SELLA CAPITAL MANAGEMENT · Chairman Bruno AGOSTINI Chairman MIRET S.A. 16, Avenue de la Porte Neuve L-2227 LUXEMBOURG Members Carmine DA FERMO Manager SELLA GESTIONI S.G.R. S.p.A

Annual report including audited financial statements as at 31st December 2017

SELLA CAPITAL MANAGEMENT Société d'Investissement à Capital Variable with multiple sub-funds Luxembourg

R.C.S. Luxembourg B 96 386

No subscription can be received on the basis of these financial statements. Subscriptions are only valid if made on the basis of the current issued prospectus and the key investor information document ("KIID") accompanied by the subscription form, the latest annual report including audited financial statements and the most recent unaudited semi-annual report, if published thereafter.

SELLA CAPITAL MANAGEMENT

Contents

1

Organisation ........................................................................................................................................... 2

General information ............................................................................................................................... 4

Report on activities of the Board of Directors..................................................................................... 6

Report of the réviseur d'entreprises agréé ........................................................................................12

Combined statement of net assets .....................................................................................................15

Combined statement of operations and other changes in net assets ............................................16

SELLA CAPITAL MANAGEMENT - BOND STRATEGY .....................................................................17 Statement of net assets ......................................................................................................................17 Statement of operations and other changes in net assets .................................................................18 Statistical information ..........................................................................................................................19 Statement of investments and other net assets .................................................................................20 Industrial and geographical classification of investments ...................................................................24 Statement of changes in investments (unaudited) ............................................................................26

SELLA CAPITAL MANAGEMENT - EQUITY EURO STRATEGY .......................................................29 Statement of net assets ......................................................................................................................29 Statement of operations and other changes in net assets .................................................................30 Statistical information ..........................................................................................................................31 Statement of investments and other net assets .................................................................................32 Industrial and geographical classification of investments ...................................................................35 Statement of changes in investments (unaudited) ............................................................................36

SELLA CAPITAL MANAGEMENT - EURO CORPORATE BOND ......................................................39 Statement of operations and other changes in net assets .................................................................39 Statistical information ..........................................................................................................................40 Statement of changes in investments (unaudited) ............................................................................41

SELLA CAPITAL MANAGEMENT - EQUITY USA...............................................................................44 Statement of operations and other changes in net assets .................................................................44 Statistical information ..........................................................................................................................45 Statement of changes in investments (unaudited) ............................................................................46

Notes to the financial statements .......................................................................................................49

Additional information (unaudited) ....................................................................................................55


2

Organisation

Registered office 30, Boulevard Royal

L-2449 LUXEMBOURG Board of Directors Chairman Bruno AGOSTINI Chairman

MIRET S.A. 16, Avenue de la Porte Neuve L-2227 LUXEMBOURG

Members Carmine DA FERMO Manager SELLA GESTIONI S.G.R. S.p.A. 32/2 Via Filippo Sassetti I-20124 MILANO (since 1st October 2017) 13, Via Vittor Pisani I-20124 MILANO (until 30th September 2017)

Francesco PLINI Head of Products and Investment Services BANCA SELLA S.p.A. 1, Piazza Gaudenzio Sella I-13900 BIELLA Management Company SELLA GESTIONI S.G.R. S.p.A. 32/2 Via Filippo Sassetti I-20124 MILANO (since 1st October 2017) 13, Via Vittor Pisani I-20124 MILANO (until 30th September 2017) Board of Directors of the Management Company Chairman Giovanni PETRELLA Deputy Chairman Franco SELLA Directors Aldo GALLO Silva Maria LEPORE Paola MUSILE TANZI Nicola TRIVELLI Davide VANNONI


Organisation (continued)

3

Conducting officers of the Management Company Chief Executive Officer Nicola TRIVELLI Deputy Chief Executive Officer Nicoletta DAMIA Manager Lorenzo LAMPERTI Depositary, domiciliary BANQUE DE PATRIMOINES PRIVES and paying agent 30, Boulevard Royal L-2449 LUXEMBOURG Administrative agent, registrar EUROPEAN FUND ADMINISTRATION S.A. and transfer agent 2, Rue d’Alsace L-1122 LUXEMBOURG Investment Manager SELLA GESTIONI S.G.R. S.p.A. 32/2 Via Filippo Sassetti I-20124 MILANO (since 1st October 2017) 13, Via Vittor Pisani I-20124 MILANO (until 30th September 2017) Cabinet de révision agréé DELOITTE Audit Société à responsabilité limitée 560, Rue de Neudorf L-2220 LUXEMBOURG Correspondent bank, paying agent, BANCA SELLA HOLDING S.p.A nominee, placing agent 1, Piazza Gaudenzio Sella and centralisation agent I-13900 BIELLA Sponsor BANCA SELLA HOLDING S.p.A 1, Piazza Gaudenzio Sella I-13900 BIELLA


4

General information

SELLA CAPITAL MANAGEMENT (the "Company") is an investment company organised as a "société anonyme" under the Luxembourg laws and qualified as a "société d'investissement à capital variable" in accordance with Part I of the amended Law of 17th December 2010 relating to Undertakings for Collective Investment in Transferable Securities (UCITS) and to the Council Directive 2009/65/EC, as amended. The Directive 2014/91/EU of the European Parliament and of the Council of 23rd July 2014 amending the Directive 2009/65/EC has been transposed by the Luxembourg law of 10th May 2016 coming into force on 1st June 2016 and amending the amended law of 17th December 2010. The Company was incorporated in Luxembourg for an unlimited period on 24th October 2003. At the date of the financial statements, the following Sub-Funds are open for subscription: - SELLA CAPITAL MANAGEMENT - BOND STRATEGY (hereafter "BOND STRATEGY")

in EUR

- SELLA CAPITAL MANAGEMENT - EQUITY EURO STRATEGY (hereafter "EQUITY EURO STRATEGY")

in EUR

The Board of Directors of the Company decided to merge the following Sub-Funds with effect from 1st December 2017 as follows:

Merging Sub-Funds Absorbing Sub-Funds

SELLA CAPITAL MANAGEMENT - EQUITY USA

SELLA CAPITAL MANAGEMENT - EQUITY EURO STRATEGY

SELLA CAPITAL MANAGEMENT - EURO CORPORATE BOND

SELLA CAPITAL MANAGEMENT - BOND STRATEGY

On the effective date, all assets and liabilities of the Merging Sub-Funds were transferred to the respective Absorbing Sub-Funds and the shareholders of the Merging Sub-Funds received shares of the Absorbing Sub-Funds. Pursuant to the Company’s Articles of Incorporation, the Board of Directors of the Company (hereafter the Board of Directors) may decide to issue, within each Sub-Fund, one or several classes and/or categories of shares. For the time being, in each Sub-Fund, the Company may decide to issue shares of the following classes:

- Class R ("Retail"): offered to individuals and corporate entities. - Class I ("Institutional"): reserved to corporate entities subscribing for their own account or

on behalf of individuals within the framework of a collective savings or any comparable scheme, as well as to Undertakings for Collective Investment in Transferable Securities ("UCITS").

At the date of the financial statements, the following classes are open for each Sub-Fund:

- Class Institutional - Class Retail.

For the time being, in each Sub-Fund, the Company may decide to issue shares of the following category:

- A-Shares: which are Capitalisation shares thus the holders of A-Shares are not entitled to receive dividends unless otherwise decided by the Board of Directors.

- B-Shares: which are Distribution shares thus the holders of B-Shares are entitled to receive dividends.


General information (continued)

5

At the date of the financial statements, A-Shares and B-Shares are active. Should it become apparent that shares of the "Institutional" class are held by individuals other than those authorised above, the Board of Directors will have the said shares converted, free of charge, into shares of the "Retail" class. The Company’s financial year begins on 1st January and ends on 31st December of the same year. The Articles of Incorporation of the Company, the current Prospectus, the KIID and the latest financial reports may be obtained free of charge during normal office hours at the registered office of the Company in Luxembourg and at the Correspondent Bank in Italy BANCA SELLA HOLDING S.p.A., BIELLA. The Net Asset Value per share of each Sub-Fund, issue and redemption prices are made public at the Company’s registered office and at the office of the Administrative agent.


6

Report on activities of the Board of Directors

SELLA CAPITAL MANAGEMENT - BOND STRATEGY

The Total Net Assets of the Sub-Fund as at 31st December 2017 represents 43.981 million euros compared to 40.811 million as at the end of 2016.

During this period, the Sub-Fund has been managed cautiously, in accordance with our overall investment approach and policy of volatility’s control. We kept a conservative profile on the interest rate duration that has been moved actively in the range between 0 and 1.5. In terms of asset allocation we maintained a net short exposure, via futures and options to Government bonds of Core countries, given the low level of the interest rate, and took exposure only to asset classes and themes with a risk/reward profile in line with our objectives. So we kept exposure on the Government bonds of Peripheral countries (Italy and Spain) mainly by inflation linked bonds because of higher inflation expectations, managing the exposure in a very opportunistic and active way also selling futures to hedge dynamically positions. In particular, approaching the Catalonia’s referendum in October we sold half of the exposure on Spain, focusing on longer maturity of the yield curve, and also sold a percentage of the BTP futures to cover half position on Italy as well. Throughout the year we maintained a large position (60%) in corporate bonds to take profit of the ECB’s CSSP programme thought to argue for the corporate bonds markets and provide liquidity to the financial system. In this economic phase we preferred to be rewarded by the credit spreads instead of the bond duration and we exploited the steepness of the yield curves which allowed us to maintain a conservative risk profile combined with a decent yield, we increased also the exposure to the floater corporate bonds and to the inflation linked bonds at interesting real rates levels. Finally a residual exposure has been invested in new subordinated financials bonds (AT1) managed in an opportunistic way and in a selected basket of hard currency emerging market bonds.

Aiming at calibrating the exposures, we moderately utilized listed financial futures: in general we used the OAT future to hedge the allocation to corporate bonds, while the BTP future was used to cover our peripheral government bond holdings. According to our view on the general interest rate level we constantly used long positions on German Bunds put options.

With effect from 1st December 2017 the Sub-Fund incorporated Euro Corporate Bond Sub-Fund belonging to the same Sicav for a total net asset of about 2.917 million euros (1.395 million Retail Share and 1.522 million Institutional Share).

In 2017 the following dividends were paid to the shareholders of both Institutional and Retail B-Shares Category:

Name of the Sub-

Fund Share Type

Share

Category Record Date Ex Date

Dividend Amount

Per Share

Bond Strategy Institutional B 15/03/2017 16/03/2017 49.9

Bond Strategy Retail B 15/03/2017 16/03/2017 0.25

Bond Strategy Institutional B 15/09/2017 18/09/2017 49.69

Bond Strategy Retail B 15/09/2017 18/09/2017 0.25


Report on activities of the Board of Directors (continued)

7



8



9

SELLA CAPITAL MANAGEMENT - EQUITY EURO STRATEGY

The Total Net Assets of the Sub-Fund as at 31st December 2017 represents 45.649 million euros compared to 61.601 million as at the end of 2016.

The Sub-Fund primarily invests in equity securities of companies listed in Euro-Zone Stock Exchanges. The aim of the Sub-Fund is to beat 50% of Euro Stoxx 50. The Investment policy is focused on stock picking, while the risk is hedged with derivatives instruments such as futures and options. During 2017 the Sub-Fund has been actively managed.

