2011 SEMI ANNUAL REPORT Russell Investment Company II plc · Russell Investment Company II plc...

2011 SEMI ANNUAL REPORT

30 September 2011 (Unaudited)

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

The Euro Fixed Income Fund

The Global Bond (Euro Hedged) Fund

The Pan European Equity Fund

The U.K. Equity Plus Fund

The U.S. Growth Fund

The U.S. Quant Fund

The U.S. Value Fund

The World Equity Fund

Russell Investment Company II plc

Contents

Contents

Administration of the Company ................................................................................................................................... 2 Background to the Company ....................................................................................................................................... 6 Combined Statements ................................................................................................................................................. 7 The Euro Fixed Income Fund .................................................................................................................................... 10 The Global Bond (Euro Hedged) Fund ....................................................................................................................... 27 The Pan European Equity Fund .................................................................................................................................. 60 The U.K. Equity Plus Fund .......................................................................................................................................... 75 The U.S. Growth Fund ................................................................................................................................................ 84 The U.S. Quant Fund .................................................................................................................................................. 94 The U.S. Value Fund ................................................................................................................................................... 110 The World Equity Fund ................................................................................................................................................ 120 Notes to the Financial Statements .............................................................................................................................. 147 Appendix I - Total Expense Ratio ................................................................................................................................ 187


Administration of the Company

2 Administration of the Company

Board of Directors of the Company Global Sub-Custodian

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

Mr. James Beveridge Copley Place

Mr. Peter Gunning 100 Huntington Avenue

Mr. Michael Hunt Boston, MA 02116

Mr. Neil Jenkins* United States of America

Mr. Paul McNaughton

Mr. William Roberts Promoter

Mr. Alan Schoenheimer Russell Implementation Services Inc.

Mr. David Shubotham 1301 Second Avenue

Mr. Kenneth Willman 18th

Floor

Seattle, WA 98101

Audit Committee Members United States of America

Mr. David Shubotham (Chairman)

Mr. Paul McNaughton Company Secretary Mr. William Roberts Bradwell Limited

Arthur Cox Building

Registered Office Earlsfort Centre

78 Sir John Rogerson’s Quay Earlsfort Terrace

Dublin 2 Dublin 2

Ireland Ireland

Manager Advisor and Distributor Russell Investments Ireland Limited Russell Investments Limited

78 Sir John Rogerson’s Quay Rex House

Dublin 2 10 Regent Street

Ireland London SW1Y 4PE

England

Independent Auditors

PricewaterhouseCoopers Money Managers for The Euro Fixed Income Fund Chartered Accountants and Registered Auditors Fidelity Investments International Limited

One Spencer Dock Oakhill House

North Wall Quay 130 Tonbridge Road

Dublin 1 Hildenborough

Ireland Tonbridge

Kent TN11 9DZ

Legal Advisers England

Arthur Cox

Earlsfort Centre Russell Implementation Services Inc.

Earlsfort Terrace Second Avenue

Dublin 2 18th

Floor

Ireland Seattle, WA 98101

United States of America

Administrator

State Street Fund Services (Ireland) Limited Robeco Institutional Asset Management BV

78 Sir John Rogerson’s Quay Coolsingel 120 NL

Dublin 2 3011 AG Rotterdam

Ireland The Netherlands

Custodian and Trustee Western Asset Management

State Street Custodial Services (Ireland) Limited 155 Bishopsgate

78 Sir John Rogerson’s Quay London EC2M 3XG

Dublin 2 England

Ireland

* Mr. Neil Jenkins was appointed as Director on 22 September 2011. Prior to his appointment he acted as permanent alternate Director for

Mr. Peter Gunning.


Administration of the Company - continued

Administration of the Company 3

Money Managers for The Global Bond (Euro Hedged) S. W. Mitchell Capital LLP

Fund 52 Jermyn Street,

Brookfield Investment Management Inc. 91 Brick Lane

Three World Financial Centre London SW1Y 6LX

200 Vesey Street England

New York, NY 10281-1010

United States of America TT International

Martin House

Colchester Global Investors Limited 5 Martin Lane

Heathcoat House London EC4R 0DP

20 Savile Row England

London W1S 3PR

England Taube Hodson Stonex Partners Ltd.

Cassini House, 1st Floor

Russell Implementation Services Inc. 57-59, St. James’ Street

1301 Second Avenue London SW1A 1LD

18th

Floor England

Seattle, WA 98101

United States of America Money Managers for The U.K. Equity Plus Fund BlackRock International Limited

Loomis, Sayles & Company, L.P. 40 Torphichen Street

One Financial Center Edinburgh EH3 8JB

Boston, MA 02111 Scotland


Ignis Asset Management

Pacific Investment Management Company, LLC 50 Bothwell Street

840 Newport Centre Drive, Suite 360 Glasgow G2 6HR

Newport Beach, CA 92658-6430 Scotland


Standard Life Investments

Money Managers for The Pan European Equity Fund 1 George Street

Russell Implementation Services Inc. Edinburgh EH2 2LL

Second Avenue Scotland

18th

Floor

Seattle, WA 98101 Money Managers for The U.S. Growth Fund United States of America Columbus Circle Investors

One Metro Center

Hermes Sourcecap Limited One Station Place, 8th

Floor South

1 Portsoken Street Stamford, CT 06902

London E1 8HZ United States of America

England

Russell Implementation Services Inc.

Invesco Asset Management Limited Second Avenue

30 Finsbury Square 18th

Floor

London EC2A 1AG Seattle, WA 98101

England United States of America

Numeric Investors, L.P. Suffolk Capital Management, LLC

1 Memorial Drive 1633 Broadway, 40th

Floor

Cambridge, MA 02142 New York, NY 10019

United States of America United States of America

Oechsle International Advisors, LLC Sustainable Growth Advisers, L.P.

1 International Place, 23rd

Floor 310 Tresser Boulevard, Suite 1310

Boston, MA, 02110 Stamford, CT 06901


Pzena Investment Management

120 West 45th

Street, 20th

Floor

New York, NY 10036




4 Administration of the Company

Waddell and Reed Money Managers for The World Equity Fund 6300 Lamar Avenue Arrowstreet Capital, L.P.

Post Office Box 29217 44 Brattle Street, 5th

Floor

Shawnee Mission, KS 66201-9217 Cambridge, MA 02138


Money Managers for The U.S. Quant Fund Axiom International Investors, LLC

Aronson and Johnson and Ortiz, L.P. 55 Railroad Avenue, 3rd

Floor

230 South Broad Street, 20th

Floor Greenwich, CT 06830

Philadelphia, PA 19102 United States of America



Russell Implementation Services Inc. 1301 Second Avenue

1301 Second Avenue 18th

Floor

18th

Floor Seattle, WA 98101

Seattle, WA 98101 United States of America


Marisco Capital Management, LLC

Jacobs Levy Equity Management Inc. 1200 17th

Street, Suite 1600

100 Campus Drive, P.O. Box 650 Denver, CO 80202

Florham Park, NJ 07932-0650 United States of America


MFS Investment Management

Numeric Investors, L.P 500 Boylston Street

1 Memorial Drive Boston, MA 02116

Cambridge, MA 02142 United States of America


Tradewinds NWQ Global Investors, LLC

PanAgora Asset Management 2049 Century Park East, 18th

Floor

470 Atlantic Avenue Los Angeles, CA 90067

8th

Floor United States of America

Boston, MA 02210

United States of America Paying and Information Agent in Austria UniCredit Bank Austria AG

Money Managers for The U.S. Value Fund Schottengasse 6-8

Armstrong Shaw Associates 1010 Vienna

45 Grove Street Austria

New Canaan, CT 06840

United States of America Paying and Information Agent in France Société Générale

DePrince, Race & Zollo Inc. 29, boulevard Haussmann

250 Park Avenue South, Suite 250 75009 Paris

Winter Park, FL 32789 France


Paying and Information Agent in Germany* Russell Implementation Services Inc. Deutsche Bank AG

1301 Second Avenue Junghofstrasse 5-9

18th

Floor 60311 Frankfurt am Main

Seattle, WA 98101 Germany


Paying and Information Agent in Italy Snow Capital Management BNP Paribas Securities Services, Milan Branch

2100 Georgetowne Drive Via Ansperto 5

Suite 400 20121 Milan

Sewickley, PA 15143 Italy


Paying Agent in Italy Systematic Financial Management, L.P. SGSS S.p.A

300 Frank W. Burr Boulevard Via Benigno Crespi, 19/A-MAC2

Glenpoint East, 7th

Floor 20159 Milan

Teaneck, NJ 07666-6703 Italy




Administration of the Company 5

Information Agent and Representative in the

Netherlands

Deutsche Bank AG, Amsterdam branch

Herengracht 450 - 454

1017 CA Amsterdam

The Netherlands

* The Company’s Memorandum and Articles of Association, the prospectus, the simplified prospectus, the unaudited semi-annual reports, as

well as the audited annual reports can be obtained free of charge from the office of the paying and information agent. The net asset value of

each of the Funds and the subscription and redemption prices of the shares of the Funds are published jointly and daily in the “Börsen

Zeitung” for information purposes only and do not constitute an invitation to subscribe for or repurchase the Company’s shares at those prices.


Background to the Company

6 Background to the Company

Russell Investment Company II plc (the “Company”) was incorporated on 1 November 2000 and operates in Ireland as a public

limited company under the Companies Acts 1963 to 2009. It is authorised by the Central Bank of Ireland (the “Central Bank”)

and it was first authorised on 8 November 2000.

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

European Communities (Undertakings for Collective Investment in Transferable Securities) Regulations, 2011 (the

“Regulations”).

The Company is organised in the form of an umbrella fund with segregated liability between sub-funds and as at 30 September

2011 has ten constituent funds (each a “Fund”, collectively the “Funds”) and various classes of shares.

Net assets under management for the Funds at 30 September 2011 amounted to EUR 3,638,567,258 (year ended 31 March 2011:

EUR 3,748,815,433, six months ended 30 September 2010: EUR 3,301,588,485) broken down as follows:

Fund

Funded during

the year ended

Functional

Currency

Net Assets

30 September 2011

Net Assets

31 March 2011

Net Assets

30 September 2010

The Euro Fixed Income Fund 31 March 2002 EUR 218,509,239 199,992,439 191,678,242

The Global Bond (Euro Hedged) Fund 31 March 2002 EUR 430,971,372 415,815,867 392,029,678

The Pan European Equity Fund 31 March 2002 EUR 359,198,797 178,529,256 166,123,532

The U.K. Equity Plus Fund 31 March 2007 GBP 119,782,490 133,896,751 133,296,985

The U.S. Growth Fund 31 March 2002 USD 144,169,437 177,803,376 186,752,354

The U.S. Quant Fund 31 March 2002 USD 131,816,098 169,368,501 178,659,173

The U.S. Value Fund 31 March 2002 USD 178,676,108 232,841,933 224,909,400

The World Equity Fund 31 March 2005 USD 2,887,261,998 3,398,055,869 2,683,290,226

The Emerging Markets Extended Opportunities Fund and The U.S. Equity Plus Fund are currently unfunded and consequently

there is no financial information pertaining to these Funds.

Introductory Manager’s Report

Russell Investments Limited (the “Advisor”) is a pioneer in the innovative approach of multi-asset, multi-style and multi-manager

diversification. The objective of these Funds is to deliver consistent and superior returns to investors using a multi-manager

approach to reduce performance volatility. The Advisor seeks to achieve this in the Funds which primarily invest in equities, by

building a portfolio where the market bets (sector, size, style and other biases) are controlled using portfolio analytics and

simulation tools to check the “fit” between managers to whom the Fund’s assets are allocated, thereby minimising costly overlap.

The main source of value-added for the funds which primarily invest in equities is stock selection. The research of the Advisor

indicates that this is the most reliable and consistent source of outperformance. The Advisor seeks to achieve the investment

objective in the Funds which primarily invest in debt instruments by building a fund structure where the market bets (country,

currency, duration, style and other biases) are controlled, using a team of managers with distinct and complementary investment

approaches. The main sources of value-added for the funds which primarily invest in debt instruments are currency and duration

positions.


Combined Balance Sheet

As at 30 September 2011

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

Combined Balance Sheet 7

Total

30 September 2011

(Unaudited)

EUR

Total

31 March 2011

(Audited)

EUR

Total

30 September 2010

(Unaudited)

EUR

Assets

Financial assets at fair value through profit or loss ............................................. 3,633,939,943 3,683,570,853 3,309,604,060

Cash at bank ........................................................................................................................... 38,109,852 22,433,055 20,486,128

Cash held with brokers and counterparties for open derivative

positions ................................................................................................................................. 13,421,628 12,947,248 13,358,771

Consolidated eSec SFT Fund and SFT Managed Account at fair

value ...................................................................................................................................... 1,675,734 454,051 2,255,252

Cash received as collateral and invested relating to securities

lending transactions ............................................................................................................... 273,356,797 200,586,567 191,979,191

Broker cash held as collateral for financial derivative

instruments transactions ......................................................................................................... 1,028,546 1,944,895 4,827,129

Debtors:

Receivable for investments sold .................................................................................. 25,420,063 23,784,796 67,075,156

Receivable on fund shares issued ................................................................................. 15,764,154 41,989,858 72,006

Dividends receivable .................................................................................................... 4,702,066 5,107,675 4,400,057

Interest receivable ........................................................................................................ 5,434,408 8,023,226 7,696,641

4,012,853,191 4,000,842,224 3,621,754,391

Liabilities

Financial liabilities at fair value through profit or loss .......................................................... (58,680,406) (21,555,951) (30,807,030)

Creditors – amounts falling due within one year:

Cash due to brokers and counterparties for open derivative

positions ....................................................................................................................... (580,021) (552,214) (6,558,966)

Cash invested in SFT Collective Investment Fund due to

counterparties for securities lending transactions ........................................................ - - (2,196,279)

Cash due to counterparties for securities lending transactions ..................................... (273,356,797) (200,586,567) (191,979,191)

Broker cash due to counterparties for financial derivative

instrument transactions ................................................................................................ (1,028,546) (1,944,895) (4,827,129)

Payable to Lehman ....................................................................................................... - - (71,243)

Payable for investments purchased .............................................................................. (40,870,788) (23,606,690) (80,017,075)

Payable on fund shares redeemed ................................................................................ (91,621) (1,296,047) (2,027,634)

Management fees payable ............................................................................................ (2,840,368) (2,916,089) (2,477,030)

Performance fees payable ............................................................................................ (1,073,763) (1,483,660) (1,205,634)

Custodian and Trustee fees payable ............................................................................. (34,515) (37,510) (33,741)

Sub-custodian fees payable .......................................................................................... (166,958) (158,451) (159,432)

Administration fees payable ......................................................................................... (71,369) (71,193) (61,942)

Audit fees payable ........................................................................................................ (88,767) (163,824) (99,489)

Miscellaneous fees payable .......................................................................................... (160,138) (100,864) (178,451)

(379,044,057) (254,473,955) (322,700,266)

Net assets attributable to redeemable participating

shareholders (at bid market prices) ........................................................................... 3,633,809,134 3,746,368,269 3,299,054,125

Adjustment from bid market prices to last traded market

prices .............................................................................................................................. 4,758,124 2,447,164 2,534,360


shareholders (at last traded market prices) ............................................................... 3,638,567,258 3,748,815,433 3,301,588,485


Combined Profit and Loss Account

For the six months ended 30 September 2011


8 Combined Profit and Loss Account

Total

Six months ended

30 September 2011

(Unaudited)

EUR

Total

Year ended

31 March 2011

(Audited)

EUR

Total

Six months ended

30 September 2010

(Unaudited)

EUR

Income

Dividends ..................................................................................................................... 41,399,834 57,731,641 33,833,120

Bond interest ................................................................................................................ 12,410,957 21,561,377 11,644,652

Bank and short term investment interest ...................................................................... 25,022 27,420 14,526

Securities lending income ............................................................................................ 1,590,141 2,080,755 1,641,272

Miscellaneous income .................................................................................................. 45,422 252,071 157,949

55,471,376 81,653,264 47,291,519

Net gain (loss) on investment activities ......................................................................... (620,305,031) 394,333,023 (987,367)

Total investment income (expense) ............................................................................. (564,833,655) 475,986,287 46,304,152

Expenses

Management fees ......................................................................................................... (18,093,579) (32,761,973) (15,822,510)

Performance fees .......................................................................................................... 440,626 (889,199) (433,117)

Custodian and Trustee fees .......................................................................................... (321,252) (624,097) (317,747)

Sub-custodian fees ....................................................................................................... (567,402) (1,086,329) (537,361)

Administration and transfer agency fees ...................................................................... (831,351) (1,606,122) (817,241)

Audit fees ..................................................................................................................... (88,767) (163,824) (99,489)

Professional fees .......................................................................................................... (177,226) (292,161) (145,226)

Miscellaneous fees ....................................................................................................... (460,232) (810,454) (429,572)

Total operating expenses .............................................................................................. (20,099,183) (38,234,159) (18,602,263)

Net income (expense) .................................................................................................... (584,932,838) 437,752,128 27,701,889

Finance costs

Distributions ................................................................................................................. (27,513,314) (35,938,633) (24,150,566)

Interest expense ............................................................................................................ (34,203) (35,256) (22,879)

Profit (loss) for the financial period/year/period before

taxation .......................................................................................................................... (612,480,355) 401,778,239 3,528,444

Taxation

Capital gains tax ........................................................................................................... - (205,863) (212,603)

Withholding tax ........................................................................................................... (6,268,278) (10,114,803) (5,367,832)

Profit (loss) for the financial period/year/period after

taxation .......................................................................................................................... (618,748,633) 391,457,573 (2,051,991)

Movement in adjustment from bid market prices to last

traded market prices .................................................................................................... 2,310,960 (1,131,634) (1,044,438)

Net increase (decrease) in net assets attributable to

redeemable participating shareholders resulting from

operations ...................................................................................................................... (616,437,673) 390,325,939 (3,096,429)

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

Account.


Combined Statement of Changes in Net Assets Attributable to Redeemable Participating

Shareholders



Combined Statement of Changes in Net Assets Attributable to Redeemable Participating Shareholders 9

Total

Six months ended

30 September 2011

(Unaudited)

EUR

Total

Year ended

31 March 2011

(Audited)

EUR

Total

Six months ended

30 September 2010

(Unaudited)

EUR



operations ...................................................................................................................... (616,437,673) 390,325,939 (3,096,429)

Share transactions

Net increase (decrease) in net assets resulting from redeemable

participating share transactions .................................................................................... 345,642,464 (44,232,369) (224,817,816)

Reinvestment of deemed distributions on accumulation shares ................................... 24,365,986 30,486,055 21,111,527

Total net increase (decrease) in net assets attributable to

redeemable participating shareholders ....................................................................... (246,429,223) 376,579,625 (206,802,718)

Currency translation ..................................................................................................... 136,181,048 (140,694,933) (4,539,538)


shareholders

Beginning of period/year/period .................................................................................. 3,748,815,433 3,512,930,741 3,512,930,741

End of period/year/period ............................................................................................ 3,638,567,258 3,748,815,433 3,301,588,485



Manager’s Report

10 The Euro Fixed Income Fund

Money Managers Fidelity Investments International Limited


Robeco Institutional Asset Management BV

Western Asset Management

Investment Objective The investment objective of The Euro Fixed Income Fund (the “Fund”) is to provide income and capital growth by investing

primarily in Euro denominated transferable debt instruments, which include, but are not limited to, municipal and government

bonds, agency debt (being that issued by local authorities or public international bodies of which one or more states is a member),

mortgage related debt and corporate debt that are listed, traded or dealt in on a regulated market in the Organisation for Economic

Co-operation and Development (“OECD”) and which may have fixed or floating interest rates.

Fund Performance

During the six months ended 30 September 2011, the Fund returned 2.9 per cent on a gross-of-fee basis (2.4 per cent on a net-of-

fee basis), while the benchmark* returned 4.5 per cent.

Market Comment

The Citigroup EuroBIG Index gained 1.4 per cent in Euro terms during the second quarter of 2011. Major government bond

markets generally fared well in an environment in which investors became increasingly fearful of a default by Greece. Credit

markets struggled to perform after peaking in mid-April. As discussions between politicians and central bankers dragged on

through May and June, European credit markets became increasingly worried that the E.U. and IMF would not release the next

tranche of bailout money to Greece in early July. As this deadline approached, spreads over government bonds steadily widened

as risk appetite faded, and the market closed to new bonds from all but the most secure borrowers. In the final week of June,

however, the Greek government passed new austerity measures that would pave the way for the release of the bailout funds. The

sense of relief was felt keenly in credit markets: the market rallied and new issues were lined up quickly for July launches. The

government bond market was sensitive to the same dominant theme. In the period when risk aversion was at its strongest, a flight

to quality supported German bunds. In the final week of June, other European bond markets took part in the relief rally.

The Citigroup EuroBIG Index returned 3.1 per cent in Euro terms during the third quarter of 2011. European corporate bond

markets underperformed government bonds, as the Euro debt crisis undermined investor confidence in riskier assets. Risk

aversion accelerated from early July onwards, as economic data worsened in core Europe and the U.S. Meanwhile, the eurozone

debt crisis continued as politicians seemed unable to find a satisfactory resolution to the problems facing Greece. Corporate bonds

were hit hard. Spreads over government bonds spiked higher, especially in the high yield market and new issues were virtually

non-existent in Europe. In September alone, there were only two new high-yield issues in Europe, from two strong BB-rated

German companies. Despite this, the outlook for defaults among high-yield issuers has remained good. Rating agency Moody‟s

reported that the global high-yield default rate had actually fallen to 1.8 per cent in August, from 1.9 per cent the previous month

despite recent market turbulence. The European default rate was even lower and remained unchanged at 1.1 per cent in August.

General Comment on Money Manager/Performance

The Fund finished behind of the benchmark during the six month period, losing 1.6 per cent per annum.

Robeco Institutional Asset Management BV underperformed the benchmark but finished as the best-performing manager over the

period, driven largely by its outperformance in the third quarter of 2011. The Money Manager‟s security selection detracted the

most from portfolio returns. An overweight to credit, especially financial debt detracted from portfolio returns in August and

September. In contrast, an overweight to the Netherlands, as well as an underweight to Spanish and Italian debt pared losses.

Western Asset Management lost momentum over the period. Performance suffered from a duration underweight as yields fell

over the period. Elsewhere, high beta securities and issue selection detracted further.

Outlook

The dominant characteristic of capital markets in 2010 was the tug-of-war between headline-grabbing risks and the less

sensational, but far from trivial, global economic expansion and corporate earnings growth story. At Russell Investments, we

think it is reasonable to expect a similar pattern in 2011. Our forecasts continue to suggest a slow, grinding economic recovery

that will be the backdrop for strength in global corporate profits and strong corporate balance sheets. But we also expect periodic

headline risks to cause volatility spikes, and that these are likely to punctuate capital market moves.

For 2011, we have identified a central (highest probability) scenario; the „square root sign-shaped recovery‟ is likely to continue.

We expect equity valuations to support some modest upside, with risky assets having a moderate year. We expect the risk of

inflation in the U.S. to remain relatively benign, and that quantitative easing in late 2010 will succeed in avoiding deflation. And

with deflation mostly off the table, we also expect that bond markets in the core will experience a mild sell off.



Manager’s Report - continued

The Euro Fixed Income Fund 11

Past performance is no indication of current or future performance.

* Benchmark Source: Citigroup EuroBIG Index

Russell Investments Ireland Limited

November 2011



Balance Sheet




30 September 2011

(Unaudited)

EUR

31 March 2011

(Audited)

EUR

30 September 2010

(Unaudited)

EUR

Assets

Financial assets at fair value through profit or loss (Note 1) ........................................... 216,543,317 190,088,477 186,256,700

Cash at bank (Note 5) ...................................................................................................... 2,205,914 4,604,848 5,347,522


positions (Note 5) ............................................................................................................ 1,082,180 658,237 624,673


lending transactions (Note 4) ........................................................................................... 61,074,887 22,922,921 31,814,073

Debtors:

Receivable for investments sold .................................................................................... 4,898,012 3,891,886 2,032,503

Receivable on fund shares issued .................................................................................. - 2,315,523 -

Interest receivable ......................................................................................................... 3,304,745 2,989,430 2,788,552

289,109,055 227,471,322 228,864,023

Liabilities

Financial liabilities at fair value through profit or loss (Note 1) ..................................... (2,453,513) (1,251,514) (2,218,180)



positions (Note 5) .......................................................................................................... - (2,695) (232,716)

Cash due to counterparties for securities lending transactions

(Note 4) ......................................................................................................................... (61,074,887) (22,922,921) (31,814,073)

Payable for investments purchased ............................................................................... (7,227,458) (3,293,609) (2,676,599)

Payable on fund shares redeemed ................................................................................. (2,986) (94,154) (401,981)

Management fees payable ............................................................................................. (112,673) (109,898) (102,164)

Custodian and Trustee fees payable .............................................................................. (2,689) (2,509) (2,357)

Sub-custodian fees payable ........................................................................................... (14,539) (10,618) (8,737)

Administration fees payable .......................................................................................... (4,481) (4,182) (3,928)

Audit fees payable ......................................................................................................... (9,367) (16,668) (9,178)

Miscellaneous fees payable ........................................................................................... (7,693) (4,960) (15,121)

(70,910,286) (27,713,728) (37,485,034)


shareholders (at bid market prices) ............................................................................. 218,198,769 199,757,594 191,378,989


prices ............................................................................................................................... 310,470 234,845 299,253


shareholders (at last traded market prices) ................................................................. 218,509,239 199,992,439 191,678,242



Profit and Loss Account




Six months ended

30 September 2011

(Unaudited)

EUR

Year ended

31 March 2011

(Audited)

EUR

Six months ended

30 September 2010

(Unaudited)

EUR

Income

Dividends ...................................................................................................................... 20,286 9,274 493

Bond interest ................................................................................................................. 4,000,978 6,639,997 3,723,588

Bank and short term investment interest ....................................................................... 14,954 16,005 9,965

Securities lending income (Note 4) ............................................................................... 43,812 66,949 38,367

Miscellaneous income ................................................................................................... - 6,812 4,233

4,080,030 6,739,037 3,776,646

Net gain (loss) on investment activities ........................................................................... 2,369,689 (5,697,992) 3,797,961

Total investment income (expense) .............................................................................. 6,449,719 1,041,045 7,574,607

Expenses

Management fees (Note 3) ............................................................................................ (728,517) (1,238,173) (638,953)

Custodian and Trustee fees (Note 3) ............................................................................. (22,148) (38,980) (20,569)

Sub-custodian fees (Note 3) .......................................................................................... (47,260) (81,081) (41,644)

Administration and transfer agency fees (Note 3) ......................................................... (55,702) (104,549) (55,987)

Audit fees ...................................................................................................................... (9,367) (16,668) (9,178)

Professional fees ........................................................................................................... (10,430) (18,172) (9,131)

Miscellaneous fees ........................................................................................................ (33,014) (53,242) (28,587)

Total operating expenses ............................................................................................... (906,438) (1,550,865) (804,049)

Net income (expense) ..................................................................................................... 5,543,281 (509,820) 6,770,558

Finance costs

Distributions (Note 15) ................................................................................................. (3,114,451) (6,218,998) (3,143,426)

Interest expense ............................................................................................................. (3,748) (10,782) (9,758)


taxation ........................................................................................................................... 2,425,082 (6,739,600) 3,617,374

Taxation

Withholding tax (Note 7) .............................................................................................. (3,282) (4,275) (3,864)


taxation ........................................................................................................................... 2,421,800 (6,743,875) 3,613,510


traded market prices ..................................................................................................... 75,625 (101,123) (36,715)



operations ....................................................................................................................... 2,497,425 (6,844,998) 3,576,795


Account.



Statement of Changes in Net Assets Attributable to Redeemable Participating Shareholders




Six months ended

30 September 2011

(Unaudited)

EUR

Year ended

31 March 2011

(Audited)

EUR

Six months ended

30 September 2010

(Unaudited)

EUR



operations ....................................................................................................................... 2,497,425 (6,844,998) 3,576,795

Share transactions


participating share transactions (Note 6) ...................................................................... 14,098,626 9,262,419 (7,475,749)

Reinvestment of deemed distributions on accumulation shares

(Note 15) ....................................................................................................................... 1,920,749 4,090,677 2,092,855


redeemable participating shareholders ........................................................................ 18,516,800 6,508,098 (1,806,099)


shareholders

Beginning of period/year/period ................................................................................... 199,992,439 193,484,341 193,484,341

End of period/year/period ............................................................................................. 218,509,239 199,992,439 191,678,242



Schedule of Investments

30 September 2011



Principal

Amount

Fair Value

EUR

Fund

%

Transferable Securities (92.79%)

Long Term Bonds and Notes (89.35%)

Australia (0.23%)

Commonwealth Bank of

Australia

EUR 200,000 5.500% due 06/08/19 ........ 201,110 0.09

Westfield Group

300,000 3.625% due 27/06/12 ........ 302,643 0.14

503,753 0.23

Austria (1.59%)

Austria, Republic of

267,000 3.500% due 15/07/15 ........ 285,231 0.13

1,550,000 4.000% due 15/09/16 ........ 1,705,201 0.78

375,000 4.650% due 15/01/18 ........ 427,264 0.19

178,000 3.500% due 15/09/21 ........ 190,439 0.09

600,000 3.650% due 20/04/22 ........ 647,089 0.30

200,000 4.150% due 15/03/37 ........ 229,926 0.10

3,485,150 1.59

Belgium (5.85%)

Anheuser-Busch InBev NV

150,000 8.625% due 30/01/17 ........ 190,457 0.09

438,000 4.000% due 02/06/21 ........ 446,576 0.21

Barry Callebaut Services NV

300,000 5.375% due 15/06/21 ........ 290,496 0.13

Belgium, Kingdom of

907,000 4.000% due 28/03/13 ........ 939,522 0.43

1,406,000 3.500% due 28/03/15 ........ 1,450,101 0.66

2,500,000 2.750% due 28/03/16 ........ 2,494,625 1.14

700,000 3.250% due 28/09/16 ........ 709,898 0.33

400,000 4.000% due 28/03/17 ........ 416,839 0.19

1,140,000 4.000% due 28/03/19 ........ 1,187,538 0.54

2,890,000 4.250% due 28/09/21 ........ 3,039,153 1.39

1,052,000 5.500% due 28/03/28 ........ 1,238,877 0.57

150,000 5.000% due 28/03/35 ........ 168,905 0.08

200,000 4.250% due 28/03/41 ........ 201,516 0.09

12,774,503 5.85

Brazil (0.04%)

Banco do Brasil SA

100,000 4.500% due 20/01/16 ........ 97,000 0.04

Canada (0.37%)

Teck Resources Ltd

USD 200,000 3.150% due 15/01/17 ........ 149,940 0.07

Xstrata Finance Canada Ltd

EUR 384,000 5.250% due 13/06/17 ........ 389,017 0.18

GBP 200,000 7.375% due 27/05/20 ........ 262,715 0.12

801,672 0.37

Cayman Islands (0.59%)

Thames Water Utilities

Cayman Finance

610,000 6.125% due 04/02/13 ........ 641,706 0.29

Principal

Amount

Fair Value

EUR

Fund

%

650,000 3.250% due 09/11/16 ........ 650,608 0.30

1,292,314 0.59

Czech Republic (0.18%)

CEZ

400,000 4.875% due 16/04/25 ........ 400,274 0.18

Denmark (0.28%)

TDC

100,000 3.500% due 23/02/15 ........ 101,751 0.05

500,000 4.375% due 23/02/18 ........ 514,415 0.23

616,166 0.28

Finland (0.73%)

Finland Government

Bond

222,000 4.250% due 04/07/15 ........ 246,269 0.11

250,000 3.375% due 15/04/20 ........ 272,135 0.12

200,000 4.000% due 04/07/25 ........ 228,886 0.11

Nordea Bank Finland Plc

450,000 2.250% due 16/11/15 ........ 449,979 0.21

400,000 2.375% due 02/09/16 ........ 398,404 0.18

1,595,673 0.73

France (15.29%)

Alstom SA

200,000 3.625% due 05/10/18 ........ 189,218 0.09

300,000 4.500% due 18/03/20 ........ 293,388 0.13

Areva SA

200,000 4.625% due 05/10/17 ........ 200,018 0.09

Arkema SA

200,000 4.000% due 25/10/17 ........ 195,427 0.09

Banque PSA Finance

50,000 3.250% due 26/11/12 ........ 49,858 0.02

150,000 4.000% due 19/07/13 ........ 149,624 0.07

200,000 3.625% due 17/09/13 ........ 197,504 0.09

200,000 3.500% due 17/01/14 ........ 194,531 0.09

BNP Paribas

50,000 4.375% due 22/01/19 ........ 47,598 0.02

BNP Paribas Home Loan

Covered Bonds

150,000 4.125% due 15/01/14 ........ 155,216 0.07

500,000 2.500% due 09/06/15 ........ 494,345 0.23

BPCE SA

100,000 3.750% due 21/07/17 ........ 97,106 0.04

100,000 12.500% due 29/09/49 ...... 92,192 0.04

Caisse Refinancement de

l'Habitat

500,000 5.000% due 08/04/19 ........ 557,051 0.26

Carrefour

350,000 3.875% due 25/04/21 ........ 331,385 0.15

Casino Guichard

Perrachon

100,000 6.375% due 04/04/13 ........ 104,679 0.05



Schedule of Investments - continued

30 September 2011



Principal

Amount

Fair Value

EUR

Fund

%

Cie de Saint-Gobain

50,000 4.750% due 11/04/17 ........ 51,331 0.02

340,000 4.500% due 30/09/19 ........ 332,010 0.15

CM-CIC Covered Bonds

600,000 3.125% due 21/01/15 ........ 608,581 0.28

300,000 4.375% due 17/03/21 ........ 317,127 0.15

Compagnie de Financement

Foncier

590,000 4.875% due 25/05/21 ........ 638,468 0.29

Credit Agricole Home Loan

SFH

300,000 3.500% due 21/07/14 ........ 307,034 0.14

700,000 4.500% due 29/01/16 ........ 743,848 0.34

Credit Agricole SA

150,000 3.900% due 19/04/21 ........ 113,421 0.05

100,000 5.125% due 18/04/23 ........ 98,380 0.05

100,000 7.875% due 29/10/49 ........ 69,875 0.03

Danone

500,000 2.500% due 29/09/16 ........ 503,260 0.23

EDF

600,000 4.625% due 26/04/30 ........ 588,738 0.27

150,000 4.500% due 12/11/40 ........ 142,641 0.07

Eutelsat SA

450,000 4.125% due 27/03/17 ........ 454,207 0.21

FCC Proudreed

Properties

237,495 1.766% due 18/08/17 ........ 210,183 0.09

France Telecom

28,000 7.250% due 28/01/13 ........ 29,885 0.01

50,000 5.625% due 22/05/18 ........ 56,597 0.03

France, Republic of

4,400,000 4.000% due 25/04/18 ........ 4,910,280 2.25

210,000 3.500% due 25/04/20 ........ 227,086 0.10

4,200,000 3.250% due 25/10/21 ........ 4,432,132 2.03

286,000 4.250% due 25/10/23 ........ 326,715 0.15

750,000 6.000% due 25/10/25 ........ 1,002,590 0.46

1,150,000 4.750% due 25/04/35 ........ 1,406,381 0.64

795,000 4.500% due 25/04/41 ........ 955,741 0.44

1,030,000 4.000% due 25/04/55 ........ 1,148,203 0.53

420,000 4.000% due 25/04/60 ........ 467,116 0.21

French Treasury Note

BTAN

250,000 3.750% due 12/01/13 ........ 259,415 0.12

4,450,000 2.250% due 25/02/16 ........ 4,570,417 2.09

GCE Covered Bonds

200,000 2.750% due 14/01/15 ........ 200,431 0.09

GDF Suez

70,000 5.625% due 18/01/16 ........ 78,628 0.04

150,000 3.500% due 18/10/22 ........ 147,418 0.07

170,000 5.950% due 16/03/21 ........ 163,472 0.07

HSBC Covered Bonds

France

400,000 3.375% due 20/01/17 ........ 410,217 0.19

Principal

Amount

Fair Value

EUR

Fund

%

Iliad SA

500,000 4.875% due 01/06/16 ........ 486,660 0.22

Korreden SA

53,333 11.000% due 01/08/14 ...... 16,000 0.01

Pernod-Ricard SA

200,000 4.875% due 18/03/16 ........ 200,770 0.09

RCI Banque

200,000 4.000% due 11/07/13 ........ 199,958 0.09

300,000 3.250% due 17/01/14 ........ 290,444 0.13

Rhodia SA

85,607 4.355% due 15/10/13 ........ 85,286 0.04

RTE EDF Transport

300,000 4.125% due 03/02/21 ........ 313,848 0.14

Safran SA

250,000 4.000% due 26/11/14 ........ 251,413 0.12

Societe Fonciere Lyonnaise

SA

200,000 4.625% due 25/05/16 ........ 191,966 0.09

Societe Generale SCF

100,000 3.000% due 31/03/15 ........ 93,826 0.04

100,000 4.000% due 20/04/16 ........ 95,435 0.04

500,000 4.000% due 07/07/16 ........ 521,316 0.24

100,000 6.999% due 29/12/49 ........ 54,821 0.03

Suez Environnement

400,000 6.250% due 08/04/19 ........ 474,952 0.22

Total Infrastructures Gaz

France SA

400,000 4.339% due 07/07/21 ........ 418,154 0.19

Valeo

200,000 4.875% due 11/05/18 ........ 190,538 0.09

Vivendi SA

200,000 3.500% due 13/07/15 ........ 200,915 0.09

33,407,270 15.29

Germany (15.25%)

Bayerische Landesbank

430,000 2.750% due 23/01/12 ........ 431,978 0.20

Bayern LB Capital Trust I

USD 400,000 6.203% due 29/03/49 ........ 89,588 0.04

Bundesobligation

EUR 4,387,000 2.000% due 26/02/16 ........ 4,568,797 2.09

Commerzbank AG

560,000 2.750% due 13/01/12 ........ 562,408 0.26

Daimler AG

110,000 4.625% due 02/09/14 ........ 116,629 0.05

European Community

450,000 3.125% due 27/01/15 ........ 471,860 0.22

Germany, Federal Republic

of

2,060,000 3.500% due 14/10/11 ........ 2,061,545 0.94

300,000 4.500% due 04/01/13 ........ 315,165 0.14

4,801,000 2.250% due 11/04/14 ........ 5,002,978 2.29




30 September 2011



Principal

Amount

Fair Value

EUR

Fund

%

5,080,000 3.750% due 04/01/15 ........ 5,561,746 2.55

140,000 3.250% due 04/07/15 ........ 152,212 0.07

642,000 3.500% due 04/01/16 ........ 708,723 0.32

310,000 4.250% due 04/07/17 ........ 360,249 0.16

185,000 4.000% due 04/01/18 ........ 213,903 0.10

200,000 3.750% due 04/01/19 ........ 230,295 0.11

110,000 3.250% due 04/01/20 ........ 123,269 0.06

1,900,000 3.250% due 04/07/21 ........ 2,134,707 0.98

350,000 6.250% due 04/01/24 ........ 503,674 0.23

500,000 6.500% due 04/07/27 ........ 762,745 0.35

980,000 4.750% due 04/07/28 ........ 1,275,343 0.58

50,000 5.500% due 04/01/31 ........ 71,399 0.03

677,000 4.750% due 04/07/34 ........ 913,845 0.42

950,000 4.250% due 04/07/39 ........ 1,241,811 0.57

3,540,000 3.250% due 04/07/42 ........ 3,987,845 1.82

Hella KGaA Hueck &

Co

200,000 7.250% due 20/10/14 ........ 209,984 0.10

HSE Netz AG

100,000 6.125% due 23/04/41 ........ 105,595 0.05

MAN SE

41,000 7.250% due 20/05/16 ........ 47,783 0.02

Merck Financial Services

GmbH

400,000 4.500% due 24/03/20 ........ 422,236 0.19

Muenchener

Rueckversicherungs AG

400,000 6.000% due 26/05/41 ........ 342,027 0.16

100,000 5.767% due 29/06/49 ........ 79,333 0.04

SAP AG

50,000 3.500% due 10/04/17 ........ 50,799 0.02

Volkswagen Bank

GmbH

50,000 2.375% due 28/06/13 ........ 50,294 0.02

Volkswagen Leasing

GmbH

150,000 4.875% due 18/10/12 ........ 154,318 0.07

33,325,083 15.25

Ireland (0.53%)

GE Capital

350,000 4.250% due 01/03/17 ........ 355,222 0.16

250,000 6.000% due 15/01/19 ........ 277,049 0.13

64,000 5.375% due 23/01/20 ........ 68,209 0.03

Quirinus

473,699 1.805% due 15/02/19 ........ 331,590 0.15

208,328 1.945% due 15/02/19 ........ 135,413 0.06

1,167,483 0.53

Italy (7.96%)

Assicurazioni Generali

SpA

GBP 150,000 6.269% due 29/06/49 ........ 87,187 0.04

Banco Popolare SC

EUR 250,000 3.250% due 30/09/15 ........ 230,563 0.11

Principal

Amount

Fair Value

EUR

Fund

%

ENI

150,000 3.500% due 29/01/18 ........ 144,420 0.07

Intesa Sanpaolo SpA

1,000,000 3.500% due 27/11/13 ........ 956,944 0.44

200,000 4.125% due 14/01/16 ........ 185,359 0.08

200,000 4.375% due 16/08/16 ........ 194,814 0.09

150,000 5.750% due 28/05/18 ........ 126,724 0.06

Italfinance Securitisation

Vehicle SRL - A -

269,851 1.719% due 14/01/26 ........ 244,294 0.11

Italy, Republic of

812,000 3.750% due 15/12/13 ........ 800,201 0.37

2,300,000 4.250% due 01/07/14 ........ 2,279,243 1.04

683,000 3.750% due 01/08/15 ........ 663,983 0.30

1,900,000 3.750% due 01/08/16 ........ 1,812,505 0.83

350,000 4.000% due 01/02/17 ........ 335,009 0.15

1,700,000 4.250% due 01/03/20 ........ 1,564,930 0.72

2,140,000 4.750% due 01/09/21 ........ 2,026,837 0.93

1,800,000 5.000% due 01/03/22 ........ 1,696,590 0.78

545,000 4.750% due 01/08/23 ........ 492,594 0.22

207,000 4.500% due 01/03/26 ........ 174,700 0.08

32,000 6.500% due 01/11/27 ........ 32,138 0.01

3,515,000 5.000% due 01/09/40 ........ 2,883,987 1.32

Telecom Italia SpA

200,000 5.250% due 17/03/55 ........ 131,018 0.06

UniCredit

100,000 5.750% due 26/09/17 ........ 86,223 0.04

300,000 6.125% due 19/04/21 ........ 237,655 0.11

17,387,918 7.96

Japan (0.11%)

Sumitomo Mitsui Banking

USD 300,000 3.100% due 14/01/16 ........ 230,396 0.11

Jersey, Channel Islands (0.04%)

UBS AG

EUR 100,000 4.500% due 16/09/19 ........ 88,249 0.04

Luxembourg (3.54%)

ArcelorMittal

150,000 9.375% due 03/06/16 ........ 161,217 0.07

Enel Finance International

134,000 4.125% due 12/07/17 ........ 127,250 0.06

European Investment

Bank

790,000 3.500% due 15/04/16 ........ 843,187 0.39

European Union

2,000,000 2.750% due 03/06/16 ........ 2,070,081 0.95

2,450,000 3.250% due 04/04/18 ........ 2,580,813 1.18

500,000 3.375% due 10/05/19 ........ 530,545 0.24

FMC Finance VII

250,000 5.250% due 15/02/21 ........ 237,500 0.11




30 September 2011



Principal

Amount

Fair Value

EUR

Fund

%

Gaz Capital SA

227,222 7.201% due 01/02/20 ........ 177,669 0.08

Hannover Finance

Luxembourg

EUR 750,000 5.750% due 14/09/40 ........ 626,528 0.29

John Deere Bank SA

200,000 3.250% due 22/06/16 ........ 205,606 0.09

Michelin Luxembourg SCS

160,000 8.625% due 24/04/14 ........ 181,473 0.08

7,741,869 3.54

Mexico (0.18%)

America Movil SAB de CV

200,000 3.750% due 28/06/17 ........ 203,740 0.10

150,000 4.750% due 28/06/22 ........ 154,732 0.07

Kansas City Southern de

Mexico de CV

USD 29,000 12.500% due 01/04/16 ...... 24,803 0.01

383,275 0.18

Netherlands (15.83%)

ABN Amro Bank NV

EUR 496,000 6.375% due 27/04/21 ........ 475,143 0.22

Akzo Nobel NV

300,000 7.250% due 27/03/15 ........ 335,458 0.15

Alliander

100,000 4.875% due 29/11/49 ........ 98,625 0.04

Allianz Finance BV

130,000 6.125% due 31/05/22 ........ 126,110 0.06

Allianz Finance II BV

100,000 6.500% due 13/01/25 ........ 99,500 0.05

900,000 5.750% due 08/07/41 ........ 709,544 0.32

ASML Holding NV

50,000 5.750% due 13/06/17 ........ 52,435 0.02

Bank Nederlandse

Gemeenten

320,000 3.750% due 14/03/14 ........ 336,774 0.15

400,000 2.250% due 24/08/16 ........ 402,218 0.18

BASF Finance Europe

NV

300,000 5.125% due 09/06/15 ........ 327,782 0.15

BMW Finance NV

70,000 4.000% due 17/09/14 ........ 73,363 0.03

225,000 3.625% due 29/01/18 ........ 230,962 0.11

Cooperatieve Centrale

Raiffeisen-Boerenleenbank

400,000 3.875% due 20/04/16 ........ 418,376 0.19

Daimler International

Finance

250,000 6.125% due 08/09/15 ........ 280,808 0.13

Deutsche Bahn Finance

BV

150,000 4.375% due 23/09/21 ........ 165,966 0.08

Deutsche Telekom

International Finance

70,000 6.000% due 20/01/17 ........ 79,027 0.04

Principal

Amount

Fair Value

EUR

Fund

%

100,000 4.250% due 13/07/22 ........ 99,169 0.05

222,000 4.875% due 22/04/25 ........ 225,959 0.10

USD 175,000 8.750% due 15/06/30 ........ 173,971 0.08

E.ON International

Finance

EUR 30,000 5.500% due 02/10/17 ........ 33,861 0.02

EDP Finance

170,000 4.625% due 13/06/16 ........ 132,600 0.06

Elm BV

100,000 6.500% due 02/04/13 ........ 106,064 0.05

Eurosail - A -

323,870 2.356% due 17/10/40 ........ 291,270 0.13

Generali Finance BV

GBP 50,000 6.214% due 29/06/49 ........ 33,276 0.02

Globaldrive

EUR 418,367 4.000% due 20/10/16 ........ 422,227 0.19

Hollandwide Parent BV

147,000

Zero Coupon due

01/08/14 ........................... 735 0.00

ING Bank

200,000 4.875% due 18/01/21 ........ 204,079 0.09

260,000 6.125% due 29/05/23 ........ 233,844 0.11

GBP 150,000 6.875% due 30/05/23 ........ 163,929 0.07

ING Verzekeringen NV

EUR 240,000 6.375% due 07/05/27 ........ 171,199 0.08

KBC Internationale

Financieringsmaatschappij

NV

410,000 4.500% due 17/09/14 ........ 405,424 0.19

250,000 3.875% due 31/03/15 ........ 240,485 0.11

50,000 5.000% due 16/03/16 ........ 49,351 0.02

Koninklijke KPN NV

240,000 6.500% due 15/01/16 ........ 269,701 0.12

50,000 7.500% due 04/02/19 ........ 59,573 0.03

100,000 5.625% due 30/09/24 ........ 106,998 0.05

LeasePlan Corp NV

100,000 3.250% due 22/05/14 ........ 104,552 0.05

Lukoil International Finance

BV

USD 200,000 6.125% due 09/11/20 ........ 138,630 0.06

Nederlandse

Waterschapsbank NV

EUR 750,000 2.375% due 04/06/15 ........ 764,963 0.35

Netherlands, Kingdom of

40,000 3.750% due 15/07/14 ........ 43,084 0.02

2,021,000 3.250% due 15/07/15 ........ 2,170,716 0.99

200,000 4.000% due 15/07/16 ........ 223,030 0.10

500,000 2.500% due 15/01/17 ........ 521,796 0.24

230,000 4.000% due 15/07/18 ........ 260,701 0.12

14,085,000 3.250% due 15/07/21 ........ 15,272,225 6.99

687,000 3.750% due 15/01/23 ........ 777,120 0.36

1,930,000 4.000% due 15/01/37 ........ 2,371,468 1.09

450,000 3.750% due 15/01/42 ........ 545,967 0.25




30 September 2011



Principal

Amount

Fair Value

EUR

Fund

%

Rabobank Nederland

NV

890,000 4.375% due 22/01/14 ........ 935,292 0.43

100,000 4.750% due 15/01/18 ........ 109,083 0.05

RWE Finance BV

30,000 6.125% due 26/10/12 ........ 31,359 0.01

Siemens

Financieringsmaatschappij

NV

400,000 5.250% due 14/09/66 ........ 406,506 0.19

168,000 5.625% due 11/06/18 ........ 194,582 0.09

Skyline BV

200,000 2.414% due 22/07/43 ........ 180,000 0.08

SNS Bank NV

300,000 3.500% due 27/10/15 ........ 309,900 0.14

100,000 3.500% due 28/09/20 ........ 99,241 0.05

SRLEV NV

100,000 9.000% due 15/04/41 ........ 62,500 0.03

TenneT Holding BV

825,000 4.500% due 09/02/22 ........ 880,333 0.40

Volkswagen International

Finance

200,000 5.375% due 22/05/18 ........ 223,685 0.10

Wolters Kluwer

300,000 6.375% due 10/04/18 ........ 338,284 0.15

34,600,823 15.83

Norway (0.24%)

DnB NoR Bank ASA

250,000 4.500% due 29/05/14 ........ 261,628 0.12

250,000 4.375% due 24/02/21 ........ 253,623 0.12

515,251 0.24

Singapore (0.12%)

