR 105.176 315,528.00 0.16318,486.787.1714,396,233.0014,263,752.97TOTAL THE NETHERLANDS

1,500,000 BAT INTL FIN 0.875 15-23 13/10A EUR 100.421 1,506,315.00 0.751,486,502.25

UNITED KINGDOM

550,000 EASYJET PLC 1.75 16-23 09/02A EUR 104.249 573,369.50 0.29560,200.002,000,000 EVERYTHING EVERYWHERE 3.25 12-18 03/08A EUR 107.042 2,140,840.00 1.072,155,729.50

Ccy

190


BOND SUB-FUNDS




security

Marketvalue

(see notes)

% ofnet

assets

3,000,000 HAMMERSON PLC 2.75 12 19 26/09A EUR 107.072 3,212,160.00 1.603,217,950.002,500,000 IMPERIAL TOBACCO FIN 4.50 11-18 05/07A EUR 109.829 2,745,725.00 1.372,825,550.003,750,000 MONDI FINANCE 5.75 10-17 03/04A EUR 105.466 3,954,975.00 1.964,218,112.501,500,000 UBS AG LONDON 6.00 08-18 18/04A EUR 112.048 1,680,720.00 0.841,786,472.25

200,000 WPP FINANCE 2013 0.75 15-19 18/11Q EUR 101.156 202,312.00 0.10199,828.007.9816,016,416.5016,450,344.50TOTAL UNITED KINGDOM

3,000,000 AMGEN 2.125 12-19 13/09A EUR 105.939 3,178,170.00 1.583,140,040.00


5,000,000 AT&T INC 1.45 14-22 01/06A EUR 102.703 5,135,150.00 2.575,138,484.501,500,000 BANK OF AMERICA CORP 4.625 10-17 07/08A EUR 106.065 1,590,975.00 0.791,666,508.00

500,000 BERKSHIRE HATHAWAY 0.50 16-20 13/03A EUR 100.603 503,015.00 0.25499,370.00250,000 BERKSHIRE HATHAWAY 1.30 16-24 15/03A EUR 102.507 256,267.50 0.13249,415.00

1,500,000 CARNIVAL CORP 1.625 16-21 22/02A EUR 102.226 1,533,390.00 0.761,497,000.002,250,000 FLOWSERVE 1.25 15-22 17/03A EUR 94.030 2,115,675.00 1.052,174,702.252,500,000 GOLDMAN SACHS GROUP 5.125 09-19 23/10A EUR 116.083 2,902,075.00 1.452,974,052.251,000,000 HJ HEINZ CO 2.00 15-23 30/06A EUR 104.547 1,045,470.00 0.521,010,637.251,000,000 HONEYWELL INTERNAT 1.30 16-23 22/02A EUR 102.096 1,020,960.00 0.51998,870.00

300,000 IBM 0.5 16-21 07/09A EUR 100.208 300,624.00 0.15298,011.001,000,000 INTL FLAVOR & FRAG 1.75 16-24 14/03A EUR 104.254 1,042,540.00 0.521,009,850.001,750,000 MONDELEZ INTL 1.00 15-22 07/03A EUR 100.378 1,756,615.00 0.881,743,094.503,000,000 MOODY'S CORP 1.75 15-27 09/03A EUR 100.951 3,028,530.00 1.513,050,864.253,000,000 MORGAN STANLEY 1.75 15-25 30/01A EUR 99.941 2,998,230.00 1.493,081,674.501,000,000 PRICELINE GROUP 1.80 15-27 03/03A EUR 93.407 934,070.00 0.471,001,719.501,600,000 PRICELINE GROUP IN 2.15 15-22 25/11A EUR 103.699 1,659,184.00 0.831,595,280.001,000,000 THERMO FISHER 2.00 14-25 15/04A EUR 102.775 1,027,750.00 0.51964,702.25

500,000 THERMO FISHER 2.15 15-22 21/07A EUR 105.834 529,170.00 0.26498,942.251,800,000 TIME WARNER 1.95 15-23 15/09A EUR 104.217 1,875,906.00 0.931,805,329.50

500,000 UNITED TECH 1.125 16-21 15/12A EUR 101.776 508,880.00 0.25496,275.00500,000 UNITED TECHNOLOGIES 1.875 16-26 22/02A EUR 103.972 519,860.00 0.26493,715.00

1,500,000 WELLS FARGO 1.125 14-21 29/10A EUR 102.522 1,537,830.00 0.771,487,702.253,000,000 WELLS FARGO REGS 2.625 12-22 16/08A EUR 110.874 3,326,220.00 1.663,306,854.00

500,000 WHIRLPOOL 0.625 15-20 12/03A EUR 100.073 500,365.00 0.25497,872.2520.3540,826,921.5040,680,965.50TOTAL UNITED STATES OF AMERICA

2,000,000 CORP ANDINA FOMENTO 4.625 10-18 29/03A EUR 108.782 2,175,640.00 1.082,259,780.00

VENEZUELA

1.082,175,640.002,259,780.00TOTAL VENEZUELA

TOTAL BONDS 92.53185,722,370.78185,444,497.92

1,500,000 AXA EMTN PERP. SUB FL.R 03-XX 29/12Q EUR 60.313 904,695.00 0.451,204,485.00

FRANCE


3,100,000 TOTAL SA FL.R 15-XX 26/02A EUR 91.368 2,832,408.00 1.413,065,208.48200,000 TOTAL SA FL.R 15-XX 26/02A EUR 94.458 188,916.00 0.09200,000.90

1.953,926,019.004,469,694.38TOTAL FRANCE

500,000 BERTELSMANN SUB FL.R 15-75 23/04A EUR 95.402 477,010.00 0.24500,002.25

GERMANY

0.24477,010.00500,002.25TOTAL GERMANY

1,000,000 BAA FUNDING FL.R 08-20 15/02A EUR 108.248 1,082,480.00 0.541,130,050.00

JERSEY

0.541,082,480.001,130,050.00TOTAL JERSEY



95.26191,207,879.78191,544,244.55

Ccy

191


BOND SUB-FUNDS




security

Marketvalue

(see notes)

% ofnet

assets

300,000 VALEO SA 1.625 16-26 18/03A EUR 102.385 307,153.50 0.15297,294.00

FRANCE

BONDS


0.15307,153.50297,294.00TOTAL FRANCE

200,000 VODAFONE GROUP 1.25 16-21 25/08A EUR 102.366 204,732.00 0.10199,446.00

UNITED KINGDOM

0.10204,732.00199,446.00TOTAL UNITED KINGDOM

1,000,000 IBM 1.125 16-24 06/09A EUR 101.233 1,012,330.00 0.51993,990.00


550,000 THERMO FISCHER SCIEN 1.50 15-20 01/12A EUR 102.607 564,338.50 0.28553,521.500.791,576,668.501,547,511.50TOTAL UNITED STATES OF AMERICA

TOTAL BONDS 1.042,088,554.002,044,251.50




TOTAL NET ASSETS 100.00200,727,877.83

Ccy

192


BOND SUB-FUNDS



March 31, 2016(in %)

United States of America 21.14France 13.55Italy 12.31United Kingdom 8.08Spain 7.53Ireland 7.17The Netherlands 7.17Germany 4.44Mexico 3.15Denmark 2.68Luxembourg 2.55Jersey 1.82Australia 1.80Venezuela 1.08Bermuda 0.79Panama 0.53Cayman Islands 0.51



96.30

% ofnet

assets

COUNTRIES

193


BOND SUB-FUNDS



March 31, 2016(in %)

Holding and finance companies 21.93Banks and other credit institutions 12.75Countries and central governments 9.59Real estate 8.71Data transmission 8.70Oil 6.45Transportation 3.44Photographic and optical instruments 3.31Aeronautical and astronomical industry 2.84Energy and water supply 2.50Road vehicles 1.73Biotechnology 1.58Foodstuffs and non-alcoholic drinks 1.40Internet and software services 1.30Hotels, restaurants and leisure 1.29Retail trade 1.28Graphic industry and publishing houses 1.17Supranational organisations 1.08Mechanical engineering and industrial equipment 1.05Electronics and semiconductors 1.05Tobacco and alcohol 0.76Office supplies and computers 0.66Pharmaceutical and cosmetics industry 0.52Building and building materials 0.51Insurance 0.45Miscellaneous consumer goods 0.25


assets



96.30

194


BOND SUB-FUNDS

US IG CORPORATE BONDS


ASSETS


82,847,105.49


Other assets:- Receivable on subscriptions 46,215.00- Interest receivable 612,623.53- Receivable for investments sold 756,587.19- Unrealised gain on futures (see notes) 61,796.88

87,908,730.56

LIABILITIES


Other liabilities:- Payable on redemptions 4,968.54- Taxes and expenses payable 200,582.53- Payable for investments purchased 1,945,497.24

2,152,292.08

NET ASSETS 85,756,438.48

(in USD)


184.36354,902.9780


Class A USD

134.7938,942.9270


Class B USD DIS

102.89146,550.1350


Class I USD

195


BOND SUB-FUNDS




INCOME

Income from investments: (see notes)- Bond interest, net 2,407,456.41Bank interest, net 2,043.03

2,409,499.44

EXPENSES



819,447.62




Change in net unrealised appreciation/(depreciation) on:- Investments 465,469.11- Futures 61,796.88


701,261.58



4,573,737.17



(in USD)


196

EDMOND DE ROTHSCHILD FUND US IG CORPORATE BONDS


Class A USD






Highest 184.3603.31.16

Lowest 178.9712.16.15


SHARES

Class B USD DIS

43,049.1430

9,680.5900

(13,786.8060)

38,942.9270

USD

136.6204.17.15

130.8512.16.15

134.79

Class I USD

86,493.8690

81,399.0670

(21,342.8010)

146,550.1350

USD

102.8903.31.16

99.7612.16.15

102.89

197

EDMOND DE ROTHSCHILD FUND US IG CORPORATE BONDS



Class A USD

1.11

Class B USD DIS

1.11

Class I USD

0.70

198


BOND SUB-FUNDS




Date ShareClass

Number of shares

outstanding

NetAssets

Ccy Net assetvalue

per share

* First valuation

334,378.5660 180.4660,341,464.19Class A USD07.21.14* USD56,581.7790 133.997,581,543.89Class B USD DIS USD80,450.0000 100.068,049,648.14Class I USD07.22.14* USD

359,743.4180 183.1965,902,326.87Class A USD03.31.15 USD43,049.1430 136.025,855,714.06Class B USD DIS USD86,493.8690 101.818,805,939.39Class I USD USD

354,902.9780 184.3665,429,454.01Class A USD03.31.16 USD38,942.9270 134.795,249,159.68Class B USD DIS USD

146,550.1350 102.8915,077,824.79Class I USD USD

199


BOND SUB-FUNDS



March 31, 2016(in USD)



security

Marketvalue

(see notes)

% ofnet

assets

1,000,000 TELSTRA CORP 3.125 15-25 07/04S USD 100.062 1,000,620.00 1.171,005,319.86

AUSTRALIA

BONDS


1.171,000,620.001,005,319.86TOTAL AUSTRALIA

1,250,000 BARRICK GOLD CORP 4.10 13-23 01/05S USD 98.040 1,225,500.00 1.431,234,668.40

CANADA

500,000 THOMSON REUTERS 3.85 14-24 29/09S USD 104.340 521,700.00 0.61497,332.892.041,747,200.001,732,001.29TOTAL CANADA

800,000 BAIDU INC 3.00 15-20 30/06U USD 101.825 814,600.00 0.95796,134.52

CAYMAN ISLANDS

1,000,000 HUTCHISON WHAMPOA 3.50 12-17 13/01S USD 101.624 1,016,240.00 1.181,049,750.002.131,830,840.001,845,884.52TOTAL CAYMAN ISLANDS

1,250,000 ORANGE 2.75 14-19 06/02S USD 103.126 1,289,075.00 1.501,281,581.51

FRANCE

1,500,000 SANOFI 1.25 13-18 10/04S USD 100.497 1,507,455.00 1.761,488,706.071,250,000 SOCIETE GENERALE SUB 4.25 15-25 14/04S USD 96.803 1,210,037.50 1.411,186,194.92

4.674,006,567.503,956,482.50TOTAL FRANCE

500,000 CS GR FUNDING 2.75 15-20 26/03S USD 99.195 495,975.00 0.58499,747.46

GUERNSEY

0.58495,975.00499,747.46TOTAL GUERNSEY

750,000 WHARF FINANCE 4.625 12-17 08/02S USD 102.452 768,390.00 0.90796,237.50

HONG KONG

0.90768,390.00796,237.50TOTAL HONG KONG

1,000,000 ITALY 6.875 93-23 27/09S USD 126.135 1,261,350.00 1.471,277,850.00

ITALY

1.471,261,350.001,277,850.00TOTAL ITALY

1,000,000 UBS GROUP FDG REGS 4.125 16-26 15/04S USD 100.038 1,000,380.00 1.17997,790.00

JERSEY

500,000 UBS GROUP REGS 2.95 15-20 24/09S USD 101.053 505,265.00 0.59492,340.001.761,505,645.001,490,130.00TOTAL JERSEY

500,000 ACTAVIS FUNDING SCS 3.80 15-25 15/03S USD 104.229 521,145.00 0.61516,502.40

LUXEMBOURG


750,000 AMERICA MOVIL SAB 2.375 11-16 08/09S USD 100.498 753,735.00 0.88770,205.39

MEXICO

0.88753,735.00770,205.39TOTAL MEXICO

Ccy

200


BOND SUB-FUNDS




security

Marketvalue

(see notes)

% ofnet

assets

1,000,000 SINGTEL GROUP TREAS 2.375 12-17 08/09S USD 101.522 1,015,220.00 1.181,029,400.00

SINGAPORE

1.181,015,220.001,029,400.00TOTAL SINGAPORE

750,000 SK TELECOM REGS 2.125 12-18 01/05S USD 100.572 754,290.00 0.88750,712.50

SOUTH KOREA


1,600,000 TELEFONICA EMISIONES 5.134 10-20 27/04S USD 111.122 1,777,952.00 2.071,778,506.40

SPAIN

2.071,777,952.001,778,506.40TOTAL SPAIN

500,000 RABOBANK NL SUB 4.375 15-25 04/08S USD 103.298 516,490.00 0.60501,230.00

THE NETHERLANDS


1,000,000 BARCLAYS PLC 3.25 16-21 12/01S USD 99.883 998,830.00 1.16981,025.00

UNITED KINGDOM

1,000,000 BAT INTERNATIONAL FIN 3.95 15-25 15/06S USD 109.776 1,097,760.00 1.28996,972.521,500,000 BP CAPITAL MARKETS PL 1.85 12-17 05/05S USD 100.595 1,508,925.00 1.761,527,075.00

250,000 HSBC HLDGS 3.40 16-21 08/03S USD 101.987 254,967.50 0.30249,430.00750,000 LLOYDS BANK PLC 2.00 15-18 17/08S USD 100.199 751,492.50 0.88748,525.00

1,000,000 STANDARD CHARTERED 5.70 12-22 25/01S USD 106.456 1,064,560.00 1.241,110,150.006.625,676,535.005,613,177.52TOTAL UNITED KINGDOM

700,000 ADOBE SYSTEMS INC 3.25 15-25 01/02S USD 103.653 725,571.00 0.85701,381.55


500,000 AMERICAN EXPRESS C 1.875 15-18 05/11S USD 100.433 502,165.00 0.59499,955.00750,000 AMGEN 3.125 15-25 01/05S USD 101.929 764,467.50 0.89731,432.55

2,400,000 ANHEUSER BUSH INBEV 2.625 13-23 17/01S USD 100.786 2,418,864.00 2.822,325,189.052,500,000 APPLE INC 3.45 14-24 06/05S USD 106.801 2,670,025.00 3.112,557,377.06

750,000 AT T 1.60 12-17 15/02S USD 100.411 753,082.50 0.88752,752.89500,000 AT T 2.80 16-21 17/02S USD 102.495 512,475.00 0.60499,115.00700,000 AT T INC 2.40 11-16 15/08S USD 100.514 703,598.00 0.82721,175.00750,000 AT T INC 3.00 12-22 15/02S USD 102.262 766,965.00 0.89750,775.50500,000 BANK OF NY MELLON 2.50 16-21 15/04S USD 102.128 510,640.00 0.60500,749.50400,000 BRAMBLES USA REGS 4.125 15-25 23/10S USD 103.111 412,444.00 0.48399,028.00

2,000,000 CBS 3.70 14-24 15/08S USD 103.378 2,067,560.00 2.411,996,269.21700,000 CBS 4.00 15-26 15/01S USD 104.655 732,585.00 0.85687,318.19

1,500,000 CHEVRON 1.365 15-18 02/03S USD 100.422 1,506,330.00 1.761,503,203.40900,000 CITIGROUP 2.65 15-20 26/10S USD 101.049 909,441.00 1.06897,502.00500,000 CITIGROUP 4.45 15-27 29/09S USD 100.756 503,780.00 0.59497,700.00300,000 COCA-COLA 2.875 15-25 27/10S USD 104.332 312,996.00 0.36299,535.00500,000 COMCAST CORP 2.75 16-23 01/03S USD 103.557 517,785.00 0.60499,235.00500,000 CREDIT SUISSE NY 3.00 14-21 29/10S USD 101.946 509,730.00 0.59499,950.00

1,600,000 DAIMLER FINANCE 3.875 11-21 15/09S USD 107.354 1,717,664.00 2.001,706,596.29500,000 DOLLAR GENERAL 4.15 15-25 01/11S USD 105.553 527,765.00 0.62499,220.00500,000 ELECTRONIC ARTS IN 3.70 16-21 01/03S USD 104.119 520,595.00 0.61504,515.00500,000 EXPRESS SCRIPT 3.30 16-21 25/02S USD 102.981 514,905.00 0.60498,950.00

1,000,000 EXXON MOBIL CORPORATI 0.92 14-17 15/03S USD 100.174 1,001,740.00 1.17999,820.001,000,000 FEDEX 3.25 16-26 01/04S USD 102.452 1,024,520.00 1.191,007,290.002,000,000 FORD MOTOR CREDIT 2.875 13-18 01/10S USD 101.662 2,033,240.00 2.372,063,470.861,500,000 GENERAL ELECTRIC CAP 5.625 07-17 15/09S USD 106.780 1,601,700.00 1.871,692,525.00

900,000 GLENCORE FUNDING REGS 2.875 15-20 16/04S USD 88.312 794,808.00 0.93896,403.881,600,000 GOOGLE INC 3.375 14-24 25/02S USD 109.513 1,752,208.00 2.041,650,607.38

500,000 HARLEY-DAVIDSON FI 2.25 16-19 15/01S USD 101.223 506,115.00 0.59499,940.00500,000 H.J.HEINZ REGS 2.80 15-20 02/07S USD 102.624 513,120.00 0.60498,867.52250,000 HOME DEPOT INC 2.625 15-22 01/06S USD 103.812 259,530.00 0.30249,082.46200,000 HYUNDAI CAP TR 3 REGS 2.40 15-18 30/10S USD 100.655 201,310.00 0.23199,976.00500,000 IBM CORP 2.25 16-21 19/02S USD 102.167 510,835.00 0.60499,365.00500,000 IBM CORP 3.45 16-26 19/02S USD 105.077 525,385.00 0.61498,325.00350,000 JOHN DEERE CAP 2.80 16-23 06/03S USD 102.076 357,266.00 0.42349,580.00

1,300,000 JOHN DEERE CAP CORP 1.95 16-19 08/01S USD 101.536 1,319,968.00 1.541,303,900.00

Ccy

201


BOND SUB-FUNDS




security

Marketvalue

(see notes)

% ofnet

assets

500,000 JOHN DEERE CAP CORP 2.05 15-20 10/03S USD 101.320 506,600.00 0.59498,917.441,400,000 JP MORGAN CHASE 2.55 15-20 29/10S USD 101.374 1,419,236.00 1.651,399,344.002,500,000 MERCK & CO INC 1.85 15-20 10/02S USD 102.005 2,550,125.00 2.972,493,633.12

500,000 METLIFE 4.75 10-21 08/02S USD 111.349 556,745.00 0.65561,775.001,000,000 MOODY S CORP 5.50 10-20 01/09S USD 111.790 1,117,900.00 1.301,131,323.00

500,000 MOODY'S CORPORATION 4.50 12-22 01/09S USD 109.825 549,125.00 0.64526,365.50500,000 NESTLE HOLDINGS EMTN 1.875 16-21 09/03A USD 100.343 501,715.00 0.59497,840.00500,000 PEPSICO 2.85 16-26 24/02S USD 103.256 516,280.00 0.60499,610.00

1,000,000 PHILIP MORRIS 1.875 13-19 15/01S USD 101.687 1,016,870.00 1.19994,152.89500,000 PROCTER & GAMBLE 1.85 16-21 02/02S USD 102.664 513,320.00 0.60499,905.00

1,000,000 STARBUCKS 2.70 15-22 15/06S USD 105.113 1,051,130.00 1.231,004,517.46500,000 TOYOTA MOTOR CREDIT 1.70 16-19 19/02S USD 101.086 505,430.00 0.59499,940.00750,000 UNITEDHEALTH GROUP 2.875 12-22 15/03S USD 103.777 778,327.50 0.91747,202.89500,000 UNITEDHEALTH GROUP 3.35 15-22 15/07S USD 106.490 532,450.00 0.62499,387.47

2,750,000 US TREASURY INDEXEE 0.125 14-24 15/07S USD 100.539 2,758,658.67 3.222,671,440.23800,000 USA T NOTES INDEX 0.25 15-25 15/01S USD 101.008 808,272.60 0.94784,664.00

1,250,000 VERIZON COMM 3.50 14-24 01/11S USD 105.334 1,316,675.00 1.541,267,534.86500,000 WALT DISNEY F 2.15 15-20 17/09S USD 102.892 514,460.00 0.60498,750.00500,000 WELLS FARGO & COMP 2.55 15-20 07/12S USD 101.854 509,270.00 0.59501,344.00400,000 XEROX 3.50 15-20 20/08S USD 96.899 387,596.00 0.45396,454.49


1,000,000 CORP ANDINA DE FOMENTO4.375 12-22 15/06S USD 109.885 1,098,850.00 1.281,072,300.00

VENEZUELA

1.281,098,850.001,072,300.00TOTAL VENEZUELA

TOTAL BONDS 89.3576,624,168.2775,547,866.98

1,000,000 HUTCH WHAM REGS FL.R 12-XX 07/05S USD 103.712 1,037,120.00 1.211,079,250.00

CAYMAN ISLANDS



500,000 AXA - BONDS 2006 FL.R 06-49 14/12S USD 102.575 512,875.00 0.60518,252.47

FRANCE

500,000 EDF SA REGS FL.R 13-XX 29/01S USD 91.705 458,525.00 0.53455,875.001.13971,400.00974,127.47TOTAL FRANCE

2,000,000 WILLOW NO 2 FL.R 15-45 01/10A USD 94.746 1,894,920.00 2.211,998,922.45

IRELAND

2.211,894,920.001,998,922.45TOTAL IRELAND

485,000 BP CAPITAL MARKETS PL FL.R 15-18 13/02Q USD 98.519 477,814.72 0.56485,002.55

UNITED KINGDOM




94.4681,005,422.9980,085,169.45

750,000 CREDIT SUISSE GP FUN 3.75 15-25 26/03S USD 96.229 721,717.50 0.84725,166.67

GUERNSEY

BONDS


0.84721,717.50725,166.67TOTAL GUERNSEY

Ccy

202


BOND SUB-FUNDS




security

Marketvalue

(see notes)

% ofnet

assets

400,000 MEXICAN BONOS 4.125 16-26 21/01S USD 105.238 420,952.00 0.49398,704.00

MEXICO

0.49420,952.00398,704.00TOTAL MEXICO

700,000 DAIMLER FINANCE 2.125 16-20 06/04S USD 99.859 699,013.00 0.82697,123.00



TOTAL BONDS 2.151,841,682.501,820,993.67



Cash/(bank overdraft) 4.183,583,158.70Other assets and liabilities (0.79)(673,825.71)

TOTAL NET ASSETS 100.0085,756,438.48

Ccy

203


BOND SUB-FUNDS



March 31, 2016(in %)

United States of America 61.33United Kingdom 7.18France 5.80Cayman Islands 3.34Ireland 2.21Spain 2.07Canada 2.04Jersey 1.76Italy 1.47Guernsey 1.42Mexico 1.37Venezuela 1.28Singapore 1.18Australia 1.17Hong Kong 0.90South Korea 0.88Luxembourg 0.61The Netherlands 0.60



96.61

% ofnet

assets

COUNTRIES

204


BOND SUB-FUNDS



March 31, 2016(in %)

Holding and finance companies 26.35Data transmission 14.49Banks and other credit institutions 11.26Countries and central governments 6.12Internet and software services 4.93Pharmaceutical and cosmetics industry 4.73Office supplies and computers 4.32Oil 2.93Road vehicles 2.82Electrotechnical and electronic industry 1.87Graphic industry and publishing houses 1.81Foodstuffs and non-alcoholic drinks 1.56Healthcare, education & social services 1.53Precious stones and metals 1.43Supranational organisations 1.28Insurance 1.25Hotels, restaurants and leisure 1.23Transportation 1.19Tobacco and alcohol 1.19Mining industry 0.93Retail trade 0.92Biotechnology 0.89Miscellaneous consumer goods 0.60Energy and water supply 0.53Electronics and semiconductors 0.45


assets



96.61

205


BOND SUB-FUNDS

SIGNATURES EURO HIGH YIELD


ASSETS


299,510,986.78


Other assets:- Receivable on subscriptions 272,536.09- Interest receivable 4,603,253.26- Receivable for investments sold 746,840.31- Unrealised gain on swaps contracts (see notes) 457,150.00

321,759,427.98

LIABILITIES


Other liabilities:- Payable on redemptions 478,909.48- Taxes and expenses payable 773,918.97- Payable for investments purchased 1,000,000.00- Unrealised loss on forward foreign exchange contracts (see notes) 89,756.43- Payable on swaps, net 266,666.34

3,079,251.22

NET ASSETS 318,680,176.76

(in EUR)


206


BOND SUB-FUNDS




Shares outstanding

Class A CHF


Shares outstanding

Class A EUR


Shares outstanding

Class A USD (H)


Shares outstanding

Class B EUR DIS


Shares outstanding

Class I EUR


Shares outstanding

Class J EUR DIS


Shares outstanding

Class N EUR


Shares outstanding

Class O EUR DIS


Shares outstanding

Class R EUR


(in EUR)

207


BOND SUB-FUNDS




INCOME

Income from investments: (see notes)- Dividends, net 251,066.06- Bond interest, net 12,112,881.63- Interest on swaps, net 194,583.32Other income 70.08

12,558,601.09

EXPENSES




2,513,501.73


Net realised result on:- Investments (see notes) (5,405,223.82)- Foreign exchange (5,518.44)- Swaps (722,622.49)


Change in net unrealised appreciation/(depreciation) on:- Investments 1,292,290.23- Forward foreign exchange contracts (89,756.43)- Swaps contracts 457,150.00


5,571,418.41



313,108,758.35


(in EUR)


208

EDMOND DE ROTHSCHILD FUND SIGNATURES EURO HIGH YIELD


Class A CHF






Highest 101.9203.14.16

Lowest 100.8403.10.16


SHARES

Class A EUR

0.0000

815,437.6340

(216,930.7650)

598,506.8690

EUR

334.8603.31.16

314.9102.12.16

334.86

Class A USD (H)

0.0000

4,485.0180

(1,106.8350)

3,378.1830

USD

1,042.5903.31.16

979.3402.12.16

1,042.59

Class B EUR DIS

0.0000

63,812.5620

(20,177.8380)

43,634.7240

EUR

110.0603.31.16

103.5002.12.16

110.06

Class I EUR

0.0000

6,754.8960

(2,343.9770)

4,410.9190

EUR

15,085.1303.31.16

14,174.9802.12.16

15,085.13

209



Class J EUR DIS






Highest 10,963.4903.31.16

Lowest 10,302.0002.12.16

At the end of the period 10,963.49

SHARES

Class N EUR

0.0000

1,526.0100

(140.0000)

1,386.0100

EUR

15,042.2103.31.16

14,131.8502.12.16

15,042.21

Class O EUR DIS

0.0000

2.0000

(0.0000)

2.0000

EUR

11,432.3003.31.16

10,740.4502.12.16

11,432.30

Class R EUR

0.0000

35,088.2150

(17.5180)

35,070.6970

EUR

127.3903.31.16

119.8402.12.16

127.39

210



TER for Class A CHF is not representative.


Class A CHF

-

Class A EUR

1.22

Class A USD (H)

1.22

Class B EUR DIS

1.23


Class I EUR

0.62

Class J EUR DIS

0.61

Class N EUR

0.45

Class O EUR DIS

0.45


Class R EUR

1.09

211


BOND SUB-FUNDS




Date ShareClass

Number of shares

outstanding

NetAssets

Ccy Net assetvalue

per share

* First valuation

679,511.5100 329.10223,630,203.95Class A EUR07.02.15* EUR4,087.3170 1,021.164,173,813.70Class A USD (H) USD

46,040.0220 108.174,980,051.55Class B EUR DIS EUR4,796.4480 14,759.9570,795,332.51Class I EUR EUR1,427.9420 10,726.8815,317,368.78Class J EUR DIS EUR

840.0100 14,701.0912,349,059.64Class N EUR EUR1.0000 11,172.2011,172.20Class O EUR DIS EUR

1,039.8800 125.44130,442.42Class R EUR EUR400.0000 100.8440,336.34Class A CHF03.10.16* CHF

400.0000 101.6440,654.79Class A CHF03.31.16 CHF598,506.8690 334.86200,418,487.59Class A EUR EUR

3,378.1830 1,042.593,522,059.05Class A USD (H) USD43,634.7240 110.064,802,507.97Class B EUR DIS EUR

4,410.9190 15,085.1366,539,286.02Class I EUR EUR1,683.1010 10,963.4918,452,662.08Class J EUR DIS EUR1,386.0100 15,042.2120,848,656.38Class N EUR EUR

2.0000 11,432.3022,864.59Class O EUR DIS EUR35,070.6970 127.394,467,711.37Class R EUR EUR

212


BOND SUB-FUNDS






security

Marketvalue

(see notes)

% ofnet

assets

1,200,000 HORIZON HOLDINGS III 5.125 15-22 01/08S EUR 105.154 1,261,848.00 0.401,217,819.25

AUSTRALIA

BONDS


0.401,261,848.001,217,819.25TOTAL AUSTRALIA

2,800,000 BOMBARDIER REGS EMTN 6.125 10-21 15/05S EUR 88.862 2,488,136.00 0.782,525,271.79

CANADA

0.782,488,136.002,525,271.79TOTAL CANADA

1,000,000 UPCB FINANCE IV 4.00 15-27 15/01S EUR 97.447 974,470.00 0.31950,100.00

CAYMAN ISLANDS

2,200,000 VIRIDIAN GR II REGS 7.50 15-20 03/02S EUR 105.334 2,317,348.00 0.722,202,640.001.033,291,818.003,152,740.00TOTAL CAYMAN ISLANDS

1,170,000 AUTODIS REGS 6.50 14-19 01/02S EUR 103.792 1,214,366.40 0.381,221,075.00

FRANCE

3,100,000 CGG REGS 5.875 14-20 15/05S EUR 48.317 1,497,827.00 0.471,957,750.003,600,000 CROWN EURO HLDG REGS 4.00 14-22 15/07S EUR 106.668 3,840,048.00 1.203,697,550.001,500,000 DARTY FINANCE REGS 5.875 14-21 01/03S EUR 106.789 1,601,835.00 0.501,561,800.001,850,000 FAURECIA 3.125 15-22 15/06S EUR 99.117 1,833,664.50 0.581,781,094.751,000,000 FAURECIA 3.625 16-23 15/06S EUR 99.392 993,920.00 0.311,000,000.004,000,000 FIN GAILLON EMTN REGS 7.00 14-19 30/09S EUR 103.798 4,151,920.00 1.304,080,502.253,400,000 HOLDIKKS REGS 6.75 14-21 15/07A EUR 98.766 3,358,044.00 1.053,342,880.003,420,000 HOMEVI REGS 6.875 14-21 15/08S EUR 106.518 3,642,915.60 1.143,616,361.141,560,000 HORIZON H.I 7.25 15-23 01/08S EUR 105.681 1,648,623.60 0.521,585,459.003,540,000 KERNEOS TEC REGS 5.75 14-21 01/03S EUR 101.778 3,602,941.20 1.133,636,024.252,450,000 LA FINANCIERE ATALIAN 7.25 13-20 15/01S EUR 107.451 2,632,549.50 0.832,614,170.763,680,000 LABEYRIE FINE FOODS 5.625 14-21 15/03S EUR 105.697 3,889,649.60 1.223,788,100.001,492,000 LOXAM SAS 4.875 14-21 23/07S EUR 105.221 1,569,897.32 0.491,528,703.201,300,000 LOXAM SAS 7.00 14-22 23/07S EUR 104.850 1,363,050.00 0.431,334,502.25

888,000 LOXAM SAS 7.375 13-20 24/01S EUR 105.789 939,406.32 0.29939,681.601,600,000 MEDI-PARTENAIRES 7.00 13-20 15/05S EUR 105.828 1,693,248.00 0.531,703,916.662,500,000 NOVAFIVES SAS REGS 4.50 14-21 30/06S EUR 87.633 2,190,825.00 0.692,327,990.002,500,000 NOVALIS SAS REGS 3.00 15-22 30/04S EUR 100.917 2,522,925.00 0.792,418,718.751,000,000 NUMERICABLE GRP REGS 5.375 14-22 15/05S EUR 102.138 1,021,380.00 0.321,024,900.001,000,000 NUMERICABLE REGS 5.625 14-24 15/05S EUR 101.029 1,010,290.00 0.321,014,900.002,300,000 PAPREC HLDG SUB REGS 7.375 15-23 01/04S EUR 92.545 2,128,535.00 0.672,370,380.002,250,000 PAPREC HOLDING REGS 5.25 15-22 01/04S EUR 97.645 2,197,012.50 0.692,313,052.502,800,000 PICARD BONDCO REGS 7.75 15-20 01/02S EUR 107.623 3,013,444.00 0.953,009,750.00

400,000 REXEL SA 5.125 13-20 15/06S EUR 104.492 417,968.00 0.13422,310.771,450,000 SMCP SAS 8.875 13-20 15/06S EUR 106.032 1,537,464.00 0.481,554,502.694,100,000 SPCM REGS 2.875 15-23 15/06S EUR 97.572 4,000,452.00 1.263,907,080.001,940,000 WFS GLOBAL HLDGS 9.50 15-22 15/07S EUR 107.949 2,094,210.60 0.662,004,650.001,100,000 WFS GLOBAL HLDGS 12.50 16-22 30/12S EUR 102.051 1,122,561.00 0.351,078,000.00

19.6862,730,973.1462,835,805.57TOTAL FRANCE

1,000,000 FAENZA GMBH REGS 8.25 13-21 15/08S EUR 107.828 1,078,280.00 0.341,062,684.25

GERMANY

Ccy

213


BOND SUB-FUNDS




security

Marketvalue

(see notes)

% ofnet

assets

3,500,000 HEIDELBERGER REG S 8.00 15-22 15/05S EUR 99.169 3,470,915.00 1.093,575,002.252,930,000 HP PELZER HLD REGS 7.50 14-21 15/07S EUR 105.717 3,097,508.10 0.973,171,725.002,400,000 KIRK BEAUTY ZERO REGS 6.25 15-22 15/07S EUR 107.384 2,577,216.00 0.812,438,129.503,300,000 PROGROUP AG REGS 5.125 15-22 01/05S EUR 105.480 3,480,840.00 1.093,411,130.442,187,000 UNITY MEDIA REGS 5.125 13-23 21/01S EUR 106.751 2,334,644.37 0.732,319,969.602,300,000 UNITYMEDIA HESSEN REGS4.00 14-25 15/01S EUR 102.369 2,354,487.00 0.742,349,220.002,375,000 WEPA HYGIENPROD REGS 6.50 13-20 15/05S EUR 105.941 2,516,098.75 0.792,541,705.00

6.5620,909,989.2220,869,566.04TOTAL GERMANY

2,000,000 ARDEGH PKG REGS 9.25 10-20 15/10S EUR 104.795 2,095,900.00 0.662,090,000.00

IRELAND

2,150,000 EUROPCAR 5.75 15-22 15/06S EUR 104.911 2,255,586.50 0.712,229,568.48200,000 SMURFIT KAP ACQ REGS 2.75 15-25 01/02S EUR 99.141 198,282.00 0.06187,860.00

3,125,000 SMURFIT KAPPA ACQ 3.25 14-21 01/06S EUR 107.070 3,345,937.50 1.053,213,475.00550,000 SMURFIT KAPPA ACQ 4.125 13-20 30/01S EUR 110.651 608,580.50 0.19588,995.00

2.678,504,286.508,309,898.48TOTAL IRELAND

1,070,000 PIAGGIO C REGS 4.625 14-21 30/04S EUR 103.930 1,112,051.00 0.351,098,676.00

ITALY

700,000 TELECOM ITALIA CAP 4.50 14-21 25/01A EUR 112.548 787,836.00 0.25765,940.002,100,000 TELECOM ITALIA EMTN 3.75 15-23 16/01A EUR 104.924 2,203,404.00 0.682,112,810.001,500,000 TELECOM ITALIA EMTN 5.25 10-22 10/02A EUR 116.273 1,744,095.00 0.551,707,705.00

500,000 TELECOM ITALIA SPA 4.875 13-20 25/09A EUR 114.055 570,275.00 0.18557,150.002.016,417,661.006,242,281.00TOTAL ITALY

1,200,000 SOFTBANK GROUP 4.00 15-27 30/01S EUR 105.450 1,265,400.00 0.401,204,506.75

JAPAN

2,250,000 SOFTBANK GROUP CORP 4.75 15-25 30/07S EUR 102.957 2,316,532.50 0.722,254,502.021.123,581,932.503,459,008.77TOTAL JAPAN

1,000,000 AVIS BUDGET CAR 6.00 13-21 01/03S EUR 104.088 1,040,880.00 0.331,053,400.00

JERSEY

3,000,000 LINCOLN FINANCE REGS 6.875 16-21 15/04S EUR 103.856 3,115,680.00 0.973,058,125.001.304,156,560.004,111,525.00TOTAL JERSEY

2,000,000 ALBEA BEAUTY HOLDINGS 8.75 12-19 01/11S EUR 106.239 2,124,780.00 0.672,140,000.00

LUXEMBOURG

1,500,000 ALTICE FINANCE REGS 5.25 15-23 15/02S EUR 102.709 1,540,635.00 0.481,515,150.001,500,000 ALTICE FINANCING REGS 6.50 13-22 15/01S EUR 106.527 1,597,905.00 0.501,605,900.002,000,000 ALTICE FINANCING REGS 8.00 12-19 15/12S EUR 104.826 2,096,520.00 0.662,122,400.001,000,000 ARCELORMITTAL 3.125 15-22 14/01A EUR 91.279 912,790.00 0.29974,500.002,000,000 AURIS LUXEMBOURG II 8.00 14-23 15/01S EUR 109.800 2,196,000.00 0.692,155,000.001,046,000 CERBERUS NIGHTINGALE 8.25 15-20 01/02S EUR 101.025 1,056,721.50 0.331,074,765.001,150,000 CIRSA FUNDING 5.875 15-23 15/05S EUR 97.909 1,125,953.50 0.351,128,480.002,124,328 CIRSA FUNGING 8.75 10-18 15/05S EUR 101.066 2,146,973.62 0.672,173,512.922,000,000 DAKAR FINANCE SA 9.00 15-20 15/11S EUR 98.316 1,966,320.00 0.621,990,000.001,200,000 FIAT FIN TRADE 6.75 13-19 14/10A EUR 114.280 1,371,360.00 0.431,365,000.001,400,000 GALAPAGOS SA REGS 5.375 14-21 15/06S EUR 96.403 1,349,642.00 0.421,399,860.003,500,000 GARFUNKELUX REGS 7.50 15-22 01/08S EUR 102.546 3,589,110.00 1.143,482,956.751,300,000 GESTAMP FUND LUX REGS 5.875 13-20 31/05S EUR 103.736 1,348,568.00 0.421,365,130.00

500,000 HEIDELBERGCEMENT FIN 3.25 13-20 21/10S EUR 108.163 540,815.00 0.17529,200.002,515,000 INEOS GRP REGS 5.75 14-19 15/02S EUR 102.553 2,579,207.95 0.812,551,581.501,000,000 INTRALOT CAP LUX REGS 6.00 14-21 15/05S EUR 90.425 904,250.00 0.28865,000.00

600,000 KIRK BEAUTY ONE REGS 8.75 15-23 15/07S EUR 104.432 626,592.00 0.20605,640.002,000,000 MAGNOLIA BC REGS 9.00 13-20 01/08S EUR 106.620 2,132,400.00 0.672,120,125.001,000,000 MATTERH TEL HOL REGS 4.875 15-23 01/05S EUR 87.932 879,320.00 0.28949,900.002,510,000 MATTERHORN REGS 3.875 15-22 01/05S EUR 94.303 2,367,005.30 0.742,378,978.002,325,000 PLAY FINANCE 2 SA 5.25 14-19 01/02S EUR 102.861 2,391,518.25 0.752,393,692.21

500,000 PLAY FINANCE 2 SA 6.50 14-19 01/08S EUR 104.332 521,660.00 0.16522,450.001,900,000 SWISSPORT 6.75 15-21 15/12S EUR 105.533 2,005,127.00 0.631,946,142.861,500,000 SWISSPORT 9.75 15-22 15/12S EUR 100.729 1,510,935.00 0.471,503,750.001,000,000 TELENET FINANCE 6.625 11-21 15/02S EUR 103.964 1,039,640.00 0.331,049,400.002,800,000 TELENET IV 4.875 15-27 15/07S EUR 99.739 2,792,692.00 0.882,706,565.35

Ccy

214


BOND SUB-FUNDS




security

Marketvalue

(see notes)

% ofnet

assets

2,500,000 WIND ACQUI.FIN 4.00 14-20 15/07S EUR 99.504 2,487,600.00 0.782,531,750.001,900,000 WIND ACQUISITION FIN REGS 7.00 14-21 23/04S EUR 96.162 1,827,078.00 0.571,989,680.00


1,000,000 CEMEX REGS 4.75 14-22 11/01S EUR 97.285 972,850.00 0.301,004,300.00

MEXICO

900,000 CEMEX SAB DE CV 4.375 15-23 05/03S EUR 94.313 848,817.00 0.27867,870.000.571,821,667.001,872,170.00TOTAL MEXICO

3,400,000 LINDOR REGS 7.00 14-21 15/08S EUR 106.098 3,607,332.00 1.133,583,050.00

NORWAY

1.133,607,332.003,583,050.00TOTAL NORWAY

1,600,000 CAMPOFRIO REGS 3.375 15-22 15/03S EUR 102.551 1,640,816.00 0.511,589,760.00

SPAIN

3,000,000 CELLNEX TELECOM 3.125 15-22 27/07A EUR 98.961 2,968,830.00 0.932,934,831.753,550,000 ENCE ENERGIA REGS 5.375 15-22 01/11S EUR 105.571 3,747,770.50 1.183,639,550.00

100,000 OBRASCON HUARTE LAIN 4.75 14-22 15/03S EUR 79.746 79,746.00 0.0374,000.002,500,000 OBRASCON HUARTE LAIN 5.50 15-23 15/03S EUR 80.256 2,006,400.00 0.632,122,199.00

3.2810,443,562.5010,360,340.75TOTAL SPAIN

4,000,000 VERISURE HLDG REGS 6.00 15-22 01/11S EUR 106.540 4,261,600.00 1.344,057,125.00

SWEDEN

1.344,261,600.004,057,125.00TOTAL SWEDEN

2,800,000 ADRIA BIDCO REGS 7.875 13-20 15/11S EUR 106.906 2,993,368.00 0.942,962,350.00

THE NETHERLANDS

3,000,000 ALTICE REGS 7.25 14-22 15/05S EUR 99.387 2,981,610.00 0.943,064,800.002,500,000 CABLE COMM SYS REGS 7.50 13-20 01/11S EUR 106.888 2,672,200.00 0.842,637,250.003,000,000 CARLSON WAGNLIT REGS 7.50 12-19 15/06S EUR 104.929 3,147,870.00 0.993,162,900.002,250,000 FIAT CHRYSLER A 3.75 16-24 29/03A EUR 100.394 2,258,865.00 0.712,250,000.002,500,000 FLASH DUTCH 2 REGS 5.75 13-21 01/02S EUR 104.286 2,607,150.00 0.822,625,000.003,000,000 GRUPO ANTOLIN DUTCH 4.75 14-21 01/04S EUR 103.933 3,117,990.00 0.983,059,700.001,725,000 GRUPO ANTOLIN DUTCH 5.125 15-22 30/06S EUR 105.232 1,815,252.00 0.571,770,080.001,700,000 OI EUROPEAN GROUP BV 4.875 13-21 31/03S EUR 109.743 1,865,631.00 0.591,806,930.001,050,000 SCHAEFFLER FINANCE 3.50 14-22 15/05S EUR 103.595 1,087,747.50 0.341,058,610.004,000,000 SCHAEFFLER FINANCE 5.75 14-21 15/11S EUR 107.600 4,304,000.00 1.344,287,547.503,300,000 SM MTH AUTO GRP REGS 4.125 14-21 15/07S EUR 98.249 3,242,217.00 1.013,314,408.213,500,000 UPC HOLDING REGS 6.375 12-22 15/09S EUR 107.212 3,752,420.00 1.173,762,808.181,515,000 ZIGGO BOND CO 4.625 15-25 15/01S EUR 98.102 1,486,245.30 0.471,508,334.002,500,000 ZIGGO FIN REGS 3.75 15-25 15/01S EUR 98.107 2,452,675.00 0.772,437,500.00


2,900,000 ALIZE FINCO PLC 6.25 14-21 01/12S EUR 106.574 3,090,646.00 0.972,975,750.00

UNITED KINGDOM

2,400,000 EC FINANCE 144A REGS 5.125 14-21 15/07S EUR 104.989 2,519,736.00 0.792,498,666.281,340,000 EPHIOS BONDCO 8.25 15-23 01/07S EUR 101.264 1,356,937.60 0.431,340,002.253,300,000 EPHIOS BONDCO 6.25 15-22 01/07S EUR 106.078 3,500,574.00 1.103,292,895.001,500,000 INEOS FINANCE REGS 4.00 15-23 01/05S EUR 97.600 1,464,000.00 0.461,439,700.00

700,000 INTER GAME TECH REGS 4.75 15-23 15/02S EUR 101.601 711,207.00 0.22677,110.001,700,000 INTER GANE TECH REGS 4.125 15-20 15/02S EUR 102.611 1,744,387.00 0.551,695,920.001,700,000 INTEROUTE FINCO PLC 7.375 15-20 15/10S EUR 108.458 1,843,786.00 0.581,726,782.491,500,000 MERLIN ENTERTAINMENTS 2.75 15-22 15/03S EUR 99.764 1,496,460.00 0.471,425,786.253,500,000 TA MANUFACTURING REGS 3.625 15-23 15/04S EUR 87.869 3,075,415.00 0.973,363,250.003,350,000 TESCO CORP 2.50 14-24 01/07A EUR 95.658 3,204,543.00 1.013,128,887.252,600,000 VIRGIN MEDIA FIN 4.50 15-25 15/01S EUR 97.261 2,528,786.00 0.792,589,860.003,620,000 WORLDPAY FINANCE 3.75 15-22 15/11S EUR 103.824 3,758,428.80 1.173,675,050.00


