Pictet Strategy Fund - Fondsvermittlung24.de1 Pictet Strategy Fund Fonds Commun de Placement Mutual Fund under Luxembourg Law Annual report, including audited financial statements,

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Pictet Strategy Fund

Fonds Commun de PlacementMutual Fund under Luxembourg Law

Annual Report, including audited financial statements,as at June 30, 2017

R.C.S. Luxembourg K960

gbastogne

Text Box

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Pictet Strategy Fund Fonds Commun de Placement Mutual Fund under Luxembourg Law

Annual report, including audited financial statements, as at June 30, 2017


Annual report, including audited financial statements, as at June 30, 2017

No subscription can be received on the basis of this report. Subscriptions are only valid if made on the basis of the current prospectus accompanied by the latest annual report, including audited

financial statements, and the most recent semi-annual report, if published thereafter.

2


TABLE OF CONTENTS

3

ORGANISATION OF THE FUND 4

GENERAL INFORMATION 6

DISTRIBUTION ABROAD 7

MANAGEMENT REPORT 8

REPORT OF THE REVISEUR D’ENTREPRISES AGREE / AUDITOR'S REPORT 10

FINANCIAL STATEMENTS

STATEMENT OF NET ASSETS 13

STATEMENT OF OPERATIONS AND CHANGES IN NET ASSETS 14

NUMBER OF UNITS OUTSTANDING AND NET ASSET VALUE PER UNIT 15

Sub-fund : Pictet Strategy Fund - Pictet Mandat Ausgewogen - Statement of investments and other net assets 16 - Geographical and industrial classification of investments 19

NOTES TO THE FINANCIAL STATEMENTS 20

OTHER INFORMATION TO UNITHOLDERS 25


ORGANISATION OF THE FUND

4

Management Company

FundPartner Solutions (Europe) S.A., 15, avenue J.F. Kennedy, L-1855 Luxembourg, Grand Duchy of Luxembourg

Board of Directors of the Management Company

Chairmen Mr Marc BRIOL, Executive Vice President, Banque Pictet & Cie SA, 60, route des Acacias, CH-1211 Geneva 73, Switzerland (until December 1, 2016)

Mr Christian SCHRÖDER, Group Corporate Secretary and Head of Organisation, Banque Pictet & Cie SA, 60, route des Acacias, CH-1211 Geneva 73, Switzerland (since December 1, 2016)

Members Mr Pierre ETIENNE, Managing Director, Pictet & Cie (Europe) S.A., 15A, avenue J.F. Kennedy, L-1855 Luxembourg, Grand Duchy of Luxembourg (until December 1, 2016)

Mrs Michèle BERGER, CEO and Managing Director, FundPartner Solutions (Europe) S.A., 15, avenue J.F. Kennedy, L-1855 Luxembourg, Grand Duchy of Luxembourg

Me. Claude KREMER, Partner, Arendt & Medernach - Avocats, 14, rue Erasme, L-2082 Luxembourg, Grand Duchy of Luxembourg

Mr Geoffroy LINARD DE GUERTECHIN, Independant Director, 2, rue Jean-Pierre Beicht, L-1226 Luxembourg, Grand Duchy of Luxembourg

Members of the Management Committee

Mrs Michèle BERGER, CEO and Managing Director, FundPartner Solutions (Europe) S.A., 15, Avenue J.F. Kennedy, L-1855 Luxembourg, Grand Duchy of Luxembourg

Mr Pascal CHAUVAUX, Head of Central Administration, FundPartner Solutions (Europe) S.A., 15, Avenue J.F. Kennedy, L-1855 Luxembourg, Grand Duchy of Luxembourg

Mr Cédric HAENNI, Head of Risk & Compliance, FundPartner Solutions (Suisse) SA, 60, route des Acacias, CH-1211 Geneva 73, Switzerland

Mr Dorian JACOB, Head of Investment Management Oversight, FundPartner Solutions (Europe) S.A., 15, avenue J.F. Kennedy, L-1855 Luxembourg, Grand Duchy of Luxembourg

Depositary Bank Pictet & Cie (Europe) S.A., 15A, avenue J.F. Kennedy, L-1855 Luxembourg, Grand Duchy of Luxembourg

Transfer Agent, Central Administration and Paying Agent

FundPartner Solutions (Europe) S.A., 15, avenue J.F. Kennedy, L-1855 Luxembourg, Grand Duchy of Luxembourg


ORGANISATION OF THE FUND (continued)

5

Paying and Information Agent in Germany

Deutsche Bank Aktiengesellschaft, Taunusanlage 12, D-60325 Frankfurt am Main, Germany

Portfolio Manager Banque Pictet & Cie SA, Genève, 60, route des Acacias, CH-1211 Geneva 73, Switzerland

Cabinet de révision agréé/Auditor of the Fund

Deloitte Audit, Société à responsabilité limitée, 560, rue de Neudorf, L-2220 Luxembourg, Grand Duchy of Luxembourg


GENERAL INFORMATION

6

The combined financial statements of Pictet Strategy Fund (the "Fund") in CHF and the accounts of the sub-funds are closed each year on June 30. Annual reports, including audited financial statements, are established as of June 30. Unaudited semi-annual reports are established as of December 31.