2017 was an important year for Europe, because of the political elections in France and Germany. The Sub-Fund started the year with a neutral exposure to the market: but during the first half of 2017, after the electoral result in France, we increased the total exposure. In particular, we invested in italian shares, closing the hedging that we built last year and buying some companies undervalued and with an important economic potential under our point of view. We invested also in companies linked to the growth of domestic consumptions, because of the improvement of the macroeconomic scenario in Europe, and in companies that may benefit from the exchange rate or from the accomodative stance of the ECB. At the same time we continued to use derivatives instrument to reduce the total risk of the Sub-Fund; we used also put options on index, because of the very low price of the volatility on the markets. We maintained an exposure over the benchmark until the last part of the year: lots of geopolitical risks appear on the horizon, with Germany in difficulty with the formation of a government, Spain hit by the crisis in Catalunia and Italy starting the new electoral campaign. Then we decided to reduce the exposure, but we started to increase the investment on financial sector, because of the future increase of interest rates, when ECB probably will finish its Quantitative Easing program during 2018. We think that 2018 will be a very challenging year, with many geopolitical risks and an increase in volatility: for this reason we will continue to monitor and manage in an active way the risks of the portfolio, with the aim to protect the capital and to realise a good performance against financials market.

With effect from 1st December 2017 the Sub-Fund incorporated Equity USA Sub-Fund belonging to the same Sicav for a total net asset of about 7.815 million euros (only Retail Share).

In 2017 the following dividends were paid to the shareholders of both Institutional and Retail B-Shares Category:

Name of the Sub-

Fund Share Type

Share

Category Record Date Ex Date

Dividend Amount

Per Share

Equity Euro Strategy Institutional B 15/06/2017 16/06/2017 189.23

Equity Euro Strategy Retail B 15/06/2017 16/06/2017 0.92

Equity Euro Strategy Institutional B 05/12/2017 06/12/2017 185.69

Equity Euro Strategy Retail B 05/12/2017 06/12/2017 0.9



10



11

Luxembourg, 14th February 2018 The Board of Directors Note: The information in this report represents historical data and is not an indication of future results.

12

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

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 To the Shareholders of SELLA CAPITAL MANAGEMENT Report on the Audit of the Financial Statements Opinion We have audited the financial statements of SELLA CAPITAL MANAGEMENT (the "Company") and of each of its sub-funds, which comprise the statement of net assets and the statement of investments and other net assets as at 31st December 2017 and the statement of operations and other 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 SELLA CAPITAL MANAGEMENT and of each of its sub-funds as at 31st December 2017, and of the results of their operations and changes in their net assets for the year then ended in accordance with Luxembourg legal and regulatory requirements relating to the preparation and presentation of the financial statements. Basis for Opinion We conducted our audit in accordance with the Law of 23rd July 2016 on the audit profession (Law of 23rd July 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 the Réviseur d’Entreprises Agréé for the Audit of the Financial Statements" section of our report. We are also independent of the Company 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.

Report of the réviseur d'entreprises agréé (continued)

13

Other information

The Board of Directors of the 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 concluded that there is a material misstatement of this other information, we are required to report this fact. We have nothing to report in this regards. Responsibilities of the Board of Directors of the Company for the Financial Statements The Board of Directors of the Company is responsible for the preparation and fair presentation of the financial statements in accordance with Luxembourg legal and regulatory requirements relating to the preparation and presentation of the financial statements, and for such internal control as the Board of Directors of the 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 Company is responsible for assessing the Company’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 Company either intends to liquidate the Company 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 23rd July 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 23rd July 2016 and with ISAs as adopted for Luxembourg by the CSSF, we exercise professional judgment and maintain professional scepticism throughout the audit. We also:

Identity 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 Company’s internal control.

Deloitte

Report of the reviseur d'entreprises agree (continued)

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

• Conclude on the appropriateness of Board of Directors of the 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 Company'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 Reviseur d'Entreprises Agree 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 Reviseur d'Entreprises Agree. However, future events or conditions may cause the Company to cease to continue as a going concern.

• 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.

--~11u,;11aume Brousse, Reviseur d 'Entreprises Agree · ecteur

19th April 2018

14


Combined statement of net assets (in EUR) as at 31st December 2017

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

15

Assets Securities portfolio at market value 75,198,002.48 Option contracts at market value 28,960.00 Cash at banks 12,049,204.15 Other liquid assets 2,378,606.52 Income receivable on portfolio 183,100.26 Unrealised gain on futures contracts 455,247.50 Other receivables 101,180.83

Total assets 90,394,301.74

Liabilities Payable on purchases of securities 101,180.83 Expenses payable 195,740.16 Payable on option contracts 12,000.00 Other liabilities 456,247.50

Total liabilities 765,168.49

Net assets at the end of the year 89,629,133.25


Combined statement of operations and other changes in net assets (in EUR) from 1st January 2017 to 31st December 2017


16

Income Dividends, net 1,363,691.57 Interest on bonds and other debt securities, net 549,471.29 Interest on bank accounts 500.04

Total income 1,913,662.90

Expenses Management fees 1,218,235.87 Performance fees 50,504.40 Depositary fees 52,854.10 Banking charges and other fees 29,568.38 Transaction fees 131,720.77 Central administration costs 243,874.35 Professional fees 31,083.36 Other administration costs 94,285.02 Subscription duty ("taxe d'abonnement") 35,237.74 Bank interest paid 36,809.17 Other expenses 33,819.48

Total expenses 1,957,992.64

Net investment loss -44,329.74

Net realised gain/(loss) - on securities portfolio 6,178,620.42 - on option contracts -675,350.00 - on futures contracts -4,656,854.84 - on forward foreign exchange contracts 122.76 - on foreign exchange -8,270.54

Realised result 793,938.06

Net variation of the unrealised gain/(loss) - on securities portfolio 125,703.74 - on option contracts 225,750.00 - on futures contracts 1,530,803.73

Result of operations 2,676,195.53

Dividends paid -891,999.10

Subscriptions 27,936,829.51

Redemptions -61,762,371.84

Total changes in net assets -32,041,345.90

Total net assets at the beginning of the year 122,718,870.31

Revaluation difference -1,048,391.16

Total net assets at the end of the year 89,629,133.25

BOND STRATEGY

Statement of net assets (in EUR) as at 31st December 2017


17

Assets Securities portfolio at market value 36,036,732.09 Option contracts at market value 13,000.00 Cash at banks 7,534,800.96 Other liquid assets 315,531.64 Income receivable on portfolio 163,947.66 Unrealised gain on futures contracts 92,560.00


Liabilities Expenses payable 70,423.37 Payable on option contracts 12,000.00 Other liabilities 93,560.00



Breakdown of net assets per share class

Share class Number of

shares

Currency of

share class

NAV per share in currency of

share class

Net assets per share class

(in EUR)

Retail A 333,790.5283 EUR 52.02 17,363,209.53 Retail B 21,521.4794 EUR 48.88 1,051,888.99 Institutional A 2,028.1476 EUR 12,360.84 25,069,616.62 Institutional B 50.0359 EUR 9,910.36 495,873.84

43,980,588.98

BOND STRATEGY

Statement of operations and other changes in net assets (in EUR) from 1st January 2017 to 31st December 2017


18

Income Dividends, net 1.22 Interest on bonds and other debt securities, net 449,476.50 Interest on bank accounts 180.42

Total income 449,658.14

Expenses Management fees 303,152.91 Performance fees 18,273.84 Depositary fees 19,953.47 Banking charges and other fees 9,931.61 Transaction fees 18,912.93 Central administration costs 71,892.11 Professional fees 11,088.12 Other administration costs 35,011.39 Subscription duty ("taxe d'abonnement") 11,519.68 Bank interest paid 5,429.80 Other expenses 12,660.27

Total expenses 517,826.13


Net realised gain/(loss) - on securities portfolio 436,812.10 - on option contracts -145,500.00 - on futures contracts -338,740.00 - on forward foreign exchange contracts 122.76 - on foreign exchange -16,260.00

Realised result -131,733.13

Net variation of the unrealised gain/(loss) - on securities portfolio -42,418.31 - on option contracts 7,000.00 - on futures contracts 204,410.00

Result of operations 37,258.56


Subscriptions *17,224,178.56


Total changes in net assets 3,169,214.87



* including the net assets absorbed pursuant to the merger of the Sub-Fund EURO CORPORATE BOND with effect from 1st December 2017. See "General Information"

BOND STRATEGY

Statistical information (in EUR) as at 31st December 2017


19

Total net assets Currency 31.12.2015 31.12.2016 31.12.2017

EUR 50,444,916.49 40,811,374.11 43,980,588.98

Net asset value per share Currency 31.12.2015 31.12.2016 31.12.2017

Retail A EUR 51.90 52.09 52.02 Retail B EUR 49.76 49.44 48.88 Institutional A EUR 12,197.84 12,312.91 12,360.84 Institutional B EUR 9,974.37 9,970.60 9,910.36

Number of shares outstanding at the

beginning of the year

issued redeemed outstanding at the end of the year

Retail A 380,631.1724 *84,278.2490 -131,118.8931 333,790.5283 Retail B 48,577.6912 4,217.9636 -31,274.1754 21,521.4794 Institutional A 1,468.5253 *1,022.2424 -462.6201 2,028.1476 Institutional B 50.0359 - - 50.0359

Dividends paid Currency Dividend per share Ex-dividend date

Retail B EUR 0.25 16.03.2017 Retail B EUR 0.25 18.09.2017 Institutional B EUR 49.90 16.03.2017 Institutional B EUR 49.69 18.09.2017

* including the shares allocated pursuant to the merger of the Sub-Fund EURO CORPORATE BOND with effect from 1st December 2017. See "General Information"

BOND STRATEGY

Statement of investments and other net assets (in EUR) as at 31st December 2017


20

Currency Number / nominal value

Description Cost Market value % of total net assets

Investments in securities

Transferable securities admitted to an official stock exchange listing

Bonds

EUR 300,000 Abertis Infraestructuras SA 1.375% Sen 16/20.05.26 298,809.50 299,631.00 0.68 EUR 300,000 ADIF Alta Velocidad 1.875% EMTN Sen 15/28.01.25 303,775.00 314,628.00 0.71 EUR 100,000 Ansaldo Energia SpA 2.75% Sen Reg S 17/31.05.24 100,000.00 101,658.50 0.23 EUR 300,000 ANZ Banking Group Ltd FRN EMTN Reg S 14/28.10.19 300,680.00 302,151.00 0.69 EUR 300,000 AT&T Inc FRN Sen 14/04.06.19 300,030.00 302,053.50 0.69 EUR 100,000 ATF Netherlands BV 1.875% EMTN Sen Reg S 17/19.01.26 97,492.00 102,416.50 0.23 EUR 100,000 Autostrade per I'ItaliaSpA 1.875% EMTN Sen Reg S

17/26.09.29 99,745.00 102,376.50 0.23

EUR 200,000 Banca Farmafactoring Spa FRN Sen Reg S 17/05.06.20 200,000.00 201,799.00 0.46 EUR 200,000 Banca Popu dell Alto Adige SpA VAR EMTN Sub RegS

17/06.10.27 200,000.00 198,425.00 0.45

EUR 100,000 Banco Bilbao Vizcaya Argent SA 0.75% EMTN Sen 17/11.09.22 99,420.00 100,228.50 0.23 EUR 300,000 Banco Bilbao Vizcaya Argent SA FRN Sen Reg S 17/12.04.22 301,199.00 303,694.50 0.69 EUR 200,000 Banco de Sabadell SA 0.875% EMTN Sen Reg S 17/05.03.23 199,334.00 198,281.00 0.45 EUR 200,000 Banco Santander SA 1.375% Reg S Sen 17/09.02.22 199,876.00 206,359.00 0.47 EUR 200,000 Banco Santander SA VAR Conv Jun Sub Reg S