3,100,000 ARDAGH REGS 4.25 14-22 15/01S EUR 101.864 3,157,784.00 0.993,087,600.00


1,300,000 BALL 3.50 15-20 15/12S EUR 106.635 1,386,255.00 0.431,316,250.001,600,000 BALL CORP 4.375 15-23 15/12S EUR 107.196 1,715,136.00 0.541,623,000.00

Ccy

215


BOND SUB-FUNDS




security

Marketvalue

(see notes)

% ofnet

assets

3,500,000 BELDEN REGS 5.50 13-23 15/04S EUR 100.565 3,519,775.00 1.113,572,968.002,085,000 CELANESE CORP 3.25 14-19 15/10S EUR 104.709 2,183,182.65 0.692,139,210.001,100,000 CEMEX FIN REGS 5.25 14-21 01/04S EUR 100.865 1,109,515.00 0.351,129,480.001,900,000 HUNTSMAN INT 5.125 14-21 15/04A EUR 99.157 1,883,983.00 0.591,956,850.001,000,000 HUNTSMAN INTL LLC 4.25 15-25 01/04S EUR 89.114 891,140.00 0.28935,000.002,500,000 IMS HEALTH REGS 4.125 15-23 01/04S EUR 98.835 2,470,875.00 0.782,411,150.002,800,000 KLOECKNER PENTA RE 7.125 15-20 01/11S EUR 104.907 2,937,396.00 0.922,852,977.652,800,000 ONEX WIZARD AC II 7.75 15-23 15/02S EUR 106.974 2,995,272.00 0.942,948,640.003,020,000 PSPC ESCROW REGS 6.00 15-23 01/02S EUR 83.654 2,526,350.80 0.793,046,274.002,350,000 SEALED AIR CORP RE 4.50 15-23 15/09S EUR 106.199 2,495,676.50 0.782,418,200.002,700,000 ZF NORTH AMERICA CAPITAL 2.75 15-23 27/04A EUR 100.606 2,716,362.00 0.852,585,790.00


TOTAL BONDS 89.29284,575,335.13283,294,378.30

3,400,000 AIR FRANCE KLM FL.R 15-XX 01/10A EUR 98.096 3,335,264.00 1.053,362,900.00

FRANCE


2,555,000 DRY MIX SOLUTIONS FL.R 14-21 15/06Q EUR 97.331 2,486,807.05 0.782,518,916.003,300,000 EUROFINS SCIENTIFIC FL.R 15-49 29/04A EUR 96.544 3,185,952.00 1.003,259,722.252,800,000 PICARD GROUPE REGS FL.R 13-19 01/08Q EUR 100.500 2,814,000.00 0.882,808,680.00

3.7111,822,023.0511,950,218.25TOTAL FRANCE

2,070,000 TWIN SET SIMBAR REGS FL.R 14-19 15/07Q EUR 93.458 1,934,580.60 0.611,873,350.00

ITALY

0.611,934,580.601,873,350.00TOTAL ITALY

1,200,000 EDP ENERGIAS SUB FL.R 15-75 16/09A EUR 98.254 1,179,048.00 0.371,100,750.00

PORTUGAL

0.371,179,048.001,100,750.00TOTAL PORTUGAL



93.98299,510,986.78298,218,696.55



TOTAL NET ASSETS 100.00318,680,176.76

Ccy

216


BOND SUB-FUNDS



March 31, 2016(in %)

France 23.39Luxembourg 15.39The Netherlands 12.48United States of America 10.04United Kingdom 9.51Germany 6.56Spain 3.28Ireland 2.67Italy 2.62Sweden 1.34Jersey 1.30Norway 1.13Japan 1.12Cayman Islands 1.03Canada 0.78Mexico 0.57Australia 0.40Portugal 0.37



93.98

% ofnet

assets

COUNTRIES

217


BOND SUB-FUNDS



March 31, 2016(in %)

Holding and finance companies 38.74Miscellaneous services 9.69Data transmission 8.56Packaging industries 5.80Road vehicles 4.12Chemicals 3.63Foodstuffs and non-alcoholic drinks 2.61Paper and timber 2.27Mechanical engineering and industrial equipment 2.22Electrotechnical and electronic industry 1.96Internet and software services 1.89Textiles and clothing industry 1.66Transportation 1.64Retail trade 1.62Hotels, restaurants and leisure 1.46Building and building materials 1.23Pharmaceutical and cosmetics industry 1.22Aeronautical and astronomical industry 0.97Healthcare, education & social services 0.78Oil 0.47Public, Non-profit Institutions 0.40Miscellaneous trading companies 0.38Energy and water supply 0.37Mining industry 0.29


assets



93.98

218


EQUITY SUB-FUNDS

EUROPE VALUE

STATEMENT OF OPERATIONS AND CHANGES IN NET ASSETSPeriod from April 1, 2015 to January 8, 2016

NET ASSETS AT THE BEGINNING OF THE PERIOD 2,274,793.99

INCOME

Income from investments: (see notes)- Dividends, net 67,377.81Bank interest, net 23.00

67,400.81

EXPENSES


Other expenses:- Annual tax (see notes) 833.97- Transaction fees (see notes) 10,423.10- Administration and other expenses (see notes) 22,296.42

63,979.43


Net realised result on:- Investments (see notes) 346,973.02- Foreign exchange 18,820.15


Change in net unrealised appreciation/(depreciation) on:- Investments (591,036.74)


(221,822.19)


Subscriptions of shares 361,436.83Redemptions of shares (2,414,408.63)

(2,052,971.80)

NET ASSETS AT THE END OF THE PERIOD 0.00

(in EUR)


219


EQUITY SUB-FUNDS

EUROPE VALUE


Period from April 1, 2015 to January 8, 2016



Date ShareClass

Number of shares

outstanding

NetAssets

Ccy Net assetvalue

per share

** Last valuation

14,029.2551 215.893,028,731.28Class A EUR03.31.14 EUR

8,929.3680 254.752,274,793.99Class A EUR03.31.15 EUR

9,412.1860 231.172,175,848.1701.08.16 Class A EUR** EUR

Class A EUR

Shares outstanding at the beginning of the period 8,929.3680





Highest 268.1507.20.15

Lowest 228.6109.29.15

At the end of the period 231.1701.08.16

**

SHARES

220


EQUITY SUB-FUNDS

RETURN PLUS


ASSETS


87,830,798.85


Other assets:- Unrealised gain on forward foreign exchange contracts (see notes) 1,059,554.47- Receivable on foreign exchange transactions 1,400,685.23

91,676,320.69

LIABILITIES

Other liabilities:- Payable on redemptions 81,067.50- Taxes and expenses payable 108,137.86- Payable on foreign exchange transactions 1,400,193.20- Payable for investments purchased 6,058,417.02- Unrealised loss on forward foreign exchange contracts (see notes) 796,306.71

8,444,122.29

NET ASSETS 83,232,198.40

(in EUR)


96.08111,585.7620


Class A CHF

96.94187,879.2750


Class A EUR

97.95164,303.6750


Class A USD

96.2438,953.0010


Class B CHF DIS

97.27605.2860


Class B EUR DIS

221


EQUITY SUB-FUNDS

RETURN PLUS


(in EUR)


98.001,690.3750


Class B USD DIS

96.0320,501.0000


Class D CHF

96.34200,001.0000


Class E CHF

97.3350,001.0000


Class E EUR

99.75150,001.0000


Class E USD

222


EQUITY SUB-FUNDS

RETURN PLUS



INCOME

Income from investments: (see notes)- Dividends, net 19,613.38Reversal of accruals (see notes) 18,914.86Other income 41,992.36

80,520.60

EXPENSES




650,722.04




Change in net unrealised appreciation/(depreciation) on:- Investments (702,985.79)- Forward foreign exchange contracts (392,279.45)


(5,243,922.07)



31,258,293.33


(in EUR)


223

EDMOND DE ROTHSCHILD FUND RETURN PLUS


Class A CHF






Highest 100.3004.15.15

Lowest 95.5312.23.15


SHARES

Class A EUR

17,175.8780

341,869.2080

(171,165.8110)

187,879.2750

EUR

100.5204.15.15

96.3412.28.15

96.94

Class A USD

24,748.1070

188,641.3810

(49,085.8130)

164,303.6750

USD

100.8004.15.15

97.1112.15.15

97.95

Class B CHF DIS

29,422.4430

29,628.0300

(20,097.4720)

38,953.0010

CHF

100.4404.15.15

95.6912.23.15

96.24

Class B EUR DIS

149,686.4980

205.2860

(149,286.4980)

605.2860

EUR

100.8104.15.15

96.6701.22.16

97.27

224



Class B USD DIS






Highest 100.8004.15.15

Lowest 97.1512.15.15


SHARES

Class D CHF

37,196.0000

20,500.0000

(37,195.0000)

20,501.0000

CHF

100.1804.15.15

95.4512.23.15

96.03

Class E CHF

200,000.0000

1.0000

(0.0000)

200,001.0000

CHF

100.3404.15.15

95.7212.23.15

96.34

Class E EUR

50,000.0000

1.0000

(0.0000)

50,001.0000

EUR

100.6504.15.15

96.6812.28.15

97.33

Class E USD

0.0000

150,001.0000

(0.0000)

150,001.0000

USD

100.0108.21.15

98.8212.15.15

99.75

225



The compound (synthetic) TER according to the SFAMA Directive was partly calculated based on the TER of the target funds. At the date of thepresent report, the Sub-Fund invests 55.89% of its assets into funds for which the TER was not available.


Class A CHF

1.09

Class A EUR

1.10

Class A USD

1.10

Class B CHF DIS

1.10


Class B EUR DIS

1.11

Class B USD DIS

1.09

Class D CHF

0.98

Class E CHF

0.88


Class E EUR

0.88

Class E USD

0.88

226


EQUITY SUB-FUNDS

RETURN PLUS



Date ShareClass

Number of shares

outstanding

NetAssets

Ccy Net assetvalue

per share

* First valuation

200,000.0000 100.0020,000,000.00Class E CHF01.22.15* CHF50,000.0000 100.005,000,000.00Class E EUR EUR

7,450.0000 99.97744,809.58Class A CHF02.03.15* CHF3,500.0000 99.82349,354.46Class A EUR02.04.15* EUR1,200.0000 99.96119,948.97Class B CHF DIS02.06.15* CHF

19,413.5600 99.761,936,675.46Class A USD02.10.15* USD100.0000 99.909,990.04Class B EUR DIS EUR113.5600 99.7611,328.66Class B USD DIS USD

21,000.0000 100.002,100,077.84Class D CHF03.16.15* CHF

150,000.0000 100.0115,001,105.67Class E USD08.21.15* USD

77,594.8970 99.967,756,691.06Class A CHF03.31.15 CHF17,175.8780 100.131,719,781.49Class A EUR EUR24,748.1070 100.392,484,571.50Class A USD USD29,422.4430 100.102,945,332.13Class B CHF DIS CHF

149,686.4980 100.4215,031,281.60Class B EUR DIS EUR2,284.8620 100.39229,375.01Class B USD DIS USD

37,196.0000 99.813,712,689.98Class D CHF CHF200,000.0000 100.0019,999,997.72Class E CHF CHF

50,000.0000 100.245,012,211.41Class E EUR EUR

111,585.7620 96.0810,721,514.65Class A CHF03.31.16 CHF187,879.2750 96.9418,212,825.08Class A EUR EUR164,303.6750 97.9516,093,932.55Class A USD USD

38,953.0010 96.243,749,000.06Class B CHF DIS CHF605.2860 97.2758,878.44Class B EUR DIS EUR

1,690.3750 98.00165,651.89Class B USD DIS USD20,501.0000 96.031,968,736.65Class D CHF CHF

200,001.0000 96.3419,267,319.46Class E CHF CHF50,001.0000 97.334,866,727.48Class E EUR EUR

150,001.0000 99.7514,962,103.17Class E USD USD

227


EQUITY SUB-FUNDS

RETURN PLUS





security

Marketvalue

(see notes)

% ofnet

assets

1,052,838 THRE DOLL BD - ACC CL.-1- RETAIL USD USD 1.702 1,574,586.12 1.891,583,349.28

UNITED KINGDOM






27,348 PETERCAM BONDS EUR-F EUR 82.060 2,244,176.88 2.702,222,590.09

BELGIUM


INVESTMENT FUNDS

2.702,244,176.882,222,590.09TOTAL BELGIUM

3,287 CPR 7-10 EURO FCP EUR 873.150 2,870,044.05 3.452,818,268.28

FRANCE

956 GROUPAMA ETAT EURO CT -I- CAP EUR 2,812.300 2,689,008.77 3.232,688,626.305,584 GROUPAMA ETAT MONDE -I- CAP EUR 654.040 3,651,910.82 4.393,570,948.33

11.079,210,963.649,077,842.91TOTAL FRANCE

46 AMUNDI TRESO EONIA ISR -I- CAP EUR 220,097.572 10,047,454.14 12.0710,046,472.87

IRELAND

452,425 BNY MELLON GLOBAL BOND FUND USD C USD 2.321 922,615.66 1.11929,145.7213.1810,970,069.8010,975,618.59TOTAL IRELAND

88,784 ABERDEEN GLOBAL II GLOBAL GOVERNMENTBOND FUND -J2- CAP

USD 8.561 667,752.67 0.80661,420.64

LUXEMBOURG

714 AGIF FLEXI ASIA BD-IT-USD CAP USD 1,089.580 683,335.03 0.82692,149.567,400 AXA WORLD FUNDS EM M BD -I- CAP USD 163.390 1,062,113.95 1.281,085,382.55

1 BNP PARIBAS INSTICASH -I- EUR CAP EUR 140.842 85.76 0.0085.8491,936 BNP PARIBAS INSTICASH -I- USD CAP USD 148.826 12,020,094.54 14.4512,347,352.68

3,684 CANDRIAM BD GL HY-I-FD EUR 195.100 718,756.20 0.86713,745.9118,729 CANDRIAM BONDS CREDIT OPPORTUNITIES I-A1

EUR CAPEUR 215.390 4,034,093.16 4.854,026,039.58

1,757 CANDRIAM BONDS EURO SHORT TERM -I- EUR EUR 2,175.220 3,821,644.02 4.593,806,903.631,088 CARMIGNAC PTF SICAV GLB BD CAP EUR 1,296.470 1,410,118.56 1.691,411,619.539,491 DEUTSCHE INVEST I EURO-GOV BONDS -FC- CAP EUR 195.750 1,857,861.29 2.231,833,944.009,594 EURIZON EASYFUND FCP BOND HIGH YIELD -Z- EUR 227.100 2,178,872.34 2.622,178,296.68

0 HSBC GLOBAL INVESTMENT FUNDS - EMERGINGMARKETS BOND -I- USD CAP

USD 36.942 0.04 0.000.04

2,049 ING L RENTA FD DOLLAR -P- CAP USD 1,164.110 2,095,796.85 2.522,107,460.7317,646 JPM EUROP HY BD-C-ACC-EUR-FD EUR 17.090 301,562.11 0.36301,209.20

1,206 JPMORGAN LIQUIDITY FUNDS - US DOLLARTREASURY LIQUIDITY -C- CAP

USD 10,134.940 10,737,293.60 12.9011,004,693.61

15,053 NN L EM DB LC PC -P- CAP USD 51.980 687,370.77 0.83687,131.281 NN (L) LIQUID-EUR -C- CAP EUR 1,249.490 767.19 0.00767.80

48,292 NORDEA 1 DANISH MTGE-BI-BASE-FD DKK 233.950 1,516,221.62 1.821,491,575.527,417 PICTET GL BDS -I EUR-CAP EUR 168.460 1,249,397.07 1.501,273,426.79

30,273 PICTET SICAV USD LIQUIDITY -I- CAP USD 135.559 3,605,170.90 4.333,762,222.47

Ccy

228


EQUITY SUB-FUNDS

RETURN PLUS



security

Marketvalue

(see notes)

% ofnet

assets

0 PIONEER FUNDS - EMERGING MARKETS BOND -A-USD CAP

USD 16.220 0.03 0.000.03

0 PIONEER FUNDS - EURO STRATEGIC BOND -A- EURCAP

EUR 92.290 0.09 0.000.09

7,923 ROBECO K GRW FD VAR EU CUR HY -D-EUR CAP EUR 192.030 1,521,465.21 1.831,505,887.9521,656 ROBECO LUX-O-RENTE -I- EUR- CAP EUR 160.220 3,469,762.77 4.173,442,259.35

150,792 SCHRODER INT SEL EME DBT ABS RET -C- CAP USD 30.030 3,978,112.85 4.783,955,689.417,195 SISF ASI LCL CU BD -C-CAP USD 126.560 799,966.38 0.96798,053.31


777,499 NEWTON INTERNATIONAL BOND FUND INST. GBP 2.772 2,718,598.81 3.272,726,321.43

UNITED KINGDOM

1,542,450 THREADNEEDLE INVESTMENT FUNDS -THREADNEEDLE GLOBAL BOND INSTITUTIONALGROSS

GBP 0.969 1,884,287.12 2.261,876,238.55

549,295 THREADNEEDLE INVESTMENT FUNDS -THREADNEEDLE STERLING BOND RETAIL GROSS

GBP 1.170 810,501.48 0.97826,675.50






TOTAL NET ASSETS 100.0083,232,198.40

Ccy

229


EQUITY SUB-FUNDS

RETURN PLUS


March 31, 2016(in %)

Luxembourg 70.19Ireland 13.18France 11.07United Kingdom 8.39Belgium 2.70


Other assets/(liabilities) and liquid assets (5.53)NET ASSETS 100.00

105.53

% ofnet

assets

COUNTRIES

230


EQUITY SUB-FUNDS

RETURN PLUS


March 31, 2016(in %)

Investment funds 105.53


assets


Other assets/(liabilities) and liquid assets (5.53)NET ASSETS 100.00

105.53

231


EQUITY SUB-FUNDS

INCOME EUROPE


ASSETS


112,868,383.96


Other assets:- Receivable on subscriptions 108,413.36- Interest receivable 1,333,738.44- Dividend receivable 37,110.73- Receivable for investments sold 765,582.83

119,999,207.41

LIABILITIES


Other liabilities:- Payable on redemptions 1,639,429.02- Taxes and expenses payable 401,135.19

2,040,590.72

NET ASSETS 117,958,616.69

(in EUR)


110.20289,002.1260


Class A EUR

102.3122,496.6110


Class B EUR DIS

102.221,097.8400


Class C EUR

111.73696,235.5750


Class IA EUR

106.6955,342.0000


Class ID EUR DIS

232


EQUITY SUB-FUNDS

INCOME EUROPE



INCOME


5,595,791.77

EXPENSES




1,740,911.99


Net realised result on:- Investments (see notes) (1,054,290.65)- Foreign exchange 49,122.73


Change in net unrealised appreciation/(depreciation) on:- Investments (4,144,924.69)


(1,295,212.83)



(5,620,718.82)



(in EUR)


233

EDMOND DE ROTHSCHILD FUND INCOME EUROPE


Class A EUR






Highest 113.7504.13.15

Lowest 102.5302.11.16


SHARES

Class B EUR DIS

10,464.0480

25,050.9190

(13,018.3560)

22,496.6110

EUR

110.2404.13.15

95.1802.11.16

102.31

Class C EUR

0.0000

1,102.3410

(4.5010)

1,097.8400

EUR

102.5703.14.16

95.0302.11.16

102.22

Class IA EUR

838,215.9990

58,483.5800

(200,464.0040)

696,235.5750

EUR

114.5704.13.15

103.8602.11.16

111.73

Class ID EUR DIS

24,602.0000

30,740.0000

(0.0000)

55,342.0000

EUR

111.2104.13.15

99.1702.11.16

106.69

234

EDMOND DE ROTHSCHILD FUND INCOME EUROPE


TER for Class C EUR is not representative.


Class A EUR

1.64

Class B EUR DIS

1.64

Class C EUR

-

Class IA EUR

0.95


Class ID EUR DIS

0.96

235


EQUITY SUB-FUNDS

INCOME EUROPE



Date ShareClass

Number of shares

outstanding

NetAssets

Ccy Net assetvalue

per share

* First valuation

965.7729 102.2498,742.82Class A EUR03.31.14 EUR1,071.0000 102.23109,493.22Class B EUR DIS EUR

221,030.0000 102.2422,598,036.18Class IA EUR EUR1.0000 102.29102.29Class ID EUR DIS EUR

1,101.3410 99.91110,036.74Class C EUR02.01.16* EUR


838,215.9990 112.8294,566,357.51Class IA EUR EUR24,602.0000 109.512,694,180.15Class ID EUR DIS EUR


1,097.8400 102.22112,217.68Class C EUR EUR696,235.5750 111.7377,792,555.76Class IA EUR EUR

55,342.0000 106.695,904,451.89Class ID EUR DIS EUR

236


EQUITY SUB-FUNDS

INCOME EUROPE





security

Marketvalue

(see notes)

% ofnet

assets

32,231 ONTEX GROUP NV EUR 28.815 928,736.27 0.79833,447.53

BELGIUM

EQUITIES


0.79928,736.27833,447.53TOTAL BELGIUM

190,100 NOKIA OYJ EUR 5.225 993,272.50 0.841,172,683.54

FINLAND

0.84993,272.501,172,683.54TOTAL FINLAND

25,256 ALSTOM SA EUR 22.465 567,376.04 0.48708,779.18

FRANCE

31,250 BOUYGUES EUR 35.850 1,120,312.50 0.951,055,775.1387,745 COFACE SA EUR 7.252 636,326.74 0.54929,603.9063,400 ENGIE EUR 13.640 864,776.00 0.731,056,978.17

3,275 EULER HERMES SA EUR 79.640 260,821.00 0.22279,616.8723,862 EUTELSAT COMMUNICATIONS SA EUR 28.390 677,442.18 0.57746,291.67

4,799 GAZTRANSPORT ET TECHNIGAZ SA EUR 28.760 138,019.24 0.12271,403.5125,200 KLEPIERRE SA EUR 42.100 1,060,920.00 0.90943,346.8818,018 KORIAN SA EUR 25.890 466,486.02 0.40567,686.4936,756 MERCIALYS SA EUR 20.395 749,638.62 0.64719,327.5056,170 M6 METROPOLE TELEVISION SA EUR 16.025 900,124.25 0.76983,858.9423,140 NEXITY SA -A- EUR 45.795 1,059,696.30 0.90903,431.0772,800 ORANGE EUR 15.395 1,120,756.00 0.95997,788.4313,425 PUBLICIS GROUPE EUR 61.710 828,456.75 0.70940,505.6815,363 SANOFI EUR 70.860 1,088,622.18 0.921,355,954.9256,400 SUEZ ENVIRONNEMENT COMPANY SA EUR 16.120 909,168.00 0.77909,732.0019,963 THALES EUR 77.000 1,537,151.00 1.311,013,918.5010,960 TOTAL SA EUR 40.060 439,057.60 0.37499,924.9214,370 VINCI SA EUR 65.470 940,803.90 0.80736,320.3927,959 VIVENDI SA EUR 18.480 516,682.32 0.44585,018.10

13.4715,882,636.6416,205,262.25TOTAL FRANCE

8,160 BAYER AG REG SHS EUR 103.300 842,928.00 0.711,059,785.06

GERMANY

7,506 DEUTSCHE EUROSHOP AG REG SHS EUR 41.280 309,847.68 0.26268,453.716,133 MUENCHENER RUECKVERSICHERUNGS AG REG SHS EUR 178.750 1,096,273.75 0.941,083,894.17

1.912,249,049.432,412,132.94TOTAL GERMANY

25,243 RYANAIR HLDGS EUR 14.165 357,567.10 0.30255,197.91

IRELAND

0.30357,567.10255,197.91TOTAL IRELAND

1,024,882 TELECOM ITALIA SPA EUR 0.948 971,588.14 0.821,005,808.41

ITALY

0.82971,588.141,005,808.41TOTAL ITALY

Ccy

237


EQUITY SUB-FUNDS

INCOME EUROPE



security

Marketvalue

(see notes)

% ofnet

assets

112,208 UNITED BUSINESS MEDIA LIMITED GBP 6.010 850,564.52 0.72788,027.79

JERSEY

43,043 WPP 2012 PLC GBP 16.270 883,281.34 0.75867,381.101.471,733,845.861,655,408.89TOTAL JERSEY

19,080 BOLSAS Y MERCADOS ESPANOLES SA EUR 28.350 540,918.00 0.46686,461.96

SPAIN

0.46540,918.00686,461.96TOTAL SPAIN

75,100 TELIASONERA AB SEK 42.170 342,819.55 0.29438,036.27

SWEDEN

0.29342,819.55438,036.27TOTAL SWEDEN

56,623 AHOLD EUR 19.770 1,119,436.71 0.95937,473.79

THE NETHERLANDS

203,000 KONINKLIJKE KPN NV EUR 3.683 747,649.00 0.63715,372.0033,204 ROYAL DUTCH SHELL PLC EUR 21.340 708,573.36 0.60932,833.6227,952 WOLTERS KLUWER EUR 35.080 980,556.16 0.83781,957.01


20,000 ASTRAZENECA PLC GBP 39.025 984,423.28 0.831,034,606.39

UNITED KINGDOM

89,437 BP PLC GBP 3.502 394,984.75 0.33541,980.8756,099 GLAXOSMITHKLINE PLC GBP 14.120 999,076.60 0.851,113,904.8992,400 INFORMA PLC GBP 6.940 808,798.64 0.69735,998.08


TOTAL EQUITIES 26.0630,743,931.9931,458,566.35

280,000 HORIZON HOLDINGS III 5.125 15-22 01/08S EUR 105.154 294,431.20 0.25281,229.50

AUSTRALIA

BONDS

0.25294,431.20281,229.50TOTAL AUSTRALIA

800,000 BOMBARDIER REGS EMTN 6.125 10-21 15/05S EUR 88.862 710,896.00 0.60747,426.73

CANADA

0.60710,896.00747,426.73TOTAL CANADA

300,000 UPCB FINANCE IV 4.00 15-27 15/01S EUR 97.447 292,341.00 0.25300,028.50

CAYMAN ISLANDS

700,000 VIRIDIAN GR II REGS 7.50 15-20 03/02S EUR 105.334 737,338.00 0.62706,095.790.871,029,679.001,006,124.29TOTAL CAYMAN ISLANDS

400,000 AXA SUB FL.R 14-XX 08/10A EUR 100.405 401,620.00 0.34391,552.25

FRANCE

800,000 BNP PARIBAS 7.781 08-XX 02/07A EUR 110.344 882,752.00 0.75934,634.50250,000 CERBA EUROPEAN LAB 7.00 13-20 01/02S EUR 104.595 261,487.50 0.22269,697.28725,000 DARTY FINANCE REGS 5.875 14-21 01/03S EUR 106.789 774,220.25 0.66758,927.25775,000 FAURECIA 3.125 15-22 15/06S EUR 99.117 768,156.75 0.65781,759.61

1,000,000 FIN GAILLON EMTN REGS 7.00 14-19 30/09S EUR 103.798 1,037,980.00 0.881,021,759.00500,000 HOLDIKKS REGS 6.75 14-21 15/07A EUR 98.766 493,830.00 0.42476,891.60500,000 HOMEVI REGS 6.875 14-21 15/08S EUR 106.518 532,590.00 0.45523,130.62520,000 HORIZON H.I 7.25 15-23 01/08S EUR 105.681 549,541.20 0.47524,056.75500,000 KERNEOS TEC REGS 5.75 14-21 01/03S EUR 101.778 508,890.00 0.43521,054.50830,000 LA FINANCIERE ATALIAN 7.25 13-20 15/01S EUR 107.451 891,843.30 0.76892,893.14610,000 LABEYRIE FINE FOODS 5.625 14-21 15/03S EUR 105.697 644,751.70 0.55633,777.25900,000 LOXAM SAS 4.875 14-21 23/07S EUR 105.221 946,989.00 0.80923,997.91500,000 LOXAM SAS 7.00 14-22 23/07S EUR 104.850 524,250.00 0.44511,302.25200,000 MACIF SUB 5.50 13-23 08/03A EUR 114.921 229,842.00 0.19224,600.00200,000 MEDI-PARTENAIRES 7.00 13-20 15/05S EUR 105.828 211,656.00 0.18208,480.00

1,000,000 NOVAFIVES SAS REGS 4.50 14-21 30/06S EUR 87.633 876,330.00 0.74984,875.94

Ccy

238


EQUITY SUB-FUNDS

INCOME EUROPE



security

Marketvalue

(see notes)

% ofnet

assets

900,000 NOVALIS SAS REGS 3.00 15-22 30/04S EUR 100.917 908,253.00 0.77900,047.02500,000 NUMERICABLE GRP REGS 5.375 14-22 15/05S EUR 102.138 510,690.00 0.43523,874.58300,000 PAPREC HLDG SUB REGS 7.375 15-23 01/04S EUR 92.545 277,635.00 0.24300,052.25700,000 PAPREC HOLDING REGS 5.25 15-22 01/04S EUR 97.645 683,515.00 0.58707,794.25500,000 PICARD BONDCO REGS 7.75 15-20 01/02S EUR 107.623 538,115.00 0.46522,289.25900,000 REXEL 3.25 15-22 15/06S EUR 100.964 908,676.00 0.77893,624.50400,000 SMCP SAS 8.875 13-20 15/06S EUR 106.032 424,128.00 0.36431,841.80

1,400,000 SPCM REGS 2.875 15-23 15/06S EUR 97.572 1,366,008.00 1.161,400,048.7713.7016,153,749.7016,262,962.27TOTAL FRANCE

600,000 FAENZA GMBH REGS 8.25 13-21 15/08S EUR 107.828 646,968.00 0.55650,302.25

GERMANY

500,000 HEIDELBERGER REG S 8.00 15-22 15/05S EUR 99.169 495,845.00 0.42515,052.25800,000 HP PELZER HLD REGS 7.50 14-21 15/07S EUR 105.717 845,736.00 0.71869,156.75700,000 PROGROUP AG REGS 5.125 15-22 01/05S EUR 105.480 738,360.00 0.63723,084.00162,000 UNITY MEDIA REGS 5.125 13-23 21/01S EUR 106.751 172,936.62 0.15163,074.88600,000 UNITYMEDIA HESSEN REGS4.00 14-25 15/01S EUR 102.369 614,214.00 0.52624,445.63300,000 WEPA HYGIENPROD REGS 6.50 13-20 15/05S EUR 105.941 317,823.00 0.27330,302.25

3.253,831,882.623,875,418.01TOTAL GERMANY

1,000,000 ARDEGH PKG REGS 9.25 10-20 15/10S EUR 104.795 1,047,950.00 0.891,074,349.00

IRELAND

950,000 EUROPCAR 5.75 15-22 15/06S EUR 104.911 996,654.50 0.84943,297.75330,000 SMURFIT KAPPA ACQ 4.125 13-20 30/01S EUR 110.651 365,148.30 0.31343,860.00

2.042,409,752.802,361,506.75TOTAL IRELAND

1,000,000 INTESA SAN PAOLO 8.375 09-XX 14/10A EUR 112.317 1,123,170.00 0.961,159,402.25

ITALY

37,000 KEDRION GROUP SPA 4.625 14-19 24/04A EUR 102.428 37,898.36 0.0337,132.86500,000 MEDIASET 5.125 13-19 24/01A EUR 109.591 547,955.00 0.46541,526.61200,000 PIAGGIO C REGS 4.625 14-21 30/04S EUR 103.930 207,860.00 0.18204,261.50200,000 TELECOM ITALIA SPA 4.875 13-20 25/09A EUR 114.055 228,110.00 0.19208,000.00

1.822,144,993.362,150,323.22TOTAL ITALY

300,000 SOFTBANK GROUP 4.00 15-27 30/01S EUR 105.450 316,350.00 0.27301,219.05

JAPAN

875,000 SOFTBANK GROUP CORP 4.75 15-25 30/07S EUR 102.957 900,873.75 0.76878,802.251.031,217,223.751,180,021.30TOTAL JAPAN

1,000,000 AVIS BUDGET CAR 6.00 13-21 01/03S EUR 104.088 1,040,880.00 0.891,068,912.25

JERSEY

800,000 LINCOLN FINANCE REGS 6.875 16-21 15/04S EUR 103.856 830,848.00 0.70811,000.001.591,871,728.001,879,912.25TOTAL JERSEY

300,000 ALBEA BEAUTY HOLDINGS 8.75 12-19 01/11S EUR 106.239 318,717.00 0.27325,134.50

LUXEMBOURG

1,000,000 ALTICE FINANCE REGS 5.25 15-23 15/02S EUR 102.709 1,027,090.00 0.871,030,712.08750,000 ALTICE FINANCING REGS 8.00 12-19 15/12S EUR 104.826 786,195.00 0.67813,454.92500,000 ALTICE FINCO REGS 6.25 15-25 15/02S EUR 90.635 453,175.00 0.38498,027.62500,000 ARCELORMITTAL 3.125 15-22 14/01A EUR 91.279 456,395.00 0.39506,992.39

1,000,000 AURIS LUXEMBOURG II 8.00 14-23 15/01S EUR 109.800 1,098,000.00 0.931,071,241.25300,000 CERBERUS NIGHTINGALE 8.25 15-20 01/02S EUR 101.025 303,075.00 0.26303,062.91106,216 CIRSA FUNGING 8.75 10-18 15/05S EUR 101.066 107,348.67 0.09111,816.27500,000 DAKAR FINANCE SA 9.00 15-20 15/11S EUR 98.316 491,580.00 0.42496,250.00170,000 DUFRY FINANCE SCA REGS4.50 15-23 01/08S EUR 105.320 179,044.00 0.15170,052.25101,429 ELIOR FINANCE REGS 6.50 13-20 01/05S EUR 105.796 107,307.37 0.09107,470.84700,000 FIAT FIN TRADE 6.75 13-19 14/10A EUR 114.280 799,960.00 0.68793,247.25450,000 GARFUNKELUX REGS 7.50 15-22 01/08S EUR 102.546 461,457.00 0.39450,052.25200,000 GESTAMP FUND LUX REGS 5.875 13-20 31/05S EUR 103.736 207,472.00 0.18214,068.17300,000 HEIDELBERGCEMENT FIN 3.25 13-20 21/10S EUR 108.163 324,489.00 0.28307,975.00

1,200,000 INEOS GRP REGS 5.75 14-19 15/02S EUR 102.553 1,230,636.00 1.031,228,552.25400,000 MATTERH TEL HOL REGS 4.875 15-23 01/05S EUR 87.932 351,728.00 0.30400,052.25

1,000,000 MATTERHORN REGS 3.875 15-22 01/05S EUR 94.303 943,030.00 0.801,000,052.25

Ccy

239


EQUITY SUB-FUNDS

INCOME EUROPE



security

Marketvalue

(see notes)

% ofnet

assets

500,000 PLAY FINANCE 2 SA 5.25 14-19 01/02S EUR 102.861 514,305.00 0.44522,604.50700,000 SWISSPORT 6.75 15-21 15/12S EUR 105.533 738,731.00 0.63718,100.00300,000 TELENET FINANCE 6.625 11-21 15/02S EUR 103.964 311,892.00 0.26327,720.00500,000 TELENET IV 4.875 15-27 15/07S EUR 99.739 498,695.00 0.42480,729.50

1,000,000 WIND ACQUI.FIN 4.00 14-20 15/07S EUR 99.504 995,040.00 0.84998,588.96900,000 WIND ACQUISITION FIN REGS 7.00 14-21 23/04S EUR 96.162 865,458.00 0.73943,245.75


800,000 CEMEX REGS 4.75 14-22 11/01S EUR 97.285 778,280.00 0.66813,828.00

MEXICO

500,000 CEMEX SAB DE CV 4.375 15-23 05/03S EUR 94.313 471,565.00 0.40499,229.501.061,249,845.001,313,057.50TOTAL MEXICO

900,000 CAMPOFRIO REGS 3.375 15-22 15/03S EUR 102.551 922,959.00 0.78913,600.12

SPAIN

500,000 CELLNEX TELECOM 3.125 15-22 27/07A EUR 98.961 494,805.00 0.42492,356.751,000,000 OBRASCON HUARTE LAIN 5.50 15-23 15/03S EUR 80.256 802,560.00 0.68889,713.78

1.882,220,324.002,295,670.65TOTAL SPAIN

1,000,000 VERISURE HLDG REGS 6.00 15-22 01/11S EUR 106.540 1,065,400.00 0.901,023,750.00

SWEDEN

0.901,065,400.001,023,750.00TOTAL SWEDEN

200,000 ADRIA BIDCO REGS 7.875 13-20 15/11S EUR 106.906 213,812.00 0.18206,000.00

THE NETHERLANDS

500,000 ALTICE REGS 7.25 14-22 15/05S EUR 99.387 496,935.00 0.42520,052.25300,000 CABLE COMM SYS REGS 7.50 13-20 01/11S EUR 106.888 320,664.00 0.27322,302.25150,000 CARLSON WAGNLIT REGS 7.50 12-19 15/06S EUR 104.929 157,393.50 0.13163,500.00500,000 FIAT CHRYSLER A 3.75 16-24 29/03A EUR 100.394 501,970.00 0.43500,000.00350,000 FLASH DUTCH 2 REGS 5.75 13-21 01/02S EUR 104.286 365,001.00 0.31370,302.25800,000 GRUPO ANTOLIN DUTCH 4.75 14-21 01/04S EUR 103.933 831,464.00 0.70836,523.60250,000 GRUPO ANTOLIN DUTCH 5.125 15-22 30/06S EUR 105.232 263,080.00 0.22250,052.25400,000 OI EUROPEAN GROUP BV 4.875 13-21 31/03S EUR 109.743 438,972.00 0.37438,652.25750,000 SM MTH AUTO GRP REGS 4.125 14-21 15/07S EUR 98.249 736,867.50 0.62760,559.00

1,200,000 UPC HOLDING REGS 6.375 12-22 15/09S EUR 107.212 1,286,544.00 1.101,298,778.50800,000 ZIGGO BOND CO 4.625 15-25 15/01S EUR 98.102 784,816.00 0.67825,156.75

1,200,000 ZIGGO FIN REGS 3.75 15-25 15/01S EUR 98.107 1,177,284.00 1.001,231,604.506.427,574,803.007,723,483.60TOTAL THE NETHERLANDS

500,000 ALIZE FINCO PLC 6.25 14-21 01/12S EUR 106.574 532,870.00 0.45514,500.00

UNITED KINGDOM

500,000 AVIVA PLC 3.375 15-45 04/12A EUR 90.715 453,575.00 0.38455,065.00400,000 INTER GAME TECH REGS 4.75 15-23 15/02S EUR 101.601 406,404.00 0.34404,904.85500,000 INTER GANE TECH REGS 4.125 15-20 15/02S EUR 102.611 513,055.00 0.43504,546.85500,000 INTEROUTE FINCO PLC 7.375 15-20 15/10S EUR 108.458 542,290.00 0.46511,478.75

1,200,000 TA MANUFACTURING REGS 3.625 15-23 15/04S EUR 87.869 1,054,428.00 0.901,208,684.01800,000 VIRGIN MEDIA FIN 4.50 15-25 15/01S EUR 97.261 778,088.00 0.67830,834.00700,000 WORLDPAY FINANCE 3.75 15-22 15/11S EUR 103.824 726,768.00 0.62701,875.00


1,000,000 ARDAGH REGS 4.25 14-22 15/01S EUR 101.864 1,018,640.00 0.861,026,374.50


400,000 BALL 3.50 15-20 15/12S EUR 106.635 426,540.00 0.36404,500.00400,000 BALL CORP 4.375 15-23 15/12S EUR 107.196 428,784.00 0.36405,175.00

1,100,000 BELDEN REGS 5.50 13-23 15/04S EUR 100.565 1,106,215.00 0.951,122,244.00500,000 CELANESE CORP 3.25 14-19 15/10S EUR 104.709 523,545.00 0.44523,180.87

1,000,000 HUNTSMAN INT 5.125 14-21 15/04A EUR 99.157 991,570.00 0.841,054,759.70500,000 HUNTSMAN INTL LLC 4.25 15-25 01/04S EUR 89.114 445,570.00 0.38498,449.50400,000 IMS HEALTH REGS 4.125 15-23 01/04S EUR 98.835 395,340.00 0.34400,032.15500,000 ONEX WIZARD AC II 7.75 15-23 15/02S EUR 106.974 534,870.00 0.45532,552.25750,000 PSPC ESCROW REGS 6.00 15-23 01/02S EUR 83.654 627,405.00 0.53779,220.94750,000 SEALED AIR CORP RE 4.50 15-23 15/09S EUR 106.199 796,492.50 0.68762,552.25

Ccy

240


EQUITY SUB-FUNDS

INCOME EUROPE



security

Marketvalue

(see notes)

% ofnet

assets

1,000,000 ZF NORTH AMERICA CAPITAL 2.75 15-23 27/04A EUR 100.606 1,006,060.00 0.85990,798.867.048,301,031.508,499,840.02TOTAL UNITED STATES OF AMERICA

TOTAL BONDS 58.2068,654,037.9769,551,817.71

500,000 BHP BILLITON FIN FL.R 15-79 22/10A EUR 103.327 516,635.00 0.44505,833.33

AUSTRALIA


0.44516,635.00505,833.33TOTAL AUSTRALIA

500,000 KBC GROEP SUB FL.R 14-XX 19/03Q EUR 97.594 487,970.00 0.41503,745.00

BELGIUM

0.41487,970.00503,745.00TOTAL BELGIUM

700,000 AIR FRANCE KLM FL.R 15-XX 01/10A EUR 98.096 686,672.00 0.58697,962.25

FRANCE

200,000 BNP PARIBAS 4.032 14-XX 25/11A EUR 97.114 194,228.00 0.16211,129.50500,000 BNP PARIBAS SUB FL.R 15-XX 17/06S EUR 95.820 479,100.00 0.41515,000.00400,000 CASA TIER 1 EUR FL.R 14-49 08/04Q EUR 98.051 392,204.00 0.33395,792.00600,000 CREDIT AGRICOLE FL.R 09-XX 26/10A EUR 115.300 691,800.00 0.59710,227.25200,000 CREDIT AGRICOLE SUB. FL.R 15-XX 13/01A EUR 95.788 191,576.00 0.16209,154.50500,000 DRY MIX SOLUTIONS FL.R 14-21 15/06Q EUR 97.331 486,655.00 0.41499,276.12400,000 EUROFINS SCIENTIFIC FL.R 15-49 29/04A EUR 96.544 386,176.00 0.33400,052.25600,000 SOCIETE GENE SA SUB FL.R 09-XX 04/09A EUR 118.605 711,630.00 0.61737,137.25200,000 SOGECAP SA FL.R 14-49 29/12A EUR 95.841 191,682.00 0.16204,339.50

3.744,411,723.004,580,070.62TOTAL FRANCE

1,000,000 ASSICURAZ GENERALI FL.R 15-47 27/10A EUR 103.431 1,034,310.00 0.881,002,786.00

ITALY

0.881,034,310.001,002,786.00TOTAL ITALY

500,000 ARCELORMITTAL FL.R 10-17 18/11A EUR 105.684 528,420.00 0.45553,134.83

LUXEMBOURG

822,000 UNICREDIT FINANCE FL.R 09-XX 10/12A EUR 109.250 898,035.00 0.76951,771.751.211,426,455.001,504,906.58TOTAL LUXEMBOURG

700,000 CAJA DE AHORROS SUB FL.R 15-25 28/07A EUR 93.391 653,737.00 0.55700,052.25

SPAIN

1,000,000 MAPFRE FL.R 07-37 24/07A EUR 102.926 1,029,260.00 0.881,070,604.501.431,682,997.001,770,656.75TOTAL SPAIN

600,000 UBS GROUP SUB FL.R 15-XX 19/02A EUR 101.080 606,480.00 0.51609,420.00

SWITZERLAND


500,000 ABN AMRO FL.R 15-XX 22/03S EUR 96.094 480,470.00 0.41462,500.00

THE NETHERLANDS

600,000 GENERALI FINANCE BV FL.R 07-XX 08/02A EUR 101.895 611,370.00 0.52630,646.75500,000 NN GROUP FL.R 14-XX 15/07A EUR 97.584 487,920.00 0.41496,927.25


800,000 HSBC HLDGS FL.R 15-XX 29/09S EUR 95.038 760,304.00 0.64800,000.00

UNITED KINGDOM




94.86111,904,603.96113,877,876.34

Ccy

241


EQUITY SUB-FUNDS

INCOME EUROPE



security

Marketvalue

(see notes)

% ofnet

assets

1,000,000 CNP ASSURANCES FL.R 15-47 10/06A EUR 96.378 963,780.00 0.82992,870.00

FRANCE



0.82963,780.00992,870.00TOTAL FRANCE


TOTAL OTHER TRANSFERABLE SECURITIES 0.82963,780.00992,870.00



TOTAL NET ASSETS 100.00117,958,616.69

Ccy

242


EQUITY SUB-FUNDS

INCOME EUROPE


March 31, 2016(in %)

France 31.73Luxembourg 12.71The Netherlands 10.77United Kingdom 7.59United States of America 7.04Germany 5.16Spain 3.77Italy 3.52Jersey 3.06Ireland 2.34Belgium 1.20Sweden 1.19Mexico 1.06Japan 1.03Cayman Islands 0.87Finland 0.84Australia 0.69Canada 0.60Switzerland 0.51



95.68

% ofnet

assets

COUNTRIES

243


EQUITY SUB-FUNDS

INCOME EUROPE


March 31, 2016(in %)

Holding and finance companies 28.74Data transmission 7.93Banks and other credit institutions 6.42Insurance 5.38Miscellaneous services 5.02Graphic industry and publishing houses 4.89Chemicals 4.56Building and building materials 3.49Pharmaceutical and cosmetics industry 3.12Electrotechnical and electronic industry 2.82Road vehicles 2.71Packaging industries 2.71Real estate 2.70Aeronautical and astronomical industry 2.21Internet and software services 1.80Energy and water supply 1.50Oil 1.42Retail trade 1.41Foodstuffs and non-alcoholic drinks 1.33Transportation 1.25Mechanical engineering and industrial equipment 1.20Mining industry 0.84Paper and timber 0.63Miscellaneous trading companies 0.46Textiles and clothing industry 0.42Healthcare, education & social services 0.34Public, Non-profit Institutions 0.25Hotels, restaurants and leisure 0.13


assets



95.68

244


EQUITY SUB-FUNDS

PREMIUMSPHERE


ASSETS


52,981,905.42


Other assets:- Receivable on subscriptions 18,914.49- Dividend receivable 30,880.87- Receivable for investments sold 285,417.77

56,061,266.55

LIABILITIES


605,899.53

NET ASSETS 55,455,367.02

(in EUR)