Temasek Financial I Ltd

USD 325,000 4.300% due 25/10/19 ........ 257,880 0.12

Spain (6.80%)

Ayt Cedulas Cajas Global

EUR 300,000 4.250% due 29/07/14 ........ 284,983 0.13

100,000 3.750% due 14/12/22 ........ 68,135 0.03

Banco Bilbao Vizcaya

Argentaria SA

500,000 3.500% due 26/07/13 ........ 496,645 0.23

100,000 4.750% due 10/02/16 ........ 101,219 0.05

500,000 4.250% due 18/01/17 ........ 488,874 0.22

Banco Espanol de

Credito

300,000 2.750% due 07/09/12 ........ 297,284 0.14

200,000 3.500% due 18/01/16 ........ 191,341 0.09

Banco Financiero y de

Ahorros SA

350,000 5.250% due 07/04/16 ........ 348,952 0.16

Banco Santander SA

300,000 3.875% due 27/05/14 ........ 299,002 0.14

Principal

Amount

Fair Value

EUR

Fund

%

BBVA Senior Finance

SAU

300,000 3.625% due 14/05/12 ........ 300,432 0.14

150,000 2.750% due 10/09/12 ........ 148,601 0.07

Caja de Ahorros y Monte de

Piedad de Madrid

300,000 3.500% due 14/03/13 ........ 295,096 0.13

Fund for Ordered Bank

Restructuring

400,000 5.500% due 12/07/16 ........ 408,161 0.19

Gas Natural Capital Markets

SA

100,000 5.250% due 09/07/14 ........ 101,661 0.05

Iberdrola Finanzas SAU

300,000 3.875% due 10/02/14 ........ 298,683 0.14

100,000 4.625% due 07/04/17 ........ 98,666 0.04

100,000 5.625% due 09/05/18 ........ 102,930 0.05

La Caja de Ahorros y

Pensiones de Barcelona

450,000 2.500% due 29/04/13 ........ 439,705 0.20

300,000 3.875% due 17/02/25 ........ 241,483 0.11

Mapfre SA

150,000 5.921% due 24/07/37 ........ 90,250 0.04

Santander International Debt

Unipersonal

300,000 3.750% due 28/02/13 ........ 298,096 0.14

Santander Issuances S.A

Unipersonal

150,000 6.500% due 27/07/19 ........ 138,729 0.06

GBP 450,000 7.300% due 27/07/19 ........ 473,293 0.22

Spain, Kingdom of

EUR 1,800,000 2.300% due 30/04/13 ........ 1,773,018 0.81

2,300,000 3.250% due 30/04/16 ........ 2,216,487 1.01

750,000 3.800% due 31/01/17 ........ 729,484 0.33

1,324,000 4.850% due 31/10/20 ........ 1,315,036 0.60

1,900,000 5.500% due 30/04/21 ........ 1,954,511 0.89

300,000 4.200% due 31/01/37 ........ 232,825 0.11

Telefonica Emisiones

SAU

400,000 4.750% due 07/02/17 ........ 393,191 0.18

150,000 3.661% due 18/09/17 ........ 138,098 0.06

UCI - 11 Titulizacion De

Activos

116,550 1.668% due 15/09/41 ........ 86,147 0.04

14,851,018 6.80

Sweden (0.92%)

Skandinaviska Enskilda

Banken

250,000 4.250% due 21/02/18 ........ 251,949 0.12

350,000 4.125% due 07/04/21 ........ 378,206 0.17

SKF AB

200,000 3.875% due 25/05/18 ........ 205,232 0.09

Svenska Handelsbanken AB

250,000 3.625% due 16/02/16 ........ 256,127 0.12




30 September 2011



Principal

Amount

Fair Value

EUR

Fund

%

350,000 3.750% due 24/02/17 ........ 358,071 0.17

Vattenfall Treasury AB

200,000 6.750% due 31/01/19 ........ 245,111 0.11

Volvo Treasury AB

100,000 9.875% due 27/02/14 ........ 115,140 0.05

200,000 5.000% due 31/05/17 ........ 205,104 0.09

2,014,940 0.92

Switzerland (0.45%)

Credit Suisse AG London

310,000 6.125% due 16/05/14 ........ 334,803 0.15

Credit Suisse/Guernsey

400,000 2.875% due 24/09/15 ........ 390,260 0.18

Credit Suisse/London

50,000 3.875% due 25/01/17 ........ 49,920 0.02

UBS AG

50,000 5.625% due 19/05/14 ........ 52,740 0.03

150,000 4.000% due 08/04/22 ........ 160,588 0.07

988,311 0.45

United Kingdom (6.27%)

Abbey National Treasury

Services Plc

100,000 3.375% due 08/06/15 ........ 100,371 0.05

Anglian Water Services

Financial Plc

351,000 4.625% due 07/10/13 ........ 368,596 0.17

Annington Finance No 4

Plc

GBP 240,000 8.070% due 10/01/23 ........ 329,681 0.15

Aviva Plc

170,000 6.125% due 29/09/49 ........ 130,765 0.06

Bank of Scotland

EUR 50,000 5.625% due 23/05/13 ........ 51,640 0.02

200,000 3.875% due 07/02/20 ........ 199,169 0.09

Barclays Bank Plc

300,000 5.250% due 27/05/14 ........ 310,392 0.14

150,000 6.000% due 14/01/21 ........ 122,956 0.06

50,000 4.750% due 29/03/49 ........ 24,500 0.01

BAT International Finance

50,000 5.875% due 12/03/15 ........ 55,067 0.02

BP Capital Markets Plc

200,000 4.154% due 01/06/20 ........ 206,605 0.09

USD 325,000 4.742% due 11/03/21 ........ 265,851 0.12

British American Tobacco

Holdings The Netherlands

BV

EUR 384,000 4.875% due 24/02/21 ........ 413,881 0.19

British Telecom Plc

350,000 6.500% due 07/07/15 ........ 391,202 0.18

Centrica Plc

400,000 5.500% due 24/10/16 ........ 515,754 0.24

Diageo Finance Plc

EUR 160,000 6.625% due 05/12/14 ........ 181,105 0.08

Principal

Amount

Fair Value

EUR

Fund

%

Dignity Finance

GBP 210,000 8.151% due 31/12/30 ........ 307,424 0.14

Experian Finance Plc

150,000 4.750% due 23/11/18 ........ 183,500 0.08

EUR 150,000 4.750% due 04/02/20 ........ 160,028 0.07

Granite Master Issuer

134,998 1.456% due 20/12/54 ........ 126,573 0.06

140,438 1.526% due 20/12/54 ........ 131,806 0.06

HSBC Bank Plc

USD 300,000 3.100% due 24/05/16 ........ 222,294 0.10

GBP 470,000 5.750% due 27/06/17 ........ 546,966 0.25

Imperial Tobacco Finance

Plc

EUR 200,000 5.000% due 25/06/12 ........ 203,938 0.09

250,000 8.375% due 17/02/16 ........ 295,723 0.14

300,000 4.500% due 05/07/18 ........ 305,754 0.14

Lloyds Banking Group Plc

150,000 5.875% due 08/07/14 ........ 142,321 0.06

Lloyds TSB Bank Plc

770,000 4.125% due 06/04/16 ........ 799,733 0.37

730,000 6.375% due 17/06/16 ........ 757,076 0.35

500,000 6.500% due 24/03/20 ........ 396,275 0.18

GBP 150,000 6.500% due 17/09/40 ........ 154,370 0.07

National Grid Group Finance

Plc

EUR 50,000 6.500% due 22/04/14 ........ 55,047 0.02

300,000 4.375% due 10/03/20 ........ 317,431 0.15

National Westminster Bank

Plc

GBP 210,000 6.500% due 07/09/21 ........ 186,500 0.09

Nationwide Building Society

EUR 450,000 4.125% due 27/02/12 ........ 453,645 0.21

100,000 3.750% due 20/01/15 ........ 102,660 0.05

400,000 6.750% due 22/07/20 ........ 325,300 0.15

Rec Plantation Place

GBP 147,722 1.153% due 25/07/16 ........ 150,933 0.07

Rexam Plc

EUR 450,000 4.375% due 15/03/13 ........ 460,302 0.21

Royal Bank of Scotland

Group

100,000 3.000% due 08/09/15 ........ 100,011 0.05

600,000 5.500% due 23/03/20 ........ 537,116 0.25

Royal Bank of Scotland Plc

100,000 3.625% due 17/05/13 ........ 97,537 0.04

170,000 6.934% due 09/04/18 ........ 133,219 0.06

SABMiller Plc

320,000 4.500% due 20/01/15 ........ 335,503 0.15

Standard Chartered Bank

300,000 5.875% due 26/09/17 ........ 296,827 0.14

350,000 5.875% due 26/09/17 ........ 346,299 0.16

U.K. Gilt

GBP 150,000 3.750% due 07/09/20 ........ 195,048 0.09




30 September 2011



Principal

Amount

Fair Value

EUR

Fund

%

U.K., Government of

280,000 4.250% due 07/12/40 ........ 366,392 0.17

UBS AG

EUR 200,000 4.875% due 21/01/13 ........ 205,806 0.09

Unique Pub Finance Co

Plc

GBP 228,092 1.113% due 30/09/13 ........ 222,457 0.10

Virgin Media Secured

Finance Plc

100,000 7.000% due 15/01/18 ........ 120,874 0.06

Vodafone Group

EUR 271,000 4.650% due 20/01/22 ........ 293,139 0.13

13,703,362 6.27

United States (5.96%)

Ahold Finance USA

LLC

100,000 5.875% due 14/03/12 ........ 101,618 0.05

AT&T Inc

250,000 6.125% due 02/04/15 ........ 280,273 0.13

Bank of America

Corp

200,000 4.625% due 18/02/14 ........ 191,173 0.09

300,000 7.000% due 15/06/16 ........ 298,643 0.14

150,000 4.750% due 03/04/17 ........ 132,956 0.06

100,000 4.000% due 28/03/18 ........ 68,000 0.03

Capital One Financial

Corp

USD 300,000 4.750% due 15/07/21 ........ 223,965 0.10

CenturyLink Inc

250,000 7.600% due 15/09/39 ........ 167,608 0.08

Citigroup Inc

EUR 150,000 4.750% due 31/05/17 ........ 118,501 0.05

965,000 7.375% due 04/09/19 ........ 1,049,177 0.48

295,000 4.250% due 25/02/30 ........ 200,787 0.09

Credit Suisse Group Finance

US

500,000 3.625% due 14/09/20 ........ 419,558 0.19

General Electric Capital

Corp

320,000 4.000% due 15/06/12 ........ 326,342 0.15

Goldman Sachs Group

Inc

50,000 5.375% due 15/02/13 ........ 50,371 0.02

300,000 4.500% due 09/05/16 ........ 286,242 0.13

100,000 5.125% due 23/10/19 ........ 93,354 0.04

HollyFrontier Corp

USD 250,000 9.875% due 15/06/17 ........ 201,237 0.09

International CCE

EUR 800,000 3.125% due 29/09/17 ........ 791,592 0.36

JP Morgan Chase & Co

500,000 3.875% due 31/03/18 ........ 449,089 0.21

100,000 4.375% due 12/11/19 ........ 91,066 0.04

USD 250,000 4.250% due 15/10/20 ........ 186,772 0.09

Principal

Amount

Fair Value

EUR

Fund

%

KeyBank National

Association

EUR 220,000 1.734% due 09/02/12 ........ 220,616 0.10

Keycorp

USD 150,000 5.100% due 24/03/21 ........ 112,816 0.05

Kraft Foods

EUR 50,000 5.750% due 20/03/12 ........ 50,813 0.02

McDonald's

200,000 4.000% due 17/02/21 ........ 213,704 0.10

Merrill Lynch & Co Inc

50,000 6.750% due 21/05/13 ........ 49,895 0.02

Morgan Stanley Group

Inc

50,000 4.375% due 10/02/12 ........ 49,981 0.02

190,000 3.375% due 20/07/12 ........ 188,710 0.09

150,000 5.500% due 02/10/17 ........ 139,771 0.06

NBCUniversal Media

LLC

USD 350,000 4.375% due 01/04/21 ........ 267,942 0.12

Nextel Communications

Inc

200,000 7.375% due 01/08/15 ........ 141,239 0.07

Pemex Project Funding

Master Trust

EUR 610,000 5.500% due 24/02/25 ........ 585,092 0.27

PepsiCo Inc

USD 200,000 2.500% due 10/05/16 ........ 153,993 0.07

Pfizer

EUR 100,000 5.750% due 03/06/21 ........ 119,889 0.06

Reynolds American Inc

USD 155,000 6.750% due 15/06/17 ........ 133,152 0.06

Roche Holdings Inc

EUR 250,000 5.625% due 04/03/16 ........ 284,800 0.13

U.S. Bank National

Association

600,000 4.375% due 28/02/17 ........ 553,050 0.25

U.S. West Communications

Inc

USD 150,000 6.875% due 15/09/33 ........ 105,650 0.05

U.S. Treasury Note/Bond

200,000 1.000% due 31/08/16 ........ 149,437 0.07

2,400,000 3.125% due 15/05/21 ........ 1,985,397 0.91

900,000 2.125% due 15/08/21 ........ 682,637 0.31

350,000 5.375% due 15/02/31 ........ 367,126 0.17

200,000 3.750% due 15/08/41 ........ 173,544 0.08

Verizon

Communications

400,000 6.350% due 01/04/19 ........ 358,509 0.16

Wells Fargo Bank NA

EUR 200,000 6.000% due 23/05/13 ........ 209,516 0.10

13,025,603 5.96

Total Long Term Bonds

and Notes ........................... 195,255,236 89.35




30 September 2011



Principal

Amount

Fair Value

EUR

Fund

%

Short Term Investments (3.44%)

France (2.10%)

E.ON International

Finance

80,000 2.500% due 30/11/11 ........ 80,091 0.04

France, Republic of

4,500,000 5.000% due 25/10/11 ........ 4,510,125 2.06

4,590,216 2.10

Germany (1.34%)

German Treasury Bill

2,930,000 0.010% due 07/12/11 ........ 2,923,314 1.34

Total Short Term

Investments ........................ 7,513,530 3.44

Warrants (0.00%)


Semgroup Warrants

USD 163

Zero Coupon due

30/11/14 ............................ 493 0.00

Total Warrants .................. 493 0.00

Total Transferable

Securities ............................ 202,769,259 92.79

Financial Derivative Instruments ((0.03)%)

Number

of Shares

Fair Value

EUR

Fund

%

Collective Investment Schemes (4.74%)

Ireland (4.74%)

Russell Investment Company

III plc

147

The Sterling Cash Fund -

Class C Income Shares ..... 170,792 0.08


III plc

9,852

The Euro Liquidity Fund -

Class C Income Shares ..... 9,852,258 4.51


III plc

43,314

The U.S. Dollar Liquidity

Fund II - Class A Shares ... 322,824 0.15

Total Collective Investment

Schemes ............................. 10,345,874 4.74

Deposits with Credit Institutions (0.46%)

Ireland (0.46%)

Commerzbank London

1,001,267 0.700% due 03/10/2011 .... 1,001,267 0.46

Total Deposits with Credit

Institutions ......................... 1,001,267 0.46

Total Investments

excluding Financial

Derivative Instruments .... 214,116,400 97.99

Open Futures Contracts ((0.08)%)

Notional

Amount

EUR

Average

Cost Price

EUR

Unrealised

Gain (Loss)

EUR

Fund

%

(12,982,860) (135.24) 96 of German Euro Bund Futures

Short Futures Contracts

Expiring December 2011 ...................................... (120,180) (0.07)

(15,549,880) (122.44) 127 of German Euro Bobl Futures


Expiring December 2011 ...................................... 39,370 0.02

(1,092,480) (91.04) 12 of U.S. Treasury Note 5 Year Futures


Expiring December 2011 ...................................... (3,005) 0.00

4,382,311 136.85 32 of German Euro Bund Futures

Long Futures Contracts


956,540 119.57 8 of German Euro Buxl Futures



7,085,031 122.18 58 of German Euro Bobl Futures



3,842,703 109.80 35 of German Euro Schatz Futures









30 September 2011



Notional

Amount

EUR

Average

Cost Price

EUR

Unrealised

Gain (Loss)

EUR

Fund

%




(1,031,629) (147.38) 7 of U.K. Long Gilt Bond Futures



(1,908,900) (136.35) 14 of German Euro Bund Futures



(739,075) (147.82) 5 of U.K. Long Gilt Bond Futures



Unrealised gain on open futures contracts ......................................................................... 75,975 0.03

Unrealised loss on open futures contracts .......................................................................... (240,559) (0.11)

Net unrealised gain (loss) on open futures contracts .................................................... (164,584) (0.08)

Open Forward Foreign Currency Exchange Contracts ((0.14)%)

Settlement

Date

Amount

Bought

Amount

Sold

Unrealised

Gain (Loss)

EUR

Fund

%

16/11/2011 CAD 498,662 EUR 353,285 3,116 0.00

16/11/2011 CAD 1,060,000 USD 1,070,059 (40,160) (0.02)

16/11/2011 EUR 357,405 CAD 500,492 (304) 0.00

16/11/2011 EUR 114,785 GBP 100,000 (1,305) 0.00

16/11/2011 EUR 723,392 GBP 631,579 (9,804) 0.00

16/11/2011 EUR 8,730,648 GBP 7,620,546 (115,993) (0.06)

16/11/2011 EUR 2,441,902 GBP 2,136,921 (38,835) (0.02)

18/11/2011 EUR 3,925,731 GBP 3,440,000 (67,692) (0.03)

18/11/2011 EUR 154,281 GBP 135,000 (2,438) 0.00

16/11/2011 EUR 715,301 NOK 5,609,030 4,541 0.00

16/11/2011 EUR 2,528,374 SEK 23,352,065 (890) 0.00

16/11/2011 EUR 10,329,886 USD 14,630,424 (577,485) (0.27)

16/11/2011 EUR 4,504,113 USD 6,414,195 (277,840) (0.13)

16/11/2011 EUR 898,191 USD 1,290,000 (63,538) (0.03)

16/11/2011 EUR 4,626,995 USD 6,561,912 (265,085) (0.12)

16/11/2011 EUR 1,763,574 USD 2,489,690 (92,556) (0.04)

18/11/2011 EUR 7,505,590 USD 10,691,000 (464,881) (0.21)

18/11/2011 EUR 281,062 USD 401,000 (17,896) (0.01)

18/11/2011 EUR 110,769 USD 149,000 (315) 0.00

16/11/2011 GBP 3,735,291 EUR 4,300,655 35,620 0.02

16/11/2011 GBP 1,651,215 EUR 1,905,010 11,875 0.01

16/11/2011 GBP 2,195,897 EUR 2,485,565 63,638 0.03

16/11/2011 GBP 1,980,000 EUR 2,249,489 49,080 0.02

18/11/2011 GBP 174,000 EUR 199,680 2,313 0.00

18/11/2011 GBP 199,000 EUR 225,058 5,957 0.00

18/11/2011 GBP 62,000 EUR 71,036 939 0.00

18/11/2011 GBP 71,000 EUR 81,649 774 0.00

16/11/2011 NOK 5,101,968 EUR 654,121 (7,615) 0.00

16/11/2011 PLN 3,110,000 EUR 705,104 (3,738) 0.00

16/11/2011 SEK 5,971,400 EUR 644,318 2,445 0.00

16/11/2011 SEK 18,798,815 EUR 2,032,722 3,380 0.00




30 September 2011



Settlement

Date

Amount

Bought

Amount

Sold

Unrealised

Gain (Loss)

EUR

Fund

%

16/11/2011 SEK 5,915,998 EUR 633,954 6,808 0.00

16/11/2011 SEK 6,851,040 EUR 734,168 7,868 0.00

16/11/2011 USD 6,845,067 EUR 4,807,166 296,014 0.15

16/11/2011 USD 1,280,000 EUR 891,458 62,816 0.03

16/11/2011 USD 23,460,651 EUR 16,355,725 1,134,816 0.52

16/11/2011 USD 200,000 EUR 148,584 521 0.00

18/11/2011 USD 152,000 EUR 106,963 6,357 0.00

18/11/2011 USD 126,000 EUR 87,290 6,647 0.00

18/11/2011 USD 545,000 EUR 386,333 19,981 0.01

18/11/2011 USD 663,000 EUR 471,997 22,290 0.01

18/11/2011 USD 96,000 EUR 70,588 983 0.00

18/11/2011 USD 167,000 EUR 121,051 3,452 0.00

18/11/2011 USD 104,000 EUR 75,812 1,723 0.00

18/11/2011 USD 124,000 EUR 91,352 1,094 0.00

18/11/2011 USD 94,000 EUR 68,966 1,114 0.00

Unrealised gain on open forward foreign currency exchange contracts ............................... 1,756,162 0.80

Unrealised loss on open forward foreign currency exchange contracts ................................ (2,048,370) (0.94)

Net unrealised gain (loss) on open forward foreign currency exchange

contracts .............................................................................................................................. (292,208) (0.14)

Credit Default Swaps (0.19%)

Ccy

Notional

Amount

Security

Name

Fund

Pays

Fund

Receives

Termination

Date

Fair Value

USD

Fund

%

EUR 4,900,000 iTraxx Europe 1.00% * 20/06/2016 187,142 0.08

EUR 600,000 iTraxx Europe 1.00% * 20/06/2016 22,915 0.01

EUR 650,000 iTraxx Europe 1.00% * 20/06/2016 24,825 0.01

USD 1,000,000 CDX.NA.IG 1.00% * 20/06/2016 8,426 0.00

EUR 300,000 Hammerson Plc 1.00% * 20/09/2016 15,752 0.01

EUR 700,000

iTraxx Europe

Sub Financials 1.00% * 20/06/2016 109,789 0.05

EUR 700,000

iTraxx Europe

Sub Financials 1.00% * 20/06/2016 109,789 0.05

EUR (3,960,000) iTraxx Europe 1.00% * 20/12/2016 (163,290) (0.08)

EUR 800,000

iTraxx Europe

Senior

Financials 1.00% * 20/12/2016 58,470 0.03

EUR 800,000

iTraxx Europe

Senior

Financials 1.00% * 20/12/2016 57,672 0.03

EUR (500,000)

iTraxx Europe

Sub Financials 1.00% * 20/12/2016 (1,294) 0.00

Credit default swaps at positive fair value .................................................................................................... 594,780 0.27

Credit default swaps at negative fair value ................................................................................................... (164,584) (0.08)

Credit default swaps at fair value ............................................................................................................. 430,196 0.19

Total Financial Derivative Instruments .................................................................................................... (26,596) (0.03)

* In the event of bankruptcy or modified restructuring the Fund will pay/receive the notional amount to the counterparty.




30 September 2011



Fair Value

EUR

Fund

%

Total Financial Assets at Fair Value through Profit or Loss

(99.09%) ...................................................................................................................................................... 216,543,317 99.09

Total Financial Liabilities at Fair Value through Profit or

Loss ((1.13)%) .............................................................................................................................................. (2,453,513) (1.13)

Net Financial Assets at Fair Value through Profit or Loss

(97.96%) ............................................................................................... 214,089,804 97.96

Other Net Assets (1.90%) ..................................................................... 4,108,965 1.90

Adjustment from Bid Market Prices to Last Traded Market

Prices (0.14%) ....................................................................................... 310,470 0.14

Net Assets (100.00%) ........................................................................... 218,509,239 100.00

Analysis of total assets

% of

total assets

Transferable securities and money market instruments admitted to an official stock exchange listing or

traded on a regulated market .................................................................................................................................. 70.48

Collective investment schemes .............................................................................................................................. 3.58

Exchange traded financial derivative instruments ................................................................................................. 0.84

Other assets ............................................................................................................................................................ 25.10

100.00

The brokers for the open futures contracts are:

Goldman Sachs

JP Morgan Chase

UBS AG

The counterparties for the open forward foreign currency exchange contracts are:

Barclays Bank Plc

BNP Paribas SA

Citibank

Credit Suisse First London

Deutsche Bank

Goldman Sachs

JP Morgan Chase

Morgan Stanley National Australia Bank Ltd

Société Generale

UBS AG

The counterparties for the credit default swaps are:

BNP Paribas SA

Deutsche Bank

HSBC Bank

JP Morgan Chase


UBS AG

The proportion of the investments of The Euro Fixed Income Fund in rights or securities eligible to the French Plan d’Epargne en

Actions (PEA) has been continuously equal to, or greater than, 75 per cent over the elapsed six months ended on 30 September

2011.



Statement of Changes in Composition of Portfolio

Listed below are the 20 largest cumulative investment purchases and sales during the six months ended 30 September 2011

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

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


Portfolio Securities

Acquisition Cost

EUR Portfolio Securities

Disposal Proceeds

EUR

Russell Investment Company III plc Russell Investment Company III plc

The Euro Liquidity Fund The Euro Liquidity Fund

Class A Income Shares 93,857,000 Class A Income Shares (90,058,899)

Netherlands Government

3.250% due 15/07/2021 33,207,419

Bundesrepublik Deutschland

3.250% due 04/07/2021 (25,057,897)


3.250% due 04/07/2021 27,033,897

Bundesobligation

2.000% due 26/02/2016 (24,876,570)

Bundesobligation

2.000% due 26/02/2016 21,598,863

Italy Buoni Poliennali Del Tesoro

3.750% due 15/04/2016 (20,858,955)


3.750% due 15/04/2016 21,033,333

Bundesobligation

2.750% due 08/04/2016 (18,885,869)

Bundesobligation

2.750% due 08/04/2016 18,864,131

Netherlands, Government of

3.250% due 15/07/2021 (18,714,335)

Bonos Y Oblig Del Estado

3.250% due 30/04/2016 14,098,195


2.500% due 04/01/2021 (16,301,404)

Belgium, Kingdom of

4.250% due 28/09/2021 12,055,761


3.250% due 30/04/2016 (14,553,975)


2.500% due 04/01/2021 11,384,585


4.750% due 01/09/2021 (12,757,694)


4.750% due 01/09/2021 11,199,571


3.750% due 04/01/2019 (11,403,161)

France Government of

3.500% due 25/04/2020 10,073,248

France Government of

3.500% due 25/04/2020 (9,980,269)


4.500% due 01/02/2020 9,738,348


4.500% due 01/02/2020 (9,504,966)


5.500% due 30/04/2021 7,918,853

Belgium, Kingdom of

4.250% due 28/09/2021 (9,009,564)

Bundesobligation

3.500% due 14/10/2011 7,779,058

Belgium, Kingdom of

3.750% due 28/09/2020 (8,003,007)


3.000% due 01/04/2014 7,588,510


3.000% due 01/04/2014 (7,582,473)


5.000% due 01/09/2040 7,048,379


5.500% due 30/04/2021 (7,343,568)

Belgium, Kingdom of

3.750% due 28/09/2020 6,702,270


3.250% due 04/01/2020 (6,361,594)


3.250% due 04/07/2042 6,646,372

Bundesobligation

3.500% due 14/10/2011 (5,697,111)

Bundesobligation

2.250% due 11/04/2014 6,566,404


2.500% due 31/10/2013 (5,272,530)

France, Government of

4.000% due 25/04/2018 6,556,018


5.000% due 01/09/2040 (5,021,557)



Manager’s Report

The Global Bond (Euro Hedged) Fund 27

Money Managers Brookfield Investment Management Inc.

Colchester Global Investors Limited


Loomis, Sayles & Company, L.P.

Pacific Investment Management Company, LLC (“PIMCO”)

Investment Objective The investment objective of The Global Bond (Euro Hedged) Fund (the “Fund”) is to provide income and capital growth by

investing primarily in transferable debt instruments denominated in a variety of currencies, which include but are not limited to,

municipal and government bonds, agency debt (being that issued by local authorities or public international bodies of which one

or more states is a member), mortgage related debt and corporate debt that are listed, traded or dealt in on a regulated market in

the OECD and which may have fixed or floating interest rates.

Fund Performance

During the six month period ended 30 September 2011, the Fund returned 4.1 per cent on a gross-of-fee basis (3.5 per cent on a

net-of-fee basis), while the benchmark* returned 5.2 per cent.

Market Comment

The Barclays Capital Global Aggregate Euro Hedged Index gained 1.9 per cent over the second quarter of 2011 in Euro hedged

terms. The European sovereign debt crisis and weak U.S. economic data supported government bonds, while credit markets

suffered from risk aversion. Credit markets started the quarter well, and spreads over U.S. Treasuries continued to narrow in

April; demand for corporate debt remained strong. Supply was thus heavy, as corporates sought to take the opportunity of historic

low interest rates to secure their finances. Credit markets underperformed in June, especially in Europe, as concerns about the

potential for a Greek default eroded investors‟ confidence in riskier assets. Government bonds fared increasingly well in a quarter

when risk appetite waned due to the worries about Greece. As investors fled debt issued by corporates and indebted European

markets, they sought refuge in the haven of U.S. Treasuries, German bunds, U.K. gilts and Japanese government bonds. Weaker

economic data from the U.S. also supported demand for U.S. Treasuries; the ISM manufacturing index plunged, house prices

trawled a 2002 low and jobs data disappointed. In Europe, the strong German economy persuaded the ECB to raise interest rates

in quarter two and signal a further rate rise for July.

The Barclays Capital Global Aggregate Euro Hedged Index gained +3.2 per cent on a euro hedged basis, during the third quarter

of 2011. Corporate bonds underperformed as concerns about European debt and global economic growth drove investors to the

safety of government bonds. The economic weakness seen at the tail end of the second quarter continued and accelerated through

the third quarter. Risk aversion grew as economic data worsened in the U.S. and other parts of the western world. Meanwhile, the

eurozone debt crisis threatened to spiral out of control as politicians seemed unable to find a satisfactory resolution to Greece‟s

situation. The impact on corporate bond markets was stark; spreads over government bonds moved higher and new issues dried

up. High yield bonds were worse affected then investment grade issues in this environment. For similar reasons, global credit

markets lagged government bonds as investors sold off credit for the safe haven of U.S. Treasuries, U.K. gilts, German bunds and

Japanese government bonds. While economic data was weak, investors became hopeful of further monetary stimulus measures,

notably in the U.S. and the U.K.; this hope kept downward pressure on government bond yields.



Colchester Global Investment Limited, focusing on governments in this mandate, outperformed both the benchmark and its peers

in the Fund during the period. The Money Manager‟s interest rate, country, currency and security positioning (UW credit) were

the key drivers of its relative strength. The Money Manager‟s overweight to Irish government bonds paid off, as Irish yields fell

sharply.

Structured finance specialist Brookfield Investment Management Inc.‟s underperformance was predominantly driven by its credit

centric positioning and weak security selection among mortgage-backed securities. Their assets were hurt by the recent

weakening U.S. economy prompting a sharp selling response from investors.

Outlook










28 The Global Bond (Euro Hedged) Fund





* Benchmark Source: Barclays Capital Global Aggregate Euro Hedged Index


November 2011



Balance Sheet




30 September 2011

(Unaudited)

EUR

31 March 2011

(Audited)

EUR

30 September 2010

(Unaudited)

EUR

Assets

Financial assets at fair value through profit or loss (Note 1) ........................................... 449,216,311 414,221,789 404,165,378

Cash at bank (Note 5) ...................................................................................................... 4,197,028 2,737,327 1,595,140


positions (Note 5) ............................................................................................................ 4,656,993 646,091 3,132,572


lending transactions (Note 4) ........................................................................................... 21,227,929 26,323,342 35,951,031

Broker cash held as collateral for financial derivative

instruments transactions (Note 5) .................................................................................... 1,028,546 1,944,895 4,827,129

Debtors:

Receivable for investments sold ................................................................................... 7,142,597 2,333,014 2,081,046

Receivable on fund shares issued ................................................................................. 52,704 349,971 22,578

Interest receivable ......................................................................................................... 5,434,408 5,033,187 4,907,476

Dividends receivable .................................................................................................... 3,821 928 -

492,960,337 453,590,544 456,682,350

Liabilities

Financial liabilities at fair value through profit or loss (Note 1) ...................................... (19,823,183) (5,467,108) (6,258,151)



positions (Note 5) .......................................................................................................... (219,261) (352,604) (4,520,656)


(Note 4) ......................................................................................................................... (21,227,929) (26,323,342) (35,951,031)

Broker cash due to counterparties for financial derivative

instruments transactions ............................................................................................... (1,028,546) (1,944,895) (4,827,129)


Payable for investments purchased ............................................................................... (20,425,733) (3,438,394) (12,894,774)

Payable on fund shares redeemed ................................................................................. (10,079) (567,949) (427,898)

Management fees payable ............................................................................................ (284,315) (281,992) (251,323)


Sub-custodian fees payable .......................................................................................... (19,008) (23,647) (14,622)


Audit fees payable ........................................................................................................ (20,447) (35,952) (18,582)


(63,088,873) (38,462,364) (65,197,510)




prices ............................................................................................................................... 1,099,908 687,687 544,838









Six months ended

30 September 2011

(Unaudited)

EUR

Year ended

31 March 2011

(Audited)

EUR

Six months ended

30 September 2010

(Unaudited)

EUR

Income

Dividends ...................................................................................................................... 60,048 10,258 744

Bond interest ................................................................................................................. 8,343,149 14,775,153 7,792,559

Bank and short term investment interest ....................................................................... 5,382 3,261 1,514

Securities lending income (Note 4) .............................................................................. 60,285 62,334 26,469

Miscellaneous income .................................................................................................. 7 26,412 16,134

8,468,871 14,877,418 7,837,420

Net gain (loss) on investment activities ........................................................................... 10,209,007 4,469,719 15,746,091

Total investment income (expense) .............................................................................. 18,677,878 19,347,137 23,583,511

Expenses

Management fees (Note 3) ........................................................................................... (1,727,496) (3,029,829) (1,507,541)

Custodian and Trustee fees (Note 3) ............................................................................ (42,007) (79,723) (40,822)

Sub-custodian fees (Note 3) ......................................................................................... (64,079) (140,466) (62,706)

Administration and transfer agency fees (Note 3) ........................................................ (95,283) (182,720) (93,601)

Audit fees ..................................................................................................................... (20,447) (35,952) (18,582)



Total operating expenses ............................................................................................... (2,018,487) (3,608,011) (1,785,819)

Net income (expense) ..................................................................................................... 16,659,391 15,739,126 21,797,692

Finance costs


Interest expense ............................................................................................................ (2,119) (7,443) (2,027)


taxation ........................................................................................................................... 10,246,627 4,225,026 16,091,558

Taxation



taxation ........................................................................................................................... 10,165,154 4,152,796 16,077,567


traded market prices ..................................................................................................... 412,221 190,781 47,932



operations ....................................................................................................................... 10,577,375 4,343,577 16,125,499


Account.







Six months ended

30 September 2011

(Unaudited)

EUR

Year ended

31 March 2011

(Audited)

EUR

Six months ended

30 September 2010

(Unaudited)

EUR



operations ....................................................................................................................... 10,577,375 4,343,577 16,125,499

Share transactions


participating share transactions (Note 6) ...................................................................... (606,826) 30,703,566 (182,426)


(Note 15) ....................................................................................................................... 5,184,956 9,192,707 4,510,588


redeemable participating shareholders ........................................................................ 15,155,505 44,239,850 20,453,661


shareholders






30 September 2011



Principal

Amount

Fair Value

EUR

Fund

%



Argentina (0.21%)

Argentina, Republic of

USD 1,126,273 8.280% due 31/12/33 ........ 575,014 0.13

Pan American Energy

LLC

440,000 7.875% due 07/05/21 ........ 328,336 0.08

903,350 0.21

Australia (5.81%)

Australia & New Zealand

Banking Group Ltd

AUD 2,075,000 6.750% due 10/11/14 ........ 1,568,169 0.36

Australia, Government of

4,120,000 6.500% due 15/05/13 ........ 3,115,850 0.72

1,010,000 6.250% due 15/04/15 ........ 792,934 0.18

1,135,000 6.000% due 15/02/17 ........ 907,323 0.21

745,000 6.000% due 15/02/17 ........ 595,556 0.14

2,320,000 4.500% due 15/04/20 ........ 1,719,432 0.40

1,430,000 5.750% due 15/05/21 ........ 1,159,462 0.27

1,338,821 3.000% due 20/09/25 ........ 1,176,560 0.27

Commonwealth Bank of

Australia

USD 900,000 0.717% due 10/12/12 ........ 673,227 0.16

200,000 0.666% due 12/07/13 ........ 148,990 0.04

1,100,000 0.630% due 17/09/14 ........ 820,216 0.19

European Investment

Bank

AUD 1,250,000 6.125% due 23/01/17 ........ 951,381 0.22


Australia Funding Property

Ltd

2,140,000 7.000% due 08/10/15 ........ 1,611,764 0.37

Holcim Finance Australia

100,000 8.500% due 07/08/12 ........ 74,047 0.02

Macquarie Bank

USD 100,000 2.600% due 20/01/12 ........ 74,992 0.02

500,000 3.300% due 17/07/14 ........ 397,834 0.09

National Australia Bank Ltd

AUD 1,250,000 5.750% due 19/12/13 ........ 936,095 0.22

USD 1,100,000 0.746% due 08/07/14 ........ 823,205 0.19

New South Wales Treasury

Corp

AUD 518,190 2.750% due 20/11/25 ........ 436,439 0.10

Perpetual Trustee Swan

2007-1E

263,227 4.970% due 12/05/37 ........ 185,528 0.04

USD 230,390 0.407% due 12/06/38 ........ 164,899 0.04

Queensland Treasury Corp

AUD 1,450,000 6.000% due 14/10/15 ........ 1,116,985 0.26

NZD 1,740,000 7.125% due 18/09/17 ........ 1,113,588 0.26

Royal Bank of Scotland plc -

Australia

AUD 900,000 4.375% due 27/03/12 ........ 649,964 0.15

Principal

Amount

Fair Value

EUR

Fund

%

900,000 5.646% due 24/07/12 ........ 653,407 0.15

SMART Trust

USD 800,000 1.079% due 14/10/14 ........ 596,256 0.14

Telstra Corp Ltd

AUD 770,000 7.250% due 15/11/12 ........ 571,644 0.13

90,000 6.250% due 15/11/13 ........ 66,574 0.02

Westpac Banking Corp

1,500,000 7.000% due 18/08/14 ........ 1,139,591 0.27

USD 1,000,000 2.900% due 10/09/14 ........ 789,916 0.18

25,031,828 5.81

Bermuda (0.26%)

Hyundai Capital Auto

Funding Ltd

1,000,000 1.230% due 20/09/16 ........ 740,681 0.17

Noble Group Ltd

500,000 8.500% due 30/05/13 ........ 383,841 0.09

1,124,522 0.26

Bermuda (0.08%)

Noble Group

500,000 6.625% due 05/08/20 ........ 327,942 0.08

Brazil (1.48%)

Banco do Brasil SA

EUR 500,000 4.500% due 20/01/16 ........ 484,750 0.11

Banco Nacional de

Desenvolvimento

Economico e Social

USD 900,000 6.500% due 10/06/19 ........ 741,224 0.17

Banco Santander Brasil SA

100,000 4.500% due 06/04/15 ........ 71,551 0.02

Banco Votorantim

BRL 900,000 6.250% due 16/05/16 ........ 374,197 0.09

Brasil Telecom

900,000 9.750% due 15/09/16 ........ 328,845 0.08

Brazil Notas do Tesouro

Nacional Serie F

5,840,000 10.000% due 01/01/17 ...... 2,263,111 0.52

Brazilian Government

International Bond

USD 1,580,000 7.875% due 07/03/15 ........ 1,385,459 0.32

Itau Unibanco Holding

SA/Cayman Island

400,000 6.200% due 21/12/21 ........ 292,167 0.07

Telemar Norte Leste SA

EUR 300,000 5.125% due 15/12/17 ........ 286,875 0.07

USD 200,000 5.500% due 23/10/20 ........ 141,611 0.03

6,369,790 1.48

Canada (2.58%)

Bell Aliant Regional

Communications Income

Fund

CAD 380,000 7.300% due 23/02/32 ........ 316,689 0.07




30 September 2011



Principal

Amount

Fair Value

EUR

Fund

%

Bell Aliant Regional

Communications LP

1,870,000 6.170% due 26/02/37 ........ 1,361,961 0.32

Bell Canada

145,000 5.000% due 15/02/17 ........ 112,982 0.03

155,000 6.550% due 01/05/29 ........ 123,465 0.03

215,000 6.100% due 16/03/35 ........ 162,620 0.04

Caisse Centrale Desjardins

du Quebec

USD 800,000 2.550% due 24/03/16 ........ 618,926 0.14

Citigroup Finance Canada

Inc

CAD 100,000 5.500% due 21/05/13 ........ 73,886 0.02

Corus Entertainment Inc

760,000 7.250% due 10/02/17 ........ 554,579 0.13

Ford Auto Securitisation

Trust

92,651 4.817% due 15/10/12 ........ 66,613 0.01

Honda Canada Finance Inc

900,000 1.458% due 26/03/12 ........ 642,570 0.15

HSBC Finance Corp Ltd

300,000 1.503% due 03/05/12 ........ 214,615 0.05

Ontario, Province of Canada

EUR 1,340,000 4.000% due 03/12/19 ........ 1,469,320 0.34

Province of Ontario Canada

CAD 500,000 4.000% due 02/06/21 ........ 383,372 0.09

Province of Quebec Canada

USD 900,000 2.750% due 25/08/21 ........ 664,577 0.15

CAD 100,000 5.000% due 01/12/41 ........ 85,546 0.02

Quebec, Province of Canada

JPY 12,000,000 1.600% due 09/05/13 ........ 118,177 0.03

EUR 1,100,000 3.625% due 10/02/15 ........ 1,166,536 0.27

1,050,000 3.375% due 20/06/16 ........ 1,113,182 0.26

Rogers Communications

CAD 500,000 5.340% due 22/03/21 ........ 373,609 0.09

Rogers Communications Inc

410,000 6.110% due 25/08/40 ........ 296,893 0.07

Shaw Communications Inc

975,000 6.750% due 09/11/39 ........ 712,764 0.16

Teck Resources Ltd

USD 100,000 10.250% due 15/05/16 ...... 87,620 0.02

Videotron Ltee

CAD 550,000 6.875% due 15/07/21 ........ 389,397 0.09

11,109,899 2.58


ENN Energy Holdings

USD 400,000 6.000% due 13/05/21 ........ 288,238 0.07

Fibria Overseas Finance Ltd

500,000 6.750% due 03/03/21 ........ 333,532 0.08

150,000 6.750% due 03/03/21 ........ 100,060 0.02

IPIC GMTN Ltd

250,000 5.000% due 15/11/20 ........ 190,989 0.04

Principal

Amount

Fair Value

EUR

Fund

%

MUFG Capital Finance 5

Ltd

GBP 300,000 6.299% due 29/01/49 ........ 318,300 0.07

Odebrecht Drilling Norbe

VIII/IX Ltd

USD 200,000 6.350% due 30/06/21 ........ 147,574 0.03

Odebrecht Finance Ltd

400,000 6.000% due 05/04/23 ........ 277,260 0.07

QNB Finance Ltd

300,000 3.125% due 16/11/15 ........ 223,597 0.05

Transocean Inc

1,000,000 6.500% due 15/11/20 ........ 813,295 0.19

Voto-Votorantim

500,000 6.750% due 05/04/21 ........ 367,071 0.09

3,059,916 0.71

Colombia (0.19%)

COP Emgesa SA

825,000,000 8.750% due 25/01/21 ........ 325,133 0.08

USD

Empresas Publicas de

Medellin ESP

1,280,000,000 8.375% due 01/02/21 ........ 490,209 0.11

815,342 0.19


Czech, Republic of

EUR 340,000 4.625% due 23/06/14 ........ 363,976 0.08

630,000 4.500% due 05/11/14 ........ 674,418 0.16

400,000 5.000% due 11/06/18 ........ 438,656 0.10

400,000 4.125% due 18/03/20 ........ 416,353 0.10

1,893,403 0.44

Denmark (0.67%)

Denmark

DKK 17,590,000 4.000% due 15/11/19 ........ 2,750,002 0.64

Denmark Government

Bond

700,000 3.000% due 15/11/21 ........ 101,898 0.02

Denmark, Kingdom of

EUR 50,000 1.750% due 05/10/15 ........ 50,364 0.01

2,902,264 0.67

Finland (0.40%)

Finland Government Bond

1,640,000 3.125% due 15/09/14 ........ 1,739,746 0.40

France (3.87%)

Alstom SA

400,000 3.625% due 05/10/18 ........ 378,437 0.09

AXA SA

400,000 5.250% due 16/04/40 ........ 286,937 0.07

BNP Paribas Home Loan

Covered Bonds SA

100,000 3.750% due 13/12/11 ........ 100,340 0.02

300,000 4.750% due 28/05/13 ........ 311,909 0.07




30 September 2011



Principal

Amount

Fair Value

EUR

Fund

%

Bouygues

GBP 500,000 5.500% due 06/10/26 ........ 608,928 0.14

BPCE SA

USD 400,000 2.019% due 07/02/14 ........ 282,124 0.07

Cie de Financement

Foncier

900,000 2.125% due 22/04/13 ........ 671,975 0.16

1,400,000 1.000% due 17/04/14 ........ 1,003,548 0.23

CM-CIC Covered Bonds

EUR 1,600,000 2.750% due 11/02/14 ........ 1,611,388 0.38

500,000 3.125% due 21/01/15 ........ 507,151 0.12

Credit Agricole Home Loan

SFH

USD 1,600,000 1.002% due 21/07/14 ........ 1,163,375 0.27

EUR 100,000 2.875% due 09/09/16 ........ 99,051 0.02

Dexia Credit Local SA

GBP 1,100,000 1.127% due 14/01/13 ........ 1,258,141 0.29

USD 700,000 2.750% due 10/01/14 ........ 518,407 0.12

EUR 600,000 2.625% due 21/01/14 ........ 599,645 0.14

USD 1,900,000 2.750% due 29/04/14 ........ 1,394,447 0.32

Dexia Credit Local/New

York NY

800,000 2.000% due 05/03/13 ........ 590,590 0.14

Dexia Municipal Agency SA

EUR 1,300,000 2.750% due 25/01/16 ........ 1,190,824 0.28

France, Republic of

1,060,000 3.750% due 25/10/19 ........ 1,166,213 0.27

GCE Covered Bonds

300,000 2.000% due 30/09/13 ........ 298,165 0.07

100,000 2.125% due 03/06/14 ........ 99,159 0.02

100,000 2.750% due 14/01/15 ........ 100,216 0.02

Lafarge SA

500,000 5.375% due 29/11/18 ........ 428,750 0.10

Pernod-Ricard SA

300,000 5.000% due 15/03/17 ........ 299,223 0.07

Peugeot

350,000 6.875% due 30/03/16 ........ 351,505 0.08

Societe Generale

AUD 600,000 6.400% due 20/10/14 ........ 402,753 0.09

Vivendi SA

USD 1,200,000 5.750% due 04/04/13 ........ 943,562 0.22

16,666,763 3.87

Germany (6.61%)

Bundesobligation

EUR 3,250,000 4.000% due 11/10/13 ........ 3,473,178 0.81

Bundesschatzanweisungen

1,430,000 0.750% due 13/09/13 ........ 1,435,092 0.33

FMS Wertmanagement AoR

GBP 1,300,000 1.149% due 16/06/14 ........ 1,508,915 0.35

900,000 1.149% due 16/06/14 ........ 1,044,853 0.24

EUR 700,000 2.250% due 14/07/14 ........ 714,425 0.17

Principal

Amount

Fair Value

EUR

Fund

%

2,500,000 2.375% due 15/12/14 ........ 2,566,025 0.60

1,200,000 3.000% due 08/09/21 ........ 1,223,040 0.28

Germany, Federal Republic

of

3,530,000 3.250% due 04/07/15 ........ 3,839,581 0.89

970,000 4.250% due 04/07/18 ........ 1,144,342 0.27

360,000 6.250% due 04/01/24 ........ 517,017 0.12

800,000 6.500% due 04/07/27 ........ 1,220,392 0.28

1,320,000 5.625% due 04/01/28 ........ 1,864,735 0.43

300,000 5.500% due 04/01/31 ........ 427,401 0.10

Kreditanstalt fur

Wiederaufbau

AUD 700,000 5.500% due 05/06/14 ........ 521,932 0.12

NZD 1,620,000 6.375% due 17/02/15 ........ 991,176 0.23

AUD 1,470,000 6.000% due 19/01/16 ........ 1,118,808 0.26

EUR 1,000,000 2.000% due 07/09/16 ........ 1,007,890 0.23

JPY 238,000,000 2.600% due 20/06/37 ........ 2,605,569 0.61

Landesbank Baden-

Wuerttemberg

EUR 500,000 1.750% due 17/01/14 ........ 501,733 0.12

NRW.Bank

USD 1,000,000 0.708% due 24/08/12 ........ 747,042 0.17

28,473,146 6.61

India (0.16%)

Canara Bank

400,000 6.365% due 28/11/21 ........ 277,086 0.07

ICICI Bank Ltd

500,000 6.375% due 30/04/22 ........ 309,309 0.07

State Bank of India

EUR 100,000 4.500% due 30/11/15 ........ 95,529 0.02

681,924 0.16

Ireland (3.14%)

Cloverie plc for Zurich

Insurance Co Ltd

100,000 12.000% due 31/12/99 ...... 96,053 0.02

Ireland

150,000 5.900% due 18/10/19 ........ 134,959 0.03

Ireland, Republic of

790,000 4.600% due 18/04/16 ........ 725,556 0.17

5,520,000 4.500% due 18/04/20 ........ 4,519,900 1.05

4,230,000 5.000% due 18/10/20 ........ 3,512,881 0.81

4,440,000 5.400% due 13/03/25 ........ 3,689,667 0.86

RZD Capital Ltd

GBP 500,000 7.487% due 25/03/31 ........ 550,054 0.13

SC Germany Auto

2006-1

EUR 285,370 1.471% due 10/07/19 ........ 283,062 0.07

13,512,132 3.14

Italy (1.75%)