17/29.12.Perpetual 200,000.00 211,313.00 0.48

EUR 300,000 Bank of America Corp FRN EMTN Reg S Sen 14/19.06.19 300,352.50 303,397.50 0.69 EUR 150,000 BASF SE FRN EMTN Ser DIP Sen Reg S 17/15.11.19 150,750.00 150,836.25 0.34 EUR 100,000 Beni Stabili SpA 1.625% Sen Reg S 17/17.10.24 99,470.00 100,587.00 0.23 EUR 350,000 BMW Finance NV FRN EMTN Reg S Sen 16/15.07.19 350,000.00 353,085.25 0.80 EUR 100,000 BNP Paribas SA 1.125% EMTN Reg S Sen 17/10.10.23 99,319.00 102,534.50 0.23 EUR 100,000 BNP Paribas SA 1.5% EMTN Sen Reg S 17/23.05.28 99,589.00 100,594.50 0.23 EUR 300,000 BNP Paribas SA FRN EMTN Sen Reg S 17/22.09.22 302,599.00 307,798.50 0.70 EUR 200,000 BPER Banca Spa VAR EMTN Sen Sub Reg S 17/31.05.27 203,201.00 206,009.00 0.47 EUR 300,000 Carrefour Banque FRN Sen 14/21.03.18 300,030.00 300,442.50 0.68 EUR 100,000 Carrefour Banque FRN Sen 15/20.03.20 100,000.00 100,729.50 0.23 EUR 100,000 Cassa Depositi e Prestiti SpA 0.75% EMTN Sen 17/21.11.22 99,839.00 99,460.00 0.23 EUR 350,000 CDP Reti SpA 1.875% Reg S Sen 15/29.05.22 351,201.50 364,684.25 0.83 EUR 100,000 Celanese US Holdings LLC 1.125% Sen 16/26.09.23 99,713.00 100,703.50 0.23 EUR 300,000 CFCM Nord Europe FRN EMTN Sen 14/30.07.19 299,660.00 301,761.00 0.69 EUR 200,000 Citigroup Inc FRN EMTN Sen 14/11.11.19 199,520.00 201,728.00 0.46 EUR 200,000 CK Hutchison Fin (16) (II) Ltd 0.875% Reg S Sen 16/03.10.24 198,786.00 198,125.00 0.45 EUR 100,000 CK Hutchison Fin 16 1.25% Reg S Ser 7Y 16/06.04.23 99,688.00 102,396.50 0.23 EUR 100,000 CNP Assurances 1.875% Sub 16/20.10.22 99,719.00 105,605.50 0.24 EUR 300,000 Coca-Cola Co FRN 15/09.09.19 300,162.00 301,504.50 0.69 EUR 100,000 Continental AG 0% EMTN Reg S Sen 16/05.02.20 99,410.00 100,227.00 0.23 EUR 100,000 Coop Mur Cem CMC Rav Soc Coop 6% Sen Reg S 17/15.02.23 100,000.00 99,454.50 0.23 EUR 100,000 Cred Agricole SA London 1.875% EMTN Reg S Sen

16/20.12.26 99,504.00 105,241.00 0.24

EUR 200,000 Cred Suisse AG London FRN EMTN Sen 14/16.10.19 199,330.00 201,583.00 0.46 EUR 200,000 Croatia 3% Sen Reg S 17/20.03.27 197,850.00 214,909.00 0.49 EUR 200,000 Daimler AG FRN EMTN Reg S Sen 16/12.01.19 200,000.00 200,836.00 0.46 EUR 300,000 Daimler AG FRN EMTN Sen Reg S 17/03.07.24 300,759.00 302,592.00 0.69 EUR 100,000 Danone VAR EMTN Sub 17/23.06.Perpetual 100,550.00 100,575.00 0.23 EUR 100,000 Deutsche Telekom Intl Fin BV FRN EMTN Reg S 16/03.04.20 100,000.00 100,619.00 0.23 EUR 300,000 Eastern Creation II Inv Hgs Ltd 1% EMTN Reg S 15/19.03.18 300,666.00 300,615.00 0.68 EUR 100,000 EDP Finance BV 2.375% EMTN Reg S Sen 16/23.03.23 100,375.00 108,879.50 0.25 EUR 250,000 ENI SpA 1% EMTN Sen Reg S 17/14.03.25 250,311.07 251,128.75 0.57 EUR 200,000 Espana 2.15% Reg S Sen 15/31.10.25 217,290.00 215,263.00 0.49 EUR 350,000 Espana ILB Sen 14/30.11.24 384,237.05 412,996.87 0.94 EUR 200,000 Espana ILB Sen 15/30.11.30 191,675.44 215,958.35 0.49 EUR 200,000 EXOR NV 2.125% Reg S Sen 15/02.12.22 203,445.33 213,616.00 0.49 EUR 100,000 FCE Bank Plc 1.615% EMTN Reg S Sen 16/11.05.23 104,492.00 104,084.00 0.24 EUR 500,000 FCE Bank Plc FRN EMTN Reg S Sen 16/11.08.18 500,000.00 503,240.00 1.14 EUR 400,000 FCE Bank Plc FRN EMTN Sen 15/10.02.18 400,000.00 400,222.00 0.91 EUR 250,000 Ferrovie dello Stato FS SPA 1.5% EMTN Sen Reg S

17/27.06.25 250,834.00 251,987.50 0.57

EUR 100,000 Ford Motor Cred Co LLC FRN EMTN Sen 17/01.12.24 100,290.00 100,415.00 0.23

BOND STRATEGY

Statement of investments and other net assets (in EUR) (continued) as at 31st December 2017


21



EUR 300,000 GE Capital European Funding Co FRN EMTN Sen 15/21.01.20 300,000.00 301,798.50 0.69 EUR 350,000 General Electric Co FRN Sen 15/28.05.20 349,090.00 351,774.50 0.80 EUR 350,000 General Mills Inc FRN Sen 16/15.01.20 350,000.00 354,277.00 0.81 EUR 100,000 General Motors Financial Co FRN EMTN Sen Reg S

17/10.05.21 100,000.00 101,036.00 0.23

EUR 200,000 Goldman Sachs Group Inc 1.625% EMTN Reg S Ser F 16/27.07.26

201,946.50 203,546.00 0.46

EUR 200,000 Goldman Sachs Group Inc FRN EMTN Reg S Sen 15/29.05.20 200,000.00 202,304.00 0.46 EUR 300,000 Goldman Sachs Group Inc FRN EMTN Reg S Sen 16/29.04.19 300,000.00 302,329.50 0.69 EUR 200,000 Goldman Sachs Group Inc FRN EMTN Sen 14/29.10.19 200,926.00 202,161.00 0.46 EUR 100,000 Groupama SA VAR Sub 14/28.05.Perpet 104,280.00 120,458.00 0.27 EUR 250,000 Holcim Finance SA 1.375% EMTN Reg S Sen 16/26.05.23 249,767.50 259,567.50 0.59 EUR 100,000 Honeywell Intl Inc FRN Sen 16/22.02.18 100,000.00 100,067.50 0.23 EUR 400,000 HSBC France FRN EMTN Reg S Sen 15/27.11.19 400,000.00 404,006.00 0.92 EUR 200,000 HSBC Holdings Plc 0.875% Reg S Sen 16/06.09.24 200,054.50 200,863.00 0.46 EUR 200,000 HSBC Holdings Plc VAR EMTN Conv Sub Reg S

17/31.12.Perpetual 200,000.00 212,582.00 0.48

EUR 200,000 Iberdrola Intl BV 1.125% EMTN Reg S Sen 16/21.04.26 200,405.00 200,968.00 0.46 EUR 100,000 Iberdrola Intl BV VAR Sub Reg S 17/22.11.Perpetual 100,000.00 100,356.00 0.23 EUR 150,000 ICCREA Banca SpA 1.5% EMTN Sen 17/21.02.20 149,895.00 152,013.00 0.35 EUR 300,000 Intesa Sanpaolo SpA FRN EMTN Sen 14/17.04.19 300,561.00 303,586.50 0.69 EUR 300,000 Intesa Sanpaolo SpA FRN EMTN Sen 15/15.06.20 299,556.00 306,013.50 0.70 EUR 200,000 Intesa Sanpaolo SpA VAR EMTN Reg S Sub

16/19.07.Perpetual 222,683.00 221,726.00 0.50

EUR 200,000 Intesa Sanpaolo SpA VAR EMTN Sen Sub 17/16.11.Perpetual 200,000.00 217,797.00 0.49 EUR 200,000 Intesa Sanpaolo SpA VAR Reg S Sub 17/11.07.Perpetual 200,000.00 243,811.00 0.55 EUR 100,000 Italia 1.6% BTP 16/01.06.26 99,351.00 98,617.00 0.22 EUR 400,000 Italia 2.15% BTP Sen 14/15.12.21 437,025.00 425,872.00 0.97 EUR 600,000 Italia 2.2% BTP Ser 10Y 17/01.06.27 617,832.63 612,681.00 1.39 EUR 300,000 Italia 3.25% BTP 15/01.09.46 315,260.63 305,296.50 0.69 EUR 900,000 Italia ILB BPT Reg S Ser 8YR 15/20.04.23 902,302.25 915,570.53 2.08 EUR 307,000 Italia ILB Sen Ser ICPI 17/22.05.23 307,000.00 311,226.92 0.71 EUR 900,000 Italia ILB Ser 5Y 16/15.05.22 904,807.50 946,892.67 2.15 EUR 500,000 Italia ILB Ser 6Y 17/20.11.23 503,478.88 502,662.47 1.14 EUR 472,000 Italia ILB Ser 8Y 16/11.04.24 472,013.93 477,766.99 1.09 EUR 400,000 Italia ILB Ser CPI 10/15.09.21 472,074.89 489,825.75 1.11 EUR 500,000 Italia ILB Ser CPI 10Y 17/15.05.28 504,139.68 530,536.27 1.21 EUR 600,000 Italia ILB Ser CPI 15/15.09.32 604,384.72 621,800.46 1.41 EUR 730,000 Italia ILB Ser ICPI 14/23.04.20 747,306.89 770,837.36 1.75 EUR 300,000 Italia ILB T-Bonds 16/24.10.24 299,979.90 301,761.73 0.69 EUR 300,000 John Deere Bank SA FRN EMTN Sen 14/19.03.19 301,141.00 301,552.50 0.69 EUR 300,000 JPMorgan Chase & Co FRN EMTN 14/07.05.19 299,289.00 302,428.50 0.69 EUR 200,000 Lettonie 0.375% Reg S Sen 16/07.10.26 186,400.00 196,875.00 0.45 EUR 300,000 Mediobanca SpA 0.625% EMTN Sen Reg S 17/27.09.22 298,492.00 297,775.50 0.68 EUR 100,000 Mediobanca SpA 0.75% EMTN Reg S Sen 17/17.02.20 100,051.00 101,364.00 0.23 EUR 150,000 Mediobanca SpA 1.625% EMTN Reg S Sen 16/19.01.21 149,821.50 156,249.00 0.35 EUR 400,000 Mediobanca SpA FRN EMTN Sen Reg S 17/18.05.22 404,712.00 407,566.00 0.93 EUR 150,000 Mondelez Intl Inc 1.625% Sen 16/20.01.23 148,951.50 157,885.50 0.36 EUR 200,000 Mondi Finance PLC 1.5% EMTN Sen 16/15.04.24 203,040.50 204,709.00 0.46 EUR 100,000 Morgan Stanley 1.75% EMTN Sen 15/30.01.25 100,542.00 104,644.00 0.24 EUR 250,000 Morgan Stanley FRN MTN Ser G 16/27.01.22 250,000.00 252,962.50 0.57 EUR 400,000 Morgan Stanley FRN Sen 14/19.11.19 399,434.00 404,516.00 0.92 EUR 250,000 Morgan Stanley FRN Sen 17/08.11.22 251,378.50 253,853.75 0.58 EUR 250,000 Morocco 3.5% Reg S 14/19.06.24 245,945.50 279,991.25 0.64 EUR 400,000 Natl Australia Bank Ltd FRN EMTN Sen 14/25.03.19 399,628.00 402,454.00 0.91 EUR 200,000 Nordea Bank AB FRN EMTN Sen Reg S 17/27.09.21 202,852.00 202,917.00 0.46 EUR 200,000 Nordea Bank AB VAR EMTN Jun Sub Reg S