245


EQUITY SUB-FUNDS

PREMIUMSPHERE



Shares outstanding

Class A EUR


Shares outstanding

Class A USD


Shares outstanding

Class B EUR DIS


Shares outstanding

Class I EUR


Shares outstanding

Class J EUR DIS


Shares outstanding

Class K EUR


Shares outstanding

Class R EUR


(in EUR)

246


EQUITY SUB-FUNDS

PREMIUMSPHERE



INCOME

Income from investments: (see notes)- Dividends, net 1,394,712.76Other income 11.69

1,394,724.45

EXPENSES




2,502,730.50

NET OPERATING RESULT (1,108,006.05)

Net realised result on:- Investments (see notes) 2,812,751.32- Foreign exchange 2,872,731.53




(20,096,810.79)



(46,583,395.37)



(in EUR)


247

EDMOND DE ROTHSCHILD FUND PREMIUMSPHERE


Class A EUR






Highest 189.2104.10.15

Lowest 128.7502.11.16


SHARES

Class A USD

13,075.8700

5,120.0000

(8,864.6800)

9,331.1900

USD

141.7204.10.15

102.5001.20.16

117.38

Class B EUR DIS

762.0000

0.0000

(760.0000)

2.0000

EUR

170.6304.10.15

116.9702.11.16

133.15

Class I EUR

65,499.0320

11,160.0000

(63,929.1780)

12,729.8540

EUR

170.9404.10.15

117.2802.11.16

133.68

Class J EUR DIS

69.1660

0.0000

(0.0000)

69.1660

EUR

172.0404.10.15

117.0102.11.16

133.29

248



Class K EUR






Highest 187.7004.10.15

Lowest 129.0602.11.16


SHARES

Class R EUR

79.3450

0.0000

(0.0000)

79.3450

EUR

149.1004.10.15

101.1502.11.16

115.06

249




Class A EUR

2.48

Class A USD

2.30

Class B EUR DIS

2.08

Class I EUR

1.10


Class J EUR DIS

1.59

Class K EUR

1.22

Class R EUR

2.95

250


EQUITY SUB-FUNDS

PREMIUMSPHERE



Date ShareClass

Number of shares

outstanding

NetAssets

Ccy Net assetvalue

per share

* First valuation


1,001.0000 131.95132,080.10Class B EUR DIS EUR80,256.6710 131.6310,564,444.80Class I EUR EUR

1.0000 132.38132.38Class J EUR DIS EUR31,686.8020 132.674,203,941.43Class K EUR EUR

1.0000 115.20115.20Class R EUR EUR


762.0000 164.89125,649.08Class B EUR DIS EUR65,499.0320 165.1410,816,643.87Class I EUR EUR

69.1660 166.2111,496.24Class J EUR DIS EUR64.5110 181.3411,698.33Class K EUR EUR79.3450 144.1011,433.88Class R EUR EUR


2.0000 133.15266.29Class B EUR DIS EUR12,729.8540 133.681,701,762.28Class I EUR EUR

69.1660 133.299,219.32Class J EUR DIS EUR64.5110 147.379,507.03Class K EUR EUR79.3450 115.069,129.27Class R EUR EUR

251


EQUITY SUB-FUNDS

PREMIUMSPHERE





security

Marketvalue

(see notes)

% ofnet

assets

35,300 MICHAEL KORS HOLDINGS LTD USD 56.960 1,764,457.90 3.181,806,730.53


EQUITIES


3.181,764,457.901,806,730.53TOTAL BRITISH VIRGIN ISLANDS

291,500 STELLA INTERNATIONAL HOLDINGS LTD HKD 18.240 601,537.51 1.08638,341.71

CAYMAN ISLANDS


29,500 ACCOR SA EUR 37.240 1,098,580.00 1.981,091,783.08

FRANCE

7,510 CHRISTIAN DIOR EUR 159.400 1,197,094.00 2.16904,757.036,670 HERMES INTERNATIONAL SA EUR 309.450 2,064,031.50 3.721,804,948.46

20,040 KERING EUR 157.100 3,148,284.00 5.683,099,907.3213,740 LVMH EUR 150.500 2,067,870.00 3.731,727,501.06

17.279,575,859.508,628,896.95TOTAL FRANCE

25,370 BMW AG EUR 80.700 2,047,359.00 3.692,052,625.84

GERMANY

29,000 DAIMLER AG REG SHS EUR 67.370 1,953,730.00 3.521,721,284.6811,020 HUGO BOSS AG EUR 57.640 635,192.80 1.15996,561.0917,100 VOLKSWAGEN VORZ.AKT EUR 111.850 1,912,635.00 3.452,653,260.98

11.816,548,916.807,423,732.59TOTAL GERMANY

68,553 TATA MOTORS LTD ADR REPR 5 SHS USD 29.050 1,747,588.65 3.152,538,009.11

INDIA

3.151,747,588.652,538,009.11TOTAL INDIA

55,880 BRUNELLO CUCINELLI EUR 16.640 929,843.20 1.68918,399.10

ITALY

104,150 MONCLER SPA EUR 14.850 1,546,627.50 2.791,182,669.29420,400 PRADA SPA HKD 26.700 1,269,911.02 2.292,095,410.46

50,770 SALVATORE FERRAGAMO S.P.A. EUR 22.460 1,140,294.20 2.061,080,473.1015,710 TOD'S SPA EUR 62.600 983,446.00 1.771,193,874.56

10.595,870,121.926,470,826.51TOTAL ITALY

588,300 SAMSONITE INTERNATIONAL SA HKD 26.000 1,730,499.66 3.121,517,215.79

LUXEMBOURG


86,920 MELIA HOTELS EUR 10.340 898,752.80 1.62696,578.05

SPAIN

1.62898,752.80696,578.05TOTAL SPAIN

39,850 CIE FINANCIERE RICHEMONT NAMEN AKT CHF 63.550 2,320,703.32 4.192,582,496.57

SWITZERLAND

Ccy

252


EQUITY SUB-FUNDS

PREMIUMSPHERE



security

Marketvalue

(see notes)

% ofnet

assets

6,360 THE SWATCH GROUP CHF 333.100 1,941,366.32 3.502,359,005.817.694,262,069.644,941,502.38TOTAL SWITZERLAND

84,980 BURBERRY GROUP PLC GBP 13.650 1,463,047.23 2.641,606,380.98

UNITED KINGDOM

24,000 DIAGEO PLC GBP 18.815 569,540.27 1.03624,960.09482,168 JIMMY CHOO PLC GBP 1.281 779,034.13 1.401,137,146.83


15,600 AMERICAN EXPRESS CO COM. USD 61.400 840,542.32 1.521,106,955.18


6,200 APPLE INC USD 108.990 592,986.71 1.07492,618.1427,300 DECKERS OUTDOOR CORP USD 59.920 1,435,492.96 2.591,709,885.1322,400 HARLEY DAVIDSON INC USD 51.330 1,008,987.76 1.821,231,626.4215,060 L BRANDS USD 87.810 1,160,474.40 2.09805,320.9342,320 LAS VEGAS SANDS CORP USD 51.680 1,919,264.27 3.462,047,885.4949,500 MACYS USD 44.090 1,915,190.21 3.452,271,411.5416,060 POLARIS INDUSTRIES INC USD 98.480 1,387,906.45 2.501,868,617.1619,500 PVH CORP USD 99.060 1,695,116.49 3.061,826,423.8728,230 RALPH LAUREN -A- USD 96.260 2,384,642.89 4.303,548,896.5318,000 TIFFANY CO USD 73.380 1,159,089.11 2.091,420,921.8829,400 VF CORP USD 64.760 1,670,785.84 3.011,591,402.62


TOTAL EQUITIES 95.5452,981,905.4257,952,286.41


95.5452,981,905.4257,952,286.41



TOTAL NET ASSETS 100.0055,455,367.02

Ccy

253


EQUITY SUB-FUNDS

PREMIUMSPHERE


March 31, 2016(in %)

United States of America 30.96France 17.27Germany 11.81Italy 10.59Switzerland 7.69United Kingdom 5.07British Virgin Islands 3.18India 3.15Luxembourg 3.12Spain 1.62Cayman Islands 1.08



95.54

% ofnet

assets

COUNTRIES

254


EQUITY SUB-FUNDS

PREMIUMSPHERE


March 31, 2016(in %)

Textiles and clothing industry 42.55Road vehicles 18.13Retail trade 16.49Hotels, restaurants and leisure 7.06Holding and finance companies 4.19Clock and watchmaking industry 3.50Banks and other credit institutions 1.52Office supplies and computers 1.07Tobacco and alcohol 1.03


assets



95.54

255


EQUITY SUB-FUNDS

SELECTIVE EUROPE


ASSETS


36,818,287.59


Other assets:- Dividend receivable 37,010.76- Receivable for investments sold 161,581.74

38,890,659.01

LIABILITIES


225,332.27

NET ASSETS 38,665,326.74

(in EUR)


256


EQUITY SUB-FUNDS

SELECTIVE EUROPE



Shares outstanding

Class A EUR


Shares outstanding

Class A USD


Shares outstanding

Class B EUR DIS


Shares outstanding

Class C EUR


Shares outstanding

Class I EUR


Shares outstanding

Class J EUR DIS


Shares outstanding

Class K EUR


Shares outstanding

Class L GBP


Shares outstanding

Class R EUR


(in EUR)

257


EQUITY SUB-FUNDS

SELECTIVE EUROPE



INCOME

Income from investments: (see notes)- Dividends, net 939,044.84Reversal of accruals (see notes) 50,114.14

989,158.98

EXPENSES




1,045,037.82


Net realised result on:- Investments (see notes) (87,325.77)- Foreign exchange 471,333.70




(9,612,240.01)



(7,930,593.01)

DIVIDEND PAID (see notes) (372.47)


(in EUR)


258

EDMOND DE ROTHSCHILD FUND SELECTIVE EUROPE


Class A EUR






Highest 255.9704.27.15

Lowest 182.1102.11.16


SHARES

Class A USD

4,143.2250

111.0000

(3,567.1020)

687.1230

USD

117.4605.21.15

85.9502.11.16

95.86

Class B EUR DIS

2.0000

81.5630

(13.0000)

70.5630

EUR

145.8504.27.15

101.8202.11.16

113.05

Class C EUR

0.0000

392.5220

(86.0400)

306.4820

EUR

100.9803.14.16

88.9302.11.16

98.87

Class I EUR

454.0000

476.0000

(134.0000)

796.0000

EUR

26,689.2204.27.15

19,151.1002.11.16

21,290.36

259



Class J EUR DIS






Highest 153.7704.27.15

Lowest 108.4902.11.16


SHARES

Class K EUR

77,815.0510

0.0000

(13,077.6290)

64,737.4220

EUR

186.6604.27.15

133.5702.11.16

148.46

Class L GBP

8,081.8080

0.0000

(0.0000)

8,081.8080

GBP

1.0704.10.15

0.8402.11.16

0.94

Class R EUR

5,526.9430

331.1500

(1,372.8450)

4,485.2480

EUR

186.3104.27.15

132.1002.11.16

146.58

260



TER for Class C EUR is not representative.


Class A EUR

2.06

Class A USD

2.11

Class B EUR DIS

2.02

Class C EUR

-


Class I EUR

1.05

Class J EUR DIS

1.03

Class K EUR

1.21

Class L GBP

0.98


Class R EUR

2.46

261


EQUITY SUB-FUNDS

SELECTIVE EUROPE



Date ShareClass

Number of shares

outstanding

NetAssets

Ccy Net assetvalue

per share

* First valuation

158,513.1740 201.2731,904,049.67Class A EUR10.08.14* EUR5,926.4820 106.22629,490.19Class A USD USD1,148.7430 115.79133,011.51Class B EUR DIS EUR1,572.0000 20,880.7932,824,606.45Class I EUR EUR


1.0000 0.920.92Class L GBP GBP7,529.6600 146.791,105,257.20Class R EUR EUR

391.2660 99.3138,857.25Class C EUR02.01.16* EUR

117,865.9740 246.8229,091,419.21Class A EUR03.31.15 EUR4,143.2250 110.27456,873.21Class A USD USD

2.0000 140.62281.23Class B EUR DIS EUR454.0000 25,718.7611,676,318.87Class I EUR EUR

78.4230 148.1711,620.22Class J EUR DIS EUR77,815.0510 179.9013,998,837.76Class K EUR EUR

8,081.8080 1.038,342.21Class L GBP GBP5,526.9430 179.69993,130.64Class R EUR EUR

56,064.1790 202.1811,335,056.59Class A EUR03.31.16 EUR687.1230 95.8665,865.09Class A USD USD

70.5630 113.057,977.01Class B EUR DIS EUR306.4820 98.8730,300.68Class C EUR EUR796.0000 21,290.3616,947,126.29Class I EUR EUR

78.4230 120.619,458.67Class J EUR DIS EUR64,737.4220 148.469,610,601.68Class K EUR EUR

8,081.8080 0.947,573.84Class L GBP GBP4,485.2480 146.58657,453.93Class R EUR EUR

262


EQUITY SUB-FUNDS

SELECTIVE EUROPE





security

Marketvalue

(see notes)

% ofnet

assets

300,000 NOKIA OYJ EUR 5.225 1,567,500.00 4.051,922,763.47

FINLAND

EQUITIES


4.051,567,500.001,922,763.47TOTAL FINLAND

8,000 ARKEMA SA EUR 65.980 527,840.00 1.37395,953.72

FRANCE

12,000 ESSILOR INTERNATIONAL SA EUR 108.550 1,302,600.00 3.371,020,470.316,400 L'OREAL SA EUR 157.450 1,007,680.00 2.61804,636.21

1 L'OREAL-ACT REG PROV PRIM.FIDELITE 2013 EUR 157.450 157.45 0.00122.408,000 LVMH EUR 150.500 1,204,000.00 3.111,188,615.918,000 PERNOD RICARD SA EUR 98.000 784,000.00 2.03786,553.34

75,000 PEUGEOT SA EUR 15.060 1,129,500.00 2.92823,726.006,400 RENAULT SA EUR 87.320 558,848.00 1.45363,943.208,000 SANOFI EUR 70.860 566,880.00 1.47681,401.669,000 SCHNEIDER ELECTRIC SA EUR 55.540 499,860.00 1.29490,544.41

21,000 SOCIETE GENERALE SA EUR 32.480 682,080.00 1.76812,895.9430,000 ZODIAC AEROSPACE SA EUR 17.610 528,300.00 1.37727,889.49

22.758,791,745.458,096,752.59TOTAL FRANCE

6,000 ALLIANZ SE REG SHS EUR 142.950 857,700.00 2.22925,123.65

GERMANY

13,000 BAYER AG REG SHS EUR 103.300 1,342,900.00 3.461,389,531.1611,000 BEIERSDORF AG EUR 79.340 872,740.00 2.26718,280.2112,500 DAIMLER AG REG SHS EUR 67.370 842,125.00 2.18755,571.0210,000 HENKEL AG & CO KGAA EUR 96.900 969,000.00 2.511,038,404.26

5,070 LINDE AG EUR 128.050 649,213.50 1.68769,284.1514.315,533,678.505,596,194.45TOTAL GERMANY

8,000 KERRY GROUP -A- EUR 81.880 655,040.00 1.69601,161.40

IRELAND

1.69655,040.00601,161.40TOTAL IRELAND

1,800,000 TELECOM ITALIA SPA EUR 0.948 1,706,400.00 4.411,591,057.74

ITALY

4.411,706,400.001,591,057.74TOTAL ITALY

72,000 WPP 2012 PLC GBP 16.270 1,477,505.20 3.821,094,275.22

JERSEY

3.821,477,505.201,094,275.22TOTAL JERSEY

50,000 FERROVIAL SA EUR 18.885 944,250.00 2.44802,467.50

SPAIN

54,000 INDITEX SHARE FROM SPLIT EUR 29.565 1,596,510.00 4.131,195,731.836.572,540,760.001,998,199.33TOTAL SPAIN

Ccy

263


EQUITY SUB-FUNDS

SELECTIVE EUROPE



security

Marketvalue

(see notes)

% ofnet

assets

28,000 SKF AB -B- SEK 146.600 444,338.60 1.15628,969.11

SWEDEN

100,000 TELEFON AB L.M.ERICSSON SEK 81.300 880,060.62 2.28934,437.523.431,324,399.221,563,406.63TOTAL SWEDEN

8,000 NOVARTIS AG REG SHS CHF 69.700 510,973.65 1.32599,731.83

SWITZERLAND

6,760 ROCHE HOLDING AG GENUSSSCHEIN CHF 236.700 1,466,292.78 3.801,512,202.1720,000 UBS GROUP NAMEN-AKT CHF 15.490 283,894.62 0.73255,416.23


15,000 AIRBUS GROUP EUR 58.350 875,250.00 2.26723,364.33

THE NETHERLANDS

110,000 ING GROEP NV EUR 10.630 1,169,300.00 3.021,249,577.4079,000 ROYAL DUTCH SHELL PLC EUR 21.340 1,685,860.00 4.362,236,901.4746,000 UNILEVER NV EUR 39.385 1,811,710.00 4.691,608,521.87


13,000 ASTRAZENECA PLC GBP 39.025 639,875.13 1.65793,303.04

UNITED KINGDOM

95,600 BAE SYSTEMS PLC GBP 5.090 613,740.30 1.59667,766.3150,000 BURBERRY GROUP PLC GBP 13.650 860,818.57 2.23934,542.6725,000 DIAGEO PLC GBP 18.815 593,271.11 1.53602,234.3236,500 INTERCONTINENTAL HOTELS GR PLC GBP 28.710 1,321,706.50 3.421,073,637.7912,000 RECKITT BENCKISER GROUP PLC GBP 67.300 1,018,603.77 2.63965,840.6615,000 RIO TINTO PLC GBP 19.555 369,962.79 0.96567,780.08


TOTAL EQUITIES 95.2236,818,287.5936,254,631.00


95.2236,818,287.5936,254,631.00



TOTAL NET ASSETS 100.0038,665,326.74

Ccy

264


EQUITY SUB-FUNDS

SELECTIVE EUROPE


March 31, 2016(in %)

France 22.75The Netherlands 14.33Germany 14.31United Kingdom 14.01Spain 6.57Switzerland 5.85Italy 4.41Finland 4.05Jersey 3.82Sweden 3.43Ireland 1.69



95.22

% ofnet

assets

COUNTRIES

265


EQUITY SUB-FUNDS

SELECTIVE EUROPE


March 31, 2016(in %)

Pharmaceutical and cosmetics industry 16.48Data transmission 10.74Miscellaneous consumer goods 9.83Road vehicles 6.55Chemicals 6.51Textiles and clothing industry 5.34Aeronautical and astronomical industry 5.22Banks and other credit institutions 4.78Oil 4.36Retail trade 4.13Graphic industry and publishing houses 3.82Tobacco and alcohol 3.56Hotels, restaurants and leisure 3.42Transportation 2.44Insurance 2.22Foodstuffs and non-alcoholic drinks 1.69Electrotechnical and electronic industry 1.29Mechanical engineering and industrial equipment 1.15Non-ferrous metals 0.96Holding and finance companies 0.73


assets



95.22

266


EQUITY SUB-FUNDS

EUROPE SYNERGY


ASSETS


935,748,482.91


Other assets:- Receivable on subscriptions 8,561,552.82- Dividend receivable 2,063,359.64

982,187,813.78

LIABILITIES


Other liabilities:- Payable on redemptions 8,585,697.13- Taxes and expenses payable 4,814,511.44

13,438,088.46

NET ASSETS 968,749,725.32

(in EUR)


142.052,887,658.3187


Class A EUR

126.8754,868.1500


Class A USD

125.098,171.4570


Class B EUR DIS

103.9477.0000


Class C EUR

170.03749,866.8590


Class I EUR

267


EQUITY SUB-FUNDS

EUROPE SYNERGY


(in EUR)


129.1611,301.8560


Class J EUR DIS

171.041,709,057.0670


Class K EUR

1.29194,212.2220


Class L GBP

107.921,071,113.7220


Class N EUR

100.6876,900.0000


Class O EUR DIS

205.4930,425.8690


Class R EUR

108.672,728.5500


Class R USD

268


EQUITY SUB-FUNDS

EUROPE SYNERGY

STATEMENT OF OPERATIONS AND CHANGES IN NET ASSETSPeriod from January 22, 2016 to March 31, 2016


INCOME

Income from investments: (see notes)- Dividends, net 6,189,763.15

6,189,763.15

EXPENSES



Other expenses:- Annual tax (see notes) 66,640.04- Transaction fees (see notes) 1,393,633.49- Administration and other expenses (see notes) 166,090.62

4,537,248.43


Net realised result on:- Investments (see notes) 1,132,837.16- Foreign exchange 35,094.00


Change in net unrealised appreciation/(depreciation) on:- Investments 32,996,109.77


35,816,555.65



932,933,169.67


(in EUR)


269

EDMOND DE ROTHSCHILD FUND EUROPE SYNERGY

STATISTICAL INFORMATIONPeriod from January 22, 2016 to March 31, 2016

Class A EUR






Highest 143.5403.30.16

Lowest 127.7002.11.16


SHARES

Class A USD

0.0000

60,306.3360

(5,438.1860)

54,868.1500

USD

127.7503.30.16

113.5302.11.16

126.87

Class B EUR DIS

0.0000

9,331.5550

(1,160.0980)

8,171.4570

EUR

126.4103.30.16

112.4502.11.16

125.09

Class C EUR

0.0000

2,810.8760

(2,733.8760)

77.0000

EUR

105.0403.30.16

93.3502.11.16

103.94

Class I EUR

0.0000

898,814.3420

(148,947.4830)

749,866.8590

EUR

171.8203.30.16

152.6902.11.16

170.03

270



Class J EUR DIS






Highest 130.5203.30.16

Lowest 115.9802.11.16


SHARES

Class K EUR

0.0000

1,720,267.3880

(11,210.3210)

1,709,057.0670

EUR

172.8303.30.16

153.6702.11.16

171.04

Class L GBP

0.0000

326,706.4080

(132,494.1860)

194,212.2220

GBP

1.2903.23.16

1.1402.11.16

1.29

Class N EUR

0.0000

1,142,343.7220

(71,230.0000)

1,071,113.7220

EUR

109.0403.30.16

96.9102.11.16

107.92

Class O EUR DIS

0.0000

76,900.0000

(0.0000)

76,900.0000

EUR

101.7303.30.16

100.6803.31.16

100.68

271



Class R EUR






Highest 207.6603.30.16

Lowest 184.8202.11.16


SHARES

Class R USD

0.0000

2,869.0730

(140.5230)

2,728.5500

USD

109.4303.30.16

97.3002.11.16

108.67

272



TER for Class L GBP and Class O EUR are not representative.


Class A EUR

2.27

Class A USD

2.30

Class B EUR DIS

2.30

Class C EUR

0.36


Class I EUR

1.46

Class J EUR DIS

1.46

Class K EUR

1.17

Class L GBP

1.24


Class N EUR

0.79

Class O EUR DIS

-

Class R EUR

2.64

Class R USD

2.63

273


EQUITY SUB-FUNDS

EUROPE SYNERGY



Date ShareClass

Number of shares

outstanding

NetAssets

Ccy Net assetvalue

per share

* First valuation

3,168,768.2255 137.01434,156,707.40Class A EUR01.21.16* EUR60,280.2060 116.227,006,324.46Class A USD USD

9,050.5550 120.651,091,991.58Class B EUR DIS EUR2,809.8756 100.10281,287.39Class C EUR EUR

831,436.8710 163.73136,138,307.13Class I EUR EUR11,300.8560 124.371,405,550.72Class J EUR DIS EUR

1,719,263.3140 164.61283,018,429.22Class K EUR EUR326,705.4080 1.19390,443.58Class L GBP GBP

1,142,342.7220 103.78118,557,871.34Class N EUR EUR41,028.5760 198.338,137,588.03Class R EUR EUR

2,868.0730 99.62285,730.14Class R USD USD76,900.0000 101.737,822,939.88Class O EUR DIS03.30.16* EUR

2,887,658.3187 142.05410,179,707.95Class A EUR03.31.16 EUR54,868.1500 126.876,960,928.81Class A USD USD

8,171.4570 125.091,022,158.04Class B EUR DIS EUR77.0000 103.948,003.62Class C EUR EUR

749,866.8590 170.03127,502,726.80Class I EUR EUR11,301.8560 129.161,459,718.42Class J EUR DIS EUR

1,709,057.0670 171.04292,310,237.45Class K EUR EUR194,212.2220 1.29249,672.28Class L GBP GBP

1,071,113.7220 107.92115,589,294.79Class N EUR EUR76,900.0000 100.687,741,979.70Class O EUR DIS EUR30,425.8690 205.496,252,300.59Class R EUR EUR

2,728.5500 108.67296,515.47Class R USD USD

274


EQUITY SUB-FUNDS

EUROPE SYNERGY





security

Marketvalue

(see notes)

% ofnet

assets

8,107,000 NOKIA OYJ EUR 5.23 42,359,075.00 4.3753,019,780.00

FINLAND

EQUITIES


497,400 WARTSILA CORPORATION -B- EUR 39.77 19,781,598.00 2.0418,513,228.006.4162,140,673.0071,533,008.00TOTAL FINLAND

317,900 AEROPORTS DE PARIS-ADP- EUR 108.65 34,539,835.00 3.5731,373,551.00

FRANCE

185,170 ARKEMA SA EUR 65.98 12,217,516.60 1.2610,286,193.50315,060 ATOS EUR 71.58 22,551,994.80 2.3322,227,483.00

1,553,500 BOUYGUES EUR 35.85 55,692,975.00 5.7453,937,520.00399,100 REMY COINTREAU EUR 66.72 26,627,952.00 2.7524,943,750.00

1,966,200 VIVENDI SA EUR 18.48 36,335,376.00 3.7536,974,391.0019.40187,965,649.40179,742,888.50TOTAL FRANCE

372,900 ADIDAS NAMEN AKT EUR 103.00 38,408,700.00 3.9633,717,618.00

GERMANY

177,360 BEIERSDORF AG EUR 79.34 14,071,742.40 1.4514,080,610.40135,750 LANXESS AG EUR 42.24 5,734,080.00 0.595,022,750.00

1,766,452 METRO AG EUR 27.23 48,100,487.96 4.9744,346,777.4610.97106,315,010.3697,167,755.86TOTAL GERMANY

50,233,900 TELECOM ITALIA SPA EUR 0.95 47,621,737.20 4.9251,690,683.10

ITALY

4.9247,621,737.2051,690,683.10TOTAL ITALY

1,479,800 SKF AB -B- SEK 146.60 23,483,295.09 2.4220,152,160.14

SWEDEN

2.4223,483,295.0920,152,160.14TOTAL SWEDEN

297,900 ACTELION LTD NAMEN CHF 143.70 39,228,618.56 4.0535,344,759.56

SWITZERLAND


597,700 DSM KONINKLIJKE EUR 48.34 28,889,829.50 2.9825,736,962.00

THE NETHERLANDS

10,164,000 KONINKLIJKE KPN NV EUR 3.68 37,434,012.00 3.8732,880,540.001,068,820 ROYAL PHILIPS ELECTRONIC EUR 25.04 26,757,908.70 2.7624,240,837.60


1,219,000 BURBERRY GROUP PLC GBP 13.65 20,986,756.64 2.1718,355,844.33

UNITED KINGDOM

7,059,000 COBHAM PLC GBP 2.17 19,329,115.22 2.0022,374,550.081,057,000 DIAGEO PLC GBP 18.82 25,083,502.55 2.5925,669,806.851,037,967 INTERCONTINENTAL HOTELS GR PLC GBP 28.71 37,585,965.28 3.8830,364,974.27

13,473,000 ITV PLC GBP 2.41 40,987,420.07 4.2344,675,391.153,650,200 MARKS AND SPENCER GROUP PLC GBP 4.06 18,701,030.96 1.9319,902,814.41

Ccy

275


EQUITY SUB-FUNDS

EUROPE SYNERGY



security

Marketvalue

(see notes)

% ofnet

assets

7,256,000 MEGGITT PLC GBP 4.07 37,211,195.06 3.8433,091,226.333,645,900 SAGE GROUP GBP 6.29 28,924,400.58 2.9926,188,389.711,674,000 SMITH AND NEPHEW PLC GBP 11.48 24,238,531.88 2.5024,519,620.242,380,000 SMITHS GROUP -SHS- GBP 10.76 32,299,678.38 3.3327,399,373.123,597,428 STANDARD CHARTERED PLC GBP 4.73 21,441,188.13 2.2122,516,225.271,097,700 TULLOW OIL PLC GBP 1.97 2,726,078.45 0.281,852,198.513,741,000 UNITED UTILITIES GROUP PLC GBP 9.23 43,551,024.78 4.5044,508,959.13


TOTAL EQUITIES 94.23912,902,621.79879,908,968.16


94.23912,902,621.79879,908,968.16


FRANCE


INVESTMENT FUNDS

2.3622,845,861.1222,843,404.98TOTAL FRANCE





TOTAL NET ASSETS 100.00968,749,725.32

Ccy

276


EQUITY SUB-FUNDS

EUROPE SYNERGY


March 31, 2016(in %)

United Kingdom 36.45France 21.76Germany 10.97The Netherlands 9.61Finland 6.41Italy 4.92Switzerland 4.05Sweden 2.42



96.59

% ofnet

assets

COUNTRIES

277


EQUITY SUB-FUNDS

EUROPE SYNERGY


March 31, 2016(in %)

Data transmission 17.39Aeronautical and astronomical industry 9.17Retail trade 6.90Textiles and clothing industry 6.13Building and building materials 5.74Pharmaceutical and cosmetics industry 5.50Tobacco and alcohol 5.34Internet and software services 5.32Chemicals 4.83Energy and water supply 4.50Mechanical engineering and industrial equipment 4.46Hotels, restaurants and leisure 3.88Graphic industry and publishing houses 3.75Transportation 3.57Electronics and semiconductors 2.76Healthcare, education & social services 2.50Investment funds 2.36Banks and other credit institutions 2.21Oil 0.28


assets



96.59

278


EQUITY SUB-FUNDS

EUROPE VALUE & YIELD


ASSETS


579,481,962.87


Other assets:- Receivable on subscriptions 612,049.43- Dividend receivable 923,468.10

603,543,485.52

LIABILITIES

Other liabilities:- Payable on redemptions 252,410.67- Taxes and expenses payable 1,937,203.88

2,189,614.55

NET ASSETS 601,353,870.97

(in EUR)


110.832,421,461.5110


Class A EUR

129.6719,924.4520


Class A USD

78.95165,413.3920


Class B EUR DIS

155.98460,322.4160


Class I EUR

127.52864,758.6190


Class J EUR DIS

1.5114,002.0000


Class L GBP

279


EQUITY SUB-FUNDS



(in EUR)


108.81932,172.0590


Class N EUR

107.89313,304.3750


Class O EUR DIS

178.311,268.2130


Class R EUR

113.601,040.6980


Class R USD

280


EQUITY SUB-FUNDS




INCOME


3,757,084.76

EXPENSES




2,116,754.75






(689,137.59)



602,043,008.56


(in EUR)


281

EDMOND DE ROTHSCHILD FUND EUROPE VALUE & YIELD


Class A EUR






Highest 112.9403.14.16

Lowest 99.9002.11.16


SHARES

Class A USD

0.0000

21,320.0630

(1,395.6110)

19,924.4520

USD

130.8803.30.16

116.3502.11.16

129.67

Class B EUR DIS

0.0000

169,481.8290

(4,068.4370)

165,413.3920

EUR

80.4503.14.16

71.1602.11.16

78.95

Class I EUR

0.0000

540,364.1890

(80,041.7730)

460,322.4160

EUR

158.8703.14.16

140.4102.11.16

155.98

Class J EUR DIS

0.0000

895,235.6190

(30,477.0000)

864,758.6190

EUR

129.8903.14.16

114.7902.11.16

127.52

282



Class L GBP





NET ASSET VALUE PER SHARE GBP

Highest 1.5203.23.16

Lowest 1.3402.11.16


SHARES

Class N EUR

0.0000

932,172.0590

(0.0000)

932,172.0590

EUR

110.8103.14.16

97.9102.11.16

108.81

Class O EUR DIS

0.0000

313,304.3750

(0.0000)

313,304.3750

EUR

109.8803.14.16

97.0802.11.16

107.89

Class R EUR

0.0000

34,036.7150

(32,768.5020)

1,268.2130

EUR

181.7403.14.16

160.8102.11.16

178.31

Class R USD

0.0000

1,040.6980

(0.0000)

1,040.6980

USD

114.6603.30.16

101.9802.11.16

113.60

283




Class A EUR

2.02

Class A USD

2.04

Class B EUR DIS

2.03

Class I EUR

1.02


Class J EUR DIS

1.03

Class L GBP

0.84

Class N EUR

0.78

Class O EUR DIS

0.69


Class R EUR

2.32

Class R USD

2.43

284


EQUITY SUB-FUNDS




Date ShareClass

Number of shares

outstanding

NetAssets

Ccy Net assetvalue

per share

* First valuation


166,802.3820 79.2013,211,564.39Class B EUR DIS EUR468,287.6600 156.1573,127,633.35Class I EUR EUR871,993.2190 127.66111,325,528.08Class J EUR DIS EUR

14,201.0000 1.4320,319.98Class L GBP GBP846,587.0590 108.8692,165,157.94Class N EUR EUR303,824.7030 107.9332,793,825.03Class O EUR DIS EUR


2,421,461.5110 110.83268,364,667.59Class A EUR03.31.16 EUR19,924.4520 129.672,583,570.31Class A USD USD

165,413.3920 78.9513,058,840.10Class B EUR DIS EUR460,322.4160 155.9871,799,517.39Class I EUR EUR864,758.6190 127.52110,278,092.58Class J EUR DIS EUR

14,002.0000 1.5121,089.71Class L GBP GBP932,172.0590 108.81101,425,362.04Class N EUR EUR313,304.3750 107.8933,803,729.66Class O EUR DIS EUR

1,268.2130 178.31226,131.80Class R EUR EUR1,040.6980 113.60118,222.89Class R USD USD

285


EQUITY SUB-FUNDS






security

Marketvalue

(see notes)

% ofnet

assets

4,620,400 NOKIA OYJ EUR 5.23 24,141,590.00 4.0131,307,001.50

FINLAND

EQUITIES


329,780 SAMPO OYJ -A- EUR 41.74 13,765,017.20 2.2914,623,445.606.3037,906,607.2045,930,447.10TOTAL FINLAND

517,200 ACCOR SA EUR 37.24 19,260,528.00 3.2018,509,395.44

FRANCE

528,810 AXA SA EUR 20.69 10,941,078.90 1.8212,360,411.70671,170 CARREFOUR SA EUR 24.18 16,228,890.60 2.7016,706,267.92

1,421,716 CREDIT AGRICOLE SA EUR 9.52 13,531,892.89 2.2514,276,891.62108,480 MICHELIN SA REG SHS EUR 89.93 9,755,606.40 1.628,854,060.00

1,363,700 PEUGEOT SA EUR 15.06 20,537,322.00 3.4219,103,835.50230,880 SANOFI EUR 70.86 16,360,156.80 2.7216,923,898.80329,163 TOTAL SA EUR 40.06 13,186,269.78 2.1912,788,688.89402,890 VINCI SA EUR 65.47 26,377,208.30 4.4023,423,324.00

1,331,500 VIVENDI SA EUR 18.48 24,606,120.00 4.0925,078,085.5028.41170,785,073.67168,024,859.37TOTAL FRANCE

109,390 ALLIANZ SE REG SHS EUR 142.95 15,637,300.50 2.6016,605,527.50

GERMANY

230,860 DAIMLER AG REG SHS EUR 67.37 15,553,038.20 2.5915,190,791.00546,860 DEUTSCHE LUFTHANSA AG REG SHS EUR 14.21 7,768,146.30 1.297,564,367.20

1,519,260 DEUTSCHE TELEKOM AG REG SHS EUR 15.78 23,966,326.50 3.9823,884,980.9299,820 MUENCHENER RUECKVERSICHERUNGS AG REG SHS EUR 178.75 17,842,825.00 2.9717,559,543.50

130,090 SAP AG EUR 71.10 9,249,399.00 1.549,498,458.704,377,400 TELEFONICA NAMEN AKT EUR 4.76 20,840,801.40 3.4620,170,952.10

18.43110,857,836.90110,474,620.92TOTAL GERMANY

3,831,700 SNAM SPA EUR 5.51 21,093,508.50 3.5119,197,597.00

ITALY

3,386,200 TERNA SPA EUR 5.02 16,981,793.00 2.8215,819,074.006.3338,075,301.5035,016,671.00TOTAL ITALY

694,760 SVENSKA CELLULOSA SCA AB-SHS-B- SEK 253.70 19,079,953.67 3.1717,111,464.80

SWEDEN

2,886,800 TELIASONERA AB SEK 42.17 13,177,782.64 2.1912,176,000.545.3632,257,736.3129,287,465.34TOTAL SWEDEN

163,150 AIRBUS GROUP EUR 58.35 9,519,802.50 1.589,468,042.20

THE NETHERLANDS

2,107,234 CNH INDUSTRIAL NV EUR 5.98 12,590,723.15 2.0912,028,735.97142,560 HEINEKEN NV EUR 79.65 11,354,904.00 1.8910,712,191.60542,540 ROYAL DUTCH SHELL PLC EUR 21.34 11,577,803.60 1.9310,145,829.80


Ccy

286


EQUITY SUB-FUNDS




security

Marketvalue

(see notes)

% ofnet

assets

381,720 ASTRAZENECA PLC GBP 39.03 18,788,702.78 3.1221,525,789.95

UNITED KINGDOM

1,342,600 AVIVA PLC GBP 4.56 7,723,527.28 1.288,456,124.483,372,200 BAE SYSTEMS PLC GBP 5.09 21,649,111.43 3.6022,964,607.042,663,200 BT GROUP PLC GBP 4.41 14,796,488.62 2.4616,519,104.334,325,700 CENTRICA PLC GBP 2.28 12,423,054.68 2.0712,180,137.101,452,800 GLAXOSMITHKLINE PLC GBP 14.12 25,873,161.38 4.3126,630,629.621,241,800 PEARSON PLC GBP 8.75 13,704,673.02 2.2811,880,962.485,161,564 VODAFONE GROUP GBP 2.21 14,400,428.29 2.3915,090,008.06


TOTAL EQUITIES 93.83564,284,936.31566,336,226.36


93.83564,284,936.31566,336,226.36


FRANCE


INVESTMENT FUNDS

2.5315,197,026.5615,195,105.84TOTAL FRANCE





TOTAL NET ASSETS 100.00601,353,870.97

Ccy

287


EQUITY SUB-FUNDS



March 31, 2016(in %)

France 30.94United Kingdom 21.51Germany 18.43The Netherlands 7.49Italy 6.33Finland 6.30Sweden 5.36



96.36

% ofnet

assets

COUNTRIES

288


EQUITY SUB-FUNDS



March 31, 2016(in %)

Data transmission 18.49Insurance 10.96Pharmaceutical and cosmetics industry 10.15Energy and water supply 8.40Graphic industry and publishing houses 6.37Road vehicles 6.01Aeronautical and astronomical industry 5.18Building and building materials 4.40Oil 4.12Hotels, restaurants and leisure 3.20Paper and timber 3.17Retail trade 2.70Investment funds 2.53Banks and other credit institutions 2.25Mechanical engineering and industrial equipment 2.09Tobacco and alcohol 1.89Rubber and tyres 1.62Internet and software services 1.54Transportation 1.29


assets



96.36

289


EQUITY SUB-FUNDS

GLOBAL EMERGING


ASSETS


65,768,090.82


Other assets:- Receivable on subscriptions 122,397.83- Dividend receivable 235,470.90

68,473,825.44

LIABILITIES



625,626.45

NET ASSETS 67,848,198.99

(in EUR)


290


EQUITY SUB-FUNDS

GLOBAL EMERGING



Shares outstanding

Class A EUR


Shares outstanding

Class A USD


Shares outstanding

Class B EUR DIS


Shares outstanding

Class C EUR


Shares outstanding

Class I EUR


Shares outstanding

Class J EUR DIS


Shares outstanding

Class K EUR


Shares outstanding

Class R EUR


Shares outstanding

Class R USD


(in EUR)

291


EQUITY SUB-FUNDS

GLOBAL EMERGING



INCOME

Income from investments: (see notes)- Dividends, net 218,143.79Reversal of accruals (see notes) 180,773.16Other income 14,185.20

413,102.15

EXPENSES




315,394.29




Change in net unrealised appreciation/(depreciation) on:- Investments 5,318,126.11


5,499,292.56



62,348,906.43


(in EUR)


292

EDMOND DE ROTHSCHILD FUND GLOBAL EMERGING


Class A EUR






Highest 140.5503.22.16

Lowest 122.3002.11.16


SHARES

Class A USD

0.0000

36,056.5950

(1,425.0000)

34,631.5950

USD

103.9403.31.16

90.3002.12.16

103.94

Class B EUR DIS

0.0000

441.6140

(0.0000)

441.6140

EUR

98.7003.22.16

85.9702.11.16

98.27

Class C EUR

0.0000

100.0000

(0.0000)

100.0000

EUR

99.6803.23.16

98.6803.29.16

99.57

Class I EUR

0.0000

25,284.0000

(79.0000)

25,205.0000

EUR

106.7803.22.16

92.8402.11.16

106.33

293



Class J EUR DIS






Highest 104.8503.22.16

Lowest 91.4702.11.16


SHARES

Class K EUR

0.0000

49,216.9990

(3,332.0050)

45,884.9940

EUR

126.9903.22.16

110.8302.11.16

126.50

Class R EUR

0.0000

22,563.1460

(11,456.4050)

11,106.7410

EUR

108.9003.22.16

94.9502.11.16

108.46

Class R USD

0.0000

129.2050

(0.0000)

129.2050

USD

85.1803.31.16

74.2802.12.16

85.18

294



TER for all Classes are not representative.