F-E Green Srl

39,810 1.800% due 30/10/18 ........ 39,474 0.01




30 September 2011



Principal

Amount

Fair Value

EUR

Fund

%

Finmeccanica SpA

450,000 4.875% due 24/03/25 ........ 371,650 0.09

Intesa Sanpaolo SpA

USD 1,000,000 2.708% due 24/02/14 ........ 671,166 0.16

Italy Buoni Poliennali Del

Tesoro

EUR 1,445,000 4.750% due 15/09/16 ........ 1,419,351 0.33

2,185,000 4.500% due 01/02/18 ........ 2,088,813 0.48

2,740,000 4.000% due 01/09/20 ........ 2,473,898 0.57

414,164 2.100% due 15/09/21 ........ 335,473 0.08

Italy, Republic of

200,000 4.000% due 01/02/37 ........ 145,813 0.03

7,545,638 1.75

Japan (5.92%)

Development Bank of Japan

JPY 36,000,000 1.400% due 20/06/12 ........ 350,826 0.08

eAccess Ltd

USD 500,000 8.250% due 01/04/18 ........ 340,985 0.08

Japan Finance Corp ME

JPY 90,000,000 2.000% due 09/05/16 ........ 931,885 0.22

Japan Government Five Year

Bond

127,000,000 0.700% due 20/06/14 ........ 1,245,121 0.29

Japan Government Ten Year

Bond

85,000,000 1.200% due 20/12/20 ........ 842,763 0.20

Japan Government Twenty

Year Bond

70,000,000 2.100% due 20/12/30 ........ 717,650 0.17

Japan Government Two

Year Bond

771,700,000 0.200% due 15/02/13 ........ 7,468,700 1.73

Japan Treasury Discount Bill

100,000,000

Zero Coupon due

07/11/11 ............................ 966,852 0.22

Japan, Government of

705,000,000 1.600% due 20/06/14 ........ 7,077,558 1.64

508,000,000 0.700% due 20/09/14 ........ 4,984,703 1.16

57,000,000 1.300% due 20/03/19 ........ 577,031 0.13

25,504,074 5.92


HBOS Capital Funding LP

GBP 200,000 6.461% due 29/11/49 ........ 132,261 0.03

Korea, Republic of (0.71%)

Export-Import Bank of

Korea

USD 100,000 1.393% due 13/03/12 ........ 74,514 0.02

EUR 400,000 5.750% due 22/05/13 ........ 410,996 0.10

PHP 39,000,000 4.000% due 26/11/15 ........ 622,768 0.14

Hana Bank

USD 1,000,000 4.000% due 03/11/16 ........ 717,151 0.17

Principal

Amount

Fair Value

EUR

Fund

%

Hyundai Steel

400,000 4.625% due 21/04/16 ........ 298,205 0.07

Korea Gas

CAD 600,000 4.580% due 12/05/16 ........ 451,953 0.10

Korea, Republic of

USD 620,000 5.750% due 16/04/14 ........ 496,887 0.11

3,072,474 0.71

Lithuania (0.08%)

Lithuania, Government of

500,000 6.125% due 09/03/21 ........ 365,208 0.08

Luxembourg (2.36%)

ArcelorMittal

515,000 5.250% due 05/08/20 ........ 342,944 0.08

375,000 5.500% due 01/03/21 ........ 250,442 0.06

CSN Resources SA

100,000 6.500% due 21/07/20 ........ 77,700 0.02

Enel Finance International

200,000 5.125% due 07/10/19 ........ 139,715 0.03

Eurohypo Hypothekenbank

Luxembourg

745,000 5.125% due 21/01/16 ........ 570,289 0.13

European Financial Stability

Facility

EUR 1,400,000 2.750% due 05/12/16 ........ 1,427,318 0.33

400,000 3.375% due 05/07/21 ........ 412,465 0.10

European Investment Bank

NZD 1,670,000 6.500% due 10/09/14 ........ 1,019,781 0.24

European Union

EUR 1,400,000 3.250% due 04/04/18 ........ 1,474,751 0.34

Gaz Capital SA

JPY 200,000,000 2.890% due 15/11/12 ........ 1,903,144 0.44

Telecom Italia Capital SA

USD 355,000 6.375% due 15/11/33 ........ 226,357 0.05

160,000 7.200% due 18/07/36 ........ 109,012 0.03

Tyco Electronics Group SA

1,000,000 5.950% due 15/01/14 ........ 804,152 0.19

Tyco International Group SA

1,000,000 6.000% due 15/11/13 ........ 815,992 0.19

Volkswagen Car Lease - A -

EUR 574,265 1.977% due 21/02/17 ........ 574,368 0.13

10,148,430 2.36

Malaysia (0.17%)

Malaysia

MYR 3,085,000 4.262% due 15/09/16 ........ 747,291 0.17

Mexico (4.45%)

Axtel SAB de CV

USD 420,000 7.625% due 01/02/17 ........ 256,689 0.06

325,000 9.000% due 22/09/19 ........ 203,473 0.05




30 September 2011



Principal

Amount

Fair Value

EUR

Fund

%

BBVA Bancomer SA

400,000 7.250% due 22/04/20 ........ 290,676 0.07

Corp GEO SAB de CV

200,000 8.875% due 25/09/14 ........ 149,065 0.04

Mexican Bonos

MXN 45,670,000 8.000% due 19/12/13 ........ 2,625,047 0.61

16,100,000 8.000% due 17/12/15 ........ 958,869 0.22

7,000,000 6.250% due 16/06/16 ........ 392,102 0.09

3,250,000 8.500% due 13/12/18 ........ 200,944 0.05

69,400,000 7.500% due 03/06/27 ........ 3,847,528 0.89

20,830,000 10.000% due 20/11/36 ...... 1,398,573 0.32

Mexican Bonos de

Desarrollo

40,280,000 8.000% due 11/06/20 ........ 2,403,711 0.56

5,150,000 6.500% due 10/06/21 ........ 277,514 0.06

Mexico Cetes

720,000,000

Zero Coupon due

13/10/11 ............................ 3,874,379 0.90

Petroleos Mexicanos

USD 100,000 6.500% due 02/06/41 ........ 77,141 0.02

Sigma Alimentos de CV

600,000 5.625% due 14/04/18 ........ 436,014 0.10

United Mexican States

MXN 30,450,000 8.500% due 18/11/38 ........ 1,769,574 0.41

19,161,299 4.45

Morocco (0.14%)

Kingdom of Morocco

EUR 700,000 4.500% due 05/10/20 ........ 618,678 0.14

Netherlands (2.42%)

ABN Amro Bank NV

1,000,000 3.500% due 12/01/18 ........ 1,032,211 0.24

100,000 4.310% due 29/03/49 ........ 56,333 0.01

Achmea Hypotheekbank

NV

USD 1,700,000 3.200% due 03/11/14 ........ 1,339,521 0.31

Allianz Finance II BV

EUR 700,000 5.750% due 08/07/41 ........ 551,867 0.13

Bank Nederlandse

Gemeenten

1,290,000 4.375% due 04/07/13 ........ 1,356,000 0.31

700,000 2.250% due 24/08/16 ........ 703,881 0.16


Holdings

250,000 4.000% due 07/07/20 ........ 254,397 0.06

Cooperatieve Centrale

Raiffeisen-Boerenleenbank

BA

USD 200,000 11.000% due 29/12/49 ...... 179,250 0.04

Deutsche Telekom

International Finance

EUR 100,000 4.250% due 13/07/22 ........ 99,169 0.02

265,000 4.875% due 22/04/25 ........ 269,726 0.06

Principal

Amount

Fair Value

EUR

Fund

%

Dutch Mortgage Portfolio

Loans BV

78,699 2.558% due 25/07/47 ........ 78,211 0.02

EDP Finance

50,000 4.625% due 13/06/16 ........ 39,164 0.01

EDP Finance BV

200,000 4.750% due 26/09/16 ........ 156,868 0.04

GBP 150,000 8.625% due 04/01/24 ........ 150,894 0.03

Fortis Bank Nederland

NV

EUR 350,000 3.375% due 19/05/14 ........ 367,204 0.09

ING Bank NV

500,000 2.250% due 31/08/15 ........ 499,028 0.12

400,000 3.250% due 03/03/16 ........ 412,137 0.10

LeasePlan Corp NV

400,000 3.250% due 22/05/14 ........ 418,209 0.10

Netherlands, Kingdom of

300,000 3.750% due 15/01/23 ........ 339,354 0.08

NIBC Bank NV

200,000 3.625% due 01/04/14 ........ 203,352 0.05

USD 1,400,000 2.800% due 02/12/14 ........ 1,093,111 0.25

OI European Group BV

EUR 400,000 6.875% due 31/03/17 ........ 378,000 0.09

Volkswagen International

Finance NV

USD 600,000 2.875% due 01/04/16 ........ 450,118 0.10

10,428,005 2.42

New Zealand (4.40%)

ANZ National International

Ltd

100,000 6.200% due 19/07/13 ........ 79,590 0.02

BNZ International Funding

Ltd

EUR 400,000 3.125% due 23/11/17 ........ 402,926 0.09

New Zealand

NZD 1,100,000 5.500% due 15/04/23 ........ 674,715 0.16

New Zealand, Government

of

2,160,000 6.500% due 15/04/13 ........ 1,297,169 0.30

10,880,000 6.000% due 15/04/15 ........ 6,738,379 1.56

2,710,000 6.000% due 15/12/17 ........ 1,713,897 0.40

3,600,000 5.000% due 15/03/19 ........ 2,149,088 0.50

9,300,000 6.000% due 15/05/21 ........ 5,924,398 1.37

18,980,162 4.40

Norway (1.42%)

DnB Nor Bank ASA

GBP 200,000 6.012% due 29/03/49 ........ 206,933 0.05

DnB Nor Boligkreditt

EUR 400,000 4.625% due 03/07/12 ........ 409,100 0.09

Norway, Kingdom of

NOK 12,000,000 4.250% due 19/05/17 ........ 1,706,283 0.40

17,595,000 4.500% due 22/05/19 ........ 2,587,946 0.60




30 September 2011



Principal

Amount

Fair Value

EUR

Fund

%

Sparebanken 1 Boligkreditt

AS

EUR 1,200,000 2.500% due 23/06/15 ........ 1,212,786 0.28

6,123,048 1.42

Peru (0.09%)

Peru, Republic of

USD 400,000 7.350% due 21/07/25 ........ 371,171 0.09

Philippines (0.70%)

Asian Development Bank

AUD 970,000 6.000% due 20/01/15 ........ 738,873 0.17

JPY 160,000,000 2.350% due 21/06/27 ........ 1,698,218 0.40

Philippine Government

International Bond

PHP 30,000,000 6.250% due 14/01/36 ........ 484,166 0.11

Philippines, Republic of

5,000,000 4.950% due 15/01/21 ........ 81,606 0.02

3,002,863 0.70

Poland (3.04%)

Poland, Government of

PLN 10,110,000 5.250% due 25/04/13 ........ 2,321,192 0.54

6,100,000 5.000% due 24/10/13 ........ 1,393,985 0.32

7,920,000 5.750% due 25/04/14 ........ 1,835,779 0.43

16,840,000 5.500% due 25/04/15 ........ 3,873,242 0.90

12,680,000 6.250% due 24/10/15 ........ 2,982,856 0.69

EUR 320,000 5.625% due 20/06/18 ........ 343,523 0.08

PLN 1,600,000 5.750% due 25/04/29 ........ 351,984 0.08

13,102,561 3.04

Qatar (0.06%)

Qatar, Government of

USD 200,000 5.250% due 20/01/20 ........ 163,971 0.04

100,000 6.400% due 20/01/40 ........ 90,743 0.02

254,714 0.06

Singapore (0.85%)

Singapore

SGD 1,020,000 2.250% due 01/06/21 ........ 617,002 0.14

Singapore, Government of

3,320,000 1.625% due 01/04/13 ........ 1,942,034 0.45

585,000 2.250% due 01/07/13 ........ 346,637 0.08

SingTel Group Treasury Pte

Ltd

USD 1,000,000 4.500% due 08/09/21 ........ 761,113 0.18

3,666,786 0.85

Slovakia (0.06%)

Slovakia, Republic of

EUR 230,000 4.375% due 15/05/17 ........ 241,086 0.06

Slovenia (0.15%)

Slovenia, Republic of

700,000 4.375% due 18/01/21 ........ 662,109 0.15

Principal

Amount

Fair Value

EUR

Fund

%

South Africa (0.59%)

South Africa, Republic

of

1,460,000 4.500% due 05/04/16 ........ 1,480,811 0.34

USD 665,000 6.875% due 27/05/19 ........ 589,811 0.14

Transnet Ltd

600,000 4.500% due 10/02/16 ........ 459,514 0.11

2,530,136 0.59

Spain (0.73%)

Spain, Kingdom of

EUR 1,445,000 4.100% due 30/07/18 ........ 1,403,224 0.33

1,440,000 5.500% due 30/04/21 ........ 1,478,732 0.34

Telefonica Emisiones

SAU

USD 325,000 7.045% due 20/06/36 ........ 242,053 0.06

3,124,009 0.73

Supranational (0.43%)

European Union

EUR 1,800,000 2.500% due 04/12/15 ........ 1,849,438 0.43

Sweden (0.68%)

Stadshypotek AB

700,000 3.000% due 01/10/14 ........ 721,815 0.17

Swedbank Hypotek

AB

700,000 3.625% due 05/10/16 ........ 733,923 0.17

Sweden, Kingdom of

SEK 12,300,000 4.500% due 12/08/15 ........ 1,493,528 0.34

2,949,266 0.68

Switzerland (0.72%)

Credit Suisse

USD 750,000 4.375% due 05/08/20 ........ 540,924 0.12

Eurofima

AUD 1,220,000 5.625% due 24/10/16 ........ 911,423 0.21

1,350,000 6.250% due 28/12/18 ........ 1,036,488 0.24

Transocean Inc

USD 800,000 4.950% due 15/11/15 ........ 627,954 0.15

3,116,789 0.72

Turkey (0.15%)

Akbank TAS

300,000 5.125% due 22/07/15 ........ 215,771 0.05

600,000 6.500% due 09/03/18 ........ 433,778 0.10

649,549 0.15

United Arab Emirates (0.26%)

Abu Dhabi National Energy

Co

300,000 6.165% due 25/10/17 ........ 247,075 0.06

DP World Ltd

1,300,000 6.850% due 02/07/37 ........ 881,717 0.20

1,128,792 0.26




30 September 2011



Principal

Amount

Fair Value

EUR

Fund

%



Services PLC

EUR 800,000 3.125% due 30/06/14 ........ 803,892 0.19


Services PLC/London

1,000,000 2.875% due 14/06/13 ........ 1,004,770 0.23

700,000 4.375% due 24/01/18 ........ 718,667 0.17

Arran Residential Mortgages

Funding

651,954 2.735% due 19/11/47 ........ 650,935 0.15

Bank of Scotland Plc

100,000 4.500% due 23/10/13 ........ 104,207 0.02

Barclays Bank Plc

USD 100,000 7.434% due 29/09/49 ........ 61,117 0.01

BP Capital Markets Plc

100,000 2.375% due 14/12/11 ........ 74,799 0.02

200,000 2.750% due 27/02/12 ........ 150,383 0.04

EUR 100,000 3.100% due 07/10/14 ........ 101,813 0.02

100,000 3.830% due 06/10/17 ........ 102,772 0.02

USD 400,000 4.500% due 01/10/20 ........ 322,912 0.08

British Sky Broadcasting

Group

900,000 9.500% due 15/11/18 ........ 862,143 0.20

British Telecommunications

Plc

GBP 65,000 5.750% due 07/12/28 ........ 77,419 0.02

FCE Bank Plc

900,000 5.125% due 16/11/15 ........ 978,028 0.23

Gosforth Funding

EUR 447,740 2.908% due 24/04/47 ........ 445,025 0.10

Gracechurch Card Funding

Plc

900,000 2.190% due 15/01/16 ........ 899,100 0.21

HBOS Euro Finance LP

1,000,000 7.627% due 29/03/49 ........ 710,010 0.16

HBOS Plc

USD 500,000 6.750% due 21/05/18 ........ 317,717 0.07

HMI 2011 1A A3

EUR 700,000 2.955% due 15/10/54 ........ 695,356 0.16

Holmes Master Issuer Plc

1,500,000 3.001% due 15/10/54 ........ 1,500,215 0.35

HSBC Bank Plc

USD 200,000 4.125% due 12/08/20 ........ 147,608 0.03

Hutchison Whampoa

GBP 450,000 5.625% due 24/11/26 ........ 559,943 0.13

JP Morgan Alternative Loan

Trust

USD 72,194 5.550% due 25/10/36 ........ 49,775 0.01

Lloyds TSB Bank Plc

300,000 4.875% due 21/01/16 ........ 220,410 0.05

300,000 6.500% due 14/09/20 ........ 190,007 0.04

EUR 300,000 4.000% due 29/09/20 ........ 300,239 0.07

Principal

Amount

Fair Value

EUR

Fund

%

Mansard Mortgages Plc

GBP 462,017 1.568% due 15/12/49 ........ 325,614 0.08

Morgan Stanley

EUR 720,000 1.840% due 29/11/13 ........ 656,114 0.15

Nationwide Building Society

600,000 4.125% due 27/02/12 ........ 604,860 0.14

USD 100,000 5.500% due 18/07/12 ........ 76,938 0.02

EUR 800,000 2.875% due 14/09/15 ........ 800,982 0.19

400,000 4.625% due 08/02/21 ........ 427,708 0.10

Old Mutual Plc

GBP 600,000 8.000% due 03/06/21 ........ 628,927 0.15

Pearson Dollar Finance Two

Plc

USD 1,000,000 6.250% due 06/05/18 ........ 851,835 0.20

Rexam Plc

645,000 6.750% due 01/06/13 ........ 514,473 0.12


Group

EUR 1,000,000 4.000% due 15/03/16 ........ 1,033,315 0.24

1,100,000 3.875% due 19/10/20 ........ 1,092,101 0.25

USD 700,000 6.125% due 11/01/21 ........ 515,760 0.12


200,000 4.875% due 25/08/14 ........ 150,083 0.03

U.K. Gilt

GBP 815,000 4.000% due 07/09/16 ........ 1,065,024 0.25

1,905,000 5.000% due 07/03/25 ........ 2,759,697 0.64

400,000 4.500% due 07/09/34 ........ 546,768 0.13

U.K. Government of

400,000 4.250% due 07/06/32 ........ 530,606 0.12

U.K. Treasury Stock

300,000 4.250% due 07/12/27 ........ 401,612 0.09

600,000 6.000% due 07/12/28 ........ 972,925 0.23

U.K., Government of

3,650,000 4.250% due 07/12/40 ........ 4,776,095 1.11

U.K. Gilt

1,070,000 4.000% due 07/03/22 ........ 1,414,775 0.33

Vedanta Resources

USD 1,000,000 6.750% due 07/06/16 ........ 603,712 0.14

Vodafone Group Plc

AUD 100,000 6.750% due 10/01/13 ........ 73,867 0.02

Yorkshire Building Society

EUR 100,000 3.250% due 22/09/15 ........ 100,334 0.02

32,973,387 7.65


Access Group Inc

USD 929,911 1.553% due 27/10/25 ........ 697,820 0.16

Accredited Mortgage Loan

Trust

136,000 0.555% due 25/12/35 ........ 57,419 0.01

ACE Securities Corp

315,000 0.715% due 25/04/35 ........ 201,584 0.05




30 September 2011



Principal

Amount

Fair Value

EUR

Fund

%

92,732 0.705% due 25/08/35 ........ 66,501 0.02

Adjustable Rate Mortgage

Trust

37,648 2.871% due 25/09/35 ........ 19,703 0.00

Aegis Asset Backed

Securities Trust

290,000 0.655% due 25/06/35 ........ 177,274 0.04

AFC Home Equity Loan

Trust

5,326 0.945% due 22/12/27 ........ 2,791 0.00

Alameda County Joint

Powers Authority

500,000 7.046% due 01/12/44 ........ 444,298 0.10

Ally Financial

100,000 3.751% due 20/06/14 ........ 68,030 0.02

Ally Financial Inc

630,000 6.750% due 01/12/14 ........ 449,011 0.10

Alta Wind Holdings LLC

288,895 7.000% due 30/06/35 ........ 231,023 0.05

American Express Credit

Account Master Trust

800,000 1.479% due 15/03/17 ........ 615,279 0.14

American Express Issuance

Trust

147,000 0.299% due 15/08/13 ........ 109,482 0.03

American Home Mortgage

Assets

40,770 0.425% due 25/05/46 ........ 15,564 0.00

55,569 0.445% due 25/10/46 ........ 20,623 0.00

American Home Mortgage

Investment Trust

787,793 2.037% due 25/09/45 ........ 454,736 0.11

American International

Group Inc

EUR 600,000 8.000% due 22/05/38 ........ 471,750 0.11

GBP 100,000 8.625% due 22/05/38 ........ 97,239 0.02

EUR 700,000 4.875% due 15/03/67 ........ 410,375 0.10

American Tower Corp

USD 100,000 7.000% due 15/10/17 ........ 84,281 0.02

Anadarko Petroleum Corp

380,000 6.450% due 15/09/36 ........ 299,590 0.07

Argent Securities Inc

USD 203,458 0.435% due 25/10/35 ........ 136,029 0.03

2,355,000 0.615% due 25/02/36 ........ 570,004 0.13

Asset Backed Funding

Certificates

550,000 0.395% due 25/01/37 ........ 129,690 0.03

828,000 0.455% due 25/01/37 ........ 197,585 0.05

Asset Backed Securities

Corp Home Equity

119,936 0.910% due 25/02/35 ........ 78,372 0.02

276,000 0.765% due 25/07/35 ........ 131,999 0.03

Aviation Capital Group

Corp

800,000 7.125% due 15/10/20 ........ 590,976 0.14

Principal

Amount

Fair Value

EUR

Fund

%

Avis Budget Rental Car

Funding AESOP LLC

900,000 5.680% due 20/02/14 ........ 701,705 0.16

Avnet Inc

485,000 5.875% due 15/06/20 ........ 389,396 0.09

BA Covered Bond Issuer

EUR 100,000 4.125% due 05/04/12 ........ 100,750 0.02

Ball

USD 395,000 5.750% due 15/05/21 ........ 286,307 0.07

Ball Corp

75,000 6.750% due 15/09/20 ........ 57,856 0.01

Banc America Funding

2006-J Trust

56,163 5.747% due 20/01/47 ........ 28,006 0.01

Banc of America Mortgage

Securities

206,000 6.000% due 25/03/37 ........ 136,127 0.03

Bank of America Corp

100,000 6.000% due 01/09/17 ........ 71,708 0.02

EUR 200,000 4.000% due 28/03/18 ........ 135,600 0.03

USD 1,300,000 5.650% due 01/05/18 ........ 920,021 0.21

890,000 5.625% due 01/07/20 ........ 610,975 0.14

Bank of America Funding

Corp

222,505 5.962% due 20/10/46 ........ 92,707 0.02

Bank of America Mortgage

Trust 2006-2

16,972 6.000% due 25/07/46 ........ 12,491 0.00

Bay Area Toll

Authority

300,000 6.907% due 01/10/50 ........ 290,446 0.07

Bear Stearns Adjustable Rate

Mortgage Trust

27,986 2.591% due 25/08/33 ........ 19,057 0.00

45,707 2.661% due 25/10/33 ........ 32,252 0.01

21,376 2.814% due 25/05/34 ........ 14,836 0.00

27,414 2.876% due 25/05/34 ........ 18,239 0.00

247,553 4.629% due 25/01/35 ........ 155,863 0.04

479,503 2.710% due 25/03/35 ........ 331,570 0.08

29,988 2.731% due 25/03/35 ........ 21,064 0.00

734,999 2.727% due 25/10/35 ........ 450,849 0.10

Bear Stearns Alternative A

Trust

256,371 2.813% due 25/11/35 ........ 104,572 0.02

527,802 2.611% due 25/01/36 ........ 191,062 0.04

470,106 2.748% due 25/08/36 ........ 156,915 0.04

102,190 5.780% due 25/08/36 ........ 43,383 0.01

537,952 2.607% due 25/11/36 ........ 235,351 0.05

Bear Stearns Asset Backed

Securities Trust

794,377 0.585% due 25/12/35 ........ 343,147 0.08

61,455 0.315% due 25/10/36 ........ 44,129 0.01

400,000 0.415% due 25/06/47 ........ 224,020 0.05




30 September 2011



Principal

Amount

Fair Value

EUR

Fund

%

Bear Stearns Commercial

Mortgage Securities

700,000 5.331% due 11/02/44 ........ 538,212 0.12

Bear Stearns Structured

Products Inc

61,505 4.719% due 26/12/46 ........ 27,864 0.01

Braskem America Finance

400,000 7.125% due 22/07/41 ........ 272,043 0.06

California State Public

Works Board

100,000 5.000% due 01/04/23 ........ 76,194 0.02

California Statewide

Financing Authority

85,000 5.625% due 01/05/29 ........ 57,840 0.01

Cameron International

575,000 5.950% due 01/06/41 ........ 480,362 0.11

Capital One Financial Corp

415,000 4.750% due 15/07/21 ........ 309,818 0.07

Capital One Multi-Asset

Execution Trust

EUR 50,000 2.098% due 17/08/17 ........ 48,017 0.01

500,000 2.098% due 17/08/17 ........ 480,173 0.11

CC Mortgage Funding Corp

USD 639,082 0.365% due 25/05/48 ........ 188,699 0.04

Centre County Hospital

Authority

400,000 7.000% due 15/11/46 ........ 332,190 0.08

Chase Issuance Trust

700,000 0.349% due 15/09/15 ........ 521,970 0.12

Chase Mortgage Finance

Corp

52,554 2.755% due 25/02/37 ........ 33,398 0.01

54,045 2.821% due 25/02/37 ........ 33,802 0.01

CHL Mortgage Pass

Through Trust

14,450 6.250% due 25/09/36 ........ 5,876 0.00

CIT Group Inc

700,000 5.250% due 01/04/14 ........ 504,770 0.12

Citicorp Mortgage Securities

Inc

20,120 6.000% due 25/06/36 ........ 14,905 0.00

301,714 6.000% due 25/04/37 ........ 218,107 0.05

Citigroup Commercial

Mortgage Trust

160,000 5.886% due 10/12/49 ........ 109,935 0.03

Citigroup Inc

150,000 5.500% due 11/04/13 ........ 115,066 0.03

500,000 0.607% due 09/06/16 ........ 310,260 0.07

625,000 5.500% due 15/02/17 ........ 463,702 0.11

EUR 200,000 3.625% due 30/11/17 ........ 157,252 0.04

USD 900,000 6.125% due 15/05/18 ........ 719,493 0.17

800,000 8.500% due 22/05/19 ........ 720,173 0.17

Citigroup Mortgage Loan

Trust Inc

108,467 2.736% due 25/03/34 ........ 70,949 0.02

Principal

Amount

Fair Value

EUR

Fund

%

79,127 4.964% due 25/08/35 ........ 57,262 0.01

781,202 2.660% due 25/10/35 ........ 457,114 0.11

1,073,736 0.385% due 25/10/36 ........ 725,671 0.17

303,000 0.385% due 25/11/36 ........ 156,532 0.04

187,000 0.385% due 25/01/37 ........ 96,744 0.02

502,445 5.624% due 25/09/37 ........ 223,712 0.05

Citigroup/Deutsche Bank

Commercial Mortgage Trust

140,000 5.322% due 11/12/49 ........ 107,559 0.03

City of New York NY

400,000 5.487% due 01/12/22 ........ 347,932 0.08

CMS Energy Corp

800,000 1.199% due 15/01/13 ........ 584,333 0.14

500,000 4.250% due 30/09/15 ........ 366,654 0.09

Community Health Systems

Inc

440,000 8.875% due 15/07/15 ........ 322,203 0.07

Conseco Finance

Securitisations Corp

404,950 7.360% due 01/09/33 ........ 328,870 0.08

Countrywide Alternative

Loan Trust

56,591 5.250% due 25/06/35 ........ 34,782 0.01

835,579 0.543% due 20/11/35 ........ 351,192 0.08

272,085 1.742% due 25/11/35 ........ 109,280 0.03

34,034 2.282% due 25/11/35 ........ 13,706 0.00

649,478 1.242% due 25/12/35 ........ 280,504 0.07

1,815,838 6.365% due 25/12/36 ........ 291,870 0.07

92,269 6.000% due 25/04/37 ........ 46,399 0.01

23,789 6.000% due 25/05/37 ........ 12,067 0.00

72,431 5.750% due 25/07/37 ........ 38,196 0.01

72,586 6.250% due 25/08/37 ........ 33,102 0.01

56,367 0.441% due 20/07/46 ........ 16,059 0.00

65,494 0.426% due 20/12/46 ........ 24,259 0.01

1,426,095 0.411% due 20/02/47 ........ 513,549 0.12

Countrywide Asset-Backed

Certificates

128,015 0.725% due 25/12/35 ........ 91,448 0.02

110,000 0.655% due 25/02/36 ........ 77,398 0.02

475,310 0.575% due 25/12/36 ........ 149,568 0.03

429,642 0.385% due 25/01/37 ........ 204,407 0.05

242,171 0.585% due 25/08/47 ........ 167,032 0.04

Countrywide Home Loan

Mortgage Pass Through

Trust

23,269 3.033% due 25/11/34 ........ 13,049 0.00

73,481 0.555% due 25/03/35 ........ 32,706 0.01

90,545 2.595% due 20/02/36 ........ 50,020 0.01

Countrywide Home Loan


Trust

76,743 4.173% due 19/11/33 ........ 53,436 0.01

27,233 2.793% due 25/08/34 ........ 14,185 0.00




30 September 2011



Principal

Amount

Fair Value

EUR

Fund

%

691,374 5.500% due 25/12/35 ........ 455,533 0.11

24,035 6.250% due 25/09/36 ........ 1,663 0.00

134,758 6.000% due 25/12/36 ........ 88,312 0.02

118,000 6.000% due 25/09/37 ........ 78,846 0.02

Credit Suisse First Boston

Mortgage Securities Trust

26,304 2.569% due 25/08/33 ........ 18,590 0.00

Credit Suisse Mortgage

Capital Certificates

81,144 6.500% due 26/07/36 ........ 33,067 0.01

20,000 5.903% due 15/06/39 ........ 15,523 0.00

Crown Castle Towers LLC

800,000 3.214% due 15/08/15 ........ 605,326 0.14

CW Capital Cobalt

390,000 5.484% due 15/04/47 ........ 308,010 0.07

CWMBS Inc

380,687 0.441% due 20/03/46 ........ 148,645 0.03

Dallas Area Rapid Transit

400,000 5.022% due 01/12/48 ........ 337,396 0.08

Delta Airlines Inc

1,021,060 6.821% due 10/08/22 ........ 766,727 0.18

286,818 8.021% due 10/08/22 ........ 208,428 0.05

DISH DBS

655,000 6.750% due 01/06/21 ........ 466,218 0.11

DSC Floorplan Master

Owner Trust

500,000 3.910% due 15/03/16 ........ 378,889 0.09

Embarq Corp

360,000 7.995% due 01/06/36 ........ 251,760 0.06

EMC Mortgage Loan Trust

85,097 0.605% due 25/05/40 ........ 52,026 0.01

Energy Transfer Partners

535,000 4.650% due 01/06/21 ........ 378,512 0.09

Entergy Corp

100,000 5.125% due 15/09/20 ........ 76,668 0.02

Erac USA Finance

100,000 5.250% due 01/10/20 ........ 81,638 0.02

Erac USA Finance LLC

600,000 5.800% due 15/10/12 ........ 465,966 0.11

396,000 7.000% due 15/10/37 ........ 343,847 0.08

Extended Stay America

Trust

1,100,000 5.498% due 05/11/27 ........ 771,434 0.18

Fannie Mae Grantor Trust

93,507 6.000% due 25/02/44 ........ 77,490 0.02

Fannie Mae Pool

32,021 2.260% due 01/09/35 ........ 24,803 0.01

Fannie Mae Pool

3,754,275 3.490% due 01/12/20 ........ 2,924,293 0.68

193,218 2.142% due 01/12/34 ........ 149,544 0.03

421,202 2.410% due 01/02/35 ........ 330,158 0.08

15,900,000 4.000% due 01/12/99 ........ 12,420,948 2.88

Principal

Amount

Fair Value

EUR

Fund

%

Fannie Mae REMICS

73,546 0.885% due 25/09/23 ........ 55,326 0.01

27,489 0.579% due 15/12/30 ........ 20,487 0.00

525,157 6.000% due 25/06/33 ........ 58,258 0.01

241,083 0.355% due 25/03/34 ........ 178,936 0.04

64,667 6.000% due 25/04/43 ........ 53,820 0.01

Fannie Mae Whole Loan

28,395 0.635% due 25/09/32 ........ 19,296 0.00

Fannie Mae Whole Loan

437,798 0.585% due 25/09/42 ........ 325,578 0.08

Federal Home Loan

Mortgage Corp

312,437 6.000% due 25/07/44 ........ 258,918 0.06

First Franklin Mortgage

Loan Asset Backed

Certificates

441,390 0.685% due 25/03/35 ........ 307,147 0.07

521,463 0.635% due 25/04/35 ........ 368,093 0.09

1,055,381 0.555% due 25/11/35 ........ 610,043 0.14

First Horizon Asset

Securities Inc

172,111 5.250% due 25/03/35 ........ 122,234 0.03

First Horizon Mortgage Pass

Through Trust

44,043 2.566% due 25/12/33 ........ 29,922 0.01

36,700 2.746% due 25/08/35 ........ 21,689 0.01

FNMA, Pool 806506

27,242 1.452% due 01/10/44 ........ 20,689 0.00

Ford Motor Credit LLC

500,000 5.750% due 01/02/21 ........ 368,748 0.09

Freddie Mac Non Gold Pool

4,537 2.878% due 01/12/26 ........ 3,450 0.00

Freddie Mac REMICS

143,975 6.000% due 15/04/32 ........ 3,180 0.00

Freddie Mac REMICS

51,142 0.829% due 15/12/37 ........ 38,303 0.01

Frontier Communications Co

365,000 6.625% due 15/03/15 ........ 274,083 0.06

FUEL Trust

400,000 4.207% due 15/04/16 ........ 297,020 0.07


Corp

JPY 44,600,000 1.000% due 21/03/12 ........ 431,446 0.10

Georgia Pacific Corp

USD 475,000 5.400% due 01/11/20 ........ 360,159 0.08

GNMA II POOL 008971

20,746 2.625% due 20/09/26 ........ 16,052 0.00

GNMA II, Pool 008699

19,818 2.625% due 20/09/25 ........ 15,334 0.00

Goldman Sachs Group Inc

1,100,000 1.269% due 07/02/14 ........ 785,590 0.18

EUR 1,000,000 1.883% due 23/05/16 ........ 842,970 0.20

USD 400,000 6.150% due 01/04/18 ........ 308,944 0.07




30 September 2011



Principal

Amount

Fair Value

EUR

Fund

%

Granite Master Issuer

100,000 0.401% due 20/12/54 ........ 59,626 0.01

Greenpoint Mortgage

Funding Trust

80,103 0.505% due 25/11/45 ........ 34,009 0.01

Greenwich Capital

Acceptance Inc

1,376 3.121% due 25/06/24 ........ 957 0.00

Greenwich Capital

Commercial Funding Corp

330,000 6.074% due 10/07/38 ........ 229,987 0.05

985,000 5.444% due 10/03/39 ........ 761,237 0.18

935,000 5.736% due 10/12/49 ........ 723,423 0.17

350,000 6.199% due 10/12/49 ........ 127,426 0.03

GS Mortgage Securities

Corp II

300,000 4.592% due 10/08/43 ........ 231,719 0.05

770,000 5.984% due 10/08/45 ........ 596,232 0.14

GS Mortgage Securities

Loan Trust

733,947 2.738% due 25/09/35 ........ 501,823 0.12

GSR Mortgage Loan Trust

6,873 6.000% due 25/03/32 ........ 5,327 0.00

46,250 1.850% due 25/03/33 ........ 32,311 0.01

800,000 2.681% due 25/09/35 ........ 486,654 0.11

435,735 2.795% due 25/01/36 ........ 237,485 0.06

Harborview Mortgage Loan

Trust

103,233 2.955% due 19/05/33 ........ 69,460 0.02

992,424 0.470% due 19/03/36 ........ 429,697 0.10

147,957 1.092% due 19/12/36 ........ 55,276 0.01

HCA Inc

200,000 6.375% due 15/01/15 ........ 144,965 0.03

200,000 7.690% due 15/06/25 ........ 134,158 0.03

90,000 7.580% due 15/09/25 ........ 60,036 0.01

Health Care REIT Inc

400,000 5.875% due 15/05/15 ........ 312,162 0.07

Hertz Vehicle Financing

LLC

900,000 4.260% due 25/03/14 ........ 695,382 0.16

400,000 4.940% due 25/03/16 ........ 306,776 0.07

Hewlett-Packard

965,000 6.000% due 15/09/41 ........ 758,601 0.18

Home Equity Mortgage

Trust

96,881 5.500% due 25/01/37 ........ 10,424 0.00

HSBC USA Inc

200,000 5.000% due 27/09/20 ........ 141,027 0.03

300,000 5.625% due 15/08/35 ........ 215,759 0.05

Hyatt Hotels

705,000 5.375% due 15/08/21 ........ 539,199 0.13

Incitec Pivot Finance LLC

490,000 6.000% due 10/12/19 ........ 401,592 0.09

Principal

Amount

Fair Value

EUR

Fund

%

Indymac Index Mortgage

Loan Trust

23,162 2.662% due 25/12/34 ........ 11,926 0.00

155,055 0.475% due 25/07/35 ........ 65,266 0.02

351,504 0.505% due 25/06/37 ........ 45,722 0.01

Indymac Residential Asset

Backed Trust

756,640 0.395% due 25/07/37 ........ 264,845 0.06

Inter-American

Development Bank

INR 43,350,000 4.750% due 10/01/14 ........ 677,466 0.16

IDR 32,320,000,000

Zero Coupon due

20/08/15 ........................... 1,966,022 0.46

NZD 1,660,000 6.000% due 15/12/17 ........ 1,023,342 0.24

International Lease Finance

Corp

USD 100,000 6.375% due 25/03/13 ........ 72,483 0.02

International Lease Finance

Corp

500,000 6.500% due 01/09/14 ........ 372,661 0.09

400,000 6.750% due 01/09/16 ........ 298,875 0.07

Iowa Tobacco Settlement

Authority

285,000 6.500% due 01/06/23 ........ 200,156 0.05

Ipalco Enterprises Inc

175,000 7.250% due 01/04/16 ........ 134,018 0.03

JP Morgan Chase Bank NA

IDR 9,550,000,000

Zero Coupon due

17/10/11 ........................... 798,428 0.19

JP Morgan Chase Capital

XXII

USD 100,000 6.450% due 02/02/37 ........ 74,248 0.02

JP Morgan Chase

Commercial Mortgage

Securities Corp

94,923 2.749% due 15/11/43 ........ 70,761 0.02

JP Morgan Mortgage

Acquisition

793,000 0.425% due 25/03/47 ........ 176,463 0.04

JP Morgan Mortgage

Acquisition Corp

3,880 0.285% due 25/10/36 ........ 2,842 0.00

270,000 0.365% due 25/11/36 ........ 153,548 0.04

JP Morgan Mortgage

Trust

26,014 2.105% due 25/11/33 ........ 18,441 0.00

190,695 4.991% due 25/07/35 ........ 121,219 0.03

400,000 2.740% due 25/08/35 ........ 241,381 0.06

404,561 6.500% due 25/08/36 ........ 265,478 0.06

100,810 6.500% due 25/08/36 ........ 68,603 0.02

278,000 6.000% due 25/01/37 ........ 159,599 0.04

629,063 7.000% due 25/08/37 ........ 422,867 0.10

LB-UBS Commercial

Mortgage Trust

320,000 5.424% due 15/02/40 ........ 251,718 0.06

225,000 5.430% due 15/02/40 ........ 172,222 0.04




30 September 2011



Principal

Amount

Fair Value

EUR

Fund

%

Lehman Brothers Holdings

Inc

500,000 6.200% due 26/09/14 ........ 89,905 0.02

GBP 600,000 7.875% due 08/05/18 ........ 170,258 0.04

USD 400,000 2.951% due 25/05/49 ........ 68,942 0.02

340,000 1.535% due 25/11/34 ........ 193,890 0.05

Los Angeles County Public

Works Financing Authority

500,000 7.488% due 01/08/33 ........ 459,052 0.11

Los Angeles Unified School

District

300,000 4.500% due 01/07/25 ........ 229,151 0.05

Marfrig Overseas Ltd

485,000 9.625% due 16/11/16 ........ 271,111 0.06

Marriott Vacation Club

Owner Trust

509,179 4.809% due 20/07/31 ........ 392,460 0.09

Marsh & McLennan Cos Inc

364,000 5.750% due 15/09/15 ........ 302,198 0.07

Master Asset Backed

Securities Trust

193,000 0.475% due 25/10/36 ........ 41,916 0.01

MBNA Credit Card Master

Note

EUR 410,000 4.500% due 17/01/14 ........ 422,609 0.10

MBNA Credit Card Master

Note Trust

550,000 1.632% due 19/03/18 ........ 514,105 0.12

Meccanica Holdings

USA

USD 400,000 7.375% due 15/07/39 ........ 286,248 0.07

Merrill Lynch & Co Inc

EUR 300,000 2.287% due 27/09/12 ........ 289,230 0.07

1,100,000 1.840% due 30/05/14 ........ 954,272 0.22

300,000 1.836% due 25/08/14 ........ 257,136 0.06

GBP 200,000 7.750% due 30/04/18 ........ 223,385 0.05

USD 600,000 6.166% due 12/08/49 ........ 469,959 0.11

Merrill Lynch Countrywide

Commercial Mortgage

Trust

425,000 5.378% due 12/08/48 ........ 320,934 0.07

Merrill Lynch Mortgage

Investment Inc

240,738 1.653% due 25/10/35 ........ 155,407 0.04

46,216 0.485% due 25/08/36 ........ 25,732 0.01

Merrill Lynch Mortgage

Investment Trust

14,658 2.277% due 25/02/33 ........ 9,497 0.00

Metropolitan Washington

Airports Authority

100,000 7.462% due 01/10/46 ........ 85,647 0.02

Mid-State Trust

186,367 6.340% due 15/10/36 ........ 128,104 0.03

MLCC Mortgage Investors

389,835 1.953% due 25/02/36 ........ 243,327 0.06

Principal

Amount

Fair Value

EUR

Fund

%

MLCC Mortgage Investors

Inc

232,264 2.384% due 25/06/37 ........ 143,924 0.03

Morgan Stanley

100,000 0.729% due 15/10/15 ........ 62,941 0.01

Morgan Stanley ABS

Capital I

164,000 0.655% due 25/03/35 ........ 100,079 0.02

130,000 0.705% due 25/03/35 ........ 79,532 0.02

Morgan Stanley Capital I

120,000 5.692% due 15/04/49 ........ 92,719 0.02

Morgan Stanley Capital I

70,000 6.456% due 11/01/43 ........ 60,333 0.01

600,000 5.447% due 12/02/44 ........ 479,565 0.11

530,000 5.364% due 15/03/44 ........ 419,353 0.10

60,000 5.406% due 15/03/44 ........ 38,707 0.01

400,000 6.080% due 11/06/49 ........ 316,072 0.07

Morgan Stanley Inc

600,000 1.853% due 24/01/14 ........ 417,224 0.10

AUD 1,030,000 7.625% due 03/03/16 ........ 739,463 0.17

Motorola Solutions Inc

USD 131,000 6.625% due 15/11/37 ........ 116,123 0.03

Newfield Exploration

370,000 5.750% due 30/01/22 ........ 272,667 0.06

News America Inc

575,000 6.150% due 01/03/37 ........ 457,853 0.11

Nextel Communications

Inc

770,000 7.375% due 01/08/15 ........ 543,769 0.13

NII Capital

290,000 8.875% due 15/12/19 ........ 225,330 0.05

Nomura Asset Acceptance

Corp

330,461 2.496% due 25/10/35 ........ 158,204 0.04

Northside Independent

School District

200,000 5.741% due 15/08/35 ........ 156,211 0.04

300,000 5.891% due 15/08/40 ........ 234,842 0.05

Owens & Minor Inc

1,225,000 6.350% due 15/04/16 ........ 981,928 0.23

Palomar Community College

District

500,000 7.194% due 01/08/45 ........ 411,519 0.10

Park Place Securities Inc

432,186 0.915% due 25/12/34 ........ 305,876 0.07

85,586 0.935% due 25/12/34 ........ 58,504 0.01

251,185 0.655% due 25/03/35 ........ 173,136 0.04

People's Choice Home Loan

Securities Trust

156,474 0.735% due 25/08/35 ........ 109,127 0.03

Popular ABS Mortgage

Pass-Through Trust

250,642 0.395% due 25/11/46 ........ 165,617 0.04




30 September 2011



Principal

Amount

Fair Value

EUR

Fund

%

PPG Industries Inc

1,000,000 6.650% due 15/03/18 ........ 916,990 0.21

Pride International Inc

200,000 8.500% due 15/06/19 ........ 186,826 0.04

Puerto Rico Sales

100,000

Zero Coupon due

01/08/54 ............................ 5,234 0.00

Puma Finance Ltd

197,267 0.368% due 21/02/38 ........ 137,874 0.03

Qwest Capital Funding Inc

480,000 6.875% due 15/07/28 ........ 309,458 0.07

Residential Accredit Loans -

A -

158,221 0.415% due 25/06/46 ........ 40,062 0.01

Residential Accredit Loans

Inc

147,339 6.000% due 25/12/35 ........ 76,086 0.02

319,608 0.445% due 25/04/46 ........ 96,269 0.02

Residential Asset Mortgage

Products Inc

6,589 0.795% due 25/06/32 ........ 3,832 0.00

16,740 0.355% due 25/05/37 ........ 12,123 0.00

Residential Asset Securities

Corp

19,924 0.485% due 25/11/35 ........ 14,038 0.00

470,000 0.535% due 25/02/36 ........ 213,573 0.05

Residential Asset

Securitisation Trust

213,230 0.635% due 25/01/46 ........ 66,884 0.02

Residential Funding

Mortgage Securities I

25,108 6.500% due 25/03/32 ........ 19,398 0.00

424,153 3.033% due 25/09/35 ........ 200,589 0.05

Reynolds American Inc

1,000,000 7.250% due 01/06/13 ........ 813,136 0.19

Reynolds Group Issuer

300,000 7.875% due 15/08/19 ........ 215,771 0.05

Reynolds Group Issuer Inc

500,000 6.875% due 15/02/21 ........ 335,395 0.08

Rockies Express Pipeline

LLC

100,000 5.625% due 15/04/20 ........ 70,789 0.02

Rowan

300,000 5.000% due 01/09/17 ........ 231,698 0.05

Ryder System Inc

2,000,000 6.000% due 01/03/13 ........ 1,583,120 0.37

SACO I Inc

6,854 0.355% due 25/05/36 ........ 4,662 0.00

San Diego County Regional

Airport Authority

400,000 6.628% due 01/07/40 ........ 320,659 0.07

Santander Drive Auto

Receivables Trust

576,551 3.350% due 15/06/17 ........ 429,373 0.10

Principal

Amount

Fair Value

EUR

Fund

%

Saxon Asset Securities

Trust

364,242 0.485% due 25/11/37 ........ 257,628 0.06

Securitized Asset Backed

Receivables LLC Trust

89,381 0.365% due 25/05/37 ........ 38,501 0.01

Sequoia Mortgage Trust

567,964 0.581% due 20/07/33 ........ 352,632 0.08

Sierra Receivables Funding

Co

230,408 7.620% due 20/07/26 ........ 172,474 0.04

SLC Student Loan Trust

418,793 0.797% due 15/06/17 ........ 311,705 0.07

SLM Corp

1,375,000 5.000% due 01/10/13 ........ 1,003,173 0.23

SLM Student Loan Trust

386,693 1.753% due 25/04/23 ........ 296,044 0.07

Small Business

Administration Participation

Certificates

844,921 6.290% due 01/01/21 ........ 694,114 0.16

220,423 5.090% due 01/10/25 ........ 180,521 0.04

Soundview Home Equity

Loan Trust

1,042,000 0.395% due 25/10/36 ........ 398,811 0.09

63,247 1.035% due 25/10/37 ........ 46,661 0.01

Specialty Underwriting &

Residential Finance

Mortgage Trust

261,240 0.625% due 25/06/36 ........ 171,593 0.04

State of California

500,000 7.600% due 01/11/40 ........ 461,053 0.11

Structured Adjustable Rate

Mortgage Loan Trust

43,481 2.596% due 25/09/34 ........ 29,978 0.01

Structured Asset Investment

Loan Trust

266,000 0.655% due 25/06/35 ........ 161,702 0.04

Structured Asset Mortgage

Investments II

206,171 0.580% due 19/03/34 ........ 128,167 0.03


Investments II Inc

413,661 0.455% due 25/05/36 ........ 158,909 0.04


Investments Inc

62,543 0.425% due 25/07/46 ........ 24,786 0.01

600,000 0.455% due 25/09/47 ........ 162,510 0.04

Structured Asset Securities

Corp

56,405 2.488% due 25/02/34 ........ 38,022 0.01

135,663 2.534% due 25/04/34 ........ 82,241 0.02

Tennessee Valley

Authority

400,000 5.880% due 01/04/36 ........ 410,539 0.10




30 September 2011



Principal

Amount

Fair Value

EUR

Fund

%

Thornburg Mortgage

Securities Trust

312,068 0.365% due 25/06/37 ........ 224,976 0.05

Tobacco Settlement Funding

Corp

105,000 6.000% due 01/06/23 ........ 78,908 0.02

200,000 5.875% due 15/05/39 ........ 149,068 0.03

Triborough Bridge & Tunnel

Authority

100,000 5.550% due 15/11/40 ........ 84,613 0.02

Trinity Rail Leasing

LP

968,192 5.194% due 16/10/40 ........ 696,939 0.16

Tyco International Ltd

500,000 7.000% due 15/12/19 ........ 465,524 0.11

U.S. Treasury Bonds

5,940,000 3.750% due 15/11/18 ........ 5,121,393 1.19

U.S. Treasury Notes

915,000 1.375% due 15/10/12 ........ 690,309 0.16

810,000 1.375% due 15/02/13 ........ 613,074 0.14

2,480,000 3.375% due 30/06/13 ........ 1,948,619 0.45

2,760,000 4.250% due 15/05/39 ........ 2,588,722 0.60

U.S. Treasury Bill**

950,000

Zero Coupon due

13/10/11 ............................ 708,055 0.16

U.S. Treasury Note/

Bond

1,290,000 0.750% due 30/11/11 ........ 962,519 0.22

300,000 3.125% due 15/05/21 ........ 248,175 0.06

300,000 2.125% due 15/08/21 ........ 227,546 0.05

500,000 3.750% due 15/08/41 ........ 433,860 0.10

Valeant Pharmaceuticals

International

475,000 6.750% due 15/08/21 ........ 306,677 0.07

425,000 7.250% due 15/07/22 ........ 277,959 0.06

Verizon New York

Inc

200,000 6.875% due 01/04/12 ........ 153,396 0.04

Vivendi SA

100,000 6.625% due 04/04/18 ........ 84,590 0.02

Wachovia Bank Commercial

Mortgage Trust

580,000 5.342% due 15/12/43 ........ 440,681 0.10

Wal-Mart Stores

400,000 5.625% due 15/04/41 ........ 367,296 0.09

Wal-Mart Stores Inc

100,000 6.200% due 15/04/38 ........ 96,107 0.02

WaMu Mortgage Pass

Through Certificates

8,238 2.580% due 25/06/33 ........ 5,860 0.00

14,951 1.448% due 25/05/41 ........ 9,616 0.00

Washington Mutual Asset-

Backed Certificates

1,231,714 0.455% due 25/02/37 ........ 291,644 0.07

Principal

Amount

Fair Value

EUR

Fund

%

Washington Mutual


Certificates

61,147 2.643% due 25/02/37 ........ 31,697 0.01

126,473 1.182% due 25/07/46 ........ 34,241 0.01

58,440 0.942% due 25/02/47 ........ 24,425 0.01

Wells Fargo & Co

GBP 300,000 4.625% due 02/11/35 ........ 304,712 0.07

150,000 4.875% due 29/11/35 ........ 132,547 0.03

Wells Fargo Home Equity

Trust

USD 430,000 0.485% due 25/07/36 ........ 142,797 0.03

215,904 2.724% due 25/10/35 ........ 138,450 0.03

125,116 21.873% due 25/01/36 ...... 121,045 0.03

552,783 2.731% due 25/03/36 ........ 338,081 0.08

195,645 5.750% due 25/05/36 ........ 128,728 0.03

867,966 2.734% due 25/07/36 ........ 477,340 0.11

143,991 6.000% due 25/07/36 ........ 94,054 0.02

365,861 5.873% due 25/09/36 ........ 235,246 0.05

202,125 6.000% due 25/09/36 ........ 139,530 0.03

310,696 5.500% due 25/04/37 ........ 206,678 0.05

133,000 6.000% due 25/04/37 ........ 89,740 0.02

83,266 6.000% due 25/05/37 ........ 54,199 0.01

29,888 6.000% due 25/06/37 ........ 20,795 0.00

298,000 6.000% due 25/06/37 ........ 198,520 0.05

232,000 6.000% due 25/07/37 ........ 163,001 0.04

30,233 6.000% due 25/07/37 ........ 21,307 0.00

117,061 6.000% due 25/08/37 ........ 79,807 0.02

135,000 6.000% due 25/08/37 ........ 91,607 0.02

29,710 6.000% due 25/08/37 ........ 20,423 0.00

394,282 6.000% due 25/08/37 ........ 268,065 0.06

259,389 6.000% due 25/09/37 ........ 176,626 0.04

Westpac Securities NZ Ltd

900,000 3.450% due 28/07/14 ........ 720,133 0.17

White Mountains Re Group

Ltd

825,000 6.375% due 20/03/17 ........ 617,274 0.14

WM Covered Bond Program

EUR 2,200,000 4.375% due 19/05/14 ........ 2,293,381 0.53

World Financial Network

Credit Card Master Trust

USD 715,000 3.960% due 15/04/19 ........ 573,884 0.13

Zurich Finance USA Inc

EUR 150,000 5.750% due 02/10/23 ........ 147,086 0.03

200,000 4.500% due 15/06/25 ........ 186,085 0.04

122,500,933 28.42

Uruguay (0.28%)