17/12.03.Perpetual 201,350.00 201,121.00 0.46

EUR 100,000 Petroleos Mexicanos 2.5% EMTN Sen Reg S 17/21.08.21 99,929.00 105,084.50 0.24 EUR 200,000 ProLogis LP 3.375% Sen 14/20.02.24 199,021.00 228,792.00 0.52 EUR 100,000 Radiotelevisione Italiana SpA 1.5% Reg S Sen 15/28.05.20 99,845.00 103,300.50 0.23 EUR 200,000 RCI Banque FRN EMTN Sen 15/16.07.18 200,000.00 200,511.00 0.46 EUR 200,000 RCI Banque SA 0.5% EMTN Sen 16/15.09.23 199,370.00 196,651.00 0.45 EUR 100,000 RCI Banque SA FRN EMTN Sen 17/04.11.24 100,000.00 100,734.50 0.23

BOND STRATEGY



22



EUR 100,000 RCI Banque SA FRN EMTN Sen 17/08.07.20 100,000.00 100,524.00 0.23 EUR 300,000 RCI Banque SA FRN EMTN Sen 17/14.03.22 302,145.00 304,090.50 0.69 EUR 100,000 Romania 2.75% EMTN Reg S Sen 15/29.10.25 99,183.00 108,785.00 0.25 EUR 100,000 Romania 2.875% EMTN 14/28.10.24 99,178.00 110,748.50 0.25 EUR 50,000 Romania 2.875% MTN Reg S Sen 16/26.05.28 53,694.00 53,112.50 0.12 EUR 200,000 Saipem Finance Intl BV 2.625% EMTN Sen Reg S 17/07.01.25 200,200.00 199,779.00 0.45 EUR 100,000 Salini Impregilo SpA 1.75% Sen Reg S 17/26.10.24 98,070.00 93,081.50 0.21 EUR 200,000 Sanofi SA FRN EMTN Reg S Sen 14/10.09.18 200,691.00 200,450.00 0.46 EUR 100,000 SAP SE FRN EMTN 14/20.11.18 100,030.00 100,277.00 0.23 EUR 200,000 SIAS SpA 3.375% EMTN 14/13.02.24 199,722.00 229,495.00 0.52 EUR 300,000 Sky Plc FRN EMTN Reg S Sen 15/01.04.20 300,739.50 303,840.00 0.69 EUR 300,000 Snam SpA FRN EMTN Sen 17/02.08.24 299,819.50 301,483.50 0.68 EUR 300,000 Ste Autoroute Paris-Rhin-Rhone FRN EMTN 14/31.03.19 300,926.00 302,421.00 0.69 EUR 100,000 TDF Infrastructure SAS 2.5% Sen 16/07.04.26 99,043.00 104,894.00 0.24 EUR 100,000 TDF Infrastructure SAS VAR Reg S Sen 15/19.10.22 99,308.00 109,093.50 0.25 EUR 200,000 Telefonica Emisiones SA 1.46% EMTN Reg S Sen 16/13.04.26 200,000.00 203,466.00 0.46 EUR 200,000 Telekom Finanzmanagement GmbH 3.5% EMTN Ser 1/13

13/04.07.23 202,127.00 231,146.00 0.53

EUR 100,000 Thermo Fisher Scientific Inc 0.75% Sen 16/12.09.24 99,122.00 97,915.50 0.22 EUR 100,000 Total Capital International SA FRN EMTN Reg S 14/19.03.20 100,030.00 100,657.00 0.23 EUR 150,000 Toyota Motor Cred Corp FRN EMTN Reg S Sen 15/20.07.18 150,000.00 150,280.50 0.34 EUR 300,000 Unicredit SpA 2% EMTN Reg S Sen 16/04.03.23 305,261.00 318,583.50 0.72 EUR 300,000 Unicredit SpA FRN EMTN Sen 15/19.02.20 301,211.50 305,005.50 0.69 EUR 400,000 Unicredit SpA VAR Sub Reg S 17/03.12.Perpetual 419,198.00 435,258.00 0.99 EUR 300,000 Unione di Banche Italiane SpA 0.75% EMTN Sen 17/17.10.22 299,163.50 299,259.00 0.68 EUR 300,000 Unione di Banche Italiane SpA VAR EMTN Sen Sub

17/15.09.27 302,670.00 313,113.00 0.71

EUR 100,000 Vodafone Group Plc FRN EMTN Reg S Sen 16/25.02.19 100,000.00 101,062.00 0.23 EUR 200,000 Wells Fargo & Co FRN EMTN Reg S Sen 16/26.04.21 200,250.00 202,554.00 0.46 EUR 400,000 Wells Fargo & Co FRN EMTN Reg S Sen 17/31.01.22 400,852.50 403,380.00 0.92 EUR 300,000 WPC Eurobond BV 2.25% Sen 17/19.07.24 304,197.50 314,320.50 0.71

34,149,126.29 34,887,842.87 79.33

USD 200,000 Macquarie Group Ltd 3% Reg S Sen Tr 5 13/03.12.18 150,224.66 167,717.87 0.38 USD 200,000 US 1.125% T-Notes Ser AH-2019 16/15.01.19 183,278.30 165,371.14 0.38

333,502.96 333,089.01 0.76

Total bonds 34,482,629.25 35,220,931.88 80.09

Asset backed securities

EUR 300,000 Mars 2600 Srl FRN A1 Ser 2014-1 14/25.10.50 114,766.31 114,108.16 0.26

Total asset backed securities 114,766.31 114,108.16 0.26

Transferable securities dealt in on another regulated market

Bonds

EUR 100,000 Assicurazioni Generali SpA VAR EMTN Reg S Sub 16/08.06.48 99,277.00 115,718.00 0.26 EUR 400,000 Cassa Depositi e Prestiti SpA 1.5% EMTN Sen 17/21.06.24 397,350.00 401,110.00 0.91

496,627.00 516,828.00 1.17

USD 200,000 Indonesia 11.625% Ser REGS 09/04.03.19 247,493.86 184,864.05 0.42

Total bonds 744,120.86 701,692.05 1.59

Total investments in securities 35,341,516.42 36,036,732.09 81.94

BOND STRATEGY



23



Options

Listed financial instruments

Options on futures

EUR 100 Bund Govt Bond 10 Years EUR PUT 02/18 EUX 159.5 12,000.00 13,000.00 0.03

Total options 12,000.00 13,000.00 0.03

Cash at banks 7,534,800.96 17.13

Other net assets/(liabilities) 396,055.93 0.90

Total 43,980,588.98 100.00

BOND STRATEGY

Industrial and geographical classification of investments (continued) as at 31st December 2017

24

Industrial classification

(in percentage of net assets)

Financials 47.51 %

Countries and governments 21.53 %

Industrials 4.39 %

Cyclical consumer goods 2.30 %

Non-cyclical consumer goods 2.09 %

Telecommunications services 1.15 %

Energy 0.81 %

Healthcare 0.68 %

Utilities 0.68 %

Raw materials 0.34 %

Investment funds 0.23 %

Technologies 0.23 %

Total 81.94 %

BOND STRATEGY

Industrial and geographical classification of investments (continued) as at 31st December 2017

25

Geographical classification

(by domicile of the issuer) (in percentage of net assets)

Italy 33.44 %

United States of America 13.33 %

France 8.35 %

Spain 6.09 %

United Kingdom 5.31 %

The Netherlands 3.85 %

Australia 1.98 %

Germany 1.95 %

Luxembourg 1.28 %

Sweden 0.92 %

Ireland 0.69 %

British Virgin Islands 0.68 %

Cayman Islands 0.68 %

Morocco 0.64 %

Romania 0.62 %

Austria 0.53 %

Croatia 0.49 %

Latvia 0.45 %

Indonesia 0.42 %

Mexico 0.24 %

Total 81.94 %

BOND STRATEGY

Statement of changes in investments (unaudited) from 1st January 2017 to 31st December 2017

26

Currency Description Purchases* Sales

Bonds

EUR Abertis Infraestructuras SA 1.375% Sen 16/20.05.26 100,000 0 EUR Actividad Const y Servicios SA 2.875% EMTN Reg S 15/01.04.20 0 100,000 EUR ADIF Alta Velocidad 1.875% EMTN Sen 15/28.01.25 100,000 0 EUR ADIF Alta Velocidad 1.875% Reg S Sen 15/22.09.22 0 500,000 EUR Amplifon SpA 4.875% Sen 13/16.07.18 0 100,000 EUR Ansaldo Energia SpA 2.75% Sen Reg S 17/31.05.24 100,000 0 EUR Aquarius + Invs Plc FRN EMTN Sen 14/22.05.17 0 100,000 EUR Assicurazioni Generali SpA VAR EMTN Reg S Sub 16/08.06.48 0 100,000 EUR ATF Netherlands BV 1.875% EMTN Sen Reg S 17/19.01.26 100,000 0 EUR Atlantia SpA 1.625% EMTN Reg S Sen 17/03.02.25 400,000 400,000 EUR Atlantia SpA 1.875% EMTN Sen Reg S 17/13.07.27 200,000 200,000 EUR Autostrada Br Ver Vice Pad SpA 2.375% Sen 15/20.03.20 0 100,000 EUR Autostrade per I'ItaliaSpA 1.875% EMTN Sen Reg S 17/26.09.29 100,000 0 EUR Banca Farmafactoring Spa FRN Sen Reg S 17/05.06.20 200,000 0 EUR Banca Popolare di Vicenza SpA 3.5% EMTN Sen 14/20.01.17 0 200,000 EUR Banca Popu dell Alto Adige SpA VAR EMTN Sub RegS 17/06.10.27 200,000 0 EUR Banco Bilbao Vizcaya Argent SA 0.75% EMTN Sen 17/11.09.22 100,000 0 EUR Banco Bilbao Vizcaya Argent SA 3.5% Reg S Sen 17/10.02.27 300,000 300,000 EUR Banco Bilbao Vizcaya Argent SA FRN Sen Reg S 17/12.04.22 300,000 0 EUR Banco de Sabadell SA 0.875% EMTN Sen Reg S 17/05.03.23 200,000 0 EUR Banco de Sabadell SA VAR Jun Sub Conv 17/18.08.Perpetual 200,000 200,000 EUR Banco Santander SA 1.375% Reg S Sen 17/09.02.22 300,000 100,000 EUR Banco Santander SA VAR Conv Jun Sub Reg S 17/29.12.Perpetual 400,000 200,000 EUR BASF SE FRN EMTN Ser DIP Sen Reg S 17/15.11.19 150,000 0 EUR Beni Stabili SpA 1.625% Sen Reg S 17/17.10.24 100,000 0 EUR BNP Paribas SA 1.125% EMTN Reg S Sen 17/10.10.23 100,000 0 EUR BNP Paribas SA 1.5% EMTN Sen Reg S 17/23.05.28 100,000 0 EUR BNP Paribas SA FRN EMTN 14/20.05.19 0 200,000 EUR BNP Paribas SA FRN EMTN Sen Reg S 17/22.09.22 300,000 0 EUR Bollore 2% Sen 17/25.01.22 100,000 100,000 EUR Bormioli Pharma Bidco SpA FRN Sen Reg S 17/15.11.24 100,000 100,000 EUR BPER Banca Spa VAR EMTN Sen Sub Reg S 17/31.05.27 200,000 0 EUR Bq Fédérative du Crédit Mutuel FRN EMTN Ser 382 14/20.03.19 0 200,000 EUR Caixabank SA VAR EMTN Reg S Sen Sub 17/15.02.27 200,000 200,000 EUR Cassa Depositi e Prestiti SpA 0.75% EMTN Sen 17/21.11.22 100,000 0 EUR Cassa Depositi e Prestiti SpA 1% EMTN Ser 56 14/26.01.18 0 500,000 EUR Cassa Depositi e Prestiti SpA 1.5% EMTN Sen 17/21.06.24 400,000 0 EUR Chile 1.75% Sen 16/20.01.26 0 100,000 EUR CK Hutchison Fin (16) (II) Ltd 0.875% Reg S Sen 16/03.10.24 100,000 0 EUR CK Hutchison Fin 16 1.25% Reg S Ser 7Y 16/06.04.23 0 100,000 EUR CNH Industrial Fin Europe SA 1.375% EMTN Sen 17/23.05.22 100,000 100,000 EUR CNH Industrial Fin Europe SA 1.75% EMTN Sen 17/12.09.25 100,000 100,000 EUR CNH Industrial Fin Europe SA 2.875% EMTN Ser CNH 16/17.05.23 0 250,000 EUR Coca-Cola Eur Partners PLC FRN Reg S Sen 16/26.11.17 0 150,000 EUR Coop Mur Cem CMC Rav Soc Coop 6% Sen Reg S 17/15.02.23 100,000 0 EUR Coop Mur Cem CMC Rav Soc Coop 6.875% Sen Reg S 17/01.08.22 100,000 100,000 EUR Criteria Caixaholding SA 1.5% EMTN Sen 17/10.05.23 200,000 200,000 EUR Croatia 3% Sen Reg S 17/20.03.27 200,000 0 EUR Croatia 3.875% Sen 14/30.05.22 0 100,000 EUR Daimler AG FRN EMTN Sen Reg S 17/03.07.24 300,000 0 EUR Danone VAR EMTN Sub 17/23.06.Perpetual 100,000 0 EUR Discovery Communications LLC 2.375% Sen 14/07.03.22 0 100,000 EUR Elenia Finance Oyj 2.875% EMTN Reg S Sen 13/17.12.20 0 200,000 EUR ENI SpA 1% EMTN Sen Reg S 17/14.03.25 350,000 100,000 EUR Espana 0.75% Sen 16/30.07.21 0 200,000 EUR Espana 1.95% Sen 15/30.07.30 0 200,000 EUR Espana 2.15% Reg S Sen 15/31.10.25 200,000 0 EUR Espana ILB Sen 14/30.11.19 0 250,000 EUR Espana ILB Sen 14/30.11.24 100,000 100,000 EUR Espana ILB Sen 15/30.11.30 0 200,000 EUR EXOR NV 2.125% Reg S Sen 15/02.12.22 100,000 100,000 EUR FCE Bank Plc 0.869% EMTN Reg S Sen 17/13.09.21 100,000 100,000