Annual reports, including audited financial statements, are available to the Unitholders at no cost to them at the offices of the Management Company and the Depositary Bank and Fund Accountant. Such reports form an integral part of this Issue Document.

The reports contain individual information on each sub-fund and consolidated information on the Fund. Any other financial information published concerning the Fund or the Management Company, including the Net Asset Value ("NAV") of the Units of each Class and any suspension of such valuation, are available to the public at the offices of the Management Company and the Depositary Bank and Fund Accountant.

The NAV per Unit and the dealing prices are available to the public at the offices of the Management Company and the Depositary Bank.

All notices to Unitholders are sent to Unitholders at their address indicated in the register of Unitholders. If deemed necessary or required by law, notices are published in a newspaper and in the "Recueil électronique des sociétés et associations" since June 1, 2016 ("Mémorial C, Recueil des Sociétés et Associations du Grand-Duché de Luxembourg" until May 31, 2016).


DISTRIBUTION ABROAD

7

Additional information for German investors

Paying and Information Agent: Deutsche Bank Aktiengesellschaft Taunusanlage 12 D-60325 Frankfurt am Main

Applications for the redemption and conversion of units may be addressed to the Paying and Information Agent in Germany.

Unitholders may request that redemption proceeds, any dividends distributed and any other payments to be made to them pass through the Paying and Information Agent in Germany.

Copies of the most recent prospectus, the Key Investor Information Documents, the Articles of Association of the Fund and the most recent annual and semi-annual reports may be obtained free of charge from the Paying and Information Agent in Germany. Subscription, redemption and conversion prices of units as well as all other notices to unitholders may also be obtained free of charges from the Paying and Information Agent in Germany.

Furthermore, the following documents are available free of charge for consultation at the offices of the Paying and Information Agent in Germany:

• the management regulations; • the depositary agreement concluded between Pictet & Cie (Europe) S.A. and the

Management Company.

Moreover, the issue and redemption prices shall be published each trading day in the "Börsen-Zeitung". Notices to the Unitholders are available free of charge at the German Paying and Information Agent, and Unitholders registered in the Fund’s Register will be informed by mail. Moreover notices will also be published in the "Börsen-Zeitung" in cases prescribed by law, especially in the case of a merger, switch or suspension of the redemption of units and contractual changes with an impact on the Unitholders’ rights.


MANAGEMENT REPORT

Past performance is not an indicator of current or future returns. 8

Pictet Strategy Fund - Pictet Mandat Ausgewogen

Previous business year’s market review

Financial markets, still reeling from the shock Brexit result, began the third quarter 2016 in faltering fashion, but volatility did gradually subside. Improving market sentiment not only worked to the advantage of equities, but also boosted corporate bonds. The markets also benefited from central banks' generosity as they, for different individual reasons, retained their accommodating bias to monetary policy. In September, we saw volatility come back to equity markets.

In Q4 2016 Donald Trump's victory in the US Presidential election triggered a shift in market regime. US equities sky-rocketed, fuelled by almost hysterical expectations hyped up on a blend of tax cuts, rising public spending and a more relaxed attitude to regulation. This election would also appear to have sounded the death-knell for the thirty-year bull market for bonds. Post-election, the dollar also quickened its rise in value. Investors took as read the move to tighten monetary screws in December, with more hikes to follow in 2017.

As the opening quarter of 2017 unfolded, investors carefully monitored President Trump’s political moves and began to have second thoughts about some of the naive hopes that his victory had ignited. In the first two months of his term of office, the President pushed through a chaotic string of initiatives and showed himself incapable of forging a consensus among the Republican party over health-care policy. The financial community is now questioning the feasibility of his tax reform package and the infrastructure development programme. At the end of the monthly FOMC meeting in February, Fed Chair Janet Yellen and several of her colleagues had declared their determination to hike the Fed funds rate in the not too distant future - the deed has now been done at the March meeting, with no backlash occurring.

Financial markets built on their late-April rallies to keep steering a favourable course through Q2 2017. Investors continued to favour risk assets and were undeterred by President Trump’s string of mishaps and setbacks on the political and legal fronts or by election risks in some European countries. Fundamentals underpinning this asset class have undeniably improved quite considerably since the turn of the year. We only have to look at the marked weakening of the dollar which, hand in hand with the improving state of the global economy, has been boosting equities. European stock markets have been assisted by the best set of quarterly corporate results for seven years. In June, the Fed pushed through, without upsetting financial markets the second of three likely hikes in reference rate slated for 2017.

Performance review

The Pictet Strategy Fund - Pictet Mandat Ausgewogen delivered a performance of 4.4% during the fiscal year under review. Equities had a strong run, whereas fixed income made almost no contribution to returns. The allocation was as follows at the end of the reporting period: 25% equities, 37% bonds, 34% cash. The duration of the bond portfolio stood at 4.3 years.