Class A EUR

-

Class A USD

-

Class B EUR DIS

-

Class C EUR

-


Class I EUR

-

Class J EUR DIS

-

Class K EUR

-

Class R EUR

-


Class R USD

-

295


EQUITY SUB-FUNDS

GLOBAL EMERGING



Date ShareClass

Number of shares

outstanding

NetAssets

Ccy Net assetvalue

per share

* First valuation


440.6140 90.3039,787.46Class B EUR DIS EUR25,283.0000 97.502,465,122.33Class I EUR EUR

1.0000 96.0596.05Class J EUR DIS EUR49,215.9990 116.315,724,649.16Class K EUR EUR11,335.9610 99.741,130,668.22Class R EUR EUR

1.0000 76.7676.76Class R USD USD100.0000 99.689,967.60Class C EUR03.23.16* EUR


441.6140 98.2743,396.39Class B EUR DIS EUR100.0000 99.579,956.82Class C EUR EUR


45,884.9940 126.505,804,654.38Class K EUR EUR11,106.7410 108.461,204,591.74Class R EUR EUR

129.2050 85.1811,005.69Class R USD USD

296


EQUITY SUB-FUNDS

GLOBAL EMERGING





security

Marketvalue

(see notes)

% ofnet

assets

848,000 CHINA GAS HOLDINGS LTD HKD 11.44 1,097,542.13 1.62931,626.68

BERMUDA

EQUITIES


1,325,000 PAX GLOBAL TECH HKD 7.76 1,163,260.34 1.711,214,581.433.332,260,802.472,146,208.11TOTAL BERMUDA

18,300 ALIBABA GR ADR USD 79.03 1,269,140.45 1.871,028,682.19

CAYMAN ISLANDS

452,200 CHINA STATE CONSTRUCTION INTL HLDG LTD HKD 11.56 591,408.71 0.87626,981.513,744,000 CN MAPLE LEAF SHS UNITARY 144A/REGS HKD 4.92 2,084,012.24 3.071,759,112.82

183,000 ENN ENERGY HOLDINGS LTD HKD 42.55 880,947.40 1.30723,894.9143,300 JD COM ADR REPR 2SHS -A- USD 26.50 1,006,932.56 1.48957,759.9836,500 TAL EDUCAT GR - A- ADR REPR 2 SHS-A- USD 49.68 1,591,259.71 2.351,491,313.32

167,850 TENCENT HLDG HKD 158.40 3,007,986.24 4.432,781,504.9089,000 VIPSHOP HOLDINGS ADR 1/5 REPR USD 12.88 1,005,940.94 1.48902,499.21


38,600 ANDINA SPONS.ADR REPR.6 PFD -B- USD 19.07 645,958.49 0.95569,812.00

CHILE

0.95645,958.49569,812.00TOTAL CHILE

44,492 UNIWHEELS AG PLN 146.55 1,537,353.99 2.271,294,983.35

GERMANY

2.271,537,353.991,294,983.35TOTAL GERMANY

273,400 AIA GROUP LTD HKD 43.95 1,359,429.57 2.001,240,487.59

HONG KONG

558,000 CNOOC LTD -RC- HKD 9.16 578,267.78 0.85505,715.91454,500 TECHTRONIC INDUSTRIES CO LTD HKD 30.65 1,576,027.13 2.331,517,852.52

5.183,513,724.483,264,056.02TOTAL HONG KONG

37,900 GODREJ CONSUMER DEMATERIALISED INR 1,380.80 693,475.35 1.02661,476.05

INDIA

14,500 HOUSING DEVT FINANCE ADR REPR 3 SHS USD 61.63 784,199.90 1.16757,042.2285,100 ICICI BANK ADR REPR.2 SHS USD 7.16 534,698.78 0.79465,841.0738,900 INFOSYS TECHNOLOGIES ADR REPR.1 SHS USD 19.02 649,272.08 0.96605,658.0143,000 LARSEN TOUBRO GDR-GL.DEPOS.REC.REPR 1SH USD 18.05 681,102.19 1.00644,411.5427,100 MARUTI SUZUKI INR 3,716.30 1,334,569.20 1.971,330,617.62

402,000 MOTHERSON SUMI SYSTEMS LTD INR 266.45 1,419,393.52 2.091,344,181.824,380 SHREE CEMENTS LTD INR 12,420.50 720,898.68 1.06676,597.73

28,200 TATA MOTORS LTD ADR REPR 5 SHS USD 29.05 718,889.04 1.06623,039.4411.117,536,498.747,108,865.50TOTAL INDIA

974,000 BANK MANDIRI IDR 10,300.00 663,925.35 0.98654,477.99

INDONESIA

831,000 BANK RAKYAT INDONESIA IDR 11,425.00 628,319.16 0.93673,205.482,164,900 JASA MARGA -B- IDR 5,400.00 773,668.06 1.14839,876.32

Ccy

297


EQUITY SUB-FUNDS

GLOBAL EMERGING



security

Marketvalue

(see notes)

% ofnet

assets

4,730,000 KALBE FARMA IDR 1,445.00 452,326.53 0.67416,986.586,188,000 WASKITA KARYA IDR 2,005.00 821,084.31 1.20740,168.465,148,500 WIJAYA KARYA BETON TBK IDR 1,000.00 340,724.83 0.50328,922.79

5.423,680,048.243,653,637.62TOTAL INDONESIA

420,000 KAREX BHD MYR 3.80 358,978.40 0.53334,560.21

MALAYSIA

0.53358,978.40334,560.21TOTAL MALAYSIA

9,530 ASUR -B- ADR.REPR.SHS -B- USD 150.17 1,255,864.24 1.851,136,655.72

MEXICO

213,100 BKNY MELLON MEX-CERT BURSATILES FID IMM MXN 32.03 349,505.26 0.52305,093.5066,400 GRUMA SHS-B- MXN 273.71 930,619.33 1.37890,392.62

406,200 GRUPO LALA SAB DE CV -I- SERIE -B- MXN 47.08 979,241.24 1.44829,854.53221,600 IENOVA MXN 70.63 801,442.35 1.18787,851.44315,000 SANMEX -B- MXN 31.35 505,663.29 0.75431,896.92

7.114,822,335.714,381,744.73TOTAL MEXICO

48,820 AYALA CORP PHP 750.00 697,819.35 1.03638,234.80

PHILIPPINES

36,270 GT CAPITAL PHP 1,390.00 960,829.49 1.41869,133.36361,600 INTERNATIONAL CONTAINER TERMINAL SERVICE PHP 67.70 466,553.08 0.69399,555.38345,800 ROBINSONS RETAIL HOLDINGS INC PHP 74.00 487,686.44 0.72397,719.29

1,749,000 SM PRIME HOLDINGS INC PHP 21.95 731,658.30 1.08691,384.384.933,344,546.662,996,027.21TOTAL PHILIPPINES

20,410 MAGNIT GDR USD 39.95 715,527.62 1.05657,896.71

RUSSIA

77,600 MOBILE TELESYSTEMS ADR REPR.2 SHS USD 8.09 550,905.18 0.81484,673.58133,600 SBERBANK ADR 4 SHS USD 6.96 815,985.26 1.21647,049.13

3.072,082,418.061,789,619.42TOTAL RUSSIA

31,935 ASPEN PHARMACARE HOLDINGS PLC ZAR 320.18 610,062.25 0.90451,081.35

SOUTH AFRICA

54,000 MTN GROUP LTD ZAR 135.20 435,595.60 0.64427,854.8214,410 NASPERS -N- ZAR 2,061.00 1,771,964.44 2.611,565,935.28


6,290 HYUNDAI MOTOR CO LTD KRW 152,500.00 736,059.52 1.08629,292.92

SOUTH KOREA

36,160 KOREA ELECTRIC POWER CORP KRW 60,200.00 1,670,387.99 2.461,417,264.942,020 SAMSUNG ELECTRONICS CO LTD KRW 1,312,000.00 2,033,656.73 3.001,762,078.62

770 SAMSUNG ELECTRONICS CO LTD PFD SHS N/VTG KRW 1,107,000.00 654,079.88 0.96567,237.8250,190 TERA SEMICON CO LTD KRW 23,700.00 912,762.91 1.351,028,715.92

7,800 THE KOREA EXPRESS CO LTD KRW 190,000.00 1,137,209.94 1.681,190,933.9010.537,144,156.976,595,524.12TOTAL SOUTH KOREA

441,000 CHIPBOND TECHNOLOGY CORP TWD 52.00 625,271.81 0.92576,343.99

TAIWAN

83,148 ECLAT TEXTILE CO LTD TWD 423.50 960,134.64 1.421,010,519.44803,000 INOTERA MEMORIES INC TWD 29.15 638,235.59 0.94612,355.21

9,000 LARGAN PRECISION CO LTD TWD 2,495.00 612,265.77 0.90569,917.26679,000 PRIMAX ELECTRO TWD 37.75 698,897.76 1.03698,931.44806,600 TAIWAN SEMICONDUCTOR MANUFACTURING CO

LTTWD 162.00 3,562,871.42 5.253,173,310.09

10.467,097,676.996,641,377.43TOTAL TAIWAN

134,900 AIRPORTS THAILAND-UNITS NON-VOT DEP REC THB 402.00 1,352,723.35 1.991,279,132.10

THAILAND

28 HOME PRODUCT CENTER PCL THB 8.25 5.76 0.004.71393,000 PEGATRON TWD 75.10 804,747.07 1.19808,013.33

Ccy

298


EQUITY SUB-FUNDS

GLOBAL EMERGING



security

Marketvalue

(see notes)

% ofnet

assets

433,000 PTT EXPLORATION UNITS VRR THB 70.25 758,761.37 1.12651,443.934.302,916,237.552,738,594.07TOTAL THAILAND

55,100 YANDEX N.V. USD 15.32 740,759.07 1.09667,008.44

THE NETHERLANDS


55,400 COCA COLA ICECEK SANAYI A.S TRY 41.08 709,280.23 1.05530,109.31

TURKEY

1.05709,280.23530,109.31TOTAL TURKEY

TOTAL EQUITIES 92.3362,646,026.5957,428,747.83


92.3362,646,026.5957,428,747.83

6,328,255 MERRILL LYNCH (SAFARICOM) 07.07.16 WAR USD 0.16 888,526.87 1.31900,612.88

CURACAO

WARRANTS, RIGHTS


1.31888,526.87900,612.88TOTAL CURACAO

TOTAL WARRANTS, RIGHTS 1.31888,526.87900,612.88


13,051 EDR - EAST EUROPE -R- CAP 3DEC EUR 79.55 1,038,207.05 1.53919,964.99

FRANCE


INVESTMENT FUNDS

1.531,038,207.05919,964.99TOTAL FRANCE

62,100 DB X TRACKERS FTSE VIETNAM ETF -1C- CAP USD 21.93 1,195,330.31 1.761,200,639.01

LUXEMBOURG






TOTAL NET ASSETS 100.0067,848,198.99

Ccy

299


EQUITY SUB-FUNDS

GLOBAL EMERGING


March 31, 2016(in %)

Cayman Islands 16.85India 11.11South Korea 10.53Taiwan 10.46Mexico 7.11Indonesia 5.42Hong Kong 5.18Philippines 4.93Thailand 4.30South Africa 4.15Bermuda 3.33Russia 3.07Germany 2.27Luxembourg 1.76France 1.53Curacao 1.31The Netherlands 1.09Turkey 1.05Chile 0.95Malaysia 0.53



96.93

% ofnet

assets

COUNTRIES

300


EQUITY SUB-FUNDS

GLOBAL EMERGING


March 31, 2016(in %)

Electronics and semiconductors 13.97Internet and software services 7.96Road vehicles 6.38Foodstuffs and non-alcoholic drinks 5.93Banks and other credit institutions 5.59Healthcare, education & social services 5.42Transportation 5.36Holding and finance companies 5.03Energy and water supply 4.94Building and building materials 4.63Oil 3.59Electrotechnical and electronic industry 3.36Investment funds 3.29Graphic industry and publishing houses 2.61Retail trade 2.20Miscellaneous trading companies 2.09Insurance 2.00Aeronautical and astronomical industry 1.99Miscellaneous services 1.87Pharmaceutical and cosmetics industry 1.57Data transmission 1.45Textiles and clothing industry 1.42Mechanical engineering and industrial equipment 1.35Real estate 1.08Packaging industries 0.95Photographic and optical instruments 0.90


assets



96.93

301


EQUITY SUB-FUNDS

US VALUE & YIELD


ASSETS


779,859,715.96


Other assets:- Receivable on subscriptions 4,683,410.72- Interest receivable 94.21- Dividend receivable 1,145,377.53- Receivable for investments sold 3,184,472.54- Unrealised gain on forward foreign exchange contracts (see notes) 3,355,854.43

812,302,623.72

LIABILITIES

Bank overdraft:- Cash at sight 725,423.92- Cash at sight by the broker (see notes) 930,000.00

Other liabilities:- Payable on redemptions 3,388,417.36- Taxes and expenses payable 4,079,468.00- Payable for investments purchased 470,834.56- Unrealised loss on forward foreign exchange contracts (see notes) 150,613.55

9,744,757.39

NET ASSETS 802,557,866.33

(in EUR)


172.302,073,717.5910


Class A EUR

128.04371,530.4610


Class A EUR (H)

169.59426,573.9530


Class A USD

154.1859,427.6990


Class B EUR DIS

302


EQUITY SUB-FUNDS

US VALUE & YIELD


(in EUR)


206.12454,848.3350


Class I EUR

122.66389,872.4160


Class I EUR (H)

163.31622,056.8120


Class I USD

162.6911,702.0000


Class J EUR DIS

86.05250,002.0000


Class J EUR (H) DIS

256.05168,735.3000


Class K EUR

1.6124,876.0000


Class L GBP

88.8099,991.0000


Class N EUR

112.59173,571.0000


Class N USD

243.354,647.3020


Class R EUR

131.894,224.6230


Class R USD

303


EQUITY SUB-FUNDS

US VALUE & YIELD



INCOME


3,265,768.96

EXPENSES




4,477,345.78


Net realised result on:- Investments (see notes) 25,969,293.74- Foreign exchange (1,074,236.39)


Change in net unrealised appreciation/(depreciation) on:- Investments 59,665,911.84- Forward foreign exchange contracts 3,205,240.88


86,554,633.25



716,003,233.08


(in EUR)


304

EDMOND DE ROTHSCHILD FUND US VALUE & YIELD


Class A EUR






Highest 177.6603.07.16

Lowest 141.5702.11.16


SHARES

Class A EUR (H)

0.0000

456,146.2660

(84,615.8050)

371,530.4610

EUR

129.8403.21.16

104.7502.11.16

128.04

Class A USD

0.0000

700,977.0510

(274,403.0980)

426,573.9530

USD

171.8903.21.16

138.7102.11.16

169.59

Class B EUR DIS

0.0000

75,475.2180

(16,047.5190)

59,427.6990

EUR

158.9903.07.16

126.6902.11.16

154.18

Class I EUR

0.0000

582,454.6610

(127,606.3260)

454,848.3350

EUR

212.4003.07.16

169.1302.11.16

206.12

305



Class I EUR (H)






Highest 124.4103.21.16

Lowest 100.1102.11.16


SHARES

Class I USD

0.0000

1,718,356.4990

(1,096,299.6870)

622,056.8120

USD

165.4903.21.16

133.4002.11.16

163.31

Class J EUR DIS

0.0000

11,702.0000

(0.0000)

11,702.0000

EUR

167.6403.07.16

133.5002.11.16

162.69

Class J EUR (H) DIS

0.0000

250,002.0000

(0.0000)

250,002.0000

EUR

87.2303.21.16

70.3102.11.16

86.05

Class K EUR

0.0000

171,235.3000

(2,500.0000)

168,735.3000

EUR

263.8803.07.16

210.1602.11.16

256.05

306



Class L GBP





NET ASSET VALUE PER SHARE GBP

Highest 1.6503.22.16

Lowest 1.3102.11.16


SHARES

Class N EUR

0.0000

101,342.0000

(1,351.0000)

99,991.0000

EUR

91.4903.07.16

72.8502.11.16

88.80

Class N USD

0.0000

173,571.0000

(0.0000)

173,571.0000

USD

114.0903.21.16

100.6702.23.16

112.59

Class R EUR

0.0000

4,779.1920

(131.8900)

4,647.3020

EUR

250.9903.07.16

200.0602.11.16

243.35

Class R USD

0.0000

4,977.9660

(753.3430)

4,224.6230

USD

133.6903.21.16

107.9302.11.16

131.89

307



TER for Class N USD is not representative.


Class A EUR

2.05

Class A EUR (H)

2.06

Class A USD

2.07

Class B EUR DIS

2.08


Class I EUR

1.03

Class I EUR (H)

1.06

Class I USD

0.99

Class J EUR DIS

1.05


Class J EUR (H) DIS

1.05

Class K EUR

1.20

Class L GBP

0.76

Class N EUR

0.80


Class N USD

-

Class R EUR

2.45

Class R USD

2.39

308


EQUITY SUB-FUNDS

US VALUE & YIELD



Date ShareClass

Number of shares

outstanding

NetAssets

Ccy Net assetvalue

per share

* First valuation

2,425,095.8010 157.09380,971,272.94Class A EUR01.21.16* EUR406,992.2060 110.8245,104,412.24Class A EUR (H) EUR628,469.2730 146.8692,295,897.04Class A USD USD

73,114.8710 140.5810,278,838.60Class B EUR DIS EUR524,547.3890 187.5698,387,458.76Class I EUR EUR399,725.4160 105.9042,332,363.17Class I EUR (H) EUR

1,633,317.7030 141.15230,549,441.95Class I USD USD11,701.0000 148.041,732,275.03Class J EUR DIS EUR

250,001.0000 74.2518,563,206.43Class J EUR (H) DIS EUR170,908.3000 233.0739,834,954.02Class K EUR EUR

45,005.0000 1.4263,753.78Class L GBP GBP101,341.0000 80.778,185,591.32Class N EUR EUR


173,570.0000 102.9517,869,426.88Class N USD02.22.16* USD

2,073,717.5910 172.30357,297,174.15Class A EUR03.31.16 EUR371,530.4610 128.0447,571,812.43Class A EUR (H) EUR426,573.9530 169.5972,340,565.17Class A USD USD

59,427.6990 154.189,162,772.58Class B EUR DIS EUR454,848.3350 206.1293,751,229.35Class I EUR EUR389,872.4160 122.6647,823,698.55Class I EUR (H) EUR622,056.8120 163.31101,590,211.19Class I USD USD

11,702.0000 162.691,903,742.93Class J EUR DIS EUR250,002.0000 86.0521,511,462.46Class J EUR (H) DIS EUR168,735.3000 256.0543,205,291.34Class K EUR EUR

24,876.0000 1.6140,115.32Class L GBP GBP99,991.0000 88.808,879,486.43Class N EUR EUR

173,571.0000 112.5919,542,887.76Class N USD USD4,647.3020 243.351,130,905.31Class R EUR EUR4,224.6230 131.89557,166.18Class R USD USD

309


EQUITY SUB-FUNDS

US VALUE & YIELD





security

Marketvalue

(see notes)

% ofnet

assets

220,000 MICHAEL KORS HOLDINGS LTD USD 56.96 10,996,621.47 1.377,624,335.94


EQUITIES


1.3710,996,621.477,624,335.94TOTAL BRITISH VIRGIN ISLANDS

15,000,000 BOMBARDIER INC B CAD 1.32 13,433,291.50 1.6710,533,436.41

CANADA

1,900,000 TECK RESOURCES LTD -B- USD 7.61 12,688,341.89 1.586,582,898.333.2526,121,633.3917,116,334.74TOTAL CANADA

250,000 INGERSOLL-RAND USD 62.01 13,604,054.23 1.7011,278,699.12

IRELAND

1.7013,604,054.2311,278,699.12TOTAL IRELAND

2,000,000 AES CORP USD 11.80 20,709,929.36 2.5816,833,741.40


900,000 ALLEGHENY TECHNOLOGIES INC USD 16.30 12,873,502.70 1.606,893,333.95300,000 AMERICAN INTERNATIONAL GROUP INC USD 54.05 14,229,301.04 1.7715,330,530.78500,000 AXIALL USD 21.84 9,582,730.03 1.194,402,457.61

3,200,000 BANK OF AMERICA CORP USD 13.52 37,965,863.72 4.7339,615,573.35550,000 BANK OF NEW YORK MELLON CORP USD 36.83 17,775,876.44 2.2117,434,748.47110,000 CATERPILLAR INC USD 76.54 7,388,355.05 0.926,066,337.14420,000 CHEVRON CORP USD 95.40 35,161,247.86 4.3831,491,728.91

1,000,000 CISCO SYSTEMS INC USD 28.47 24,983,546.14 3.1121,157,666.19600,000 CIT GROUP USD 31.03 16,338,028.17 2.0417,101,676.91

1,060,000 CITIGROUP USD 41.75 38,835,505.24 4.8539,336,080.97170,000 CITRIX SYSTEMS USD 78.58 11,722,697.56 1.4610,275,234.43250,000 EXPRESS SCRIPTS USD 68.69 15,069,545.00 1.8816,609,691.87250,000 FLUOR CORP WHEN ISSUED USD 53.70 11,780,966.17 1.479,544,047.67

1,000,000 FORD MOTOR USD 13.50 11,846,781.62 1.4811,096,225.81600,000 GENERAL CABLE CORPORATION USD 12.21 6,428,853.49 0.805,919,263.18380,000 HALLIBURTON USD 35.72 11,911,368.52 1.4810,287,768.75150,000 IBM CORP USD 151.45 19,935,500.86 2.4817,033,769.11650,000 JOHNSON CONTROLS INC USD 38.97 22,228,511.25 2.7721,163,209.68730,000 JPMORGAN CHASE CO USD 59.22 37,936,553.90 4.7337,263,824.08

1,048,600 LOUISIANA PACIFIC CORP. USD 17.12 15,753,615.02 1.9614,590,396.83580,000 MACYS USD 44.09 22,440,612.52 2.8021,759,287.83

1,600,000 MARATHON OIL CORP USD 11.14 15,641,261.90 1.9513,095,560.44400,000 MERCK AND CO USD 52.91 18,572,243.43 2.3118,818,312.01

1,000,000 METLIFE INC USD 43.94 38,559,080.34 4.8039,451,194.171,750,000 MICRON TECHNOLOGY USD 10.47 16,078,715.28 2.0017,425,057.71

750,000 MOSAIC USD 27.00 17,770,172.44 2.2117,060,100.70450,000 NETAPP USD 27.29 10,776,622.35 1.348,876,518.69

1,600,000 ON SEMICONDUCTOR CORP USD 9.59 13,464,964.24 1.6812,402,642.401,250,000 OWENS-ILLINOIS INC USD 15.96 17,506,910.62 2.1814,637,071.12

650,000 PFIZER INC USD 29.64 16,906,673.69 2.1118,364,669.47470,000 QUALCOMM INC USD 51.14 21,092,361.02 2.6320,431,006.61750,000 QUANTA SERVICES INC USD 22.56 14,847,966.30 1.8512,237,261.51

Ccy

310


EQUITY SUB-FUNDS

US VALUE & YIELD



security

Marketvalue

(see notes)

% ofnet

assets

230,000 RALPH LAUREN -A- USD 96.26 19,428,546.36 2.4222,512,311.17650,000 REALOGY HOLDINGS CORP USD 36.11 20,597,165.55 2.5719,611,426.50

2,200,000 SPRINT SERIES -1- USD 3.48 6,718,441.49 0.845,081,535.54550,000 SUNTRUST BANKS INC USD 36.08 17,413,891.45 2.1718,324,017.19200,000 UNITED CONTINENTAL HOLDINGS INC USD 59.86 10,505,901.45 1.318,376,218.42230,000 UNITED TECHNOLOGIES CORP USD 100.10 20,203,589.14 2.5218,183,674.41

1,450,000 WHITING PETROLEUM CORP USD 7.98 10,154,008.16 1.278,079,261.3490.85729,137,406.87684,174,434.32TOTAL UNITED STATES OF AMERICA

TOTAL EQUITIES 97.17779,859,715.96720,193,804.12


97.17779,859,715.96720,193,804.12



TOTAL NET ASSETS 100.00802,557,866.33

Ccy

311


EQUITY SUB-FUNDS

US VALUE & YIELD


March 31, 2016(in %)

United States of America 90.85Canada 3.25Ireland 1.70British Virgin Islands 1.37



97.17

% ofnet

assets

COUNTRIES

312


EQUITY SUB-FUNDS

US VALUE & YIELD


March 31, 2016(in %)

Banks and other credit institutions 18.69Oil 9.08Holding and finance companies 7.80Office supplies and computers 6.93Insurance 6.57Electronics and semiconductors 5.53Pharmaceutical and cosmetics industry 4.42Mechanical engineering and industrial equipment 4.29Data transmission 4.27Road vehicles 4.25Retail trade 4.17Chemicals 3.40Mining industry 3.18Energy and water supply 2.58Aeronautical and astronomical industry 2.52Textiles and clothing industry 2.42Packaging industries 2.18Paper and timber 1.96Building and building materials 1.47Internet and software services 1.46


assets



97.17

313


EQUITY SUB-FUNDS

EUROPE FLEXIBLE


ASSETS


165,652,406.57


Other assets:- Receivable on subscriptions 59,449.57- Dividend receivable 171,501.16- Unrealised gain on futures (see notes) 465,874.78

188,714,645.12

LIABILITIES


Other liabilities:- Payable on redemptions 58,705.40- Taxes and expenses payable 1,384,371.44- Unrealised loss on futures (see notes) 445,325.81

2,273,571.24

NET ASSETS 186,441,073.88

(in EUR)


141.19827,281.3200


Class A EUR

105.273,189.1710


Class B EUR DIS

138.95190,828.2080


Class I EUR

110.5194.1090


Class J EUR DIS

123.66345,902.8570


Class K EUR

314


EQUITY SUB-FUNDS

EUROPE FLEXIBLE



INCOME


1,516,814.84

EXPENSES




1,149,021.11




Change in net unrealised appreciation/(depreciation) on:- Investments 5,518,375.94- Futures 20,548.97


5,217,618.79



181,223,455.09


(in EUR)


315

EDMOND DE ROTHSCHILD FUND EUROPE FLEXIBLE


Class A EUR






Highest 142.2703.30.16

Lowest 127.6002.11.16


SHARES

Class B EUR DIS

0.0000

3,189.1710

(0.0000)

3,189.1710

EUR

106.0703.30.16

95.5202.11.16

105.27

Class I EUR

0.0000

198,060.6380

(7,232.4300)

190,828.2080

EUR

140.0103.30.16

125.8502.11.16

138.95

Class J EUR DIS

0.0000

94.1090

(0.0000)

94.1090

EUR

111.3503.30.16

100.1802.11.16

110.51

Class K EUR

0.0000

356,022.5980

(10,119.7410)

345,902.8570

EUR

124.6503.30.16

111.3802.11.16

123.66

316

EDMOND DE ROTHSCHILD FUND EUROPE FLEXIBLE



Class A EUR

3.06

Class B EUR DIS

3.15

Class I EUR

2.26

Class J EUR DIS

2.48


Class K EUR

1.28

317


EQUITY SUB-FUNDS

EUROPE FLEXIBLE



Date ShareClass

Number of shares

outstanding

NetAssets

Ccy Net assetvalue

per share

* First valuation


186,715.6940 134.8625,181,697.49Class I EUR EUR1.0000 107.14107.14Class J EUR DIS EUR

351,441.5980 119.8142,108,256.25Class K EUR EUR

827,281.3200 141.19116,806,329.60Class A EUR03.31.16 EUR3,189.1710 105.27335,726.36Class B EUR DIS EUR


345,902.8570 123.6642,772,724.44Class K EUR EUR

318


EQUITY SUB-FUNDS

EUROPE FLEXIBLE





security

Marketvalue

(see notes)

% ofnet

assets

1,199,530 NOKIA OYJ EUR 5.23 6,267,544.25 3.367,847,208.20

FINLAND

EQUITIES


36,049 SAMPO OYJ -A- EUR 41.74 1,504,685.26 0.811,558,398.2725,290 WARTSILA CORPORATION -B- EUR 39.77 1,005,783.30 0.54941,293.80

4.718,778,012.8110,346,900.27TOTAL FINLAND

51,643 ACCOR SA EUR 37.24 1,923,185.32 1.031,711,893.90

FRANCE

19,330 AEROPORTS DE PARIS-ADP- EUR 108.65 2,100,204.50 1.131,907,677.7029,915 ARKEMA SA EUR 65.98 1,973,791.70 1.061,661,778.2518,071 ATOS EUR 71.58 1,293,522.18 0.691,274,909.0558,080 AXA SA EUR 20.69 1,201,675.20 0.641,281,535.2057,470 BOUYGUES EUR 35.85 2,060,299.50 1.111,995,358.4069,224 CARREFOUR SA EUR 24.18 1,673,836.32 0.901,647,531.20

160,240 CREDIT AGRICOLE SA EUR 9.52 1,525,164.32 0.821,449,050.3218,000 ESSILOR INTERNATIONAL SA EUR 108.55 1,953,900.00 1.051,965,902.1013,970 L'OREAL SA EUR 157.45 2,199,576.50 1.182,041,715.5012,000 LVMH EUR 150.50 1,806,000.00 0.971,717,927.8016,466 MICHELIN SA REG SHS EUR 89.93 1,480,787.38 0.791,317,609.3212,000 PERNOD RICARD SA EUR 98.00 1,176,000.00 0.631,208,425.09

287,225 PEUGEOT SA EUR 15.06 4,325,608.50 2.313,990,991.3813,220 REMY COINTREAU EUR 66.72 882,038.40 0.47826,250.00

9,000 RENAULT SA EUR 87.32 785,880.00 0.42699,930.0040,278 SANOFI EUR 70.86 2,854,099.08 1.533,002,148.24

8,000 SCHNEIDER ELECTRIC SA EUR 55.54 444,320.00 0.24380,760.0027,550 SOCIETE GENERALE SA EUR 32.48 894,824.00 0.48943,587.5037,137 TOTAL SA EUR 40.06 1,487,708.22 0.801,396,722.5744,030 VINCI SA EUR 65.47 2,882,644.10 1.552,564,747.50

220,250 VIVENDI SA EUR 18.48 4,070,220.00 2.184,141,801.2569,000 ZODIAC AEROSPACE SA EUR 17.61 1,215,090.00 0.651,248,900.00

22.6342,210,375.2240,377,152.27TOTAL FRANCE

21,840 ADIDAS NAMEN AKT EUR 103.00 2,249,520.00 1.211,974,772.80

GERMANY

19,429 ALLIANZ SE REG SHS EUR 142.95 2,777,375.55 1.492,833,748.7022,000 BAYER AG REG SHS EUR 103.30 2,272,600.00 1.222,270,729.8527,460 BEIERSDORF AG EUR 79.34 2,178,676.40 1.172,180,049.4042,180 DAIMLER AG REG SHS EUR 67.37 2,841,666.60 1.512,768,836.5161,258 DEUTSCHE LUFTHANSA AG REG SHS EUR 14.21 870,169.89 0.47848,729.59

161,330 DEUTSCHE TELEKOM AG REG SHS EUR 15.78 2,544,980.75 1.372,491,796.4014,500 HENKEL AG & CO KGAA EUR 96.90 1,405,050.00 0.751,357,552.9416,180 LANXESS AG EUR 42.24 683,443.20 0.37598,660.00

5,700 LINDE AG EUR 128.05 729,885.00 0.39699,675.0068,970 METRO AG EUR 27.23 1,878,053.10 1.011,731,491.8510,925 MUENCHENER RUECKVERSICHERUNGS AG REG SHS EUR 178.75 1,952,843.75 1.051,867,628.7515,393 SAP AG EUR 71.10 1,094,442.30 0.591,103,832.03

Ccy

319


EQUITY SUB-FUNDS

EUROPE FLEXIBLE



security

Marketvalue

(see notes)

% ofnet

assets

486,700 TELEFONICA NAMEN AKT EUR 4.76 2,317,178.70 1.242,163,868.2013.8425,795,885.2424,891,372.02TOTAL GERMANY

12,000 KERRY GROUP -A- EUR 81.88 982,560.00 0.53876,459.80

IRELAND

0.53982,560.00876,459.80TOTAL IRELAND

418,000 SNAM SPA EUR 5.51 2,301,090.00 1.232,076,624.00

ITALY

4,305,960 TELECOM ITALIA SPA EUR 0.95 4,082,050.08 2.204,400,754.89380,543 TERNA SPA EUR 5.02 1,908,423.15 1.021,779,419.07

4.458,291,563.238,256,797.96TOTAL ITALY

104,000 WPP 2012 PLC GBP 16.27 2,134,174.18 1.141,934,125.64

JERSEY

1.142,134,174.181,934,125.64TOTAL JERSEY

66,000 FERROVIAL SA EUR 18.89 1,246,410.00 0.671,285,108.33

SPAIN

75,000 INDITEX SHARE FROM SPLIT EUR 29.57 2,217,375.00 1.192,170,195.201.863,463,785.003,455,303.53TOTAL SPAIN

81,580 SKF AB -B- SEK 146.60 1,294,612.25 0.691,110,969.88

SWEDEN

76,909 SVENSKA CELLULOSA SCA AB-SHS-B- SEK 253.70 2,112,125.28 1.131,964,108.92156,490 TELEFON AB L.M.ERICSSON SEK 81.30 1,377,206.86 0.741,263,189.47326,130 TELIASONERA AB SEK 42.17 1,488,731.55 0.801,343,254.24

3.366,272,675.945,681,522.51TOTAL SWEDEN

10,350 ACTELION LTD NAMEN CHF 143.70 1,362,927.84 0.731,227,990.14

SWITZERLAND

8,590 NOVARTIS AG REG SHS CHF 69.70 548,657.96 0.29628,842.7610,000 ROCHE HOLDING AG GENUSSSCHEIN CHF 236.70 2,169,072.16 1.172,352,140.0730,000 UBS GROUP NAMEN-AKT CHF 15.49 425,841.92 0.23451,294.70


40,280 AIRBUS GROUP EUR 58.35 2,350,338.00 1.262,236,748.40

THE NETHERLANDS

239,031 CNH INDUSTRIAL NV EUR 5.98 1,428,210.23 0.771,323,036.5925,290 DSM KONINKLIJKE EUR 48.34 1,222,392.15 0.661,088,987.4015,544 HEINEKEN NV EUR 79.65 1,238,079.60 0.661,180,255.92

155,000 ING GROEP NV EUR 10.63 1,647,650.00 0.881,630,903.40452,500 KONINKLIJKE KPN NV EUR 3.68 1,666,557.50 0.891,463,837.50172,524 ROYAL DUTCH SHELL PLC EUR 21.34 3,681,662.16 1.983,070,477.17

28,910 ROYAL PHILIPS ELECTRONIC EUR 25.04 723,761.85 0.39655,678.8074,000 UNILEVER NV EUR 39.39 2,914,490.00 1.562,862,577.60



UNITED KINGDOM

149,140 AVIVA PLC GBP 4.56 857,952.37 0.46895,969.70495,200 BAE SYSTEMS PLC GBP 5.09 3,179,123.42 1.703,114,841.34300,450 BT GROUP PLC GBP 4.41 1,669,271.93 0.901,827,145.66123,680 BURBERRY GROUP PLC GBP 13.65 2,129,320.80 1.141,866,233.88471,972 CENTRICA PLC GBP 2.28 1,355,464.77 0.731,259,290.58258,600 COBHAM PLC GBP 2.17 708,104.43 0.38819,671.15

77,890 DIAGEO PLC GBP 18.82 1,848,395.47 0.991,882,706.88158,580 GLAXOSMITHKLINE PLC GBP 14.12 2,824,178.09 1.512,834,226.59

86,630 INTERCONTINENTAL HOTELS GR PLC GBP 28.71 3,136,970.80 1.682,541,835.09456,300 ITV PLC GBP 2.41 1,388,151.10 0.741,513,054.33169,420 MARKS AND SPENCER GROUP PLC GBP 4.06 867,987.69 0.47923,767.14241,400 MEGGITT PLC GBP 4.07 1,237,979.95 0.661,100,912.63

Ccy

320


EQUITY SUB-FUNDS

EUROPE FLEXIBLE



security

Marketvalue

(see notes)

% ofnet

assets

135,570 PEARSON PLC GBP 8.75 1,496,168.88 0.801,366,854.3818,000 RECKITT BENCKISER GROUP PLC GBP 67.30 1,527,905.66 0.821,439,386.1320,070 RIO TINTO PLC GBP 19.56 495,010.22 0.27438,253.10

195,400 SAGE GROUP GBP 6.29 1,550,187.30 0.831,403,552.3165,600 SMITH AND NEPHEW PLC GBP 11.48 949,849.28 0.51959,675.8984,610 SMITHS GROUP -SHS- GBP 10.76 1,148,267.14 0.62974,059.23

133,014 STANDARD CHARTERED PLC GBP 4.73 792,782.57 0.43832,531.808,920 TULLOW OIL PLC GBP 1.97 22,152.34 0.0115,051.12

169,500 UNITED UTILITIES GROUP PLC GBP 9.23 1,973,242.10 1.062,016,644.90588,100 VODAFONE GROUP GBP 2.21 1,640,760.80 0.881,641,718.36


TOTAL EQUITIES 83.09154,914,983.09150,821,431.69


83.09154,914,983.09150,821,431.69

(2,000) DJ EUR STOXX 50 JUN 3250 20.06.16 CALL EUR 12.70 (254,000.00) (0.14)(631,250.00)

GERMANY

OPTIONS


550 DJ EURO STOXX 50 APR 2850 18.04.16 PUT EUR 11.10 61,050.00 0.03511,705.70(550) DJ EURO STOXX 50 APR 2650 18.04.16 PUT EUR 1.90 (10,450.00) (0.01)(226,278.80)

(1,000) DJ EURO STOXX 50 SEP 2500 19.09.16 PUT EUR 60.20 (602,000.00) (0.32)(589,840.00)(1,000) DJ EURO STOXX 50 SEP 2650 19.09.16 PUT EUR 89.00 (890,000.00) (0.48)(1,071,480.00)

(750) DJ EURO STOXX 50 SEP 2700 19.09.16 PUT EUR 101.40 (760,500.00) (0.41)(699,750.00)1,000 DJ EURO STOXX 50 SEP 2900 19.09.16 PUT EUR 169.80 1,698,000.00 0.921,887,760.001,000 DJ EURO STOXX 50 SEP 2950 19.09.16 PUT EUR 192.20 1,922,000.00 1.041,759,000.00

750 DJ EURO STOXX 50 SEP 3000 19.09.16 PUT EUR 216.80 1,626,000.00 0.871,406,304.00(1,000) DJ EURO STOXX 50 SEP 3350 19.09.16 CALL EUR 26.70 (267,000.00) (0.14)(532,680.00)(1,500) DJ EURO STOXX 50 SEP 3450 19.09.16 CALL EUR 14.70 (220,500.00) (0.12)(600,031.50)

1,500 DJ EURO STOXX 50 SEP 4450 19.09.16 CALL EUR 0.20 3,000.00 0.005,749.50700 EUR STOXX 50 F DVD DEC 115 18.12.17 CALL EUR 3.25 227,500.00 0.12131,600.00

(700) EUR STOXX 50 F DVD DEC 120 18.12.17 CALL EUR 1.33 (93,100.00) (0.05)(46,900.00)1.312,440,000.001,303,908.90TOTAL GERMANY

TOTAL OPTIONS 1.312,440,000.001,303,908.90


300 EDR FUND - EUROPE SYNERGY I EUR EUR 170.03 51,009.00 0.0349,119.00

LUXEMBOURG


INVESTMENT FUNDS

100 EDR FUND - EUROPE VALUE & YIELD I EUR 155.98 15,598.00 0.0115,224.00382 EDR FUND SELECTIVE EUROPE I EUR EUR 21,546.64 8,230,816.48 4.417,944,347.04






TOTAL NET ASSETS 100.00186,441,073.88

Ccy

321


EQUITY SUB-FUNDS

EUROPE FLEXIBLE


March 31, 2016(in %)

France 22.63United Kingdom 19.10Germany 15.15The Netherlands 9.05Finland 4.71Luxembourg 4.45Italy 4.45Sweden 3.36Switzerland 2.42Spain 1.86Jersey 1.14Ireland 0.53



88.85

% ofnet

assets

COUNTRIES

322


EQUITY SUB-FUNDS

EUROPE FLEXIBLE


March 31, 2016(in %)

Data transmission 13.12Pharmaceutical and cosmetics industry 10.14Aeronautical and astronomical industry 5.27Insurance 4.45Investment funds 4.45Road vehicles 4.24Graphic industry and publishing houses 4.12Energy and water supply 4.04Chemicals 3.70Retail trade 3.57Textiles and clothing industry 3.32Miscellaneous consumer goods 3.13Oil 2.79Tobacco and alcohol 2.75Hotels, restaurants and leisure 2.71Building and building materials 2.66Banks and other credit institutions 2.61Transportation 2.27Internet and software services 2.11Mechanical engineering and industrial equipment 2.00Holding and finance companies 1.54Paper and timber 1.13Rubber and tyres 0.79Foodstuffs and non-alcoholic drinks 0.53Healthcare, education & social services 0.51Electronics and semiconductors 0.39Non-ferrous metals 0.27Electrotechnical and electronic industry 0.24


assets



88.85

323


EQUITY SUB-FUNDS

GLOBAL HEALTHCARE


ASSETS


398,726,888.76


Other assets:- Receivable on subscriptions 290,147.84- Dividend receivable 209,980.82- Receivable for investments sold 1,907,560.62

413,916,900.72

LIABILITIES

Other liabilities:- Payable on redemptions 1,520,380.94- Taxes and expenses payable 2,654,925.59- Payable for investments purchased 555,194.99

4,730,501.52

NET ASSETS 409,186,399.20

(in EUR)


863.28434,202.1850


Class A EUR

196.2328,882.5720


Class A USD

297.8592,226.2730


Class I EUR

263.58554.8460


Class K EUR

287.096,121.4750


Class R EUR

324


EQUITY SUB-FUNDS

GLOBAL HEALTHCARE



INCOME


3,312,318.89

EXPENSES




9,140,990.10






(81,775,837.04)



490,962,236.24


(in EUR)


325

EDMOND DE ROTHSCHILD FUND GLOBAL HEALTHCARE


Class A EUR






Highest 1,084.6307.20.15

Lowest 811.0602.11.16


SHARES

Class A USD

0.0000

47,575.5530

(18,692.9810)

28,882.5720

USD

234.9907.16.15

183.4702.08.16

196.23

Class I EUR

0.0000

111,086.9910

(18,860.7180)

92,226.2730

EUR

371.3807.20.15

279.4502.11.16

297.85

Class K EUR

0.0000

30,061.8440

(29,506.9980)

554.8460

EUR

328.3507.20.15

247.3602.11.16

263.58

Class R EUR

0.0000

9,550.4650

(3,428.9900)

6,121.4750

EUR

361.1507.20.15

269.8702.11.16

287.09

326

EDMOND DE ROTHSCHILD FUND GLOBAL HEALTHCARE



Class A EUR

2.07

Class A USD

2.10

Class I EUR

1.22

Class K EUR

1.25


Class R EUR

2.48

327


EQUITY SUB-FUNDS

GLOBAL HEALTHCARE



Date ShareClass

Number of shares

outstanding

NetAssets

Ccy Net assetvalue

per share

* First valuation

457,734.5100 1,022.84468,191,364.40Class A EUR07.02.15* EUR38,836.5250 226.278,787,586.08Class A USD USD93,220.9290 350.0932,635,485.65Class I EUR EUR30,059.2070 309.549,304,574.82Class K EUR EUR

7,906.5170 340.632,693,215.58Class R EUR EUR

434,202.1850 863.28374,839,910.53Class A EUR03.31.16 EUR28,882.5720 196.235,667,593.14Class A USD USD92,226.2730 297.8527,469,268.17Class I EUR EUR

554.8460 263.58146,249.08Class K EUR EUR6,121.4750 287.091,757,435.25Class R EUR EUR

328


EQUITY SUB-FUNDS

GLOBAL HEALTHCARE





security

Marketvalue

(see notes)

% ofnet

assets

101,200 GALAPAGOS GENOMICS NV EUR 36.990 3,743,388.00 0.914,486,643.81

BELGIUM

EQUITIES


0.913,743,388.004,486,643.81TOTAL BELGIUM

2,850,000 3SBIO UNITARY 144A/REG S HKD 10.460 3,372,685.67 0.822,873,486.57

CAYMAN ISLANDS


10,300,000 SHANDONG WEIGAO GRP -H- HKD 4.940 5,756,566.11 1.416,429,406.17

CHINA

1.415,756,566.116,429,406.17TOTAL CHINA

85,800 GENMAB AS DKK 907.500 10,451,055.66 2.559,784,116.69

DENMARK

119,000 NOVO NORDISK DKK 355.200 5,673,435.97 1.395,918,365.703.9416,124,491.6315,702,482.39TOTAL DENMARK

235,490 SANOFI EUR 70.860 16,686,821.40 4.0820,977,449.20

FRANCE

4.0816,686,821.4020,977,449.20TOTAL FRANCE

110,690 BAYER AG REG SHS EUR 103.300 11,434,277.00 2.7914,046,561.00

GERMANY

2.7911,434,277.0014,046,561.00TOTAL GERMANY

68,700 ALLERGAN USD 268.030 16,158,712.65 3.9518,748,467.12

IRELAND

273,900 ENDO INTERNATIONAL USD 28.150 6,766,078.72 1.6511,913,864.30158,370 MEDTRONIC HLD USD 75.000 10,423,193.37 2.5510,475,879.63

71,200 PERRIGO COMPANY PLC USD 127.930 7,993,169.23 1.9511,244,206.4310.1041,341,153.9752,382,417.48TOTAL IRELAND

217,230 NOVARTIS AG REG SHS CHF 69.700 13,874,850.86 3.3919,408,088.90

SWITZERLAND

72,610 ROCHE HOLDING AG GENUSSSCHEIN CHF 236.700 15,749,632.99 3.8518,460,874.217.2429,624,483.8537,868,963.11TOTAL SWITZERLAND

306,200 QIAGEN NV EUR 19.580 5,995,396.00 1.476,837,031.32

THE NETHERLANDS



UNITED KINGDOM


Ccy

329


EQUITY SUB-FUNDS

GLOBAL HEALTHCARE



security

Marketvalue

(see notes)

% ofnet

assets

100,000 AMGEN INC USD 149.930 13,156,947.92 3.2213,801,611.96


81,600 ANTHEM USD 138.990 9,952,686.59 2.4311,654,188.1661,900 BIOGEN IDEC INC USD 260.320 14,140,501.07 3.4621,329,098.46

200,000 BRISTOL-MYERS SQUIBB CO USD 63.880 11,211,443.11 2.7411,321,463.11233,500 CELGENE CORP USD 100.090 20,508,986.00 5.0124,778,078.85180,573 CENTENE USD 61.570 9,756,377.18 2.3811,410,252.01100,000 EXPRESS SCRIPTS USD 68.690 6,027,818.00 1.478,036,381.64295,000 GILEAD SCIENCES INC USD 91.860 23,780,176.39 5.8129,800,654.03

40,000 HUMANA INC USD 182.950 6,421,833.18 1.576,932,610.72265,600 IMS HEALTH HOLDINGS INC USD 26.550 6,188,126.89 1.516,662,865.21141,100 INCYTE CORP USD 72.470 8,973,293.84 2.1912,517,544.91200,000 IONIS PHARMACEUTICALS NEW USD 40.500 7,108,068.97 1.749,803,244.44131,900 JOHNSON AND JOHNSON USD 108.200 12,523,873.46 3.0611,692,769.60462,100 MEDIVATION USD 45.980 18,645,393.36 4.5617,911,282.81308,300 MERCK AND CO USD 52.910 14,314,556.62 3.5016,011,221.58189,600 PERKINELMER USD 49.460 8,229,227.33 2.018,919,540.73538,100 PFIZER INC USD 29.640 13,996,124.79 3.4216,170,378.67

20,000 REGENERON PHARMACEUTICALS INC USD 360.440 6,326,005.88 1.559,204,916.93600,000 RITE AID CORP USD 8.150 4,291,167.57 1.054,533,297.31

43,600 TELEFLEX INC USD 157.010 6,007,315.17 1.475,334,320.3290,600 THERMO FISHER SCIEN SHS USD 141.590 11,257,122.55 2.7510,684,019.9958,500 UNITEDHEALTH GROUP INC USD 128.900 6,617,217.32 1.626,417,114.68

188,300 VERTEX PHARMACEUTICALS INC USD 79.490 13,134,980.47 3.2120,171,353.3261.73252,569,243.66295,098,209.44TOTAL UNITED STATES OF AMERICA

TOTAL EQUITIES 97.44398,726,888.76471,236,690.47


97.44398,726,888.76471,236,690.47



TOTAL NET ASSETS 100.00409,186,399.20

Ccy

330


EQUITY SUB-FUNDS

GLOBAL HEALTHCARE


March 31, 2016(in %)

United States of America 61.73Ireland 10.10Switzerland 7.24France 4.08Denmark 3.94United Kingdom 2.95Germany 2.79The Netherlands 1.47China 1.41Belgium 0.91Cayman Islands 0.82



97.44

% ofnet

assets

COUNTRIES

331


EQUITY SUB-FUNDS

GLOBAL HEALTHCARE


March 31, 2016(in %)

Pharmaceutical and cosmetics industry 43.18Biotechnology 28.47Holding and finance companies 9.19Healthcare, education & social services 8.00Electronics and semiconductors 4.76Chemicals 2.79Retail trade 1.05


assets



97.44

332


EQUITY SUB-FUNDS

GLOBAL VALUE


ASSETS


209,434,785.94



221,974,265.57

LIABILITIES

Other liabilities:- Payable on redemptions 963,330.25- Taxes and expenses payable 1,243,892.94- Payable for investments purchased 729,702.05

2,936,925.24

NET ASSETS 219,037,340.33

(in EUR)


333


EQUITY SUB-FUNDS

GLOBAL VALUE



Shares outstanding

Class A EUR


Shares outstanding

Class A USD


Shares outstanding

Class B EUR DIS


Shares outstanding

Class C EUR


Shares outstanding

Class I EUR


Shares outstanding

Class K EUR


Shares outstanding

Class N EUR


Shares outstanding

Class R EUR


(in EUR)

334


EQUITY SUB-FUNDS

GLOBAL VALUE



INCOME


3,027,033.10

EXPENSES




5,148,249.38






(56,353,806.99)



275,391,147.32


(in EUR)


335

EDMOND DE ROTHSCHILD FUND GLOBAL VALUE


Class A EUR






Highest 204.7707.16.15

Lowest 135.5502.11.16


SHARES

Class A USD

0.0000

51,351.0850

(29,002.9660)

22,348.1190

USD

162.4307.16.15

111.8602.11.16

133.23

Class B EUR DIS

0.0000

6,994.2190

(601.0090)

6,393.2100

EUR

121.4403.07.16

109.6202.24.16

117.77

Class C EUR

0.0000

4,331.1050

(50.0220)

4,281.0830

EUR

104.6408.05.15

67.7602.11.16

80.44

Class I EUR

0.0000

5,956.5230

(3,000.8250)

2,955.6980

EUR

21,813.4007.16.15

14,521.6502.11.16

17,239.82

336



Class K EUR






Highest 306.1807.16.15

Lowest 203.6602.11.16


SHARES

Class N EUR

0.0000

1,020,483.4180

(423,088.4100)

597,395.0080

EUR

110.4207.16.15

73.6102.11.16

87.42

Class R EUR

0.0000

18,231.6420

(4,812.0940)

13,419.5480

EUR

207.3007.16.15

136.9002.11.16

162.23

337



TER for Class B EUR is not representative.