BOND STRATEGY

Statement of changes in investments (unaudited) (continued) from 1st January 2017 to 31st December 2017

27


EUR FCE Bank Plc 1.528% EMTN Reg S Sen 15/09.11.20 0 150,000 EUR FCE Bank Plc 1.615% EMTN Reg S Sen 16/11.05.23 100,000 0 EUR Fedex Corp 1% Sen 16/11.01.23 0 100,000 EUR Ferrovie dello Stato FS SPA 1.5% EMTN Sen Reg S 17/27.06.25 250,000 0 EUR Fiat Chrysler Automobiles NV 3.75% EMTN Reg S 16/29.03.24 0 200,000 EUR Ford Motor Cred Co LLC FRN EMTN Sen 17/01.12.24 100,000 0 EUR Galp Energia SGPS SA 1% EMTN Sen Reg S 7/15.02.23 100,000 100,000 EUR Gas Natural Fenosa Fin BV 1.25% EMTN Reg S Sen 16/19.04.26 0 100,000 EUR General Motors Financial Co FRN EMTN Sen Reg S 17/10.05.21 100,000 0 EUR Glencore Finance Europe Ltd 1.875% EMTN Reg S 16/13.09.23 0 100,000 EUR Goldman Sachs Group Inc 1.625% EMTN Reg S Ser F 16/27.07.26 100,000 0 EUR HSBC Holdings Plc 0.875% Reg S Sen 16/06.09.24 100,000 0 EUR HSBC Holdings Plc VAR EMTN Conv Sub Reg S 17/31.12.Perpetual 200,000 0 EUR Iberdrola Intl BV 1.125% EMTN Reg S Sen 16/21.04.26 100,000 0 EUR Iberdrola Intl BV VAR Sub Reg S 17/22.11.Perpetual 100,000 0 EUR ICCREA Banca SpA 1.5% EMTN Sen 17/21.02.20 250,000 100,000 EUR ING Groep NV VAR EMTN Sen Sub Reg S 17/26.09.29 100,000 100,000 EUR ING Groep NV VAR EMTN Sub 17/15.02.29 200,000 200,000 EUR Intesa Sanpaolo SpA 3.928% EMTN Sub Sen 14/15.09.26 100,000 100,000 EUR Intesa Sanpaolo SpA VAR EMTN Reg S Sub 16/19.07.Perpetual 200,000 400,000 EUR Intesa Sanpaolo SpA VAR EMTN Sen Sub 17/16.11.Perpetual 200,000 0 EUR Intesa Sanpaolo SpA VAR Reg S Sub 17/11.07.Perpetual 200,000 0 EUR Iren SpA 1.5% EMTN Sen Reg S 17/24.10.27 100,000 100,000 EUR Italia 1.6% BTP 16/01.06.26 200,000 300,000 EUR Italia 1.85% T-Bonds Ser 7Y 17/15.05.24 100,000 100,000 EUR Italia 2.2% BTP Ser 10Y 17/01.06.27 1,000,000 400,000 EUR Italia 3.25% BTP 15/01.09.46 200,000 100,000 EUR Italia ILB Sen Ser ICPI 17/22.05.23 307,000 0 EUR Italia ILB Ser 5Y 16/15.05.22 400,000 0 EUR Italia ILB Ser 6Y 17/20.11.23 500,000 0 EUR Italia ILB Ser CPI 10/15.09.21 0 100,000 EUR Italia ILB Ser CPI 10Y 17/15.05.28 500,000 0 EUR Italia ILB Ser CPI 15/15.09.32 100,000 0 EUR Italia ILB Ser ICPI 14/23.04.20 0 200,000 EUR Jyske Bank AS FRN EMTN Sen 14/19.06.17 0 200,000 EUR Kedrion SpA 3% Sen Reg S 17/12.07.22 100,000 100,000 EUR Lettonie 0.375% Reg S Sen 16/07.10.26 200,000 0 EUR London Stock Exchange Gr Plc 0.875% EMTN Sen 17/19.09.24 100,000 100,000 EUR Mediobanca SpA 0.625% EMTN Sen Reg S 17/27.09.22 300,000 0 EUR Mediobanca SpA 0.75% EMTN Reg S Sen 17/17.02.20 200,000 100,000 EUR Mediobanca SpA 1.625% EMTN Reg S Sen 16/19.01.21 0 100,000 EUR Mediobanca SpA FRN EMTN Sen Reg S 17/18.05.22 400,000 0 EUR Metro AG 1.5% EMTN Sen 15/19.03.25 100,000 300,000 EUR Mexico 1.375% Sen 16/15.01.25 0 300,000 EUR Mondi Finance PLC 1.5% EMTN Sen 16/15.04.24 100,000 0 EUR Morgan Stanley FRN Sen 17/08.11.22 250,000 0 EUR NetFlix Inc 3.625% Sen Reg S 17/15.05.27 100,000 100,000 EUR Nordea Bank AB FRN EMTN Sen Reg S 17/27.09.21 200,000 0 EUR Nordea Bank AB VAR EMTN Jun Sub Reg S 17/12.03.Perpetual 200,000 0 EUR Orange SA 1% EMTN Reg S Sen 16/12.05.25 0 100,000 EUR Orange VAR Sub Sen 14/07.02.Perpetual 0 100,000 EUR Paccar Financial Europe BV FRN EMTN 14/19.05.17 0 200,000 EUR Petroleos Mexicanos 2.5% EMTN Sen Reg S 17/21.08.21 100,000 0 EUR Peugeot SA 2% EMTN Sen 17/23.03.24 150,000 150,000 EUR Piaggio & C. SpA 4.625% EMTN 14/30.04.21 0 200,000 EUR Poland 1.5% EMTN Reg S Ser 10YR 16/19.01.26 0 200,000 EUR Radiotelevisione Italiana SpA 1.5% Reg S Sen 15/28.05.20 0 100,000 EUR RCI Banque FRN EMTN Reg S Sen 14/13.06.17 0 300,000 EUR RCI Banque SA 0.75% EMTN Sen 17/12.01.22 100,000 100,000 EUR RCI Banque SA FRN EMTN Sen 17/04.11.24 100,000 0 EUR RCI Banque SA FRN EMTN Sen 17/08.07.20 100,000 0 EUR RCI Banque SA FRN EMTN Sen 17/14.03.22 300,000 0 EUR Romania 2.875% EMTN 14/28.10.24 0 100,000 EUR Royal Bank of Scotland Gr Plc VAR EMTN Sen Reg S 17/08.03.23 100,000 100,000 EUR Saipem Finance Intl BV 2.625% EMTN Sen Reg S 17/07.01.25 200,000 0 EUR Saipem Finance Intl BV 2.75% EMTN Sen Reg S 17/05.04.22 200,000 200,000 EUR Salini Impregilo SpA 1.75% Sen Reg S 17/26.10.24 300,000 200,000

BOND STRATEGY


28


EUR Santander Consumer Fin SA 1% EMTN Reg S Sen 16/26.05.21 0 200,000 EUR Santander Iss SA Unipers 3.125% EMTN Reg S Sub 17/19.01.27 200,000 200,000 EUR Shell Intl Finance BV 0.375% EMTN Reg S Sen 16/15.02.25 0 100,000 EUR Slovenia 1.25% Sen 17/22.03.27 100,000 100,000 EUR Snam SpA 1.375% EMTN Reg S Sen 15/19.11.23 0 200,000 EUR Snam SpA FRN EMTN Sen 17/02.08.24 300,000 0 EUR Société Générale SA 1% EMTN Reg S Sen 16/01.04.22 0 100,000 EUR Telecom Italia SpA 2.5% EMTN Reg S Sen 17/19.07.23 150,000 150,000 EUR Telecom Italia SpA 3% EMTN Reg S Sen 16/30.09.25 0 100,000 EUR Telecom Italia SpA 3.25% EMTN Sen 15/16.01.23 0 100,000 EUR TenneT Holding BV VAR Sub Reg S 17/01.06.Perpetual 150,000 150,000 EUR Teva Pharmaceutical Fin II BV 0.375% Reg S Sen 16/25.07.20 0 100,000 EUR Teva Pharmaceutical Fin II BV 1.25% 15/31.03.23 0 100,000 EUR TVO Power Co 2.5% EMTN Sen 14/17.03.21 0 100,000 EUR Unicredit SpA 2% EMTN Reg S Sen 16/04.03.23 100,000 0 EUR Unicredit SpA FRN EMTN Sen 15/19.02.20 100,000 0 EUR Unicredit SpA FRN Sen 11/31.10.17 0 525,000 EUR Unicredit SpA VAR Sub Reg S 17/03.12.Perpetual 400,000 0 EUR Unione di Banche Italiane SpA 0.75% EMTN Sen 17/17.10.22 300,000 0 EUR Unione di Banche Italiane SpA VAR EMTN Reg S Sub 16/05.05.26 0 200,000 EUR Unione di Banche Italiane SpA VAR EMTN Sen Sub 17/15.09.27 300,000 0 EUR Vallourec Usines Tubes 6.625% Sen Reg S 17/15.10.22 200,000 200,000 EUR Vodafone Group Plc 1.6% EMTN Reg S Sen 16/29.07.31 0 100,000 EUR Vonovia Finance BV 3.625% Reg S Sen 13/08.10.21 0 200,000 EUR Vonovia Finance BV FRN EMTN Reg S Sen 15/15.12.17 0 200,000 EUR Wells Fargo & Co FRN EMTN Reg S Sen 17/31.01.22 400,000 0 EUR Wind Tre SpA FRN Sen Reg S 17/20.01.24 250,000 250,000 EUR WPC Eurobond BV 2.25% Sen 17/19.07.24 300,000 0