MANAGEMENT REPORT (continued)

Past performance is not an indicator of current or future returns. 9

On the equity side, the fund entered the reporting period by getting more aggressive, increasing equities through Emerging Markets. With the US elections coming closer, the fund reduced the risk gradually towards the end of the summer 2016, mainly by selling European index products. With the shift in the market regime in November post US elections, the fund took a larger exposure towards value-oriented investments, mainly through the Artisan Global Value Fund and an ETF tracker on US financials. The latter investment working very well, the fund thus took profits end of January 2017. However, markets continued to perform very well, looking to be somewhat ahead of fundamentals. The fund temporarily reduced the equity allocation by mid-February to 49% by cutting both US and European equities and kept this stance for several months. On the back of strong earnings numbers across the board and macro numbers in Europe showing an improving picture, the fund increased the risk level again over the second half of April, adding mainly to European equities. Since then, the equity exposure remained around 25%

As for the fixed-income part of the portfolio, the exposure remained within a pretty narrow range, but decreased slightly from 40% to 37% during the fiscal year. The exposure to Euro high yield was decreased from 4.70% to 2.05% in September 2016. In May 2017, we took some profits on US 10y futures and reduced the exposure to 2.7% from 7.6%. Corporate holdings were increased from 25.6% to 30.3% over the period. The exposure to emerging market corporate remained steady. The contribution of the fixed income part of the sub-fund was of +0.24%. This was essentially driven by the significant tightening in European credit spreads despite a large curve steepening (the German Bund surged from -0.12% up to 0.47% over the period). The weighted modified duration of the bond portfolio was of 2.01 years as of June 30, 2016 and of 1.56 years as of June 30, 2017.

The sub-fund had no position in alternative investments over the reporting period. However, returns for actively managed funds should improve going forward, thus creating a more favourable outlook for this asset class. Additionally, yields seem to have reached a bottom. The fund therefore considers investing in absolute return oriented strategies.

Current business year’s outlook for financial markets

We believe the global economic recovery will continue, despite an uncertain political environment. Most asset classes have continued to perform despite political ‘noise’, including Donald Trump’s difficulties over his campaign’s links to Russia, the allegations against president Michel Temer in Brazil and, most recently, the shock election result in the UK. Equities continue to rally, core sovereign bond yields have fallen, and hedge funds are faring well as active management makes a comeback. With continued strong earnings growth, we still favour developed market equities.

However, markets seem unduly complacent. Geopolitical uncertainty remains high, and the key question of whether central banks will be able to withdraw liquidity without disrupting markets is still unanswered. We think the Fed will start reducing its balance sheet at the beginning of 2018. Volatility is very low at present, but will be susceptible to spike as these concerns come to the fore. We have therefore decided to limit risk by reducing our equities overweight and cutting most of our position in US High Yield, switching instead to short-term government or aggregate bonds and USD cash.

July 2017

Established by the Porfolio Manager

Deloitte. Deloitte Audit Société à responsabilité limitée 560, rue de Neudorf L-2220 Luxembourg BP 1173 L-1011 Luxembourg

Tel: +352 451 451 www.deloitte.lu

REPORT OF THE RÉVISEUR D'ENTREPRISES AGRÉÉ/ AUDITOR'S REPORT

To the Unitholders of

Pictet Strategy Fund (Fonds Commun de Placement) and Mutual Fund under Luxembourg Law 15, avenue J.F. Kennedy, L-1855 Luxembourg

Report on the Audit of the Financial Statements

Opinion

We have audited the financial statements of Pictet Strategy Fund (The "Fund") which comprise the statement of net assets and the statement of investments and other net assets as at June 30, 2017 and the statement of operations and changes in net assets for the year then ended, and notes to the financial statements, including a summary of significant accounting policies.

In our opinion, the accompanying financial statements give a true and fair view of the financial position of Pictet Strategy Fund as at June 30, 2017, and of the results of its operations and changes in its net assets for the year then ended in accordance with the Luxembourg legal and regulatory requirements relating to the preparation of the financial statements.

Basis for Opinion

We conducted our audit in accordance with the Law of July 23, 2016 on the audit profession (Law of July 23, 2016) and with International Standards on Auditing (ISAs) as adopted for Luxembourg by the "Commission de Surveillance du Secteur Financier" (CSSF). Our responsibilities under those Law and standards are further described in the "Responsibilities of réviseur d'entreprises agréé for the Audit of the Financial Statements" section of our report. We are also independent of the Fund in accordance with the International Ethics Standards Board for Accountants' Code of Ethics for Professional Accountants (IESBA Code) as adopted for Luxembourg by the CSSF together with the ethical requirements that are relevant to our audit of the financial statements, and have fulfilled our other ethical responsibilities under those ethical requirements. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our opinion.

Other information

The Board of Directors of the Management Company is responsible for the other information. The other information comprises the information included in the annual report but does not include the financial statements and our report of réviseur d'entreprises agréé thereon.

Our opinion on the financial statements does not cover the other information and we do not express any form of assurance conclusion thereon.

In connection with our audit of the financial statements, our responsibility is to read the other information and, in doing so, consider whether the other information is materially inconsistent with the financial statements or our knowledge obtained in the audit or otherwise appears to be materially misstated. If, based on the work we have performed, we conclude that there is a material misstatement of this other information, we are required to report this fact. We have nothing to report in this regard.

Société à responsabilité limitée au capital de 35.000 € RCS Luxembourg B 67.895 Autorisation d'établissement 10022179

10

Deloitte.