Class A EUR

2.10

Class A USD

2.10

Class B EUR DIS

-

Class C EUR

1.24


Class I EUR

1.03

Class K EUR

1.22

Class N EUR

0.80

Class R EUR

2.49

338


EQUITY SUB-FUNDS

GLOBAL VALUE



Date ShareClass

Number of shares

outstanding

NetAssets

Ccy Net assetvalue

per share

* First valuation


4,424.7540 20,760.1991,858,736.05Class I EUR EUR79,242.4500 291.4123,091,723.79Class K EUR EUR

604,782.4180 105.0863,550,008.71Class N EUR EUR17,468.6420 197.353,447,387.93Class R EUR EUR

50.0000 101.505,075.11Class C EUR07.28.15* EUR6,994.2190 109.78767,860.09Class B EUR DIS02.20.16* EUR


6,393.2100 117.77752,906.09Class B EUR DIS EUR4,281.0830 80.44344,361.71Class C EUR EUR2,955.6980 17,239.8250,955,693.96Class I EUR EUR

38,034.1000 241.739,194,042.44Class K EUR EUR597,395.0080 87.4252,224,051.95Class N EUR EUR

13,419.5480 162.232,177,004.71Class R EUR EUR

339


EQUITY SUB-FUNDS

GLOBAL VALUE





security

Marketvalue

(see notes)

% ofnet

assets

3,204,000 BOMBARDIER INC B CAD 1.320 2,869,351.06 1.313,949,441.23

CANADA

EQUITIES


583,300 TECK RESOURCES LTD -B- USD 7.610 3,895,320.96 1.784,007,288.503.096,764,672.027,956,729.73TOTAL CANADA

6,995,000 CHANGSHA ZOOMLION -H- HKD 2.980 2,358,323.10 1.083,108,945.88

CHINA

1.082,358,323.103,108,945.88TOTAL CHINA

2,200,600 CGG EUR 0.670 1,474,402.00 0.673,121,567.30

FRANCE

135,000 FAURECIA EUR 33.295 4,494,825.00 2.054,242,666.9635,000 KERING EUR 157.100 5,498,500.00 2.525,550,380.5336,040 MICHELIN SA REG SHS EUR 89.930 3,241,077.20 1.483,288,420.90

6.7214,708,804.2016,203,035.69TOTAL FRANCE

178,500 METRO AG EUR 27.230 4,860,555.00 2.234,949,528.33

GERMANY

300,614 RWE AG EUR 11.375 3,419,484.25 1.565,013,848.78100,000 THYSSENKRUPP AG EUR 18.260 1,826,000.00 0.831,709,920.00

32,000 VOLKSWAGEN VORZ.AKT EUR 111.850 3,579,200.00 1.635,458,286.326.2513,685,239.2517,131,583.43TOTAL GERMANY

660,000 ICICI BANK ADR REPR.2 SHS USD 7.160 4,146,900.09 1.895,641,337.59

INDIA

227,209 TATA MOTORS LTD ADR REPR 5 SHS USD 29.050 5,792,129.74 2.656,219,943.584.549,939,029.8311,861,281.17TOTAL INDIA

110,000 ENDO INTERNATIONAL USD 28.150 2,717,300.69 1.244,682,576.67

IRELAND

1.242,717,300.694,682,576.67TOTAL IRELAND

370,000 ENI SPA EUR 13.300 4,921,000.00 2.255,520,677.95

ITALY

2.254,921,000.005,520,677.95TOTAL ITALY

70,206,000 BCP, BANCO COMMERCIAL PORTUGUES SA NOM. EUR 0.036 2,506,354.20 1.145,179,024.90

PORTUGAL

1.142,506,354.205,179,024.90TOTAL PORTUGAL

437,400 KT ADR USD 13.420 5,151,075.42 2.355,063,275.33

SOUTH KOREA

2.355,151,075.425,063,275.33TOTAL SOUTH KOREA

Ccy

340


EQUITY SUB-FUNDS

GLOBAL VALUE



security

Marketvalue

(see notes)

% ofnet

assets

986,200 NH HOTELES SA EUR 4.040 3,984,248.00 1.825,075,503.72

SPAIN

1.823,984,248.005,075,503.72TOTAL SPAIN

13,400 THE SWATCH GROUP CHF 333.100 4,090,300.11 1.874,664,125.72

SWITZERLAND


522,000 ASUSTEK COMPUTER TWD 289.000 4,113,346.19 1.884,192,673.10

TAIWAN

2,071,000 QUANTA COMPUTER INC TWD 56.200 3,173,535.29 1.453,986,147.083.337,286,881.488,178,820.18TOTAL TAIWAN

666,700 STMICROELECTRONICS NV EUR 4.878 3,252,162.60 1.484,617,616.65

THE NETHERLANDS


1,796,000 BARCLAYS PLC GBP 1.500 3,397,868.45 1.556,431,987.48

UNITED KINGDOM

674,280 MEGGITT PLC GBP 4.066 3,457,933.38 1.584,192,794.11375,530 ROLLS ROYCE HOLDINGS GBP 6.820 3,230,263.73 1.473,910,694.44


200,000 ALLEGHENY TECHNOLOGIES INC USD 16.300 2,860,778.38 1.313,499,318.91


110,000 ANADARKO PETROLEUM CORP USD 46.570 4,495,370.98 2.054,475,606.85544,000 BANK OF AMERICA CORP USD 13.520 6,454,196.83 2.957,748,365.79

70,000 CHEVRON CORP USD 95.400 5,860,207.98 2.685,273,669.22206,900 CISCO SYSTEMS INC USD 28.470 5,169,095.70 2.365,019,932.60280,000 CITIGROUP USD 41.750 10,258,435.35 4.6713,032,402.82

80,000 CORNING INC USD 20.890 1,466,543.81 0.671,382,676.1170,790 EXPRESS SCRIPTS USD 68.690 4,267,092.36 1.955,581,161.26

123,000 GENERAL MOTORS CO USD 31.430 3,392,470.71 1.553,443,252.7252,350 GILEAD SCIENCES INC USD 91.860 4,219,973.67 1.935,148,307.80

160,000 JPMORGAN CHASE CO USD 59.220 8,314,861.13 3.799,454,767.5280,000 LAS VEGAS SANDS CORP USD 51.680 3,628,098.81 1.663,917,375.54

300,000 LOUISIANA PACIFIC CORP. USD 17.120 4,507,042.25 2.064,296,124.79140,000 MACYS USD 44.090 5,416,699.57 2.477,713,382.96370,000 MARATHON OIL CORP USD 11.140 3,617,041.81 1.656,115,967.08160,000 MASTEC INC USD 20.240 2,841,823.53 1.302,721,279.72

99,200 MERCK AND CO USD 52.910 4,605,916.37 2.105,129,102.80210,000 METLIFE INC USD 43.940 8,097,406.87 3.699,949,521.28500,000 MICRON TECHNOLOGY USD 10.470 4,593,918.65 2.107,140,437.29204,910 MOSAIC USD 27.000 4,855,048.05 2.227,454,598.26100,000 NETAPP USD 27.290 2,394,804.97 1.092,732,670.85

64,600 QUALCOMM INC USD 51.140 2,899,077.71 1.323,127,859.91110,000 REALOGY HOLDINGS CORP USD 36.110 3,485,674.17 1.593,035,871.21114,600 SUNTRUST BANKS INC USD 36.080 3,628,421.75 1.664,438,779.40

80,000 UNITED CONTINENTAL HOLDINGS INC USD 59.860 4,202,360.58 1.923,867,781.95

Ccy

341


EQUITY SUB-FUNDS

GLOBAL VALUE



security

Marketvalue

(see notes)

% ofnet

assets

350,000 WHITING PETROLEUM CORP USD 7.980 2,450,967.49 1.126,853,804.9153.86117,983,329.48142,554,019.55TOTAL UNITED STATES OF AMERICA

TOTAL EQUITIES 95.62209,434,785.94256,332,692.60


95.62209,434,785.94256,332,692.60



TOTAL NET ASSETS 100.00219,037,340.33

Ccy

342


EQUITY SUB-FUNDS

GLOBAL VALUE


March 31, 2016(in %)

United States of America 53.86France 6.72Germany 6.25United Kingdom 4.60India 4.54Taiwan 3.33Canada 3.09South Korea 2.35Italy 2.25Switzerland 1.87Spain 1.82The Netherlands 1.48Ireland 1.24Portugal 1.14China 1.08



95.62

% ofnet

assets

COUNTRIES

343


EQUITY SUB-FUNDS

GLOBAL VALUE


March 31, 2016(in %)

Banks and other credit institutions 17.65Oil 10.42Road vehicles 7.88Retail trade 7.22Office supplies and computers 6.78Holding and finance companies 6.70Data transmission 4.34Mining industry 3.92Insurance 3.69Electronics and semiconductors 3.58Hotels, restaurants and leisure 3.48Aeronautical and astronomical industry 3.05Mechanical engineering and industrial equipment 2.39Chemicals 2.22Pharmaceutical and cosmetics industry 2.10Paper and timber 2.06Biotechnology 1.93Clock and watchmaking industry 1.87Energy and water supply 1.56Rubber and tyres 1.48Electrotechnical and electronic industry 1.30


assets



95.62

344


EQUITY SUB-FUNDS

INFRASPHERE


ASSETS


38,872,249.23

Cash:- Cash at sight 769,016.25

Other assets:- Dividend receivable 101,943.78- Receivable for investments sold 394,644.90- Unrealised gain on forward foreign exchange contracts (see notes) 133,994.20

40,271,848.36

LIABILITIES

Other liabilities:- Taxes and expenses payable 114,643.74- Payable for investments purchased 390,075.70- Unrealised loss on forward foreign exchange contracts (see notes) 140,593.16

645,312.60

NET ASSETS 39,626,535.76

(in EUR)


132.05142,599.1100


Class A EUR

162.5587,321.0000


Class I EUR

169.8238,602.0000


Class K EUR

184.99252.2760


Class R EUR

345


EQUITY SUB-FUNDS

INFRASPHERE



INCOME

Income from investments: (see notes)- Dividends, net 121,241.09

121,241.09

EXPENSES


Fees:- Management fee (see notes) 71,047.07- Performance fee (see notes) 4.13- Custodian fee and safekeeping charges (see notes) 12,091.74


131,080.78




Change in net unrealised appreciation/(depreciation) on:- Investments 2,405,520.82- Forward foreign exchange contracts (6,598.96)


2,617,600.24


Subscriptions of shares 37,793,580.69Redemptions of shares (784,645.17)

37,008,935.52


(in EUR)


346

EDMOND DE ROTHSCHILD FUND INFRASPHERE


Class A EUR






Highest 133.1503.18.16

Lowest 116.7102.11.16


SHARES

Class I EUR

0.0000

87,425.0000

(104.0000)

87,321.0000

EUR

163.7903.18.16

143.4702.11.16

162.55

Class K EUR

0.0000

38,602.0000

(0.0000)

38,602.0000

EUR

171.3203.18.16

149.9102.11.16

169.82

Class R EUR

0.0000

252.2760

(0.0000)

252.2760

EUR

186.5803.18.16

163.5902.11.16

184.99

347

EDMOND DE ROTHSCHILD FUND INFRASPHERE


TER for all Classes is not representative.


Class A EUR

-

Class I EUR

-

Class K EUR

-

Class R EUR

-

348


EQUITY SUB-FUNDS

INFRASPHERE



Date ShareClass

Number of shares

outstanding

NetAssets

Ccy Net assetvalue

per share

* First valuation

148,489.5430 123.3718,320,074.93Class A EUR02.05.16* EUR87,424.0000 151.6313,256,459.50Class I EUR EUR38,601.0000 158.446,116,300.79Class K EUR EUR

251.2760 172.9443,456.04Class R EUR EUR

142,599.1100 132.0518,830,632.63Class A EUR03.31.16 EUR87,321.0000 162.5514,193,984.56Class I EUR EUR38,602.0000 169.826,555,249.23Class K EUR EUR

252.2760 184.9946,669.34Class R EUR EUR

349


EQUITY SUB-FUNDS

INFRASPHERE





security

Marketvalue

(see notes)

% ofnet

assets

77,000 ALTAGAS CAD 33.40 1,744,835.31 4.401,582,225.97

CANADA

EQUITIES


36,000 CANADIAN NATIONAL RAILWAY CAD 81.16 1,982,265.34 5.001,731,976.4136,000 INTER PIPELINE CAD 26.75 653,346.45 1.65529,487.2761,000 KEYERA CAD 39.42 1,631,412.19 4.121,505,328.3274,000 PEMBINA PIPELINE CORP CAD 35.11 1,762,705.65 4.451,496,117.20

19.627,774,564.946,845,135.17TOTAL CANADA

5,500 AEROPORTS DE PARIS-ADP- EUR 108.65 597,575.00 1.51571,175.00

FRANCE

27,000 EIFFAGE EUR 67.50 1,822,500.00 4.601,684,165.60118,000 ENGIE EUR 13.64 1,609,520.00 4.061,656,130.00

47,596 EUTELSAT COMMUNICATIONS SA EUR 28.39 1,351,250.44 3.411,374,810.4660,000 GROUPE EUROTUNNEL SA EUR 9.85 591,000.00 1.49618,000.0021,000 RUBIS EUR 70.57 1,481,970.00 3.741,359,750.0025,000 SUEZ ENVIRONNEMENT COMPANY SA EUR 16.12 403,000.00 1.02389,715.0031,000 VINCI SA EUR 65.47 2,029,570.00 5.111,883,250.00

24.949,886,385.449,536,996.06TOTAL FRANCE

1,292,000 GUANGDONG INVEST -RC- HKD 9.81 1,433,939.55 3.621,435,778.73

HONG KONG

3.621,433,939.551,435,778.73TOTAL HONG KONG

1,600,000 JASA MARGA -B- IDR 5,400.00 571,790.34 1.44626,359.75

INDONESIA

1.44571,790.34626,359.75TOTAL INDONESIA

320,000 ENEL SPA EUR 3.90 1,247,360.00 3.151,134,720.00

ITALY

3.151,247,360.001,134,720.00TOTAL ITALY

53,000 SES GLOBAL CERT.GC FID.DEP.REC(1-A-SHS) EUR 25.74 1,363,955.00 3.441,244,705.00

LUXEMBOURG


250,000 GRUPO AEROPORT CENT -B- MXN 98.64 1,262,718.07 3.191,011,712.51

MEXICO

50,000 GRUPO AEROPORTUARIO DEL PACIFICO SAB-B- MXN 154.14 394,637.80 1.00388,296.0155,000 PROMOTORA Y OPERADORA DE

INFRAESTRUCTURAMXN 229.72 646,956.11 1.63579,097.30

5.822,304,311.981,979,105.82TOTAL MEXICO

973,000 ABOITIZ POWER CORP PHP 43.95 814,996.40 2.05772,922.14

PHILIPPINES

Ccy

350


EQUITY SUB-FUNDS

INFRASPHERE



security

Marketvalue

(see notes)

% ofnet

assets

500,000 INTERNATIONAL CONTAINER TERMINAL SERVICE PHP 67.70 645,123.17 1.63552,482.553.681,460,119.571,325,404.69TOTAL PHILIPPINES

12,000 KOREA ELECTRIC POWER CORP KRW 60,200.00 554,332.30 1.40470,331.29

SOUTH KOREA


65,000 AIRPORTS OF THAILAND-REG-FOREIGN THB 402.00 651,794.06 1.65616,334.96

THAILAND

180,000 GLOW ENERGY PUBLIC CO LTD -F- REG THB 92.00 413,077.29 1.04345,906.152.691,064,871.35962,241.11TOTAL THAILAND

147,000 PENNON GROUP PLC GBP 8.11 1,503,651.38 3.801,639,277.36

UNITED KINGDOM

43,000 SEVERN TRENT PLC GBP 21.73 1,178,520.53 2.971,195,996.886.772,682,171.912,835,274.24TOTAL UNITED KINGDOM

14,000 CSX CORP USD 25.75 316,352.95 0.80286,821.91


62,000 ENTREPRISE PRODUCTS PARTNERSHIP USD 24.62 1,339,511.21 3.381,286,172.4823,000 EVERSOURCE EN USD 58.34 1,177,499.89 2.971,128,173.3715,000 NEXTERA ENERGY USD 118.34 1,557,720.15 3.931,529,277.1525,000 UNION PACIFIC CORP USD 79.55 1,745,206.44 4.411,683,268.2730,000 WASTE MANAGEMENT INC USD 59.00 1,553,244.70 3.921,415,264.50


TOTAL EQUITIES 95.9838,033,337.7235,725,029.54


95.9838,033,337.7235,725,029.54

6,582 GEOSPHERE I EUR 127.46 838,911.51 2.12741,698.87

FRANCE


INVESTMENT FUNDS

2.12838,911.51741,698.87TOTAL FRANCE

TOTAL OPEN-ENDED INVESTMENT FUNDS 2.12838,911.51741,698.87

TOTAL INVESTMENT FUNDS 2.12838,911.51741,698.87


Cash/(bank overdraft) 1.94769,016.25Other assets and liabilities (0.04)(14,729.72)

TOTAL NET ASSETS 100.0039,626,535.76

Ccy

351


EQUITY SUB-FUNDS

INFRASPHERE


March 31, 2016(in %)

France 27.06Canada 19.62United States of America 19.41United Kingdom 6.77Mexico 5.82Philippines 3.68Hong Kong 3.62Luxembourg 3.44Italy 3.15Thailand 2.69Indonesia 1.44South Korea 1.40



98.10

% ofnet

assets

COUNTRIES

352


EQUITY SUB-FUNDS

INFRASPHERE


March 31, 2016(in %)

Energy and water supply 26.39Transportation 20.47Oil 14.62Holding and finance companies 14.15Building and building materials 11.34Environmental services & recycling 3.92Data transmission 3.44Investment funds 2.12Aeronautical and astronomical industry 1.65


assets



98.10

353


EQUITY SUB-FUNDS

CHINA


ASSETS


72,637,047.92


Other assets:- Receivable on subscriptions 44,981.83- Receivable for investments sold 340,902.93- Unrealised gain on forward foreign exchange contracts (see notes) 1,500.02

74,790,781.40

LIABILITIES


Other liabilities:- Payable on redemptions 85,344.19- Taxes and expenses payable 728,191.69- Payable for investments purchased 815,846.12

1,633,161.66

NET ASSETS 73,157,619.74

(in EUR)


81.5877,099.7350


Class A AUD

238.09247,627.9120


Class A EUR

74.7915,501.0000


Class A RMB (H)

83.04127,397.0540


Class A USD

60.614,552.3220


Class C EUR

354


EQUITY SUB-FUNDS

CHINA


(in EUR)


121.932.0000


Class I EUR

94.5683.4060


Class J EUR DIS

157.402.0100


Class K EUR

130.211,714.1380


Class R EUR

74.9190.4080


Class R USD

355


EQUITY SUB-FUNDS

CHINA

STATEMENT OF OPERATIONS AND CHANGES IN NET ASSETSPeriod from June 26, 2015 to March 31, 2016


INCOME

Income from investments: (see notes)- Dividends, net 458,727.05- Bond interest, net 7,069.63Reversal of accruals (see notes) 788,116.84

1,253,913.52

EXPENSES




2,803,927.55


Net realised result on:- Investments (see notes) (32,831,191.71)- Foreign exchange 1,216,042.65


Change in net unrealised appreciation/(depreciation) on:- Investments (23,072,888.88)- Forward foreign exchange contracts 1,500.02


(56,236,551.95)



129,394,171.69


(in EUR)


356

EDMOND DE ROTHSCHILD FUND CHINA

STATISTICAL INFORMATIONPeriod from June 26, 2015 to March 31, 2016

Class A AUD





NET ASSET VALUE PER SHARE AUD

Highest 120.4506.25.15

Lowest 75.8402.12.16


SHARES

Class A EUR

0.0000

385,401.5170

(137,773.6050)

247,627.9120

EUR

359.7406.25.15

206.3002.11.16

238.09

Class A RMB (H)

0.0000

15,501.0000

(0.0000)

15,501.0000

CNH

94.6307.03.15

63.9602.12.16

74.79

Class A USD

0.0000

278,933.9590

(151,536.9050)

127,397.0540

USD

123.2606.25.15

71.0702.12.16

83.04

Class C EUR

0.0000

4,552.3220

(0.0000)

4,552.3220

EUR

91.4006.25.15

52.4402.11.16

60.61

357


STATISTICAL INFORMATIONPeriod from June 26, 2015 to March 31, 2016

Class I EUR






Highest 171.0006.25.15

Lowest 100.1108.24.15


SHARES

Class J EUR DIS

0.0000

83.4060

(0.0000)

83.4060

EUR

141.4206.25.15

81.8302.11.16

94.56

Class K EUR

0.0000

59,537.8670

(59,535.8570)

2.0100

EUR

237.5406.25.15

136.1402.11.16

157.40

Class R EUR

0.0000

14,128.9720

(12,414.8340)

1,714.1380

EUR

197.1306.25.15

112.8902.11.16

130.21

Class R USD

0.0000

247.4080

(157.0000)

90.4080

USD

111.9106.25.15

64.1402.12.16

74.91

358




Class A AUD

2.21

Class A EUR

2.15

Class A RMB (H)

2.20

Class A USD

2.17


Class C EUR

1.36

Class I EUR

1.00

Class J EUR DIS

1.18

Class K EUR

0.99


Class R EUR

2.08

Class R USD

2.40

359


EQUITY SUB-FUNDS

CHINA



Date ShareClass

Number of shares

outstanding

NetAssets

Ccy Net assetvalue

per share

* First valuation

53,154.2330 120.456,402,320.85Class A AUD06.25.15* AUD321,871.8260 359.74115,789,343.55Class A EUR EUR212,732.0070 123.2626,220,717.51Class A USD USD

501.0000 91.4045,790.48Class C EUR EUR87,295.8910 171.0014,927,901.51Class I EUR EUR


5,656.9890 197.131,115,183.93Class R EUR EUR179.0000 111.9120,032.60Class R USD USD

15,500.0000 94.631,466,753.25Class A RMB (H)07.03.15* CNH

77,099.7350 81.586,289,697.81Class A AUD03.31.16 AUD247,627.9120 238.0958,957,009.20Class A EUR EUR

15,501.0000 74.791,159,350.85Class A RMB (H) CNH127,397.0540 83.0410,579,338.30Class A USD USD

4,552.3220 60.61275,916.52Class C EUR EUR2.0000 121.93243.86Class I EUR EUR

83.4060 94.567,887.28Class J EUR DIS EUR2.0100 157.40316.38Class K EUR EUR

1,714.1380 130.21223,198.21Class R EUR EUR90.4080 74.916,772.37Class R USD USD

360


EQUITY SUB-FUNDS

CHINA





security

Marketvalue

(see notes)

% ofnet

assets

3,800,000 ALIBABA PICTURES GRP HKD 1.770 760,950.11 1.041,441,767.67

BERMUDA

EQUITIES


1,500,000 HUANXI MEDIA GRP HKD 1.940 329,224.63 0.45681,558.78550,000 SHANGRI - LA ASIA LTD HKD 8.850 550,687.58 0.75511,509.90

2.241,640,862.322,634,836.35TOTAL BERMUDA

32,000 ALIBABA GR ADR USD 79.030 2,219,261.99 3.032,130,821.09

CAYMAN ISLANDS

4,747,000 AUSTAR LIFESCIENCES LTD HKD 1.210 649,836.24 0.891,713,481.458,481 BAIDU -A- SPONS ADR REPR 1/10 SH -A- USD 190.880 1,420,607.50 1.941,258,147.34

1,150,000 BELLE INTERNAIONAL HOLDING HKD 4.490 584,175.72 0.80693,440.511,050,000 BLOOMAGE BIO TECHNOLOGY CORPORATION LTD HKD 16.980 2,017,094.79 2.761,840,554.691,404,000 CHINA CITY RAILWAY TRANSPORT TECH HLDG HKD 1.350 214,437.24 0.29501,931.723,636,000 CHINASOFT INTERNATIONAL LTD HKD 2.850 1,172,379.07 1.601,651,153.049,650,000 CN MAPLE LEAF SHS UNITARY 144A/REGS HKD 4.920 5,371,452.49 7.342,804,424.11

844,000 COGOBUY GROUP 144A REGS HKD 10.580 1,010,246.69 1.381,181,617.524,176,000 COLOUR LIFE SERV GRP CO LTD HKD 5.940 2,806,378.59 3.844,873,677.536,894,000 CT ENVIRONMENTAL GROUP LTD HKD 2.280 1,778,301.72 2.432,185,897.86

35,200 CTRIP.COM INTL ADR REPR 1/4TH SH USD 44.260 1,367,164.23 1.871,258,653.951,284,000 DAWNRAYS PHARMACEUTICAL HOLDING HKD 6.190 899,197.30 1.231,002,465.725,527,500 FANTASIA HOLDINGS GROUP CO LTD HKD 0.980 612,849.94 0.84917,924.752,286,500 HONWORLD GROUP LTD HKD 5.380 1,391,723.00 1.901,487,188.779,290,000 HUA HAN HEALTH INDUSTRY HOLDINGS LTD HKD 0.840 882,865.05 1.211,671,306.501,069,000 INTIME RETAIL HKD 6.310 763,143.81 1.041,420,188.44

30,700 JD COM ADR REPR 2SHS -A- USD 26.500 713,922.16 0.98795,854.31123,800 JUMEI INTL HLDG ADR REPR 1 SHS -A- USD 6.510 707,242.33 0.97955,345.09856,000 KINGDEE INTL SOFTWARE GROUP CO HKD 2.500 242,110.21 0.33513,325.57970,500 LINEKONG INTERACT GRP CO LTD HKD 4.130 453,466.19 0.621,055,449.03640,000 NETDRAGON WEBSOFT INC HKD 22.400 1,621,912.10 2.222,505,737.61

13,100 NETEASE SPONS ADR REPR 25 SHS USD 143.580 1,650,562.06 2.261,727,292.342,000,000 OURGAME INTERNATIONAL HOLDINGS LTD HKD 4.350 984,279.81 1.351,775,973.61

13,500,000 PEACE MAP HLDG HKD 0.223 340,594.75 0.47856,272.997,000,000 PERFECT SHAPE PRC HLDG LTD HKD 0.850 673,156.88 0.921,521,726.87

400,000 PHOENIX HEALTHCARE HKD 8.590 388,733.96 0.53702,086.198,087,000 PW MEDTECH GROUP LTD HKD 1.730 1,582,824.88 2.162,993,700.25

2,320 QIHOO 360 TECHNOLOGY -A- ADR 1.5 SHS USD 75.550 153,811.59 0.21149,135.1639,600 SINA CORP.REG SHS USD 47.370 1,646,134.00 2.251,801,223.20

6,308,000 SINOSOFT TECHNOLOGY HKD 3.940 2,811,818.15 3.844,357,468.901,070,000 SUNAC CHINA HKD 5.220 631,907.64 0.86726,314.47

18,600 TAL EDUCAT GR - A- ADR REPR 2 SHS-A- USD 49.680 810,888.51 1.11830,332.74220,200 TARENA INTL -A- ADR REPR 1 USD 10.810 2,088,861.39 2.862,559,001.49348,800 TENCENT HLDG HKD 158.400 6,250,733.40 8.546,516,388.25135,700 TUNIU CORP -A- ADR REPR.3SHS -A- USD 10.430 1,242,026.24 1.701,599,298.50

6,900,000 WISDOM SPORTS HKD 2.580 2,014,040.13 2.755,570,099.71163,600 YIRENDAI ADR REP 2SHS USD 11.640 1,671,101.75 2.281,508,598.83

12,776,000 ZHONG AO HOME UNITARY 144A/REGS HKD 1.400 2,023,588.77 2.772,893,646.47118,700 2VIANET GROUP -A- ADR REPR 6SHS USD 19.970 2,080,153.57 2.842,071,901.53

Ccy

361


EQUITY SUB-FUNDS

CHINA



security

Marketvalue

(see notes)

% ofnet

assets

2,245,500 3SBIO UNITARY 144A/REG S HKD 10.460 2,657,321.29 3.632,620,652.3482.8460,602,307.1377,199,700.44TOTAL CAYMAN ISLANDS

1,250,000 BBMG CORP HKD 5.990 847,102.88 1.16737,967.71

CHINA

274,000 BYD COMPANY LTD -H- HKD 44.500 1,379,462.49 1.891,254,488.12242,000 LIVZON PHARMACEUTICAL GROUP INC-H- HKD 34.000 930,879.80 1.271,222,591.95331,600 POLY CULTURE -H- HKD 18.220 683,537.30 0.931,187,385.97

68,000 SHANGHAI HAOHAI BIOLOGICAL-H HKD 44.050 338,886.41 0.46407,781.992,840,000 SHENZHEN DONGJIANG ENVIRONMENTAL CO -H- HKD 11.000 3,534,356.46 4.846,039,417.381,613,273 YUNNAN WATER INVESTMENT CO LTD -H- HKD 4.500 821,333.81 1.121,246,517.72

11.678,535,559.1512,096,150.84TOTAL CHINA

2,120,000 CHINA TRAVEL INTL INVEST HONG KONG -RC- HKD 2.600 623,603.48 0.85795,867.32

HONG KONG

14,604,000 HONG KONG BUILD & LOAN AGENCY LTD HKD 0.300 495,669.73 0.682,088,379.151.531,119,273.212,884,246.47TOTAL HONG KONG

17,000 SOHU.COM INC USD 49.540 739,046.11 1.01895,002.70



TOTAL EQUITIES 99.2972,637,047.9295,709,936.80


99.2972,637,047.9295,709,936.80



TOTAL NET ASSETS 100.0073,157,619.74

Ccy

362


EQUITY SUB-FUNDS

CHINA


March 31, 2016(in %)

Cayman Islands 82.84China 11.67Bermuda 2.24Hong Kong 1.53United States of America 1.01



99.29

% ofnet

assets

COUNTRIES

363


EQUITY SUB-FUNDS

CHINA


March 31, 2016(in %)

Internet and software services 34.70Pharmaceutical and cosmetics industry 11.31Healthcare, education & social services 8.98Environmental services & recycling 8.39Hotels, restaurants and leisure 6.10Real estate 5.15Building and building materials 5.00Holding and finance companies 3.25Biotechnology 3.22Miscellaneous services 3.03Data transmission 2.75Tobacco and alcohol 1.90Electronics and semiconductors 1.89Graphic industry and publishing houses 1.04Retail trade 1.04Textiles and clothing industry 0.80Miscellaneous consumer goods 0.45Transportation 0.29


assets



99.29

364


EQUITY SUB-FUNDS

GLOBAL DATA


ASSETS


46,210,462.11



48,302,981.73

LIABILITIES

Other liabilities:- Payable on redemptions 6,169.61- Taxes and expenses payable 284,946.95- Payable for investments purchased 158,353.91

449,470.47

NET ASSETS 47,853,511.26

(in EUR)


365


EQUITY SUB-FUNDS

GLOBAL DATA



Shares outstanding

Class A CHF


Shares outstanding

Class A EUR


Shares outstanding

Class A USD


Shares outstanding

Class C USD


Shares outstanding

Class I EUR


Shares outstanding

Class I USD


Shares outstanding

Class N EUR


Shares outstanding

Class R EUR


(in EUR)

366


EQUITY SUB-FUNDS

GLOBAL DATA

STATEMENT OF OPERATIONS AND CHANGES IN NET ASSETSPeriod from August 31, 2015 to March 31, 2016


INCOME

Income from investments: (see notes)- Dividends, net 176,420.20

176,420.20

EXPENSES




636,600.67






(1,693,248.39)



49,546,759.65


(in EUR)


367

EDMOND DE ROTHSCHILD FUND GLOBAL DATA

STATISTICAL INFORMATIONPeriod from August 31, 2015 to March 31, 2016

Class A CHF






Highest 112.1212.01.15

Lowest 85.8602.09.16


SHARES

Class A EUR

0.0000

416,299.9890

(36,611.6640)

379,688.3250

EUR

111.0912.01.15

84.5602.11.16

99.13

Class A USD

0.0000

22,617.7720

(8,191.3610)

14,426.4110

USD

105.2012.01.15

85.4602.09.16

100.85

Class C USD

0.0000

10,700.0000

(0.0000)

10,700.0000

USD

101.8112.01.15

82.8402.09.16

97.88

Class I EUR

0.0000

41,821.0000

(2,919.0000)

38,902.0000

EUR

111.4712.01.15

85.0002.11.16

99.79

368


STATISTICAL INFORMATIONPeriod from August 31, 2015 to March 31, 2016

Class I USD






Highest 105.4812.01.15

Lowest 85.8502.09.16


SHARES

Class N EUR

0.0000

50,091.4850

(50,000.0000)

91.4850

EUR

111.8412.02.15

85.3402.11.16

100.22

Class R EUR

0.0000

40,572.9480

(0.0000)

40,572.9480

EUR

113.2812.01.15

86.1602.11.16

100.96

369




Class A CHF

2.66

Class A EUR

2.55

Class A USD

2.67

Class C USD

1.73


Class I EUR

1.74

Class I USD

1.85

Class N EUR

1.12

Class R EUR

2.95

370


EQUITY SUB-FUNDS

GLOBAL DATA



Date ShareClass

Number of shares

outstanding

NetAssets

Ccy Net assetvalue

per share

* First valuation

100.0000 100.0010,000.00Class A CHF08.31.15* CHF100.0000 100.0010,000.00Class A EUR EUR100.0000 100.0010,000.00Class A USD USD100.0000 100.0010,000.00Class I EUR EUR100.0000 100.0010,000.00Class I USD USD

50,001.0000 100.005,000,100.00Class N EUR EUR39,130.0000 98.583,857,451.39Class R EUR09.24.15* EUR10,600.0000 99.481,054,507.74Class C USD11.12.15* USD

131.0000 100.0213,102.88Class A CHF03.31.16 CHF379,688.3250 99.1337,640,194.95Class A EUR EUR

14,426.4110 100.851,454,887.96Class A USD USD10,700.0000 97.881,047,283.28Class C USD USD38,902.0000 99.793,881,913.09Class I EUR EUR

206.0000 101.4520,898.34Class I USD USD91.4850 100.229,169.02Class N EUR EUR

40,572.9480 100.964,096,134.06Class R EUR EUR

371


EQUITY SUB-FUNDS

GLOBAL DATA





security

Marketvalue

(see notes)

% ofnet

assets

8,200 ALIBABA GR ADR USD 79.030 568,685.88 1.19597,518.23

CAYMAN ISLANDS

EQUITIES


13,800 AMBARELLA INC USD 44.700 541,318.94 1.13640,918.292,898 BAIDU -A- SPONS ADR REPR 1/10 SH -A- USD 190.880 485,428.67 1.01391,258.60

63,000 TENCENT HLDG HKD 158.400 1,129,002.88 2.361,065,536.485.692,724,436.372,695,231.60TOTAL CAYMAN ISLANDS

61,080 AXA SA EUR 20.690 1,263,745.20 2.641,388,577.81

FRANCE

48,473 CRITEO ADR REPR 1 SHS USD 41.420 1,761,881.15 3.681,596,250.5978,398 ORANGE EUR 15.395 1,206,937.21 2.521,149,261.18

8.844,232,563.564,134,089.58TOTAL FRANCE

9,154 ALLIANZ SE REG SHS EUR 142.950 1,308,564.30 2.731,354,277.47

GERMANY

9,230 SAP AG EUR 71.100 656,253.00 1.37579,788.8210,320 SIEMENS AG REG EUR 93.150 961,308.00 2.01903,379.65

6.112,926,125.302,837,445.94TOTAL GERMANY

54,000 CHINA MOBILE LTD HKD 86.450 528,150.97 1.10582,211.38

HONG KONG

1.10528,150.97582,211.38TOTAL HONG KONG

15,177 CHECK POINT SOFTWARE TECHNOLOGIES USD 87.470 1,164,961.77 2.431,101,326.71

ISRAEL

2.431,164,961.771,101,326.71TOTAL ISRAËL

34,500 SOFTBANK GROUP JPY 5,366.000 1,445,404.13 3.021,630,534.51

JAPAN

3.021,445,404.131,630,534.51TOTAL JAPAN

5,540 CHUBB - NAMEN AKT USD 119.150 579,255.85 1.21537,973.60

SWITZERLAND


72,968 INTERXION USD 34.580 2,214,236.71 4.641,883,487.51

THE NETHERLANDS

5,757 MOBILEYE REG SHS USD 37.290 188,388.86 0.39214,542.4050,142 QIAGEN NV EUR 19.580 981,780.36 2.051,151,818.9022,900 SENSATA TECHNOLOGIES USD 38.840 780,515.12 1.63917,671.30

100,609 STMICROELECTRONICS NV EUR 4.878 490,770.70 1.03639,099.349.744,655,691.754,806,619.45TOTAL THE NETHERLANDS

11,693 AKAMAI TECHNOLOGIES USD 55.570 570,207.55 1.19649,680.45


Ccy

372


EQUITY SUB-FUNDS

GLOBAL DATA



security

Marketvalue

(see notes)

% ofnet

assets

5,000 ALPHABET INC USD 762.900 3,347,373.96 7.013,161,882.15105,236 BANK OF AMERICA CORP USD 13.520 1,248,554.89 2.611,517,188.44

33,128 CHARLES SCHWAB CORP/THE USD 28.020 814,572.91 1.70870,785.0682,421 CISCO SYSTEMS INC USD 28.470 2,059,168.86 4.301,963,600.01

4,565 FACEBOOK -A- USD 114.100 457,080.87 0.96402,997.025,229 FEDEX CORP USD 162.720 746,665.68 1.56735,503.22

15,000 GENERAL ELECTRIC CO USD 31.790 418,454.65 0.87365,464.979,587 HARMAN INTL INDS USD 89.040 749,090.85 1.57798,191.95

83,336 HORTONWORKS USD 11.300 826,376.03 1.731,322,770.3910,867 IBM CORP USD 151.450 1,444,260.59 3.021,396,617.32

4,550 ILLUMINA INC USD 162.110 647,273.49 1.35647,887.8911,473 IMS HEALTH HOLDINGS INC USD 26.550 267,305.65 0.56308,005.4443,000 INOVALON HLDGS -A- USD 18.520 698,837.26 1.46696,422.2224,785 JPMORGAN CHASE CO USD 59.220 1,288,023.96 2.691,407,550.3454,000 MARKETO INC USD 19.570 927,366.07 1.94777,627.9618,044 MEDIATA SOLUTIONS USD 38.710 612,946.55 1.28665,109.8024,503 METLIFE INC USD 43.940 944,813.15 1.971,075,922.44

205,350 MICRON TECHNOLOGY USD 10.470 1,886,722.39 3.942,438,126.6748,881 NETAPP USD 27.290 1,170,604.62 2.451,361,204.1914,000 NORDSTROM INC USD 57.210 702,856.39 1.47621,957.1246,029 NVIDIA CORP USD 35.630 1,439,176.23 3.011,117,034.6415,800 PTC INC USD 33.160 459,767.45 0.96489,950.7746,627 QUALCOMM INC USD 51.140 2,092,496.85 4.372,206,730.3522,064 SPLUNK USD 48.930 947,384.07 1.981,132,240.5613,500 SQUARE -A- USD 15.280 181,018.82 0.38120,104.2926,500 TUBEMOGUL INC USD 12.940 300,917.03 0.63300,169.8810,046 VERISK ANALYTICS INC USD 79.920 704,555.59 1.47685,386.89


TOTAL EQUITIES 96.5746,210,462.1147,561,545.20


96.5746,210,462.1147,561,545.20



TOTAL NET ASSETS 100.0047,853,511.26

Ccy

373


EQUITY SUB-FUNDS

GLOBAL DATA


March 31, 2016(in %)

United States of America 58.43The Netherlands 9.74France 8.84Germany 6.11Cayman Islands 5.69Japan 3.02Israel 2.43Switzerland 1.21Hong Kong 1.10



96.57

% ofnet

assets

COUNTRIES

374


EQUITY SUB-FUNDS

GLOBAL DATA


March 31, 2016(in %)

Internet and software services 27.40Office supplies and computers 13.45Data transmission 12.63Electronics and semiconductors 12.31Insurance 7.34Holding and finance companies 5.31Banks and other credit institutions 5.30Electrotechnical and electronic industry 2.88Biotechnology 2.05Aeronautical and astronomical industry 1.94Transportation 1.56Retail trade 1.47Pharmaceutical and cosmetics industry 1.35Miscellaneous services 1.19Photographic and optical instruments 0.39


assets



96.57

375


STRATEGY SUB-FUNDS

QUAM 5


ASSETS


497,386,324.64


Other assets:- Receivable on subscriptions 1,013,884.58- Receivable for investments sold 3,619,993.96- Unrealised gain on forward foreign exchange contracts (see notes) 7,061,268.69- Receivable on foreign exchange transactions 9,175,155.21

557,341,827.40

LIABILITIES

Bank overdraft:- Cash at sight 4,056.33- Cash at sight by the broker (see notes) 1,580,000.00

Other liabilities:- Payable on redemptions 3,949,581.40- Taxes and expenses payable 1,584,109.29- Payable on foreign exchange transactions 9,200,634.06- Payable for investments purchased 19,901,973.82- Unrealised loss on forward foreign exchange contracts (see notes) 3,433,096.53

39,653,451.43

NET ASSETS 517,688,375.97

(in EUR)


115.001,054,919.6100


Class A CHF

137.201,431,981.5600


Class A EUR

138.25766,742.0020


Class A USD

100.25109,537.7890


Class B CHF DIS

376


STRATEGY SUB-FUNDS

QUAM 5


(in EUR)


105.6178,533.8500


Class B EUR DIS

104.836,150.6200


Class B USD DIS

127.04191,620.7850


Class D EUR

105.21152,359.4770


Class D USD

96.1125,156.0000


Class E CHF

103.93455,454.7920


Class E EUR

98.32107,537.2290


Class E USD

104.409,039.3620


Class R EUR

377


STRATEGY SUB-FUNDS

QUAM 5



INCOME

Income from investments: (see notes)- Dividends, net 313,688.25Reversal of accruals (see notes) 2,202,447.53Other income 452,964.22

2,969,100.00

EXPENSES




7,479,550.25




Change in net unrealised appreciation/(depreciation) on:- Investments (20,197,862.01)- Forward foreign exchange contracts (297,324.95)


(38,827,006.87)



(60,688,697.96)

DIVIDEND PAID (see notes) (1,001,788.23)


(in EUR)


378

EDMOND DE ROTHSCHILD FUND QUAM 5


Class A CHF




Shares outstanding at the end of the year 1,054,919.6100


Highest 121.6604.15.15

Lowest 114.7802.15.16


SHARES

Class A EUR

1,392,229.1760

772,111.1870

(732,358.8030)

1,431,981.5600

EUR

143.9304.15.15

136.8902.15.16

137.20

Class A USD

776,951.3080

262,684.7680

(272,894.0740)

766,742.0020

USD

144.0604.15.15

137.6901.19.16

138.25

Class B CHF DIS

109,614.0500

20,154.1020

(20,230.3630)

109,537.7890

CHF

110.2804.15.15

100.0502.15.16

100.25

Class B EUR DIS

111,658.9630

33,047.3450

(66,172.4580)

78,533.8500

EUR

115.4604.15.15

105.3702.15.16

105.61

379



Class B USD DIS






Highest 113.6104.15.15

Lowest 104.4101.19.16


SHARES

Class D EUR

254,710.9370

123,379.2740

(186,469.4260)

191,620.7850

EUR

132.7304.15.15

126.7102.15.16

127.04

Class D USD

71,914.6870

90,068.0810

(9,623.2910)

152,359.4770

USD

109.7304.15.15

104.7301.19.16

105.21

Class E CHF

52,500.0000

168,161.1550

(195,505.1550)

25,156.0000

CHF

101.2504.15.15

95.8601.20.16

96.11

Class E EUR

982,668.6200

505,230.1720

(1,032,444.0000)

455,454.7920

EUR

108.2204.15.15

103.6201.20.16

103.93

380



Class E USD






Highest 99.9806.01.15

Lowest 97.8301.19.16


SHARES

Class R EUR

8,864.3860

904.9760

(730.0000)

9,039.3620

EUR

109.5404.15.15

104.1902.15.16

104.40

381





Class A CHF

1.54

Class A EUR

1.54

Class A USD

1.54

Class B CHF DIS

1.54


Class B EUR DIS

1.54

Class B USD DIS

1.53

Class D EUR

1.26

Class D USD

1.26


Class E CHF

1.03

Class E EUR

1.02

Class E USD

1.01

Class R EUR

1.80

382


STRATEGY SUB-FUNDS

QUAM 5



Date ShareClass

Number of shares

outstanding

NetAssets

Ccy Net assetvalue

per share

* First valuation

50,000.0000 99.774,988,571.08Class E CHF02.04.15* CHF


36,910.9840 103.333,813,845.19Class B CHF DIS CHF27,316.5380 106.282,903,105.86Class B EUR DIS EUR

3,892.5830 105.30409,871.51Class B USD DIS USD261,521.1700 121.8631,869,356.87Class D EUR EUR

10,162.6693 101.411,030,603.78Class D USD USD997,980.0000 101.21101,010,463.76Class E EUR EUR

8,863.3861 101.10896,045.64Class R EUR EUR

37,500.0000 99.983,749,311.06Class E USD06.01.15* USD

1,198,288.7050 120.78144,728,593.45Class A CHF03.31.15 CHF1,392,229.1760 142.81198,825,497.80Class A EUR EUR

776,951.3080 142.94111,053,892.23Class A USD USD109,614.0500 109.4812,000,663.83Class B CHF DIS CHF111,658.9630 114.5612,791,826.41Class B EUR DIS EUR

11,662.4300 112.721,314,631.19Class B USD DIS USD254,710.9370 131.6933,542,315.53Class D EUR EUR

71,914.6870 108.867,828,739.24Class D USD USD52,500.0000 100.495,275,944.85Class E CHF CHF

982,668.6200 107.36105,496,548.76Class E EUR EUR8,864.3860 108.70963,577.16Class R EUR EUR

1,054,919.6100 115.00121,316,033.08Class A CHF03.31.16 CHF1,431,981.5600 137.20196,471,994.30Class A EUR EUR

766,742.0020 138.25105,998,281.05Class A USD USD109,537.7890 100.2510,980,750.15Class B CHF DIS CHF

78,533.8500 105.618,293,940.44Class B EUR DIS EUR6,150.6200 104.83644,743.58Class B USD DIS USD

191,620.7850 127.0424,343,767.62Class D EUR EUR152,359.4770 105.2116,029,572.26Class D USD USD

25,156.0000 96.112,417,753.42Class E CHF CHF455,454.7920 103.9347,337,004.05Class E EUR EUR107,537.2290 98.3210,573,504.72Class E USD USD

9,039.3620 104.40943,748.83Class R EUR EUR

383


STRATEGY SUB-FUNDS

QUAM 5





security

Marketvalue

(see notes)

% ofnet

assets

5,006 BL GLOB BD -BI- CAP EUR 105.690 529,083.08 0.10527,781.53

LUXEMBOURG



78,490 MSIF GL BD -Z- CAP USD 32.790 2,260,987.60 0.442,279,235.2810,821 PARVEST EQ HIGH DVD USA-I- CAP USD USD 145.720 1,385,228.43 0.271,383,632.45




0.814,175,299.114,190,649.26

3,853 CPR EUROGOV PLUS MT -P- EUR 496.440 1,912,559.92 0.371,907,281.93

FRANCE


INVESTMENT FUNDS

3,127 CPR 7-10 EURO FCP EUR 873.150 2,730,340.05 0.532,636,043.634,835 GROUPAMA ETAT MONDE -I- CAP EUR 654.040 3,162,237.62 0.613,114,468.51