USD Apple Inc FRN Sen 15/07.02.20 0 200,000 USD Cred Agricole SA London FRN EMTN Reg S Sen 14/15.04.19 0 250,000 USD EBRD 0.875% Ser GMTN 16/22.07.19 0 300,000 USD Goldman Sachs Group Inc FRN MTN Ser D Tr 591 13/29.11.23 0 200,000 USD QNB Fin Ltd 2.125% EMTN Reg S Sen 16/07.09.21 0 200,000 USD Roche Holdings Inc 2% EMTN Reg S Sen 15/13.03.20 0 100,000

Options on futures

EUR Bund Govt Bond 10 Years EUR PUT 02/17 EUX 158 0 100 EUR Bund Govt Bond 10 Years EUR PUT 02/17 EUX 160 100 100 EUR Bund Govt Bond 10 Years EUR PUT 03/17 EUX 157.5 100 100 EUR Bund Govt Bond 10 Years EUR PUT 03/17 EUX 161 100 100 EUR Bund Govt Bond 10 Years EUR PUT 04/17 EUX 159 100 100 EUR Bund Govt Bond 10 Years EUR PUT 05/17 EUX 157.5 100 100 EUR Bund Govt Bond 10 Years EUR PUT 06/17 EUX 157.5 200 200 EUR Bund Govt Bond 10 Years EUR PUT 06/17 EUX 158.5 100 100 EUR Bund Govt Bond 10 Years EUR PUT 07/17 EUX 160 100 100 EUR Bund Govt Bond 10 Years EUR PUT 07/17 EUX 162 100 100 EUR Bund Govt Bond 10 Years EUR PUT 08/17 EUX 159.5 150 150 EUR Bund Govt Bond 10 Years EUR PUT 08/17 EUX 161 100 100 EUR Bund Govt Bond 10 Years EUR PUT 08/17 EUX 162 100 100 EUR Bund Govt Bond 10 Years EUR PUT 09/17 EUX 158 200 200 EUR Bund Govt Bond 10 Years EUR PUT 10/17 EUX 158 150 150 EUR Bund Govt Bond 10 Years EUR PUT 10/17 EUX 161 100 100 EUR Bund Govt Bond 10 Years EUR PUT 12/17 EUX 157 100 100 EUR Bund Govt Bond 10 Years EUR PUT 12/17 EUX 159 100 100 EUR Bund Govt Bond 10 Years EUR PUT 12/17 EUX 160 150 150 EUR Bund Govt Bond 10 Years EUR PUT 01/18 EUX 160 100 100 EUR Bund Govt Bond 10 Years EUR PUT 01/18 EUX 161 100 100 EUR Bund Govt Bond 10 Years EUR PUT 02/18 EUX 159.5 100 0 EUR Bund Govt Bond 10 Years EUR PUT 11/17 EUX 157 150 150 EUR Bund Govt Bond 10 Years EUR PUT 12/17 EUX 161.5 100 100

* including the outstanding quantities at the date of the merger which have been transferred from the absorbed Sub-Fund EURO CORPORATE BOND.

EQUITY EURO STRATEGY

Statement of net assets (in EUR) as at 31st December 2017


29

Assets Securities portfolio at market value 39,161,270.39 Option contracts at market value 15,960.00 Cash at banks 4,514,403.19 Other liquid assets 2,063,074.88 Income receivable on portfolio 19,152.60 Unrealised gain on futures contracts 362,687.50 Other receivables 101,180.83


Liabilities Payable on purchases of securities 101,180.83 Expenses payable 125,316.79 Other liabilities 362,687.50



Breakdown of net assets per share class

Share class Number of

shares

Currency of

share class

NAV per share in currency of

share class

Net assets per share class

(in EUR)

Retail A 14,875.6823 EUR 1,383.12 20,574,785.24 Retail B 408,484.2363 EUR 43.68 17,840,757.76 Institutional A 417.3356 EUR 14,983.21 6,253,028.66 Institutional B 108.6436 EUR 9,020.07 979,972.61

45,648,544.27




30

Income Dividends, net 1,279,901.12

Total income 1,279,901.12

Expenses Management fees 733,293.21 Performance fees 24,895.60 Depositary fees 26,079.03 Banking charges and other fees 8,955.86 Transaction fees 52,380.11 Central administration costs 84,824.85 Professional fees 15,390.79 Other administration costs 43,886.87 Subscription duty ("taxe d'abonnement") 18,861.39 Bank interest paid 29,855.64 Other expenses 17,313.13

Total expenses 1,055,736.48

Net investment income 224,164.64

Net realised gain/(loss) - on securities portfolio 3,912,340.58 - on option contracts -529,850.00 - on futures contracts -4,303,530.00 - on foreign exchange -15,921.20

Realised result -712,795.98

Net variation of the unrealised gain/(loss) - on securities portfolio 890,250.21 - on option contracts 218,750.00 - on futures contracts 1,286,372.50

Result of operations 1,682,576.73


Subscriptions * 9,627,501.76





* including the net assets absorbed pursuant to the merger of the Sub-Fund EQUITY USA with effect from 1st December 2017. See "General Information"




31


EUR 70,559,498.21 61,601,134.43 45,648,544.27

Net asset value per share Currency 31.12.2015 31.12.2016 31.12.2017

Retail A EUR 1,400.62 1,345.79 1,383.12 Retail B EUR 47.95 44.25 43.68 Institutional A EUR 14,914.97 14,466.28 14,983.21 Institutional B EUR 9,730.50 9,064.96 9,020.07




Retail A 12,175.0651 *6,006.8569 -3,306.2397 14,875.6823 Retail B 547,130.1889 14,853.2676 -153,499.2202 408,484.2363 Institutional A 1,333.8002 40.3220 -956.7866 417.3356 Institutional B 188.5224 - -79.8788 108.6436

Dividends paid Currency Dividend per share Ex-dividend date

Retail B EUR 0.92 16.06.2017 Retail B EUR 0.90 06.12.2017 Institutional B EUR 189.23 16.06.2017 Institutional B EUR 185.69 06.12.2017

* including the shares allocated pursuant to the merger of the Sub-Fund EQUITY USA with effect from 1st December 2017. See "General Information"


Statement of investments and other net assets (in EUR) as at 31st December 2017


32



Investments in securities

Transferable securities admitted to an official stock exchange listing

Shares

CHF 3,574 LafargeHolcim Ltd Reg 176,348.70 167,866.13 0.37 EUR 92,000 A2A SpA 74,576.25 141,864.00 0.31 EUR 6,200 ABN AMRO Group NV DR 139,128.00 166,780.00 0.37 EUR 6,600 Accor SA 301,807.77 283,800.00 0.62 EUR 3,370 Adidas AG Reg 414,614.10 563,295.50 1.23 EUR 4,175 Air Liquide SA 322,684.40 438,583.75 0.96 EUR 6,250 Airbus SE 373,020.35 518,750.00 1.14 EUR 3,880 Allianz SE Reg 466,915.96 743,020.00 1.63 EUR 6,360 Alstom 204,345.85 220,087.80 0.48 EUR 15,100 Amplifon SpA Post Frazionamento 189,794.20 193,884.00 0.43 EUR 6,840 Anheuser-Busch InBev SA 568,367.35 637,009.20 1.40 EUR 1 ArcelorMittal SA Reg S 53.72 27.12 0.00 EUR 4,445 ASML Holding NV 365,311.67 645,191.75 1.41 EUR 24,950 Assicurazioni Generali SpA 378,846.63 379,240.00 0.83 EUR 11,501 Atlantia SpA 263,617.11 302,706.32 0.66 EUR 21,100 Autogrill SpA 142,465.05 242,650.00 0.53 EUR 24,437 Axa SA 438,176.17 604,449.20 1.32 EUR 6,400 Banca Generali SpA 150,019.20 177,536.00 0.39 EUR 16,000 Banco Bilbao Vizcaya Argent SA Reg 115,616.00 113,792.00 0.25 EUR 147,028 Banco Santander Reg SA 893,215.28 805,566.41 1.76 EUR 8,290 BASF SE Reg 607,108.62 760,524.60 1.67 EUR 8,760 Bayer AG Reg 797,737.51 911,040.00 2.00 EUR 5,130 Bayerische Motorenwerke AG 400,550.24 445,437.90 0.98 EUR 2,350 Beiersdorf AG 127,924.58 230,065.00 0.50 EUR 14,770 BNP Paribas SA A 831,612.72 919,432.50 2.01 EUR 1,210 Bourbon Corp 23,244.10 8,470.00 0.02 EUR 3,350 Brunello Cucinelli SpA 68,838.26 90,483.50 0.20 EUR 9,100 Buzzi Unicem SpA 131,040.00 204,750.00 0.45 EUR 33,645 Cairo Communication SpA 147,701.55 124,822.95 0.27 EUR 19,620 Carrefour SA 560,576.83 353,944.80 0.78 EUR 5,840 Ceconomy AG 65,245.41 73,613.20 0.16 EUR 5,999 Cementir SpA 35,694.05 45,292.45 0.10 EUR 14,400 Cie de Saint-Gobain SA 574,680.74 662,112.00 1.45 EUR 1,740 Continental AG 290,669.65 391,587.00 0.86 EUR 37,700 Credito Emiliano SpA Credem 244,935.97 266,727.50 0.58 EUR 11,350 CRH Plc 221,748.87 339,989.25 0.75 EUR 35,900 Crédit Agricole SA 469,966.15 495,420.00 1.09 EUR 8,720 Daimler AG Reg 504,824.39 617,376.00 1.35 EUR 7,549 Danone 392,951.85 528,052.55 1.16 EUR 11,850 Deutsche Post AG Reg 256,595.88 471,037.50 1.03 EUR 31,960 Deutsche Telekom AG Reg 375,751.26 472,848.20 1.04 EUR 11,550 Enagas SA 262,993.21 275,698.50 0.60 EUR 10,020 ENAV SpA 33,066.00 45,190.20 0.10 EUR 10,900 Endesa SA 221,399.28 194,619.50 0.43 EUR 147,622 ENEL SpA 606,013.00 757,300.86 1.66 EUR 29,050 Engie SA 518,626.35 416,431.75 0.91 EUR 10,200 ENI SpA 149,940.00 140,760.00 0.31 EUR 3,900 Essilor Intl SA 302,088.67 448,305.00 0.98 EUR 25,000 Falk Renewables SpA 31,418.05 54,250.00 0.12 EUR 9,614 Ferrovial SA 172,378.36 181,944.95 0.40 EUR 5,250 Fresenius Medical Care AG & Co KGaA 348,775.37 460,845.00 1.01 EUR 4,900 Fresenius SE & Co KGaA 124,695.72 318,843.00 0.70 EUR 3,280 HeidelbergCement AG 183,690.22 296,020.00 0.65 EUR 3,630 Heineken NV 165,381.37 315,555.90 0.69 EUR 3,480 Henkel AG & Co KGaA Pref 309,225.36 384,018.00 0.84 EUR 67,359 Iberdrola SA 339,403.03 435,139.14 0.95 EUR 14,150 Industria de Diseno Textil SA 307,379.81 410,986.75 0.90 EUR 36,000 Infrastru Wireless Italia SpA 167,842.80 223,200.00 0.49