Uruguay Government

International Bond

USD 19,307,454 5.000% due 14/09/18 ........ 727,126 0.17

16,098,836 3.700% due 26/06/37 ........ 493,675 0.11

1,220,801 0.28




30 September 2011



Principal

Amount

Fair Value

EUR

Fund

%

Virgin Islands, British (0.02%)

C8 Capital SPV Ltd

300,000 6.640% due 29/12/49 ........ 100,619 0.02


and Notes ............................ 410,883,544 95.34

Money Market Instruments (0.70%)


U.S. Treasury Bill***

308,000 0.006% due 20/10/11 ........ 229,559 0.05


149,000 0.023% due 23/02/12 ........ 111,047 0.03


90,000 0.035% due 01/03/12 ........ 67,072 0.02


2,006,000 0.260% due 08/03/12 ........ 1,494,944 0.35


84,000 0.050% due 15/03/12 ........ 62,603 0.01

U.S. Treasury Bill

1,400,000 0.035% due 29/03/12 ........ 1,043,229 0.24

3,008,454 0.70

Total Money Market

Instruments ........................ 3,008,454 0.70

Total Transferable

Securities ............................ 413,891,998 96.04


Number

of Shares

Fair Value

EUR

Fund

%


Ireland (2.87%)

EUR 6,960


III plc



GBP 120


III plc


Class C Income Shares ..... 139,619 0.03

USD 699,312


III plc

The U.S. Dollar Cash Fund

II - Class C Shares ............. 5,212,135 1.21

EUR 34


plc

The Global Bond (Euro

Hedged) Fund - Class EH

B Shares ........................... 34,436 0.01

12,345,606 2.87

Luxembourg (1.47%)

USD 56,747

IXIS International Funds

Lux I

Loomis Sayles Emerging

Debt and Currencies ......... 6,341,215 1.47


Schemes ............................. 18,686,821 4.34

Total Investments

excluding Financial

Derivative Instruments ..... 432,578,819 100.38


Notional

Amount

EUR

Average

Cost Price

EUR

Unrealised

Gain/(Loss)

EUR

Fund

%

1,122,222 93.52

12 of Government of Canada 10 Year Futures


Expiring December 2011 ....................................... 18,539 0.00

4,242,059 96.41

2 of U.S. Treasury Note 10 Year Futures


Expiring December 2011 ........................................ 41,547 0.01

(3,433,920) (122.64)

28 of German Euro Bobl Futures



13,043,079 148.22

97 of U.K. Long Gilt Bond Futures



1,930,451 101.60

19 of 30 Year U.S. Treasury Bond Futures



(2,898,800) (103.53)



Expiring December 2011 ........................................ (82,917) (0.02)

2,464,730 82.16



Expiring December 2011 ........................................ (2,893) 0.00




30 September 2011



Notional

Amount

EUR

Average

Cost Price

EUR

Unrealised

Gain/(Loss)

EUR

Fund

%

3,013,758 91.33




(5,563,034) (91.20)




(2,802,019) (96.62)




2,084,540 122.62

17 of German Euro Bobl Futures



5,855,650 136.18

22 of German Euro Bund Futures


Expiring December 2011 ........................................ (440) 0.00

1,539,440 109.96

14 of German Euro Schatz Futures



276,141 1.38

2 of 10 Year Japan Government Bond Mini

Futures



5,510,053 1.38

4 of 10 Year Japan Government Bond Mini

Futures



22,524,707 1.02

176 of Euro Currency Futures


Expiring December 2011 ........................................ (527,987) (0.12)

Unrealised gain on open futures contracts ................................................................................. 432,214 0.09

Unrealised loss on open futures contracts .................................................................................. (653,950) (0.14)

Net unrealised gain (loss) on open futures contracts ............................................................ (221,736) (0.05)


Settlement

Date

Amount

Bought

Amount

Sold

Unrealised

Gain/(Loss)

EUR

Fund

%

10/11/2011 AUD 242,000 USD 235,997 (1,385) 0.00

13/01/2012 AUD 1,649,117 USD 1,698,739 (85,465) (0.02)

13/01/2012 AUD 3,214,980 USD 3,105,445 (12,824) 0.00

03/11/2011 BRL 101,309 USD 63,696 (7,128) 0.00

03/10/2011 CAD 262,000 USD 254,827 (2,533) 0.00

17/11/2011 CAD 232,000 USD 224,891 (1,852) 0.00

08/09/2015 CNY 450,000 USD 74,399 (898) 0.00

08/09/2015 CNY 1,350,000 USD 223,141 (2,651) 0.00

08/09/2015 CNY 1,350,000 USD 223,751 (3,108) 0.00

08/09/2015 CNY 640,000 USD 105,899 (1,342) 0.00

08/09/2015 CNY 339,991 USD 56,327 (765) 0.00

08/09/2015 CNY 1,681,861 USD 278,638 (3,786) 0.00

08/09/2015 CNY 1,105,200 USD 180,000 (164) 0.00

08/09/2015 CNY 1,105,200 USD 180,000 (164) 0.00

08/09/2015 CNY 553,950 USD 90,000 82 0.00




30 September 2011



Settlement

Date

Amount

Bought

Amount

Sold

Unrealised

Gain/(Loss)

EUR

Fund

%

08/09/2015 CNY 553,500 USD 90,000 28 0.00

08/09/2015 CNY 720,720 USD 117,000 178 0.00

15/11/2011 CNY 551,000 USD 85,785 401 0.00

15/11/2011 CNY 224,000 USD 34,864 171 0.00

05/08/2013 CNY 9,519,543 USD 1,507,449 8,263 0.00

01/06/2012 CNY 1,955,200 USD 305,500 1,596 0.00

01/06/2012 CNY 1,956,422 USD 305,500 1,740 0.00

25/04/2014 CNY 2,971,918 USD 487,000 (7,168) 0.00

25/04/2014 CNY 2,970,700 USD 487,000 (7,314) 0.00

25/04/2014 CNY 1,784,370 USD 293,000 (4,752) 0.00

25/04/2014 CNY 1,782,905 USD 293,000 (4,928) 0.00

25/04/2014 CNY 1,122,400 USD 184,000 (2,764) 0.00

25/04/2014 CNY 1,417,805 USD 233,000 (3,919) 0.00

25/04/2014 CNY 949,260 USD 156,000 (2,624) 0.00

25/04/2014 CNY 1,160,325 USD 191,000 (3,442) 0.00

25/04/2014 CNY 943,885 USD 155,500 (2,895) 0.00

25/04/2014 CNY 948,550 USD 155,500 (2,335) 0.00

01/02/2013 CNY 11,295,838 USD 1,799,560 (6,398) 0.00

05/08/2013 CNY 3,000,000 USD 478,927 (282) 0.00

15/11/2011 CNY 1,350,134 USD 207,825 2,755 0.00

01/06/2012 CNY 1,155,371 USD 183,000 (901) 0.00

01/06/2012 CNY 2,486,337 USD 394,000 (2,078) 0.00

01/06/2012 CNY 535,883 USD 85,000 (508) 0.00

01/06/2012 CNY 662,183 USD 105,000 (603) 0.00

01/06/2012 CNY 807,040 USD 128,000 (758) 0.00

01/06/2012 CNY 1,096,548 USD 174,000 (1,091) 0.00

01/06/2012 CNY 2,669,342 USD 423,000 (2,231) 0.00

01/06/2012 CNY 2,675,652 USD 424,000 (2,236) 0.00

21/12/2011 EUR 2,279,154 CAD 3,165,000 18,547 0.00

21/12/2011 EUR 2,741,420 DKK 20,400,000 (1,263) 0.00

21/12/2011 EUR 7,115,825 GBP 6,280,000 (172,596) (0.04)

21/12/2011 EUR 25,272,229 JPY 2,686,160,000 (740,202) (0.17)

21/12/2011 EUR 6,859,489 JPY 731,050,000 (219,907) (0.05)

04/10/2011 EUR 709,000 USD 984,000 (24,398) (0.01)

03/10/2011 EUR 390,000 USD 524,353 (812) 0.00

03/10/2011 EUR 404,000 USD 542,976 (692) 0.00

03/10/2011 EUR 304,000 USD 410,765 (2,152) 0.00

04/10/2011 EUR 2,493,000 USD 3,352,748 (5,881) 0.00

03/10/2011 EUR 318,000 USD 429,675 (2,247) 0.00

03/10/2011 EUR 280,000 USD 378,333 (1,980) 0.00

03/10/2011 EUR 354,000 USD 475,103 (105) 0.00

03/10/2011 EUR 600,000 USD 809,550 (3,376) 0.00

03/10/2011 EUR 386,000 USD 518,861 (719) 0.00

02/11/2011 EUR 14,467,000 USD 19,658,468 (188,179) (0.04)

02/11/2011 EUR 14,649,000 USD 19,968,565 (237,352) (0.06)

02/11/2011 EUR 1,667,000 USD 2,273,855 (28,134) (0.01)

02/11/2011 EUR 17,238,000 USD 23,463,676 (253,920) (0.06)

02/11/2011 EUR 2,213,000 USD 3,001,150 (24,326) (0.01)

02/11/2011 EUR 3,081,000 USD 4,178,285 (33,867) (0.01)




30 September 2011



Settlement

Date

Amount

Bought

Amount

Sold

Unrealised

Gain/(Loss)

EUR

Fund

%

02/11/2011 EUR 11,521,000 USD 15,693,445 (178,296) (0.04)

02/11/2011 EUR 14,743,000 USD 20,119,526 (255,892) (0.06)

06/10/2011 EUR 88,000 USD 120,009 (1,447) 0.00

06/10/2011 EUR 206,000 USD 279,974 (2,674) 0.00

06/10/2011 EUR 163,000 USD 222,251 (2,651) 0.00

19/10/2011 EUR 300,000 USD 430,023 (20,543) 0.00

11/10/2011 EUR 965,500 USD 1,303,357 (5,975) 0.00

13/01/2012 EUR 85,708,248 USD 120,450,086 (4,095,555) (0.96)

21/12/2011 EUR 61,906,292 USD 84,785,000 (1,306,649) (0.30)

21/12/2011 EUR 1,457,163 USD 2,000,000 (33,972) (0.01)

13/01/2012 EUR 2,500,000 USD 3,370,325 (12,809) 0.00

04/10/2011 EUR 15,139,000 USD 21,845,047 (1,142,616) (0.27)

04/10/2011 EUR 14,849,000 USD 21,427,107 (1,121,116) (0.26)

04/10/2011 EUR 15,463,000 USD 22,405,887 (1,236,623) (0.30)

04/10/2011 EUR 11,898,000 USD 17,155,310 (888,247) (0.21)

04/10/2011 EUR 11,253,000 USD 16,241,005 (851,794) (0.20)

04/10/2011 EUR 8,116,000 USD 11,707,005 (609,500) (0.14)

04/10/2011 EUR 5,626,000 USD 8,123,511 (428,639) (0.10)

19/10/2011 EUR 2,381,000 USD 3,305,299 (82,800) (0.02)

21/12/2011 GBP 900,000 EUR 1,034,114 10,405 0.00

08/12/2011 GBP 772,000 USD 1,218,751 (12,586) 0.00

13/01/2012 GBP 9,459,000 USD 15,030,237 (230,421) (0.05)

08/12/2011 GBP 122,000 USD 195,006 (3,782) 0.00

21/12/2011 HKD 739,128 USD 95,000 22 0.00

21/12/2011 HKD 739,068 USD 95,000 17 0.00

21/12/2011 HKD 738,900 USD 95,000 - 0.00

21/12/2011 HKD 715,890 USD 92,000 32 0.00

12/12/2011 HKD 1,766,310 USD 227,000 55 0.00

12/12/2011 HKD 1,704,017 USD 219,000 49 0.00

12/12/2011 HKD 1,766,310 USD 227,000 55 0.00

12/12/2011 HKD 4,188,222 USD 538,000 321 0.00

12/12/2011 HKD 2,094,165 USD 269,000 166 0.00

12/12/2011 HKD 2,094,165 USD 269,000 166 0.00

02/07/2012 IDR 252,890,000 USD 27,990 - 0.00

31/01/2012 IDR 1,727,800,000 USD 190,538 2,788 0.00

31/01/2012 IDR 906,000,000 USD 103,661 (1,334) 0.00

31/01/2012 IDR 428,000,000 USD 48,831 (526) 0.00

31/01/2012 IDR 885,000,000 USD 102,194 (2,000) 0.00

12/07/2012 INR 13,100,310 USD 281,848 (15,122) 0.00

21/12/2011 JPY 817,956,435 AUD 10,050,000 705,764 0.16

21/12/2011 JPY 145,000,000 EUR 1,371,324 32,837 0.01

17/10/2011 JPY 18,300,000 USD 234,473 2,225 0.00

17/10/2011 JPY 19,833,000 USD 252,962 3,271 0.00

17/10/2011 JPY 125,027,000 USD 1,612,669 7,202 0.00

07/11/2011 JPY 199,976,000 USD 2,613,210 (13,120) 0.00

05/10/2011 JPY 5,807,669 USD 76,000 (487) 0.00

21/12/2011 JPY 35,000,000 USD 457,816 (2,397) 0.00

21/12/2011 JPY 115,685,000 USD 1,512,558 (7,436) 0.00

17/10/2011 JPY 63,471,000 USD 826,908 (2,474) 0.00




30 September 2011



Settlement

Date

Amount

Bought

Amount

Sold

Unrealised

Gain/(Loss)

EUR

Fund

%

07/11/2011 JPY 199,962,000 USD 2,610,462 (11,207) 0.00

14/11/2011 KRW 1,740,500,000 USD 1,475,000 (938) 0.00

14/11/2011 KRW 59,742,800 USD 56,075 (4,092) 0.00

12/12/2011 KRW 4,197,000,000 USD 3,898,022 (260,246) (0.06)

18/11/2011 MXN 1,754,944 USD 128,000 (1,236) 0.00

18/11/2011 MXN 1,906,594 USD 139,000 (1,298) 0.00

18/11/2011 MXN 29,743,124 USD 2,535,538 (293,943) (0.07)

18/11/2011 MXN 4,806,240 USD 408,000 (46,215) (0.01)

18/11/2011 MXN 4,877,334 USD 414,000 (46,873) (0.01)

18/11/2011 MXN 3,911,624 USD 332,000 (37,571) (0.01)

18/11/2011 MXN 5,005,480 USD 425,000 (48,196) (0.01)

18/11/2011 MXN 2,640,206 USD 223,500 (24,921) (0.01)

18/11/2011 MXN 2,604,706 USD 221,000 (24,962) (0.01)

18/11/2011 MXN 2,606,032 USD 221,000 (24,891) (0.01)

18/11/2011 MXN 2,637,412 USD 223,500 (25,071) (0.01)

18/11/2011 MXN 973,782 USD 82,805 (9,468) 0.00

23/04/2012 MYR 905,511 USD 298,553 (12,278) 0.00

19/10/2011 MYR 6,000,000 USD 1,938,924 (45,236) (0.01)

13/01/2012 MYR 33,584,000 USD 11,200,640 (531,790) (0.13)

13/01/2012 NOK 45,520,000 USD 8,403,222 (512,235) (0.13)

07/10/2011 NOK 778,000 USD 143,683 (8,338) 0.00

13/01/2012 NZD 1,652,229 USD 1,347,360 (69,581) (0.02)

13/01/2012 NZD 5,334,151 USD 4,127,566 (58,878) (0.01)

13/01/2012 NZD 1,486,352 USD 1,167,841 (29,605) (0.01)

13/01/2012 SEK 84,295,000 USD 13,142,939 (690,453) (0.17)

09/12/2011 SGD 474,549 USD 367,000 (2,072) 0.00

09/12/2011 SGD 868,821 USD 668,000 (874) 0.00

09/12/2011 SGD 279,000 USD 214,773 (476) 0.00

09/12/2011 SGD 307,187 USD 239,000 (2,409) 0.00

09/12/2011 SGD 362,796 USD 280,000 (1,156) 0.00

09/12/2011 SGD 262,385 USD 204,000 (1,951) 0.00

09/12/2011 SGD 462,411 USD 358,000 (2,308) 0.00

09/12/2011 SGD 340,001 USD 263,000 (1,526) 0.00

09/12/2011 SGD 360,351 USD 279,000 (1,810) 0.00

09/12/2011 SGD 289,764 USD 224,000 (1,195) 0.00

09/12/2011 SGD 290,633 USD 225,000 (1,444) 0.00

12/10/2011 SGD 1,890,000 USD 1,547,341 (72,258) (0.02)

13/01/2012 SGD 8,832,000 USD 7,300,079 (387,239) (0.09)

09/12/2011 SGD 231,868 USD 191,436 (10,047) 0.00

02/11/2011 TRY 3,250,000 USD 1,862,998 (91,633) (0.02)

11/01/2012 TWD 15,966,788 USD 556,625 (23,215) (0.01)

10/11/2011 USD 3,280,790 AUD 3,366,000 17,990 0.00

05/10/2011 USD 112,576 AUD 115,000 602 0.00

06/10/2011 USD 133,808 AUD 136,000 1,228 0.00

28/11/2011 USD 2,165,115 AUD 2,090,000 109,847 0.03

13/01/2012 USD 44,835,972 AUD 42,926,597 2,685,203 0.61

13/01/2012 USD 6,304,476 BRL 10,705,000 488,720 0.11

17/11/2011 USD 866,809 CAD 861,000 30,874 0.01

17/11/2011 USD 1,305,322 CAD 1,292,000 49,761 0.01




30 September 2011



Settlement

Date

Amount

Bought

Amount

Sold

Unrealised

Gain/(Loss)

EUR

Fund

%

17/11/2011 USD 87,448 CAD 90,000 872 0.00

17/11/2011 USD 42,289 CAD 43,000 795 0.00

07/12/2011 USD 1,954,564 CAD 1,910,000 92,691 0.02

13/01/2012 USD 8,718,338 CAD 8,605,000 356,179 0.08

13/01/2012 USD 18,236,795 CHF 15,651,000 721,518 0.17

13/01/2012 USD 11,261,294 CZK 195,433,000 477,603 0.11

04/10/2011 USD 1,238,028 EUR 872,000 50,731 0.02

04/10/2011 USD 3,422,109 EUR 2,435,000 115,577 0.03

04/10/2011 USD 821,541 EUR 596,000 16,313 0.00

04/10/2011 USD 159,510 EUR 117,000 1,886 0.00

04/10/2011 USD 781,188 EUR 573,000 9,237 0.00

04/10/2011 USD 563,321 EUR 412,000 7,856 0.00

04/10/2011 USD 149,832 EUR 111,000 673 0.00

04/10/2011 USD 19,663,546 EUR 14,467,000 188,693 0.04

04/10/2011 USD 19,973,912 EUR 14,649,000 238,016 0.06

04/10/2011 USD 23,469,537 EUR 17,238,000 254,386 0.06

04/10/2011 USD 15,697,363 EUR 11,521,000 178,605 0.04

11/10/2011 USD 342,518 EUR 238,000 17,300 0.01

11/10/2011 USD 7,287,304 EUR 5,063,617 368,071 0.10

11/10/2011 USD 7,287,456 EUR 5,063,617 368,184 0.10

11/10/2011 USD 7,287,001 EUR 5,063,617 367,845 0.09

11/10/2011 USD 7,287,066 EUR 5,063,617 367,894 0.09

11/10/2011 USD 7,287,618 EUR 5,063,617 368,305 0.09

11/10/2011 USD 7,287,302 EUR 5,063,615 368,071 0.09

11/10/2011 USD 106,282 EUR 74,000 5,219 0.00

21/12/2011 USD 3,700,000 EUR 2,685,830 72,769 0.02

21/12/2011 USD 1,870,000 EUR 1,384,631 9,580 0.00

08/12/2011 USD 7,525,800 GBP 4,715,000 138,203 0.03

08/12/2011 USD 3,486,556 GBP 2,185,000 63,293 0.01

08/12/2011 USD 4,061,988 GBP 2,548,000 70,975 0.02

06/10/2011 USD 211,701 GBP 135,000 1,045 0.00

08/12/2011 USD 520,680 GBP 339,000 (5,282) 0.00

13/01/2012 USD 5,127,068 GBP 3,300,865 (7,543) 0.00

28/12/2011 USD 2,069,925 GBP 1,320,000 11,409 0.00

13/01/2012 USD 4,819,055 HUF 954,650,000 373,608 0.10

31/10/2011 USD 486,000 IDR 4,179,600,000 8,690 0.00

12/07/2012 USD 267,000 INR 12,930,810 6,575 0.00

17/10/2011 USD 1,171,416 JPY 89,901,000 3,633 0.00

17/10/2011 USD 425,707 JPY 32,676,000 1,273 0.00

17/10/2011 USD 153,805 JPY 11,806,000 456 0.00

17/10/2011 USD 1,027,181 JPY 78,794,000 3,549 0.00

17/10/2011 USD 2,503,046 JPY 201,136,000 (79,656) (0.01)

07/11/2011 USD 3,108,309 JPY 245,000,000 (53,451) (0.01)

07/11/2011 USD 3,231,939 JPY 255,000,000 (58,047) (0.01)

13/01/2012 USD 2,703,955 JPY 208,634,438 (5,229) 0.00

13/01/2012 USD 18,977,460 JPY 1,465,249,649 (46,076) (0.01)

13/01/2012 USD 2,487,218 JPY 192,963,325 (15,002) 0.00

21/12/2011 USD 1,955,805 JPY 150,685,000 (1,030) 0.00

13/01/2012 USD 4,580,488 JPY 348,382,746 39,999 0.02




30 September 2011



Settlement

Date

Amount

Bought

Amount

Sold

Unrealised

Gain/(Loss)

EUR

Fund

%

13/01/2012 USD 2,196,170 JPY 167,780,828 11,965 0.00

18/11/2011 USD 201,000 MXN 2,363,961 22,973 0.01

18/11/2011 USD 242,000 MXN 2,845,436 27,698 0.01

18/11/2011 USD 161,000 MXN 1,894,407 18,354 0.00

18/11/2011 USD 201,000 MXN 2,363,921 22,975 0.01

18/11/2011 USD 161,000 MXN 1,894,004 18,375 0.00

18/11/2011 USD 201,000 MXN 2,363,881 22,977 0.01

18/11/2011 USD 181,000 MXN 2,128,035 20,725 0.00

18/11/2011 USD 242,000 MXN 2,847,372 27,594 0.01

18/11/2011 USD 315,000 MXN 3,706,763 35,892 0.01

18/11/2011 USD 1,943,000 MXN 22,892,426 219,880 0.04

18/11/2011 USD 311,000 MXN 3,683,484 34,159 0.01

18/11/2011 USD 295,000 MXN 3,509,025 31,595 0.01

18/11/2011 USD 132,000 MXN 1,567,302 14,290 0.00

18/11/2011 USD 215,000 MXN 2,576,345 22,011 0.01

18/11/2011 USD 27,686 MXN 333,663 2,732 0.00

18/11/2011 USD 33,037 MXN 396,544 3,346 0.00

18/11/2011 USD 24,193 MXN 283,413 2,826 0.00

13/10/2011 USD 6,059,994 MXN 72,000,000 639,919 0.14

18/11/2011 USD 209,000 MXN 2,634,759 14,403 0.00

18/11/2011 USD 213,000 MXN 2,685,078 14,684 0.00

18/11/2011 USD 126,000 MXN 1,586,466 8,788 0.00

18/11/2011 USD 132,000 MXN 1,660,428 9,291 0.00

18/11/2011 USD 81,000 MXN 1,056,443 3,686 0.00

18/11/2011 USD 106,000 MXN 1,384,413 4,722 0.00

18/11/2011 USD 558,491 MXN 7,402,235 19,078 0.00

18/11/2011 USD 407,441 MXN 5,594,776 3,476 0.00

13/01/2012 USD 4,016,820 MXN 50,644,066 289,162 0.07

23/04/2012 USD 289,000 MYR 887,519 9,335 0.00

10/11/2011 USD 6,279,531 NZD 8,056,000 102,502 0.02

13/01/2012 USD 42,088,459 NZD 50,958,252 2,543,420 0.58

14/11/2011 USD 81,460 PLN 227,420 9,433 0.00

13/01/2012 USD 8,911,093 PLN 27,013,977 582,847 0.14

13/01/2012 USD 4,685,604 RUB 140,935,000 292,318 0.07

06/12/2011 USD 2,262,978 SEK 14,560,000 111,638 0.03

09/12/2011 USD 192,000 SGD 237,274 7,374 0.00

11/01/2012 USD 252,000 TWD 7,086,240 14,004 0.00

11/01/2012 USD 308,000 TWD 8,999,760 8,802 0.00

Unrealised gain on open forward foreign currency exchange contracts ............................................................ 15,180,187 3.52

Unrealised loss on open forward foreign currency exchange contracts ............................................................. (18,387,334) (4.27)

Net unrealised gain(loss) on open forward foreign currency exchange contracts ...................................... (3,207,147) (0.75)

Options Written ((0.00)%)

Notional

Amount

EUR

Fair Value

EUR

Fund

%

Futures Options Written (0.00%)

Luxembourg ((0.01)%)

(35,000)

Call at 140 German Euro Bund Option Futures

Expiring October 2011 ............................................................................ (350) 0.00




30 September 2011



Notional

Amount

EUR

Fair Value

EUR

Fund

%

(86,000)

Call at 139 German Euro Bund Option Futures


(10,000)

Call at 139.50 German Euro Bund Option Futures


(16,000)

Put at 135 German Euro Bund Option Futures


(15,000)

Put at 120 German Euro Bund Option Futures

Expiring October 2011 ............................................................................. (15) 0.00

(1,485) 0.00


(13,000)

Put at 128.50 10 Year U.S. Treasury Note Futures

Expiring November 2011 ........................................................................ (3,028) 0.00

(3,028) 0.00

Total Futures Options ..................................................................................................... (4,513) 0.00

Currency Options (0.00%)

Luxembourg ((0.00)%)

(1,100,000)

Put at 1.37 EUR/USD

Expiring October 2011 ............................................................................ (17,594) 0.00

(900,000)

Put at 1.32 EUR/USD


Total Currency Options .................................................................................................. (24,079) 0.00

Options written at fair value (Premium received USD 115,669) ............................................. (28,592) 0.00

Swaptions Written ((0.01)%)

Notional

Amount

EUR Description

Fair Value

EUR

Fund

%

(1,500,000) Put at 3 on 3 Year IRS

Expiring June 2012 .................................................................................. (363) 0.00


Expiring June 2012 .................................................................................. (350) 0.00


Expiring June 2012 .................................................................................. (274) 0.00


Expiring June 2012 .................................................................................. (360) 0.00


Expiring June 2012 .................................................................................. (268) 0.00


Expiring June 2012 .................................................................................. (176) 0.00

(1,500,000) Put at 2.75 on 3 Year IRS

Expiring June 2012 .................................................................................. (396) 0.00

(1,400,000) Put at 2.75 on 3 Year IRS

Expiring June 2012 .................................................................................. (328) 0.00

(9,800,000) Put at 2.25 on 2 Year IRS

Expiring September 2020 ........................................................................ (3,168) 0.00

(5,400,000) Put at 2.25 on 2 Year IRS

Expiring September 2012 ........................................................................ (1,658) 0.00




30 September 2011



Notional

Amount

EUR Description

Fair Value

EUR

Fund

%

(1,100,000) Put at 2.25 on 2 Year IRS

Expiring September 2012 ........................................................................ (374) 0.00

(2,700,000) Call at 0.001 FVA USD 2Y MYC

Expiring November 2011 ........................................................................ (20,929) (0.01)

(600,000) Call at 0.001 FVA USD 2Y JPM


(900,000) Call at 0.001 FVA USD 2Y GLM


Swaptions written at fair value (Premium received USD 224,984) ........................................... (32,770) (0.01)

Interest Rate Swaps (0.14%)

Ccy

Notional

Amount

Fund

Pays

Fund

Receives

Termination

Date

Fair Value

EUR

Fund

%

BRL 6,500,000 1 Month BRDCI 12.11% 02/01/2014 101,404 0.02

CAD 2,500,000 3 Month CDOR 5.80% 19/12/2023 115,918 0.03

JPY 5,600,000,000 3 Month LIBOR 0.35% 21/03/2012 8,397 0.00

MXN 18,400,000

1 Month Mexico

Interbank TIIE 6.96% 27/07/2020 24,950 0.01

GBP 6,900,000 2.50% 6 Month LIBOR 21/09/2013 (201,275) (0.05)

JPY 2,300,000,000 3 Month LIBOR 0.35% 21/03/2012 (3,122) 0.00

EUR 1,300,000 6 Month Euribor 3.00% 21/09/2016 59,595 0.01

MXN 9,200,000

1 Month Mexico

Interbank TIIE 6.59% 08/12/2015 21,054 0.00

MXN 3,900,000

1 Month Mexico

Interbank TIIE 6.96% 27/07/2020 6,050 0.00

MXN 37,000,000

1 Month Mexico

Interbank TIIE 7.50% 02/06/2021 115,990 0.03

MXN 4,700,000

1 Month Mexico

Interbank TIIE 6.75% 08/06/2016 12,181 0.00

MXN 54,500,000

1 Month Mexico

Interbank TIIE 6.75% 08/06/2016 138,739 0.04

BRL (1,000,000) 1 Month BRDCI 11.25% 02/01/2012 (615) 0.00

BRL (1,500,000) 1 Month BRDCI 11.25% 02/01/2012 (878) 0.00

BRL 8,400,000 12 Month BRDCI 11.53% 02/01/2012 4,519 0.00

USD (900,000) 3.25% 3 Month LIBOR 21/12/2021 (64,561) (0.01)



Interest rate swaps at positive fair value ................................................................................... 877,072 0.20

Interest rate swaps at negative fair value .................................................................................. (270,451) (0.06)

Interest rate swaps at fair value ................................................................................................. 606,621 0.14

Credit Default Swaps ((0.07)%)

Ccy

Notional

Amount

Security

Name

Fund

Pays

Fund

Receives

Termination

Date

Fair Value

EUR

Fund

%

USD (1,000,000)

Marsh &

Mclennan Cos

Inc 0.99% * 20/09/2015 (8,306) 0.00

USD (1,000,000)

Marsh &

Mclennan Cos

Inc 0.80% * 20/09/2015 (1,487) 0.00




30 September 2011



Ccy

Notional

Amount

Security

Name

Fund

Pays

Fund

Receives

Termination

Date

Fair Value

EUR

Fund

%

USD (1,000,000) Tyco Intl Ltd 0.75% * 20/12/2013 (1,980) 0.00

USD 500,000 Tyco Intl Ltd 1.12% * 20/12/2019 9,083 0.00

USD 1,000,000 PPG Inds Inc 0.82% * 20/03/2018 10,539 0.00

USD (500,000) Vivendi SA 1.17% * 20/06/2013 (875) 0.00

USD 100,000 Vivendi 1.50% * 20/06/2018 827 0.00

USD (1,000,000) Pearson Plc 1.04% * 20/06/2018 (6,557) 0.00

USD (400,000)

Health Care Reit

BP 2.93% * 20/06/2015 (5,243) 0.00

USD (600,000) Erac BP 2.70% * 20/12/2012 (13,039) 0.00

USD 1,000,000

Marsh &

Mclennan Cos

Inc 0.59% * 20/09/2014 185 0.00

USD (300,000) Vivendi SA 1.74% * 20/06/2013 (2,913) 0.00

USD (1,000,000)

Reynolds

American Bp

Brc 1.20% * 20/06/2013 (5,011) 0.00

USD (200,000) Vivendi SA 1.78% * 20/06/2013 (2,039) 0.00

USD (900,000)

Gen Elec Cap

Corp 1.00% * 20/12/2012 (10,391) 0.00

USD 2,400,000 UKIN * 1.00% 20/06/2015 20,681 0.00

USD 600,000 UKIN * 1.00% 20/06/2015 4,633 0.00

USD 300,000

Commonwealth

of Australia * 1.00% 20/06/2015 1,821 0.00

USD 300,000 UKIN * 1.00% 20/06/2015 2,262 0.00

USD 300,000 BPLN * 5.00% 20/06/2015 30,972 0.02

USD (800,000)

Petroleo

Brasileiro Sa

Petrobras 1.00% * 20/09/2012 (758) 0.00

USD (200,000) Vivendi SA 1.82% * 20/06/2013 (2,143) 0.00

USD 900,000

British Sky

Broadcasting

NEGB 0.70% * 20/12/2018 23,189 0.01

USD (2,000,000) Ryder Sys Inc 1.16% * 20/03/2013 (10,521) 0.00

EUR (900,000) USGB * 0.25% 20/03/2016 (9,685) 0.00

USD 400,000 CU * 2.80% 20/03/2021 7,566 0.00

USD (800,000) CDX * 1.00% 20/12/2020 (40,750) (0.02)

USD 400,000 ILNOIS * 2.82% 20/03/2021 1,391 0.00

USD 500,000

Australia,

Government of * 1.00% 20/03/2016 2,510 0.00

USD (1,000,000)

Peoples Rep

China 1.00% * 20/03/2016 (22,052) (0.01)

USD 400,000

Australia,

Government of * 1.00% 20/03/2016 2,007 0.00

USD 400,000 state of CT * 1.60% 20/03/2021 1,134 0.00

USD 400,000 NWJRSY * 1.97% 20/03/2021 3,755 0.00

USD 300,000

Australia,

Government of * 1.00% 20/03/2016 1,505 0.00

USD 800,000

Australia,

Government of * 1.00% 20/03/2016 4,014 0.00

USD (1,000,000)

Janus Cap Gp

Inc 1.00% * 20/03/2016 (9,598) 0.00

USD (500,000)

State of

California 2.03% * 20/06/2021 (10,575) 0.00




30 September 2011



Ccy

Notional

Amount

Security

Name

Fund

Pays

Fund

Receives

Termination

Date

Fair Value

EUR

Fund

%

EUR (1,000,000)

United States of

America 0.03% * 20/06/2016 (12,500) 0.00

USD (1,100,000)

State of

California 1.00% * 20/06/2016 (26,987) (0.01)

USD (900,000)

Peoples Rep

China 1.00% * 20/06/2016 (20,190) (0.01)

USD (200,000) BP Plc 1.00% * 20/09/2016 (4,965) 0.00

USD 700,000

Peoples Rep

China 1.00% * 20/09/2016 1,835 0.00

USD 1,100,000 Utd Mexican Sts * 1.00% 20/12/2011 861 0.00

USD 900,000

Federative Rep

Brazil * 1.00% 20/12/2011 666 0.00

USD 700,000

Federative Rep

Brazil * 1.00% 20/12/2011 563 0.00

USD 1,100,000 UKIN * 1.00% 20/12/2015 7,866 0.00

USD (1,100,000)

Peoples Rep

China * 1.00% 20/12/2015 (20,337) (0.01)

USD (1,000,000)

Gen Elec Cap

Corp * 1.00% 20/12/2012 (11,654) 0.00

USD (500,000)

Gen Elec Cap

Corp * 1.00% 20/12/2012 (5,942) 0.00

USD (400,000) BP Plc * 1.00% 20/12/2015 (3,157) 0.00

USD (500,000) FRTR * 0.25% 20/03/2016 (22,288) (0.01)

USD (2,000,000) USGB * 1.00% 20/12/2015 (42,311) (0.01)

USD (100,000)

Peoples Rep

China * 1.00% 20/12/2016 (2,896) 0.00

USD (100,000)

Peoples Rep

China * 1.00% 20/12/2016 (2,936) 0.00

USD 300,000

Commonwealth

Australia * 1.00% 20/12/2016 506 0.00

USD (200,000)

Peoples Rep

China * 1.00% 20/12/2016 (5,669) 0.00

USD (500,000)

Peoples Rep

China * 1.00% 20/12/2016 (14,678) 0.00

USD (100,000)

Peoples Rep

China * 1.00% 20/12/2016 (2,832) 0.00

USD (400,000)

Federal Republic

of Germany * 0.03% 20/12/2016 (11,976) 0.00

USD 400,000

Commonwealth

of Australia * 1.00% 20/12/2016 822 0.00

USD (400,000)

Peoples Rep

China * 1.00% 20/12/2016 (11,329) 0.00

USD (1,900,000)

Federal Republic

of Germany * 0.25% 20/12/2016 (57,898) (0.02)

USD (100,000)

Peoples Rep

China * 1.00% 20/12/2016 (2,832) 0.00

USD 500,000

United Kingdom

Great Britain &

Northern Ireland * 1.00% 20/06/2016 2,528 0.00

USD 900,000

Commonwealth

of Australia * 1.00% 20/09/2016 2,725 0.00

USD 600,000

Commonwealth

of Australia * 1.00% 20/09/2016 1,573 0.00




30 September 2011



Ccy

Notional

Amount

Security

Name

Fund

Pays

Fund

Receives

Termination

Date

Fair Value

EUR

Fund

%

USD (100,000)

Peoples Rep

China * 1.00% 20/09/2016 (2,786) 0.00

Credit default swaps at positive fair value .................................................................................................... 148,019 0.03

Credit default swaps at negative fair value ................................................................................................... (450,086) (0.10)

Credit default swaps at fair value ............................................................................................................. (302,067) (0.07)

Total Financial Derivative Instruments .................................................................................................... (3,185,691) (0.74)

Fair Value

EUR

Fund

%


(104.22%) ..................................................................................................................................................... 449,216,311 104.22


Loss ((4.58)%) .............................................................................................................................................. (19,823,183) (4.58)


(99.64%) ............................................................................................... 429,393,128 99.64

Other Net Assets (0.11%) .................................................................... 478,336 0.11


Prices (0.25%) ....................................................................................... 1,099,908 0.25

Net Assets (100.00%) ........................................................................... 430,971,372 100.00

* In the event of bankruptcy or modified restructuring the Fund will pay/receive the notional amount to the counterparty.

** Held as collateral by the brokers and counterparties in connection with the margin requirements for futures and swap contracts held by the

Fund.

*** Partly held as collateral by the brokers and counterparties in connection with the margin requirements for futures held by the Fund.


% of

total assets

Transferable securities and money market instruments admitted to an official stock exchange listing or traded

in a regulated market .................................................................................................................................................... 72.70

Transferable securities other than those admitted to an official stock exchange listing or traded in a regulated

market .......................................................................................................................................................................... 11.28

Collective investment schemes ................................................................................................................................... 3.79

Exchange traded financial derivative instruments ....................................................................................................... 0.09

Over the counter financial derivative instruments ...................................................................................................... 3.27

Other assets ................................................................................................................................................................. 8.87

100.00

The brokers for the open futures contracts are:

Goldman Sachs

JP Morgan Chase

Merrill Lynch




30 September 2011




Bank of America

Barclay‟s Bank

BNP Paribas

Brown Brothers Harriman & Co.

Commonwealth Bank of Australia

Citibank

Credit Suisse London

Deutsche Bank

Goldman Sachs International

HSBC Bank

JP Morgan Chase

Morgan Stanley

Royal Bank of Canada


State Street Bank London

UBS AG

Westpac

The counterparties for the options written are:

Merrill Lynch Pierce Fenner & Smith

UBS AG

The counterparties for swaptions written are:

Bank of America

Barclays Capital

Deutsche Bank

Goldman Sachs

JP Morgan Chase

Morgan Stanley


UBS AG

The counterparties for the interest rate swaps are:

Bank of America

Bank of Nova Scotia

Barclay‟s Capital

BNP Paribas SA

Citibank

Credit Suisse Financial Products

Deutsche Bank

Goldman Sachs

HSBC

JP Morgan Chase


UBS AG

The counterparties for the credit default swaps are:

Bank of America

Barclay‟s Bank

BNP Paribas SA

Citibank

Credit Suisse

Deutsche Bank

Goldman Sachs

JP Morgan Chase


Société Generale

UBS AG

The proportion of the investments of The Global Bond (Euro Hedged) Fund in rights or securities eligible to the French Plan

d’Epargne en Actions (PEA) has been continuously equal to, or greater than, 75 per cent over the elapsed six months ended on 30

September 2011.



Statement of Changes in the Composition of Portfolio






Acquisition Cost


Disposal Proceeds

EUR


The U.S. Dollar Cash Plus Fund The U.S. Dollar Cash Plus Fund

Class A Shares 102,840,752 Class A Shares (106,719,863)



Class A Income Shares 48,310,900 Class A Income Shares (49,212,113)

FNMA TBA Sep 30 Single Family FNMA TBA Sep 30 Single Family

4.000% due 12/01/2099 11,527,837 4.000% due 12/01/2099 (11,521,690)

FNMA TBA Oct 30 Single Family New Zealand, Government of

4.000% due 12/01/2099 11,488,027 6.000% due 15/12/2017 (6,429,190)

Japan Government Ten Year Bond New Zealand, Government of

1.600% due 20/06/2014 6,670,037 6.500% due 15/04/2013 (4,653,296)

U.K. Gilt Canadian Government Bond

4.250% due 12/07/2040 5,728,145 1.750% due 01/03/2013 (4,115,540)

Japan Government Five Year Bond Intesa Sanpaolo SpA

0.700% due 20/09/2014 4,968,940 4.375% due 16/08/2016 (3,969,404)

Bundesrepublik Deutschland Bundesobligation

5.630% due 04/01/2028 4,840,238 4.000% due 13/04/2012 (3,920,895)

Bundesschatzanweisungen Russell Investment Company III plc

0.750% due 13/09/2013 4,745,107 The Sterling Cash Fund

Japan Treasury Discount Bill Class C Income Shares (3,768,174)

Zero Coupon due 07/11/11 4,393,094 Australia, Government of

Australia, Government of 5.750% 15/05/2021 (3,727,318)

6.500% due 15/05/2013 4,333,621 Japan Treasury Discount Bill

Mexico Cetes zero coupon due 07/11/2011 (3,723,242)

Zero Coupon due 13/10/2011 4,321,175 Bundesrepublik Deutschland

Bundesobligation 2.250% 04/09/2020 (3,681,288)

4.00% due 13/04/2012 3,926,157 FNMA TBA Aug 30 Single Family

Bundesrepublik Deutschland 4.000% 01/12/2099 (3,633,230)

3.250% due 04/07/2015 3,806,316 Bundesschatzanweisungen

FNMA TBA Aug 30 Single Family 0.750% 13/09/2013 (3,314,022)

4.000% due 12/01/2099 3,519,888 Bundesschatzanweisungen

Russell Investment Company III plc 1.250% due 16/09/2011 (3,295,412)

The Sterling Cash Fund - Bundesrepublik Deutschland

Class C Income Shares 3,472,231 5.625% due 04/01/2028 (3,223,873)

New Zealand, Government of Italy Buoni Poliennali Del Tesoro

6.500% due 15/04/2013 3,429,480 4.500% due 01/02/2018 (3,126,590)

U.S. Treasury Bonds U.S. Treasury Bonds

3.750% due 15/11/2018 3,244,807 3.750% due 15/11/2018 (3,098,792)

Australia, Government of Canadian Government Bond

6.250% due 15/04/2015 3,060,721 1.500% due 01/12/2012 (3,093,118)

Mexican Bonos Australia, Government of

5.500% due 30/04/2021 2,863,213 6.000% due 15/02/2017 (3,055,507)



Manager’s Report

60 The Pan European Equity Fund

Money Managers Russell Implementation Services Inc.

Hermes Sourcecap Limited

Invesco Asset Management Limited

Numeric Investors, L.P.

Oechsle International Advisors, LLC

Pzena Investment Management

S.W. Mitchell Capital, LLP

TT International

Taube Hodson Stonex Partners Ltd.

Investment Objective The Pan European Equity Fund (the “Fund”) will seek to achieve capital appreciation by investing principally in equity securities

listed on regulated markets in Europe. At least 75 per cent of the Fund‟s net assets will be invested in issuers based in the E.U.,

Norway and Iceland. The Fund may also invest in new issues for which application for listing on a regulated market in Europe

will be sought. The Fund may hold such securities listed or traded on regulated markets worldwide of companies that are not

incorporated, listed or traded in Europe, but which receive the majority of their total revenue from European countries. The Fund

does not concentrate on any specific industry sector but will pursue a policy of active stock selection and active country allocation

on the regulated markets in which it invests.

Fund Performance

During the six months ended 30 September 2011, the Fund returned -17.6 per cent on a gross-of-fee basis (-18.1 per cent on a

net-of-fee basis), while the benchmark* returned -16.6 per cent.

Market Comment

The Russell Developed Europe Large Cap Net Index performed broadly in line with its benchmark (0.2 per cent) in the second of

2011. Gains were made in April as strong quarterly earnings results boosted performance. However, returns in May and June

offset this performance. Portugal was being closely watched after the country accepted a EUR 26 billion loan from the IMF as

part of a joint rescue package with the E.U. Sentiment was further hampered as ratings agency S&P downgraded Greek debt,

making it the lowest-rated country in the world after Pakistan and Ecuador, which had been shut out of international markets after

defaulting in 2009. The ratings agency considers that any attempt to „restructure‟ its debt would be considered a default. The

Greek parliament voted further austerity measures to help secure international financial aid. However, analysts remained cautious

as these measures created political tension among the population which started violent protests in Athens. Meanwhile, the

European Central Bank gave signs that interest rates may rise in the near future after an earlier increase to 1.25 per cent, marking

an exit from crisis policy. At the sector level, health care and consumer-oriented stocks performed well while energy and

information technology underperformed.

It was a very poor third quarter of 2011 for European equities as the Russell Developed Europe Large Cap Net Index fell by 16.7

per cent. The eurozone debt crisis refused to abate, and the problems facing Greece threatened to engulf several other European

economies, including Italy and even the French banks. With the notable exception of „safe haven‟ Switzerland, it was an

extremely weak quarter for every major European market. Germany‟s Dax index lost 25 per cent of its value; its biggest fall since

2002. Europe‟s biggest economy suffered amid signs that growth has slowed sharply and from fears it may be presented with a

sizable bill for bailing out Greece. Banks came under selling pressure, especially in France. France‟s AAA credit rating was

called into question, as the market speculated that the cost of potential bailouts for Spain and Italy would add to the country‟s

large budget deficit. Owing to Greek debt exposure, shares in Société Générale fell by 51 per cent, its biggest quarterly loss ever,

while BNP Paribas fell by over 40 per cent. The problems, however, weren‟t confined to the banking sector. More than half of

large European companies that reported profits in July fell short of market expectations, making it the most disappointing

European earnings season since 2005. There was disappointing earnings news from, among others, Carlsberg, Nestle, Holcim,

Heineken and UBS.