17 NATIXIS SOUVERAINS EUR VAR -IC- 4DEC CAP EUR 161,876.640 2,785,896.97 0.542,727,660.402,052 NATIXIS SOUVERAINS EURO 3-5 4 DEC CAP EUR 3,133.530 6,428,938.16 1.246,377,769.76

3.2917,019,972.7216,763,224.23TOTAL FRANCE

55 DEKA-EURO RENTENPLUS CF EUR 44.570 2,435.88 0.002,487.01

GERMANY

0 DEKA-GLOBALCHAMPIONS CF EUR 133.890 61.59 0.0058.669,745 ISHARES EURO GOVERNMENT BOND CAPPED 5.5-

10.5YR UCITS ETF - EUR CAPEUR 130.820 1,274,840.90 0.251,270,040.51

0.251,277,338.371,272,586.18TOTAL GERMANY

369 AMUNDI TRESO EONIA ISR -I- CAP EUR 220,097.572 81,246,817.58 15.7081,229,353.94

IRELAND

26,240 ISHARES UK GILTS UCITS ETF - GBP GBP 133.415 4,415,753.78 0.854,496,294.20115,721 ISHARES US AGGREGATE BOND UCITS ETF - USD USD 105.460 10,721,195.34 2.0710,949,453.50

8,500 ISHS BARCLAYS EURO GOVERNMENT BOND 10-15 EUR 177.830 1,511,555.00 0.291,461,433.9018.9197,895,321.7098,136,535.54TOTAL IRELAND

769 ABERDEEN GLB II CANANDIAN DOLLAR BD -A-2 CAD 3,735.196 1,937,171.48 0.371,872,332.64

LUXEMBOURG

3,082 ABERDEEN GLOBAL II EURO GOVERNMENT BONDFUND -A2-

EUR 525.625 1,620,217.73 0.311,598,741.61

196,841 ABERDEEN GLOBAL II GLOBAL GOVERNMENTBOND FUND -J2- CAP

USD 8.561 1,480,469.07 0.291,466,030.08

554 ABERDEEN GLOBAL II SICAV AUSTRALIAN DOLLARBOND -A2-

AUD 4,458.387 1,666,013.01 0.321,580,086.12

1,794,632 ABERDEEN GLOBAL II STERLING BOND FUND -2- GBP 1.886 4,269,042.61 0.824,309,136.192,849 AGIF EURO BD STRAT IT EUR CAP EUR 1,342.120 3,823,189.87 0.743,812,080.263,969 AGIF FLEXI ASIA BD-IT-USD CAP USD 1,089.580 3,799,382.60 0.733,817,634.96

Ccy

384


STRATEGY SUB-FUNDS

QUAM 5



security

Marketvalue

(see notes)

% ofnet

assets

103,033 AVIVA INV LT EUR BD -A- CAP EUR 17.640 1,817,475.44 0.351,753,533.014,201 AXA FIIS EU SHY -F- CAP EUR 125.800 528,546.18 0.10527,075.67

202,781 BLACKROCK GLOBAL FUNDS - GLOBALGOVERNMENT BOND -A2- USD CAP

USD 28.020 4,991,575.06 0.965,025,047.28

5 BNP PARIBAS INSTICASH -I- EUR CAP EUR 140.842 766.19 0.00766.91554,342 BNP PARIBAS INSTICASH -I- USD CAP USD 148.826 72,476,966.34 14.0074,402,547.06190,173 BRGF EURO CORPORATE BOND FUND -A2- CAP EUR 15.730 2,991,425.22 0.582,991,425.22112,616 BRGF GLOBAL CORPORATE BOND -A2- CAP USD 12.730 1,259,420.96 0.241,278,123.69

66,543 BRGF LOCAL EME MKT SHORT DUR BD -A2- CAP USD 22.230 1,299,532.44 0.251,285,671.4673,011 BRGF WORLD BOND FUND -A2- CAP USD 73.080 4,687,385.10 0.914,691,189.61

713 CAN BD SUST E G -CLASSIQUE- CAP EUR 951.770 678,336.00 0.13673,446.812,428 CANDRIAM BD EUR GOVT + -I-FD EUR 1,083.140 2,629,354.84 0.512,564,661.171,913 CANDRIAM BD USD-I-FD USD 1,018.660 1,711,909.00 0.331,766,856.433,842 DEXIA BONDS INTERNATIONAL REG -I- CAP EUR 1,074.720 4,128,859.30 0.804,068,051.86

22,880 GENERALI INV VAR ASIAN BOND -B- CAP USD 107.185 2,154,468.41 0.422,155,082.019,332 GENERALI INVESTMENTS SICAV - EURO BONDS -B-

CAPEUR 201.468 1,880,179.96 0.361,806,528.66

188,113 GOLDMAN SACHS VAR GLB EME MKT DBT -BASE- USD 19.550 3,230,797.31 0.623,271,390.8691,000 HSBC GLB INV FDS VAR THAI EQUITY -I- CAP USD 18.166 1,452,258.63 0.281,450,446.58

151,764 HSBC GLOBAL INV EURO BOND -I- CAP EUR 28.748 4,362,919.52 0.844,358,518.3646,202 HSBC GLOBAL INV FD VAR US EQUITY -I- CAP USD 34.112 1,384,554.63 0.271,381,800.68

145,279 HSBC GLOBAL INVESTMENT FUNDS - GLOBALBOND -I- CAP

USD 18.241 2,328,061.50 0.452,346,387.82

1,972 ING L RENTA FD DOLLAR -P- CAP USD 1,164.110 2,016,365.74 0.392,060,120.68122,856 JPMORGAN FUNDS - GLOBAL AGGREGATE BOND -A-

USD CAPUSD 12.740 1,375,018.03 0.271,394,898.65

16,664 JPMORGAN INVESTMENT FUNDS - GLOBAL CAPITALAPPRECIATIN FUND -C- EUR CAP

EUR 153.060 2,550,522.96 0.492,624,842.40

9,075 JPMORGAN LIQUIDITY FUNDS - US DOLLARTREASURY LIQUIDITY -C- CAP

USD 10,134.940 80,795,460.33 15.6283,354,594.53

37,485 MORGAN STANLEY INV US PROP-Z- USD 59.780 1,968,600.09 0.381,943,910.589,626 NN L EUR SC EXF PC -P- CAP EUR 368.080 3,543,196.97 0.683,542,426.88

790 NN L FOOD B PC -P- CAP USD 2,143.860 1,487,537.13 0.291,463,496.2882,979 NORDEA 1 DANISH MTGE-BI-BASE-FD DKK 233.950 2,605,319.42 0.502,561,635.74

186,602 NORDEA 1 SICAV STABLE RET -BI- EUR 17.730 3,308,460.55 0.643,275,762.30256,732 NORDEA-1 NORWEGIAN BOND FUND -BI- NOK NOK 216.640 5,905,297.39 1.145,730,456.50

2,326 PARVEST BD EUR LT-I-FD EUR 923.790 2,149,178.96 0.422,063,029.40108,536 PARVEST BOND JPY -I- CAP JPY 3,784.000 3,215,377.94 0.622,811,757.43605,426 PARVEST MONEY MARKET EURO -I- CAP EUR 72.221 43,724,368.33 8.4543,734,845.05

30,104 PICTET FD LUX EUR GOVERNMENT BONDS-I-CAP EUR 163.150 4,911,493.70 0.954,829,911.433,061 PICTET FDS(LUX)VAR EMERGING MKTS-I-CAP USD 482.510 1,297,720.03 0.251,304,942.32

24,429 PICTET GL BDS -I EUR-CAP EUR 168.460 4,115,226.79 0.794,052,445.52319,371 PICTET SICAV USD LIQUIDITY -I- CAP USD 135.559 38,033,627.88 7.3539,334,117.99

29,346 ROBECO CG ALL STRAT EURO BD-IH-EUR EUR 154.990 4,548,355.14 0.884,455,034.4839,392 ROBECO EURO GOVERNMENT BONDS -IH- EUR EUR 167.390 6,593,836.92 1.276,483,539.1650,249 ROBECO FLEX-O-RENTE -IH- EUR CAP EUR 117.230 5,890,701.99 1.145,866,762.5822,653 ROBECO LUX-O-RENTE -I- EUR- CAP EUR 160.220 3,629,455.65 0.703,470,431.94

222,357 SCHRODER INT SEL FD GLOBAL BOND -C- CAP USD 13.050 2,549,207.62 0.492,561,348.5922,408 THREADNEEDLE L EME MKT DEBT -AU- USD 63.550 1,251,036.16 0.241,274,254.89

942 UBAM - US DOLLAR BOND -I- USD CAP USD 2,724.190 2,254,259.45 0.442,285,412.0111,729 VONTOBEL FUND - BOND GLOBAL AGGREGATE -HI-

USDUSD 141.300 1,455,995.77 0.281,534,781.95


368,534 BNY MELLON INV FD ASIAN INCOME -INS- CAP GBP 3.019 1,403,291.42 0.271,373,673.15

UNITED KINGDOM

220,624 M&G GLOBAL MACRO BD -USD- C ACC USD 11.684 2,264,518.35 0.442,288,264.86642,217 NEWTON GLOBAL HIGHER INCOME FUND INST. GBP 2.742 2,221,190.68 0.432,174,974.94


GBP 0.969 4,049,127.08 0.784,015,825.91

Ccy

385


STRATEGY SUB-FUNDS

QUAM 5



security

Marketvalue

(see notes)

% ofnet

assets

890,776 THREADNEEDLE INVESTMENT FUNDS -THREADNEEDLE STERLING BOND RETAIL GROSS

GBP 1.170 1,314,365.87 0.251,349,932.15






TOTAL NET ASSETS 100.00517,688,375.97

Ccy

386


STRATEGY SUB-FUNDS

QUAM 5


March 31, 2016(in %)

Luxembourg 71.46Ireland 18.91France 3.29United Kingdom 2.17Germany 0.25



96.08

% ofnet

assets

COUNTRIES

387


STRATEGY SUB-FUNDS

QUAM 5


March 31, 2016(in %)



assets



96.08

388


STRATEGY SUB-FUNDS

QUAM 7


ASSETS

Portfolio: (see notes)- Cost 215,223.59- Net unrealised result (1,995.22)

213,228.37

Cash:- Cash at sight 288,408.18- Cash at sight by the broker (see notes) 5,556.45- Time deposits (see notes) 2,500,000.00

Other assets:- Unrealised gain on futures (see notes) 2,983.71

3,010,176.71

LIABILITIES

Bank overdraft:- Margin call 517.54

Other liabilities:- Taxes and expenses payable 4,085.70- Unrealised loss on futures (see notes) 501.06- Interest payable 29.72

5,134.02

NET ASSETS 3,005,042.69

(in EUR)


99.81100.0000


Class A EUR

99.8330,002.0000


Class E EUR

389


STRATEGY SUB-FUNDS

QUAM 7

STATEMENT OF OPERATIONS AND CHANGES IN NET ASSETSPeriod from March 22, 2016 to March 31, 2016


EXPENSES


Fees:- Management fee (see notes) 371.15- Performance fee (see notes) 3,485.72- Custodian fee and safekeeping charges (see notes) 104.60

Other expenses:- Annual tax (see notes) 76.14- Transaction fees (see notes) 297.86- Administration and other expenses (see notes) 73.09

5,154.11


Net realised result on:- Investments (see notes) 260.00- Foreign exchange (750.63)


Change in net unrealised appreciation/(depreciation) on:- Investments (1,995.22)- Futures 2,482.65


(5,157.31)


Subscriptions of shares 3,010,200.003,010,200.00


(in EUR)


390



TER for Classes A EUR and E EUR are not representative.


Class A EUR

-

Class E EUR

-

391


STRATEGY SUB-FUNDS

QUAM 7


Period from March 22, 2016 to March 31, 2016



Date ShareClass

Number of shares

outstanding

NetAssets

Ccy Net assetvalue

per share

* First valuation

100.0000 100.0010,000.00Class A EUR03.22.16* EUR30,001.0000 100.003,000,100.00Class E EUR EUR

100.0000 99.819,980.97Class A EUR03.31.16 EUR30,002.0000 99.832,995,061.72Class E EUR EUR

Class A EUR






Highest 100.0403.23.16

Lowest 99.8103.31.16


SHARES

Class E EUR

0.0000

30,002.0000

(0.0000)

30,002.0000

EUR

100.0403.23.16

99.8303.31.16

99.83

392


STRATEGY SUB-FUNDS

QUAM 7





security

Marketvalue

(see notes)

% ofnet

assets

679 ISHARES HIGH YIELD CAPPED BOND USD 98.77 58,916.66 1.9659,992.02

IRELAND


INVESTMENT FUNDS

976 ISHARES II PLC JP MORGAN USD EME MKT BD USD 109.69 94,050.29 3.1395,033.49587 ISHARES PLC MARKIT IBOXX EUR HY BD DIS EUR 102.66 60,261.42 2.0160,198.08

7.10213,228.37215,223.59TOTAL IRELAND


TOTAL INVESTMENT FUNDS 7.10213,228.37215,223.59

TOTAL INVESTMENTS IN SECURITIES 7.10213,228.37215,223.59


TOTAL NET ASSETS 100.003,005,042.69

Ccy

393


STRATEGY SUB-FUNDS

QUAM 7


March 31, 2016(in %)

Ireland 7.10



7.10

% ofnet

assets

COUNTRIES

394


STRATEGY SUB-FUNDS

QUAM 7


March 31, 2016(in %)



assets



7.10

395


STRATEGY SUB-FUNDS

QUAM 10


ASSETS


515,070,417.08


Other assets:- Receivable on subscriptions 1,044,420.14- Interest receivable 471.64- Receivable for investments sold 16,259,946.34- Unrealised gain on forward foreign exchange contracts (see notes) 7,279,652.79- Receivable on foreign exchange transactions 16,494,509.35- Other 612.54

592,175,679.09

LIABILITIES

Bank overdraft:- Cash at sight 3,390,045.03- Cash at sight by the broker (see notes) 2,110,000.00

Other liabilities:- Payable on redemptions 566,750.30- Taxes and expenses payable 1,306,625.87- Payable on foreign exchange transactions 16,530,643.00- Payable for investments purchased 40,080,265.79- Unrealised loss on forward foreign exchange contracts (see notes) 2,444,265.55- Other 61,875.72

66,490,471.26

NET ASSETS 525,685,207.83

(in EUR)


123.7963,358.7050


Class A CHF

154.53285,518.9270


Class A EUR

164.43561,308.2600


Class A USD

117.7714,023.1590


Class B CHF DIS

396


STRATEGY SUB-FUNDS

QUAM 10


(in EUR)


146.4122,521.3830


Class B EUR DIS

157.328,864.0440


Class B USD DIS

116.423,041.0000


Class D CHF

116.0485,392.0300


Class D EUR

99.6620,705.3400


Class D USD

121.653,348,377.7640


Class E CHF

92.6927,026.0000


Class M EUR

98.12946.9900


Class R EUR

397


STRATEGY SUB-FUNDS

QUAM 10



INCOME


6,091,670.37

EXPENSES




6,638,072.69




Change in net unrealised appreciation/(depreciation) on:- Investments (21,620,622.73)- Forward foreign exchange contracts (6,303,883.73)


(94,743,672.72)



4,660,223.68



(in EUR)


398



Class A CHF






Highest 142.7904.13.15

Lowest 121.0901.20.16


SHARES

Class A EUR

352,263.8620

64,299.9100

(131,044.8450)

285,518.9270

EUR

176.4604.13.15

151.0701.20.16

154.53

Class A USD

420,220.2790

254,034.7900

(112,946.8090)

561,308.2600

USD

187.7104.13.15

160.4201.20.16

164.43

Class B CHF DIS

22,489.6550

5,485.0000

(13,951.4960)

14,023.1590

CHF

139.9504.13.15

115.2101.20.16

117.77

Class B EUR DIS

32,100.9640

7,224.2090

(16,803.7900)

22,521.3830

EUR

173.2904.13.15

143.1301.20.16

146.41

399



Class B USD DIS






Highest 184.9704.13.15

Lowest 153.4901.20.16


SHARES

Class D CHF

5,841.0000

800.0000

(3,600.0000)

3,041.0000

CHF

133.4504.13.15

113.8001.20.16

116.42

Class D EUR

143,365.3210

9,163.2440

(67,136.5350)

85,392.0300

EUR

131.8204.13.15

113.3501.20.16

116.04

Class D USD

22,176.7640

2,278.0000

(3,749.4240)

20,705.3400

USD

113.0004.13.15

97.1501.20.16

99.66

Class E CHF

3,365,108.7640

6,510.0000

(23,241.0000)

3,348,377.7640

CHF

139.0204.13.15

118.8501.20.16

121.65

400



Class M EUR






Highest 101.1406.24.15

Lowest 90.4001.20.16


SHARES

Class R EUR

927.9900

194.0000

(175.0000)

946.9900

EUR

112.6704.13.15

96.0101.20.16

98.12

401





Class A CHF

2.07

Class A EUR

2.08

Class A USD

2.08

Class B CHF DIS

2.08


Class B EUR DIS

2.08

Class B USD DIS

2.09

Class D CHF

1.66

Class D EUR

1.66


Class D USD

1.66

Class E CHF

1.41

Class M EUR

0.86

Class R EUR

2.58

402


STRATEGY SUB-FUNDS

QUAM 10



Date ShareClass

Number of shares

outstanding

NetAssets

Ccy Net assetvalue

per share

* First valuation



6,483.5524 167.021,082,913.64Class B USD DIS USD237,919.8160 120.9128,767,060.25Class D CHF CHF205,960.5203 117.8424,270,950.52Class D EUR EUR

20,671.7649 101.752,103,331.36Class D USD USD2,271,646.1140 125.61285,346,358.35Class E CHF CHF

8,858.3379 101.53899,422.83Class R EUR EUR

4,688.5500 100.55471,438.49Class M EUR06.22.15* EUR


22,489.6550 137.543,093,145.50Class B CHF DIS CHF32,100.9640 170.205,463,634.58Class B EUR DIS EUR13,326.4330 181.732,421,781.07Class B USD DIS USD

5,841.0000 131.13765,948.25Class D CHF CHF143,365.3210 129.4618,559,875.66Class D EUR EUR

22,176.7640 111.002,461,624.11Class D USD USD3,365,108.7640 136.59459,632,940.39Class E CHF CHF

927.9900 110.68102,706.82Class R EUR EUR



8,864.0440 157.321,394,508.94Class B USD DIS USD3,041.0000 116.42354,046.21Class D CHF CHF

85,392.0300 116.049,909,170.28Class D EUR EUR20,705.3400 99.662,063,485.94Class D USD USD

3,348,377.7640 121.65407,320,456.74Class E CHF CHF27,026.0000 92.692,505,091.62Class M EUR EUR

946.9900 98.1292,914.52Class R EUR EUR

403


STRATEGY SUB-FUNDS

QUAM 10





security

Marketvalue

(see notes)

% ofnet

assets

10,123,095 BNY REAL RET CL.-C- USD USD 1.374 12,221,882.63 2.3312,840,841.49

IRELAND



2.3312,221,882.6312,840,841.49TOTAL IRELAND

121,557 AGIF THAILAND EQUITY -IT- USD CAP USD 46.960 5,014,771.89 0.955,034,865.28

LUXEMBOURG

23,431 PARVEST EQ HIGH DVD USA-I- CAP USD USD 145.720 2,999,466.27 0.572,996,010.481.528,014,238.168,030,875.76TOTAL LUXEMBOURG



3.8520,236,120.7920,871,717.25

185,273 PETERCAM BONDS EUR-F EUR 82.060 15,203,502.38 2.8914,918,460.97

BELGIUM


INVESTMENT FUNDS

2.8915,203,502.3814,918,460.97TOTAL BELGIUM

17,402 AMUNDI OBLIG INTERNATIONALES -I- 3DEC USD 659.740 10,086,139.66 1.9210,214,195.40

IRELAND

209 AMUNDI TRESO EONIA ISR -I- CAP EUR 220,097.572 46,068,622.71 8.7646,068,421.5928,919 ISHARES HIGH YIELD CAPPED BOND USD 98.770 2,509,294.24 0.482,555,094.43

338,527 ISHARES II PLC FTSE ASIA PROPERTY YIELD USD 24.930 7,414,107.10 1.417,423,898.93313,755 ISHARES MSCI BRAZIL UCITS ETF (DIST) USD 21.520 5,931,659.14 1.136,071,463.20

47,324 ISHS BARCLAYS EURO GOVERNMENT BOND 10-15 EUR 177.830 8,415,626.92 1.608,109,270.27350,147 ISHS DEVELOPED MARKETS PROPERTY YIELD UC USD 25.240 7,763,955.27 1.487,658,229.01238,622 ISHS GLOBAL INFRASTRUCTURE UCITS ETF USD 23.860 5,001,775.38 0.955,012,922.56

17.7393,191,180.4293,113,495.39TOTAL IRELAND

679,463 ABERDEEN GLB II GLB BD -J2- USD 15.331 9,151,288.47 1.749,073,683.40

LUXEMBOURG

11,973 ABERDEEN GLOBAL II EURO GOVERNMENT BONDFUND -A2-

EUR 525.625 6,293,264.88 1.206,137,974.91

1,088,650 ABERDEEN GLOBAL II GLOBAL GOVERNMENTBOND FUND -J2- CAP

USD 8.561 8,187,879.53 1.568,135,911.57

3,483 AM FD BD GLO EME LOC CCY IU USD 1,655.320 5,064,482.30 0.965,100,327.52562,975 AMUNDI BOND GLOBAL -AU- CAP USD 26.560 13,135,918.71 2.5013,313,598.21

4,421 AMUNDI EQUITY ASEAN -IU- CAP USD 908.240 3,527,566.50 0.673,550,438.992,867 AMUNDI EQUITY GLB AGRICULTURE -IU- CAP USD 999.650 2,518,199.41 0.482,541,387.068,525 AMUNDI EQUITY GLOBAL RESOURCE -IU- CAP USD 607.640 4,550,739.43 0.874,051,303.56

15,133 AMUNDI FUNDS - INDEX GLOBAL BOND -IE- EURCAP

EUR 1,380.180 20,885,863.69 3.9620,741,648.96

136,637 AVIVA INV LT EUR BD -A- CAP EUR 17.640 2,410,238.86 0.462,317,216.27102,931 BNP PARIBAS INSTICASH -I- USD CAP USD 148.826 13,457,601.73 2.5614,105,053.49

Ccy

404


STRATEGY SUB-FUNDS

QUAM 10



security

Marketvalue

(see notes)

% ofnet

assets

1,590,134 BRGF EMERGING MARKETS BD FD -A2- USD CAP USD 15.830 22,113,516.65 4.2022,124,090.92262,723 BRGF LOCAL EME MKT SHORT DUR BD -A2- CAP USD 22.230 5,130,747.67 0.985,110,577.04

25,685 CANDRIAM BD GL HY-I-FD EUR 195.100 5,011,069.36 0.955,006,959.8287,816 D INV I EM CORP FCC SHS -USD FC- CAP USD 138.620 10,694,033.10 2.0310,753,549.3639,484 D INV I EM CORPFCHC SHS -FCH- CAP EUR 127.930 5,051,213.71 0.965,012,519.19

8,686 DEXIA BONDS SICAV BD EME MKT -I- CAP USD 2,353.370 17,957,496.98 3.4218,136,339.03108,497 GENERALI INV VAR ASIAN BOND -B- CAP USD 107.185 10,216,328.44 1.9410,232,159.64493,894 GS GRW EM MKT DB LOC PTF-BASE- USD 10.490 4,551,479.77 0.874,474,240.48186,249 HSBC GLB INV FDS VAR THAI EQUITY -I- CAP USD 18.166 2,972,330.88 0.573,021,351.06

13,951 ING L SICAV RENTA FD EURO -P- CAP EUR 552.830 7,712,299.14 1.477,637,384.53152,086 JPMF LATIN AMERICA EQUITY FD -C- USD CAP USD 23.590 3,151,805.96 0.603,093,032.58

35,399 JPMORGAN FD VAR EME MKT BD FD -C USD-CAP USD 521.630 16,221,845.23 3.0916,391,495.472,324 JPMORGAN LIQUIDITY FUNDS - US DOLLAR

TREASURY LIQUIDITY -C- CAPUSD 10,134.940 20,687,457.69 3.9421,623,203.73

183,579 MSIF EM D DEBT -Z- CAP USD 28.000 4,515,688.13 0.864,505,817.5618,634 NN L EM DB LB -P- CAP USD 254.740 4,170,030.91 0.794,141,216.53

1,033 NN (L) EME MKT DEBT (LOCAL BD) I CAP USD 5,114.670 4,639,598.35 0.884,597,123.0523,998 NN (L) EURO LONG DURATION BOND -P- EUR CAP EUR 464.380 11,144,404.85 2.1210,640,505.24

279,323 N1 GL ST EQ BIC -BI-BASE CURRENCY- CAP EUR 20.250 5,656,282.85 1.085,700,974.473,296 PARVEST BD EUR LT-I-FD EUR 923.790 3,044,811.84 0.583,013,368.00

46,077 PICTET SICAV USD LIQUIDITY -I- CAP USD 135.559 5,487,225.15 1.045,706,605.2251,815 ROBECO EURO GOVERNMENT BONDS -IH- EUR EUR 167.390 8,673,364.74 1.658,409,624.81

159,626 ROBECO LUX-O-RENTE -I- EUR- CAP EUR 160.220 25,575,255.29 4.8624,940,542.40364,585 SCHRODER INT SEL EME DBT ABS RET -C- CAP USD 30.030 9,618,289.78 1.839,545,376.87


4,601,399 BNY MELLON INV FD ASIAN INCOME -INS- CAP GBP 3.019 17,521,067.07 3.3317,354,932.25

UNITED KINGDOM

7,055,568 NEWTON GLOBAL HIGHER INCOME FUND INST. GBP 2.742 24,402,583.11 4.6523,653,287.035,711,534 NEWTON INTERNATIONAL BOND FUND INST. GBP 2.772 19,970,917.76 3.8019,853,817.85


GBP 0.969 21,365,425.57 4.0621,437,968.04






TOTAL NET ASSETS 100.00525,685,207.83

Ccy

405


STRATEGY SUB-FUNDS

QUAM 10


March 31, 2016(in %)

Luxembourg 59.19Ireland 20.06United Kingdom 15.84Belgium 2.89



97.98

% ofnet

assets

COUNTRIES

406


STRATEGY SUB-FUNDS

QUAM 10


March 31, 2016(in %)



assets



97.98

407


STRATEGY SUB-FUNDS

QUAM 15


ASSETS

Cash:- Cash at sight 7,498,207.64- Cash at sight by the broker (see notes) 1,830,209.08- Time deposits (see notes) 40,200,000.00

Other assets:- Receivable for investments sold 19,112.98- Unrealised gain on futures (see notes) 365,775.54- Unrealised gain on forward foreign exchange contracts (see notes) 73,671.90- Other 149,557.11

50,136,534.25

LIABILITIES


Other liabilities:- Payable on redemptions 19,112.98- Taxes and expenses payable 127,479.94- Payable on foreign exchange transactions 18,877.40- Unrealised loss on futures (see notes) 179,041.57- Unrealised loss on forward foreign exchange contracts (see notes) 74,134.20- Interest payable 950.67

569,436.08

NET ASSETS 49,567,098.17

(in EUR)


105.225,087.6370


Class A CHF

139.4875,710.9180


Class A EUR

95.061,191.0000


Class A GBP

146.8921,500.5960


Class A USD

86.853,959.6210


Class B CHF DIS

408


STRATEGY SUB-FUNDS

QUAM 15


(in EUR)


90.65588.9470


Class B USD DIS

111.8071.0860


Class D CHF

104.451,238.0220


Class D EUR

87.37350,120.8270


Class E CHF

122.6958,001.0000


Class E EUR

409


STRATEGY SUB-FUNDS

QUAM 15



INCOME


1,329,431.02

EXPENSES




1,162,960.45




Change in net unrealised appreciation/(depreciation) on:- Investments (4,614,067.49)- Forward foreign exchange contracts (1,154,094.07)- Futures 186,733.97


(21,048,718.05)



(74,142,157.71)



(in EUR)


410



Class A CHF






Highest 133.1104.13.15

Lowest 103.4901.18.16


SHARES

Class A EUR

104,039.0460

3,827.8130

(32,155.9410)

75,710.9180

EUR

174.3104.13.15

137.0801.18.16

139.48

Class A GBP

1,382.9750

0.0000

(191.9750)

1,191.0000

GBP

119.3704.13.15

93.1301.15.16

95.06

Class A USD

40,521.3930

0.0000

(19,020.7970)

21,500.5960

USD

183.1704.13.15

144.0301.18.16

146.89

Class B CHF DIS

3,959.6210

0.0000

(0.0000)

3,959.6210

CHF

109.9904.13.15

85.4201.18.16

86.85

411



Class B USD DIS






Highest 113.2404.13.15

Lowest 88.8801.18.16


SHARES

Class D CHF

305,003.9960

70.0860

(305,002.9960)

71.0860

CHF

142.6804.27.15

109.8701.18.16

111.80

Class D EUR

1,779.0450

0.0000

(541.0230)

1,238.0220

EUR

129.8904.13.15

102.5601.15.16

104.45

Class E CHF

121.0000

391,144.8270

(41,145.0000)

350,120.8270

CHF

111.1004.13.15

85.8201.15.16

87.37

Class E EUR

529,920.0000

0.0000

(471,919.0000)

58,001.0000

EUR

152.2104.13.15

120.4101.15.16

122.69

412




Class A CHF

1.30

Class A EUR

1.32

Class A GBP

1.32

Class A USD

1.31


Class B CHF DIS

1.32

Class B USD DIS

1.31

Class D CHF

0.99

Class D EUR

0.88


Class E CHF

0.63

Class E EUR

0.60

413


STRATEGY SUB-FUNDS

QUAM 15



Date ShareClass

Number of shares

outstanding

NetAssets

Ccy Net assetvalue

per share

22,927.8170 118.212,710,282.92Class A CHF03.31.14 CHF148,705.1878 153.0022,752,629.03Class A EUR EUR

6,576.9750 104.67688,436.94Class A GBP GBP45,461.9803 161.807,355,562.64Class A USD USD

4,440.8590 97.67433,760.75Class B CHF DIS CHF587.9470 99.9858,783.80Class B USD DIS USD

305,002.9960 125.8338,379,300.16Class D CHF CHF86,368.8677 113.959,841,331.41Class D EUR EUR

1,255,131.5049 107.55134,994,661.76Class E CHF CHF567,473.0000 132.7075,304,152.89Class E EUR EUR

11,098.7630 128.851,430,053.99Class A CHF03.31.15 CHF104,039.0460 168.6317,543,631.61Class A EUR EUR



305,003.9960 137.9042,059,819.55Class D CHF CHF1,779.0450 125.64223,512.65Class D EUR EUR

121.0000 107.5213,009.79Class E CHF CHF529,920.0000 147.2178,008,148.06Class E EUR EUR

5,087.6370 105.22535,342.46Class A CHF03.31.16 CHF75,710.9180 139.4810,560,051.55Class A EUR EUR



71.0860 111.807,947.77Class D CHF CHF1,238.0220 104.45129,310.82Class D EUR EUR

350,120.8270 87.3730,591,428.47Class E CHF CHF58,001.0000 122.697,115,863.51Class E EUR EUR

414


STRATEGY SUB-FUNDS

QUAM SUSTAINABLE 10


ASSETS


2,709,488.02

Cash:- Cash at sight 294,774.56

Other assets:- Interest receivable 3.65- Unrealised gain on forward foreign exchange contracts (see notes) 27,226.09

3,031,492.32

LIABILITIES

Other liabilities:- Taxes and expenses payable 12,714.42- Payable for investments purchased 128,204.58- Unrealised loss on forward foreign exchange contracts (see notes) 1,990.99

142,909.99

NET ASSETS 2,888,582.33

(in EUR)


103.6327,775.9900


Class A EUR

102.64100.0000


Class M EUR

415


STRATEGY SUB-FUNDS

QUAM SUSTAINABLE 10



INCOME

Income from investments: (see notes)- Dividends, net 3,769.77Bank interest, net 1,085.74Reversal of accruals (see notes) 29,147.37Other income 10,803.41

44,806.29

EXPENSES


Other expenses:- Annual tax (see notes) 606.72- Amortisation of formation/reorganisation expenses (see notes) 5,555.36- Transaction fees (see notes) 24,335.58- Administration and other expenses (see notes) 2,421.63

77,780.34




Change in net unrealised appreciation/(depreciation) on:- Investments (83,159.44)- Forward foreign exchange contracts 27,672.65


(196,891.92)


Redemptions of shares (36,968.80)(36,968.80)


(in EUR)


416

EDMOND DE ROTHSCHILD FUND QUAM SUSTAINABLE 10


Class A EUR






Highest 112.8404.14.15

Lowest 102.9601.21.16


SHARES

Class M EUR

100.0000

0.0000

(0.0000)

100.0000

EUR

111.7804.14.15

101.7201.21.16

102.64

417

EDMOND DE ROTHSCHILD FUND QUAM SUSTAINABLE 10




Class A EUR

1.93

Class M EUR

0.57

418


STRATEGY SUB-FUNDS

QUAM SUSTAINABLE 10



Date ShareClass

Number of shares

outstanding

NetAssets

Ccy Net assetvalue

per share

** Last valuation

25,604.9909 100.142,564,119.29Class A EUR03.31.14 EUR413,815.2000 116.7848,325,235.30Class M EUR EUR

55,827.9909 98.535,500,900.2201.31.14 Class E EUR** EUR

28,105.9900 110.713,111,519.04Class A EUR03.31.15 EUR100.0000 109.2410,924.01Class M EUR EUR

27,775.9900 103.632,878,318.76Class A EUR03.31.16 EUR100.0000 102.6410,263.57Class M EUR EUR

419


STRATEGY SUB-FUNDS

QUAM SUSTAINABLE 10





security

Marketvalue

(see notes)

% ofnet

assets

88,398 ABER ETH WD EQ -A- GBP GBP 1.325 147,694.65 5.11148,461.96

UNITED KINGDOM






750 ERSTE RESP BD FD EUR 171.000 128,250.00 4.44127,935.00

AUSTRIA


INVESTMENT FUNDS

6,920 ESPA BD EUR-MUEND - THESAURIER EUR 14.670 101,513.61 3.51100,452.657.95229,763.61228,387.65TOTAL AUSTRIA

591 CANDRIAM SUSTAINABLE EURO BONDS FUND -I-EUR

EUR 369.970 218,678.17 7.57215,385.91

BELGIUM

472 DEXIA SUSTAINABLE EUR CORP BOND -C- CAP EUR 458.420 216,300.89 7.49215,239.2515.06434,979.06430,625.16TOTAL BELGIUM

284 LBPAM RESPONSABLE PREMIERE LONG TERME -C- EUR 416.820 118,218.49 4.10116,287.04

FRANCE

4,560 LF OBLIGAT EUR -C- 5 DEC EUR 25.420 115,917.49 4.01114,367.068.11234,135.98230,654.10TOTAL FRANCE

2 AMUNDI TRESO EONIA ISR -I- CAP EUR 220,097.572 420,386.36 14.55420,295.18

IRELAND

14.55420,386.36420,295.18TOTAL IRELAND

2,498 BNP PARIBAS INSTICASH -I- USD CAP USD 148.826 326,647.33 11.31334,539.72

LUXEMBOURG

798 CANDRIAM BONDS SICAV SUST EURO -CL- EUR 138.290 110,354.04 3.82107,912.1945 JPMORGAN LIQUIDITY FUNDS - US DOLLAR

TREASURY LIQUIDITY -C- CAPUSD 10,134.940 404,587.38 14.01413,389.82

149 NN (L) EURO LONG DURATION BOND -P- EUR CAP EUR 464.380 69,369.08 2.4066,971.5474 PETERCAM L - BONDS GOVERNMENT SUSTAINABLE

-F-EUR 1,569.160 115,631.40 4.00113,013.19

737 PICTET SICAV USD LIQUIDITY -I- CAP USD 135.559 87,815.16 3.0491,575.97

Ccy

420


STRATEGY SUB-FUNDS

QUAM SUSTAINABLE 10



security

Marketvalue

(see notes)

% ofnet

assets

1,008 ROBECO CG EUR SUST CRED-DH-EUR EUR 127.150 128,123.97 4.44128,204.5843.021,242,528.361,255,607.01TOTAL LUXEMBOURG




Cash/(bank overdraft) 10.20294,774.56Other assets and liabilities (4.00)(115,680.25)

TOTAL NET ASSETS 100.002,888,582.33

Ccy

421


STRATEGY SUB-FUNDS

QUAM SUSTAINABLE 10


March 31, 2016(in %)

Luxembourg 43.02Belgium 15.06Ireland 14.55France 8.11Austria 7.95United Kingdom 5.11



93.80

% ofnet

assets

COUNTRIES

422


STRATEGY SUB-FUNDS

QUAM SUSTAINABLE 10


March 31, 2016(in %)



assets



93.80


423

NOTES TO THE FINANCIAL STATEMENTS

March 31, 2016

GENERAL

EDMOND DE ROTHSCHILD FUND ("the SICAV") is an investment company with variable capital (Société d'Investissement à Capital Variable) with multiple sub-funds formed as a limited liability company under the Law of August 10, 1915 and authorised pursuant to Part I of the amended Law of December 17, 2010. The SICAV was incorporated on June 15, 2000 under the name of R FUND for an unlimited duration. The SICAV was renamed LCF ROTHSCHILD FUND on October 4, 2000 and EDMOND DE ROTHSCHILD FUND on December 31, 2003. The Articles were amended for the last time on July 28, 2015 and the deed of amendment was published in the Memorial on October 6, 2015. These documents are available for inspection at the Registry of Trade and Companies in Luxembourg, and copies may be obtained on request upon payment of the administrative costs as determined by Grand-Ducal Regulation. The SICAV is registered with the Registry of Trade and Companies in Luxembourg under number B 76441. As at March 31, 2016, the SICAV includes the following Sub-Funds: Bond Sub-Funds Government Bond Sub-Funds - EDMOND DE ROTHSCHILD FUND - EURO GOVERNMENT

BONDS MID TERM (liquidated on December 15, 2015) - EDMOND DE ROTHSCHILD FUND - EURO LONG DURATION

GOVT BONDS (launched on July10, 2015)

Convertible Bond Sub-Funds - EDMOND DE ROTHSCHILD FUND - CONVERTIBLE EUROPE

ALL CAPS - EDMOND DE ROTHSCHILD FUND - EUROPE

CONVERTIBLES (launched on January 29, 2016) - EDMOND DE ROTHSCHILD FUND - GLOBAL

CONVERTIBLES (launched on January 29, 2016) - EDMOND DE ROTHSCHILD FUND - GLOBAL CONVEXITY

(launched on January 29, 2016) Bond Sub-Funds - EDMOND DE ROTHSCHILD FUND - EURO CREDIT SHORT

TERM - EDMOND DE ROTHSCHILD FUND - GLOBAL CROSSOVER

BONDS - EDMOND DE ROTHSCHILD FUND - EMERGING BONDS

(launched on January 29, 2016)

Corporate Bond Sub-Funds - EDMOND DE ROTHSCHILD FUND - EMERGING CORPORATE

BONDS

- EDMOND DE ROTHSCHILD FUND - EURO IG CORPORATE BONDS

- EDMOND DE ROTHSCHILD FUND - US IG CORPORATE BONDS

- EDMOND DE ROTHSCHILD FUND - SIGNATURES EURO HIGH YIELD (launched on July 3, 2015)

Equity Sub-Funds - EDMOND DE ROTHSCHILD FUND - EUROPE VALUE

(liquidated on January 8, 2016) - EDMOND DE ROTHSCHILD FUND - RETURN PLUS - EDMOND DE ROTHSCHILD FUND - INCOME EUROPE - EDMOND DE ROTHSCHILD FUND - PREMIUMSPHERE - EDMOND DE ROTHSCHILD FUND - SELECTIVE EUROPE - EDMOND DE ROTHSCHILD FUND - EUROPE SYNERGY

(launched on January 21, 2016) - EDMOND DE ROTHSCHILD FUND - EUROPE VALUE &

YIELD (launched on January 14, 2016) - EDMOND DE ROTHSCHILD FUND - GLOBAL EMERGING

(launched on February 5, 2016) - EDMOND DE ROTHSCHILD FUND - US VALUE & YIELD

(launched on January 21, 2016) - EDMOND DE ROTHSCHILD FUND - EUROPE FLEXIBLE

(launched on January 21, 2016) - EDMOND DE ROTHSCHILD FUND - GLOBAL HEALTHCARE (launched on July 2, 2015) - EDMOND DE ROTHSCHILD FUND - GLOBAL VALUE (launched on July 9, 2015) - EDMOND DE ROTHSCHILD FUND - INFRASPHERE (launched on February 5, 2016) - EDMOND DE ROTHSCHILD FUND - CHINA (launched on June 25, 2015) - EDMOND DE ROTHSCHILD FUND - GLOBAL DATA (launched on August 31, 2015)

Strategy Sub-Funds - EDMOND DE ROTHSCHILD FUND - QUAM 5 - EDMOND DE ROTHSCHILD FUND - QUAM 7

(launched on March 22, 2016) - EDMOND DE ROTHSCHILD FUND - QUAM 10 - EDMOND DE ROTHSCHILD FUND - QUAM 15 - EDMOND DE ROTHSCHILD FUND - QUAM SUSTAINABLE 10

The main objective of the SICAV is to preserve the capital in real terms and ensure the growth of its assets. Obviously, no guarantee is given that this objective will be achieved. The SICAV intends to achieve this objective by the active management of the Sub-Funds which can be divided into five categories. The first category deals primarily with short-term transferable securities and money market instruments. The second category concentrates exclusively on bonds. The third category concerns exclusively stocks and shares. The fourth category invests both in international bonds and equities. Lastly, the fifth category offers specifically profiled investments in terms of risk/return or a combination of both in the makeup of its portfolio.


424

GENERAL (continued)

At the date of the report there is not active Sub-Fund corresponding to first category and fourth category, Generally speaking, the Sub-Funds' portfolios will consist of transferable securities, without restriction or limitation as to industrial, economic or geographical diversification, unless otherwise specifically defined in the investment policy of each Sub-Fund offered. Shares are issued in registered form for each Sub-Fund. Fractions of shares are issued with four decimal places. The Management Company may create within each Sub-Fund different classes of Shares whose assets will be commonly invested pursuant to the specific investment policy of the relevant Sub-Fund. Such Classes are distinguished by their fee structure, their distribution policy, their liquidity, and the minimum subscription applicable to them (this list is not exhaustive). The features of the relevant Classes issued within each Sub-Fund will be as set out in the relevant Data Sheets. The Classes in certain Sub-Funds may themselves be divided into a number of Sub-Classes, each with a different valuation currency by a decision of the Board. Investors’ attention is drawn to the fact that depending upon the foreign exchange risk hedging operations put in place or not for each Sub-Class (hedged Sub-Classes are denominated “(H)”), investors are exposed to the risk that the Net Asset Value of any Sub-Class denominated in a given valuation currency may change unfavourably in comparison with that of a Sub-Class denominated in a different valuation currency. It is nevertheless stipulated that the expenses related to any financial instruments that may be employed in foreign exchange risk hedging operations for the Sub-Class in question will be allocated exclusively to that Sub-Class. In order to ensure efficient management, the Board of Directors may decide in accordance with the Articles to manage all or a part of the assets of one or more Sub-Funds together with those of other Sub-Funds (the pooling technique), or to co-manage the entirety or part of the assets with, if necessary, the exception of a reserve in cash, of one or several Sub-Funds together with the assets of other Luxembourg investment funds, or of one or more sub-funds of other Luxembourg investment funds (the Party or Parties to the Assets under Co-Management) for which the Depositary has been designated as the depositary bank. The co-management of the relevant assets shall be carried out in accordance with the respective investment policies of the Parties to the Assets under Co-Management, where each pursues identical or comparable objectives (the assets so co-managed or pooled being the Assets under Co-Management). The Parties to the Assets under Co-Management shall only participate in any such pooling or co-management arrangements authorised by

their own individual Prospectuses, and in compliance with their own specific investment restrictions. Each Party to the Assets under Co-Management will participate in the Assets under Co-Management in proportion to their contribution to the Assets under Co-Management. The assets shall be attributed to each Party to the Assets under Co-Management in proportion to their contribution to the Assets under Co-Management. The rights of each Party to the Assets under Co-Management which take part shall be applicable to each of the lines of investment of such Assets under Co-Management. Such Assets under Co-Management shall be constituted by the transfer of cash or, if appropriate, other assets of each of the Parties to the Assets under Co-Management. Subsequently, the Board may proceed regularly to make transfers to the Assets under Co-Management. The Assets may equally be transferred back to one of the Parties to the Assets under Co-Management up to the value of the holding of that Party to the Assets under Co-Management. Dividends, interest, and other distributions which are by nature earnings generated within the context of the Asset Co-Management shall be due to each of the Parties to the Assets under Co-Management in proportion to their holding. Such earnings may be retained by the Party to the Assets under Co-Management with a holding, or be reinvested in the Assets under Co-Management. All of the costs and expenses incurred with the context of the Co-Management of Assets shall be debited from the Assets under Co-Management. Such costs and expenses shall be attributed to each Party to the Assets under Co-Management in proportion to the rights of each in respect of the Assets under Co-Management. In the event of a breach of the investment restrictions affecting a Sub-Fund, when such Sub-Fund is a Party to the Assets under Co-Management, the Board of Directors shall, even if the Management Company or, if applicable, the Manager has observed the investment restrictions by applying them to the Assets under Co-Management in question, require that the Management Company or, if applicable, the Manager reduces the investments in question in proportion to the holding of the Sub-Fund in question in the Assets under Co-Management or, if appropriate, shall reduce the holding in the Assets under Co-Management in question such that the investment restrictions are observed in respect of that Sub-Fund. In the event that the SICAV is dissolved or if the Board of Directors decides without the required notice to withdraw the holding of the SICAV or of a Sub-Fund in the Assets under Co-Management, the Assets under Co-Management shall be allocated to the Parties to the Assets under Co-Management, each in proportion to their holding in the Assets under Co-Management.


425

GENERAL (continued)

Investors should be aware of the fact that such Assets under Co-Management are employed solely in order to ensure effective management insofar as all of the Parties to the Assets under Co-Management have the same depositary bank. The Assets under Co-Management do not constitute distinct legal entities and are not directly accessible to investors. Nevertheless, the assets and liabilities of each of the Sub-Funds shall at all times be separate and identifiable. The Board of Directors has decided to merge the following Sub-Funds within Sub-Funds of EDMOND DE ROTHSCHILD FUND: As at June 17, 2015: The Sub-Funds RETURN CHF PLUS, RETURN € PLUS and RETURN $ PLUS of EDMOND DE ROTHSCHILD PRIFUND into the Sub-Fund EDMOND DE ROTHSCHILD FUND - RETURN PLUS. As at June 26, 2015: EDMOND DE ROTHSCHILD CHINA, a French UCITS, into the new Sub-Fund EDMOND DE ROTHSCHILD FUND - CHINA. As at July 3, 2015: • EDMOND DE ROTHSCHILD SIGNATURES EURO

HIGH YIELD, a French UCITS, into the new Sub-Fund EDMOND DE ROTHSCHILD FUND -SIGNATURES EURO HIGH YIELD.