33



EUR 46,600 ING Groep NV 524,758.40 714,145.00 1.56 EUR 227,789 Intesa Sanpaolo SpA 445,307.98 630,975.53 1.38 EUR 15,460 Italgas SpA Reg 49,515.31 78,691.40 0.17 EUR 480 Kering Reg 71,351.20 188,640.00 0.41 EUR 12,314 Koninklijke Ahold Delhaize NV 150,150.78 225,777.19 0.49 EUR 2,900 L'Oréal SA 327,242.08 536,355.00 1.18 EUR 1,000 Linde AG 152,100.00 181,400.00 0.40 EUR 3,300 Luxottica Group SpA 129,182.22 168,795.00 0.37 EUR 2,355 LVMH Moët Hennessy L Vuit SE 304,374.55 577,917.00 1.27 EUR 40,950 Mediobanca SpA 303,658.82 387,387.00 0.85 EUR 2,600 Merck KGaA 235,014.00 233,350.00 0.51 EUR 5,840 Metro AG Bearer 123,834.09 97,236.00 0.21 EUR 1,680 Michelin SA 162,927.24 200,844.00 0.44 EUR 9,500 Moncler SpA 123,595.00 247,760.00 0.54 EUR 2,710 Muenchener Rueckver AG REG 386,580.05 489,832.50 1.07 EUR 35,500 Natixis 160,815.00 234,158.00 0.51 EUR 60,000 Nokia Oyj 339,415.00 233,640.00 0.51 EUR 34,000 Orange SA 400,675.24 492,150.00 1.08 EUR 35,000 OVS SpA 142,908.50 194,425.00 0.43 EUR 1,220 Pernod-Ricard SA 100,546.83 160,979.00 0.35 EUR 18,000 Peugeot SA 305,026.00 305,190.00 0.67 EUR 134,350 Piaggio & C. SpA 361,149.95 309,005.00 0.68 EUR 16,000 Pirelli & C. SpA Reg 102,160.00 116,000.00 0.25 EUR 35,344 Poste Italiane SpA 230,462.63 221,783.60 0.49 EUR 4,200 Publicis Groupe SA 250,862.17 237,930.00 0.52 EUR 5,400 Randstad Holding NV 294,617.28 276,696.00 0.61 EUR 13,000 Redes Energetic Nacio SGPS SA 14,521.00 32,227.00 0.07 EUR 3,500 Renault SA 264,978.08 293,685.00 0.64 EUR 16,590 Repsol SA 283,436.70 244,619.55 0.54 EUR 9,766 Royal Dutch Shell Plc A 241,207.83 271,348.31 0.59 EUR 9,324 Royal Philips NV 224,497.04 294,078.96 0.64 EUR 34,500 Salini Impregilo SpA 104,866.20 111,021.00 0.24 EUR 8,200 Salvatore Ferragamo SpA 192,789.92 181,630.00 0.40 EUR 12,875 Sanofi SA 937,774.65 925,068.75 2.03 EUR 10,250 SAP SE 606,207.10 957,862.50 2.10 EUR 9,450 Schneider Electric SE 581,149.07 669,627.00 1.47 EUR 6,680 Servizi Italia SpA 26,786.80 44,756.00 0.10 EUR 8,230 Siemens AG Reg 736,408.86 955,914.50 2.09 EUR 77,300 Snam SpA 245,705.68 315,384.00 0.69 EUR 14,270 Société Générale SA 555,173.53 614,323.50 1.35 EUR 20,420 STMicroelectronics NV 195,371.90 371,644.00 0.81 EUR 17,320 Suez SA 236,631.69 253,997.80 0.56 EUR 166,050 Telecom Italia SpA 151,658.14 119,639.03 0.26 EUR 48,713 Telefonica SA 616,075.35 395,793.13 0.87 EUR 61,650 Terna Rete Elettr Nazional SpA 218,022.91 298,632.60 0.65 EUR 2,032 Toscana Aeroporti SpA 22,636.48 32,816.80 0.07 EUR 16,580 Total SA 760,688.60 763,426.10 1.67 EUR 14,400 Unicredit SpA Reg 231,840.00 224,352.00 0.49 EUR 15,720 Unilever NV Certif of Shares 450,186.59 738,132.60 1.62 EUR 1,700 Valeo SA 99,841.00 105,859.00 0.23 EUR 16,210 Veolia Environnement SA 218,009.81 344,867.75 0.76 EUR 5,000 Vinci SA 251,404.56 425,750.00 0.93 EUR 14,073 Vivendi 279,539.49 315,516.66 0.69

32,101,929.59 38,993,404.26 85.42

Total shares 32,278,278.29 39,161,270.39 85.79




34



Other transferable securities

Shares

EUR 1 Cogeme Set SpA in liquidazione 0.00 0.00 0.00 EUR 10 Sopaf SpA 0.00 0.00 0.00

0.00 0.00 0.00

GBP 20,000 HMV Group Plc 0.00 0.00 0.00

Total shares 0.00 0.00 0.00

Total investments in securities 32,278,278.29 39,161,270.39 85.79

Options

Listed financial instruments

Index options

EUR 140 Euro Stoxx 50 EUR (Price) Index PUT 01/18 EUX 3400 11,760.00 15,960.00 0.03

Total options 11,760.00 15,960.00 0.03

Cash at banks 4,514,403.19 9.89

Other net assets/(liabilities) 1,956,910.69 4.29

Total 45,648,544.27 100.00


Industrial and geographical classification of investments as at 31st December 2017

35

Industrial classification

(in percentage of net assets)

Financials 17.61 %

Cyclical consumer goods 14.93 %

Industrials 11.56 %

Non-cyclical consumer goods 9.22 %

Healthcare 8.13 %

Utilities 7.71 %

Raw materials 4.95 %

Technologies 4.83 %

Telecommunications services 3.74 %

Energy 3.11 %

Total 85.79 %

Geographical classification

(by domicile of the issuer) (in percentage of net assets)

France 28.54 %

Germany 22.03 %

Italy 15.49 %

The Netherlands 9.93 %

Spain 6.70 %

Belgium 1.40 %

Ireland 0.75 %

Finland 0.51 %

Switzerland 0.37 %

Portugal 0.07 %

Total 85.79 %



36

Currency Description Purchases* Sales Other

Shares

CHF LafargeHolcim Ltd Reg 0 3,400 0

EUR A2A SpA 0 205,000 0 EUR ABN AMRO Group NV DR 6,200 0 0 EUR Adidas AG Reg 1,700 2,300 0 EUR Aegon NV 0 28,000 0 EUR Air Liquide SA 0 4,250 379 EUR Airbus SE 0 2,350 0 EUR Allianz SE Reg 0 2,220 0 EUR Alstom 0 7,100 0 EUR Amplifon SpA Post Frazionamento 15,100 0 0 EUR Anheuser-Busch InBev SA 1,050 4,800 0 EUR ArcelorMittal SA 0 0 -7,590 EUR ArcelorMittal SA Reg S 0 2,529 2,530 EUR ASML Holding NV 670 5,400 0 EUR Assicurazioni Generali SpA 10,500 27,500 0 EUR Atlantia SpA 3,800 24,550 0 EUR Autogrill SpA 0 42,300 0 EUR Axa SA 0 6,700 0 EUR Banca Carige SpA post raggruppamento 0 126,400 0 EUR Banca Generali SpA 6,400 0 0 EUR Banco Bilbao Vizcaya Argent SA Reg 16,000 135,512 2,463 EUR Banco de Sabadell SA Reg 0 103,160 0 EUR Banco Popular Espanol SA 0 64,603 0 EUR Banco Santander Reg SA 0 72,547 18,623 EUR BASF SE Reg 0 6,000 0 EUR Bayer AG Reg 850 2,850 0 EUR Bayerische Motorenwerke AG 0 2,100 0 EUR BNP Paribas SA A 3,000 2,600 0 EUR Brunello Cucinelli SpA 0 7,800 0 EUR Buzzi Unicem SpA 0 13,900 0 EUR Caixabank SA 0 35,425 0 EUR Carrefour SA 0 6,400 0 EUR Ceconomy AG 0 5,000 0 EUR Cie de Saint-Gobain SA 2,200 2,800 0 EUR Continental AG 0 750 0 EUR CRH Plc 0 3,500 0 EUR Crédit Agricole SA 14,100 15,000 0 EUR Daimler AG Reg 0 5,000 0 EUR Danone 0 2,900 0 EUR Deutsche Post AG Reg 0 12,100 0 EUR Deutsche Telekom AG Reg 0 29,600 0 EUR Distribuidora Int de Alimenta 30,000 68,300 0 EUR DoBank SpA Reg 12,857 12,857 0 EUR Endesa SA 0 11,000 0 EUR ENEL SpA 19,000 179,500 0 EUR Engie SA 0 9,500 0 EUR ENI SpA 10,200 0 0 EUR Ferrovial SA 0 0 360 EUR Fresenius Medical Care AG & Co KGaA 0 3,150 0 EUR Fresenius SE & Co KGaA 0 3,500 0 EUR Gas Natural SDG SA 0 12,100 0 EUR Gemalto 0 3,750 0 EUR HeidelbergCement AG 0 6,700 0 EUR Henkel AG & Co KGaA Pref 800 1,000 0 EUR Hermes Intl SA 0 188 0 EUR Iberdrola SA 13,700 75,100 4,988 EUR Industria de Diseno Textil SA 0 11,300 0 EUR ING Groep NV 6,500 33,600 0 EUR Intesa Sanpaolo SpA 0 45,000 0 EUR Kering Reg 0 470 0



37


EUR L'Oréal SA 0 1,170 0 EUR Leonardo SpA 0 3,500 0 EUR Leoni AG Reg 0 5,100 0 EUR Linde AG 1,000 0 0 EUR LVMH Moët Hennessy L Vuit SE 0 1,500 0 EUR Melia Hotels Intl SA 0 15,300 0 EUR Merck KGaA 2,600 5,400 0 EUR Metro AG Bearer 0 0 5,840 EUR Michelin SA 0 1,720 0 EUR Moleskine SpA 0 25,000 0 EUR Moncler SpA 0 4,000 0 EUR Muenchener Rueckver AG REG 0 600 0 EUR Orange SA 0 9,000 0 EUR Pernod-Ricard SA 0 1,220 0 EUR Peugeot SA 5,200 5,800 0 EUR Piaggio & C. SpA 0 52,500 0 EUR Pirelli & C. SpA Reg 16,000 0 0 EUR Poste Italiane SpA 0 17,800 0 EUR Publicis Groupe SA 2,000 6,350 0 EUR Renault SA 2,200 1,300 0 EUR Repsol SA 0 0 887 EUR Royal Dutch Shell Plc A 9,800 4,900 246 EUR Royal Philips NV 0 10,400 0 EUR Salini Impregilo SpA 34,500 0 0 EUR Salvatore Ferragamo SpA 0 3,500 0 EUR Sanofi SA 0 6,150 0 EUR SAP SE 1,050 6,850 0 EUR Schneider Electric SE 2,650 4,900 0 EUR Siemens AG Reg 0 4,100 0 EUR Société Générale SA 2,000 5,600 0 EUR STMicroelectronics NV 5,200 7,600 0 EUR Suez SA 0 7,300 0 EUR Telecom Italia SpA Risp 0 316,000 0 EUR Telefonica SA 0 32,000 0 EUR Unicredit SpA Reg 24,600 10,200 0 EUR Unilever NV Certif of Shares 1,850 9,800 0 EUR Valeo SA 1,700 0 0 EUR Veolia Environnement SA 0 8,200 0 EUR Vinci SA 0 6,600 0 EUR Vivendi 0 13,900 0 EUR Yoox Net A Porter Group SpA 5,900 5,900 0

Warrants and rights

EUR Redes Energetic Nacio SGPS SA Droits de sousc

06.12.17 0 13,000 13,000

Index options

EUR Euro Stoxx 50 EUR (Price) Index PUT 01/17 EUX 2900

0 430 0


0 410 0


400 400 0


190 190 0



38


EUR Euro Stoxx 50 EUR (Price) Index PUT 05/17 EUX

3100 390 390 0


140 0 0


170 170 0


240 240 0


120 120 0


115 115 0

* including the outstanding quantities at the date of the merger which have been transferred from the absorbed Sub-Fund EQUITY USA.