REPORT OF THE RÉVISEUR D'ENTREPRISES AGRÉÉ/ AUDITOR'S REPORT (continued)

Responsibility of the Board of Directors of the Management Company and Those Charged with Governance for the Financial Statements

The Board of Directors of the Management Company is responsible for the preparation and fair presentation of these financial statements in accordance with Luxembourg legal and regulatory requirements relating to the preparation of the financial statements and for such internal control as the Board of Directors of the Management Company determines is necessary to enable the preparation of financial statements that are free from material misstatement, whether due to fraud or error.

In preparing the financial statements, the Board of Directors of the Management Company is responsible for assessing the Fund's ability to continue as a going concern, disclosing, as applicable, matters related to going concern and using the going concern basis of accounting unless the Board of Directors of the Management Company either intends to liquidate the Fund or to cease operations, or has no realistic alternative but to do so.

Responsibilities of the réviseur d'entreprises agréé for the Audit of the Financial Statements

Our objectives are to obtain reasonable assurance about whether the financial statements as a whole are free from material misstatement, whether due to fraud or error, and to issue a report of réviseur d'entreprises agréé that includes our opinion. Reasonable assurance is a high level of assurance, but is not a guarantee that an audit conducted in accordance with the Law of July 23, 2016 and with ISAs as adopted for Luxembourg by the CSSF will always detect a material misstatement when it exists. Misstatements can arise from fraud or error and are considered material if, individually or in the aggregate, they could reasonably be expected to influence the economic decisions of users taken on the basis of these financial statements.

As part of an audit in accordance with the Law of July 23, 2016 and with ISAs as adopted for Luxembourg by the CSSF, we exercise professional judgment and maintain professional scepticism throughout the audit. We also:

• Identify and assess the risks of material misstatement of the financial statements, whether due to fraud or error, design and perform audit procedures responsive to those risks, and obtain audit evidence that is sufficient and appropriate to provide a basis for our opinion. The risk of not detecting a material misstatement resulting from fraud is higher than for one resulting from error, as fraud may involve collusion, forgery, intentional omissions, misrepresentations, or the override of internal control.

• Obtain an understanding of internal control relevant to the audit in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund's internal control.

• Evaluate the appropriateness of accounting policies used and the reasonableness of accounting estimates and related disclosures made by the Board of Directors of the Management Company

• Conclude on the appropriateness of Board of Directors of the Management Company's use of the going concern basis of accounting and, based on the audit evidence obtained, whether a material uncertainty exists related to events or conditions that may cast significant doubt on the Fund's ability to continue as a going concern. If we conclude that a material uncertainty exists, we are required to draw attention in our report of the réviseur d'entreprises agréé to the related disclosures in the financial statements or, if such disclosures are inadequate, to modify our opinion. Our conclusions are based on the audit evidence obtained up to the date of our report of the réviseur d'entreprises agréé. However, future events or conditions may cause the Fund to cease to continue as a going concern.

11

Deloitte.

REPORT OF THE RÉVISEUR D'ENTREPRISES AGRÉÉ/ AUDITOR'S REPORT (continued)

• Evaluate the overall presentation, structure and content of the financial statements, including the disclosures, and whether the financial statements represent the underlying transactions and events in a manner that achieves fair presentation.

We communicate with those charged with governance regarding, among other matters, the planned scope and timing of the audit and significant audit findings, including any significant deficiencies in internal control that we identify during our audit.

For Deloitte Audit Société à responsabilité limitée Cabinet de révision agréé

Laurent Fedrigo, Réviseur d'entreprises agréé Partner

October 25, 2017 560, rue de Neudorf L-2220 Luxembourg

12


STATEMENT OF NET ASSETS AS AT JUNE 30, 2017

The accompanying notes form an integral part of these financial statements.

13

Combined Pictet Mandat Ausgewogen

CHF EUR

ASSETS

Investments in securities at acquisition cost 42,705,848.83 39,099,040.54

Net unrealised gain on investments 2,088,900.89 1,912,478.57

Investments in securities at market value (note 2.d) 44,794,749.72 41,011,519.11

Cash at banks (note 2.d) 6,677,480.88 6,113,520.81

Bank deposits (note 2.d) 20,372,945.22 18,652,307.19

Interest receivable, net 73,793.84 67,561.43

71,918,969.66 65,844,908.54

LIABILITIES

Management fee payable (note 4) 222,622.58 203,820.54

"Taxe d’abonnement" payable (note 3) 8,930.34 8,176.11

Other fees payable (note 5) 94,750.68 86,748.32

326,303.60 298,744.97

TOTAL NET ASSETS AS AT JUNE 30, 2017 71,592,666.06 65,546,163.57

TOTAL NET ASSETS AS AT JUNE 30, 2016 66,516,801.88 61,459,485.23

TOTAL NET ASSETS AS AT JUNE 30, 2015 63,434,256.86 * 32,139,931.37

* Includes the total net asset from the sub-fund Enhanced Equity merged into Pictet Mandat Ausgewogen as at May 18, 2016.