• EDMOND DE ROTHSCHILD GLOBAL HEALTHCARE, a French UCITS, into the new Sub-Fund EDMOND DE ROTHSCHILD FUND - GLOBAL HEALTHCARE.

As at July 10, 2015: • EDMOND DE ROTHSCHILD LONG DURATION

BONDS, a French UCITS, into the new Sub-Fund EDMOND DE ROTHSCHILD FUND - EURO LONG DURATION GOVT BONDS.

• EDMOND DE ROTHSCHILD GLOBAL VALUE, a French UCITS, into the new Sub-Fund EDMOND DE ROTHSCHILD FUND - GLOBAL VALUE.

As at July 16, 2015: • MILLESIMA 2015, a French FCP, into the existing

Sub-Fund EDMOND DE ROTHSCHILD FUND - EURO CREDIT SHORT TERM.

As at January 15, 2016: • EDMOND DE ROTHSCHILD EUROPE VALUE &

YIELD, a French UCITS into the new Sub-Fund EDMOND DE ROTHSCHILD FUND - EUROPE VALUE & YIELD.

As at January 22, 2016: • EDMOND DE ROTHSCHILD EUROPE FLEXIBLE,

a French UICTS, into the new Sub-Fund EDMOND DE ROTHSCHILD FUND - EUROPE FLEXIBLE, EDMOND DE ROTHSCHILD US VALUE & YIELD, a French UCITS into EDMOND DE ROTHSCHILD FUND - US VALUE & YIELD and EDMOND DE ROTHSCHILD EUROPE SYNERGY, a French UCITS into EDMOND DE ROTHSCHILD FUND - EUROPE SYNERGY.

As at February 1, 2016:

• EDMOND DE ROTHSCHILD EMERGING BONDS, a French UCITS into EDMOND DE ROTHSCHILD FUND - EMERGING BONDS, EDMOND DE ROTHSCHILD CONVERTIBLES, a French UCITS into EDMOND DE ROTHSCHILD FUND - EUROPE CONVERTIBLES, EDMOND DE ROTHSCHILD GLOBAL CONVERTIBLES, a French UCITS into EDMOND DE ROTHSCHILD FUND - GLOBAL CONVERTIBLES and EDMOND DE ROTHSCHILD GLOBAL CONVEXITY, a French UCITS into EDMOND DE ROTHSCHILD FUND - GLOBAL CONVEXITY.

As at February 8, 2016: • EDMOND DE ROTHSCHILD INFRASPHERE,

a French UCITS into EDMOND DE ROTHSCHILD FUND - INFRASPHERE and EDMOND DE ROTHSCHILD GLOBAL EMERGING into EDMOND DE ROTHSCHILD FUND - GLOBAL EMERGING.

SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

The financial statements have been prepared in accordance with Luxembourg regulations relating to undertakings for collective investment funds and reflect the following policies: a) Combined financial statements

The various positions of the combined financial statements of the SICAV are equal to the sum of the various corresponding positions in the financial statements of each Sub-Fund and are expressed in euros (EUR). Bank accounts, other net assets/(liabilities), the value of the portfolio securities, the income and fees that are expressed in a currency other than EUR were converted to EUR at the exchange rates prevailing on March 31, 2016.


426

SUMMARY OF SIGNIFICANT

ACCOUNTING POLICIES (continued)

b) Valuation of investments in securities

All securities listed on an official stock exchange or on any other regulated market, operating regularly, recognised and open to the public are valued at the last price known in Luxembourg on the valuation day and, if the security is traded on several markets, on the basis of the last known price on the main market of this security. If the last known price is not representative, the valuation is based on the fair value at which it is expected it can be sold, as determined with prudence and in good faith by the Board of Directors. Unlisted securities or securities not traded on a stock exchange or any other regulated market, operating regularly, recognised and open to the public, are valued based on the fair value at which it is expected they can be sold, as determined with prudence and in good faith by the Board of Directors.

The value of money market instruments with a remaining maturity of 90 days or less are valued by the amortised cost method, which approximates market values. At maturity the difference with the purchase price is disclosed under interest on bonds. Shares or units of undertakings for collective investment are valued on the basis of their last available net asset value.

c) Net realised gain or loss on the sales of investments Realised gains or losses on sales of investments are calculated on the basis of average cost of investments sold.

d) Conversion of foreign currencies

The accounts of all the Sub-Funds of the SICAV are kept in EUR, except the accounts of the Sub-Funds EDMOND DE ROTHSCHILD FUND - EMERGING CORPORATE BONDS and EDMOND DE ROTHSCHILD FUND - US IG CORPORATE BONDS that are kept in USD.

The financial statements of the Sub-Funds are expressed in the above-mentioned currencies. Bank accounts, other net assets/(liabilities) as well as the valuation value of the portfolio securities that are expressed in a currency other than the currency of the Sub-Fund were converted to the applicable currency at the exchange rates prevailing on March 31, 2016. Income and fees in currencies other than the currency of the Sub-Fund were converted to the applicable currency at the exchange rates prevailing on the transaction date.

e) Cost of investments in securities

The cost of investments in securities in currencies other than the currency of the Sub-Fund is converted to the currency of the Sub-Fund at the exchange rate prevailing on the purchase date. The combined cost of investments in securities for the SICAV is equal to the sum of the cost of investments in securities of each Sub-Fund converted to EUR at the exchange rate prevailing on March 31, 2016.

f) Valuation of forward foreign exchange contracts

Unmatured forward foreign exchange contracts are valued by reference to the forward exchange rate prevailing on the remaining life of the contract. The resulting unrealised profit or loss is recorded in the statement of changes in net assets.

g) Valuation of futures contracts

Futures contracts and options are valued based on their closing price the previous day on the market concerned. Prices used are settlement prices on forward markets.

h) Valuation of options

The liquidating value of options contracts traded on exchanges or on Regulated markets is based upon the last available prices of these contracts on exchanges and regulated markets on which the particular futures contracts and options contracts are traded.

i) Valuation of swaps

Swaps are valued at their fair market value based upon the last known price of the underlying asset.

j) Formation expenses

If a new Sub-Fund is created in the future, the preliminary and incorporation expenses of this Sub-Fund will, in principle, be borne by this Sub-Fund exclusively and amortised over a 5 year period, as of the aforesaid Sub-Fund launching date.

k) Income recognition

Dividends are taken into account on the date upon which the relevant investments are first listed as ex-dividend. Interest income is accrued on a daily basis. Income is recorded net of withholding tax, if any.


427

SUMMARY OF SIGNIFICANT

ACCOUNTING POLICIES (continued) l) Cross-investment As at March 31, 2016, the total of cross Sub-Funds’ investment amounts to 53,297,443.50 EUR and therefore total combined net assets value at the level of the SICAV at period-end without cross-investment would amount to 7,768,772,020.10 EUR. Cross-investment concerns the Sub-Funds EDMOND DE ROTHSCHILD FUND - EUROPE FLEXIBLE, EDMOND DE ROTHSCHILD FUND - EUROPE CONVERTIBLES and EDMOND DE ROTHSCHILD FUND - GLOBAL CONVEXITY.

m) Abbreviations

In the statements of investments in securities and other net assets, the abbreviations refer to : XX: Perpetual bonds S: Semi-annual Q: Quarterly M: Monthly A: Annual U: Zero coupon bond

EXCHANGE RATES AS AT MARCH 31, 2016

1 EUR = 16.58615 ARS = 1.48140 AUD = 1.47395 CAD = 1.09125 CHF = 7.35910 CNH = 7.37015 CNY = 7.45030 DKK = 0.79285 GBP = 8.83895 HKD = 314.18000 HUF = 15,110.43375 IDR = 75.46385 INR = 128.07975 JPY = 1,303.18945 KRW = 19.52930 MXN = 4.44595 MYR = 52.47060 PHP = 4.24125 PLN = 9.23800 SEK = 1.53455 SGD = 40.08935 THB = 3.20865 TRY = 36.67525 TWD = 1.13955 USD = 16.76050 ZAR

MANAGEMENT OF THE SICAV The Board of Directors is responsible for the management and the control including the determination of each Sub-Fund's investment policy. Pursuant to a management company agreement entered into with effect from September 1st, 2013, the Board of Directors of the SICAV has appointed Edmond de Rothschild Asset Management (Luxembourg) as Management Company responsible, on a day-to-day basis and under the supervision of the Board of Directors, for the provision of administration, investment management and marketing services in respect of all the Sub-Funds with the possibility to delegate part or all of such functions to third parties. This agreement has been replaced by an agreement dated February 25, 2015 entered into force on January 1, 2015. The Management Company was incorporated as a société anonyme on July 25, 2002 and its articles of incorporation were amended for the last time on September 18, 2014 and published in the Mémorial on November 4, 2014. The Management Company is registered with the Register of Commerce and Companies in Luxembourg under number B 88 591. The Management Company has been authorised by the CSSF to pursue its object, which consists of exercising the business of a management company under the provisions of Chapter 15 of the Law of 2010.

DEPOSITARY AND CENTRAL

ADMINISTRATION Edmond de Rothschild (Europe) has been appointed by the SICAV, in accordance with the Depositary Agreement, as domiciliary and depositary bank of the SICAV for the supervision/oversight (surveillance) of all assets of the SICAV, including those that are not entrusted to, or kept in safe custody by, the Depositary, as well as for the custody/safekeeping (conservation) of the assets of the SICAV that are entrusted to, or kept in safe custody by, the Depositary and the operations concerning the day-to-day administration of such assets. This agreement has been replaced by a Depositary Bank Agreement dated February 25, 2015 came into force on January 1, 2015. By an agreement entered into for an unlimited duration, the Central Administration Agreement, Edmond de Rothschild (Europe) has been appointed, at the request and with the consent of the SICAV, as the SICAV's Administrative Agent, Registrar and Transfer Agent and Paying Agent (collectively, the "Central Administration"). Further to a transfer of activity, Edmond de Rothschild Asset Management (Luxembourg) has been appointed as Central Administration pursuant to a Central Administration Agreement dated February 25, 2015 coming into force on January 1, 2015.


428

DEPOSITARY AND CENTRAL

ADMINISTRATION The Central Administration is in charge of processing of the issue, redemption and conversion of the SICAV’s shares and settlement arrangements thereof, keeping the register of the SICAV’s shareholders, calculating the net asset value per share, maintaining the records and other general functions as more fully described in the Central Administration Agreement. The Central Administration may delegate, with the prior consent of the Management Company and subject to the approval of the CSSF, part or all of its administrative functions and duties to a sub-contractor, which, having regard to the nature of the functions and duties to be delegated, must be qualified and capable of undertaking the duties in question. The Depositary’s commission and the Central Administration’s commission based on the total net assets of each Sub-Fund (excluding the sub-depositary fees) is set at a maximum of 0.30% per annum. Any sub-contractor of the Central Administration is paid by the Administrative Agent out of its own remuneration. FEES ON THE ISSUE AND REDEMPTION

OF THE SICAV’S SHARES The issue of Shares takes place every Valuation Day. The Shares may be subscribed with the Administrative Agent or the Global Distributor or sales agents or distributors. Investors should note that the redemption price of the Shares is based on the Net Asset Value per Share which may significantly vary over time and that therefore, the redemption price may be higher than, equal to, or lower than the price at which the Shares were acquired by the shareholder at the time of their subscription. All shareholders who have subscribed to Shares in the SICAV may, at any time, request the redemption of all or part of their Shares. Requests for conversion should be sent to the Administrative Agent, the Global Distributor, the sales agents or distributors at its registered office in Luxembourg.

INVESTMENT MANAGERS The Management Company has appointed, at the request and with the consent of the SICAV, Edmond de Rothschild Asset Management (France), Edmond de Rothschild Asset Management (UK) Limited and Edmond de Rothschild (Suisse) S.A. as investment managers (the “Investment Managers”) of certain Sub-Funds. Each Investment Manager is in charge of the day-to-day management of the assets of the Sub-Funds for which it has been appointed as investment manager and will deal in investments on account of the relevant Sub-Funds on a discretionary, subject to and in accordance with instructions received from the Management Company from time to time, and in accordance with each Sub-Fund’s investment objective, policy and restrictions. With the consent of the SICAV and the Management Company, each Investment Manager may delegate its investment management function to third parties in respect of one or more Sub-Funds for which it has been appointed as investment manager. Each Investment Manager may, on its own responsibility, appoint one or more investment advisors for each Sub-Fund for which it has been appointed as investment manager. Their mission will be to advise it on investment opportunities and obtain assistance for the Sub-Funds whose assets it manages. The investment advisors appointed by an Investment Manager are paid by the relevant Investment Manager. Edmond de Rothschild Asset Management (France) is a 99.99% subsidiary of Edmond de Rothschild (France), which is a French commercial bank, belonging to the Edmond de Rothschild Group. Edmond de Rothschild Asset Management (France) is registered in the Register of Companies under the number 332 652 536. Edmond de Rothschild Asset Management (France) received its authorisation as an investment firm active in portfolio management in April 15, 2004 from the Financial Markets Authority (AMF) in France, under the number GP04000015. The share capital of Edmond de Rothschild Asset Management (France) is EUR 11,033,769 and is fully paid up. Edmond de Rothschild Asset Management (France) is active in national and international banking operations and asset management for both private and institutional customers. EDMOND DE ROTHSCHILD (SUISSE) S.A., Geneva is a Société Anonyme incorporated under Swiss law and domiciled at 18 Rue de Hesse, CH - 1204 Geneva. The company’s purpose is to run a banking business, in particular private banking for private and institutional clients, both in Switzerland and in other countries.


429

INVESTMENT MANAGERS

(continued) Edmond de Rothschild Asset Management (France) is in charge of the following Sub-Funds: - EDMOND DE ROTHSCHILD FUND - EURO GOVERNMENT

BONDS MID TERM - EDMOND DE ROTHSCHILD FUND - CONVERTIBLE EUROPE

ALL CAPS - EDMOND DE ROTHSCHILD FUND - EUROPE VALUE - EDMOND DE ROTHSCHILD FUND - INCOME EUROPE - EDMOND DE ROTHSCHILD FUND - PREMIUMSPHERE - EDMOND DE ROTHSCHILD FUND - SELECTIVE EUROPE - EDMOND DE ROTHSCHILD FUND - EURO CREDIT SHORT

TERM - EDMOND DE ROTHSCHILD FUND - EUROPE

CONVERTIBLES - EDMOND DE ROTHSCHILD FUND - EUROPE SYNERGY - EDMOND DE ROTHSCHILD FUND - EUROPE VALUE &

YIELD - EDMOND DE ROTHSCHILD FUND - GLOBAL EMERGING - EDMOND DE ROTHSCHILD FUND - US VALUE & YIELD

- EDMOND DE ROTHSCHILD FUND - GLOBAL CROSSOVER

BONDS - EDMOND DE ROTHSCHILD FUND - EMERGING BONDS - EDMOND DE ROTHSCHILD FUND - EUROPE FLEXIBLE - EDMOND DE ROTHSCHILD FUND - GLOBAL

CONVERTIBLES - EDMOND DE ROTHSCHILD FUND - GLOBAL HEALTHCARE - EDMOND DE ROTHSCHILD FUND - GLOBAL VALUE - EDMOND DE ROTHSCHILD FUND - INFRASPHERE

- EDMOND DE ROTHSCHILD FUND - SIGNATURES EURO

HIGH YIELD - EDMOND DE ROTHSCHILD FUND - CHINA - EDMOND DE ROTHSCHILD FUND - GLOBAL CONVEXITY - EDMOND DE ROTHSCHILD FUND - EURO LONG DURATION

GOVT BONDS - EDMOND DE ROTHSCHILD FUND - GLOBAL DATA

Edmond de Rothschild (Suisse) S.A. is in charge of the following Sub-Funds: - EDMOND DE ROTHSCHILD FUND - GLOBAL CROSSOVER

BONDS - EDMOND DE ROTHSCHILD FUND - EMERGING CORPORATE

BONDS - EDMOND DE ROTHSCHILD FUND - EURO IG CORPORATE

BONDS - EDMOND DE ROTHSCHILD FUND - US IG CORPORATE

BONDS

Edmond de Rothschild Asset Management (UK) Limited, a limited company incorporated under English law and domiciled at 4 Carlton Gardens, London SW1Y 5AA, United Kingdom, is a subsidiary of Edmond de Rothschild Limited, London which is itself a subsidiary of Edmond de Rothschild (Europe). Edmond de Rothschild Asset Management (UK) Limited is regulated by the FCA (Financial Conduct Authority). The company’s purpose is to manage individual portfolios and investment funds. Edmond de Rothschild Asset Management (UK) Limited is in charge of the following Sub-Funds:

- EDMOND DE ROTHSCHILD FUND - QUAM 5 - EDMOND DE ROTHSCHILD FUND - QUAM 7 - EDMOND DE ROTHSCHILD FUND - QUAM 10 - EDMOND DE ROTHSCHILD FUND - QUAM 15 - EDMOND DE ROTHSCHILD FUND - RETURN PLUS - EDMOND DE ROTHSCHILD FUND - QUAM SUSTAINABLE 10 - EDMOND DE ROTHSCHILD FUND - PREMIUMSPHERE* - EDMOND DE ROTHSCHILD FUND - EURO CREDIT SHORT

TERM* - EDMOND DE ROTHSCHILD FUND - EUROPE CONVERTIBLES* - EDMOND DE ROTHSCHILD FUND - EUROPE SYNERGY* - EDMOND DE ROTHSCHILD FUND - EUROPE VALUE &

YIELD* - EDMOND DE ROTHSCHILD FUND - US VALUE & YIELD* - EDMOND DE ROTHSCHILD FUND - GLOBAL CROSSOVER

BONDS* - EDMOND DE ROTHSCHILD FUND - EMERGING CORPORATE

BONDS* - EDMOND DE ROTHSCHILD FUND - EURO IG CORPORATE

BONDS* - EDMOND DE ROTHSCHILD FUND - EMERGING BONDS* - EDMOND DE ROTHSCHILD FUND - GLOBAL

CONVERTIBLES* - EDMOND DE ROTHSCHILD FUND - GLOBAL HEALTHCARE* - EDMOND DE ROTHSCHILD FUND - GLOBAL VALUE* - EDMOND DE ROTHSCHILD FUND - SIGNATURES EURO

HIGH YIELD* - EDMOND DE ROTHSCHILD FUND - CHINA* - EDMOND DE ROTHSCHILD FUND - GLOBAL CONVEXITY*

* exclusively in respect of the currency hedging transactions of the hedged Sub-Classes. The global management fee is paid out of each Sub-Fund’s net assets to the benefit of the Management Company, the Investment Managers and the Global Distributor. The global management fee will cover all expenses incurred by persons belonging to the Edmond de Rothschild Group, including financial studies and travel, to the exclusion of the performance and outperformance fees and the remuneration of the Depositary and Administrative Agent. The effective fee rate actually paid corresponds to the hereafter mentioned maximum rates, except for the Class A of the Sub-Fund EDMOND DE ROTHSCHILD FUND - EUROPE VALUE for which the rate applied is 1.50%. Global Management Fee:

SUB-FUNDS CLASS % MAX

EDR - EURO GOVERNMENT BONDS MID TERM

A 0.60

EDR - CONVERTIBLE EUROPE ALL CAPS A 1.35

B 1.35

I 0.90

K 1.00

EDR - EUROPE VALUE A 1.75

EDR - QUAM 5 A 1.00

B 1.00

D 0.75

E 0.50

R 1.30

EDR - QUAM 7 A 1.00

E 0.50


430

INVESTMENT MANAGERS

(continued) Global Management Fee:


EDR - QUAM 10 A 1.25

B 1.25

D 0.85

E 0.60

M 0.04

R 1.75

EDR - QUAM 15 A 1.25

B 1.25

D 0.85

E 0.60

EDR - RETURN PLUS A 0.40

B 0.40

D 0.30

E 0.20

EDR - QUAM SUSTAINABLE 10 A 1.35

M 0.04

EDR - INCOME EUROPE A 1.30

B 1.30

C 0.75

IA 0.65

ID 0.65

EDR - PREMIUMSPHERE A 1.70

B 1.70

I 0.75

J 0.75

K 0.85

R 2.10

EDR - SELECTIVE EUROPE A 1.70

B 1.70

C 0.85

I 0.70

J 0.70

K 0.85

L 0.65

R 2.10

EDR - EURO CREDIT SHORT TERM A 0.40

B 0.40

I 0.15

N 0.10

O 0.10

EDR - EUROPE CONVERTIBLES A 1.00

B 1.00

C 0.70

I 0.60

J 0.60

K 0.70

N 0.40

O 0.40


EDR - EUROPE SYNERGY A 1.70

B 1.70

C 0.85

I 0.75

J 0.75

K 0.85

L 0.65

N 0.55

O 0.55

R 2.10

EDR - EUROPE VALUE & YIELD A 1.70

B 1.70

I 0.75

J 0.75

L 0.65

N 0.55

O 0.55

R 2.10

EDR - GLOBAL EMERGING A 1.70

B 1.70

C 0.85

I 0.75

J 0.75

K 0.85

O 2.10

EDR - US VALUE & YIELD A 1.70

B 1.70

I 0.75

J 0.75

K 0.85

N 0.55

R 2.10

EDR - GLOBAL CROSSOVER BONDS A 0.75

B 0.75

I 0.375

EDR - EMERGING CORPORATE BONDS A 1.00

B 1.00

I 0.40

EDR - EURO IG CORPORATE BONDS A 0.75

B 0.75

I 0.375

EDR - US IG CORPORATE BONDS A 0.75

B 0.75

I 0.375

EDR - EMERGING BONDS A 1.00

B 1.00

I 0.45

K 0.70

R 1.40

EDR - EUROPE FLEXIBLE A 1.70

B 1.70

I 0.75

J 0.75

K 0.85


431

INVESTMENT MANAGERS

(continued)


EDR - GLOBAL CONVERTIBLES A 1.15

B 1.15

I 0.60

J 0.60

K 0.70

R 1.75

EDR - GLOBAL HEALTHCARE A 1.70

I 0.75

K 0.85

R 2.10

EDR - GLOBAL VALUE A 1.70

C 0.85

I 0.75

K 0.85

N 0.55

R 2.10

EDR - INFRASPHERE A 1.70

I 0.75

K 0.85

R 2.10

EDR - SIGNATURES EURO HIGH YIELD A 1.00

B 1.00

I 0.45

J 0.45

N 0.30

O 0.30

R 1.30

EDR - CHINA A 1.70

C 0.85

I 0.75

J 0.75

K 0.85

R 2.10

EDR - GLOBAL CONVEXITY A 1.00

B 1.00

I 0.55

J 0.55

K 0.60

N 0.40

S 0.30

EDR - EURO LONG DURATION GVT BONDS A 0.60

B 0.60

I 0.30

EDR - GLOBAL DATA A 1.70

I 0.75

N 0.55

R 2.10

As the date of the report, the maximum proportion of management fees charged both to the Sub-Fund and to the UCITS and/or other investment Funds in which the Sub-Fund invests does not exceed 2.5% p.a.

PERFORMANCE AND OUTPERFORMANCE FEES

The Management Company and the Investment Managers, in respect of certain Sub-Funds specified in the Data Sheets, may also receive a performance fee (the “Performance Fee”). The Performance Fee payable out of the assets of a Sub-Fund will, unless otherwise set out in a Data Sheet, be calculated either on the basis of the “outperformance with HWM” model (the Outperformance HWM Model) or the “outperformance model” (the “Outperformance Model”), as specified in each Data Sheet of the prospectus. The method of calculation of these two types of fees is described as follows and investors may request the Management Company or the Administrative Agent to be provided free of charge with worked example of the applicable calculation method. Outperformance fee with “High Water Mark” (Outperformance HWM Model 1) The Performance Fee is fixed at a maximum of 30% p.a. (in accordance with the rate indicated in each Data Sheet in respect of each relevant Class/Sub-Class, the “Performance Fee Rate”) and is calculated on the difference recorded between the performance (the variation in the Net Asset Value of the Class or the Sub-Class involved) of the Class or Sub-Class involved and that of its benchmark index or absolute performance rate over the Calculation Period, subject to a high water mark. Unless otherwise set out in a Data Sheet, the benchmark index is the 1-month EURIBOR in respect of Classes or Sub-Classes denominated in EUR and the 1-month LIBOR in respect of all other Classes or Sub-Classes. Unless otherwise set out in a Data Sheet in respect of a given Sub-Fund, the Calculation Period will be a period of 12 months starting on the date set out in the relevant Data Sheet, except for the first Calculation Period following the launching of a Class which will start on the date of launching of relevant Class and end on the date immediately preceding the next Calculation Period. The Performance Fee will generally be paid within one month following the calculation of the last Net Asset Value of the relevant Calculation Period.

The Reference NAV is the maximum of the following two components:

- NAV High Water Mark (HWM): the highest NAV as at the end of a Calculation Period in respect of which a Performance Fee has been paid (adjusted for subscriptions, redemptions and dividends).

- The NAV after the Performance Fee at the end of the preceding Calculation Period (adjusted for subscriptions, redemptions and dividends).


432

PERFORMANCE AND

OUTPERFORMANCE FEES (continued)

The Target NAV is equal to the Reference NAV multiplied by the performance of the benchmark index or the absolute performance rate over the relevant period and adjusted to take into account subscriptions and redemptions. Redemptions are included by reducing the Target NAV in proportion to the number of units redeemed. Dividends are included by deducting them from the Target NAV. If Shares are redeemed on any other date than that of the payment of the Performance Fee, when Performance Fees are provisioned, the provisioned Performance Fees attributable to the redeemed Shares will be paid at the end of the period even if Performance Fees are not provisioned for that date. The same principle will be applied in the specific case where a Class or Sub-Class of a Sub-Fund closed for subscriptions following the redemption of all of the Shares issued in the Class or Sub-Class concerned is reopened for subscription, or in the case where no Shares of a Class or Sub-Class have been subscribed in the initial subscription period of a Sub-Fund concerned. In such cases, the Performance Fee is calculated on the difference recorded between the performance of the Classes or Sub-Classes involved (variation in the Class or Sub-Class concerned during the period falling between the date of reopening or the launch, and the date immediately preceding the next Calculation Period) and that of their benchmark index or absolute performance rate. Outperformance fee with “ High Water Mark ” (Outperformance HWM Model 2)

The Performance Fee is fixed at a maximum of 30% p.a. (in accordance with the rate indicated in each Data Sheet in respect of each relevant Class/Sub-Class, the “Performance Fee Rate”) and is calculated on the difference recorded between the performance (the variation in the Net Asset Value of the Class or the Sub-Class involved) of the Class or Sub-Class involved and that of its benchmark index or absolute performance rate over the Calculation Period, as soon as the NAV is greater than the highest NAV of the preceding calculation period. Unless otherwise set out in a Data Sheet, the benchmark index is the 1-month EURIBOR in respect of Classes or Sub-Classes denominated in EUR and the 1-month LIBOR in respect of all other Classes or Sub-Classes. Unless otherwise set out in a Data Sheet in respect of a given Sub-Fund, the Calculation Period will be a period of 12 months starting on the date set out in the relevant Data Sheet, except for the first Calculation Period following the launching of a Class which will start on the date of launching of relevant Class and end on the date

immediately preceding the next Calculation Period. The Performance Fee will generally be paid within one month following the calculation of the last Net Asset Value of the relevant Calculation Period. The Reference NAV is the last NAV of the preceding Calculation Period. The Target NAV is equal to the Reference NAV multiplied by the performance of the benchmark index or the absolute performance rate over the relevant period and adjusted to take into account subscriptions and redemptions. Redemptions are included by reducing the Target NAV in proportion to the number of units redeemed. Dividends are included by deducting them from the Target NAV. If Shares are redeemed on any other date than that of the payment of the Performance Fee, when Performance Fees are provisioned, the provisioned Performance Fees attributable to the redeemed Shares will be paid at the end of the period even if Performance Fees are not provisioned for that date. The same principle will be applied in the specific case where a Class or Sub-Class of a Sub-Fund closed for subscriptions following the redemption of all of the Shares issued in the Class or Sub-Class concerned is reopened for subscription, or in the case where no Shares of a Class or Sub-Class have been subscribed in the initial subscription period of a Sub-Fund concerned. In such cases, the Performance Fee is calculated on the difference recorded between the performance of the Classes or Sub-Classes involved (variation in the Class or Sub-Class concerned during the period falling between the date of reopening or the launch, and the date immediately preceding the next Calculation Period) and that of their benchmark index or absolute performance rate. Outperformance fee (Outperformance Model 1) The outperformance fee is fixed at a maximum of 30% p.a. (in accordance with the rate indicated in each Data Sheet in respect of each relevant Class/Sub-Class, the “Performance Fee Rate”) and is calculated on the difference posted between the performance of the Class or Sub-Class involved and that of its benchmark index or absolute performance rate, as set out in the relevant Data Sheet, over the relevant Calculation Period. This fee is due even in the case of a reduction in the Net Asset Value provided that the decrease in Net Asset Value is less than the decrease in the benchmark index. Unless otherwise set out in a Data Sheet in respect of a given Sub-Fund, the Calculation Period will be a period of 12 months starting on the date set out in the relevant Data Sheet, except for the first Calculation Period following the launching of a Class which will start on the date of launching of relevant Class and end on the date immediately preceding the next Calculation Period. The outperformance fee will generally be paid within one month following the calculation of the last Net Asset Value of the relevant Reference Period.


433

PERFORMANCE AND


The same principle will be applied in the specific case where a Class or Sub-Class of a Sub-Fund closed for subscriptions following the redemption of all of the Shares issued in the Class or Sub-Class concerned is reopened for subscription, or in the case where no Shares of a Class or Sub-Class have been subscribed in the initial subscription period of a Sub-Fund concerned. Consequently, the fee is calculated on the difference posted between the performance of the Classes or Sub-Classes involved (the variation of the issue price of the Class or Sub-Class concerned during the period falling between the date of reopening or the launch, and the date immediately preceding the next Calculation Period) and that of their benchmark index or absolute performance rate. For the purposes of this outperformance fee, a maximum of 30% of the outperformance on each valuation will be allocated on a provisional basis. The annual fee corresponds to the results obtained following the addition of the sums thus allocated throughout the year; if the total sum allocated for this fee is not greater than zero, then no amount will be paid under the heading of this fee, but the fee may under no circumstances be negative. Whether the provisional sum on the last day of any Calculation Period is positive or negative, the provision account is taken down to zero on the first day of the following Calculation Period. Outperformance fee (Outperformance Model 2) The outperformance fee is fixed at a maximum of 30% p.a. (in accordance with the rate indicated in each Data Sheet in respect of each relevant Class/Sub-Class, the “Performance Fee Rate”) and is calculated on the difference posted between the performance of the Class or Sub-Class involved and that of its benchmark index or absolute performance rate, as set out in the relevant Data Sheet, over the relevant Calculation Period. This fee is not due if the performance is negative, even if it outperforms the benchmark index. Unless otherwise set out in a Data Sheet in respect of a given Sub-Fund, the Calculation Period will be a period of 12 months starting on the date set out in the relevant Data Sheet, except for the first Calculation Period following the launching of a Class which will start on the date of launching of relevant Class and end on the date immediately preceding the next Calculation Period. The outperformance fee will generally be paid within one month following the calculation of the last Net Asset Value of the relevant Reference Period. The same principle will be applied in the specific case where a Class or Sub-Class of a Sub-Fund closed for subscriptions following the redemption of all of the Shares issued in the Class or Sub-Class concerned is reopened for subscription, or in the case where no Shares of a Class or Sub-Class have been subscribed in the initial subscription

period of a Sub-Fund concerned. Consequently, the fee is calculated on the difference posted between the performance of the Classes or Sub-Classes involved (the variation of the issue price of the Class or Sub-Class concerned during the period falling between the date of reopening or the launch, and the date immediately preceding the next Calculation Period) and that of their benchmark index or absolute performance rate. For the purposes of this outperformance fee, a maximum of 30% of the outperformance on each valuation will be allocated on a provisional basis. The annual fee corresponds to the results obtained following the addition of the sums thus allocated throughout the year; if the total sum allocated for this fee is not greater than zero, then no amount will be paid under the heading of this fee, but the fee may under no circumstances be negative. Whether the provisional sum on the last day of any Calculation Period is positive or negative, the provision account is taken down to zero on the first day of the following Calculation Period. The attention of investors is drawn in particular to the fact that the outperformance fee is calculated on an annual basis in respect of the change in the benchmark index concerned during that period which corresponds to the calendar year. In this context, each annual period is considered in isolation. It may occur that if a shareholder subscribes to Shares in the course of one calendar year and applied to redeem them in the course of the following calendar year, the outperformance fee which they have borne does not necessarily match the capital gain (or even capital loss) which they may have obtained through their investment. SUB-FUND PERFORMANCE FEE EDR - EURO GOVERNMENT BONDS MID TERM

None

EDR - CONVERTIBLE EUROPE ALL CAPS

Outperformance Model 1 15% Classes A, B, C, I, J, R None for Classes K, N, O

EDR - EUROPE VALUE None

EDR - QUAM 5

Outperformance HWM Model 1 15% Classes A, B, C, D, E, R None for Class M

EDR - QUAM 7

Outperformance HWM Model 1 15% Classes A, B, D, E, R None for Class M

EDR - QUAM 10


EDR - QUAM 15


EDR - RETURN PLUS



434

PERFORMANCE AND


SUB-FUND PERFORMANCE FEE

EDR - QUAM SUSTAINABLE 10

Outperformance HWM Model 1 15% Classes A, B, D, E, R None for Class M

EDR - INCOME EUROPE None

EDR - PREMIUMSPHERE Outperformance Model 1 15% Classes A, B, C, I, J, R None for Classes K, L, N,O

EDR - SELECTIVE EUROPE Outperformance Model 1 15% Class A, B, C, I, J, L, R None for Classes K, N,O

EDR - EURO CREDIT SHORT TERM

Outperformance HWM Model 2 20% Classes A, B, C, I, J, R None for Classes N,O

EDR - EUROPE CONVERTIBLES

Outperformance Model 1 15% Classes A, B, C, I, J, R None for Classes K, L, N,O, P

EDR - EUROPE SYNERGY

Outperformance Model 1 15% Classes A, B, C, I, J, L, R None for Classes K, N,O

EDR - EUROPE VALUE & YIELD None

EDR - GLOBAL EMERGING Outperformance Model 1 15% Classes A, B, C, I, J, R None for Classes K, L, N

EDR - US VALUE & YIELD None

EDR - GLOBAL CROSSOVER BONDS None

EDR - EMERGING CORPORATE BONDS

None

EDR - EURO IG CORPORATE BONDS None

EDR - US IG CORPORATE BONDS None

EDR - EMERGING BONDS Outperformance Model 2 10% Classes A, B, C, I, J, R None for Classes K, L

EDR - EUROPE FLEXIBLE Outperformance Model 1 15% Classes A, B, C, I, J None for Classes K, L

EDR - GLOBAL CONVERTIBLES Outperformance Model 1 15% Classes A, B, C, I, J, R None for Classes K, L, N, O

EDR - GLOBAL HEALTHCARE Outperformance Model 1 15% Classes A, C, I, R None for Classes K, L, N, P

EDR - GLOBAL VALUE Outperformance Model 1 15% Classes A, B, C, I, R None for Classes K, L, N, O

EDR - INFRASPHERE Outperformance Model 1 15% Classes A, B, C, I, J, R None for Classes K, L, N, O

EDR - SIGNATURES EURO HIGH YIELD

None

EDR - CHINA Outperformance Model 1 15% Classes A, C, I, J, R None for Classes K, L, N

EDR - GLOBAL CONVEXITY Outperformance Model 1 15% Classes A, B, C, I, J, S None for Classes K, L, N, O

EDR - EURO LONG DURATION GOVT BONDS

None

SUB-FUND PERFORMANCE FEE

EDR - GLOBAL DATA Outperformance Model 1 15% Classes A, B, C, I, R None for Classes K, N

ANNUAL TAX

Under the terms of the legislation in force and current practice, the SICAV is not subject to any tax on income or capital gains in Luxembourg. Similarly, the dividends paid by the SICAV are not affected by any tax at source in Luxembourg. On the other hand, each of the Sub-Funds is subject to the subscription tax, an annual tax on its assets, and is calculated and payable quarterly on the basis of the Net Asset Value of the SICAV at the end of each quarter. Nevertheless, this tax is not assessed on the SICAV’s assets that have been invested in other Investment Funds set up in Luxembourg. Moreover, the issue of Shares is not subject to any stamp duty or other tax in Luxembourg. Some of the revenues of the portfolio of the SICAV in the form of dividends and interest may be subject to tax at various rates, withheld at source in the countries in which they arise. The subscription tax rate is as follows: - Classes A/B/C/L/R: 0.05% - Classes D/E/I/IA/ID/J/K/M/N/O/P/S: 0.01%

TRANSACTION FEES

The total amount of transaction fees is included in the statement of operations and changes in net assets and includes Custodian and Sub-Custodian fees, Correspondent’s expenses and Brokerage fees.

DELEGATION

Edmond de Rothschild Asset Management (Luxembourg) and Edmond de Rothschild (Europe) may delegate all or part of their functions and duties to a sub-contractor which, having regard to the nature of the functions and duties to be delegated, must be qualified and capable of undertaking the duties in question.

REVERSAL OF ACCRUALS

This caption is composed of extourned accrual amounts regarding the performance fee. These amounts of are not yet paid at the date of the year ended of the SICAV.


435

DIVIDENDS PAID The following dividends were distributed during the period under review, with ex-date on August 3, 2015 and payment date on August 7, 2015: EDR - EURO CREDIT SHORT TERM

Class of distribution Shares Dividend unit B EUR 1.33 EUR O EUR 157.37 EUR

EDR - GLOBAL CROSSOVER BONDS

Class of distribution Shares Dividend unit B EUR 2.38 EUR B USD (H) 1.86 USD

EDR - EMERGING CORPORATE BONDS

Class of distribution Shares Dividend unit B EUR (H) 3.67 EUR B USD 4.26 USD

EDR - EURO IG CORPORATE BONDS

Class of distribution Shares Dividend unit B CHF (H) 1.42 CHF B EUR 1.57 EUR B GBP (H) 1.42 GBP

EDR - US IG CORPORATE BONDS

Class of distribution Shares Dividend unit B USD 2.06 USD

EDR - INCOME EUROPE

Class of distribution Shares Dividend unit B EUR 1.78 EUR ID EUR 1.78 EUR

EDR - PREMIUMSPHERE

Class of distribution Shares Dividend unit B EUR 1.42 EUR J EUR 1.42 EUR

EDR - SELECTIVE EUROPE

Class of distribution Shares Dividend unit B EUR 2.50 EUR J EUR 2.50 EUR

EDR - QUAM 5

Class of distribution Shares Dividend unit B CHF 4.08 CHF B EUR 4.71 EUR B USD 4.11 USD

EDR - QUAM 10

Class of distribution Shares Dividend unit B CHF 3.89 CHF B EUR 5.63 EUR B USD 5.63 USD

EDR - QUAM 15

Class of distribution Shares Dividend unit B CHF 0.25 CHF B USD 0.25 USD

The following dividends were distributed during the period under review, with ex-date December 15, 2015 and payment date on December 18, 2015: EDR - INCOME EUROPE

Class of distribution Shares Dividend unit B EUR 2.70 EUR

STATEMENT OF CHANGES

IN THE PORTFOLIO FOR MARCH 31, 2016

A copy of the statement of changes in the portfolio of each Sub-Fund may be obtained free of charge from the registered office of the SICAV as well as from the German Payment and Information Office.


436

COLLATERAL HELD AT BROKERS The amounts of collateral received or given for the commitment resulting from forward foreign exchange contracts and swaps contracts are included in the captions “Cash at sight by the broker” and can be detailed as follows:

Cash collateral received by the Fund Amount in EUR

Counter-party

EDR - Emerging Corporate Bonds 380,000.00 ANZB

EDR - Signatures Euro High Yield 470,000.00 JP Morgan

EDR - US Value & Yield 930,000.00 ANZB

EDR - Quam 5 1,580,000.00 ANZB

EDR - Quam 10 2,110,000.00 ANZB

Cash collateral paid by the Fund Amount in EUR

Counter-party

EDR - Global Convertibles 330,000.00 ANZB

EDR - Global Crossover Bonds 820,000.00 ANZB

EDR - Emerging Bonds 5,710,000.00 BNP

10,830,000.00 JP Morgan

690,000.00 ANZB

SUBSEQUENT EVENTS

The following Sub-Funds have been launched: • EDMOND DE ROTHSCHILD FUND - EUROPEAN

EQUITY LOW VOL (as at April 1, 2016); • EDMOND DE ROTHSCHILD FUND - UK

SYNERGY (as at April 6, 2016).

The Board of Directors has decided to merge the following Sub-Fund within a Sub-Fund of EDMOND DE ROTHSCHILD FUND: • EDMOND DE ROTHSCHILD ALLOCATION

DYNAMIQUE, a French UCITS into EDMOND DE ROTHSCHILD FUND - EUROPE FLEXIBLE, with effective date on April 7, 2016.

• EDMOND DE ROTHSCHILD ALLOCATION

RENDEMENT, a French UCITS into EDMOND DE ROTHSCHILD FUND - INCOME EUROPE, with effective date on July 5, 2016.

The Sub-Fund EDMOND DE ROTHSCHILD FUND - QUAM SUSTAINABLE 10 has been liquidated as at July 1, 2016.


437

INDEMNISATION BANK OF NEW YORK

The sub-funds listed in the attached table, participated passively in the class action on securities. They received following compensation:

Sub-Funds Name/Isin Period Amount of

indemnisation in EUR

Asset date Impact on the year

EDR - Global Healthcare ACCURAY US0043971052 from 07/02/2007 to

19/08/2008 22,586.82 10/11/2015 0.004%

MEDICIS PHARMACEUTICAL US5896903095

from 30/10/2003 to 23/09/2008

18,790.95 10/11/2015 0.004%

MEDTRONIC US5850551061 from 20/11/2006 to

17/11/2009 9,361.04 10/11/2015 0.002%

ALLSCRIPTS HEALTHCARE US01988P1084

from 08/05/2007 to 13/02/2008

5,013.88 10/11/2015 0.001%

55,752.69 0.011%

EDR - Global Value BANK OF AMERICA US0605051046 from 18/09/2008 to

21/01/2009

2,819.90 10/11/2015 0.0019%

2,819.90 0.0019%

EDR - US Value & Yield BANK OF AMERICA US0605051046 from 18/09/2008 to

21/01/2009 237,170.49

12/11/2015 0.017%

MARSH & MC LENNAN US5717481023

from 14/10/1999 to 13/10/2004

203,407.46 12/11/2015

0.015%

COMPUTER SCIENCES CORP US2053631048

from 05/08/2008 to 27/12/2011

183,018.74 12/11/2015

0.013%

CITIGROUP US1729671016 from 26/02/2007 to

18/04/2008 126,432.93

12/11/2015 0.009%

BEAR STEARNS US0739021089 from 14/12/2006 to

14/03/2008 53,089.82

12/11/2015 0.004%

HCA INC US4041191093 from 24/07/2006 to

17/11/20 50,247.14

12/11/2015 0.004%

AFFILIATED COMPUTER SERVICES US0081901003

from 27/09/2009 to 05/02/2010

42,849.56 12/11/2015

0.003%

MEDTRONIC US5850551061 from 20/11/2006 to

17/11/2009 25,385.32

12/11/2015 0.002%

GLOBALSTAR INC US3789734080 from 03/11/2006 to

05/02/2007 10,235.11

12/11/2015 0.001%

CITIGROUP US1729671016 from 26/02/2007 to

18/04/2008 9,387.21

12/11/2015 0.001%

JUNIPER NETWORKS US48203R1041

11/07/2003 au 10/08/2006

7,624.62 12/11/2015

0.001%

973,620.50 0.071%

CLAIM PROCEDURE FOR WITHHOLDING TAX

In several jurisdictions in the European Union, historically, the withholding tax treatment of the dividends paid by companies in their domiciliation country depended on whether the dividends were paid to foreign or domestic entities. Therefore, when dividends were paid to a foreign entity, they were sometimes subject to a withholding tax that led to a different tax treatment which infringed the principles of the free capital flows and thus, contrary to the European Union law. Several decisions from the European Union Court of Justice and in France of the French State Council have been taken in favor of the foreign residents. Since 2014, Edmond de Rothschild Asset Management (France) filed, for the funds that it managed, claims for the reimbursement of the withholding tax paid on dividends received from foreign companies when the reimbursement perspectives were favorable to the funds and the amounts in question material compared to the costs of proceedings. As the claims follow litigation procedures with the tax authorities, the result and the length of these procedures are uncertain. The reimbursement (i.e. amount and interests as the case may be) that may be obtained is not guarantee. The filing of the claims is processed by a law firm that levies a fix fee per country, per fund, per year of claim. Upon reimbursement, the law firm levies a success fee.


438

CLAIM PROCEDURE FOR WITHHOLDING TAX (CONTINUED)

Over this fiscal year, Edmond de Rothschild Fund (EdR Fund) was charged extraordinary costs of 111,150.00 EUR linked to the filing of these claims.

List of the EdR Fund compartments that have been subject to a withholding tax claim for which some reimbursements were received:

Compartments Total reimbursed since 2008 Success fees accrued

EdR Fund EUROPE FLEXIBLE* 813,117.60€ 58,544.47€

EdR Fund EUROPE SYNERGY* - -

EdR Fund EUROPE VALUE - -

EdR Fund EUROPE VALUE & YIELD* 815,764.18€ 58,735.02€

EdR Fund GLOBAL EMERGING* - -

EdR Fund GLOBAL HEALTHCARE* - -

EdR Fund GLOBAL VALUE* - -

EdR Fund PREMIUMSPHERE* - -

* Compartments launched during the fiscal year further to a merger by absorption of FCP under French law managed byEdmond de Rothschild Asset Management (France)

439


ASSETS ON FIDUCIARY DEPOSITS AS AT MARCH 31, 2016

Amount Rate (%) PeriodEUR 500,000.00 (0.45%) 03.29.16 04.05.16-EUR 500,000.00 (0.43%) 03.29.16 04.05.16-EUR 500,000.00 (0.46%) 03.29.16 04.05.16-EUR 500,000.00 (0.4%) 03.29.16 04.05.16-EUR 500,000.00 (0.4%) 03.29.16 04.05.16-

EDMOND DE ROTHSCHILD FUND - QUAM 7

Amount Rate (%) PeriodEUR 6,000,000.00 (0.4%) 03.29.16 04.05.16-EUR 6,000,000.00 (0.4%) 03.29.16 04.05.16-EUR 6,000,000.00 (0.4%) 03.29.16 04.05.16-EUR 6,000,000.00 (0.43%) 03.29.16 04.05.16-EUR 6,000,000.00 (0.45%) 03.29.16 04.05.16-EUR 6,000,000.00 (0.45%) 03.29.16 04.05.16-EUR 4,200,000.00 (0.46%) 03.29.16 04.05.16-


440


BTP 03 YR ITALY 06/16 100,000 112.78 200.00Purchase 10 EUR 1,127,800.00 Newedge LondonFUTURES ON INTEREST RATES

EURO BTP FUTURE -EUX 06/16 100,000 140.62 28,290.00Purchase 11 EUR 1,546,820.00 Newedge LondonEURO BUND FUTURE 06/16 100,000 163.32 (2,700.00)Sale 5 EUR 816,600.00 Newedge LondonEURO BUXL FUTURE 06/16 100,000 168.54 8,320.00Purchase 2 EUR 337,080.00 Newedge LondonEURO-OAT-FUTURES-EUX 06/16100,000 158.24 13,140.00Purchase 6 EUR 949,440.00 Newedge LondonEURO/USD 90DAY(CME) 09/17 1,000,000 99.03 5,704.01Sale 40 USD 8,690,272.48 Newedge LondonEURO/USD 90DAY(CME) 12/16 1,000,000 99.18 (7,020.32)Purchase 40 USD 8,702,996.80 Newedge LondonMID TERM EURO OAT 06/16 100,000 131.45 570.00Purchase 15 EUR 1,971,750.00 Newedge LondonUS 10 YEARS NOTE 06/16 100,000 130.13 (3,455.31)Purchase 7 USD 800,960.36 Newedge LondonUS 2 YEARS NOTE- CBT 06/16 200,000 109.12 3,455.31Sale 28 USD 5,374,928.70 Newedge LondonUS 5 YEARS NOTE-CBT 06/16 100,000 121.05 5,594.31Sale 48 USD 5,103,659.34 Newedge London

52,098.00

The unrealised gain/(loss) result on the outstanding futures contract(s) as at March 31, 2016 for EDMOND DE ROTHSCHILD FUND -EURO LONG DURATION GOVT BONDS is included in the statement of net assets of the Sub-Fund.