Hermes Sourcecap Limited finished the best-performing Money Manager over the period, its more defensive stance and focus on

quality companies along with positive stock selection in materials drove performance. The Money Manager holds stocks in this

sector that it believes possess good growth prospects and are fundamentally sound. Meanwhile, being overweight to the defensive

telecoms sector was beneficial during the market sell off as was the manager‟s stock selection within the sector.

Pzena Investment Management‟s deep value bias underperformed during the period, as quality growth stocks were more

favourable in the risk-averse environment. A significant overweight to the financials sector proved the most detrimental on

returns. The Money Manager retains its exposure to the more cyclical stocks which it believes are undervalued and have more

than priced in associated risks.




The Pan European Equity Fund 61

Outlook











* Benchmark Source: Russell Developed Europe Large Cap Net Index from 1 April 2011. Prior to 1 April 2011 was MSCI Europe Index.


November 2011



Balance Sheet




30 September 2011

(Unaudited)

EUR

31 March 2011

(Audited)

EUR

30 September 2010

(Unaudited)

EUR

Assets

Financial assets at fair value through profit or loss (Note 1) ................. 354,149,576 177,018,106 164,345,487

Cash at bank (Note 5) ............................................................................ 2,364,749 924,889 1,957,128


positions (Note 5) .................................................................................. 1,593,154 460,110 447,544


value (Note 4) ........................................................................................ 1,182,183 221,154 1,107,963


lending transactions (Note 4) ................................................................. 10,697,065 6,039,196 5,387,503

Debtors:

Receivable for investments sold ................................................................................... 3,001,370 1,489,680 786,384

Receivable on fund shares issued ................................................................................. - 3,945 -

Dividends receivable .................................................................................................... 594,836 335,253 273,479

Interest receivable ......................................................................................................... - 609 613

373,582,933 186,492,942 174,306,101

Liabilities

Financial liabilities at fair value through profit or loss (Note 1) ........... (360,259) (108,556) (233,017)



counterparties for securities lending transactions (Note 4) ........................................... - - (1,078,990)


(Note 4) ......................................................................................................................... (10,697,065) (6,039,196) (5,387,503)


Payable for investments purchased ............................................................................... (3,641,391) (1,297,660) (834,235)

Payable on fund shares redeemed ................................................................................. (414) (301,487) (402,971)

Management fees payable ............................................................................................. (331,935) (181,542) (165,506)


Sub-custodian fees payable ........................................................................................... (35,478) (40,497) (40,937)


Audit fees payable ........................................................................................................ - (24,170) (12,816)


(15,104,935) (8,003,196) (8,245,988)




prices ............................................................................................................................... 720,799 39,510 63,419









Six months ended

30 September 2011

(Unaudited)

EUR

Year ended

31 March 2011

(Audited)

EUR

Six months ended

30 September 2010

(Unaudited)

EUR

Income

Dividends ...................................................................................................................... 6,344,266 4,564,094 3,105,525

Bond interest ................................................................................................................. 149 2,677 1,338

Bank and short term investment interest ....................................................................... 3,300 782 682

Securities lending income (Note 4) ............................................................................... 393,299 232,546 188,014

6,741,014 4,800,099 3,295,559

Net gain (loss) on investment activities ........................................................................... (92,057,626) 13,713,594 200,157

Total investment income (expense) .............................................................................. (85,316,612) 18,513,693 3,495,716

Expenses

Management fees (Note 3) ............................................................................................ (1,943,633) (1,970,101) (935,869)

Custodian and Trustee fees (Note 3) ............................................................................. (34,565) (33,241) (16,246)

Sub-custodian fees (Note 3) .......................................................................................... (125,610) (243,449) (115,228)

Administration and transfer agency fees (Note 3) ........................................................ (83,519) (94,062) (47,348)

Audit fees ...................................................................................................................... - (24,170) (12,816)




Net income (expense) ..................................................................................................... (87,554,604) 16,087,858 2,336,726

Finance costs


Interest expense ............................................................................................................ - (663) (820)


taxation ........................................................................................................................... (90,527,712) 14,786,041 1,036,503

Taxation



taxation ........................................................................................................................... (91,249,908) 14,110,532 616,124


traded market prices ..................................................................................................... 681,289 (166,656) (142,747)



operations ....................................................................................................................... (90,568,619) 13,943,876 473,377


Account.







Six months ended

30 September 2011

(Unaudited)

EUR

Year ended

31 March 2011

(Audited)

EUR

Six months ended

30 September 2010

(Unaudited)

EUR



operations ....................................................................................................................... (90,568,619) 13,943,876 473,377

Share transactions


participating share transactions (Note 6) ...................................................................... 268,374,067 27,544,023 28,610,486


(Note 15) ....................................................................................................................... 2,864,093 1,223,186 1,221,498


redeemable participating shareholders ........................................................................ 180,669,541 42,711,085 30,305,361


shareholders






30 September 2011



Number

of Shares

Fair Value

EUR

Fund

%


Common Stock (94.22%)

Austria (0.39%)

Iron and Steel

25,440 Voestalpine AG ................... 555,101 0.16

Machinery

8,390 Andritz AG .......................... 516,153 0.14

Postal Service

15,400 Oesterreichische Post AG .... 325,094 0.09

1,396,348 0.39

Belgium (1.21%)

Banks

85,180 KBC Group NV ................... 1,487,669 0.41

Chemicals

15,203 Solvay SA ........................... 1,079,109 0.30

Diversified Telecommunications

29,358 Belgacom SA ...................... 661,876 0.19

Food and Drug Retailing

1,340 Delhaize Group SA ............. 58,839 0.02

Insurance

361,337 Ageas ................................... 474,797 0.13

Pharmaceuticals

17,870 UCB SA .............................. 572,733 0.16

4,335,023 1.21

Bermuda (0.35%)

Energy Equipment and Services

41,268 Seadrill Ltd .......................... 860,763 0.24

Oil and Gas Services

141,420 Seawell Ltd ......................... 390,124 0.11

1,250,887 0.35

Denmark (1.36%)

Banks

68,271 Danske Bank A/S ................ 720,675 0.20

Beverages

7,719 Carlsberg A/S ...................... 343,149 0.09

Biotechnology

36,140 Bavarian Nordic A/S ........... 194,755 0.05

1,280 H Lundbeck A/S .................. 18,234 0.01

34,500 Novo Nordisk A/S ............... 2,575,491 0.72

Telecommunications

64,600 TDC ..................................... 392,399 0.11

Transport

17

AP Moeller - Maersk (A

Shares) ................................. 71,461 0.02

130

AP Moeller - Maersk (B

Shares) ................................. 574,773 0.16

4,890,937 1.36

Finland (0.56%)


40,704 Elisa Corp ............................ 623,992 0.17

105,351 Nokia OYJ ........................... 447,321 0.13

Number

of Shares

Fair Value

EUR

Fund

%

Metals and Mining

51,900 Outokumpu OYJ ................. 257,320 0.07

Paper and Forest Products

77,927 UPM Kymmene OYJ .......... 663,938 0.19

1,992,571 0.56

France (15.50%)

Aerospace and Defence

19,799 Safran SA ............................ 458,743 0.13

10,035 Thales SA ........................... 236,324 0.06

Airlines

2,173 Aeroports de Paris ............... 122,666 0.03

Auto Components

44,649

Compagnie Generale des

Establissements Michelin .... 2,018,135 0.56

Banks

134,320 BNP Paribas ........................ 4,035,644 1.12

92,635 Credit Agricole SA ............. 484,111 0.14

14,370 Societe Generale ................. 286,825 0.08

Business Support Services

12,411 Bureau Veritas .................... 671,931 0.19

Chemicals

8,941 Air Liquide SA ................... 785,825 0.22

10,890 Arkema SA ......................... 478,724 0.13

Commercial Services and Supplies

213,093 Altran Technologies ............ 715,353 0.20

14,547 Edenred ............................... 260,464 0.07

Computers and Peripherals

4,720 Alten Ltd ............................. 95,816 0.03

Construction and Engineering

46,332 Bouygues SA ...................... 1,154,593 0.32

Construction Material

33,007 Cie de Saint-Gobain ............ 952,747 0.27

Diversified Financials

15,944 Eurazeo ............................... 506,780 0.14

Electric Utilities

23,035 Electricite de France ........... 502,394 0.14

49,946 GDF Suez ........................... 1,120,788 0.31

Electrical Equipment

83,448 Legrand SA ......................... 1,960,193 0.55

158,710 Rexel Distribution ............... 1,779,933 0.49

26,298 Saft Groupe SA ................... 530,957 0.15

13,971 Schneider Electric SA ......... 565,965 0.16


69,297 Carrefour SA ....................... 1,187,751 0.33

Food Products

42,516 Danone ................................ 1,959,775 0.55

Health Care Equipment and Supplies

36,125

Cie Generale d'Optique

Essilor International SA ...... 1,949,666 0.54

Hotels, Restaurants and Leisure

14,547 Accor SA ............................ 292,977 0.08




30 September 2011



Number

of Shares

Fair Value

EUR

Fund

%

Household Durables

15,311 SEB SA ............................... 928,000 0.26

Household Products

13,770 Societe BIC SA ................... 878,801 0.25

Industrial Conglomerates

980 Wendel ................................ 46,540 0.01

Insurance

182,713 AXA Insurance SA .............. 1,808,859 0.50

IT Consulting and Services

11,911 Atos Origin .......................... 388,120 0.11

72,824 Cap Gemini SA ................... 1,826,426 0.51

Media

105,069 Lagardere SCA .................... 1,939,048 0.54

14,650 Publicis Groupe SA ............. 459,864 0.13

74,900 Teleperformance ................. 1,194,655 0.33

129,669 Vivendi Universal ............... 1,987,826 0.55

Multi-Line Retail

8,061 PPR ..................................... 785,303 0.22

Office Electronics

21,654 Neopost SA ......................... 1,191,186 0.33

Oil and Gas

116,444 Total SA .............................. 3,868,270 1.08

Personal Products

6,555 Christian Dior SA ................ 553,701 0.15

Pharmaceuticals

44,433 Sanofi-Aventis ..................... 2,192,768 0.61

Real Estate

44,951 ANF ..................................... 1,380,895 0.38

330 Fonciere Des Regions .......... 17,276 0.01

3,140 Gecina SA ........................... 206,455 0.06

2,080 Icade .................................... 122,304 0.03

4,481 Unibail-Rodomco SE .......... 602,470 0.17

Software

25,308 Dassault Systemes SA ......... 1,346,891 0.37

77,400 Ubisoft Entertainment ......... 315,947 0.09

Telecommunications

70,158 Alcatel ................................. 154,067 0.04

119,924 France Telecom SA ............. 1,473,866 0.41

Textile and Apparel

21,531

LVMH Moet Hennessy

Louis Vuitton SA ................ 2,145,564 0.60

Transportation Equipment

392,808 Groupe Eurotunnel SA ........ 2,510,043 0.70

Water Utilities

22,330 Veolia Environnement ......... 247,193 0.07

55,687,418 15.50

Germany (11.40%)

Air Freight and Couriers

74,014 Deutsche Post AG ............... 708,240 0.20

Airlines

23,650 Deutsche Lufthansa AG ...... 229,405 0.06

Number

of Shares

Fair Value

EUR

Fund

%

Auto Components

8,050 Continental AG ................... 350,215 0.10

Automobiles

2,190 Volkswagen AG .................. 203,670 0.06

Banks

418,645 Commerzbank AG .............. 790,402 0.22

41,650 Deutsche Bank AG ............. 1,088,523 0.30

Building Products

9,560 Aurubis AG ......................... 363,758 0.10

Chemicals

43,781 BASF SE ............................ 2,005,389 0.56

107,041 Bayer AG ............................ 4,406,878 1.22

15,279 K&S AG ............................. 602,145 0.17

2,390 Lanxess AG ........................ 85,837 0.02

7,782 Linde AG ............................ 782,091 0.22


12,791 Bilfinger Berger AG ........... 720,133 0.20

9,886

Fraport AG Frankfurt

Airport Services

Worldwide .......................... 437,011 0.12

11,830 HeidelbergCement AG ....... 322,190 0.09


56,163 Deutsche Boerse AG ........... 2,107,236 0.59


113,694 Deutsche Telekom AG ........ 997,779 0.28


50,644 Q-Cells AG ......................... 29,424 0.01

Health Care Providers and Services

25,380 Celesio AG ......................... 250,069 0.07

29,783 Fresenius Medical Care AG 1,509,402 0.42

20,644 Fresenius AG ...................... 1,372,620 0.38

Household Products

23,020 Henkel KGaA ..................... 751,488 0.21


14,499 Rheinmetall AG .................. 511,235 0.14

26,316 Siemens AG ........................ 1,774,224 0.50

Insurance

43,548 Allianz SE ........................... 3,063,602 0.85

39,144

Muenchener

Rueckversicherungs AG ..... 3,643,523 1.02

Machinery

720 Duerr AG ............................ 17,496 0.00

9,615 MAN AG ............................ 560,074 0.16

Media

12,822

Kabel Deutschland Holding

AG ...................................... 513,265 0.14

1,040,055 Sky Deutschland AG .......... 1,993,785 0.56

Multi-Line Retail

19,896 Metro AG ............................ 630,902 0.18

Pharmaceuticals

5,399 Merck KGAA ..................... 330,743 0.09

441 Stada Arzneimittel AG ........ 6,937 0.00




30 September 2011



Number

of Shares

Fair Value

EUR

Fund

%

Real Estate

258,900

TAG Tegernsee Immobilien

und Beteiligungs AG ........... 1,561,685 0.43

Software

79,536 SAP AG ............................... 3,026,742 0.84

87,766 Software AG ....................... 2,076,544 0.58

Textile and Apparel

24,694 Adidas AG ........................... 1,123,700 0.31

40,948,362 11.40

Greece (0.03%)


36,563

Hellenic

Telecommunications

Organisation SA .................. 114,442 0.03

Guernsey, Channel Islands (0.23%)


290,414 Resolution Ltd ..................... 834,206 0.23

Ireland (0.60%)


24,154 CRH (Dublin Listing) .......... 281,636 0.08

Food Products

58,100 Glanbia (London Listing) .... 252,909 0.07

Industrial Suppliers

63,975 DCC Plc .............................. 1,202,730 0.33

Oil and Gas

77,300 Dragon Oil Plc ..................... 425,416 0.12

2,162,691 0.60

Italy (4.31%)

Banks

203,323 Intesa Sanpaolo SpA ........... 240,938 0.07

1,426,568 UniCredito Italiano SpA ...... 1,141,967 0.32


220,699 Atlantia SpA ........................ 2,346,030 0.65


451,900 Telecom Italia SpA .............. 367,846 0.10

319,226

Telecom Italia SpA (Non-

voting) ................................. 229,843 0.07

Electric Utilities

1,244,519 Enel SpA ............................. 4,106,913 1.14

Gas Utilities

179,316 Snam Rete Gas SpA ............ 615,413 0.17

Home Furnishings

30,300 De'Longhi SpA .................... 201,495 0.06

Insurance

25,689 Assicurazioni Generali SpA 301,075 0.08

Machinery

147,871 Danieli & Co SpA ............... 1,219,936 0.34

Media

281,370 Mediaset SpA ...................... 664,033 0.18

Number

of Shares

Fair Value

EUR

Fund

%

Multi-Line Retail

50,630 Autogrill SpA ..................... 382,257 0.11

Oil and Gas

259,707 ENI SpA ............................. 3,407,356 0.95

Pharmaceuticals

22,200 Recordati SpA ..................... 143,412 0.04

Real Estate

297,500 Beni Stabili SpA ................. 116,025 0.03

15,484,539 4.31



334,147 Experian Plc ........................ 2,812,754 0.79

Media

129,555 WPP Plc .............................. 903,282 0.25

Metals and Mining

19,350 Randgold Resources ........... 1,409,778 0.39

5,125,814 1.43

Luxembourg (0.67%)

Business Support Services

630,481 Regus Plc ............................ 536,577 0.15


42,728 SES SA ............................... 775,513 0.22

Iron and Steel

37,170 ArcelorMittal ...................... 449,014 0.12

Real Estate

135,440 Gagfah SA .......................... 614,085 0.17

Wireless Telecommunication Services

440

Millicom International

Cellular SA ......................... 32,683 0.01

2,407,872 0.67

Netherlands (8.68%)


161,328

European Aeronautic

Defence and Space Co NV . 3,420,960 0.95

Chemicals

47,950 Akzo Nobel NV .................. 1,597,933 0.45

36,570 Koninklijke DSM NV ......... 1,202,239 0.33


124,341 Koninklijke KPN NV .......... 1,230,852 0.34

Food Products

46,170 CSM NV ............................. 686,548 0.19

129,038 Koninklijke Ahold NV ........ 1,137,599 0.32

137,533 Unilever NV ....................... 3,267,096 0.91

Household Durables

95,473

Koninklijke Philips

Electronics NV .................... 1,292,227 0.36

Insurance

609,822 Aegon NV ........................... 1,868,495 0.52

996,877 ING Groep NV ................... 5,316,345 1.48

Media

52,036 Reed Elsevier NV ............... 427,684 0.12




30 September 2011



Number

of Shares

Fair Value

EUR

Fund

%

26,184 Wolters Kluwer ................... 320,099 0.09

Oil and Gas

230,650

Royal Dutch Shell Plc (A

Shares) ................................. 5,345,314 1.49

73,806

Royal Dutch Shell Plc (B

Shares) ................................. 1,723,296 0.48

Pharmaceuticals

65,986 Mediq NV ........................... 750,921 0.21

Semiconductor Equipment and Products

24,078 ASM International NV ........ 452,546 0.13

22,710 ASML Holding NV ............. 592,277 0.16


75,436 PostNL NV .......................... 249,542 0.07

56,556 TNT NV .............................. 294,940 0.08

31,176,913 8.68

Norway (2.96%)

Banks

168,547 DnB NoR ASA .................... 1,268,844 0.35

Chemicals

49,226 Yara International ................ 1,421,701 0.40


15,860

TGS-NOPEC Geophysical

Co ASA ............................... 221,880 0.06


81,897 Telenor ASA ....................... 946,630 0.26

Environmental Control

137,220 Tomra Systems ASA ........... 656,737 0.18

Food Products

293,262 Orkla ASA ........................... 1,676,821 0.47

Insurance

31,302 Gjensidige Forsikring ASA . 241,606 0.07

Media

41,149 Schibsted ASA .................... 660,296 0.18

Oil and Gas

494,700 DNO International ASA ...... 341,016 0.09

214,067 North Energy ASA .............. 521,775 0.15

79,484

Petroleum Geo-Services

ASA ..................................... 602,402 0.17

125,882 Statoil ASA ......................... 2,021,560 0.56


23,700 Songa Offshore SE .............. 55,360 0.02

10,636,628 2.96

Portugal (0.23%)

Electric Utilities

107,820 EDP Energias Portugal ........ 249,388 0.07

Oil and Gas

42,215 Galp Energia SGPS ............. 579,823 0.16

829,211 0.23

Russia (0.38%)

Banks

15,528 Sberbank of Russia .............. 102,772 0.03

Number

of Shares

Fair Value

EUR

Fund

%

Oil and Gas

172,675 Gazprom ............................. 1,244,516 0.35

1,347,288 0.38

Spain (3.76%)

Banks

57,380


Argentaria SA ..................... 354,551 0.10

289,978

Banco Santander Central

Hispano SA ......................... 1,803,663 0.50

30,260 Bankinter SA ...................... 123,885 0.04

482

Bankinter SA

(Non-Voting) ...................... 1,973 0.00


13,490

Obrascon Huarte Lain

SA ....................................... 250,779 0.07


108,813 Telefonica SA ..................... 1,566,907 0.44

Electric Utilities

14,520 Endesa SA ........................... 253,083 0.07

77,900 Iberdrola SA ....................... 395,031 0.11

Electronic Equipment and Instruments

95,600 Indra Sistemas ..................... 1,035,348 0.29


11,610 Inditex SA ........................... 746,407 0.21

Food Products

74,179

Distribuidora Internacional

de Alimentacion SA ............ 220,460 0.06

Gas Utilities

70,383 Gas Natural SDG SA .......... 899,495 0.25

Machinery

31,300 Duro Felguera SA ............... 146,484 0.04

Oil and Gas

121,304 Repsol SA ........................... 2,415,769 0.67

Software

272,011 Amadeus IT Holding .......... 3,279,093 0.91

13,492,928 3.76

Sweden (3.80%)


30,280 Saab AB .............................. 406,469 0.11

Agriculture

32,405 Swedish Match .................... 801,416 0.22

Banks

88,872 Nordea Bank AB ................. 541,040 0.15

64,060

Svenska Handelsbanken

AB ...................................... 1,219,321 0.34

91,960 Swedbank AB ..................... 763,916 0.21

Building Products

124,113 Assa Abloy AB ................... 1,919,260 0.54


46,716 Securitas AB ....................... 256,011 0.07

Food Products

2,330 Axfood AB ......................... 59,470 0.02




30 September 2011



Number

of Shares

Fair Value

EUR

Fund

%


28,984 Elekta AB ............................ 817,774 0.23


28,110 Volvo AB - A Shares .......... 208,650 0.06

43,010 Volvo AB - B Shares ........... 318,314 0.09

Machinery

57,931 Atlas Copco AB .................. 773,246 0.21

65,818 Husqvarna AB ..................... 199,702 0.06

Multi-Line Retail

116,340 Hennes & Mauritz AB ......... 2,608,321 0.73

Oil and Gas

12,370 Lundin Petroleum AB ......... 157,862 0.04

Real Estate

43,950 Fastighets Balder ................. 117,326 0.03

Telecommunications

193,298

Ericsson (L.M.)

Telefonaktiebolaget ............. 1,394,924 0.39

37,406 Tele2 AB ............................. 511,056 0.14

117,600 TeliaSonera AB ................... 582,445 0.16

13,656,523 3.80

Switzerland (11.21%)

Banks

94,500 GAM Holding AG ............... 880,122 0.25

Biotechnology

142,866 Novartis AG ........................ 5,949,495 1.65

1,630

Roche Holdings AG (A

shares) ................................. 204,107 0.06

80,747

Roche Holdings AG (B

Shares) ................................. 9,740,000 2.71

Chemicals

8,566 Syngenta AG ....................... 1,676,415 0.47


1,293 SGS SA ............................... 1,472,662 0.41


82,940 ABB Ltd .............................. 1,073,275 0.30

1,731 Flughafen Zuerich AG ........ 482,938 0.13


91,434 Credit Suisse Group AG ...... 1,799,920 0.50

301,869 UBS AG .............................. 2,608,327 0.73


48,375 TE Connectivity Ltd ............ 1,014,588 0.28

Food Products

91,471 Nestle SA ............................ 3,760,420 1.05

Hand and Machine Tools

17,100

Meyer Burger Technology

AG ....................................... 328,342 0.09


4,626 Synthes Inc .......................... 558,005 0.16

Insurance

17,725 ACE Ltd .............................. 800,578 0.22

1,107 Helvetia Holding AG .......... 252,527 0.07

34,979 Swiss Reinsurance ............... 1,220,438 0.34

Number

of Shares

Fair Value

EUR

Fund

%

15,105

Zurich Financial Services

Group .................................. 2,367,387 0.66

Multi-Line Retail

43,025

Cie Financiere Richemont

SA ....................................... 1,441,150 0.40

Oil and Gas

9,700 Petroplus Holdings AG ....... 40,753 0.01

Pharmaceuticals

18,020 Actelion Ltd ........................ 445,818 0.12


49,300 OC Oerlikon Corp AG ........ 211,575 0.06

Textile and Apparel

7,769 Swatch Group AG (BR) ...... 1,925,888 0.54

40,254,730 11.21



706,049 BAE Systems ...................... 2,191,240 0.61

113,441 Cobham ............................... 230,233 0.06

258,491 Rolls-Royce Holdings Plc ... 1,785,742 0.50

Airlines

394,049

International Consolidated

Airlines Group .................... 700,457 0.19

Agriculture

177,086 Imperial Tobacco Group ..... 4,469,922 1.24

Auto Components

142,674 GKN Plc ............................. 291,219 0.08

Banks

955,328 Barclays Bank Plc ............... 1,788,580 0.50

217,776 HSBC Holdings .................. 1,256,421 0.35

1,910,139 Lloyds Banking Group Plc .. 773,234 0.21

5,219,712


Group .................................. 1,423,593 0.40

Beverages

2,160 Diageo Plc ........................... 30,885 0.01

67,190 SAB Miller (UK listing) ..... 1,640,590 0.46

Biotechnology

108,721 AstraZeneca ........................ 3,619,073 1.01

223,039 GlaxoSmithKline ................ 3,450,676 0.96

45,337 Shire .................................... 1,057,521 0.29

Chemicals

44,620 Croda International Plc ....... 854,810 0.23

12,700 Elementis Plc ...................... 18,211 0.01

Coal

17,040 Bumi Plc ............................. 170,740 0.05


194,570

Group 4 Securicor

(Copenhagen listing) ........... 593,552 0.17

79,805 Pennon Group Plc ............... 625,446 0.17

587,100 Rentokil Initial .................... 488,410 0.14


86,461 Balfour Beatty ..................... 256,589 0.07

323,250 Carillion Plc ........................ 1,254,299 0.35




30 September 2011



Number

of Shares

Fair Value

EUR

Fund

%

Containers and Packaging

325,754 Rexam Plc ........................... 1,173,999 0.33

Distributors

301,571 Inchcape Plc ........................ 978,300 0.27


190,000 3i Group Plc ........................ 414,070 0.12

4,300 Investec Plc ......................... 17,444 0.00

18,242 Provident Financial ............. 212,649 0.06

Electric Utilities

76,700 Drax Group Plc ................... 427,279 0.12

52,600

Scottish & Southern Energy

SSE Plc ................................ 790,271 0.22


496,670 TT Electronics Plc ............... 898,157 0.25


114,953 J Sainsbury .......................... 365,702 0.10

Food Products

44,100 Tate & Lyle Plc ................... 320,530 0.09

513,470 Tesco ................................... 2,252,932 0.63

3,880 Unilever Plc ......................... 90,955 0.02

Gas Utilities

286,835 Centrica Plc ......................... 991,109 0.28


104,325 Smith & Nephew ................. 704,359 0.20


125,804 Compass Group Plc ............. 760,276 0.21

Insurance

246,869 Aviva ................................... 875,084 0.24

1,888,822

Legal & General Group

Plc ....................................... 2,119,576 0.59

343,536 Old Mutual Plc .................... 418,412 0.12

94,041 Prudential ............................ 608,175 0.17

229,733

Royal & Sun Alliance

Insurance ............................. 296,609 0.08

267,029 St James's Place ................... 961,117 0.27

Machinery

62,975 Charter International ........... 633,202 0.18

24,500 The Weir Group .................. 440,061 0.12

Media

988,351 Aegis Group ........................ 1,428,686 0.40

138,231


Group .................................. 1,065,687 0.29

69,953 Pearson Plc .......................... 924,283 0.26

140,350 Reed Elsevier Plc ................ 805,325 0.22

394,110 Yell Group Plc ..................... 18,669 0.01

Metals and Mining

29,372 Anglo American Plc ............ 760,151 0.21

31,350 BHP Billiton ........................ 632,439 0.18

14,600

Eurasian Natural Resources

Corp Plc ............................... 97,386 0.03

20,497 Fresnillo Plc ........................ 376,014 0.10

33,319 Kazakhmys Plc .................... 306,776 0.09

Number

of Shares

Fair Value

EUR

Fund

%

44,633 Lonmin ............................... 543,610 0.15

49,186 Rio Tinto Plc ....................... 1,649,282 0.46

103,216 Xstrata Plc ........................... 982,691 0.27

Miscellaneous Manufacturers

102,117 Cookson Group Plc ............. 513,147 0.14

32,380 Smiths Group ...................... 375,576 0.11

Multi-Line Retail

656,801 Debenhams ......................... 429,718 0.12

789,880 Home Retail Group ............. 1,030,822 0.29

798,985 Kingfisher ........................... 2,300,628 0.64

93,083 N Brown Group .................. 290,723 0.08

Oil and Gas

322,149 Aurelian Oil & Gas ............. 67,326 0.02

241,491 BG Group ........................... 3,479,597 0.97

1,192,906 BP Plc ................................. 5,380,189 1.50

74,438 Cairn Energy ....................... 242,342 0.06

3,600 John Wood Group Plc ......... 22,153 0.01

69,409 National Grid ...................... 514,153 0.14

Real Estate

19,543

Berkeley Group

Holdings ............................. 269,792 0.07

11,700 British Land Co Plc ............ 64,662 0.02

996,922

Dawnay Day Sirius

Ltd ...................................... 239,261 0.07

2,915,976

Dawnay Day Treveria

Plc ....................................... 422,816 0.12

164,144 Hansteen Holdings Plc ........ 137,600 0.04

83,863

Land Securities Group

Plc ....................................... 624,631 0.17


115,500 ARM Holdings Plc ............. 755,670 0.21

Speciality Retail

169,400 Travis Perkins Plc ............... 1,487,916 0.41

Telecommunications

692,012 BT Group ............................ 1,394,021 0.39

131,652 Colt Group SA .................... 153,468 0.04

140,815

TalkTalk Telecom Group

plc ....................................... 206,331 0.06

4,278,287 Vodafone Group Plc ........... 8,255,761 2.30

Textile and Apparel

80,448 Burberry Group Plc ............. 1,095,644 0.30

Tobacco

139,479


Plc ....................................... 4,418,643 1.23


9,400 FirstGroup Plc ..................... 35,012 0.01

89,520,312 24.92


Software

286,825 Playtech .............................. 865,858 0.24

Total Common Stock ........ 338,411,501 94.22




30 September 2011



Number

of Shares

Fair Value

EUR

Fund

%

Preferred Stock (0.65%)

Germany (0.64%)

Automobiles

18,649 Porsche AG ......................... 670,618 0.19

13,796 Volkswagen ......................... 1,368,563 0.38

Household Products

3,340 Henkel AG & Co KGaA ..... 133,600 0.04

Machinery

6,630 Jungheinrich ........................ 130,379 0.03

2,303,160 0.64

Italy (0.01%)

Automobiles

9,500 Fiat SpA .............................. 26,315 0.01

Total Preferred Stock ........ 2,329,475 0.65

Rights (0.00%)

Spain (0.00%)

57,380


Argentaria SA ...................... 6,312 0.00

Total Rights ....................... 6,312 0.00

Total Transferable

Securities ............................ 340,747,288 94.87

Number

of Shares

Fair Value

EUR

Fund

%


Ireland (3.70%)

12,807


III plc


Class C Shares ................... 12,807,267 3.57

378


III plc


Class A Shares .................. 438,377 0.12

7,402


III plc


II - Class A Shares ............. 55,173 0.01


Schemes ............................. 13,300,817 3.70

Total Investments

excluding Financial




Notional

Amount

EUR

Average

Cost Price

EUR

Unrealised

Gain (Loss)

EUR

Fund

%

5,359,981 6,090.89 88 of FTSE 100 Index Futures


Expiring December 2011 ............................... (158,832) (0.04)

4,403,805 2,158.73 204 of Euro Stoxx 50 Index Futures


Expiring December 2011 ....................................... (5,565) 0.00

1,253,569 5,571.42 9 of DAX Index Futures


Expiring December 2011 ....................................... (22,594) (0.01)

1,235,090 280.70 22 of AEX Index Futures


Expiring October 2011 .......................................... (670) 0.00

418,280 8,365.60 5 of IBEX 35 Index Futures


Expiring October 2011 .......................................... 6,945 0.00

800,281 100.04 80 of OMX 30 Index Futures


Expiring October 2011 .......................................... (11,139) 0.00

2,447,408 4,532.24 54 of Swiss Market Index Futures


Expiring December 2011 ....................................... (4,557) 0.00




30 September 2011



Notional

Amount

EUR

Average

Cost Price

EUR

Unrealised

Gain (Loss)

EUR

Fund

%

365,275 14,611.00 5 of FTSE MIB Index Futures



1,388,530 3,018.54 46 of CAC 40 Index Futures


Expiring October 2011 .......................................... (16,580) (0.01)


Unrealised loss on open futures contracts .......................................................................... (219,937) (0.06)

Net unrealised gain (loss) on open futures contracts .................................................... (209,517) (0.06)


Settlement

Date

Amount

Bought

Amount

Sold

Unrealised

Gain (Loss)

EUR

Fund

%

21/12/2011 CHF 2,500,000 EUR 2,053,881 1,622 0.00

21/12/2011 CHF 200,000 EUR 163,613 827 0.00

21/12/2011 CHF 100,000 EUR 82,104 116 0.00

21/12/2011 CHF 733,333 EUR 611,585 (8,638) 0.00

21/12/2011 CHF 733,333 EUR 611,483 (8,536) 0.00

21/12/2011 CHF 733,333 EUR 611,466 (8,519) 0.00

21/12/2011 CHF 733,333 EUR 611,570 (8,622) 0.00

21/12/2011 CHF 733,333 EUR 611,545 (8,597) 0.00

21/12/2011 CHF 733,335 EUR 611,612 (8,663) (0.01)

21/12/2011 EUR 54,576 SEK 500,000 503 0.00

21/12/2011 EUR 83,032 CHF 100,000 811 0.00

21/12/2011 EUR 171,912 GBP 150,000 (2,174) 0.00

21/12/2011 EUR 114,511 GBP 100,000 (1,547) 0.00

21/12/2011 EUR 534,327 CHF 650,000 (103) 0.00

21/12/2011 EUR 569,420 GBP 500,000 (10,869) (0.01)

21/12/2011 EUR 235,686 SEK 2,200,000 (2,237) 0.00

21/12/2011 EUR 5,587,234 GBP 4,860,000 (53,168) (0.02)

21/12/2011 EUR 2,753,938 CHF 3,350,000 (436) 0.00

21/12/2011 EUR 836,089 SEK 7,770,000 (4,213) 0.00

21/12/2011 GBP 1,064,167 EUR 1,228,191 6,857 0.00

21/12/2011 GBP 1,064,167 EUR 1,228,093 6,954 0.00

21/12/2011 GBP 1,064,167 EUR 1,228,114 6,933 0.00

21/12/2011 GBP 1,064,167 EUR 1,228,081 6,966 0.00

21/12/2011 GBP 1,064,167 EUR 1,228,043 7,004 0.01

21/12/2011 GBP 1,064,165 EUR 1,228,133 6,912 0.00

21/12/2011 GBP 200,000 EUR 229,379 2,737 0.00

21/12/2011 GBP 3,700,000 EUR 4,254,458 39,675 0.02

21/12/2011 GBP 250,000 EUR 287,269 2,875 0.00

21/12/2011 SEK 800,000 EUR 86,259 259 0.00

21/12/2011 SEK 1,913,333 EUR 208,496 (1,575) 0.00

21/12/2011 SEK 1,913,333 EUR 208,556 (1,635) 0.00

21/12/2011 SEK 1,913,333 EUR 208,510 (1,589) 0.00

21/12/2011 SEK 1,913,333 EUR 208,480 (1,559) 0.00

21/12/2011 SEK 1,913,333 EUR 208,539 (1,618) 0.00

21/12/2011 SEK 1,913,335 EUR 208,487 (1,566) 0.00




30 September 2011



Settlement

Date

Amount

Bought

Amount

Sold

Unrealised

Gain (Loss)

EUR

Fund

%

21/12/2011 SEK 5,500,000 EUR 599,089 (4,281) 0.00

21/12/2011 SEK 500,000 EUR 54,251 (177) 0.00

Unrealised gain on open forward foreign currency exchange contracts ........................... 91,051 0.03

Unrealised loss on open forward foreign currency exchange contracts ............................ (140,322) (0.04)

Net unrealised gain (loss) on open forward foreign currency exchange contracts .... (49,271) (0.01)

Total Financial Derivative Instruments ........................................................................ (258,788) (0.07)

Fair Value

EUR

Fund

%


(98.60%) ............................................................................................................................... 354,149,576 98.60


Loss ((0.10)%) ..................................................................................................................... (360,259) (0.10)


(98.50%) ............................................................................................... 353,789,317 98.50

Other Net Assets (1.30%) .................................................................... 4,688,681 1.30


Prices (0.20%) ...................................................................................... 720,799 0.20

Net Assets (100.00%) .......................................................................... 359,198,797 100.00


% of

total assets


traded on a regulated market .................................................................................................................................. 91.38



Over the counter financial derivative instruments ................................................................................................. 5.02

100.00

The broker for the open futures contracts is Morgan Stanley.


Barclays Bank Plc

Citibank

Commonwealth Bank of Australia Sydney

Credit Suisse First London

HSBC Bank

JP Morgan Chase


State Street Bank and Trust Company


The proportion of the investments of The Pan European Equity Fund in rights or securities eligible to the French Plan d'Epargne

en Actions (PEA) has been continuously equal to, or greater than, 75 per cent over the elapsed six months ended on 30 September

2011.









Acquisition Cost


Disposal Proceeds

EUR



Class A Shares 75,340,207 Class A Shares (68,633,869)

Roche Holding AG (A shares) 8,589,793 Russell Investment Company III plc

Russell Investment Company III plc The Sterling Liquidity Fund

The Sterling Liquidity Fund Class A Shares (7,312,444)

Class A Shares 7,595,485 BASF SE (3,048,180)

Vodafone Group Plc 7,347,202 Vodafone Group Plc (2,734,088)

ING Groep NV 6,750,286 Russell Investment Company III plc

BNP Paribas 6,328,686 The U.S. Dollar Cash Plus Fund

BP Plc 5,939,901 Class A Shares (2,481,071)

Bayer AG 5,761,826 UBS AG (2,307,353)

Novartis AG 5,639,976 BP Plc (2,158,516)

Enel SpA 4,554,107 Bayer AG (2,157,794)

Royal Dutch Shell Plc (A Shares) 4,349,309 France Telecom SA (2,082,102)

BASF SE 4,348,018 Charter International Plc (2,018,097)

British American Tobacco Plc 4,135,887 Telefonica SA (1,926,573)

Total SA 4,068,878 Edenred (1,846,619)

UBS AG 4,022,551 GlaxoSmithKline (1,817,720)

Imperial Tobacco Group 3,882,185 Total SA (1,716,003)

Allianz SE 3,719,350 ASML Holding NV (1,704,906)

ENI SpA 3,540,206 Vivendi SA (1,694,730)

AstraZeneca 3,495,248 HSBC Holdings (1,680,190)

GlaxoSmithKline 3,390,494 Imperial Tobacco Group (1,593,884)

Rio Tinto Plc (1,570,903)

Zodiac Aerospace (1,570,695)



Manager’s Report

The U.K. Equity Plus Fund 75

Money Managers BlackRock International Limited

Ignis Asset Management

Standard Life Investments

Investment Objective The U.K. Equity Plus Fund (the “Fund”) aims to provide total returns by investing in a portfolio of predominantly U.K. equities

traded on U.K. stock exchanges, including convertibles, warrants, money market instruments, deposits and collective investment

schemes. The Fund will seek to achieve its investment objective by investing in derivative instruments that have as their

underlying exposure the foregoing (e.g. swaps and contracts for differences) and may implement bought (long) and synthetic

short (sold) positions through the use of derivatives. Money market instruments may include but are not limited to commercial

paper issued by corporate entities; certificates of deposit; bankers‟ acceptances; Treasury bills; short corporate bonds (securities

with less than one year to maturity); money market funds. The investments will be selected with a view to achieving the Fund‟s

objective of providing total returns and focussed stock selection. In addition to investing in the foregoing instruments, the Fund

may also invest up to 30 per cent of its net assets in non-U.K. equities. The Fund may also invest in new issues for which

application for listing on a regulated market will be sought. Investment in money market instruments will not exceed 20 per cent

of the net assets of the Fund. Investment in collective investment schemes will not exceed 10 per cent of the net assets of the

Fund. At all times, at least two-thirds of the Fund‟s net assets will be invested in the foregoing instruments (excluding

convertibles) of issuers domiciled in the U.K.

Fund Performance

During the six months ended 30 September 2011, the Fund returned -13.5 per cent on a gross-of-fee basis (-13.8 per cent on a net-

of-fee basis) while the benchmark* returned -11.8 per cent.

Market Comment

The second quarter of 2011 remained a turbulent environment for U.K. investors, with the FTSE All Share Index inching up just 2

per cent, as continued fears over sovereign debt defaults among smaller European economies helped reinforce speculation that

national debt burdens were increasing and eroded demand for riskier assets. The quarter began on the upside; U.K. equities

advanced as the earnings season gained momentum. Retailers surged, as earnings unexpectedly beat analyst expectations.

Financials experienced a minimal turnaround in April, notably among insurers, as rising investment income offset the still-

developing impacts from the Japanese earthquake. Meanwhile, U.K. inflation declined with the headline rate falling to 4 per cent

from 4.4 per cent, contrary to some economist‟s predictions of a rise to nearer 5 per cent. The market then experienced a slight dip

in May as confirmation of a GDP growth rate of just 0.5 per cent for the first quarter (meaning the U.K. lagged behind its

Continental European peers), weighed on investor sentiment. However, a last-minute rally helped the FTSE All Share Index to

finish the month up in June, bolstered by news that the Greek parliament approved another austerity round. From a sector

perspective, commodity- related sectors, such as oil and gas and basic materials were the major laggards, whilst defensive areas of

the market drove returns.

The third quarter of 2011 was turbulent as global investor confidence tumbled due to the deepening Eurozone debt crisis and

slowdown in global growth, with the FTSE All Share Index suffering a 13.5 per cent loss, its worst fall since the credit crisis of

2008. The quarter started on a downbeat note as U.S. and Europe sovereign debt concerns dominated the markets. These declines

were led by disappointing macroeconomic data from the U.S. and intensifying fears over Italian and Spanish debt, which

continued to erode demand for riskier assets. Banks were the major laggards, as the industry was gripped by Washington‟s debt

impasse. August suffered a dramatic fall as global markets saw a collapse in confidence following the eurozone debt crisis, the

U.S. sovereign debt downgrade and continued recession fears. Strains in the financial markets intensified, heightening concerns of

solvency positions in the eurozone, coupled with the downgrade of U.S. debt from AAA to AA+, which triggered a global equity

sell-off. September remained volatile as concerns over Europe reverberated. The IMF cut its U.K. GDP forecast by a third to 1.1

per cent for 2012, citing the governments‟ toughest spending cuts since WWII as a threat to growth. The Bank of England kept

rates unchanged at 0.5 per cent, however weak economic data in the U.K. highlighted slow growth, which prompted discussions

around further quantitative easing to support the economy. Over the quarter, banks and mining stocks led losses, whilst consumer

goods and health care stocks were the strongest performers. Mid-caps were the worst performers, down 17 per cent.


The Fund underperformed its benchmark over the six month period, returning -1.7 per cent.

Ignis Asset Management moderately outperformed the benchmark over the period, as its more defensive positioning proved

favourable. During the second quarter, a significant underweight position to commodity-related stocks, notably within the mining

industry, drove performance. In the third quarter the manager‟s underweight positioning to mining stocks drove performance as

the sector was the major laggard over the period. Additionally, stock picking within the health care sector proved beneficial

thanks to positive news flow for Ignis Asset Management‟s holdings in the sector (Shire, Advanced Medical Solutions) as well as

investors generally favouring less risky sectors in the defensive environment.




76 The U.K. Equity Plus Fund

Standard Life Investments‟ strong bias towards cyclical industrials stocks proved favourable over the period. A significant

underweight to financials was a major contributor to performance, notably among banks and life insurers, as well as positive

selection among financial services. The Money Manager‟s preference for more economically sensitive and smaller cap stocks did

not prove favourable in a turbulent third quarter. The Money Manager‟s overweight to industrial stocks (IMI, DS Smith, Cookson

Group) was the most notable detractor as investors worried about an economic downturn.

Outlook The dominant characteristic of capital markets in 2010 was the tug-of-war between headline-grabbing risks and the less





For 2011, we have identified a central (highest probability) scenario - the „square root sign-shaped recovery‟ is likely to continue.





* Benchmark Source: FTSE All Share Index


November 2011



Balance Sheet




30 September 2011

(Unaudited)

GBP

31 March 2011

(Audited)

GBP

30 September 2010

(Unaudited)

GBP

Assets

Financial assets at fair value through profit or loss (Note 1) ............................................ 117,967,467 133,901,989 132,652,366

Cash at bank (Note 5) ....................................................................................................... 1,660,488 725,475 665,019


positions (Note 5) .............................................................................................................. 1,000,000 400,000 964,800


lending transactions (Note 4) ............................................................................................ 4,672,908 3,260,952 5,581,451

Debtors:

Receivable for investments sold ..................................................................................... 97,071 78,115 883,411

Receivable on fund shares issued ................................................................................... - 23,948 -

Dividends receivable ...................................................................................................... 350,966 568,173 294,019

125,748,900 138,958,652 141,041,066

Liabilities

Financial liabilities at fair value through profit or loss (Note 1) ....................................... - - (16,030)



positions (Note 5) ........................................................................................................... (310,715) (174,330) (380,120)


(Note 4) .......................................................................................................................... (4,672,908) (3,260,952) (5,581,451)

Payable for investments purchased ................................................................................ (75,254) (203,002) (539,070)

Payable on fund shares redeemed .................................................................................. (7,296) (33,861) (134,920)

Management fees payable .............................................................................................. (75,993) (87,601) (82,414)

Custodian and Trustee fees payable ............................................................................... (1,449) (1,686) (1,651)

Sub-custodian fees payable ............................................................................................ (1,979) (3,113) (3,802)

Administration fees payable .......................................................................................... (2,415) (2,810) (2,752)

Performance fees payable .............................................................................................. (924,811) (1,313,492) (1,044,506)

Audit fees payable .......................................................................................................... (8,152) (14,944) (7,581)

Miscellaneous fees payable ............................................................................................ (4,038) (2,809) (12,103)

(6,085,010) (5,098,600) (7,806,400)




prices ............................................................................................................................... 118,600 36,699 62,319

Net asset value attributable to redeemable participating








Six months ended

30 September 2011

(Unaudited)

GBP

Year ended

31 March 2011

(Audited)

GBP

Six months ended

30 September 2010

(Unaudited)

GBP

Income

Dividends ....................................................................................................................... 1,930,863 3,531,911 1,658,429

Bank and short term investment interest ........................................................................ 711 1,154 349

Securities lending income (Note 4) ................................................................................ 22,862 56,077 22,550

Miscellaneous income .................................................................................................... - 30,775 38,242

1,954,436 3,619,917 1,719,570

Net gain (loss) on investment activities ............................................................................ (19,945,759) 13,616,822 2,686,533

Total investment income (expense) ............................................................................... (17,991,323) 17,236,739 4,406,103

Expenses

Management fees (Note 3) ............................................................................................. (504,243) (977,191) (463,603)

Custodian and Trustee fees (Note 3) .............................................................................. (12,585) (26,216) (12,951)

Sub-custodian fees (Note 3) ........................................................................................... (5,337) (22,008) (11,125)

Administration and transfer agency fees (Note 3) .......................................................... (33,156) (71,560) (36,245)

Audit fees ....................................................................................................................... (8,152) (14,944) (7,581)

Performance fees ............................................................................................................ 388,681 (759,352) (365,074)

Professional fees ............................................................................................................. (6,834) 9,187 -

Miscellaneous fees ......................................................................................................... (20,746) (32,518) (19,045)

Total operating expenses ............................................................................................... (202,372) (1,894,602) (915,624)


Finance costs

Distributions (Note 15) .................................................................................................. (1,202,576) (1,583,449) (1,031,319)

Interest expense .............................................................................................................. - (1,993) (1,660)


taxation ........................................................................................................................... (19,396,271) 13,756,695 2,457,500

Taxation

Withholding tax (Note 7) ............................................................................................... (7,233) (346,321) (10,061)


taxation ........................................................................................................................... (19,403,504) 13,410,374 2,447,439


traded market prices ...................................................................................................... 81,901 (73,405) (47,785)



operations ....................................................................................................................... (19,321,603) 13,336,969 2,399,654

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

Account.