STATEMENT OF OPERATIONS AND CHANGES IN NET ASSETS FOR THE YEAR ENDED JUNE 30, 2017

The accompanying notes form an integral part of these financial statements. 14

Combined Pictet Mandat Ausgewogen

CHF EUR

NET ASSETS AT THE BEGINNING OF THE YEAR 66,516,801.88 61,459,485.23

INCOME

Dividends, net (note 2.h) 330,372.67 302,470.38

Interest on bonds, net (note 2.h) 191,763.63 175,567.85

Bank interest -33,815.35 -30,959.41

Other income 2,242.58 2,053.18

490,563.53 449,132.00

EXPENSES

Management fees (note 4) 853,959.38 781,836.52

Depositary fees, bank charges and interest (note 4) 149,936.17 137,273.01

Professional fees, audit fees and other expenses 143,417.08 131,304.50

Administration fees (note 4) 136,490.63 124,963.04

"Taxe d’abonnement" (note 3) 32,690.83 29,929.86

Transaction fees (note 2.i) 73,766.20 67,536.13

1,390,260.29 1,272,843.06

NET INVESTMENT LOSS -899,696.76 -823,711.06

Net realised gain on sales of investments 366,146.11 335,222.50

Net realised loss on foreign exchange -94,008.07 -86,068.43

Net realised loss on options -36,181.37 -33,125.60

Net realised gain on forward contracts 2,791,941.38 2,556,142.36

NET REALISED GAIN 2,128,201.29 1,948,459.77

Change in net unrealised appreciation:

- on investments 719,844.84 659,048.90

INCREASE IN NET ASSETS AS A RESULT OF OPERATIONS 2,848,046.13 2,607,508.67

Proceeds from subscriptions of units 9,044,167.94 8,280,324.56

Cost of units redeemed -7,348,339.83 -6,727,721.02

Dividend distributed (note 8) -80,208.00 -73,433.87

Revaluation difference on the net assets at the beginning of the year* 612,197.94

NET ASSETS AT THE END OF THE YEAR 71,592,666.06 65,546,163.57

* The difference mentioned above results from the conversion of the net assets at the beginning of the year (for the sub-fund denominated in currencies other than CHF) at exchange rates applicable on June 30, 2016 and exchange rates applicable on June 30, 2017.


NUMBER OF UNITS OUTSTANDING AND NET ASSET VALUE PER UNIT

15

Sub-fund Unit Class Currency Number of units

outstanding

Net asset valueper unit



30.06.2017 30.06.2017 30.06.2016 30.06.2015

Pictet Strategy Fund - Pictet Mandat Ausgewogen P EUR 421,946.26 155.34 148.80 150.34


STATEMENT OF INVESTMENTS AND OTHER NET ASSETS AS AT JUNE 30, 2017 (EXPRESSED IN EUR)