EURO CORPORATE BOND



39

Income Dividends, net 506.25 Interest on bonds and other debt securities, net 99,994.79

Total income 100,501.04

Expenses Management fees 48,420.85 Performance fees 7,334.96 Depositary fees 3,114.94 Banking charges and other fees 4,366.43 Transaction fees 4,613.29 Central administration costs 40,712.59 Professional fees 1,958.49 Other administration costs 6,661.37 Subscription duty ("taxe d'abonnement") 1,083.01 Bank interest paid 839.30 Other expenses 1,759.91

Total expenses 120,865.14


Net realised gain/(loss) - on securities portfolio 344,922.55 - on futures contracts -52,000.00 - on foreign exchange -5,920.95

Realised result 266,637.50

Net variation of the unrealised gain/(loss) - on securities portfolio -165,049.92 - on futures contracts 29,410.00

Result of operations 130,997.58

Dividends paid -

Subscriptions 945,831.35

Redemptions * -12,774,913.32



Total net assets at the end of the year 0.00

* including the net assets transferred to the absorbing Sub-Fund BOND STRATEGY pursuant to the merger with effect from 1st December 2017. See "General Information"

EURO CORPORATE BOND



40


EUR 13,216,218.31 11,698,084.39 0.00

Net asset value per share Currency 31.12.2015 31.12.2016

Retail A EUR 62.44 63.29 Institutional A EUR 1,452.79 1,483.39




Retail A 29,674.0821 1,422.5734 * -31,096.6555 0.0000 Institutional A 6,619.9843 576.8029 * -7,196.7872 0.0000

* including the shares redeemed pursuant to the merger in the Sub-Fund BOND STRATEGY with effect from 1st December 2017. See "General Information"

EURO CORPORATE BOND


41

Currency Description Purchases Sales*

Bonds

EUR Abertis Infraestructuras SA 1.375% Sen 16/20.05.26 0 100,000 EUR Accor SA 1.25% Sen 17/25.01.24 100,000 100,000 EUR Actividad Const y Servicios SA 2.875% EMTN Reg S 15/01.04.20 0 100,000 EUR ADIF Alta Velocidad 1.875% EMTN Sen 15/28.01.25 0 100,000 EUR Arkema SA 1.5% EMTN Sen 15/20.01.25 0 100,000 EUR ASML Holding NV 1.375% Reg S Sen 16/07.07.26 0 100,000 EUR AT&T Inc 2.4% 14/15.03.24 0 150,000 EUR AT&T Inc FRN Sen 14/04.06.19 0 100,000 EUR Atlantia SpA 1.625% EMTN Reg S Sen 17/03.02.25 200,000 200,000 EUR Autostrada Br Ver Vice Pad SpA 2.375% Sen 15/20.03.20 0 150,000 EUR Banca Popolare di Vicenza SpA 3.5% EMTN Sen 14/20.01.17 0 200,000 EUR Banco Bilbao Vizcaya Argent SA 3.5% Reg S Sen 17/10.02.27 200,000 200,000 EUR Banco Bilbao Vizcaya Argent SA FRN Sen Reg S 17/12.04.22 100,000 100,000 EUR Banco Santander SA 1.375% Reg S Sen 17/09.02.22 200,000 200,000 EUR Bank of America Corp 0.75% EMTN Sen 16/26.07.23 0 100,000 EUR Bank of America Corp FRN EMTN Reg S Sen 14/19.06.19 0 100,000 EUR Berkshire Hathaway Inc 0.625% Sen 17/17.01.23 100,000 100,000 EUR BNP Paribas SA 1.125% EMTN Reg S Sen 17/10.10.23 100,000 100,000 EUR BNP Paribas SA 2.375% EMTN Sub 15/17.02.25 0 100,000 EUR BNP Paribas SA FRN EMTN Sen Reg S 17/22.09.22 100,000 100,000 EUR Bollore 2% Sen 17/25.01.22 100,000 100,000 EUR BPER Banca Spa VAR EMTN Sen Sub Reg S 17/31.05.27 100,000 100,000 EUR Caixabank SA VAR EMTN Reg S Sen Sub 17/15.02.27 100,000 100,000 EUR Carrefour Banque FRN Sen 15/20.03.20 0 100,000 EUR Carrefour SA 0.75% EMTN Sen 16/26.04.24 0 100,000 EUR Citigroup Inc 2.125% EMTN Sen 14/10.09.26 0 100,000 EUR Citigroup Inc FRN EMTN Sen 14/11.11.19 0 100,000 EUR CK Hutchison Fin (16) (II) Ltd 0.875% Reg S Sen 16/03.10.24 0 100,000 EUR CK Hutchison Fin 16 1.25% Reg S Ser 7Y 16/06.04.23 0 200,000 EUR CNH Industrial Fin Europe SA 2.875% EMTN Ser CNH 16/17.05.23 0 200,000 EUR Continental AG 0% EMTN Reg S Sen 16/05.02.20 0 50,000 EUR Cred Agricole SA London 1% Sen 17/16.09.24 200,000 200,000 EUR Cred Suisse AG London FRN EMTN Sen 14/16.10.19 0 100,000 EUR Criteria Caixaholding SA 1.5% EMTN Sen 17/10.05.23 100,000 100,000 EUR Daimler AG FRN EMTN Reg S Sen 16/12.01.19 0 100,000 EUR Daimler AG FRN EMTN Sen Reg S 17/03.07.24 100,000 100,000 EUR Daimler Intl Fin BV FRN EMTN Sen Reg S 17/11.05.22 100,000 100,000 EUR Deutsche Telekom Intl Fin BV FRN EMTN Reg S 16/03.04.20 0 100,000 EUR Discovery Communications LLC 2.375% Sen 14/07.03.22 0 100,000 EUR Eastern Creat II Inv Hgs Ltd 1.5% EMTN Reg S Sen 15/29.07.19 0 100,000 EUR Eastern Creation II Inv Hgs Ltd 1% EMTN Reg S 15/19.03.18 0 100,000 EUR ENEL SpA VAR Sub Sen 13/10.01.74 0 100,000 EUR ENI SpA 1% EMTN Sen Reg S 17/14.03.25 100,000 100,000 EUR FCE Bank Plc 0.869% EMTN Reg S Sen 17/13.09.21 100,000 100,000 EUR FCE Bank Plc 1.615% EMTN Reg S Sen 16/11.05.23 0 100,000 EUR FCE Bank Plc FRN EMTN Sen 15/10.02.18 0 100,000 EUR Fedex Corp 1% Sen 16/11.01.23 0 100,000 EUR Ferrovie dello Stato FS SPA 1.5% EMTN Sen Reg S 17/27.06.25 100,000 100,000 EUR Fiat Chrysler Automobiles NV 3.75% EMTN Reg S 16/29.03.24 0 100,000 EUR Gas Natural Fenosa Fin BV 1.25% EMTN Reg S Sen 16/19.04.26 0 100,000 EUR General Mills Inc FRN Sen 16/15.01.20 0 150,000 EUR Generali Finance BV VAR EMTN Reg S Sub 14/21.11.Perpetual 0 200,000 EUR Glencore Finance Europe Ltd 1.875% EMTN Reg S 16/13.09.23 0 100,000 EUR Goldman Sachs Group Inc 1.625% EMTN Reg S Ser F 16/27.07.26 0 100,000 EUR Goldman Sachs Group Inc 2.125% EMTN Reg S Sen 14/30.09.24 0 150,000 EUR Goldman Sachs Group Inc FRN EMTN Reg S Sen 16/29.04.19 0 200,000 EUR Grand City Properties SA 2% Reg S 14/29.10.21 0 100,000 EUR HeidelbergCem Fin Lux SA 0.5% EMTN Reg S Sen 17/18.01.21 50,000 50,000 EUR Holcim Finance SA 1.375% EMTN Reg S Sen 16/26.05.23 0 100,000 EUR HSBC Holdings Plc 0.875% Reg S Sen 16/06.09.24 0 100,000 EUR Iberdrola Intl BV 0.375% EMTN Reg S Sen 16/15.09.25 0 100,000 EUR Iberdrola Intl BV 1.125% EMTN Reg S Sen 16/21.04.26 0 100,000

EURO CORPORATE BOND


42

Currency Description Purchases Sales*

EUR ING Groep NV VAR EMTN Sen Sub Reg S 17/26.09.29 100,000 100,000 EUR ING Groep NV VAR EMTN Sub 17/15.02.29 100,000 100,000 EUR Intesa Sanpaolo SpA 1.125% Reg S Sen 15/04.03.22 0 150,000 EUR Intesa Sanpaolo SpA 3.928% EMTN Sub Sen 14/15.09.26 0 100,000 EUR Intesa Sanpaolo SpA FRN EMTN Sen 14/17.04.19 0 100,000 EUR Intesa Sanpaolo SpA VAR EMTN Reg S Sub 16/19.07.Perpetual 0 200,000 EUR Kedrion SpA 3% Sen Reg S 17/12.07.22 100,000 100,000 EUR Koninklijke KPN NV 0.625% Reg S Sen 16/09.04.25 0 100,000 EUR Leonardo SpA 1.5% EMTN Sen Reg S 17/07.06.24 100,000 100,000 EUR London Stock Exchange Gr Plc 0.875% EMTN Sen 17/19.09.24 100,000 100,000 EUR Mediobanca SpA 0.625% EMTN Sen Reg S 17/27.09.22 100,000 100,000 EUR Mediobanca SpA 0.75% EMTN Reg S Sen 17/17.02.20 100,000 100,000 EUR Metro AG 1.5% EMTN Sen 15/19.03.25 0 200,000 EUR Mondi Finance PLC 1.5% EMTN Sen 16/15.04.24 0 100,000 EUR Morgan Stanley 1.75% EMTN Sen 15/30.01.25 0 100,000 EUR Morgan Stanley Co Intl Plc FRN MTN Ser G 16/03.12.19 0 150,000 EUR Morgan Stanley FRN MTN Ser G 16/27.01.22 0 150,000 EUR Morgan Stanley FRN Sen 14/19.11.19 0 100,000 EUR Morgan Stanley FRN Sen 17/08.11.22 100,000 100,000 EUR Nomura Europe Finance NV 1.5% EMTN Sen 14/12.05.21 0 100,000 EUR Orange SA 1% EMTN Reg S Sen 16/12.05.25 0 100,000 EUR Pernod-

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SELLA CAPITAL MANAGEMENT · Chairman Bruno AGOSTINI Chairman MIRET S.A. 16, Avenue de la Porte Neuve L-2227 LUXEMBOURG Members Carmine DA FERMO Manager SELLA GESTIONI S.G.R. S.p.A