Six months ended

30 September 2011

(Unaudited)

GBP

Year ended

31 March 2011

(Audited)

GBP

Six months ended

30 September 2010

(Unaudited)

GBP



operations .................................................................................................................................................. (19,321,603) 13,336,969 2,399,654

Share transactions


participating share transactions (Note 6) ........................................................................ 4,270,636 (11,533,369) (763,315)


(Note 15) ........................................................................................................................ 936,706 1,207,201 774,696


redeemable participating shareholders .................................................................................................. (14,114,261) 3,010,801 2,411,035


shareholders

Beginning of period/year/period .................................................................................... 133,896,751 130,885,950 130,885,950

End of period/year/period ............................................................................................... 119,782,490 133,896,751 133,296,985




30 September 2011



Number

of Shares

Fair Value

GBP

Fund

%



Bermuda (0.54%)

Insurance

93,904

Lancashire Holdings

Ltd ....................................... 645,121 0.54

Canada (0.14%)

Metals and Mining

19,500

First Quantum Minerals

Ltd ....................................... 165,483 0.14


Insurance

32,090 Phoenix Group Holdings ..... 153,615 0.12

Media

107,444 Informa Plc .......................... 351,557 0.29

132,650 WPP Plc .............................. 796,563 0.67

1,301,735 1.08

Netherlands (0.36%)

Oil and Gas

21,605

Royal Dutch Shell Plc (A

Shares) ................................. 431,884 0.36

Singapore (0.77%)


112,790 Cape Plc .............................. 511,728 0.43


38,394 XP Power Ltd ...................... 407,745 0.34

919,473 0.77


Aerospace and Defense

49,806 BAE Systems ...................... 133,131 0.11

82,180 BBA Aviation Plc ............... 136,994 0.11

45,645

Rolls-Royce Holdings

Plc ....................................... 271,588 0.23

104,626 Senior Plc ............................ 151,185 0.13

Agriculture

10,840 Genus Plc ............................ 113,170 0.09

Airlines

373,996

International Consolidated

Airlines Group SA ............... 572,588 0.48

Auto Components

695,332 GKN Plc .............................. 1,222,394 1.02

Banks


476,116 HSBC Holdings Plc ............. 2,365,820 1.97

1,290,981

Lloyds Banking Group

Plc ....................................... 450,101 0.38

708,090


Group Plc ............................ 166,330 0.14

384,524 Standard Chartered Plc ........ 4,946,901 4.13

Number

of Shares

Fair Value

GBP

Fund

%

Biotechnology

157,886 AstraZeneca Plc .................. 4,526,592 3.78

Building Products

548,900 Lupus Capital Plc ................ 510,477 0.43

Chemicals

192,328 Yule Catto & Co Plc ........... 309,071 0.26


88,436

Babcock International Group

Plc ....................................... 582,351 0.49

29,806 Dignity Plc .......................... 250,966 0.21

132,992 Interserve Plc ...................... 400,040 0.33

169,832 Northgate Plc ...................... 424,580 0.35

145,834 SThree Plc ........................... 332,502 0.28

Communication Equipment

102,021

Avanti Communications

Group Plc ............................ 270,865 0.22

340,567 Spirent Communications Plc 416,854 0.35

128,328 Telecity Group Plc .............. 709,654 0.59

1,987,539 Vodafone Group Plc ........... 3,303,290 2.76


127,590 Computacenter Plc .............. 465,703 0.39

72

Domino Printing Sciences

Plc ....................................... 333 0.00


77,455 Carillion Plc ........................ 258,855 0.22

170,683 Galliford Try Plc ................. 751,005 0.63

13,490 Kier Group Plc .................... 170,648 0.14


521,461 Smith (DS) Plc .................... 913,078 0.76

Distributors

133,900 Wolseley ............................. 2,151,773 1.80


316,103

International Personal

Finance Plc ......................... 702,697 0.59

564,784 Man Group Plc .................... 951,096 0.79

5,141 Provident Financial Plc ....... 51,616 0.04


134,189 Inmarsat .............................. 658,600 0.55


71,060 Oxford Instruments ............. 574,165 0.48

202,301 Premier Farnell Plc ............. 309,925 0.26

24,993 Renishaw Plc ...................... 254,928 0.21

45,996 Spectris ............................... 537,233 0.45

Food Products

38,852 Cranswick Plc ..................... 244,185 0.20

101,154 Greggs Plc ........................... 467,129 0.39

265,933

Morrison WM

Supermarkets ....................... 772,535 0.65

371,909 Ocado Group Plc ................. 351,454 0.29

46,708 Unilever Plc ........................ 943,035 0.79

Gas Utilities

478,110 Centrica Plc ......................... 1,422,855 1.19




30 September 2011



Number

of Shares

Fair Value

GBP

Fund

%


546,822

Advanced Medical Solutions

Group Plc ............................ 473,001 0.39

Home Furnishings

533,752 Galiform Plc ........................ 547,096 0.46


368,813 Cineworld Group ................. 658,331 0.55

671,120 Compass Group Plc ............. 3,493,180 2.92

103,347 Greene King Plc .................. 449,559 0.37

96,222 Restaurant Group Plc .......... 264,899 0.22

Household Durables

481,287 Fiberweb Plc ....................... 197,328 0.16

Household Products

84,927

Reckitt Benckiser Group

Plc ........................................ 2,776,264 2.32

Insurance

41,233 Aviva Plc ............................. 125,884 0.11

79,511 Legal & General Group ....... 76,847 0.06

166,626 Prudential ............................ 928,107 0.77

Internet Software and Services

9,371 ASOS Plc ............................ 141,971 0.12

890,985 Monitise Plc ........................ 305,162 0.25

Leisure Equipment and Products

5,725 Carnival Plc ......................... 115,187 0.10

Machinery

94,712 Bodycote Plc ....................... 234,223 0.20

101,747 Fenner Plc ........................... 317,450 0.26

48,744 The Weir Group Plc ............ 754,070 0.63

Media

449,000


Group Plc ............................ 2,981,360 2.49

1,430,932 ITV Plc ................................ 847,827 0.71

190,735 St Ives Plc ............................ 127,793 0.11

115,531

United Business Media

Ltd ....................................... 518,503 0.43

Metals and Mining

88,017 BHP Billiton Plc .................. 1,529,296 1.28

179,074 Rio Tinto Plc ....................... 5,171,657 4.32

46,098 Vedanta Resources Plc ........ 507,078 0.42

91,186 Xstrata Plc ........................... 747,725 0.62


161,905 Cookson Group Plc ............. 700,725 0.58

96,413 IMI Group ........................... 684,532 0.57

484,272 Melrose Plc ......................... 1,408,263 1.18

Multi-Line Retail

538,257 Debenhams Plc .................... 303,308 0.25

Oil and Gas

741,870 Afren Plc ............................. 602,027 0.50

507,350 BG Group Plc ...................... 6,296,213 5.26

240,911 BP Plc .................................. 935,819 0.78

562,900 Cairn Energy Plc ................. 1,578,372 1.32

1,241,595 Cove Energy Plc .................. 940,508 0.78

Number

of Shares

Fair Value

GBP

Fund

%

86,229 National Grid Plc ................ 550,141 0.46

258,072 Nautical Petroleum Plc ....... 733,570 0.61

125,034

Rockhopper Exploration

Plc ....................................... 240,065 0.20

101,708 Royal Dutch Shell Plc ......... 2,045,348 1.71

262,957 Tullow Oil ........................... 3,436,848 2.87


68,596 Amec Plc ............................. 559,401 0.47

268,721 John Wood Group ............... 1,424,221 1.19

Pharmaceuticals

185,510 GlaxoSmithKline Plc .......... 2,471,921 2.06

92,745 Shire Plc .............................. 1,863,247 1.56

Real Estate

378,984 Grainger Trust ..................... 328,200 0.27

Retail Trade

239,783 Enterprise Inns Plc .............. 79,728 0.07

177,683 Wincanton ........................... 141,258 0.12

Software

799,775 Blinkx ................................. 1,183,667 0.99

496,403 Iomart Group ...................... 511,295 0.43

Speciality Retail

153,300 Next Plc .............................. 3,881,556 3.24

1,498,881 Pendragon ........................... 136,398 0.11

Tobacco

246,937


Plc ....................................... 6,737,676 5.62

Trading Companies and Distributors

85,370 Electrocomponents ............. 162,118 0.14


575,603 Stagecoach Group Plc ......... 1,413,105 1.18

102,652,913 85.70


Total Transferable

Securities ............................ 106,116,609 88.59


Ireland (9.86%)

USD 236


III plc


II - Class C Shares ............ 1,514 0.00

GBP 11,812


III plc



EUR 1


III plc


Class C Income Shares ..... 2 0.00


Schemes ............................. 11,814,063 9.86

Total Investments

excluding Financial





30 September 2011



Financial Derivative Instruments (0.03%)

Open Futures Contracts (0.03%)

Notional

Amount

GBP

Average

Cost Price

GBP

Unrealised

Gain (Loss)

GBP

Fund

%

12,994,885 5,076.13

256 of FTSE 100 Index Futures



Net unrealised gain (loss) on open futures contracts .................................................... 36,795 0.03

Total Financial Derivative Instruments ......................................................................... 36,795 0.03

Fair Value

GBP Fund

%


(98.48%) ............................................................................................... 117,967,467 98.48

Other Net Assets (1.42%) .................................................................... 1,696,423 1.42


Prices (0.10%) ...................................................................................... 118,600 0.10

Net Assets (100.00%) .......................................................................... 119,782,490 100.00


% of

total assets


traded in a regulated market ................................................................................................................................... 88.59



Other assets ............................................................................................................................................................ 1.52

100.00

The broker for the open futures contracts is UBS.

The proportion of the investments of The U.K. Equity Plus Fund in rights or securities eligible to the French Plan d’Epargne en

actions (PEA) has been continuously equal to, or greater than, 75 per cent over the elapsed six months ended on 30 September

2011.









Acquisition Cost

GBP Portfolio Securities

Disposal Proceeds

GBP


The Sterling Liquidity Fund The Sterling Liquidity Fund

Class C Shares 27,466,000 Class C Shares (21,469,000)

Tullow Oil Plc 709,967 BP Plc (1,394,896)

BG Group Plc 664,983 Melrose Plc (1,102,933)

Standard Chartered Plc 645,328 Royal Dutch Shell Plc (676,001)

Lancashire Holdings Ltd 627,408 Barclays Plc (662,294)

Oxford Instruments Plc 615,755 British Sky Broadcasting Group (652,027)

Vodafone Group Plc 554,336 Rio Tinto Plc (621,563)

British Sky Broadcasting Group 544,033 Intermediate Capital Group (607,089)

Wolseley Plc 538,997 Fenner Plc (600,424)

Blinkx Plc 534,142 Reckitt Benckiser Group Plc (564,756)

Melrose Plc 493,211 Inchcape Plc (558,008)

Shire Plc 470,266 Next Plc (542,676)

Melrose Plc 456,815 Resolution Ltd (532,219)

Advanced Medical Solutions 445,232 Melrose Plc (456,815)

Royal Dutch Shell Plc 424,234 Provident Financial Plc (402,845)

Glencore International Plc 367,363 DS Smith Plc (380,861)

Wm Morrison Supermarkets 360,608 International Consolidated Airlines Group (380,323)

Barclays Plc 339,903 BG Group Plc (360,533)

Prudential Plc 336,474 Domino Printing Sciences Plc (348,444)

AstraZeneca Plc 333,589 Tullow Oil Plc (320,798)



Manager’s Report

84 The U.S. Growth Fund

Money Managers Columbus Circle Investors


Suffolk Capital Management, LLC

Sustainable Growth Advisers, L.P.

Waddell and Reed

Investment Objective The U.S. Growth Fund (the “Fund”) will seek to achieve capital appreciation by investing primarily in U.S. equity securities,

including common stock, American depository receipts, global depository receipts, convertibles and warrants listed, traded or

dealt in on a regulated market in the U.S. The Fund may invest in new issues for which application for listing on a regulated

market will be sought. The Fund may also hold such securities listed or traded on regulated markets worldwide of companies that

are not incorporated, listed or traded in the U.S. but which receive the majority of their total revenue from the U.S. At all times, at

least two-thirds of the Fund‟s net assets will be invested in the foregoing instruments (excluding convertibles) of issuers

domiciled in the U.S. The Fund will be diversified and will pursue a policy of active stock selection with an emphasis on stocks

with above average earnings growth and favourable earnings momentum. The Fund will seek to be fully invested at all times with

ancillary liquid assets kept to a minimum.

Fund Performance



Market Comment

Another strong season for U.S. corporate earnings was drowned out by negative political and economic developments, leading to

the Russell 1000 Growth Index to lose by 1 per cent in July. The most significant driver of the fall in share prices was the

political deadlock over raising the debt ceiling. As the month progressed, investors became increasingly nervous that the 2

August deadline might pass without an agreement, with the accompanying risk of debt default, credit-rating downgrade and

financial-market chaos. Meanwhile, U.S. data in July suggested that the economic recovery might be stalling. U.S. GDP grew at

an annualised rate of just 1.3 per cent in the second quarter whilst the rate for the first quarter was revised sharply lower to 0.4 per

cent from 1.9 per cent, meaning the world‟s largest economy barely grew in the first half of 2011. Meanwhile household

spending, which accounts for about 70 per cent of the economy, rose by just 0.1 per cent. This disappointing news flow

overshadowed a generally positive second-quarter earnings season, in which 78 per cent of S&P 500 companies to report so far

have beaten projections.

A string of dismal economic data releases and survey readings led to renewed fears of a double-dip recession in the U.S. and

weighed heavily on share prices. As a result, the Russell 1000 Growth Index fell by 13.2 per cent on the quarter, its fourth-worst

quarter of performance in its more than 33 year of history. Sentiment was also undermined by the political wrangling over raising

the U.S. debt ceiling, after which rating agency Standard & Poor‟s cut America‟s credit rating from AAA to AA+. In common

with other developed markets, the U.S. banking sector came under pressure, as worries mounted that a double-dip recession

would result in a second wave of mortgage delinquencies. Bank of America fell particularly sharply due to a USD 10 billion

lawsuit filed by AIG alleging a „massive‟ mortgage fraud, before rallying sharply after Warren Buffett showed his backing for the

company by investing USD 5 billion. Takeover activity was, however, supportive. Google announced the biggest takeover deal in

its brief history by buying mobile phone producer Motorola Mobility for USD12.5 billion. During the quarter, the more

defensively-aligned utilities, consumer staples and health care sectors were the best performers and the more cyclically-oriented

materials and processing and producer durables sectors fared worst.


The Fund finished ahead of the benchmark during the six month period, returning -1.6 per cent.

Sustainable Growth Advisers, L.P. was the best performing Money Manager over the period. The Money Manager‟s underweight

to stocks with high betas and those with low amounts of leverage was rewarded during the quarter as investor‟s penalised

volatility. Holding a sizeable exposure to stocks with positive three month price momentum also boosted returns, largely

reflective of the fact that the past three months had been similar to the month of September in their more defensive

characteristics.

Suffolk Capital Management, LLC was the worst performing manager over the period, driven by its overweight to stocks with

high betas and with high book to price values as investor‟s penalised volatility and risk during the quarter. Stock selection proved

most unsuccessful in the financial services (Lincoln National, Bank of America) and consumer discretionary (Johnson Controls,

Royal Caribbean Cruises) sectors. Being overweight the energy sector also pushed performance down.




The U.S. Growth Fund 85

Outlook










Past performance is no indication of current or future performance. * Benchmark Source: Russell 1000 Growth Index


November 2011



Balance Sheet




30 September 2011

(Unaudited)

USD

31 March 2011

(Audited)

USD

30 September 2010

(Unaudited)

USD

Assets

Financial assets at fair value through profit or loss (Note 1) ............................................ 143,097,452 175,180,794 180,956,889

Cash at bank (Note 5) ........................................................................................................ 1,090,312 783,018 771,686


positions (Note 5) .............................................................................................................. 464,000 400,500 997,900


value (Note 4) ................................................................................................................... 7,787 3,886 18,418


lending transactions (Note 4) ............................................................................................ 615,104 738,465 5,242,669

Debtors:

Receivable for investments sold ..................................................................................... 532,540 3,092,588 25,911,937

Receivable on fund shares issued ................................................................................... - 70,373 -

Dividends receivable ...................................................................................................... 89,949 131,944 99,213

145,897,144 180,401,568 213,998,712

Liabilities

Financial liabilities at fair value through profit or loss ..................................................... (276,963) - -



positions (Note 5) ............................................................................................................ - - (132,840)


counterparties for securities lending transactions (Note 4) ............................................ - - (17,937)


(Note 4) .......................................................................................................................... (615,104) (738,465) (5,242,669)

Payable for investments purchased ................................................................................ (705,286) (1,681,767) (21,697,779)

Payable on fund shares redeemed .................................................................................. - - (23,710)

Management fees payable .............................................................................................. (130,429) (155,010) (154,725)

Custodian and Trustee fees payable ............................................................................... (1,901) (2,237) (2,240)

Sub-custodian fees payable ............................................................................................ (4,718) (5,148) (4,637)

Administration fees payable ........................................................................................... (3,169) (3,728) (3,733)


Miscellaneous fees payable ............................................................................................ (7,020) (5,672) (18,945)

(1,756,529) (2,612,560) (27,310,972)


shareholders (at bid market prices) .............................................................................. 144,140,615 177,789,008 186,687,740


prices ................................................................................................................................ 28,822 14,368 64,614


shareholders (at last traded market prices) .................................................................. 144,169,437 177,803,376 186,752,354







Six months ended

30 September 2011

(Unaudited)

USD

Year ended

31 March 2011

(Audited)

USD

Six months ended

30 September 2010

(Unaudited)

USD

Income

Dividends ....................................................................................................................... 870,329 2,036,028 988,528

Bank and short term investment interest ........................................................................ 37 77 38

Securities lending income (Note 4) ................................................................................ 2,511 10,056 6,415

Miscellaneous income .................................................................................................... 119 72,112 32,089

872,996 2,118,273 1,027,070

Net gain (loss) on investment activities ............................................................................ (25,008,475) 28,252,143 (3,339,485)

Total investment income (expense) ................................................................................ (24,135,479) 30,370,416 (2,312,415)

Expenses

Management fees (Note 3) ............................................................................................. (879,125) (1,899,096) (938,861)

Custodian and Trustee fees (Note 3) .............................................................................. (16,667) (37,588) (19,129)

Sub-custodian fees (Note 3) ........................................................................................... (15,391) (32,714) (13,471)

Administration and transfer agency fees (Note 3) .......................................................... (45,416) (101,652) (52,163)

Audit fees ....................................................................................................................... (11,939) (20,533) (11,757)

Professional fees ............................................................................................................ (10,022) (18,438) (8,592)

Miscellaneous fees ......................................................................................................... (32,026) (43,665) (23,656)

Total operating expenses ................................................................................................ (1,010,586) (2,153,686) (1,067,629)


taxation ............................................................................................................................ (25,146,065) 28,216,730 (3,380,044)

Taxation

Withholding tax (Note 7) ............................................................................................... (244,289) (580,330) (288,342)


taxation ............................................................................................................................ (25,390,354) 27,636,400 (3,668,386)


traded market prices ....................................................................................................... 14,454 (35,765) 14,481



operations ........................................................................................................................ (25,375,900) 27,600,635 (3,653,905)


Account.







Six months ended

30 September 2011

(Unaudited)

USD

Year ended

31 March 2011

(Audited)

USD

Six months ended

30 September 2010

(Unaudited)

USD



operations ....................................................................................................................... (25,375,900) 27,600,635 (3,653,905)

Share transactions


participating share transactions (Note 6) ........................................................................ (8,258,039) (41,621,518) (1,418,000)


redeemable participating shareholders ........................................................................ (33,633,939) (14,020,883) (5,071,905)


shareholders

Beginning of period/year/period .................................................................................... 177,803,376 191,824,259 191,824,259

End of period/year/period .............................................................................................. 144,169,437 177,803,376 186,752,354




30 September 2011



Number

of Shares

Fair Value

USD

Fund

%



Brazil (1.04%)

Beverages

48,660

Cia de Bebidas das Americas

ADR .................................... 1,490,942 1.04

Canada (0.90%)

Chemicals

26,300

Potash Corp of

Saskatchewan ...................... 1,136,160 0.79

Pharmaceuticals

4,300

Valeant Pharmaceuticals

International Inc .................. 159,573 0.11

1,295,733 0.90

Denmark (0.77%)

Biotechnology

11,140 Novo Nordisk ...................... 1,107,205 0.77

France (0.82%)

Food Products

94,830 Danone ADR ....................... 1,175,892 0.82

Ireland (1.37%)

Biotechnology

52,600 Warner Chilcott Plc ............. 751,654 0.52


23,300 Accenture Plc ...................... 1,227,910 0.85

1,979,564 1.37

Netherlands (0.52%)


27,790 VistaPrint NV ...................... 751,164 0.52

Singapore (0.83%)


36,600

Avago

Technologies ....................... 1,198,650 0.83

Taiwan (0.35%)


44,500

Taiwan Semiconductor

Manufacturing Co Ltd

ADR .................................... 508,190 0.35


Oil and Gas

8,300 Ensco Plc ............................. 335,403 0.23


5,700 ARM Holdings Plc .............. 145,350 0.10

480,753 0.33

Number

of Shares

Fair Value

USD

Fund

%



7,960 Boeing Co ........................... 481,421 0.33

10,500

United Technologies

Corp .................................... 738,150 0.51

Airlines

43,500

United Continental Holdings

Inc ....................................... 842,595 0.58

Auto Components

27,800 Johnson Controls Inc .......... 733,086 0.51

Automobiles

72,100 Ford Motor Co .................... 696,486 0.48

Banks

7,131


Corp .................................... 282,601 0.20

41,580 State Street Corp ................. 1,337,213 0.93

Beverages

59,105 Coca-Cola Co ..................... 3,995,498 2.77

19,785 PepsiCo Inc ......................... 1,224,098 0.85

Biotechnology

8,200 Gilead Sciences Inc ............. 318,160 0.22

6,075 Mead Johnson Nutrition Co 418,446 0.29

52,905 Monsanto Co ....................... 3,174,300 2.20

37,200 Pfizer Inc ............................. 657,696 0.46

Chemicals

4,300 Celanese Corp ..................... 139,707 0.10

28,960 Ecolab Inc ........................... 1,415,565 0.98

28,900

El du Pont de Nemours &

Co ....................................... 1,154,555 0.80

9,025 Praxair Inc ........................... 842,935 0.58


6,375 MasterCard Inc ................... 2,020,875 1.40

2,115 Stericycle Inc ...................... 170,723 0.12

21,830 Visa Inc ............................... 1,870,612 1.30

Communications Equipment

27,570 Juniper Networks Inc .......... 475,858 0.33

62,895 Qualcomm Inc .................... 3,058,584 2.12


20,409 Apple Inc ............................ 7,779,707 5.40

41,100 EMC Corp ........................... 863,100 0.60

12,330

International Business

Machines Corp .................... 2,155,654 1.50

14,025 NetApp Inc ......................... 475,728 0.33

6,300 Riverbed Technology Inc .... 125,748 0.09

7,417 SanDisk Corp ...................... 299,276 0.21

5,700 Teradata Inc ........................ 304,893 0.21


17,800 American Express Co ......... 799,042 0.55

20,778 Discover Financial Services 476,855 0.33

26,200 JP Morgan Chase & Co ...... 789,406 0.55

13,880 T Rowe Price Group Inc ..... 663,048 0.46




30 September 2011



Number

of Shares

Fair Value

USD

Fund

%


9,292 Agilent Technologies Inc .... 290,375 0.20

15,235 Gentex Corp ........................ 366,249 0.25

14,166

Thermo Fisher Scientific

Inc ....................................... 717,508 0.50


21,800 Dresser-Rand Group Inc ...... 883,336 0.61


9,500 Whole Foods Market Inc ..... 620,445 0.43

Food Products

5,897 Hershey Co .......................... 349,161 0.24

28,500 Kraft Foods Inc ................... 956,745 0.66


22,650

Dentsply International

Inc ....................................... 694,223 0.48

2,645 Intuitive Surgical Inc ........... 962,859 0.67

23,440 Stryker Corp ........................ 1,104,258 0.77


7,000 United Health Group Inc ..... 322,490 0.22


11,675 McDonald's Corp ................ 1,025,182 0.71

111,395 Starbucks Corp .................... 4,152,806 2.88

36,210

Starwood Hotels & Resorts

Worldwide Inc ..................... 1,406,034 0.98

46,660 Yum! Brands Inc ................. 2,305,004 1.60

Household Durables

13,400 Bed Bath & Beyond ............ 767,954 0.53

6,485 Nike Inc ............................... 554,468 0.38

Insurance

43,800

Hartford Financial Services

Group Inc ............................ 707,370 0.49

48,800 Lincoln National Corp ......... 762,744 0.53

Internet and Catalogue Retail

1,500 Priceline.com Inc ................. 673,965 0.47


4,600 Acme Packet Inc ................. 195,914 0.14

16,365 Amazon.com Inc ................. 3,536,968 2.45

64,740 eBay Inc .............................. 1,908,535 1.32

7,093 Google Inc ........................... 3,648,497 2.53


30,950

Automatic Data Processing

Inc ....................................... 1,458,364 1.01

22,497

Cognizant Technology

Solutions Corp ..................... 1,409,437 0.98

Lodging

29,700 Las Vegas Sands Corp ......... 1,138,401 0.79

8,205 Wynn Resorts Ltd ............... 943,657 0.65

Machinery

18,800 Caterpillar Inc ...................... 1,386,876 0.96

3,900 Cummins Inc ....................... 318,591 0.22

32,435 Danaher Corp ...................... 1,360,648 0.94

10,600 Deere & Co ......................... 684,336 0.47

Number

of Shares

Fair Value

USD

Fund

%

13,400

Rockwell Automation

Inc ....................................... 750,400 0.52

Media

77,800 CBS Corp ............................ 1,585,564 1.10

7,000 DIRECTV ........................... 295,750 0.21

Metals and Mining

7,280

Precision Castparts

Corp .................................... 1,131,094 0.78


21,700

Honeywell International

Inc ....................................... 953,281 0.66

27,700 Pentair Inc ........................... 886,954 0.62

Multi-Line Retail

23,300 CVS Caremark Corp ........... 782,647 0.54

18,000 Home Depot Inc .................. 591,120 0.41

3,150 O'Reilly Automotive ........... 209,884 0.15

28,800 Staples Inc ........................... 383,040 0.27

16,700 Tiffany & Co ...................... 1,015,527 0.70

Oil and Gas

5,500 Apache Corp ....................... 441,265 0.31

7,041 Cabot Oil & Gas Corp ........ 435,767 0.30

10,100 Chevron Co ......................... 934,654 0.65

10,400 Devon Energy Corp ............ 576,056 0.40

17,600 Exxon Mobil Corp .............. 1,280,048 0.89

43,180 Halliburton Co .................... 1,316,558 0.91

60,350 National Oilwell Varco ....... 3,090,524 2.14

15,300

Occidental Petroleum

Corp .................................... 1,094,868 0.76

38,495 Schlumberger Ltd ............... 2,299,691 1.60

26,000 Southwestern Energy Co .... 865,800 0.60

Personal Products

25,400 Colgate Palmolive Co ......... 2,251,202 1.56

11,460 Estée Lauder Cos Inc .......... 1,006,532 0.70

Pharmaceuticals

24,315 Allergan Inc ........................ 2,003,070 1.39

71,140 Mylan Laboratories Inc ....... 1,208,669 0.84

11,600

Watson Pharmaceuticals

Inc ....................................... 791,816 0.55


93,300

Advanced Micro Devices

Inc ....................................... 473,031 0.33

26,100 Altera Corp ......................... 822,933 0.57

5,905 Broadcom Corp ................... 196,577 0.14

30,200 Intel Corp ............................ 644,166 0.45

2,175 Lam Research Corp ............ 82,563 0.06

41,776

Maxim Integrated Products

Inc ....................................... 974,634 0.68

18,410

Microchip Technology

Inc ....................................... 572,367 0.40

37,400 Texas Instruments Inc ......... 996,710 0.69

Software

26,580 Cerner Corp ........................ 1,821,262 1.26




30 September 2011



Number

of Shares

Fair Value

USD

Fund

%

17,900 Citrix Systems Inc ............... 976,087 0.68

59,700 Electronic Arts Inc .............. 1,220,865 0.85

14,950 Intuit .................................... 709,228 0.49

49,000 Microsoft Corp .................... 1,219,610 0.85

56,375 Oracle Corp ......................... 1,620,218 1.12

39,920 Red Hat Inc ......................... 1,687,418 1.17

12,115 Salesforce.com Inc .............. 1,384,502 0.96

7,745 VMware Inc ........................ 622,078 0.43

Speciality Retail

1,370 AutoZone Inc ...................... 437,633 0.30

8,300 Ltd Brands Inc ..................... 319,716 0.22

Textile and Apparel

16,100 Coach Inc ............................ 834,302 0.58

18,300 Hanesbrands Inc .................. 457,134 0.32


5,135 BorgWarner Inc ................... 310,719 0.22

7,010

Expeditors International

Washington ......................... 284,115 0.20

Number

of Shares

Fair Value

USD

Fund

%

19,900 FedEx Corp ......................... 1,345,837 0.93

15,600

United Parcel Service

Inc ....................................... 984,672 0.68

127,575,179 88.49


Total Transferable

Securities ............................ 137,563,272 95.42


Ireland (3.84%)


III plc

553,418


II - Class A Shares ........... 5,534,180 3.84


Schemes ............................. 5,534,180 3.84

Total Investments

excluding Financial


Abbreviation used:

ADR - American Depository Receipt



Notional

Amount

USD

Average

Cost Price

USD

Unrealised

Gain/(Loss)

USD

Fund

%

2,674,838 1,188.82

9 of S&P 500 Index Futures



4,132,925 1,164.20

71 of E Mini Index Futures



Net unrealised gain (loss) on open futures contracts ............................................................ (276,963) (0.20)

Total Financial Derivative Instruments ................................................................................... (276,963) (0.20)

Fair Value

USD

Fund

%


(99.26%) ............................................................................................................................... 143,097,452 99.26


Loss ((0.20)%) ...................................................................................................................... (276,963) (0.20)


(99.06%) ............................................................................................... 142,820,489 99.06

Other Net Assets (0.92%) .................................................................... 1,320,126 0.92


Prices (0.02%) ....................................................................................... 28,822 0.02

Net Assets (100.00%) ........................................................................... 144,169,437 100.00




30 September 2011




% of

total assets


on a regulated market .................................................................................................................................................. 94.39

Collective investment schemes ................................................................................................................................... 3.80

Other assets ................................................................................................................................................................. 1.81

100.00


The proportion of the investments of The U.S. Growth Fund in rights or securities eligible to the French Plan d’Epargne en


2011.









Acquisition Cost

USD Portfolio Securities

Disposal Proceeds

USD


The U.S. Dollar Cash Fund II 36,485,000 The U.S. Dollar Cash Fund II (36,303,713)

Yum Brands Inc 2,490,018 Oracle Corp (3,663,174)

Colgate Palmolive Co 2,442,385 Caterpillar Inc (2,450,528)

Monsanto Co 2,178,375 Fastenal Co (1,933,354)

Accenture Plc 1,988,559 Google Inc (1,926,794)

Caterpillar Inc 1,660,458 Procter & Gamble Co (1,784,796)

Qualcomm Inc 1,651,861 ConocoPhillips (1,752,697)

Cia de Bebidas das Americas ADR 1,608,254 FedEx Corp (1,749,746)

Starwood Hotels & Resorts Worldwide Inc 1,505,720 Coca Cola Co (1,697,109)

Coca Cola Co 1,493,191 Sunpower Corp (1,594,855)

Taiwan Semiconductor Manufacturing Amazon.Com Inc (1,539,178)

Co Ltd ADR 1,489,549 Accenture Plc (1,441,427)

National Oilwell Varco 1,475,520 Apple Inc (1,435,190)

CBS Corp 1,451,382 Microsoft Corp (1,393,606)

Pfizer Inc 1,443,643 Lowe S Cos Inc (1,381,062)

Hanesbrands Inc 1,383,477 Allergan Inc (1,313,505)

Kraft Foods Inc 1,380,851 United Health Group Inc (1,278,424)

Starbucks Corp 1,367,628 Abercrombie & Fitch Co (1,260,716)

Danone ADR 1,357,898 Qualcomm Inc (1,249,949)

Microsoft Corp 1,306,979 Amgen Inc (1,248,983)

Southwestern Energy Co 1,259,569


The U.S. Quant Fund

Manager’s Report

94 The U.S. Quant Fund

Money Managers Aronson and Johnson and Ortiz, L.P.


Jacobs Levy Equity Management Inc.

Numeric Investors, L.P.

PanAgora Asset Management

Investment Objective The U.S. Quant Fund (the “Fund”) will seek to achieve capital appreciation by investing primarily in U.S. equity securities,


dealt in on a regulated market in the U.S. The Fund will seek to achieve its investment objective by investing in derivative

instruments that have as their underlying exposure the foregoing (e.g. swaps and contracts for differences) and may implement

bought (long) and synthetic short (sold) positions through the use of derivatives. The Fund may invest in new issues for which

application for listing on a regulated market will be sought. The Fund may also hold such securities listed or traded on regulated

markets worldwide of companies that are not incorporated, listed or traded in the U.S. but which receive the majority of their total

revenue from the U.S. At all times, at least two-thirds of the Fund‟s net assets will be invested in the foregoing instruments of

issuers domiciled in the U.S. The Fund will be highly diversified and, therefore, will not be concentrating on any specific industry

sectors but will pursue a policy of active stock selection in the markets, with the emphasis on quantitative methods of security

selection and/or portfolio construction. These methods employ investment models incorporating mathematical formulae based on

statistical analysis. The Fund will seek to be fully invested at all times with ancillary liquid assets kept to a minimum.

Fund Performance



Market Comment

U.S. equities proved resilient during a second quarter of 2011 marked by tumultuous macro economic conditions. The Russell

1000 Index delivered neutral performance over the period and added 6.1 per cent year-to-date. An early rally in April, prompted

by companies reporting particularly positive first quarter earnings, was short-lived as investors‟ risk appetite evaporated after a

commodities sell-off beginning of May. This was reaffirmed by the ongoing eurozone debt crisis and disappointing U.S.

economic data. News that the unemployment rate had jumped back above 9 per cent, that house prices had fallen below their

2009 nadir and that activity had dipped in most sectors renewed investor concerns over the strength of U.S. recovery. In addition,

the official end of the second round of quantitative easing on 30 June and the government‟s inability to reach an agreement over

the budget and debt ceiling, weighed on sentiment. However, most of these losses were pared back during the final days of the

quarter as Greece finally passed the necessary austerity measures to secure international financial aid and U.S. activity appeared

to rebound. As a result of this broadly risk-averse environment, growth was favoured over value, large caps outperformed smaller

peers and defensive sectors were preferred over cyclicals.


weighed heavily on share prices. As a result, the Russell 1000 Index fell by 14.8 per cent on the third quarter of 2011, its fourth-

worst quarter of performance in its more than 33 year of history. Sentiment was also undermined by the political wrangling over

raising the U.S. debt ceiling, after which rating agency Standard & Poor‟s cut America‟s credit rating from AAA to AA+. The

U.S. economy‟s apparent inability to create jobs took centre stage, prompting President Obama to outline a package of tax cuts

and new spending designed to cut unemployment. In common with other developed markets, the U.S. banking sector came under

pressure, as worries mounted that a double-dip recession would result in a second wave of mortgage delinquencies. Bank of

America fell particularly sharply due to a USD 10 billion lawsuit filed by AIG alleging a „massive‟ mortgage fraud. But shares in

the troubled lender rallied sharply after Warren Buffett showed his backing for the company by investing USD 5 billion.

Takeover activity was, however, supportive. Google announced the biggest takeover deal in its brief history by buying mobile

phone producer Motorola Mobility for USD 12.5 billion. During the quarter, the more defensively-aligned utilities, consumer

staples and health care sectors were the best performers and the more cyclically-oriented materials and processing and producer

durables sectors fared worst.


The Fund outperformed the benchmark during the six month period, returning 1.0 per cent.

PanAgora Asset Management was the best performer over the period, helped by a favourable environment for quantitative

processes and by a large number of Money Manager specific models being rewarded. The market‟s preference for lower beta and

higher quality provided a favourable factor tailwind to the Money Manager‟s stock selection, which was positive across the

majority of sectors. Performance was driven by sector exposures with an underweight position to producer durables and financial

services, which both declined on economic worries, the largest positive contributors.

Jacobs Levy Equity Management Inc. underperformed over the period. Stock selection was positive across the majority of


The U.S. Quant Fund


The U.S. Quant Fund 95

sectors; however, negative selection in technology outweighed this benefit. Within technology selection in software and

communication technology were the largest negative drivers, as the Money Manager was punished for an overweight exposure to

smaller, higher risk companies. However, sector exposures negated some of this negative performance with the manager

rewarded for their more defensive positioning. An underweight to materials and processing and an overweight to consumer

staples were the biggest positive contributors.

Outlook











* Benchmark Source: Russell 1000 Index


November 2011


The U.S. Quant Fund

Balance Sheet




30 September 2011

(Unaudited)

USD

31 March 2011

(Audited)

USD

30 September 2010

(Unaudited)

USD

Assets

Financial assets at fair value through profit or loss (Note 1) ............................................. 131,171,739 169,337,218 177,678,863

Cash at bank (Note 5) ........................................................................................................ 425,339 525,314 567,377


positions (Note 5) .............................................................................................................. 204,650 273,000 517,500


lending transactions (Note 4) ............................................................................................. 524,282 546,247 2,197,838

Debtors:

Receivable for investments sold ..................................................................................... 616,894 830,731 339,901

Receivable on fund shares issued .................................................................................... - 2,083 -

Dividends receivable ....................................................................................................... 134,820 141,649 159,597

133,077,724 171,656,242 181,461,076

Liabilities

Financial liabilities at fair value through profit or loss (Note 1) ........................................ (103,137) - -



positions (Note 5) ............................................................................................................ - - (37,815)


(Note 4) ........................................................................................................................... (524,282) (546,247) (2,197,838)

Payable for investments purchased ................................................................................. (497,630) (1,564,394) (446,828)

Management fees payable ............................................................................................... (118,894) (151,690) (142,666)

Custodian and Trustee fees payable ................................................................................ (1,707) (2,244) (2,161)

Sub-custodian fees payable ............................................................................................. (13,232) (13,210) (13,851)



Miscellaneous fees payable ............................................................................................. (5,329) (5,675) (19,429)

(1,278,964) (2,307,733) (2,875,955)


shareholders (at bid market prices) ............................................................................... 131,798,760 169,348,509 178,585,121


prices ................................................................................................................................. 17,338 19,992 74,052


shareholders (at last traded market prices) .................................................................. 131,816,098 169,368,501 178,659,173


The U.S. Quant Fund





Six months ended

30 September 2011

(Unaudited)

USD

Year ended

31 March 2011

(Audited)

USD

Six months ended

30 September 2010

(Unaudited)

USD

Income

Dividends ........................................................................................................................ 1,502,356 3,658,035 1,861,178

Securities lending income (Note 4) ................................................................................. 2,554 12,560 8,012

Miscellaneous income ..................................................................................................... 473 3,149 353

1,505,383 3,673,744 1,869,543

Net gain (loss) on investment activities ............................................................................. (23,212,615) 23,948,693 (6,318,061)

Total investment income (expense) ................................................................................ (21,707,232) 27,622,437 (4,448,518)

Expenses

Management fees (Note 3) .............................................................................................. (830,373) (1,803,758) (893,804)

Custodian and Trustee fees (Note 3) ............................................................................... (15,794) (37,286) (19,205)

Sub-custodian fees (Note 3) ............................................................................................ (52,262) (96,827) (51,057)

Administration transfer agency fees (Note 3) ................................................................. (42,280) (101,318) (53,459)

Audit fees ........................................................................................................................ (11,908) (20,533) (11,766)

Professional fees ............................................................................................................. (9,665) (18,164) (8,773)

Miscellaneous fees .......................................................................................................... (30,859) (39,276) (20,462)

Total operating expenses ................................................................................................. (993,141) (2,117,162) (1,058,526)

Net income (expense) ....................................................................................................... (22,700,373) 25,505,275 (5,507,044)

Finance costs

Distributions (Note 15) ................................................................................................... (94,037) (574,381) (270,180)

Interest expense................................................................................................................ (91) (234) (24)


taxation ............................................................................................................................. (22,794,501) 24,930,660 (5,777,248)

Taxation

Withholding tax (Note 7) ................................................................................................ (421,495) (1,033,490) (515,504)


taxation ............................................................................................................................. (23,215,996) 23,897,170 (6,292,752)


traded market prices ....................................................................................................... (2,654) (22,613) 31,447



operations ......................................................................................................................... (23,218,650) 23,874,557 (6,261,305)


Account.


The U.S. Quant Fund





Six months ended

30 September 2011

(Unaudited)

USD

Year ended

31 March 2011

(Audited)

USD

Six months ended

30 September 2010

(Unaudited)

USD



operations ....................................................................................................................... (23,218,650) 23,874,557 (6,261,305)

Share transactions


participating share transactions (Note 6) ......................................................................... (14,416,902) (53,448,211) (13,748,994)


(Note 15) ......................................................................................................................... 83,149 516,624 243,941


redeemable participating shareholders ........................................................................ (37,552,403) (29,057,030) (19,766,358)


shareholders

Beginning of period/year/period ..................................................................................... 169,368,501 198,425,531 198,425,531

End of period/year/period ............................................................................................... 131,816,098 169,368,501 178,659,173


The U.S. Quant Fund


30 September 2011



Number

of Shares

Fair Value

USD

Fund

%



Bermuda (0.45%)

Insurance

1,700 Arch Capital Group Ltd ....... 55,539 0.04

300

Endurance Specialty

Holdings Ltd ....................... 10,245 0.01

3,502 PartnerRe Ltd ...................... 182,909 0.14

200

RenaissanceRe Holdings

Ltd ....................................... 12,768 0.01

1,600 Validus Holdings Ltd .......... 39,872 0.03

Oil and Gas

9,000 Nabors Industries Ltd .......... 110,340 0.08

Speciality Retail

5,444 Signet Jewelers Ltd ............. 184,062 0.14

595,735 0.45

Canada (0.16%)

Chemicals

1,400 Agrium Inc .......................... 93,240 0.07

1,500

Potash Corp of

Saskatchewan ...................... 64,800 0.05

Metals and Mining

1,800 Teck Resources Ltd ............. 52,506 0.04

210,546 0.16


Biotechnology

13,200 Herbalife .............................. 707,784 0.54

Guernsey, Channel Islands (0.18%)

Software

8,900 Amdocs Ltd ......................... 241,012 0.18

Ireland (0.54%)

Biotechnology

1,300 Warner Chilcott Plc ............. 18,577 0.01


8,500 Accenture Plc ...................... 447,950 0.34

Diversified Manufacturing

700 Ingersoll-Rand Plc ............... 19,656 0.01


5,300 Covidien Plc ........................ 233,677 0.18

719,860 0.54

Netherlands (0.36%)

Chemicals

14,000

Lyondell Basell Industries

NV ....................................... 342,160 0.26


300 VistaPrint NV ...................... 8,109 0.01


4,100

Chicago Bridge & Iron

Co ........................................ 117,424 0.09

Number

of Shares

Fair Value

USD

Fund

%


300 Qiagen NV .......................... 4,146 0.00

471,839 0.36

Singapore (0.02%)


700 Avago Technologies ........... 22,925 0.02

Switzerland (0.88%)