Description Currency Quantity/Nominal Market value (note 2) % of net assets

I. TRANSFERABLE SECURITIES ADMITTED TO AN OFFICIAL STOCK EXCHANGE LISTING OR DEALT IN ON ANOTHER REGULATED MARKET

SHARES

SPAIN

INDITEX INDUSTRIA DE DISENO TEXTIL 18,000.00 604,980.00 0.92

604,980.00 0.92

SWEDEN

ASSA ABLOY 'B' 40,000.00 769,644.31 1.17

769,644.31 1.17

SWITZERLAND

LINDT & SPRUENGLI 'C' 116.00 590,488.61 0.90

NESTLE 10,130.00 773,952.89 1.18

ROCHE HOLDING D.RIGHT 2,670.00 596,946.85 0.91

S.G.S. 319.00 678,159.17 1.03

2,639,547.52 4.02

UNITED KINGDOM

COMPASS GROUP 35,576.00 656,372.08 1.00

NATIONAL GRID 48,931.00 530,405.18 0.81

RECKITT BENCKISER GROUP 7,100.00 629,417.98 0.96

1,816,195.24 2.77

UNITED STATES

ALPHABET 'A' 800.00 652,092.24 0.99

APPLE 5,500.00 694,498.08 1.06

CELGENE 6,500.00 740,129.56 1.13

MERCK & CO 10,000.00 561,921.73 0.86

NIKE 'B' 14,000.00 724,211.81 1.10

PEPSICO 6,100.00 617,674.64 0.94

STARBUCKS 12,000.00 613,493.33 0.94

THERMO FISHER SCIENTIFIC 4,600.00 703,662.08 1.07

TJX COS 10,000.00 632,764.72 0.97

WALT DISNEY 7,000.00 652,097.50 0.99

6,592,545.69 10.05

TOTAL SHARES 12,422,912.76 18.93

BONDS

BELGIUM

1.00% KBC GROEP 16/21 -SR- EUR 1,000,000.00 1,021,050.00 1.56

1,021,050.00 1.56

DENMARK

1.125% ISS GLOBAL (FR/RAT) 15/21 -SR- EUR 500,000.00 510,962.50 0.78

510,962.50 0.78




17

Description Currency Nominal Market value (note 2) % of net assets

FRANCE

1.125% BNP PARIBAS 17/23 -SR-S EUR 700,000.00 704,382.00 1.07

1.125% PUBLICIS GROUPE 14/21 -SR- EUR 400,000.00 410,686.00 0.63

1.25% RCI BANQUE 15/22 EUR 600,000.00 614,079.00 0.94

1.75% CAPGEMINI 15/20 EUR 400,000.00 415,524.00 0.63

2.125% ILIAD 15/22 -SR- EUR 400,000.00 415,578.00 0.63

2,560,249.00 3.90

IRELAND

FRN FCA BANK IRELAND 17/19 -SR- EUR 1,000,000.00 998,260.00 1.52

0.80% G.E. CAPITAL EUROPEAN FUNDING 15/22 -SR- EUR 400,000.00 406,316.00 0.62

1.25% FCA CAPITAL IRELAND 16/21 -SR- EUR 300,000.00 305,851.50 0.47

1,710,427.50 2.61

JAPAN

FRN SUMITOMO MITSUI 17/22 -SR- EUR 1,000,000.00 1,002,800.00 1.53

1,002,800.00 1.53

NETHERLANDS

1.125% VOLKSWAGEN INTERNATIONAL FINANCE 17/23 -SR- EUR 700,000.00 701,165.50 1.07

1.168% GENERAL MOTORS FINANCE 16/20 -SR- EUR 700,000.00 715,092.00 1.09

1.25% TEVA PHARMA FINANCE II 15/23 -SR-S EUR 600,000.00 593,277.00 0.91

2.125% HEINEKEN 12/20 S.6 -SR-S EUR 400,000.00 423,784.00 0.65

2,433,318.50 3.72

SPAIN

0.625% BBVA 17/22 -SR-S EUR 700,000.00 700,472.50 1.07

0.875% SANTANDER CONSUMER FINANCE 17/22 -SR- EUR 700,000.00 703,811.50 1.07

1.00% SANTANDER CONSUMER FINANCE 16/21 -SR- EUR 1,000,000.00 1,017,430.00 1.55

1.50% CRITERIA CAIXA 17/23 -SR- EUR 700,000.00 693,371.00 1.06

3,115,085.00 4.75

UNITED KINGDOM

1.00% BAT INTERNATIONAL FINANCE 15/22 -SR- EUR 500,000.00 505,782.50 0.77

1.109% BP CAPITAL MARKETS 15/23 EUR 400,000.00 407,734.00 0.62

1.134% FCE BANK 15/22 -SR-S EUR 600,000.00 605,862.00 0.92

1,519,378.50 2.31

UNITED STATES

0.25% PFIZER 17/22 -SR- EUR 700,000.00 694,480.50 1.06

0.50% IBM CORP. 16/21 -SR- EUR 1,000,000.00 1,007,145.00 1.54

0.50% MCDONALD'S 16/21 -SR- EUR 1,000,000.00 1,004,730.00 1.53

0.75% BERKSHIRE HATHAWAY 15/23 -SR- EUR 1,000,000.00 1,001,155.00 1.53

0.75% COCA-COLA 15/23 EUR 1,000,000.00 1,007,890.00 1.54

1.00% GENERAL MILLS 15/23 EUR 400,000.00 401,908.00 0.61

1.10% MASTERCARD 15/22 SR EUR 500,000.00 512,607.50 0.78

2.375% MORGAN STANLEY 14/21 -SR-S EUR 350,000.00 374,844.75 0.57

6,004,760.75 9.16

TOTAL BONDS 19,878,031.75 30.32

TOTAL I. 32,300,944.51 49.25




Description Quantity Market value (note 2) % of net assets

II. UNITS OF INVESTMENT FUNDS

IRELAND

ARTISAN PARTNERS - ARTISAN GLOBAL VALUE FUND I-USD 235,000.00 3,970,407.95 6.07

ISHARES VII - MSCI JAPAN B USD -ACC- 9,790.00 1,183,029.91 1.81

SOURCE MARKET - ENERGY S&P US SELECT SECTOR A 3,000.00 859,427.24 1.31

6,012,865.10 9.19

LUXEMBOURG

PICTET - EMERGING CORPORATE BONDS HI EUR 14,900.00 1,351,430.00 2.07

PICTET - EUR HIGH YIELD I 5,030.00 1,346,279.50 2.06

2,697,709.50 4.13

TOTAL II. 8,710,574.60 13.32

TOTAL INVESTMENTS 41,011,519.11 62.57

CASH AT BANKS 6,113,520.81 9.33

BANK DEPOSITS 18,652,307.19 28.46

OTHER NET LIABILITIES -231,183.54 -0.36

TOTAL NET ASSETS 65,546,163.57 100.00



19

GEOGRAPHICAL AND INDUSTRIAL CLASSIFICATION OF INVESTMENTS AS AT JUNE 30, 2017

Geographical classification

(in % of net assets)

United States 19.21

Ireland 11.80

Spain 5.67

United Kingdom 5.08

Luxembourg 4.13

Switzerland 4.02

France 3.90

Netherlands 3.72

Belgium 1.56

Japan 1.53

Sweden 1.17

Denmark 0.78

62.57

Industrial classification

(in % of net assets)

Bonds issued by companies 30.32

Units of investment funds 13.32

Food and soft drinks 3.02

Gastronomy 1.94

Retail and supermarkets 1.89

Pharmaceuticals and cosmetics 1.77

Construction of machines and appliances 1.17

Biotechnology 1.13

Textiles and clothing 1.10

Electronics and electrical equipment 1.07

Computer and office equipment 1.06

Utilities 1.03

Leisure 0.99

Internet, software and IT services 0.99

Miscellaneous trade 0.96

Public utilities 0.81

62.57


NOTES TO THE FINANCIAL STATEMENTS AS AT JUNE 30, 2017

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NOTE 1 GENERAL

Pictet Strategy Fund (the "Fund") was incorporated as a mutual investment fund (fonds commun de placement) with multiple sub-funds organized under the laws of the Grand Duchy of Luxembourg. The assets of the Fund are the undivided co-proprietorship of the unitholders, managed by FundPartner Solutions (Europe) S.A. (the "Management Company").