EDMOND DE ROTHSCHILD FUND - EURO LONG DURATION GOVT BONDS

Sale /Purchase

Contract(s) UnrealisedresultEUR

Quantity Size Price as at03.31.16

CommitmentEUR

Broker

EUR/GBP (CME) 06/16 125,000 0.79 239,168.82Purchase 82 GBP 10,264,867.25 Newedge LondonFUTURES ON EXCHANGE RATES

EUR/SWISS FRANC(CME) 06/16 125,000 1.09 (7,789.23)Purchase 20 CHF 2,503,321.88 Newedge LondonEUR/USD (CME) 06/16 125,000 1.14 111,455.87Purchase 42 USD 5,257,601.68 Newedge London

342,835.46

The unrealised gain/(loss) result on the outstanding futures contract(s) as at March 31, 2016 for EDMOND DE ROTHSCHILD FUND -CONVERTIBLE EUROPE ALL CAPS is included in the statement of net assets of the Sub-Fund.

EDMOND DE ROTHSCHILD FUND - CONVERTIBLE EUROPE ALL CAPS

Sale /Purchase



CommitmentEUR

Broker

EUR/GBP (CME) 06/16 125,000 0.79 1,257,833.03Purchase 464 GBP 58,122,980.61 Newedge LondonFUTURES ON EXCHANGE RATES

EUR/USD (CME) 06/16 125,000 1.14 2,235,541.78Purchase 542 USD 67,892,781.88 Newedge London3,493,374.81

The unrealised gain/(loss) result on the outstanding futures contract(s) as at March 31, 2016 for EDMOND DE ROTHSCHILD FUND -EUROPE CONVERTIBLES is included in the statement of net assets of the Sub-Fund.

EDMOND DE ROTHSCHILD FUND - EUROPE CONVERTIBLES

Sale /Purchase



CommitmentEUR

Broker

FUTURES

As at March 31, 2016, the following futures contract(s) was (were) outstanding :

441



EUR/JPY (CME) 06/16 125,000 128.17 1,179,658.48Purchase 359 JPY 44,885,506.09 Newedge LondonEUR/USD (CME) 06/16 125,000 1.14 4,273,101.99Purchase 1,036 USD 129,772,918.86 Newedge London

5,730,031.65

The unrealised gain/(loss) result on the outstanding futures contract(s) as at March 31, 2016 for EDMOND DE ROTHSCHILD FUND -GLOBAL CONVERTIBLES is included in the statement of net assets of the Sub-Fund.

EDMOND DE ROTHSCHILD FUND - GLOBAL CONVERTIBLES

Sale /Purchase



CommitmentEUR

Broker


EUR/JPY (CME) 06/16 125,000 128.17 212,303.36Purchase 68 JPY 8,501,990.01 Newedge LondonEUR/SWISS FRANC(CME) 06/16 125,000 1.09 1,120.16Purchase 11 CHF 1,373,880.98 Newedge LondonEUR/USD (CME) 06/16 125,000 1.14 922,424.64Purchase 248 USD 31,065,331.93 Newedge London

1,255,512.56

The unrealised gain/(loss) result on the outstanding futures contract(s) as at March 31, 2016 for EDMOND DE ROTHSCHILD FUND -GLOBAL CONVEXITY is included in the statement of net assets of the Sub-Fund.

EDMOND DE ROTHSCHILD FUND - GLOBAL CONVEXITY

Sale /Purchase



CommitmentEUR

Broker

EURO BOBL FUTURE 06/16 100,000 131.10 152,100.00Sale 390 EUR 51,129,000.00 Newedge LondonFUTURES ON INTEREST RATES

152,100.00

The unrealised gain/(loss) result on the outstanding futures contract(s) as at March 31, 2016 for EDMOND DE ROTHSCHILD FUND -EURO CREDIT SHORT TERM is included in the statement of net assets of the Sub-Fund.

EDMOND DE ROTHSCHILD FUND - EURO CREDIT SHORT TERM

Sale /Purchase



CommitmentEUR

Broker

EURO BUND FUTURE 06/16 100,000 163.32 (18,300.00)Sale 30 EUR 4,899,600.00 Newedge LondonFUTURES ON INTEREST RATES

(18,300.00)

The unrealised gain/(loss) result on the outstanding futures contract(s) as at March 31, 2016 for EDMOND DE ROTHSCHILD FUND -GLOBAL CROSSOVER BONDS is included in the statement of net assets of the Sub-Fund.

EDMOND DE ROTHSCHILD FUND - GLOBAL CROSSOVER BONDS

Sale /Purchase



CommitmentEUR

Broker

(Continued)

FUTURES


442


EUR/USD (CME) 06/16 125,000 1.14 1,979,948.23Purchase 1,000 USD 125,180,992.50 Newedge LondonFUTURES ON EXCHANGE RATES

USD/MXN (CME) 06/16 500,000 5.75 1,250,493.62Purchase 1,500 USD 37,837,304.20 Newedge London3,230,441.85

The unrealised gain/(loss) result on the outstanding futures contract(s) as at March 31, 2016 for EDMOND DE ROTHSCHILD FUND -EMERGING BONDS is included in the statement of net assets of the Sub-Fund.

EDMOND DE ROTHSCHILD FUND - EMERGING BONDS

Sale /Purchase



CommitmentEUR

Broker

EURO BUND FUTURE 06/16 100,000 163.32 (30,500.00)Sale 50 EUR 8,166,000.00 Newedge LondonFUTURES ON INTEREST RATES

(30,500.00)

The unrealised gain/(loss) result on the outstanding futures contract(s) as at March 31, 2016 for EDMOND DE ROTHSCHILD FUND -EURO IG CORPORATE BONDS is included in the statement of net assets of the Sub-Fund.

EDMOND DE ROTHSCHILD FUND - EURO IG CORPORATE BONDS

Sale /Purchase



CommitmentEUR

Broker

US 10 YEARS NOTE 06/16 100,000 130.13 61,796.88Sale 70 USD 9,127,343.75 Newedge LondonFUTURES ON INTEREST RATES

61,796.88

The unrealised gain/(loss) result on the outstanding futures contract(s) as at March 31, 2016 for EDMOND DE ROTHSCHILD FUND -US IG CORPORATE BONDS is included in the statement of net assets of the Sub-Fund.

EDMOND DE ROTHSCHILD FUND - US IG CORPORATE BONDS

Sale /Purchase

Contract(s) UnrealisedresultUSD


CommitmentUSD

Broker

(Continued)

FUTURES


443


EUR/GBP (CME) 06/16 125,000 0.79 (134,948.29)Sale 106 GBP 13,269,218.64 Newedge LondonFUTURES ON EXCHANGE RATES

(134,948.29)

EDMOND DE ROTHSCHILD FUND - EUROPE FLEXIBLE

Sale /Purchase



CommitmentEUR

Broker

CAC40 10 EURO 04/16 10 4,383.50 1,025.00Sale 1 EUR 43,835.00 Newedge LondonFUTURES ON INDEX

DJ EUR STOX BANK IDX 06/16 50 98.30 5,050.00Purchase 202 EUR 992,830.00 Newedge LondonDJ EURO STOXX 50 DVD 12/16 100 118.50 (400.00)Sale 1 EUR 11,850.00 Newedge LondonDJ EURO STOXX 50 DVD 12/17 100 111.50 3,710.00Purchase 7 EUR 78,050.00 Newedge LondonDJ EURO STOXX 50 06/16 10 2,931.00 (300,080.00)Purchase 1,579 EUR 46,280,490.00 Newedge LondonDJ.STOXX600.OIL(EUX) 06/16 50 255.70 0.00Purchase 1 EUR 12,785.00 Newedge LondonFTSE DVD IDX 12/16 10 243.70 114.78Purchase 1 GBP 3,073.72 Newedge LondonFTSE 100 INDEX 06/16 10 6,113.00 (302.71)Sale 1 GBP 77,101.60 Newedge LondonIBEX 35 INDEX 04/16 10 8,689.90 (3,176.00)Purchase 1 EUR 86,899.00 Newedge LondonMSCI EUROPE INDEX 06/16 100 177.55 455,975.00Sale 3,965 EUR 70,398,575.00 Newedge LondonSWISS MARKET INDEX 06/16 10 7,671.00 (5,993.13)Purchase 6 CHF 421,773.20 Newedge London

155,922.94

90DAY GBP LIBOR INDX 12/17 500,000 99.23 (425.68)Sale 1 GBP 156,445.10 Newedge LondonFUTURES ON INTEREST RATES

(425.68)

The unrealised gain/(loss) result on the outstanding futures contract(s) as at March 31, 2016 for EDMOND DE ROTHSCHILD FUND -EUROPE FLEXIBLE is included in the statement of net assets of the Sub-Fund.

EURO BUND FUTURE 06/16 100,000 163.32 760.00Purchase 1 EUR 163,320.00 Newedge LondonFUTURES ON INTEREST RATES

US TREASURY BOND 06/16 100,000 164.14 2,223.71Purchase 1 USD 144,458.84 Newedge London10YR MINI JGB-SGX 06/16 10,000,00 151.49 (501.06)Purchase 2 JPY 237,203.48 Newedge London

2,482.65

The unrealised gain/(loss) result on the outstanding futures contract(s) as at March 31, 2016 for EDMOND DE ROTHSCHILD FUND -QUAM 7 is included in the statement of net assets of the Sub-Fund.


Sale /Purchase



CommitmentEUR

Broker

(Continued)

FUTURES


444


DJ STOXX 600 P&HG 06/16 50 741.10 15,325.00Purchase 27 EUR 1,000,485.00 Newedge LondonFUTURES ON INDEX

DJ.STOX 600 INDUS 06/16 50 414.90 12,715.00Purchase 47 EUR 975,015.00 Newedge LondonDJ.STOXX600.OIL(EUX) 06/16 50 255.70 (123,530.00)Purchase 371 EUR 4,743,235.00 Newedge LondonFTSE 100 INDEX 06/16 10 6,113.00 18,201.31Purchase 63 GBP 4,857,706.86 Newedge LondonS&P MID 400 EMINI 06/16 100 1,441.20 141,175.44Purchase 39 USD 4,937,784.42 Newedge LondonS&P 500 EMINI INDEX 06/16 50 2,051.50 77,385.14Purchase 48 USD 4,325,397.52 Newedge London

141,271.89


Sale /Purchase



CommitmentEUR

Broker

EURO BUND FUTURE 06/16 100,000 163.32 23,450.00Purchase 30 EUR 4,899,600.00 Newedge LondonFUTURES ON INTEREST RATES

EURO-OAT-FUTURES-EUX 06/16100,000 158.24 66,610.00Purchase 32 EUR 5,063,680.00 Newedge LondonUS TREASURY BOND 06/16 100,000 164.14 (40,541.54)Purchase 33 USD 4,767,141.79 Newedge LondonUS 10 YEARS NOTE 06/16 (14,970.03)Purchase 34 3,894,651.01 Newedge London10YR MINI JGB-SGX 06/16 10,913.65Purchase 41

100,000 130.13 USD 100,000,00 151.49 JPY 4,862,671.26 Newedge London

45,462.08

The unrealised gain/(loss) result on the outstanding futures contract(s) as at March 31, 2016 for EDMOND DE ROTHSCHILD FUND -QUAM 15 is included in the statement of net assets of the Sub-Fund.

(Continued)

FUTURES


445


600 ACCOR DEC 44.00 18.12.17 CALL EUR 2,640,000.00

Purchase of Listed options

Listed options

200 ALLIANZ DEC 180.0 18.12.17 CALL EUR 3,600,000.00321 ATOS JUN 80.0 19.06.17 CALL EUR 2,568,000.00200 CAP GEMINI DEC 84.00 18.12.17 CALL EUR 1,680,000.00900 CREDIT AGRICOLE DEC 14 15.12.17 CALL EUR 1,260,000.00950 CREDIT AGRICOLE DEC 12.00 18.12.17 CALL EUR 1,140,000.00

2,500 DEUTSCHE POST DEC 25.00 18.12.17 CALL EUR 6,250,000.00210 DJ EURO STOXX 50 MAY 3000 23.05.16 PUT EUR 6,300,000.00300 FAURECIA DEC 34.00 18.12.17 CALL EUR 1,020,000.00

1,600 FERROVIAL JUN 22.00 16.06.17 CALL EUR 3,520,000.001,200 GENERALI DEC 17.00 15.12.17 CALL EUR 2,040,000.002,000 ING GROEP DEC 13.00 18.12.17 CALL EUR 2,600,000.001,200 ING GROEP DEC 14.00 18.12.17 CALL EUR 1,680,000.00

250 KERING DEC 180 18.12.17 CALL EUR 4,500,000.001,300 METRO DEC 28.00 18.12.17 CALL EUR 3,640,000.00

550 PHILIPS DEC 25.00 18.12.17 CALL EUR 1,375,000.00950 REPSOL JUN 15 19.06.17 CALL EUR 1,425,000.00600 SAINT GOBAIN DEC 44.00 18.12.17 CALL EUR 2,640,000.00700 SIEMENS DEC 100.00 18.12.17 CALL EUR 7,000,000.00

3,500 STMICROELECT DEC 6.40 18.12.17 CALL EUR 2,240,000.003,000 TELECOM ITALIA DEC 1.00 15.12.17 CALL EUR 3,000,000.00

210 VOLKSWAGEN VZ DEC 200.0 18.12.17 CALL EUR 4,200,000.00

EDMOND DE ROTHSCHILD FUND - CONVERTIBLE EUROPE ALL CAPS

Quantity Description Currency Commitment

2,500 ACCOR DEC 44.00 18.12.17 CALL EUR 11,000,000.00


Listed options

1,150 AIR LIQUIDE JUN 115.0 19.06.17 CALL EUR 13,225,000.001,300 ALLIANZ DEC 180.0 18.12.17 CALL EUR 23,400,000.001,653 ATOS JUN 80.0 19.06.17 CALL EUR 13,224,000.001,500 CAP GEMINI DEC 84.00 18.12.17 CALL EUR 12,600,000.006,500 CREDIT AGRICOLE DEC 14 15.12.17 CALL EUR 9,100,000.003,200 CREDIT AGRICOLE DEC 12.00 18.12.17 CALL EUR 3,840,000.00

21,000 DEUTSCHE POST DEC 25.00 18.12.17 CALL EUR 52,500,000.00600 DJ EURO STOXX 50 MAY 3000 23.05.16 PUT EUR 18,000,000.00

8,000 FERROVIAL JUN 22.00 16.06.17 CALL EUR 17,600,000.0010,000 GENERALI DEC 19.00 15.12.17 CALL EUR 19,000,000.00

8,000 ING GROEP DEC 13.00 18.12.17 CALL EUR 10,400,000.008,000 ING GROEP DEC 14.00 18.12.17 CALL EUR 11,200,000.001,800 KERING DEC 180 18.12.17 CALL EUR 32,400,000.006,000 METRO DEC 28.00 18.12.17 CALL EUR 16,800,000.00

25,000 NOKIA DEC 6.40 18.12.17 CALL EUR 16,000,000.004,000 PHILIPS DEC 25.00 18.12.17 CALL EUR 10,000,000.006,110 REPSOL JUN 15 19.06.17 CALL EUR 9,165,000.002,900 SAINT GOBAIN DEC 44.00 18.12.17 CALL EUR 12,760,000.004,000 SIEMENS DEC 100.00 18.12.17 CALL EUR 40,000,000.006,000 STMICROELECT DEC 6.40 18.12.17 CALL EUR 3,840,000.00

20,000 TELECOM ITALIA DEC 1.00 15.12.17 CALL EUR 20,000,000.001,050 VOLKSWAGEN VZ DEC 200.0 18.12.17 CALL EUR 21,000,000.00



OPTIONS

As at March 31, 2016, the following option contract(s) was (were) outstanding:

446


1,400 AIG JAN 65.0 20.01.17 CALL USD 7,990,867.58


Listed options

450 AIR LIQUIDE JUN 115.0 19.06.17 CALL EUR 5,175,000.00350 ALLIANZ DEC 180.0 18.12.17 CALL EUR 6,300,000.00649 ATOS JUN 80.0 19.06.17 CALL EUR 5,192,000.00400 CAP GEMINI DEC 84.00 18.12.17 CALL EUR 3,360,000.00

1,050 CIENA JAN 20.00 20.01.17 CALL USD 1,844,046.362,200 CREDIT AGRICOLE DEC 14 15.12.17 CALL EUR 3,080,000.001,000 CREDIT AGRICOLE DEC 12.00 18.12.17 CALL EUR 1,200,000.002,000 DEUTSCHE POST DEC 25.00 18.12.17 CALL EUR 5,000,000.00

105 DJ EURO STOXX 50 MAY 3000 23.05.16 PUT EUR 3,150,000.004,000 FORD MOTOR JAN 14.75 20.01.17 CALL USD 5,180,892.172,000 GENERALI DEC 19.00 15.12.17 CALL EUR 3,800,000.003,000 ING GROEP DEC 14.00 18.12.17 CALL EUR 4,200,000.001,700 INTEL JAN 32.00 20.01.17 CALL USD 4,776,958.20

750 JPMORGAN CHASE JAN 67.50 20.01.17 CALL USD 4,445,468.91350 KERING DEC 180 18.12.17 CALL EUR 6,300,000.00

1,650 METRO DEC 28.00 18.12.17 CALL EUR 4,620,000.001,900 MICRON TECHNOLOGY JAN 28.0 20.01.17 CALL USD 4,671,584.126,500 NOKIA DEC 6.40 18.12.17 CALL EUR 4,160,000.00

775 PHILIPS DEC 25.00 18.12.17 CALL EUR 1,937,500.001,400 QUALCOMM INC JAN 57.50 20.01.17 CALL USD 7,068,844.402,550 REPSOL JUN 15 19.06.17 CALL EUR 3,825,000.00

800 SAINT GOBAIN DEC 44.00 18.12.17 CALL EUR 3,520,000.00500 SIEMENS DEC 100.00 18.12.17 CALL EUR 5,000,000.00

75 SP 500 E MINI MAY 1900 20.05.16 PUT USD 6,256,585.882,000 STMICROELECT DEC 6.40 18.12.17 CALL EUR 1,280,000.00

700 SUNEDISON JAN 35 20.01.17 CALL USD 2,151,387.433,500 TELECOM ITALIA DEC 1.20 15.12.17 CALL EUR 4,200,000.00

390 VOLKSWAGEN VZ DEC 200.0 18.12.17 CALL EUR 7,800,000.001,775 WELLS FARGO JAN 55.00 20.01.17 CALL USD 8,572,620.30



300 ACCOR DEC 44.00 18.12.17 CALL EUR 1,320,000.00


Listed options

600 AGEAS DEC 40 18.12.17 CALL EUR 2,400,000.00350 AIG JAN 65.0 20.01.17 CALL USD 1,997,716.90150 AIR LIQUIDE JUN 115.0 19.06.17 CALL EUR 1,725,000.00100 ALLIANZ DEC 180.0 18.12.17 CALL EUR 1,800,000.00256 ATOS JUN 80.0 19.06.17 CALL EUR 2,048,000.00700 CNP ASSURANCES JUN 14 19.06.17 CALL EUR 980,000.00750 CREDIT AGRICOLE DEC 14 15.12.17 CALL EUR 1,050,000.00300 CREDIT AGRICOLE DEC 12.00 18.12.17 CALL EUR 360,000.00300 DEUTSCHE POST DEC 25.00 18.12.17 CALL EUR 750,000.00

45 DJ EURO STOXX 50 MAY 3000 23.05.16 PUT EUR 1,350,000.00100 FAURECIA DEC 34.00 18.12.17 CALL EUR 340,000.00750 FERROVIAL JUN 22.00 16.06.17 CALL EUR 1,650,000.00

2,000 FORD MOTOR JAN 14.75 20.01.17 CALL USD 2,590,446.08600 GENERALI DEC 17.00 15.12.17 CALL EUR 1,020,000.00

50 ILIAD SA DEC 240.00 19.12.16 CALL EUR 1,200,000.001,000 ING GROEP DEC 13.00 18.12.17 CALL EUR 1,300,000.00



(Continued)

OPTIONS


447


1,000 ING GROEP DEC 14.00 18.12.17 CALL EUR 1,400,000.00250 INTEL JAN 32.00 20.01.17 CALL USD 702,493.85150 JPMORGAN CHASE JAN 67.50 20.01.17 CALL USD 889,093.78100 KERING DEC 180 18.12.17 CALL EUR 1,800,000.00500 METRO DEC 28.00 18.12.17 CALL EUR 1,400,000.00400 MICRON TECHNOLOGY JAN 28.0 20.01.17 CALL USD 983,491.39

1,800 NOKIA DEC 6.40 18.12.17 CALL EUR 1,152,000.00250 PHILIPS DEC 25.00 18.12.17 CALL EUR 625,000.00250 QUALCOMM INC JAN 57.50 20.01.17 CALL USD 1,262,293.64570 REPSOL JUN 15 19.06.17 CALL EUR 855,000.00300 SAINT GOBAIN DEC 44.00 18.12.17 CALL EUR 1,320,000.00160 SIEMENS DEC 100.00 18.12.17 CALL EUR 1,600,000.00

20 SP 500 E MINI MAY 1900 20.05.16 PUT USD 1,668,422.901,500 STMICROELECT DEC 6.40 18.12.17 CALL EUR 960,000.00

650 TELECOM ITALIA DEC 1.10 15.12.17 CALL EUR 715,000.00170 VOLKSWAGEN VZ DEC 200.0 18.12.17 CALL EUR 3,400,000.00400 WELLS FARGO JAN 55.00 20.01.17 CALL USD 1,931,858.10



550 DJ EURO STOXX 50 APR 2850 18.04.16 PUT EUR 15,675,000.00


Listed options

1,000 DJ EURO STOXX 50 SEP 2900 19.09.16 PUT EUR 29,000,000.001,000 DJ EURO STOXX 50 SEP 2950 19.09.16 PUT EUR 29,500,000.00

750 DJ EURO STOXX 50 SEP 3000 19.09.16 PUT EUR 22,500,000.001,500 DJ EURO STOXX 50 SEP 4450 19.09.16 CALL EUR 66,750,000.00

700 EUR STOXX 50 F DVD DEC 115 18.12.17 CALL EUR 8,050,000.00

2,000 DJ EUR STOXX 50 JUN 3250 20.06.16 CALL EUR 65,000,000.00

Sale of Listed options

550 DJ EURO STOXX 50 APR 2650 18.04.16 PUT EUR 14,575,000.001,000 DJ EURO STOXX 50 SEP 2500 19.09.16 PUT EUR 25,000,000.001,000 DJ EURO STOXX 50 SEP 2650 19.09.16 PUT EUR 26,500,000.00

750 DJ EURO STOXX 50 SEP 2700 19.09.16 PUT EUR 20,250,000.001,000 DJ EURO STOXX 50 SEP 3350 19.09.16 CALL EUR 33,500,000.001,500 DJ EURO STOXX 50 SEP 3450 19.09.16 CALL EUR 51,750,000.00

700 EUR STOXX 50 F DVD DEC 120 18.12.17 CALL EUR 8,400,000.00

EDMOND DE ROTHSCHILD FUND - EUROPE FLEXIBLE


(Continued)

OPTIONS



448

SWAPS

EDMOND DE ROTHSCHILD FUND - EURO LONG DURATION GOVT BONDS As at March 31, 2016, the following Interest Rate Swaps contracts were outstanding: Notional Currency Maturity date Flow received Flow paid Unrealised in EUR2,000,000.00 EUR 05.11.19 0.54% EUR EURIBOR 6 Months 25,141.711,500,000.00 EUR 05.11.19 0.54% EUR EURIBOR 6 Months 18,856.29 43,998.00

The unrealised gain/(loss) result on Interest Rate Swaps contracts as at March 31, 2016 for EURO LONG DURATION GOVT BONDS is included in the statement of net assets of the Sub-fund. The counterparty of the above swap contracts is JP MORGAN SECURITIES LTD. EDMOND DE ROTHSCHILD FUND - EMERGING BONDS As at March 31, 2016, the following Credit Default Swaps contracts were outstanding: Notional Currency Maturity date Description Buy / Sell Unrealised protection in EUR

76,800,000.00 USD 12.20.19 CDX EM SERIE 22 V1 5Y Sell (5,223,788.34)

135,000,000.00 USD 06.20.21 PEOPLE’S REPUBLIC OF CHINA 7.5% 10.28.27 Buy 1,178,754.77

35,000,000.00 USD 06.20.21 CDX NA HY SERIE 26 V1 Buy (849,853.01)10,000,000.00 USD 06.20.21 VENEZUELA 9.25% 09.15.27 Sell (5,694,002.02)10,000,000.00 USD 06.20.21 VENEZUELA 9.25% 09.15.27 Sell (5,693,826.51)

(16,282,715.11) The unrealised gain/(loss) result on Credit Default Swaps contracts as at March 31, 2016 for EMERGING BONDS is included in the statement of net assets of the Sub-fund. The counterparties of the above swap contracts is JP MORGAN SECURITIES LTD, JP MORGAN CHASE BANK and BNP PARIBAS LONDON BRANCH. EDMOND DE ROTHSCHILD FUND - SIGNATURES EURO HIGH YIELD As at March 31, 2016, the following Credit Default Swaps contract was outstanding: Notional Currency Maturity date Description Buy / Sell Unrealised protection in EUR

5,000,000.00 EUR 06.20.21 ITRAXX XOVER S25 V1 MKT Sell 457,150.00 457,150.00

The unrealised gain/(loss) result on Credit Default Swaps contract as at March 31, 2016 for SIGNATURES EURO HIGH YIELD is included in the statement of net assets of the Sub-fund. The counterparty of the above swap contract is JP MORGAN SECURITIES LTD.

449


FORWARD FOREIGN EXCHANGE CONTRACTS


Sale Purchase Maturity

EUR 742,376 USD 822,300 04.13.16 (20,497.47) * ANZ

The unrealised gain/(loss) result on the outstanding forward foreign exchange contract(s) on currencies as at March 31, 2016 forEDMOND DE ROTHSCHILD FUND - EUROPE CONVERTIBLES is included in the statement of net assets of the Sub-Fund.

Unrealised inEUR

(20,497.47)

Counterparties

As at March 31, 2016, the following forward foreign exchange contract(s) on currencies was (were) outstanding:



HKD 77,000,000 EUR 8,975,300 04.22.16 261,623.71 Edmond de Rothschild (Europe)

Unrealised inEUR

Counterparties

SGD 3,000,000 EUR 1,922,214 04.22.16 (31,847.34) Edmond de Rothschild (Europe)EUR 96,142 SGD 150,000 04.22.16 1,562.43 Edmond de Rothschild (Europe)SGD 150,000 EUR 97,879 04.22.16 176.31 Edmond de Rothschild (Europe)EUR 1,969,279 SGD 3,000,000 04.22.16 (15,217.51) Edmond de Rothschild (Europe)EUR 33,386,372 CHF 36,572,100 04.13.16 60,090.19 * ANZEUR 27,031,490 USD 29,941,700 04.13.16 (746,153.94) * ANZEUR 16,317,462 USD 18,074,200 04.13.16 (450,413.16) * ANZ

The unrealised gain/(loss) result on the outstanding forward foreign exchange contract(s) on currencies as at March 31, 2016 forEDMOND DE ROTHSCHILD FUND - GLOBAL CONVERTIBLES is included in the statement of net assets of the Sub-Fund.

(920,179.31)



HKD 18,000,000 EUR 2,098,122 04.22.16 61,158.79 Edmond de Rothschild (Europe)

Unrealised inEUR

Counterparties

SGD 2,400,000 EUR 1,537,772 04.22.16 (25,477.88) Edmond de Rothschild (Europe)EUR 5,335,301 USD 5,909,700 04.13.16 (147,311.10) * ANZEUR 2,774,488 USD 3,101,800 04.13.16 (51,467.86) * ANZ

The unrealised gain/(loss) result on the outstanding forward foreign exchange contract(s) on currencies as at March 31, 2016 forEDMOND DE ROTHSCHILD FUND - GLOBAL CONVEXITY is included in the statement of net assets of the Sub-Fund.

(163,098.05)

The contracts that are followed by * relate specifically to foreign exchange risk hedging of shares.

450


(Continued)


EDMOND DE ROTHSCHILD FUND - EURO CREDIT SHORT TERM


EUR 5,130,087 CHF 5,619,600 04.13.16 20,252.38 * ANZ

The unrealised gain/(loss) result on the outstanding forward foreign exchange contract(s) on currencies as at March 31, 2016 forEDMOND DE ROTHSCHILD FUND - EURO CREDIT SHORT TERM is included in the statement of net assets of the Sub-Fund.

Unrealised inEUR

20,252.38

Counterparties

EDMOND DE ROTHSCHILD FUND - GLOBAL CROSSOVER BONDS


USD 121,514,441 EUR 108,310,876 05.10.16 1,792,694.37 Edmond de Rothschild (Europe)

Unrealised inEUR

Counterparties

USD 177,532 EUR 158,649 05.10.16 3,022.94 Edmond de Rothschild (Europe)EUR 2,336,378 USD 2,609,154 05.10.16 (49,181.86) Edmond de Rothschild (Europe)USD 604,518 EUR 547,288 05.10.16 17,364.44 Edmond de Rothschild (Europe)USD 46,000,000 EUR 42,253,780 05.04.16 1,924,418.55 Edmond de Rothschild (Europe)GBP 500,000 EUR 640,968 05.04.16 10,841.12 Edmond de Rothschild (Europe)USD 762,808 EUR 694,858 05.10.16 26,177.23 Edmond de Rothschild (Europe)EUR 96,346,713 USD 106,719,400 04.13.16 (2,721,115.90) * ANZUSD 683,960 EUR 603,604 05.10.16 4,041.81 Edmond de Rothschild (Europe)EUR 1,918,700 USD 2,172,400 04.13.16 (12,839.80) * ANZUSD 463,186 EUR 410,908 05.10.16 4,877.12 Edmond de Rothschild (Europe)

The unrealised gain/(loss) result on the outstanding forward foreign exchange contract(s) on currencies as at March 31, 2016 forEDMOND DE ROTHSCHILD FUND - GLOBAL CROSSOVER BONDS is included in the statement of net assets of the Sub-Fund.

1,000,300.02

EDMOND DE ROTHSCHILD FUND - EMERGING BONDS


USD 12,000,000 ARS 173,912,400 08.10.16 (994,934.56) Edmond de Rothschild (Europe)

Unrealised inEUR

Counterparties

USD 12,000,000 TRY 40,852,800 09.28.16 1,702,582.00 Edmond de Rothschild (Europe)USD 10,000,000 TRY 32,186,000 09.28.16 839,758.60 Edmond de Rothschild (Europe)USD 2,000,000 TRY 6,335,600 09.28.16 136,287.31 Edmond de Rothschild (Europe)USD 10,000,000 ARS 181,909,000 12.01.16 553,698.26 Edmond de Rothschild (Europe)USD 2,000,000 TRY 6,338,600 09.28.16 137,222.28 Edmond de Rothschild (Europe)EUR 96,781 USD 107,200 04.13.16 (2,734.12) * ANZEUR 45,849,719 USD 50,785,900 04.13.16 (1,295,283.21) * ANZEUR 44,044,201 USD 48,786,000 04.13.16 (1,244,276.21) * ANZEUR 1,049,664 USD 1,185,800 04.13.16 (9,354.09) * ANZEUR 2,036 USD 2,300 04.13.16 (18.15) * ANZEUR 942,732 USD 1,065,000 04.13.16 (8,401.17) * ANZUSD 1,321,700 EUR 1,180,917 04.13.16 21,387.18 * ANZ

451


(Continued)



USD 1,835,800 EUR 1,615,879 04.13.16 5,321.74 * ANZ

The unrealised gain/(loss) result on the outstanding forward foreign exchange contract(s) on currencies as at March 31, 2016 forEDMOND DE ROTHSCHILD FUND - EMERGING BONDS is included in the statement of net assets of the Sub-Fund.

Unrealised inEUR

(158,744.14)

Counterparties

EDMOND DE ROTHSCHILD FUND - EMERGING CORPORATE BONDS


USD 38,378,766 EUR 34,636,000 04.13.16 1,101,182.33 * ANZ

The unrealised gain/(loss) result on the outstanding forward foreign exchange contract(s) on currencies as at March 31, 2016 forEDMOND DE ROTHSCHILD FUND - EMERGING CORPORATE BONDS is included in the statement of net assets of the Sub-Fund.

Unrealised inUSD

1,101,182.33

Counterparties

EDMOND DE ROTHSCHILD FUND - EURO IG CORPORATE BONDS


EUR 3,323,024 GBP 2,616,300 04.13.16 (23,948.74) * ANZ

Unrealised inEUR

Counterparties

EUR 8,771,339 CHF 9,608,300 04.13.16 34,627.19 * ANZEUR 209,156 CHF 228,200 04.13.16 (11.89) * ANZ

The unrealised gain/(loss) result on the outstanding forward foreign exchange contract(s) on currencies as at March 31, 2016 forEDMOND DE ROTHSCHILD FUND - EURO IG CORPORATE BONDS is included in the statement of net assets of the Sub-Fund.

10,666.56

EDMOND DE ROTHSCHILD FUND - SIGNATURES EURO HIGH YIELD


EUR 3,177,148 USD 3,519,200 04.13.16 (89,756.43) * ANZ

The unrealised gain/(loss) result on the outstanding forward foreign exchange contract(s) on currencies as at March 31, 2016 forEDMOND DE ROTHSCHILD FUND - SIGNATURES EURO HIGH YIELD is included in the statement of net assets of the Sub-Fund.

Unrealised inEUR

(89,756.43)

Counterparties

EDMOND DE ROTHSCHILD FUND - RETURN PLUS


EUR 31,418,000 CHF 34,430,986 04.15.16 84,827.54 * ANZ

Unrealised inEUR

Counterparties

EUR 27,303,800 USD 30,308,747 04.15.16 (685,789.19) * ANZGBP 4,199,800 EUR 5,341,266 04.15.16 45,304.42 ANZ

452


(Continued)



DKK 11,089,300 EUR 1,487,133 04.15.16 (1,092.30) ANZ

Unrealised inEUR

Counterparties

USD 37,812,600 EUR 34,060,619 04.15.16 852,507.89 ANZEUR 456,100 USD 505,386 04.15.16 (12,255.62) * ANZEUR 2,628,592 USD 2,912,900 04.15.16 (70,400.59) ANZGBP 55,400 EUR 70,439 04.15.16 579.52 ANZEUR 658,100 USD 745,400 04.15.16 (3,462.86) ANZCHF 319,130 EUR 292,000 04.15.16 10.32 * ANZEUR 169,700 USD 191,781 04.15.16 (1,271.06) * ANZEUR 452,194 USD 509,800 04.15.16 (4,469.52) ANZEUR 308,000 CHF 335,940 04.15.16 (629.45) * ANZUSD 166,614 EUR 147,800 04.15.16 1,474.32 * ANZUSD 3,814,400 EUR 3,397,705 04.15.16 47,778.21 ANZEUR 920,102 USD 1,029,300 04.15.16 (16,134.22) ANZUSD 1,519,200 EUR 1,361,113 04.15.16 26,906.20 ANZUSD 1,616,500 EUR 1,418,866 04.15.16 (801.90) ANZCHF 510,226 EUR 467,000 04.15.16 166.05 * ANZ

The unrealised gain/(loss) result on the outstanding forward foreign exchange contract(s) on currencies as at March 31, 2016 forEDMOND DE ROTHSCHILD FUND - RETURN PLUS is included in the statement of net assets of the Sub-Fund.

263,247.76

EDMOND DE ROTHSCHILD FUND - US VALUE & YIELD


EUR 4,500,300 USD 4,986,931 04.13.16 (125,268.32) * ANZ

Unrealised inEUR

Counterparties

USD 55,760,682 EUR 50,322,800 04.13.16 1,403,986.44 * ANZUSD 23,416,189 EUR 21,132,600 04.13.16 589,591.27 * ANZUSD 559,397 EUR 495,000 04.13.16 4,238.69 * ANZUSD 1,303,678 EUR 1,153,600 04.13.16 9,878.32 * ANZUSD 52,878,839 EUR 47,722,000 04.13.16 1,331,425.14 * ANZUSD 1,655,830 EUR 1,469,400 04.13.16 16,734.57 * ANZEUR 1,243,600 USD 1,388,631 04.13.16 (25,345.23) * ANZ

The unrealised gain/(loss) result on the outstanding forward foreign exchange contract(s) on currencies as at March 31, 2016 forEDMOND DE ROTHSCHILD FUND - US VALUE & YIELD is included in the statement of net assets of the Sub-Fund.

3,205,240.88

EDMOND DE ROTHSCHILD FUND - INFRASPHERE


CAD 7,920,600 USD 6,000,000 05.24.16 (108,749.23) Edmond de Rothschild (Europe)

Unrealised inEUR

Counterparties

USD 6,000,000 CAD 7,957,800 05.24.16 133,994.20 Edmond de Rothschild (Europe)

453


(Continued)



CAD 7,427,500 EUR 5,000,000 05.25.16 (31,843.93) Edmond de Rothschild (Europe)

The unrealised gain/(loss) result on the outstanding forward foreign exchange contract(s) on currencies as at March 31, 2016 forEDMOND DE ROTHSCHILD FUND - INFRASPHERE is included in the statement of net assets of the Sub-Fund.

Unrealised inEUR

(6,598.96)

Counterparties

EDMOND DE ROTHSCHILD FUND - CHINA


HKD 1,299,368 CNH 1,093,100 04.13.16 1,480.15 * ANZ

Unrealised inEUR

Counterparties

HKD 26,751 CNH 22,300 04.13.16 2.70 * ANZHKD 34,428 CNH 28,800 04.13.16 17.17 * ANZ

The unrealised gain/(loss) result on the outstanding forward foreign exchange contract(s) on currencies as at March 31, 2016 forEDMOND DE ROTHSCHILD FUND - CHINA is included in the statement of net assets of the Sub-Fund.

1,500.02



USD 284,521,200 EUR 256,241,677 04.15.16 6,366,977.95 ANZ

Unrealised inEUR

Counterparties

JPY 416,480,000 EUR 3,305,213 04.15.16 44,584.78 ANZAUD 4,921,000 EUR 3,302,075 04.15.16 (12,125.64) ANZGBP 10,589,700 EUR 13,464,375 04.15.16 110,727.84 ANZDKK 19,309,100 EUR 2,589,435 04.15.16 (1,917.48) ANZNOK 54,637,600 EUR 5,733,017 04.15.16 (66,075.83) ANZEUR 115,258,233 CHF 126,311,498 04.15.16 311,193.32 * ANZEUR 116,543,100 USD 129,356,676 04.15.16 (2,938,361.11) * ANZUSD 18,428,000 EUR 16,345,690 04.15.16 161,614.06 ANZDKK 98,500 EUR 13,213 04.15.16 (5.92) ANZEUR 1,758,100 USD 1,948,256 04.15.16 (47,071.88) * ANZEUR 1,716,449 USD 1,902,100 04.15.16 (45,956.71) ANZGBP 74,200 EUR 94,319 04.15.16 752.18 ANZEUR 3,298,257 AUD 4,921,000 04.15.16 15,938.00 ANZJPY 2,150,000 EUR 17,045 04.15.16 212.31 ANZEUR 1,914,100 USD 2,168,015 04.15.16 (10,071.82) * ANZNOK 325,300 EUR 34,576 04.15.16 49.89 ANZUSD 1,552,920 EUR 1,374,000 04.15.16 10,173.94 * ANZEUR 4,382,616 USD 4,920,100 04.15.16 (61,608.37) ANZJPY 5,160,000 EUR 41,160 04.15.16 762.42 ANZGBP 3,414,800 EUR 4,319,579 04.15.16 13,498.69 ANZEUR 1,325,000 CHF 1,442,766 04.15.16 (4,932.46) * ANZEUR 491,000 CHF 535,976 04.15.16 (605.86) * ANZEUR 15,803,981 USD 17,722,900 04.15.16 (239,096.67) ANZUSD 4,782,900 EUR 4,225,289 04.15.16 24,783.31 ANZ

454


(Continued)



EUR 17,752 JPY 2,260,000 04.15.16 (58.36) ANZ

Unrealised inEUR

Counterparties

EUR 605,800 USD 685,747 04.15.16 (3,552.11) * ANZUSD 3,136,900 EUR 2,753,381 04.15.16 (1,556.13) ANZGBP 1,938,200 EUR 2,443,982 04.15.16 (100.18) ANZ

The unrealised gain/(loss) result on the outstanding forward foreign exchange contract(s) on currencies as at March 31, 2016 forEDMOND DE ROTHSCHILD FUND - QUAM 5 is included in the statement of net assets of the Sub-Fund.

3,628,172.16



GBP 77,778,100 EUR 98,891,707 04.15.16 813,262.06 ANZ

Unrealised inEUR

Counterparties

USD 198,646,100 EUR 178,901,993 04.15.16 4,445,276.27 ANZAUD 4,353,300 EUR 2,921,139 04.15.16 (10,726.79) ANZEUR 358,368,590 CHF 392,736,138 04.15.16 967,583.03 * ANZEUR 83,415,500 USD 92,586,792 04.15.16 (2,103,126.32) * ANZCHF 873,280 EUR 800,000 04.15.16 987.04 * ANZCHF 785,196 EUR 720,000 04.15.16 1,579.95 * ANZUSD 11,215,600 EUR 10,120,921 04.15.16 271,064.88 ANZEUR 1,395,300 USD 1,546,216 04.15.16 (37,358.17) * ANZGBP 826,900 EUR 1,051,106 04.15.16 8,382.47 ANZEUR 28,150 AUD 42,000 04.15.16 136.03 ANZUSD 5,180,400 EUR 4,573,679 04.15.16 24,074.46 ANZCHF 1,068,975 EUR 978,100 04.15.16 34.60 * ANZEUR 1,288,800 USD 1,459,766 04.15.16 (6,781.55) * ANZEUR 2,157,200 CHF 2,355,447 04.15.16 (2,069.72) * ANZUSD 536,628 EUR 474,800 04.15.16 3,515.71 * ANZUSD 26,844,700 EUR 23,751,789 04.15.16 175,872.72 ANZAUD 89,200 EUR 60,020 04.15.16 (54.34) ANZEUR 13,638,719 GBP 10,635,200 04.15.16 (227,663.24) ANZEUR 1,329,500 CHF 1,450,106 04.15.16 (2,717.06) * ANZGBP 2,602,500 EUR 3,320,447 04.15.16 38,688.99 ANZUSD 742,275 EUR 658,400 04.15.16 6,509.78 * ANZEUR 1,124,849 USD 1,262,800 04.15.16 (15,812.49) ANZEUR 6,863,756 GBP 5,432,800 04.15.16 (12,960.19) ANZUSD 20,280,400 EUR 18,128,866 04.15.16 317,994.39 ANZGBP 390,800 EUR 494,346 04.15.16 1,544.83 ANZEUR 608,800 CHF 662,910 04.15.16 (2,266.33) * ANZEUR 462,100 USD 515,771 04.15.16 (9,131.83) * ANZUSD 11,543,900 EUR 10,294,002 04.15.16 155,786.13 ANZEUR 2,953,316 AUD 4,400,500 04.15.16 10,332.94 ANZUSD 7,145,700 EUR 6,312,623 04.15.16 37,026.51 ANZEUR 677,157 GBP 531,900 04.15.16 (6,427.62) ANZUSD 13,252,700 EUR 11,632,420 04.15.16 (6,574.31) ANZ

455


(Continued)



EUR 1,675,000 CHF 1,830,038 04.15.16 (595.59) * ANZ


Unrealised inEUR

4,835,387.24

Counterparties



EUR 27,149,000 CHF 29,752,589 04.15.16 73,312.58 * ANZ

Unrealised inEUR

Counterparties

EUR 2,819,600 USD 3,129,607 04.15.16 (71,067.46) * ANZEUR 142,700 GBP 112,232 04.15.16 (1,174.73) * ANZEUR 41,100 USD 45,545 04.15.16 (1,100.42) * ANZEUR 63,700 USD 72,150 04.15.16 (335.19) * ANZGBP 1,014 EUR 1,300 04.15.16 21.70 * ANZUSD 28,595 EUR 25,300 04.15.16 187.33 * ANZUSD 17,136 EUR 15,200 04.15.16 150.29 * ANZEUR 1,500 GBP 1,176 04.15.16 (17.47) * ANZEUR 200,000 CHF 218,110 04.15.16 (438.93) * ANZ


(462.30)

EDMOND DE ROTHSCHILD FUND - QUAM SUSTAINABLE 10


JPY 2,910,000 EUR 23,098 04.15.16 315.19 ANZ

Unrealised inEUR

Counterparties

USD 1,145,600 EUR 1,031,741 04.15.16 25,642.31 ANZGBP 117,600 EUR 149,563 04.15.16 1,268.59 ANZEUR 95,721 USD 108,400 04.15.16 (520.49) ANZEUR 98,340 USD 110,300 04.15.16 (1,470.50) ANZ

The unrealised gain/(loss) result on the outstanding forward foreign exchange contract(s) on currencies as at March 31, 2016 forEDMOND DE ROTHSCHILD FUND - QUAM SUSTAINABLE 10 is included in the statement of net assets of the Sub-Fund.

25,235.10

Documents

EDMOND DE ROTHSCHILD FUND de Rothschi… · Model and inputs for the VaR approach: Historical Value at Risk ... EDMOND DE ROTHSCHILD FUND 9 INFORMATION TO THE SHAREHOLDERS IN …