6,500 TE Connectivity Ltd ........... 182,910 0.14

8,000 Tyco International Ltd ........ 325,680 0.25

Insurance

10,400 ACE Ltd .............................. 630,240 0.48

300

Allied World Assurance

Holdings ............................. 16,119 0.01

1,154,949 0.88


Advertising

700 Omnicom Group ................. 25,795 0.02


6,400 Boeing Co ........................... 387,072 0.29

11,300 General Dynamics Corp ...... 642,857 0.49

300 Goodrich Corp .................... 36,216 0.03

1,100

L-3 Communications

Holdings Inc ....................... 68,123 0.05

3,700 Lockheed Martin Corp ........ 268,694 0.20

4,900 Northrop Grumman Corp .... 255,633 0.20

24,600 Raytheon Co ....................... 1,005,402 0.76

600

Spirit Aerosystems Holdings

Inc ....................................... 9,570 0.01

800 TransDigm Group ............... 65,304 0.05

11,102 United Technologies Corp .. 780,471 0.59

Agriculture

7,300 Altria Group Inc .................. 195,640 0.15

300 Bunge Ltd ........................... 17,481 0.01

200 Lorillard Inc ........................ 22,162 0.01

46,454

Philip Morris International

Inc ....................................... 2,895,942 2.20

3,100 Reynolds American Inc ...... 116,250 0.09

Airlines

32,800 Delta Air Lines Inc ............. 245,344 0.19

Auto Components

11,900

Goodyear Tire & Rubber

Co ....................................... 119,833 0.09

800 Johnson Controls Inc .......... 21,096 0.02

8,400 Lear Corp ............................ 360,360 0.27

100 New Visteon Corp .............. 4,302 0.00

5,900

TRW Automotive Holdings

Corp .................................... 192,930 0.15

100 WABCO Holdings .............. 3,787 0.00

Automobiles

2,100 Ford Motor Co .................... 20,286 0.02


The U.S. Quant Fund


30 September 2011



Number

of Shares

Fair Value

USD

Fund

%

21,000 General Motors Co .............. 423,570 0.32

Banks

600 Associated Banc Corp ......... 5,580 0.00

875 Bank of America Corp ........ 5,346 0.00

15,000 Bank of New York Inc ........ 278,850 0.21

600 BB&T Corp ......................... 12,786 0.01

12,400


Corp ..................................... 491,412 0.37

10,700 CIT Group ........................... 325,066 0.25

200 Comerica Inc ....................... 4,594 0.00

1,500

Commerce Bancshares

Inc ....................................... 52,095 0.04

400 Cullen Frost Brokers ........... 18,348 0.01

2,700 East West Bancorp Inc ........ 40,230 0.03

31,754 Fifth Third Bancorp ............. 320,715 0.24

3,300

First Horizon National

Corp ..................................... 19,668 0.02

3,300 Fulton Financial Corp .......... 25,245 0.02

35,193

Huntington Bancshares

Inc ....................................... 168,926 0.13

45,147 Keycorp ............................... 267,722 0.20

200 M&T Bank .......................... 13,984 0.01

5,000

New York Community

Bancorp Inc ......................... 59,500 0.05

700

People's United Financial

Inc ....................................... 7,980 0.01

4,900

PNC Financial Services

Group Inc ............................ 236,131 0.18

5,000 Regions Financials Corp ..... 16,650 0.01

400 State Street Corp ................. 12,864 0.01

600 TCF Financial Corp ............. 5,496 0.00

5,100 US Bancorp ......................... 120,054 0.09

600 Valley National Bancorp ..... 6,360 0.01

27,254 Wells Fargo & Co ............... 657,367 0.50

Beverages

1,000 Brown-Forman .................... 70,100 0.05

4,400 Coca-Cola Co ...................... 297,440 0.23

26,000 Coca-Cola Enterprises ......... 646,360 0.49

500 Constellation Brands Inc ..... 8,985 0.01

33,774 Dr Pepper Snapple Group .... 1,310,431 0.99

3,568 PepsiCo Inc ......................... 220,752 0.17

Biotechnology

500 Abbott Laboratories ............. 25,575 0.02

2,600

Alexion Pharmaceuticals

Inc ....................................... 166,504 0.13

13,000 AmerisourceBergen Corp .... 484,640 0.37

15,100 Amgen Inc ........................... 829,443 0.63

8,336 Biogen Idec Inc ................... 776,498 0.59

400 Bio-Rad Laboratories Inc .... 36,260 0.03

8,500 Bristol-Myers Squibb Co ..... 266,560 0.20

22,047 Cardinal Health Inc ............. 923,549 0.70

2,500 Celgene Corp ....................... 154,800 0.12

200 Cephalon Inc ....................... 16,138 0.01

25,783 Eli Lilly & Co ...................... 952,682 0.72

Number

of Shares

Fair Value

USD

Fund

%

10,365 Forest Laboratories Inc ....... 319,035 0.24

19,300 Gilead Sciences Inc ............. 748,840 0.57

8,000 McKesson Corp .................. 581,440 0.44

7,997

Mead Johnson Nutrition

Co ....................................... 550,833 0.42

7,983 Merck & Co Inc .................. 261,044 0.20

500 Monsanto Co ....................... 30,000 0.02

1,300 Myriad Genetics Inc ............ 24,323 0.02

100 Perrigo Co ........................... 9,704 0.01

94,235 Pfizer Inc ............................. 1,666,075 1.26

200

Regeneron

Pharmaceuticals .................. 11,640 0.01

400

United Therapeutics

Corp .................................... 14,984 0.01

1,200

Vertex Pharmaceuticals

Inc ....................................... 53,436 0.04

Building Products

200 Lennox International Inc ..... 5,154 0.01

3,800 Masco Corp ......................... 27,018 0.02

700 Owens Corning ................... 15,162 0.01

Chemicals

600

Air Products & Chemicals

Inc ....................................... 45,816 0.04

1,200 Cabot Corp .......................... 29,772 0.02

100 Celanese Corp ..................... 3,249 0.00

4,300

CF Industries Holdings

Inc ....................................... 530,534 0.40

900

Charles River Laboratories


4,000 Dow Chemical Co ............... 89,880 0.07

3,200 Eastman Chemical Co ......... 219,040 0.17

3,300 Ecolab Inc ........................... 161,304 0.12

12,100

El du Pont de Nemours &

Co ....................................... 483,395 0.37

7,400 Huntsman Corp ................... 71,558 0.05

800

International Flavors &

Fragrances Inc ..................... 44,984 0.03

200 Mosaic Co ........................... 9,792 0.01

9,039 PPG Industries Inc .............. 638,786 0.48

200 Praxair Inc ........................... 18,680 0.01

100 Sigma-Aldrich Corp ............ 6,179 0.01

1,100 WR Grace & Co .................. 36,641 0.03

Coal

122

Alpha Natural Resources

Inc ....................................... 2,157 0.00

200 Arch Coal Inc ...................... 2,912 0.00

500 Consol Energy Inc .............. 16,945 0.01

5,365 Peabody Energy Corp ......... 181,605 0.14

943 Walter Energy Inc ............... 56,580 0.05


400 Aaron's Inc .......................... 10,096 0.01

500

Alliance Data Systems

Corp .................................... 46,310 0.04

6,200 Apollo Group Inc ................ 245,582 0.19

700 Arbitron Inc ........................ 23,142 0.02


The U.S. Quant Fund


30 September 2011



Number

of Shares

Fair Value

USD

Fund

%

1,500

Booz Allen Hamilton

Holding Corp ....................... 22,305 0.02

1,500

Bridgepoint Education

Inc ....................................... 26,040 0.02

1,400

Corporate Executive Board

Co ........................................ 41,678 0.03

500 DeVry Inc ............................ 18,465 0.01

4,037 Equifax Inc .......................... 124,097 0.09

2,290

Factset Research Systems

Inc ....................................... 204,085 0.15

1,200 Fiserv Inc ............................. 60,924 0.05

6,280 Global Payments Inc ........... 253,461 0.19

1,000 Green Dot Corp ................... 31,350 0.02

6,200 H&R Block Inc ................... 82,522 0.06

21,200 Hertz Global Holdings Inc .. 188,680 0.14

1,700 Iron Mountain Inc ............... 53,771 0.04

300

Lender Processing Services

Inc ....................................... 4,113 0.00

6,300 Manpower Inc ..................... 211,680 0.16

1,600 MasterCard Inc .................... 507,200 0.39

3,900 Moody's Corp ...................... 118,755 0.09

5,100 Paychex Inc ......................... 134,487 0.10

900 RR Donnelley & Sons Co ... 12,690 0.01

1,800 SAIC Inc ............................. 21,222 0.02

1,000 Stericycle Inc ....................... 80,720 0.06

1,500 Team Health Holdings Inc .. 24,600 0.02

1,200 Total System Services Inc ... 20,316 0.02

1,700 Towers Watson & Co .......... 101,507 0.08

900 Verisk Analytics Inc ............ 31,266 0.02

8,200 Visa Inc ............................... 702,658 0.53

400 Waste Management Inc ....... 13,016 0.01

16,900 Western Union Co ............... 258,401 0.20


11,803 American Tower Corp ......... 634,647 0.48

1,200 Aruba Networks .................. 25,056 0.02

72,400 AT&T Inc ............................ 2,063,400 1.56

8,308 CenturyLink Inc .................. 275,161 0.21

1,200 Ciena Corp .......................... 13,428 0.01

35,793 Cisco Systems Inc ............... 554,434 0.42

100 F5 Networks Inc .................. 7,105 0.01

3,100

Frontier Communications

Corp ..................................... 18,941 0.01

200 Harris Corp .......................... 6,828 0.01

237 Motorola Mobility Holdings 8,959 0.01

22,726 Motorola Solutions .............. 952,219 0.72

4,217 NII Holdings Inc ................. 113,648 0.09

3,100 Qualcomm Inc ..................... 150,753 0.11

8,700 Sprint Nextel Corp .............. 26,448 0.02

32,000

Verizon Communications

Inc ....................................... 1,177,600 0.89


12,631 Apple Inc ............................. 4,814,811 3.65

19,900

Cadence Design Systems

Inc ....................................... 183,876 0.14

Number

of Shares

Fair Value

USD

Fund

%

500 Computer Sciences Corp .... 13,415 0.01

700 DST Systems Inc ................ 30,695 0.02

1,400 EMC Corp ........................... 29,400 0.02

12,900 Fortinet Inc ......................... 216,720 0.17

21,500 Hewlett-Packard Co ............ 482,675 0.37

900 IHS Inc ................................ 67,257 0.05

8,370


Machines Corp .................... 1,463,327 1.11

1,600 Mentor Graphics Corp ........ 15,392 0.01

2,000 NCR Corp ........................... 33,800 0.03

5,700 NetApp Inc ......................... 193,344 0.15

1,500 Riverbed Technology Inc .... 29,940 0.02

2,300 Spansion ............................. 28,106 0.02

1,300 Teradata Inc ........................ 69,537 0.05

12,200 Western Digital Corp .......... 313,540 0.24


6,000 Fluor Corp ........................... 279,180 0.21

11,900 KBR Inc .............................. 281,078 0.21

6,200 URS Corp ........................... 183,830 0.14


5,379 Ball Corp ............................ 166,910 0.13

3,000 Crown Holdings Inc ............ 91,710 0.07

100 Rock-Tenn Co ..................... 4,865 0.00

200 Sealed Air Corp .................. 3,340 0.00

Distributors

200 Fastenal Co ......................... 6,656 0.01

200 Genuine Parts Co ................ 10,160 0.01

400 WESCO International Inc ... 13,408 0.01

1,353 WW Grainger Inc ............... 202,395 0.15


1,600 American Capital Ltd .......... 10,912 0.01

18,099 American Express Co ......... 812,464 0.62

15,400 Ameriprise Financial Inc .... 606,144 0.46

300 Ares Capital Corp ............... 4,131 0.00

500 CapitalSource Inc ................ 3,065 0.00

15,500 Charles Schwab Corp .......... 174,685 0.13

3,960 Citigroup Inc ....................... 101,416 0.08

21,100

Discover Financial

Services ............................... 484,245 0.37

8,421 ETrade Financial ................. 76,715 0.06

1,000 Federated Investors Inc ....... 17,530 0.01

500 Fidelity National Financial . 7,595 0.01

2,900

Fidelity National

Information Services Inc ..... 70,557 0.05

800 Franklin Resources Inc ....... 76,416 0.06

3,770

Goldman Sachs Group

Inc ....................................... 356,076 0.27

1,140

IntercontinentalExchange

Inc ....................................... 134,805 0.10

70,070 JP Morgan Chase & Co ...... 2,111,209 1.60

23,657 Morgan Stanley ................... 319,370 0.24

400 NYSE Euronext .................. 9,300 0.01

200 Principal Financial Group ... 4,534 0.00


The U.S. Quant Fund


30 September 2011



Number

of Shares

Fair Value

USD

Fund

%

1,500

Raymond James Financial

Inc ....................................... 38,970 0.03

900 SLM Corp ........................... 11,196 0.01

400 T Rowe Price Group Inc ...... 19,108 0.02

800

TD Ameritrade Holding

Corp ..................................... 11,760 0.01

1,200

Waddell & Reed Financial

Inc ....................................... 30,012 0.02

Diversified Telecommunication

1,000 Comverse Technology Inc ... 7,020 0.01

400 IPG Photonics Corp ............. 17,372 0.01

200 JDS Uniphase Corp ............. 1,994 0.00

2,400 Lazard Ltd ........................... 50,712 0.04

2,900 Liberty Global Inc ............... 104,835 0.08

4,300 Polycom Inc ........................ 78,991 0.06

2,000 Windstream Corp ................ 23,320 0.02

Education

600

ITT Educational Services

Inc ....................................... 34,530 0.03

Electric Utilities

900 Alliant Energy Corp ............ 34,794 0.03

19,853 Ameren Corp ....................... 590,825 0.45

800

American Electric Power Co

Inc ....................................... 30,408 0.02

1,600 Calpine Corp ....................... 22,512 0.02

3,200 CMS Energy Corp ............... 63,264 0.05

1,100 Consolidated Edison Inc ...... 62,711 0.05

600

Constellation Energy Group

Inc ....................................... 22,848 0.02

1,500 Dominion Resource Inc ....... 76,125 0.06

700 DPL Inc ............................... 21,098 0.01

2,800 DTE Energy Co ................... 137,200 0.10

500 Duke Energy Co .................. 9,985 0.01

15,400 Edison International ............ 588,896 0.45

5,100 Entergy Corp ....................... 338,079 0.26

6,600 Exelon Corp ........................ 281,292 0.21

1,834 FirstEnergy Corp ................. 82,346 0.06

300

Hawaiian Electric

Industries ............................. 7,278 0.01

800 ITC Holdings ....................... 61,896 0.05

1,700

MDU Resources Group

Inc ....................................... 32,606 0.02

5,800 NextEra Energy Inc ............. 313,200 0.24

2,800 Northeast Utilities ............... 94,248 0.07

1,800 NSTAR ............................... 80,622 0.06

1,600 NV Energy .......................... 23,536 0.02

900 OGE Energy Corp ............... 43,029 0.03

2,800 Pepco Holdings Inc ............. 52,920 0.04

9,149 PG & E Corp ....................... 387,003 0.29

500

Pinnacle West Capital

Corp ..................................... 21,460 0.02

4,513 Progress Energy Inc ............ 233,503 0.18

8,471

Public Service Enterprise

Group Inc ............................ 282,762 0.21

1,200 Southern Company .............. 50,844 0.04

Number

of Shares

Fair Value

USD

Fund

%

300 TECO Energy Inc ............... 5,133 0.00

5,183 Wisconsin Energy Corp ...... 162,176 0.12

2,400 Xcel Energy Inc .................. 59,208 0.04


1,450 Ametek Inc ......................... 47,792 0.04

2,305 AO Smith Corp ................... 73,783 0.06

300 Emerson Electric Co ........... 12,396 0.01

300 Energizer Holdings Inc ....... 19,917 0.01

1,100 Hubbell Inc ......................... 54,549 0.04


3,400 Agilent Technologies Inc .... 106,250 0.08

2,200 Arrow Electronics Inc ......... 61,072 0.05

8 AVX Corp ........................... 95 0.00

600 Dolby Laboratories Inc ....... 16,440 0.01

1,000 Flir Systems Inc .................. 25,030 0.02

500

Mettler Toledo International

Inc ....................................... 70,070 0.05

800 National Instruments Corp .. 18,264 0.01

500 Roper Industries Inc ............ 34,470 0.03

1,152 Thomas & Betts Corp ......... 45,976 0.03

400 Trimble Navigation Ltd ...... 13,400 0.01

1,300

Vishay Intertechnology

Inc ....................................... 10,881 0.01


600 Atwood Oceanics Inc .......... 20,634 0.01

300 Covanta Holding Corp ........ 4,551 0.00

600 Tidewater Inc ...................... 25,230 0.02

1,400 Waste Connections Inc ....... 47,362 0.04

Entertainment

1,200

Madison Square Garden

Co ....................................... 27,348 0.02

Financial Services

4,000 Interactive Brokers Group ... 55,680 0.04


1,400 Whole Foods Market .......... 91,434 0.07

Food Products

4,200 Campbell Soup Co .............. 135,828 0.10

1,400 ConAgra Foods Inc ............. 33,922 0.03

1,000

Corn Products International

Inc ....................................... 39,230 0.03

2,200 Dean Foods Co ................... 19,536 0.02

8,300 Flowers Foods Inc ............... 161,601 0.12

900 General Mills Inc ................ 34,632 0.03

200

Green Mountain Coffee

Roasters Inc ........................ 18,580 0.01

2,620 Hansen Natural Corp .......... 228,700 0.17

4,100 Hershey Co ......................... 242,761 0.18

6,700 HJ Heinz Co ........................ 338,149 0.26

2,700 Hormel Foods Corp ............ 73,008 0.06

600 JM Smucker Co .................. 43,758 0.03

1,000 Kellogg Co .......................... 53,180 0.04

1,900 Kraft Foods Inc ................... 63,783 0.05

19,200 Kroger Co ........................... 421,632 0.32


The U.S. Quant Fund


30 September 2011



Number

of Shares

Fair Value

USD

Fund

%

1,800 McCormick & Co Inc .......... 83,106 0.06

600 Ralcorp Holdings Inc .......... 46,008 0.04

4,900 Safeway Inc ......................... 81,389 0.06

25,364 Sara Lee Corp ...................... 414,448 0.31

1,100 Smithfield Foods Inc ........... 21,450 0.02

5,300 Sysco Corp .......................... 137,164 0.10

22,000 Tyson Foods Inc .................. 381,920 0.29

600

Weight Watchers

International ........................ 34,962 0.03

Gas Utilities

600 Atmos Energy Corp ............. 19,470 0.02

400 Energen Corp ...................... 16,360 0.01

200 EQT Corp ............................ 10,670 0.01

1,300 NiSource Inc ....................... 27,768 0.02

2,000 Oneok Inc ............................ 132,140 0.10

100 Southern Union Co .............. 4,058 0.00

1,800 Spectra Energy Corp ........... 44,154 0.03

400 UGI Corp ............................. 10,516 0.01


1,500 Alere Inc .............................. 29,445 0.02

6,100 Baxter International Inc ....... 342,576 0.26

300 Becton Dickinson & Co ...... 21,987 0.02

1,700 Boston Scientific Corp ........ 10,030 0.01

10,683 CareFusion Corp ................. 255,965 0.19

500 Cepheid Inc ......................... 19,415 0.01

800 Cooper Companies Inc ........ 63,360 0.05

800 CR Bard ............................... 69,992 0.05

400 Dentsply International Inc ... 12,260 0.01

1,300 Edwards Lifesciences Corp . 92,651 0.07

900 Gen-Probe Inc ..................... 51,453 0.04

4,400 Hologic Inc .......................... 66,836 0.05

1,400 Illumina Inc ......................... 57,288 0.04

7,300 Johnson & Johnson .............. 464,937 0.35

900 Kinetic Concepts Inc ........... 59,301 0.05

9,100 Medtronic Inc ...................... 302,211 0.23

700 St Jude Medical Inc ............. 25,319 0.02

5,100 Stryker Corp ........................ 240,261 0.18

600 Techne Corp ........................ 40,746 0.03

1,400 Varian Medical Systems Inc 73,066 0.06

4,991 Zimmer Holdings Inc .......... 266,968 0.20


18,284 Aetna Inc ............................. 664,258 0.50

900 AmeriGroup Corp ............... 35,109 0.03

700

Brookdale Senior Living

Inc ....................................... 8,764 0.01

11,361 CIGNA Corp ....................... 476,594 0.36

700 Covance Inc ......................... 31,801 0.02

1,100 Coventry Health Care Inc .... 31,680 0.02

500 Davita Inc ............................ 31,330 0.02

100 Express Scripts Inc .............. 3,707 0.00

300 HCA Holdings Inc ............... 6,039 0.01

200 Henry Schein Inc ................. 12,402 0.01

Number

of Shares

Fair Value

USD

Fund

%

14,042 Humana Inc ......................... 1,020,853 0.77

800

Laboratory Corp of America

Holdings ............................. 63,224 0.05

1,700 Lincare Holdings Inc .......... 38,250 0.03

700 Mednax ............................... 43,806 0.03

2,550 Molina Healthcare Inc ........ 39,398 0.03

1,200 Quest Diagnostics Inc ......... 59,232 0.05

200 Sirona Dental Systems Inc .. 8,470 0.01

16,200 UnitedHealth Group Inc ...... 746,334 0.57

600 WellCare Health Plans Inc .. 22,752 0.02

4,700 WellPoint Inc ...................... 306,769 0.23

Holding Companies - Diversified Operations

4,300 Leucadia National Corp ...... 97,524 0.07


600

Chipotle Mexican Grill

Inc ....................................... 181,950 0.14

1,500 McDonald's Corp ................ 131,715 0.10

670 Panera Bread Co ................. 69,640 0.05

13,092 Starbucks Corp .................... 488,070 0.37

7,500 Yum! Brands Inc ................. 370,500 0.28

Household Durables

8,180 Nike Inc .............................. 699,390 0.53

100 NVR Inc .............................. 60,482 0.04

100 Polo Ralph Lauren Corp ..... 12,953 0.01

800

Tempur-Pedic International

Inc ....................................... 42,080 0.03

500 Toll Brothers Inc ................. 7,205 0.01

Household Products

600 Avery Dennison Corp ......... 15,054 0.01

1,400 Church & Dwight Co Inc .... 61,852 0.05

500 Fortune Brands .................... 27,050 0.02

300 Kimberly-Clark Corp .......... 21,294 0.02

1,800 Toro Co ............................... 88,704 0.07

100 Tupperware Brands Corp .... 5,376 0.00


400 Carlisle Cos Inc ................... 12,736 0.01

400 Teleflex Inc ......................... 21,512 0.02

Insurance

3,300 Aflac Inc ............................. 115,401 0.09

8,800 Allstate Corp ....................... 208,472 0.16

500

American Financial Group

Inc ....................................... 15,545 0.01

3,400 Aon Corp ............................ 142,766 0.11

1,200 Arthur J Gallagher & Co ..... 31,560 0.02

700 Assurant Inc ........................ 25,053 0.02

3,500 Berkshire Hathaway ............ 248,605 0.19

2,100 Brown & Brown Inc ........... 37,380 0.03

6,600 Chubb Corp ......................... 395,868 0.30

1,100

Cincinnati Financials

Corp .................................... 28,963 0.02

400 Erie Indemnity Co ............... 28,472 0.02

3,500


Group Inc ............................ 56,525 0.04


The U.S. Quant Fund


30 September 2011



Number

of Shares

Fair Value

USD

Fund

%

2,300

HCC Insurance Holdings

Inc ....................................... 62,261 0.05

900 Kemper Corp ....................... 21,564 0.02

3,300 Lincoln National Corp ......... 51,579 0.04

1,300 Loews Corp ......................... 44,928 0.03

100 Markel Corp ........................ 35,746 0.03

4,200 Marsh & McLennan Cos Inc 111,510 0.08

100 Met Life Inc ........................ 2,799 0.00

13,700 Progressive Corp ................. 243,312 0.19

7,700 Prudential Financial Inc ....... 360,822 0.27

900

Reinsurance Group of

America Inc ......................... 41,364 0.03

200

StanCorp Financial Group

Inc ....................................... 5,518 0.00

2,900 Symetra Financial Corp ....... 23,606 0.02

4,781 Torchmark Inc ..................... 166,713 0.13

8,600 Travelers Cos Inc ................ 419,164 0.32

600 Unum Group ....................... 12,576 0.01

100

White Mountains Insurance

Group Ltd ............................ 40,306 0.03

1,600 WR Berkley Corp ................ 47,488 0.04


2,951 Expedia Inc ......................... 75,959 0.06

360 Priceline.com Inc ................. 161,751 0.12


100

Allscripts Healthcare

Solutions Inc ....................... 1,802 0.00

3,489 Amazon.com Inc ................. 754,078 0.57

21,540 eBay Inc .............................. 634,999 0.48

540 Google Inc ........................... 277,765 0.21

3,496 IAC Inter ActiveCorp .......... 138,267 0.10

1,500 Liberty Media – Interactive . 22,140 0.02

1,430 Net Flix Inc ......................... 161,819 0.12

1,800 Rackspace Hosting .............. 61,344 0.05

59,900 Symantec Corp .................... 976,370 0.74

700 Tibco Software Inc .............. 15,673 0.01

1,800 Veri Sign Inc ....................... 51,444 0.04

1,900 Virgin Media Inc ................. 46,265 0.04

Iron and Steel

100 Carpenter Technology Corp 4,489 0.00

1,600

Cliffs Natural Resources

Inc ....................................... 81,840 0.06


2,300

Automatic Data Processing

Inc ....................................... 108,376 0.08

13,200 CA Inc ................................. 256,212 0.19

1,200

Cognizant Technology

Solutions .............................. 75,180 0.06

1,400 Compuware Corp ................ 10,724 0.01

3,600 Gartner Inc .......................... 125,604 0.10


100 Harley Davidson Inc ............ 3,429 0.01

100 Hasbro Inc ........................... 3,261 0.00

2,400 Polaris Industries Inc ........... 119,880 0.09

Number

of Shares

Fair Value

USD

Fund

%

Lodging

1,800 Hyatt Hotels Corp ............... 56,376 0.04

400 Wynn Resorts Ltd ............... 46,004 0.04

Machinery

5,100 AGCO Corp ........................ 176,256 0.13

5,589 Caterpillar Inc ..................... 412,301 0.31

1,600 Cummins Inc ....................... 130,704 0.10

700 Danaher Corp ...................... 29,365 0.02

1,100 Deere & Co ......................... 71,016 0.05

100 Donaldson Co Inc ............... 5,473 0.00

2,764 Dover Corp ......................... 128,802 0.10

700 Eaton Corp .......................... 24,857 0.02

2,444 Gardner Denver Inc ............ 155,218 0.12

1,000 Graco Inc ............................ 34,120 0.03

1,600 Harsco Corp ........................ 31,056 0.02

6,704 ITT Corp ............................. 281,635 0.21

2,100 Joy Global Inc ..................... 130,809 0.10

600 Kennametal Inc ................... 19,644 0.02

1,300 Nordson Corp ..................... 51,610 0.04

1,400 Rockwell Automation Inc ... 78,400 0.06

1,442 Timken Co .......................... 47,298 0.04

500 Trinity Industries Inc .......... 10,710 0.01

Manufacturing

700 Snap-On Inc ........................ 31,087 0.03

Media

6,233 AMC Networks ................... 199,144 0.15

17,327 Cablevision Systems Corp .. 272,727 0.21

19,100 CBS Corp ............................ 389,258 0.29

2,700

Charter Communications

Inc ....................................... 126,279 0.10

27,700 Comcast Corp ..................... 578,653 0.44

32,626 DIRECTV ........................... 1,378,448 1.05

2,900

Discovery

Communications ................. 109,098 0.08

13,100 DISH Network Corp ........... 327,762 0.25

600 Gannett Co Inc .................... 5,700 0.00

800 John Wiley & Sons Inc ....... 35,472 0.03

1,000

Liberty Media - Liberty

Capital ................................. 66,160 0.05

640

Liberty Media - Liberty

Starz .................................... 40,685 0.03

5,900 Mcgraw Hill Cos Inc ........... 241,959 0.18

5,200 Time Warner ....................... 155,844 0.12

14,492 Time Warner Cable ............. 907,924 0.69

15,600 Viacom Inc ......................... 604,188 0.46

1,749 Walt Disney Co ................... 52,715 0.04

100 Washington Post Co ............ 32,454 0.02

Metals and Mining

3,600 Alcoa Inc ............................. 34,416 0.03

100 Allied Nevada Gold Corp ... 3,575 0.00

14,733

Freeport-McMoran Copper

& Gold Inc .......................... 448,473 0.34

1,400 Molycorp Inc ...................... 45,976 0.03


The U.S. Quant Fund


30 September 2011



Number

of Shares

Fair Value

USD

Fund

%

200 Royal Gold Inc .................... 12,812 0.01

300 Southern Copper Corp ......... 7,491 0.01


400 3M Co ................................. 28,684 0.02

100 Aptar Group Inc .................. 4,470 0.00

700 Cooper Industries ................ 32,284 0.02

96,800 General Electric Co ............. 1,473,296 1.12

2,600


Inc ....................................... 114,218 0.09

500 Illinois Tool Works Inc ....... 20,800 0.02

900 Newell Rubbermaid Inc ....... 10,665 0.01

400 Pall Corp ............................. 16,964 0.01

7,028 Parker Hannifin Corp .......... 443,678 0.34

Multi-Line Retail

200 Abercrombie & Fitch Co ..... 12,308 0.01

3,500 Advance Auto Parts Inc ....... 203,245 0.15

1,000 Chico's FAS Inc ................... 11,430 0.01

700 Copart Inc ............................ 27,356 0.02

1,300 Costco Wholesale Corp ....... 106,730 0.08

9,300 CVS Caremark Corp ........... 312,387 0.24

300 Dillard's Inc ......................... 13,044 0.01

650 Dollar Tree Inc .................... 48,776 0.04

800 Family Dollar Stores Inc ..... 40,648 0.03

300 GameStop Corp ................... 6,930 0.01

8,257 Home Depot Inc .................. 271,160 0.21

1,400 JC Penney Co Inc ................ 37,506 0.03

3,500 Kohl's Corp ......................... 171,850 0.13

2,100 Lowe's Cos Inc .................... 40,593 0.03

100 O'Reilly Automotive ........... 6,663 0.01

1,200 Ross Stores Inc .................... 94,428 0.07

100 Tiffany & Co ....................... 6,081 0.00

7,600 TJX Cos Inc ........................ 421,572 0.32

1,100 Tractor Supply Co ............... 68,805 0.05

1,700

Ulta Salon Cosmetics &

Fragrance Inc ....................... 105,774 0.08

15,800 Wal-Mart Stores Inc ............ 819,704 0.62

12,100 Walgreen Co ....................... 397,727 0.30

Multi-Utilities

54,900 AES Corp ............................ 535,824 0.40

1,200 Centerpoint Energy Inc ....... 23,544 0.02

300 SCANA Corp ...................... 12,141 0.01

400 Vectren Corp ....................... 10,836 0.01

1,600 Westar Energy Inc ............... 42,288 0.03

Office Electronics

200 Zebra Technologies Corp .... 6,176 0.00

Oil and Gas

1,303 Anadarko Petroleum Corp ... 82,141 0.06

53 Apache Corp ....................... 4,252 0.00

1,761 Baker Hughes Inc ................ 81,200 0.06

2,000 Cabot Oil & Gas Corp ......... 123,780 0.09

1,000 Chesapeake Energy Corp .... 25,540 0.02

39,488 Chevron ............................... 3,654,220 2.77

Number

of Shares

Fair Value

USD

Fund

%

800 Cimarex Energy Co ............ 44,536 0.03

300 Concho Resources Inc ........ 21,336 0.02

19,800 ConocoPhillips .................... 1,254,924 0.95

4,700 Devon Energy Corp ............ 260,333 0.20

1,100 EXCO Resources Inc .......... 11,803 0.01

40,628 Exxon Mobil Corp .............. 2,954,874 2.24

19,399 Halliburton Co .................... 591,475 0.45

2,200 Helmerich & Payne Inc ....... 89,342 0.07

3,800 Hess Corp ........................... 199,310 0.15

7,900 HollyFrontier Corp ............. 207,059 0.16

31,796 Marathon Oil Corp .............. 686,158 0.52

30,216 Marathon Petroleum Corp ... 817,343 0.62

6,049 Murphy Oil Corp ................ 267,245 0.20

800 National Fuel Gas Co .......... 38,992 0.03

2,300

National Oilwell Varco

Inc ....................................... 117,783 0.09

4,550


Corp .................................... 325,598 0.25

6,600 Patterson-UTI Energy Inc ... 114,378 0.09

1,600

Pioneer Natural Resources

Co ....................................... 105,280 0.08

1,600

Plains Exploration &

Production Co ..................... 36,288 0.03

700 QEP Resources ................... 18,935 0.02

200 Range Resources Corp ........ 11,688 0.01

1,100 Rosetta Resources Inc ......... 37,609 0.03

600 Rowan Cos Inc .................... 18,108 0.01

8,100 SandRidge Energy Inc ........ 45,117 0.03

2,841 Schlumberger Ltd ............... 169,721 0.13

2,700 SM Energy .......................... 163,836 0.12

3,500 Southwestern Energy Co .... 116,550 0.09

500 Sunoco Inc .......................... 15,485 0.01

9,500 Tesoro Corp ........................ 184,965 0.14

2,000 Ultra Petroleum Corp .......... 55,380 0.04

700 Unit Corp ............................ 25,823 0.02

47,967 Valero Energy Corp ............ 852,374 0.65

100 Whiting Petroleum Corp ..... 3,506 0.00


100 Carbo Ceramics Inc ............ 10,252 0.01

600 FMC Technologies Inc ....... 22,548 0.02

4,063

Oceaneering International

Inc ....................................... 143,627 0.11

700

Oil States International

Inc ....................................... 35,658 0.03

200 Seacor Holdings Inc ............ 16,020 0.01

200

Superior Energy Services

Inc ....................................... 5,246 0.00


200 Domtar Corp ....................... 13,624 0.01

11,287 International Paper Co ........ 262,423 0.20

9,241 Mead Westvaco Corp .......... 226,959 0.17

900

Plum Creek Timber Co

Inc ....................................... 31,248 0.02

11,080 Rayonier Inc ....................... 407,633 0.31


The U.S. Quant Fund


30 September 2011



Number

of Shares

Fair Value

USD

Fund

%

Personal Products

13,150 Colgate Palmolive Co .......... 1,165,485 0.88

11,069 Estée Lauder Cos Inc ........... 972,190 0.74

21,225 Procter & Gamble Co .......... 1,341,208 1.02

Pharmaceuticals

200 Allergan Inc ......................... 16,476 0.01

100

Catalyst Health Solutions

Inc ....................................... 5,763 0.01

1,900

Endo Pharmaceuticals

Holdings Inc ........................ 53,181 0.04

3,733

Medco Health Solutions

Inc ....................................... 174,929 0.13

800 Mylan Laboratories Inc ....... 13,592 0.01

1,000 Omnicare Inc ....................... 25,430 0.02

1,000 Pharmasset Inc .................... 82,370 0.06

500

SXC Health Solutions

Corp ..................................... 27,850 0.02

3,885

Watson Pharmaceuticals

Inc ....................................... 265,190 0.20

Pipelines

2,600 El Paso Corp ........................ 45,500 0.03

400 Kinder Morgan Inc .............. 10,340 0.01

17,635 Williams Cos Inc ................. 428,707 0.33

Real Estate

100

Alexandria Real Estate

Equities Inc ......................... 6,142 0.00

700

American Capital Agency

Corp ..................................... 18,970 0.01

1,800

Annaly Capital Management

Inc ....................................... 29,934 0.02

100

Apartment Investment &

Management Co .................. 2,212 0.00

106

Avalonbay Communities

Inc ....................................... 12,089 0.01

100 Boston Properties Inc .......... 8,912 0.01

1,000 Camden Property Trust ....... 55,290 0.04

3,500

CB Richard Ellis Group

Inc ....................................... 47,110 0.04

8,300 Chimera Investment Corp ... 22,991 0.02

200 Corrections Corp ................. 4,540 0.00

400 Douglas Emmett Inc ............ 6,840 0.01

600 Duke Realty Corp ................ 6,300 0.01

1,200 Equity Residential ............... 62,244 0.05

3,200

Forest City Enterprises

Inc ....................................... 34,048 0.03

400 Health Care REIT Inc .......... 18,724 0.01

2,635 Howard Hughes ................... 111,592 0.08

1,800 Jones Lang LaSalle Inc ....... 93,276 0.07

600 Prologis ............................... 14,550 0.01

100 Public Storage Inc ............... 11,122 0.01

200 Realty Income Corp ............ 6,450 0.01

3,416

Simon Property Group

Inc ....................................... 375,692 0.29

100 SL Green Realty Corp ......... 5,807 0.00

200 Taubman Centers Inc .......... 10,048 0.01

800 UDR Inc .............................. 17,720 0.01

Number

of Shares

Fair Value

USD

Fund

%

6,600 Weyerhaeuser Co ................ 102,630 0.08

Real Estate Investment Trusts

5,378

General Growth

Properties ............................ 64,966 0.05

Retail Trade

18,700 Macy's Inc ........................... 492,184 0.37

3,300 Nu Skin Enterprises Inc ...... 133,650 0.10

Road and Rail

100 Kansas City Southern .......... 4,994 0.00

Savings and Loans

19,837

Capitol Federal

Financial ............................. 209,479 0.16

6,700

First Niagara Financial

Group Inc ............................ 61,305 0.05

1,000 Washington Federal Inc ...... 12,720 0.01


6,200 Altera Corp ......................... 195,486 0.15

200 Analog Devices Inc ............. 6,254 0.00

7,700 Atmel Corp ......................... 62,139 0.05

2,200

Cypress Semiconductor

Corp .................................... 32,934 0.03

2,200

Fairchild Semiconductor


57,000 Intel Corp ............................ 1,215,810 0.92

1,100

International Rectifier

Corp .................................... 20,482 0.02

600 Kla-Tencor Corp ................. 22,968 0.02

61,819 LSI Logic Corp ................... 319,604 0.24

7,600


Inc ....................................... 177,308 0.13

2,000


Inc ....................................... 62,180 0.05

1,300

Micron Technology

Inc ....................................... 6,539 0.00

3,800 NVIDIA Corp ..................... 47,462 0.04

7,700

ON Semiconductor

Corp .................................... 55,209 0.04

6,900 PMC - Sierra Inc ................. 41,262 0.03

600 Rovi .................................... 25,788 0.02

600

Skyworks Solutions

Inc ....................................... 10,764 0.01

5,000 Texas Instruments Inc ......... 133,250 0.10

300

Varian Semiconductor

Equipment Associates

Inc ....................................... 18,336 0.01

200 Xilinx Inc ............................ 5,488 0.00

Shipbuilding

2,715

Huntington Ingalls Industries

Inc ....................................... 66,083 0.05

Software

37,400 Activision Blizzard Inc ....... 444,686 0.34

3,500 Adobe Systems Inc ............. 84,595 0.07

200 Ariba Inc ............................. 5,542 0.00

500 Athenahealth Inc ................. 29,775 0.02

7,400 Autodesk Inc ....................... 205,572 0.16

5,000 BMC Software Inc .............. 192,800 0.15


The U.S. Quant Fund


30 September 2011



Number

of Shares

Fair Value

USD

Fund

%

3,200 Cerner Corp ......................... 219,264 0.17

200 Citrix Systems Inc ............... 10,906 0.01

700 Dun & Bradstreet Corp ....... 42,910 0.03

11,100 Electronic Arts Inc .............. 226,995 0.17

1,800 Fair Isaac Corp .................... 39,276 0.03

1,500 Informatica Corp ................. 61,425 0.05

14,093 Intuit .................................... 668,572 0.51

89,692 Microsoft Corp .................... 2,232,434 1.69

600 NetSuite Inc ......................... 16,206 0.01

34,798 Oracle Corp ......................... 1,000,094 0.76

4,452 Red Hat Inc ......................... 188,186 0.14

300 SEI Investments Co ............. 4,614 0.00

300 Solera Holdings ................... 15,135 0.01

500

VeriFone Systems

Inc ....................................... 17,515 0.01

1,100 VM Ware Inc ....................... 88,352 0.07

Speciality Retail

300 AutoNation Inc .................... 9,837 0.01

2,130 AutoZone Inc ...................... 680,407 0.52

400 Carmax Inc .......................... 9,540 0.01

27,062 Foot Locker Inc ................... 543,946 0.41

14,581 Ltd Brands Inc ..................... 561,660 0.42

3,478 PetSmart .............................. 148,302 0.11

200 Sherwin Williams Co .......... 14,870 0.01

Textile and Apparel

16,629 Coach Inc ............................ 861,715 0.65

900 Fossil Inc ............................. 72,900 0.06

500

True Religion Apparel

Inc ....................................... 13,450 0.01


200 Alexander & Baldwin .......... 7,308 0.01

1,000 Borg Warner Inc .................. 60,510 0.04

500

CH Robinson Worldwide

Inc ....................................... 34,230 0.03

1,200 Con-way Inc ........................ 26,556 0.02

34,400 CSX Corp ............................ 642,248 0.49

200

Expeditors International

Washington ......................... 8,106 0.01

Number

of Shares

Fair Value

USD

Fund

%

10,819 FedEx Corp ......................... 731,689 0.55

4,400

JB Hunt Transport Services

Inc ....................................... 158,928 0.12

600 Landstar Systems Inc .......... 23,736 0.02

4,200

Norfolk Southern

Corp .................................... 256,284 0.19

3,800 Ryder Systems Inc .............. 142,614 0.11

7,400 Union Pacific Corp ............. 604,728 0.46

200


Inc ....................................... 12,624 0.01

Transportation Services

100 GATX Corp ........................ 3,103 0.00

Water Utilities

7,200

American Water Works Co

Inc ....................................... 217,368 0.17

1,300 Aqua America Inc ............... 28,041 0.02


2,800

MetroPCS

Communications ................. 24,332 0.02

124,614,700 94.54


Transport

1,000 UTI Worldwide Inc 13,010 0.01


Total Transferable

Securities ............................ 128,752,360 97.68

Total Transferable Securities


Ireland (1.83%)

241,938


III plc


II - Class C Shares ............ 2,419,379 1.83


Schemes ............................. 2,419,379 1.83

Total Investments

excluding Financial




Notional

Amount

USD

Average

Cost Price

USD

Unrealised

Gain (Loss)

USD

Fund

%

(148,117,253)

(77,956.00)

38 of S&P 500 E Mini Index Futures


Expiring December 2011 ............................................. (77,997) (0.06)

(8,122,380)

(11,603.00)

7 of Russell 1000 Mini Index Futures




The U.S. Quant Fund


30 September 2011



Notional

Amount

USD

Average

Cost Price

USD

Unrealised

Gain (Loss)

USD

Fund

%

(4,042,414)

(13,475.00)

3 of S&P Midcap 400 E Mini Index Futures



Net unrealised gain (loss) on open futures contracts .............................................................. (103,137) (0.08)

Total Financial Derivative Instruments ................................................................................... (103,137) (0.08)

Fair Value

USD Fund

%


(99.51%) ...................................................................................................................................... 131,171,739 99.51


Loss ((0.08)%) ............................................................................................................................ (103,137) (0.08)


(99.43%) ............................................................................................... 131,068,602 99.43

Other Net Assets (0.56%) ................................................................... 730,158 0.56


Prices (0.01%) ...................................................................................... 17,338 0.01

Net Assets (100.00%) .......................................................................... 131,816,098 100.00


% of

total assets


in another regulated market ................................................................................................................................... 96.75


Other assets ............................................................................................................................................................ 1.43

100.00

The broker for the open futures contracts is Citigroup Global Markets.

The proportion of the investments of The U.S. Quant Fund in rights or securities eligible to the French Plan d’Epargne en Actions

(PEA) has been continuously equal to, or greater than, 75 per cent over the elapsed six months ended on 30 September 2011.


The U.S. Quant Fund







Acquisition Cost


Disposal Proceeds

USD



Apple Inc 1,963,615 Microsoft Corp (2,354,961)

Philip Morris International 1,699,718 ConocoPhillips (1,991,964)

Pfizer Inc 1,297,664 Intel Corp (1,293,870)

Intel Corp 1,159,635 Allergan Inc (1,261,530)

Verizon Communications Inc 1,125,605 Northrop Grumman Corp (1,070,136)

Chevron Corp 962,340 Chevron Corp (1,060,207)

ConocoPhillips 948,187 Johnson & Johnson (1,023,035)

Visa Inc 921,543 Intl Business Machines Corp (1,007,374)

Halliburton Co 917,436 General Electric Co (992,031)

Hewlett Packard Co 900,702 3M Co (915,473)

General Electric Co 898,394 General Motors Co (908,166)

Marathon Petroleum Corp 867,987 Goldman Sachs Group Inc (867,661)

Exxon Mobil Corp 826,616 Us Bancorp (857,574)

AT&T Inc 800,369 Apple Inc (842,566)

Capital One Financial Corp 764,522 Devon Energy Corporation (834,534)

JP Morgan Chase & Co 749,277 QEP Resources Inc (825,233)

Oracle Corp 712,572 Humana Inc (822,953)

McKesson Corp 709,368 AT&T Inc (816,135)

American Tower Corp 707,238 Prudential Financial Inc (795,151)


The U.S. Value Fund

Manager’s Report

110 The U.S. Value Fund

Money Managers Armstrong Shaw Associates

DePrince, Race & Zollo Inc.


Snow Capital Management

Systematic Financial Management, L.P.

Investment Objective The U.S. Value Fund (the “Fund”) will seek to achieve capital appreciation by investing primarily in U.S. equity securities,


dealt in on a regulated market in the U.S. The Fund may invest in new issues for which application for listing on a regulated

market will be sought. The Fund may also hold such securities listed or traded on regulated markets worldwide of companies that

are not incorporated, listed or traded in the U.S. but which receive the majority of their total revenue from the U.S. At all times, at

least two-thirds of the Fund‟s net assets will be invested in the foregoing instruments (excluding convertibles) of issuers

domiciled in the U.S. The Fund will be diversified and will pursue a policy of active selection with an emphasis on stocks that

appear to be undervalued on the basis of earnings, cashflow or private market value, in the markets in which it operates. The Fund

will seek to be fully invested at all times with ancillary liquid assets kept to a minimum.

Fund Performance



Market Comment

The Russell 1000 Value Index gave up 1.6 per cent during a second quarter of 2011 marked by tumultuous macro-economic

conditions and added 5.7 per cent year-to-date. An early rally in April, prompted by companies reporting particularly positive

first quarter earnings, was short-lived as investors‟ risk appetite evaporated after a commodities sell-off beginning of May. This

was reaffirmed by the ongoing eurozone debt crisis and disappointing U.S. economic data. News that the unemployment rate had

jumped back above 9 per cent, that house prices had fallen below their 2009 nadir and that activity had dipped in most sectors

renewed investor concerns over the strength of U.S. recovery. In addition, the official end of the second round of quantitative

easing on 30 June and the government‟s inability to reach an agreement over the budget and debt ceiling, weighed on sentiment.

However, most of these losses were pared back during the final days of the quarter as Greece finally passed the necessary

austerity measures to secure international financial aid and U.S. activity appeared to rebound. As a result of this broadly risk-

averse environment, growth was favoured over value, large caps outperformed smaller peers and defensive sectors were preferred

over cyclicals.


weighed heavily on share prices. As a result, the Russell 1000 Value Index fell by 13.2 per cent on the third quarter of 2011, its

fourth-worst quarter of performance in its more than 33 year of history. Sentiment was also undermined by the political

wrangling over raising the U.S. debt ceiling, after which rating agency Standard & Poor‟s cut America‟s credit rating from AAA

to AA+. In common with other developed markets, the U.S. banking sector came under pressure, as worries mounted that a

double-dip recession would result in a second wave of mortgage delinquencies. Bank of America fell particularly sharply due to a

USD 10 billion lawsuit filed by AIG alleging a „massive‟ mortgage fraud, before rallying sharply after Warren Buffett showed his

backing for the company by investing USD 5 billion. Takeover activity was, however, supportive. Google announced the biggest

takeover deal in its brief history by buying mobile phone producer Motorola Mobility for USD 12.5 billion. During the quarter,

the more defensively-aligned utilities, consumer staples and health care sectors were the best performers and the more cyclically-

oriented materials and processing and producer durables sectors fared worst.


The Fund underperformed the benchmark during the six month period, returning -4.2 per cent.

DePrince, Race & Zollo Inc. outperformed over the period, largely attributable to stock selection in the information technology

sector. The highly competitive semiconductors industry led the gains, driven by National Semiconductor which made a

considerable contribution to the Fund‟s performance following the announcement that it would be bought by larger rival Texas

Instruments at a 78 per cent premium. Being underweight financials also proved beneficial as the Money Manager avoided U.S.

large banks names (Bank of America, JPMorgan Chase, Wells Fargo) which detracted.

Snow Capital Management was the worst performer over the period due to negative stock selection and sector positioning. The

latter was driven by a zero exposure to the strengthening utilities sector and an overweight to the lagging financial services sector.

Within the latter, multi-line insurance companies (Genworth Financial) and large banks (Bank of America, Bank of New York

Mellon, JPMorgan Chase, Wells Fargo) detracted from returns. Being underweight to stocks with low betas and those with high

dividend yields also hampered returns.


The U.S. Value Fund


The U.S. Value Fund 111









with deflation mostly off the table, we also expect that bond markets in the core will experience a mild sell-off.


* Benchmark Source: Russell 1000 Value Index


November 2011


The U.S. Value Fund

Balance Sheet




30 September 2011

(Unaudited)

USD

31 March 2011

(Audited)

USD

30 September 2010

(Unaudited)

USD

Assets

Financial assets at fair value through profit or loss (Note 1) .............. 177,449,436 230,469,354 222,986,686

Cash at bank (Note 5) ......................................................................... 1,126,259 1,748,868 1,591,966


positions (Note 5) ............................................................................... 664,000 666,000 1,449,000


lending transactions (Note 4) .............................................................. 3,063,997 1,623,650 2,295,511

Debtors:

Receivable for investments sold ..................................................................................... 465,886 174,583 32,929,204

Receivable on fund shares issued .................................................................................... - 4,143 -

Dividends receivable ....................................................................................................... 153,459 164,989 168,070

182,923,037 234,851,587 261,420,437

Liabilities

Financial liabilities at fair value through profit or loss (Note 1) ...................................................................................................... (394,550) - -



positions (Note 5)............................................................................................................. - - (491,484)


(Note 4) ........................................................................................................................... (3,063,997) (1,623,650) (2,295,511)

Payable for investments purchased ................................................................................. (631,077) (163,562) (33,528,401)

Payable on fund shares redeemed ................................................................................... - - (4,742)

Management fees payable ............................................................................................... (159,996) (202,055) (186,940)

Custodian and Trustee fees payable ................................................................................ (2,342) (2,934) (2,718)

Sub-custodian fees payable ............................................................................................. (3,842) (6,245) (3,751)



Miscellaneous fees payable ............................................................................................. (7,172) (7,163) (20,314)

(4,279,083) (2,031,032) (36,550,331)


shareholders (at bid market prices) ................................................ 178,643,954 232,820,555 224,870,106


prices ................................................................................................. 32,154 21,378 39,294


shareholders (at last traded market prices) ................................... 178,676,108 232,841,933 224,909,400


The U.S. Value Fund





Six months ended

30 September 2011

(Unaudited)

USD

Year ended

31 March 2011

(Audited)

USD

Six months ended

30 September 2010

(Unaudited)

USD

Income

Dividends ........................................................................................................................ 2,214,231 3,791,096 1,812,154

Bank and short term investment interest ......................................................................... 55 114 53

Securities lending income (Note 4) ................................................................................. 20,422 14,971 10,520

Miscellaneous income ..................................................................................................... - 83,510 47,444

2,234,708 3,889,691 1,870,171

Net gain (loss) on investment activities .............................................. (50,081,192) 31,674,779 (9,697,986)

Total investment income (expense) ................................................. (47,846,484) 35,564,470 (7,827,815)

Expenses

Management fees (Note 3) .............................................................................................. (1,118,063) (2,344,372) (1,152,971)

Custodian and Trustee fees (Note 3) ................................................................................ (21,321) (46,570) (23,605)

Sub-custodian fees (Note 3) ............................................................................................. (10,560) (30,486) (11,107)

Administration transfer agency fees (Note 3) .................................................................. (53,213) (116,253) (59,259)

Audit fees ........................................................................................................................ (12,204) (20,533) (11,941)

Professional fees ............................................................................................................. (12,111) (21,668) (10,376)

Miscellaneous fees .......................................................................................................... (32,449) (52,956) (28,705)

Total operating expenses .................................................................. (1,259,921) (2,632,838) (1,297,964)

Net income (expense) ........................................................................ (49,106,405) 32,931,632 (9,125,779)

Finance costs

Distributions (Note 15) ................................................................................................... (278,244) (276,958) (135,676)


taxation .............................................................................................. (49,384,649) 32,654,674 (9,261,455)

Taxation

Withholding tax (Note 7) ................................................................................................ (603,888) (1,071,755) (504,232)


taxation .............................................................................................. (49,988,537) 31,582,919 (9,765,687)


traded market prices ........................................................................ 10,776 (78,810) (60,894)



operations .......................................................................................... (49,977,761) 31,504,109 (9,826,581)


Account.