The Fund is subject to Part I of the Luxembourg law of December 17, 2010, as amended (the "Law") on undertakings for collective investment.

The Fund was incorporated for an indefinite period.

In accordance with the Luxembourg Law of May 27, 2016, the Fund is registered at the Trade and Companies Register of Luxembourg under the number K960.

FundPartner Solutions (Europe) S.A., a public limited company (société anonyme) with registered office at 15, avenue J.F. Kennedy, L-1855 Luxembourg, was appointed management company of the Fund. It is a management company within the meaning of Chapter 15 of the Law.

As at June 30, 2017, Pictet Strategy Fund comprises one active sub-fund:

• Pictet Strategy Fund - Pictet Mandat Ausgewogen denominated in Euro (EUR)

NOTE 2 SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

a) General

The financial statements are prepared in accordance with generally accepted accounting principles and presented in accordance with the legal reporting requirements applicable in Luxembourg relating to undertakings for collective investment.

b) Conversion of foreign currencies for the sub-fund

Cash at banks, other net assets and the market value of the investment portfolio expressed in currencies other than the currency of the sub-funds are converted into the currency of the sub-funds at the exchange rate prevailing at the end of the year.

Income and expenses expressed in currencies other than the base currency of the sub-fund are converted into the currency of the sub-funds at the exchange rate applicable on the transaction date.

Resulting foreign exchange gains and losses are recorded in the statement of operations and changes in net assets.


NOTES TO THE FINANCIAL STATEMENTS AS AT JUNE 30, 2017 (continued)

21

c) Combined financial statements of the Fund

The combined financial statements of the Fund are expressed in CHF and correspond to the sum of items in the financial statements of the sub-fund, converted into CHF at the exchange rate prevailing at the end of the year.

d) Valuation of investment

The assets of the sub-fund are valued as follows:

(1) The value of any cash in hand or on deposit, bills and demand notes and accounts receivable, prepaid expenses, cash dividends and interest declared or accrued as aforesaid and not yet received shall be deemed to be the full amount thereof, unless in any case the same is unlikely to be paid or received in full, in which case the value thereof shall be arrived at after making such discount as the Management Company may consider appropriate in such case to reflect the true value thereof.

(2) Securities are valued at the most representative price on the markets and / or of trades made on these markets by the managers or other market intermediaries. This may involve the last available price or the price at any other time on markets deemed by the Management Company to be most representative, taking into account liquidity criteria and trades that have been made on the markets in question. If no price is available, securities are valued, prudently and in good faith by the Board of Directors of the Management Company, on the basis of their estimated sale price.

(3) For the sub-fund, securities whose value is expressed in a currency other than the currency of the sub-fund in question are converted to the relevant currency based on the average price between the last available bid / ask price in Luxembourg or, failing that, on the market that is most representative for these securities.

(4) Each share or unit in an open-ended undertaking for collective investment is valued at the last available Net Asset Value ("NAV") (or bid price for dual priced undertakings for collective investment) whether estimated or final, which is computed for such unit or shares on the same Dealing Day, failing which, it’s the last NAV (or bid price for dual priced undertakings for collective investment) computed prior to the Dealing Day on which the NAV of the Units in the Fund is determined.

(5) In respect of shares or units of an undertaking for collective investment held by the Fund, for which issues and redemptions are restricted and a secondary market trading is effected between dealers who, as main market makers, offer prices in response to market conditions, the Board of Directors of the Management Company may decide to value such shares or units in line with the prices so established.

(6) If, since the day on which the latest NAV was calculated, events have occurred which may have resulted in a material change of the NAV of shares or units in other undertaking for collective investment held by the Fund, the value of such shares or units may be adjusted in order to reflect, in the reasonable opinion of the Board of Directors of the Management Company, such change of value.

(7) In circumstances where the interests of the Management Company or its Unitholders so justify (avoidance of market timing practices, for example), the Board of Directors of the Management Company may take any appropriate measures, such as applying a fair value pricing methodology to adjust the value of the Fund’s assets.



22

(8) The liquidating value of futures, forward and options contracts not quoted on any stock exchange or traded on other regulated markets shall be determined, consistently for each different variety of contracts, prudently and in good faith on the basis of foreseeable settlement prices. The liquidating value of futures, forward and options contracts quoted on stock exchanges or traded on other regulated markets shall be based upon the last available settlement prices of these contracts on these markets; provided that if a futures, forward or options contract could not be liquidated on the day with respect to which net assets are being determined, the basis for determining the liquidating value of such contract shall be such value as the Board of Directors of the Management Company may deem fair and reasonable.

e) Accounting of future contracts

Unrealised gains and losses on future contracts are settled daily through the reception/payment of a cash amount corresponding to the daily increase/decrease of the market value of each opened futures. Such cash amount is recorded under the caption "Cash at banks" in the statement of net assets and the corresponding amount is recorded under the caption "realised gain and loss on future contracts" in the statement of operations and changes in net assets.

f) Net realised gains/losses on sales of investments

Realised gains or losses on sales of investments are calculated on the basis of weighted average cost.

g) Acquisition cost of securities in portfolio

The cost of securities denominated in currencies other than the base currency of the sub-fund is calculated at the exchange rate prevailing on the acquisition date.

h) Income

Dividends are recorded at the ex-dividend date. Interest is recorded on an accrual basis.

i) Transaction fees

The transaction fees represent the costs incurred by the sub-fund in connection with purchases and sales of investments.

Transaction fees include brokerage fees, bank commissions, foreign tax, depositary fees and other fees. They are included in the statement of operations and changes in net assets and cover the year ended June 30, 2017.



23

NOTE 3 "TAXE D’ABONNEMENT"

Under the legislation and regulations currently prevailing, the Fund is not subject to any income tax. The Fund is subject to a "taxe d’abonnement" of 0.05% per annum of its net assets, payable quarterly and calculated on the basis of the net assets at the end of each quarter. The portion of the net assets invested in units of other Luxembourg undertakings for collective investment is exempt from the "taxe d’abonnement", provided such units have already been subject to this tax.

NOTE 4 FUND’S EXPENSES

An annual service fee, not exceeding 0.6%, calculated on the average NAV of the sub-fund, is paid quarterly or monthly, depending on the terms and conditions of the contract, to the Management Company in payment for the services provided by it to the Fund.

The Management Company also receives management fees from the sub-funds to remunerate the Investment Managers, the Investment Advisors and the distributors, if any.

These fees are charged to the sub-classes of units of a sub-fund in proportion to its net assets.

In payment for its (depository) services, the Depositary Bank charges a fee for the deposit of assets and the safekeeping of securities. This fee are charged quarterly and do not exceed 0.3% based on the average net assets of the Fund on the relevant quarter. Transaction fees are also charged to the Fund at rates fixed by common agreement.

NOTE 5 OTHER FEES PAYABLE

As at June 30, 2017, the other fees payable mainly include audit, administration and depositary fees.

NOTE 6 EXCHANGE RATES AS AT JUNE 30, 2017

The exchange rate used to convert into CHF the net assets of the Fund as at June 30, 2017, is as follows:

1 CHF = 0.915543 EUR



24

NOTE 7 FUTURE CONTRACTS

The Fund had the following future contracts outstanding as at June 30, 2017:


Maturity date Currency Commitmentin EUR

Purchase of 370.00 Euro Stoxx 50 ESTX 50 EUR 18/09/2017 EUR 12,734,956.00Purchase of 60.00 S&P 500 Index 15/09/2017 USD 6,369,295.52Purchase of 16.00 US 10Y Treasury Bond 20/09/2017 USD 1,437,246.31

NOTE 8 DIVIDENDS DISTRIBUTED

On October 26, 2016, the Board of Directors of the Management Company decided to distribute EUR 0.19 dividends per unit for the sub-fund Pictet Strategy Fund - Pictet Mandat Ausgewogen with ex-date November 25, 2016 and with payment date November 30, 2016.


OTHER INFORMATION TO UNITHOLDERS

25

1. Remuneration of the members of the Management Company

FundPartner Solutions (Europe) S.A. has set a remuneration policy as required by the Law of May 10, 2016. Details of the Management Company's Remuneration Policy are available up on request at its registered office or at www.group.pictet/fps.

2. Securities Financing Transactions Regulation ("SFTR")

As at June 30, 2017, the Fund is currently in the scope of the requirements of the Regulation (EU) 2015/2365 on transparency of securities financing transactions and of reuse. Nevertheless, no corresponding transactions were carried out during the year referring to the financial statements.

3. Information on risk measurement

Introduction

The sub-fund of the Pictet Strategy Fund use the VaR approach to monitor its Global Risk Exposure ("GRE"). More specifically, Pictet Strategy Fund - Pictet Mandat Ausgewogen uses the Absolute VaR option. The following table provides the information required as per CSSF circular 11/512 for the sub-fund monitored through the VaR approach.


OTHER INFORMATION TO UNITHOLDERS (continued)

26

Table 1.1 – Summary risk disclosures

VaR Limit Ratio

Sub-fund Average Leverage

Leverage Computation

approach

GRE monitoring approach

VaR optional Regime Average Minimum Maximum

Sub-fund Average

VaR

Benchmark Average

VaR BenchmarkLegal limit

VaR Models and Inputs

Pictet Strategy Fund - Pictet

Mandat Ausgewogen

32.53% Σ notionals of the derivatives

VaR Absolute 7.06% 5.87% 8.18% 7.06% n/a n/a 20%

1 month holding period, 99% CI,

Monte Carlo, observation period

3.5 years


OTHER INFORMATION TO UNITHOLDERS (continued)

General comments

All VaR figures are calculated by taking into consideration the following parameters:

• 1 month holding horizon

• 99% confidence interval (this means that there is a 1% probability that the value of the portfolio could have a monthly decline larger than the percentage displayed)

• Monte Carlo simulations

• 3.5 years of data history to determine the risk factors benchmark during the same period.

Absolute VaR option

For the sub fund using the Absolute VaR option, we present the figure in absolute terms. In other words they are not measured against any benchmark nor limit. We consider that way of presenting the figures as more relevant and easier to understand.

The leverage level is included as well. It has been calculated as the sum of the notionals of the derivatives used. The presented figure is based on daily observations covering the year under review.