The U.S. Value Fund





Six months ended

30 September 2011

(Unaudited)

USD

Year ended

31 March 2011

(Audited)

USD

Six months ended

30 September 2010

(Unaudited)

USD



operations .......................................................................................... (49,977,761) 31,504,109 (9,826,581)

Share transactions


participating share transactions (Note 6) .......................................... (4,462,351) (36,572,804) (3,035,273)


(Note 15) ........................................................................................... 274,287 272,366 132,992


redeemable participating shareholders ........................................... (54,165,825) (4,796,329) (12,728,862)


shareholders

Beginning of period/year/period ....................................................... 232,841,933 237,638,262 237,638,262

End of period/year/period .............................................................................................................................................................. 178,676,108 232,841,933 224,909,400


The U.S. Value Fund


30 September 2011



Number

of Shares

Fair Value

USD

Fund

%



Bermuda (0.19%)

Speciality Retail

10,300 Signet Jewelers Ltd ............. 348,243 0.19

Brazil (0.28%)


19,700 Embraer SA ADR ............... 499,592 0.28

Canada (0.51%)

Chemicals

8,050 Agrium Inc .......................... 536,130 0.30

Oil and Gas

19,800 EnCana Corp ....................... 379,764 0.21

915,894 0.51


Biotechnology

4,200 Herbalife .............................. 225,204 0.13

France (0.44%)


124,000 Alcatel-Lucent ADR ........... 349,680 0.20

Oil and Gas

9,900 Total SA ADR ..................... 434,412 0.24

784,092 0.44

Ireland (3.04%)


8,200 Accenture Plc ...................... 432,140 0.24

Diversified Manufacturing

67,367 Ingersoll-Rand Plc ............... 1,891,665 1.06


36,838 Covidien Plc ........................ 1,624,188 0.91

Insurance

79,025 XL Group Plc ...................... 1,485,670 0.83

5,433,663 3.04

Israel (0.86%)

Biotechnology

41,400

Teva Pharmaceutical

Industries Ltd ADR ............. 1,540,908 0.86

Netherlands (0.35%)

Household Durables

34,600

Koninklijke Philips

Electronics ........................... 620,724 0.35

Norway (0.42%)

Oil and Gas

35,300 Statoil ASA ADR ................ 761,068 0.42

Number

of Shares

Fair Value

USD

Fund

%

Switzerland (1.24%)


26,762 Tyco International Ltd ........ 1,089,481 0.61

Insurance

18,489 ACE Ltd .............................. 1,120,433 0.63

2,209,914 1.24



11,300 Boeing Co ........................... 683,424 0.38

7,400 General Dynamics Corp ...... 420,986 0.24

9,000 Lockheed Martin Corp ........ 653,580 0.37

64,050

Spirit Aerosystems Holdings

Inc ....................................... 1,021,598 0.57

20,878 United Technologies Corp .. 1,467,723 0.82

Agriculture

15,100 Archer-Daniels-Midland Co 374,631 0.21

900 Lorillard Inc ........................ 99,729 0.06

Auto Components

19,700 Lear Corp ............................ 845,130 0.47

Banks

31,300 Bank of New York Inc ........ 581,867 0.33

43,100 BB&T Corp ........................ 918,461 0.51

13,100 Capital One Financial Corp 519,153 0.29

61,800 Fifth Third Bancorp ............ 624,180 0.35

45,200 Huntington Bancshares Inc . 216,960 0.12

149,300 Keycorp .............................. 885,349 0.49

20,200 Northern Trust Corp ............ 706,596 0.39

30,100

People's United Financial

Inc ....................................... 343,140 0.19

58,875


Group Inc ............................ 2,837,187 1.59

32,700 SunTrust Banks Inc ............. 585,984 0.33

28,500 US Bancorp ......................... 670,890 0.38

35,152 Valley National Bancorp .... 372,611 0.21

131,602 Wells Fargo & Co ............... 3,174,240 1.78

Biotechnology

74,517 Abbott Laboratories ............ 3,811,545 2.13

44,941 Amgen Inc .......................... 2,468,609 1.38

9,100 Biogen Idec Inc ................... 847,665 0.48

19,500 Bristol-Myers Squibb Co .... 611,520 0.34

7,700 McKesson Corp .................. 559,636 0.31

12,400 Merck & Co Inc .................. 405,480 0.23

198,850 Pfizer Inc ............................. 3,515,668 1.97

Building Products

7,500 Owens Corning Inc ............. 162,450 0.09

Chemicals

4,900

El du Pont de Nemours

& Co ................................... 195,755 0.11

76,600 Huntsman Corp ................... 740,722 0.41

24,475 Mosaic Co ........................... 1,198,296 0.67

13,112 Praxair Inc ........................... 1,224,661 0.69


The U.S. Value Fund


30 September 2011



Number

of Shares

Fair Value

USD

Fund

%


41,900

Hertz Global Holdings

Inc ....................................... 372,910 0.21

5,276 MasterCard Inc .................... 1,672,492 0.94

23,100 Republic Services Inc .......... 648,417 0.36

30,300

RR Donnelley & Sons

Co ........................................ 427,230 0.24

2,500 Visa Inc ............................... 214,225 0.12


69,000 AT&T Inc ............................ 1,966,500 1.10

66,700

Frontier Communications

Corp ..................................... 407,537 0.23

8,900 Harris Corp .......................... 303,846 0.17


118,650 Dell Inc ................................ 1,678,898 0.94

29,600 EMC Corp ........................... 621,600 0.35

11,886


Machines Corp .................... 2,078,029 1.16

14,500 Western Digital Corp .......... 372,650 0.21


18,575

Aecom Technology

Corp ..................................... 328,220 0.18

13,200 KBR Inc .............................. 311,784 0.18


25,014 Vulcan Materials Co ............ 689,636 0.39


16,700 Bemis Co Inc ....................... 489,644 0.27

40,500 Sealed Air Corp ................... 676,350 0.38


29,340 Citigroup Inc ....................... 751,398 0.42

56,800

Discover Financial

Services ............................... 1,303,560 0.73

21,300

Federated Investors

Inc ....................................... 373,389 0.21

23,707

Goldman Sachs Group

Inc ....................................... 2,239,126 1.25

200,810 JP Morgan Chase & Co ....... 6,050,405 3.39

40,400 Morgan Stanley ................... 545,400 0.30

38,700 SLM Corp ........................... 481,428 0.27

Electric Utilities

10,300 Exelon Corp ........................ 438,986 0.25

27,300 FirstEnergy Corp ................. 1,225,770 0.69

22,800

MDU Resources Group

Inc ....................................... 437,304 0.24

11,400 NextEra Energy Inc ............. 615,600 0.34

21,300 PPL Corp ............................. 607,476 0.34


20,300 Emerson Electric Co ............ 838,796 0.47


11,800 Diebold Inc .......................... 324,618 0.18

30,949


Inc ........................................ 1,567,567 0.88


11,500 Tidewater Inc ...................... 483,575 0.27

Number

of Shares

Fair Value

USD

Fund

%

Food Products

16,700 ConAgra Foods Inc ............. 404,641 0.23

3,500 General Mills Inc ................ 134,680 0.07

106,450 Safeway Inc ........................ 1,768,135 0.99

16,600 Smithfield Foods Inc ........... 323,700 0.18

Gas Utilities

14,525 NiSource Inc ....................... 310,254 0.17


13,000

Baxter International

Inc ....................................... 730,080 0.41

12,400 Johnson & Johnson ............. 789,756 0.44

17,000 Medtronic Inc ..................... 564,570 0.32

4,400 Zimmer Holdings Inc .......... 235,356 0.13


10,900 CIGNA Corp ....................... 457,255 0.26

59,675

Community Health Systems

Inc ....................................... 992,992 0.56

26,786 Express Scripts Inc ............. 992,957 0.55

63,963

United Health Group

Inc ....................................... 2,946,775 1.65

Household Products

6,400 Clorox Co ........................... 424,704 0.24

Insurance

11,100 Aflac Inc ............................. 388,167 0.22

76,650 Allstate Corp ....................... 1,815,839 1.02

65,000


Group Inc ............................ 1,049,750 0.59

13,900 Lincoln National Corp ........ 217,257 0.12

23,025

Marsh & McLennan Cos

Inc ....................................... 611,314 0.34

11,800 Mercury General Corp ........ 452,648 0.25

126,591 MetLife Inc ......................... 3,543,282 1.98

42,575 Prudential Financial Inc ...... 1,995,064 1.12


54,100 Symantec Corp .................... 881,830 0.49

Iron and Steel

27,200 Nucor Corp ......................... 860,608 0.48

46,900 Steel Dynamics Inc ............. 465,248 0.26


9,900 Harley Davidson Inc ........... 339,471 0.19

Lodging

92,673

Wyndham Worldwide

Corp .................................... 2,641,180 1.48

Machinery

8,100 Caterpillar Inc ..................... 597,537 0.33

5,100 Cummins Inc ....................... 416,619 0.23

11,800 Eaton Corp .......................... 419,018 0.24

20,500 Harsco Corp ........................ 397,905 0.22

7,700

Rockwell Automation

Inc ....................................... 431,200 0.24

11,850 Timken Co .......................... 388,680 0.22

Media

32,500 CBS Corp ............................ 662,350 0.37


The U.S. Value Fund


30 September 2011



Number

of Shares

Fair Value

USD

Fund

%

88,495 Comcast Corp ...................... 1,830,962 1.02

18,400 Viacom Inc .......................... 712,632 0.40

Metals and Mining

114,350 Alcoa Inc ............................. 1,093,186 0.61

29,300 Arch Coal ............................ 426,608 0.24

44,469


& Gold Inc .......................... 1,353,636 0.76



19,700 Illinois Tool Works Inc ....... 819,520 0.46

11,400 Parker Hannifin Corp .......... 719,682 0.40

9,300 SPX Corp ............................ 421,011 0.24

Multi-Line Retail

69,700

American Eagle Outfitters

Inc ....................................... 816,884 0.46

69,120 CVS Caremark Corp ........... 2,321,741 1.30

51,000 Gap Inc ................................ 828,240 0.46

41,564 Kohl's Corp ......................... 2,040,792 1.14

120,853 Lowe's Cos Inc .................... 2,336,089 1.31

5,650 PVH ..................................... 328,830 0.18

14,800 Target Corp ......................... 725,496 0.41

43,850 Wal-Mart Stores Inc ............ 2,274,938 1.27

7,400 Walgreen Co ....................... 243,238 0.14

Oil and Gas

6,150

Anadarko Petroleum

Corp ..................................... 387,696 0.22

20,297 Apache Corp ....................... 1,628,428 0.91

31,152

Cameron International

Corp ..................................... 1,294,366 0.72

21,500

Chesapeake Energy

Corp ..................................... 549,110 0.31

52,708 Chevron Corp ...................... 4,877,598 2.73

20,375 ConocoPhillips .................... 1,291,368 0.72

32,000

Denbury Resources

Inc ....................................... 368,320 0.21

24,683 Devon Energy Corp ............. 1,367,191 0.77

11,200 Exxon Mobil Corp ............... 814,576 0.46

36,941 Halliburton Co ..................... 1,126,331 0.63

16,700 Marathon Oil Corp .............. 360,386 0.20

39,625

Marathon Petroleum

Corp ..................................... 1,071,856 0.60

22,000 Murphy Oil Corp ................. 971,960 0.54

14,700


Inc ....................................... 752,787 0.42

6,200 Noble Energy Inc ................ 182,032 0.10

6,200 Transocean Ltd .................... 295,802 0.17

12,500 Valero Energy Corp ............ 222,125 0.12


6,950

Oil States International

Inc ....................................... 354,033 0.20


4,500 Domtar Corp ....................... 306,540 0.17

Personal Products

34,900 Avon Products Inc ............... 683,342 0.38

Number

of Shares

Fair Value

USD

Fund

%

Pipelines

103,146 El Paso Corp ....................... 1,805,055 1.01

Real Estate

23,700

Annaly Capital Management

Inc ....................................... 394,131 0.22

72

Apartment Investment &

Management Co .................. 1,593 0.00

5,250

SL Green Realty

Corp .................................... 304,868 0.17

Retail Trade

86,650 Macy's Inc ........................... 2,280,629 1.28


159,850 Applied Materials Inc ......... 1,654,447 0.92

74,500 Atmel Corp ......................... 601,215 0.34

9,700 Broadcom Corp ................... 322,913 0.18

19,300 Intel Corp ............................ 411,669 0.23

21,200

Linear Technology

Corp .................................... 585,756 0.33

66,620

Texas Instruments

Inc ....................................... 1,775,423 0.99

Software

12,800 Electronic Arts Inc .............. 261,760 0.15

87,100 Microsoft Corp .................... 2,167,919 1.21

59,730 Oracle Corp ......................... 1,716,640 0.96

Speciality Retail

24,600 Foot Locker Inc ................... 494,460 0.28

Technology Hardware and Equipment

30,500 Pitney Bowes Inc ................ 573,705 0.32


76,627 CSX Corp ........................... 1,430,626 0.80

24,545


Inc ....................................... 1,549,280 0.87

Water Utilities

19,000

American Water Works Co

Inc ....................................... 573,610 0.32

155,733,451 87.16


Total Transferable

Securities ............................ 169,072,753 94.62


Ireland (4.69%)

837,668


III plc


II - Class A Shares ............ 8,376,683 4.69


Schemes ............................. 8,376,683 4.69

Total Investments

excluding Financial



The U.S. Value Fund


30 September 2011





Notional

Amount

USD

Average

Cost Price

USD

Unrealised

Gain (Loss)

USD

Fund

%

4,412,963

1,176.79




5,158,487

1,172.38

88 of S&P E Mini Futures



Net unrealised gain (loss) on open futures contracts ........................................................ (394,550) (0.22)

Total Financial Derivative Instruments ............................................................................. (394,550) (0.22)

Fair Value

USD Fund

%


(99.31%) ............................................................................................................................... 177,449,436 99.31


Loss ((0.22)%) ..................................................................................................................... (394,550) (0.22)


(99.09%) ............................................................................................... 177,054,886 99.09

Other Net Assets (0.89%) .................................................................... 1,589,068 0.89

Adjustment from Bid Market Prices to Last Traded

Market Prices (0.02%) ......................................................................... 32,154 0.02

Net Assets (100.00%) .......................................................................... 178,676,108 100.00


% of

total assets

Transferable securities other than those admitted to an official stock exchange listing or traded on a

regulated market ..................................................................................................................................................... 95.00


Other assets ............................................................................................................................................................ 0.34

100.00

The broker for the open futures contracts is Citigroup Global Markets Holdings Inc.

The proportion of the investments of The U.S. Value Fund in rights or securities eligible to the French Plan d’Epargne en Actions

(PEA) has been continuously equal to, or greater than, 75 per cent over the elapsed six months ended on 30 September 2011.


The U.S. Value Fund







Acquisition Cost


Disposal Proceeds

USD



Teva Pharmaceutical Industries Ltd ADR 1,983,427 Bank Of America Corp (3,373,887)

Kohls Corp 1,933,641 Chevron Corp (2,357,551)

JP Morgan Chase & Co 1,655,072 Marathon Oil Corp (1,605,194)

Wal Mart Stores Inc 1,478,381 National Semiconductor Corp (1,571,099)

Express Scripts Inc 1,459,096 UnitedHealth Group Inc (1,519,574)

Ingersoll-Rand Plc 1,447,895 Wells Fargo & Co (1,489,329)

Dell Inc 1,424,046 Hewlett Packard Co (1,472,018)

Prudential Financial Inc 1,314,687 Gap Inc (1,444,825)

Mosaic Co 1,301,652 Hess Corp (1,389,012)

FirstEnergy Corp 1,239,386 Patterson UTI Energy Inc (1,370,805)

Tyco International Ltd 1,193,194 Medtronic Inc (1,287,192)

Goldman Sachs Group Inc 1,151,808 ConocoPhillips (1,169,226)

Murphy Oil Corp 1,129,784 Bank Of New York Inc (1,115,886)

Spirit Aerosystems Holdings Inc 1,128,978 Verizon Communications Inc (1,109,720)

General Electric Co 1,098,269 Halliburton Co (1,092,970)

Texas Instruments Inc 992,330 Macys Inc (1,089,784)

Illinois Tool Works Inc 969,155 Cisco Systems Inc (1,062,580)

Emerson Electric Co 939,948 General Mills Inc (1,056,451)

Marathon Petroleum Corp 910,634 Devon Energy Corp (1,053,418)



Manager’s Report

120 The World Equity Fund

Money Managers Arrowstreet Capital, L.P.

Axiom International Investors, LLC


Marisco Capital Management, LLC

MFS Investment Management

Tradewinds NWQ Global Investors, LLC

Investment Objective The World Equity Fund (the “Fund”) will seek to achieve capital appreciation by investing principally in equity securities,

including common stock, convertibles and warrants, listed, traded or dealt in on the regulated markets within the MSCI World

Index. The Fund may also invest in new issues for which application for listing on a regulated market included in the MSCI

World Index will be sought in accordance with Section 2.2 of Schedule VI of the Company‟s prospectus entitled “Investment

Restrictions”. The Fund may also hold not more than 20 per cent of its net assets in equity securities traded on regulated markets

within the MSCI EMF (Emerging Markets Free) Index. It may also hold such securities of companies that are not incorporated,

listed or traded on regulated markets that form part of the MSCI World or MSCI EMF (Emerging Markets Free) Indices but

which receive the majority of their total revenue from countries that form part of the MSCI World or MSCI EMF (Emerging

Markets Free) Indices. The Fund will not be concentrating on any specific markets or industry sectors but will pursue a policy of

active stock, sector and country allocation on the regulated markets in which it invests.

Fund Performance During the six months ended 30 September 2011, the Fund returned -17.0 per cent on a gross-of-fee basis (-17.4 per cent on a


Market Comment Global equities finished a tumultuous second quarter of 2011 in positive territory, with the Russell Global Developed Large Cap

Net Index returning 0.5 per cent in USD terms. The European debt crisis intensified during the period and coalesced around

Greece which was anticipated to need an emergency bridge loan to avoid a credit default. The quarter ended on a positive note

however, with the debt-laden country finally passing the necessary austerity measures to secure international financial aid.

Elsewhere, inflationary concerns persisted among emerging economies, resulting in central banks having to take further monetary

tightening measures which dampened investors‟ optimism. At the country level, Germany and France were strong performers

despite eurozone‟s crisis as investors showed confidence that the situation in Greece would resolve. Other benefactors of the

potential avoidance of default by Greece were fellow nations Ireland and Spain. In contrast, Japan continued to retreat amid the

lingering effects of the March earthquake. From a sector perspective, health care stocks outperformed, mainly due to European

pharmaceuticals. Consumer-related sectors also gained, led once again by European companies such as luxury goods makers

which benefitted from the increase in disposable income in emerging nations‟ upper classes. In contrast, the energy sector was the

main laggard as commodity oil prices fell from previous highs.

Global equity markets endured a highly volatile third quarter as the escalating Eurozone crisis continued to weigh on investors‟

confidence. The Russell Developed Large Cap Net Index gave up 17.1 per cent in U.S. Dollar terms over the third quarter of

2011, with European markets bearing the brunt of the decline. Greece fell 44.1 per cent as markets judged the prospect of default

as a growing possibility while larger European countries such as Germany (-30.9 per cent) and France (-29.6 per cent) were also

hit. An 8 per cent decline in the euro versus the U.S. Dollar exacerbated the underperformance. U.S. equities proved more

defensive, declining only 15.4 per cent despite a stream of bad news. Standard & Poor‟s downgraded the country‟s debt and

renewed deterioration in economic activity undermined investor confidence. As the quarter progressed, concerns over the health

of the global economic recovery became more apparent, destabilising the more economically-sensitive emerging markets. By

contrast, Japan proved a relative safe haven, partially supported by a 5 per cent rise in the Japanese Yen. Defensive sectors such

as consumer staples and healthcare outperformed, while financials lagged the most, led by European banks. Commodity-based

sectors such as materials and energy were also big underperformers amid growing fears about global growth. From a style

perspective, a flight to quality led large caps to beat small caps while growth outperformed value.


The Fund finished broadly in line with the benchmark during the six month period, returning -0.3 per cent.

Tradewinds NWQ Global Investors, LLC outperformed over the period, primarily attributable to its large position in gold mining,

with Newmont Mining and Barrick Gold being sizeable alpha drivers. The Money Manager‟s early interest in gold paid off as the

precious metal hit a series of all-time nominal highs due to investors‟ favour for stable assets. Elsewhere, the Money Manager‟s

contrarian long-term overweight to Japan, which was maintained despite the tsunami disaster, went rewarded. East Japan Railway

rallied after announcing a positive dividend outlook for the year and revenue forecast for 2012.

Axiom International Investors, LLC underperformed over the period as the managers aggressive growth style and momentum

bias hampered returns as the debt crisis in Greece and anaemic GDP growth figures in the U.S. weighed on investors‟ risk




The World Equity Fund 121

appetite. Stock selection in the U.S. led losses by a wide margin, due notably to its exposures to IT names. Verifone was the

worst performer after the U.S. government filed a lawsuit to keep the credit card swipe machine maker from buying smaller rival

Hypercom. Search engine specialist Google also detracted significantly as investors expect the recently announced 54 per cent

spending surge to severely impact margins.










Past performance is no indication of current or future performance

* Benchmark Source: Russell Developed Large Cap Net Index


November 2011



Balance Sheet




30 September 2011

(Unaudited)

USD

31 March 2011

(Audited)

USD

30 September 2010

(Unaudited)

USD

Assets

Financial assets at fair value through profit or loss (Note 1) ............................................ 2,871,756,968 3,328,946,677 2,697,208,589

Cash at bank (Note 5) ....................................................................................................... 34,139,771 15,882,857 11,838,711


positions (Note 5) .............................................................................................................. 5,279,570 13,888,845 8,012,290


value (Note 4) ................................................................................................................... 654,410 326,618 1,547,863


lending transactions (Note 4) ............................................................................................ 230,502,046 198,061,292 143,690,871

Debtors:

Receivable for investments sold .................................................................................................................................................. 12,157,738 18,582,127 24,308,540

Receivable on fund shares issued ................................................................................................................................................ 15,847,985 55,684,618 67,479

Dividends receivable ................................................................................................................................................................... 5,378,674 5,421,893 4,743,412

3,175,717,162 3,636,794,927 2,891,417,755

Liabilities

Financial liabilities at fair value through profit or loss (Note 1) ....................................... (47,584,848) (20,901,602) (30,142,509)



positions (Note 5) ........................................................................................................................................................................ - - (1,203,867)


(Note 4) ........................................................................................................................................................................................ (230,502,046) (198,061,292) (143,690,871)


counterparties for securities lending transactions (Note 4) .......................................................................................................... - - (1,507,387)

Payable for investments purchased .............................................................................................................................................. (10,897,172) (18,370,233) (30,319,951)

Payable on fund shares redeemed ................................................................................................................................................ (93,477) (417,512) (843,984)

Management fees payable ........................................................................................................................................................... (2,305,225) (2,675,289) (2,058,915)

Custodian and Trustee fees payable ............................................................................................................................................. (21,106) (28,768) (23,720)

Sub-custodian fees payable ......................................................................................................................................................... (106,522) (89,170) (101,647)

Administration fees payable ........................................................................................................................................................ (53,752) (60,260) (47,329)

Audit fees payable ....................................................................................................................................................................... (35,027) (32,120) (28,772)

Miscellaneous fees payable ......................................................................................................................................................... (117,495) (95,783) (103,392)

(291,716,670) (240,732,029) (210,072,344)


shareholders (at bid market prices) ................................................... 2,884,000,492 3,396,062,898 2,681,345,411


prices .............................................................................................................................................................................................. 3,261,506 1,992,971 1,944,815


shareholders (at last traded market prices) ................................................................................................................................ 2,887,261,998 3,398,055,869 2,683,290,226







Six months ended

30 September 2011

(Unaudited)

USD

Year ended

31 March 2011

(Audited)

USD

Six months ended

30 September 2010

(Unaudited)

USD

Income

Dividends ..................................................................................................................................................................................... 42,291,292 55,648,413 32,345,003

Bond interest ................................................................................................................................................................................ 95,341 190,768 163,638

Bank and short term investment interest ...................................................................................................................................... 737 7,810 2,420

Securities lending income (Note 4) ............................................................................................................................................. 1,505,719 2,159,475 1,727,249

Miscellaneous income ................................................................................................................................................................. 58,498 84,170 38,773

43,951,587 58,090,636 34,277,083

Net gain (loss) on investment activities ............................................................................ (642,646,253) 402,381,972 (11,423,213)

Total investment income (expense) ............................................................................... (598,694,666) 460,472,608 22,853,870

Expenses

Management fees (Note 3) .......................................................................................................................................................... (15,934,835) (27,680,382) (12,700,634)

Custodian and Trustee fees (Note 3) ........................................................................................................................................... (243,997) (465,218) (227,263)

Sub-custodian fees (Note 3) ........................................................................................................................................................ (385,622) (631,432) (316,305)

Administration transfer agency fees (Note 3) .............................................................................................................................. (658,727) (1,197,074) (577,996)

Audit fees .................................................................................................................................................................................... (35,027) (32,120) (28,772)

Professional fees .......................................................................................................................................................................... (150,074) (242,639) (115,119)

Miscellaneous fees ....................................................................................................................................................................... (356,069) (631,312) (325,333)



Finance costs

Distributions (Note 15) ................................................................................................................................................................ (19,147,221) (19,159,123) (16,039,568)

Interest expense ........................................................................................................................................................................... (40,424) (18,416) (10,663)


taxation ........................................................................................................................... (635,646,662) 410,414,892 (7,487,783)

Taxation (Note 7)

Capital gains tax .......................................................................................................................................................................... - (273,577) (273,577)

Withholding tax ........................................................................................................................................................................... (6,527,264) (9,217,951) (5,019,969)


taxation ........................................................................................................................... (642,173,926) 400,923,364 (12,781,329)


traded market prices ...................................................................................................... 1,268,535 (1,083,630) (1,131,786)



operations ....................................................................................................................... (640,905,391) 399,839,734 (13,913,115)


Account.







Six months ended

30 September 2011

(Unaudited)

USD

Year ended

31 March 2011

(Audited)

USD

Six months ended

30 September 2010

(Unaudited)

USD



operations ....................................................................................................................... (640,905,391) 399,839,734 (13,913,115)

Share transactions

Net increase (decrease) in net assets resulting from

redeemable participating share transactions (Note 6) ................................................................................................................... 111,495,299 1,092,969 (296,889,429)


(Note 15) ...................................................................................................................................................................................... 18,616,221 18,567,964 15,537,568


redeemable participating shareholders ........................................................................ (510,793,871) 419,500,667 (295,264,976)


shareholders

Beginning of period/year/period .................................................................................................................................................. 3,398,055,869 2,978,555,202 2,978,555,202

End of period/year/period ............................................................................................................................................................. 2,887,261,998 3,398,055,869 2,683,290,226




30 September 2011



Number

of Shares

Fair Value

USD

Fund

%



Netherlands (0.17%)

JP Morgan Structured

Products

USD 2,862 Zero Coupon due 07/05/14 788,095 0.03

1,460,000 Zero Coupon due 15/09/14 4,020,329 0.14

4,808,424 0.17


and Notes ............................ 4,808,424 0.17


Argentina (0.27%)


143,036 MercadoLibre Inc ................ 7,678,172 0.27

Australia (0.94%)


693,000 Downer EDI Ltd .................. 1,933,022 0.07


2,810,804 Telstra Corp Ltd .................. 8,468,647 0.29


81,576 Wesfarmers Ltd ................... 2,503,781 0.09

Metals and Mining

337,910 Newcrest Mining Ltd .......... 11,189,094 0.39

49,172 Rio Tinto Ltd ....................... 2,952,962 0.10

2,124 St Barbara Ltd ..................... 4,232 0.00

27,051,738 0.94

Austria (0.19%)

Banks

211,603 Erste Bank Der Ost .............. 5,466,644 0.19

Belgium (0.08%)

Beverages

40,612

Anheuser-Busch InBev

NV ....................................... 2,165,670 0.08

Bermuda (0.33%)

Insurance

69,200

Axis Capital Holdings

Ltd ....................................... 1,795,048 0.06

122,886

Endurance Specialty

Holdings Ltd ....................... 4,196,557 0.15

Speciality Retail

108,534 Signet Jewelers Ltd ............. 3,669,534 0.12

9,661,139 0.33

Brazil (1.13%)

Agriculture

395,400

BrasilAgro - Companhia

Brasileira de Propriedades

Agricolas ............................. 1,949,042 0.07

Number

of Shares

Fair Value

USD

Fund

%

Banks

139,900 Banco Bradesco SA ............ 2,066,323 0.07

547,020

Banco Santander Brasil

ADR .................................... 3,998,716 0.14

Beverages

210,076

Cia de Bebidas das

Americas ............................. 6,436,729 0.22

Biotechnology

113,535

Profarma Distribuidora de

Produtos Farmaceuticos ...... 588,394 0.02


56,096 Brasil Telecom ADR .......... 978,314 0.03

Electric Utilities

559,400

Centrais Eletricas Brasileiras

SA ....................................... 6,517,010 0.23

Oil and Gas

135,200 Petroleo Brasileiro SA ........ 3,033,888 0.10

Real Estate

691,400 BR Malls Participacoes ....... 7,147,726 0.25

32,716,142 1.13

Canada (2.54%)

Airlines

148,630 Westjet Airlines .................. 1,839,957 0.06

Chemicals

62,340

Potash Corp of

Saskatchewan ...................... 2,693,088 0.09


211,300 Talisman Energy ................. 2,603,610 0.09

Metals and Mining

398,850 Barrick Gold Corp .............. 18,610,341 0.63

705,000 Cameco Corp ...................... 12,929,700 0.45

2,813,583 Eastern Platinum Ltd .......... 1,890,032 0.07

434,151 Gabriel Resources ............... 2,395,632 0.08

724,431 Uranium Participation ......... 3,927,868 0.14

Multi-Line Retail

104,150 Lululemon Athletica ........... 5,062,732 0.18

Oil and Gas

993,000 Bankers Petroleum .............. 3,316,194 0.12

99,400 Nexen Inc ............................ 1,540,700 0.05

40,550 Niko Resources Ltd ............ 1,675,234 0.06


226,200

Canadian National Railway

Co ....................................... 15,044,562 0.52

73,529,650 2.54


Banks

198,000 Guoco Group Ltd ................ 1,821,099 0.06

Biotechnology

121,447 Herbalife ............................. 6,511,988 0.23


169,300 Tencent Holdings Ltd ......... 3,562,265 0.12




30 September 2011



Number

of Shares

Fair Value

USD

Fund

%

Pharmaceuticals

1,202,000

United Laboratories

International Holdings

Ltd ....................................... 921,794 0.03

12,817,146 0.44

China (0.55%)

Banks

5,232,300

Industrial & Commercial

Bank .................................... 2,567,505 0.09


90,158 Baidu.com ADR .................. 9,618,056 0.33

36,419 Sohu.com Inc ....................... 1,748,840 0.06

76,376

Youku.com Inc

ADR .................................... 1,247,984 0.05

Textile and Apparel

8,784,000

China Hongxing Sports

Ltd ....................................... 581,398 0.02

15,763,783 0.55

Colombia (0.13%)

Oil and Gas

91,800 Ecopetrol ADR .................... 3,694,950 0.13


Banks

24,292 Komercni Banka A/S .......... 4,491,620 0.16

Denmark (0.72%)

Beverages

70,389 Carlsberg A/S ...................... 4,198,388 0.15

Biotechnology

39,229 Novo Nordisk A/S ............... 3,929,195 0.14

Chemicals

87,933 Novozymes A/S .................. 12,541,246 0.43

20,668,829 0.72

Egypt (0.24%)


888,800 Telecom Egypt .................... 2,182,795 0.08


667,000

Egyptian Financial Group –

Hermes Holding .................. 1,856,117 0.06

Textile and Apparel

582,825 Oriental Weavers ................. 2,933,055 0.10

6,971,967 0.24

Finland (0.23%)


1,115,063 Nokia OYJ ADR ................. 6,311,257 0.22

67,978 Nokia OYJ ........................... 387,261 0.01

6,698,518 0.23

France (5.66%)


255,800 Thales SA ............................ 8,082,523 0.28

Number

of Shares

Fair Value

USD

Fund

%

Auto Components

50,606 Faurecia .............................. 1,099,609 0.04

Banks

46,417 BNP Paribas ........................ 1,871,134 0.06

22,215 Societe Generale SA ........... 594,925 0.02

Beverages

125,872 Pernod-Ricard SA ............... 9,935,357 0.34

Chemicals

75,911 Air Liquide SA ................... 8,951,579 0.31


88,808 Cie de Saint-Gobain ............ 3,439,372 0.12

Electric Utilities

492,000 Electricite de France ........... 14,397,140 0.50

66,892 GDF Suez ........................... 2,013,968 0.07


337,894 Legrand SA ......................... 10,649,249 0.37

235,592 Schneider Electric SA ......... 12,804,961 0.44


108,608 Areva .................................. 3,417,848 0.12

Food Products

253,637 Danone ................................ 15,686,350 0.54


94,297 Accor SA ............................ 2,548,079 0.09

Insurance

926,784 AXA SA ............................. 12,310,316 0.43

Media

152,760 Publicis Groupe SA ............ 6,433,635 0.22

67,225 Vivendi Universal ............... 1,382,702 0.05

Oil and Gas

276,219 Total SA .............................. 12,311,434 0.43

8,317 Total SA ADR .................... 364,950 0.01

Personal Products

18,058 L‟Oreal SA ......................... 1,777,882 0.06

Pharmaceuticals

159,406 Sanofi-Aventis .................... 10,554,734 0.37

Software

92,423 Dassault Systemes SA ........ 6,599,490 0.23

Textile and Apparel

108,558

LVMH Moet Hennessy

Louis Vuitton SA ................ 14,514,250 0.50

Water Utilities

121,457 Suez Environnement Co ..... 1,702,920 0.06

163,444,407 5.66

Germany (4.13%)

Automobiles

218,300

Bayerische Motoren Werke

AG ...................................... 14,548,002 0.51

168,965 Daimler AG ........................ 7,536,654 0.26

Chemicals

29,343 BASF SE ............................ 1,803,320 0.06

302,129 Bayer AG ............................ 16,688,940 0.58




30 September 2011



Number

of Shares

Fair Value

USD

Fund

%

203,378 Linde AG ............................. 27,423,666 0.95


115,162 Deutsche Boerse AG ........... 5,797,323 0.20

Electric Utilities

280,403 E.ON AG ............................. 6,098,474 0.21

80,011 RWE AG ............................. 2,967,712 0.10


20,907

Fresenius SE & Co

KgaA ................................... 1,865,106 0.07

Insurance

79,852 Allianz SE ........................... 7,537,119 0.26

37,000

Muenchener

Rueckversicherungs

AG ....................................... 4,620,762 0.16

Personal Products

64,397 Beiersdorf AG ..................... 3,450,875 0.12

Pharmaceuticals

120,435 Merck KGAA ...................... 9,898,860 0.34

Software

122,598 SAP AG ............................... 6,259,658 0.22

85,215 Software AG ....................... 2,705,118 0.09

119,201,589 4.13

Greece (0.04%)


128,130 OPAP SA ............................ 1,275,587 0.04

Hong Kong (0.54%)


227,500 China Mobile Ltd ................ 2,251,694 0.08

84,017

China Mobile Ltd

ADR .................................... 4,090,788 0.14

33,334

China Unicom Hong Kong

Ltd ADR .............................. 680,014 0.02


436,000

Hutchison Whampoa

Ltd ....................................... 3,273,605 0.11

Insurance

873,400 AIA Group Ltd .................... 2,507,530 0.09

Lodging

155,700

Melco Crown

Entertainment 1,293,867 0.04

Real Estate

136,000

Sun Hung Kai Properties

Ltd ....................................... 1,580,166 0.06

15,677,664 0.54

Hungary (0.05%)

Pharmaceuticals

22,500

Egis Gyogyszergyar

Nyrt ..................................... 1,517,644 0.05

India (0.28%)

Banks

212,360 ICICI Bank Ltd ADR .......... 7,368,892 0.25

Number

of Shares

Fair Value

USD

Fund

%


36,170 MakeMyTrip Ltd ................ 800,804 0.03

8,169,696 0.28

Indonesia (0.27%)


215,450

Telekomunikasi Indonesia

(Persero) ............................. 7,118,468 0.24

Oil and Gas

3,031,000

Medco Energi

International ........................ 732,750 0.03

7,851,218 0.27

Ireland (0.60%)


326,610 Accenture Plc ...................... 17,212,347 0.60

Israel (0.06%)

Software

32,000

Check Point Software

Technologies Ltd ................ 1,688,320 0.06

Italy (1.06%)

Automobiles

143,463 Fiat SpA .............................. 787,261 0.03

Banks

2,454,084 Intesa Sanpaolo SpA ........... 3,901,784 0.13

3,113,127 UniCredito SpA .................. 3,343,595 0.12

Beverages

86,500

Davide Campari-Milano

SpA ..................................... 626,708 0.02


2,175,376 Telecom Italia SpA ............. 2,375,824 0.08

33,279

Telecom Italia SpA

ADR .................................... 359,746 0.01

762,216

Telecom Italia SpA (Non-

Voting) ................................ 736,319 0.03

Insurance

56,916

Assicurazioni Generali

SpA ..................................... 894,988 0.03

Oil and Gas

808,675 ERG SpA ............................ 8,983,795 0.31

Textile and Apparel

1,860,900 Prada SpA ........................... 7,840,653 0.27

9,571 Tod‟s SpA ........................... 815,430 0.03

30,666,103 1.06

Japan (8.90%)

Agriculture

1,076 Japan Tobacco Inc .............. 5,074,286 0.18

Auto Components

107,800 Aisin Seiki Co ..................... 3,641,816 0.13

81,200 Bridgestone Corp ................ 1,863,555 0.06

55,500 Denso Corp ......................... 1,802,958 0.06

41,600 JTEKT Corp ....................... 505,158 0.02




30 September 2011



Number

of Shares

Fair Value

USD

Fund

%

35,700

Sumitomo Electric

Industries Ltd ...................... 423,787 0.02

Automobiles

220,000

Fuji Heavy Industries

Ltd ....................................... 1,301,505 0.05

522,000 Isuzu Motors Ltd ................. 2,275,454 0.08

460,100 Nissan Motor Co Ltd ........... 4,130,633 0.14

257,500 Toyota Motor Corp .............. 8,946,355 0.31

Banks

229,000 77th Bank Ltd ..................... 1,042,800 0.04

1,950,000

Sumimoto Mitsui Trust

Holdings Inc ........................ 6,526,985 0.22

Beverages

109,800

Asahi Group Holdings

Ltd ....................................... 2,346,142 0.08

Chemicals

124,000

Chugoku Marine Paints

Ltd ....................................... 904,100 0.03

436,000

Mitsubishi Chemical

Holdings Corp ..................... 2,980,955 0.10

242,600

Shin-Etsu Chemical Co

Ltd ....................................... 12,007,252 0.42


3,000 TKC ..................................... 63,129 0.00

516,000 Toppan Printing Co Ltd ....... 3,802,387 0.13


97,500

Japan Digital Laboratory Co

Ltd ....................................... 1,130,838 0.04


194,300

Aeon Credit Service Co

Ltd ....................................... 3,014,826 0.11

5,129,000

Daiwa Securities Group

Inc ....................................... 19,296,964 0.67

295,000

Mitsui Sumitomo Insurance

Group Holdings ................... 6,475,610 0.22


445,000

Nippon Telegraph &

Telephone Corp ................... 21,505,254 0.74


26,400 Fanuc Ltd ............................ 3,705,864 0.13

190,300 Futaba Corp ......................... 3,927,962 0.13

66,000 Mitsubishi Electric Corp ..... 594,240 0.02


400,700 Hoya Corp ........................... 9,352,092 0.32

216,800

Sanshin Electronics Co

Ltd ....................................... 1,884,484 0.07

Environmental Control

86,500

Kurita Water Industries

Ltd ....................................... 2,446,419 0.09


1,206 CyberAgent Inc ................... 3,262,208 0.11

259,900 Softbank Corp ..................... 7,728,215 0.27


56,000 Sankyo Co ........................... 3,055,008 0.11

Machinery

963,000 Japan Steel Works Ltd ......... 5,846,964 0.20

Number

of Shares

Fair Value

USD

Fund

%

164,000 Organo Corp ....................... 1,272,341 0.04

Media

148,800 Dentsu Inc ........................... 4,772,101 0.17

610

Fuji Media Holdings

Inc ....................................... 884,769 0.03

2,184 TV Asahi Corp .................... 3,561,609 0.12


22,200 Nikon Corp ......................... 529,943 0.02

Multi-Line Retail

71,000 Lawson Inc ......................... 4,025,298 0.14

243,200

Seven & I Holdings Co

Ltd ...................................... 6,903,498 0.24

Office Electronics

417,000 Canon Inc ............................ 19,178,321 0.66

Oil and Gas

1,340 Inpex Corp .......................... 8,379,346 0.29

185,700 JX Holdings Inc .................. 1,052,814 0.04

Personal Products

159,100 Kao Corp ............................. 4,460,497 0.15

Road and Rail

236,700 East Japan Railway Co ....... 14,432,927 0.50

102,600

West Japan Railway Co

Ltd ...................................... 4,419,201 0.15


182,300 Rohm Co Ltd ...................... 9,566,729 0.33

Speciality Retail

55,500

Sega Sammy Holdings

Inc ....................................... 1,306,857 0.05

Trading Companies and Distributors

275,600 Mitsui & Co Ltd .................. 4,040,322 0.14

Transportation Services

583,000 Kamigumi Co Ltd ............... 5,233,991 0.18


578 KDDI Corp ......................... 4,011,806 0.14

3,289 NTT DoCoMo Inc .............. 6,042,065 0.21

256,940,640 8.90


Media

1,102,898 WPP Plc .............................. 10,317,156 0.36


Automobiles

27,257 Hyundai Motor Co .............. 4,870,420 0.17

125,149 Kia Motors .......................... 7,638,227 0.26


244,400 KT Corp .............................. 3,607,344 0.13

Electric Utilities

668,800

Korea Electric Power

Corp .................................... 5,684,800 0.20

Machinery

9,118

Hyundai Heavy

Industries ............................ 2,174,914 0.08




30 September 2011



Number

of Shares

Fair Value

USD

Fund

%


20,404

Samsung Electronics

Ltd ....................................... 14,531,604 0.50


415,100 SK Telecom Co Ltd ............. 5,836,306 0.20

44,343,615 1.54

Lebanon (0.06%)

Construction

124,516 Solidere ............................... 1,867,740 0.06

Luxembourg (0.01%)

Other Industrials

19,690 Tenaris ................................. 247,802 0.01

Macau (0.48%)

Lodging

5,807,721 Wynn Macau Ltd ................. 13,935,994 0.48

Mexico (0.11%)

Media

177,900

Grupo Television SA de

CV ....................................... 3,269,802 0.11

Netherlands (2.55%)


224,602

European Aeronautic

Defence and Space Co

NV ....................................... 6,390,096 0.22

Beverages

485,331 Heineken NV ....................... 21,840,198 0.76

Chemicals

278,957 Akzo Nobel NV ................... 12,472,769 0.43

124,588

Lyondell Basell Industries

NV ....................................... 3,044,931 0.11


59,394 VistaPrint NV ...................... 1,605,420 0.06


403,661

Sensata Technologies

Holding ............................... 10,680,870 0.37

Food Products

160,422 Unilever NV ........................ 5,112,984 0.18

Machinery

47,439 CNH Global NV .................. 1,245,748 0.04


89,266 ASML Holding NV ............. 3,123,555 0.11

117,597

ASML Holding NV

ADR .................................... 4,060,625 0.14

74,338

NXP Semiconductor

NV ....................................... 1,048,909 0.03


428,138 TNT NV .............................. 2,995,667 0.10

73,621,772 2.55

Number

of Shares

Fair Value

USD

Fund

%

Norway (0.48%)


239,316 Telenor ASA ....................... 3,711,416 0.13

Food Products

7,222,000

Marine Harvest

ASA .................................... 3,161,393 0.11

Oil and Gas

260,700 Statoil ASA ......................... 5,620,692 0.19

181,257

Statoil Fuel & Retail

ASA .................................... 1,342,679 0.05

13,836,180 0.48

Peru (0.06%)

Banks

18,510 Credicorp Ltd ...................... 1,702,735 0.06

Portugal (0.01%)


46,080

Portugal Telecom SGPS SA

ADR .................................... 333,619 0.01

Puerto Rico (0.03%)

Banks

545,865 Popular Inc .......................... 818,798 0.03

Russia (0.70%)

Electric Utilities

2,688,000

Federal Hydrogenerating

Co JSC ................................ 9,139,200 0.32

52,823,000 WGC-3 OJSC ..................... 1,383,065 0.05

Oil and Gas

325,795 Gazprom OAO ADR .......... 3,072,247 0.11

669,630

Gazprom OAO ADR (UK

Listing) ............................... 6,475,322 0.22

20,069,834 0.70

Singapore (0.07%)

Banks

221,800

DBS Group Holdings

Ltd ...................................... 2,013,578 0.07

Slovenia (0.07%)

Pharmaceuticals

29,400 Krka dd Novo mesto ........... 2,011,745 0.07

South Africa (0.61%)

Metals and Mining

141,300

AngloGold Ashanti

Ltd ...................................... 5,842,755 0.20

377,250 Gold Fields ......................... 5,818,935 0.20

38,223

Harmony Gold Mining Co

Ltd ADR ............................. 447,591 0.02

94,750

Impala Platinum Holdings

Ltd ...................................... 1,920,081 0.07




30 September 2011



Number

of Shares

Fair Value

USD

Fund

%

4,905,215

Village Main Reef

Ltd ....................................... 976,272 0.03

Oil and Gas

67,023 Sasol – Sp. ADR ................. 2,718,453 0.09

17,724,087 0.61

Spain (1.42%)

Banks

792,000 Banco Santander SA ............ 6,609,537 0.23

Electric Utilities

157,577 Endesa SA ........................... 3,685,069 0.13


267,199

Industria de Diseno Textil

SA ....................................... 23,048,026 0.80

65,065 Red Electrica de Espana ...... 2,984,709 0.10

Oil and Gas

175,014 Repsol SA ........................... 4,676,367 0.16

41,003,708 1.42

Sweden (0.92%)

Agriculture

157,888 Swedish Match .................... 5,239,025 0.18


100,533 Sandvik AB ......................... 1,170,265 0.04

Multi-Line Retail

158,650 Hennes & Mauritz AB ......... 4,772,297 0.17


204,712 Lundin Petroleum AB ......... 3,505,159 0.12


831,061 Svenska Cellulosa AB ......... 10,206,458 0.35

Telecommunications

161,907

Telefonaktiebolaget LM

Ericsson ............................... 1,567,633 0.06

26,460,837 0.92

Switzerland (6.36%)

Banks

882,187

Julius Baer Group

Ltd ....................................... 29,817,396 1.03

Biotechnology

24,190 Novartis AG ........................ 1,351,583 0.05

52,128 Roche Holdings AG ............ 8,436,437 0.29

Chemicals

10,086 Givaudan SA ....................... 7,884,025 0.27


247,283 Adecco SA .......................... 9,833,603 0.34


436,302

Credit Suisse Group

AG ....................................... 11,523,599 0.40

686,677 UBS AG .............................. 7,960,705 0.28


113,000

Weatherford International

OFS Ltd ............................... 1,378,600 0.05

Food Products

802,792 Nestle SA ............................ 44,280,391 1.53

Number

of Shares

Fair Value

USD

Fund

%


11,234 Synthes Inc ......................... 1,818,120 0.06

Insurance

87,130

Allied World Assurance Co

Holdings AG ....................... 4,681,495 0.16

123,844 Swiss Reinsurance .............. 5,797,475 0.20

Medical Equipment

50,439 Phonak Holding .................. 4,559,113 0.16

Multi-Line Retail

610,146

Cie Financiere Richemont

SA ....................................... 27,420,632 0.95

Pharmaceuticals

109,725 Actelion Ltd ........................ 3,642,198 0.13


116,682

Kuehne & Nagel

International AG ................. 13,141,659 0.46

183,527,031 6.36

Thailand (0.04%)

Banks

234,100 Bangkok Bank .................... 1,091,990 0.04

Turkey (0.31%)


790,000 Turkcell Iletisim Hizmet ..... 8,903,300 0.31



912,842 BAE Systems ...................... 3,801,073 0.13

Banks


362,400 HSBC Holdings .................. 2,825,740 0.10

890,647 Standard Chartered Plc ....... 17,849,541 0.62

Beverages

1,503,832 Diageo Plc ........................... 28,849,972 1.00

Biotechnology

235,424 AstraZeneca ........................ 10,514,535 0.36


1,965,384 BT Group Plc ...................... 5,312,006 0.19

135,460 Vodafone Group Plc ........... 350,714 0.01

319,544

Vodafone Group Plc

ADR .................................... 8,196,304 0.28


1,028,806 Man Group Plc .................... 2,698,903 0.09

Food Products

1,075,590 Tesco Plc ............................. 6,331,918 0.22


1,624,109 Compass Group .................. 13,168,841 0.46

937,311 Ladbrokes Plc ..................... 1,739,030 0.06

1,565,569 William Hill Plc .................. 5,516,663 0.19

Household Products

469,254

Reckitt Benckiser Group

Plc ....................................... 23,896,514 0.83




30 September 2011



Number

of Shares

Fair Value

USD

Fund

%

Media

270,830


Group Plc ............................ 2,801,409 0.10

192,334 Pearson Plc .......................... 3,409,651 0.12

Metals and Mining

1,876,830

Polyus Gold International

Ltd ....................................... 5,818,173 0.20


191,451 Smiths Group ...................... 2,979,441 0.10

Multi-Line Retail

801,417 Home Retail Group ............. 1,403,255 0.05

740,273 Kingfisher ............................ 2,859,929 0.10

Oil and Gas

175,104 Royal Dutch Shell Plc ......... 5,444,667 0.19

Pharmaceuticals

701,693 GlaxoSmithKline Plc ........... 14,565,521 0.49

Real Estate

131,681 Berkeley Group Holdings .... 2,439,027 0.08


111,647 Arm Holdings plc ................ 2,846,998 0.10

Textile and Apparel

294,773 Burberry Group Plc ............. 5,386,385 0.19


303,275 Stolt-Nielsen Ltd ................. 5,630,553 0.20

188,721,211 6.53


Advertising

292,190 Omnicom Group .................. 10,767,202 0.37


88,300 Boeing Co ........................... 5,340,384 0.19

88,500 Lockheed Martin Corp ........ 6,426,870 0.22

151,240

United Technologies

Corp ..................................... 10,632,172 0.37

Agriculture

70,719 Lorillard Inc ........................ 7,836,372 0.27

195,456

Philip Morris International

Inc ....................................... 12,184,727 0.42

86,321 Reynolds American Inc ....... 3,237,038 0.12

Auto Components

67,627 Lear Corp ............................ 2,901,198 0.10

54,479 New Visteon Corp ............... 2,343,687 0.08

Automobiles

98,259 Tesla Motors Inc ................. 2,398,502 0.08

Banks

66,018 Associated Banc Corp ......... 613,967 0.02

638,046 Bank of New York Inc ........ 11,861,275 0.41

740,388 BB&T Corp ......................... 15,777,668 0.55

311,415


Corp ..................................... 12,341,376 0.43

94,800 Comerica Inc ....................... 2,177,556 0.07

128,832 East West Bancorp Inc ........ 1,919,597 0.07

376,388 Fifth Third Bancorp ............. 3,801,519 0.13

Number

of Shares

Fair Value

USD

Fund

%

389,254

First Horizon National

Corp .................................... 2,319,954 0.08

1,221,849 Keycorp .............................. 7,245,565 0.25

393,154


Group Inc ............................ 18,946,091 0.66

1,198,113

Regions Financials

Corp .................................... 3,989,716 0.14

436,400 State Street Corp ................. 14,034,624 0.49

242,256 SunTrust Banks Inc ............. 4,341,228 0.15

304,100 Wells Fargo & Co ............... 7,334,892 0.25

229,640 Zions Bancorporation ......... 3,231,035 0.11

Beverages

87,800 Coca-Cola Co ..................... 5,935,280 0.20

49,986 Constellation Brands Inc ..... 898,249 0.03

186,020 Dr Pepper Snapple Group ... 7,217,576 0.25

59,860 PepsiCo Inc ......................... 3,703,538 0.13

Biotechnology

29,101 Bio-Rad Laboratories Inc .... 2,638,005 0.09

428,500 Eli Lilly & Co ..................... 15,833,075 0.55

66,618 Forest Laboratories Inc ....... 2,050,502 0.07

27,040 McKesson Corp .................. 1,965,267 0.07

104,990

Mead Johnson Nutrition

Co ....................................... 7,231,711 0.25

45,113 Myriad Genetics Inc ............ 844,064 0.03

80,600 Pfizer Inc ............................. 1,425,008 0.05

118,256 United Therapeutics Corp ... 4,429,870 0.15

Chemicals

172,514 Kronos Worldwide Inc ........ 2,775,750 0.09

86,050 Praxair Inc ........................... 8,037,070 0.28


13,876 Apollo Group Inc ................ 549,628 0.02

38,884 Career Education Corp ........ 507,436 0.02

25,138

Education Management

Corp .................................... 371,037 0.01

79,327

ITT Educational Services

Inc ....................................... 4,565,269 0.16

16,150 MasterCard Inc ................... 5,119,550 0.18

123,700 Sothebys Holdings Inc ........ 3,409,172 0.12

227,410 Visa Inc ............................... 19,486,763 0.67


834,340 Cisco Systems Inc ............... 12,923,927 0.45

38,522 EchoStar Corp ..................... 869,056 0.03

76,000 Qualcomm Inc .................... 3,695,880 0.13

106,200

Verizon Communications

Inc ....................................... 3,908,160 0.13


88,034 Apple Inc ............................ 33,557,681 1.16

250,173

Brocade Communications

Systems Inc ......................... 1,080,747 0.04

70,600 Computer Sciences Corp .... 1,894,198 0.06

67,747

Lexmark International

Inc ....................................... 1,831,202 0.06

343,722 Western Digital Corp .......... 8,833,655 0.31




30 September 2011



Number

of Shares

Fair Value

USD

Fund

%


92,800 Shaw Group Inc ................... 2,019,328 0.07


197,910 American Express Co .......... 8,884,180 0.31

99,840 Citigroup Inc ....................... 2,556,902 0.09

223,937 E*Trade Financial Corp ...... 2,040,066 0.07

73,000 Franklin Resources Inc ........ 6,972,960 0.24

94,000

Goldman Sachs Group

Inc ....................................... 8,878,300 0.31

213,311 Jefferies Group Inc .............. 2,647,190 0.09

257,300 JP Morgan Chase & Co ....... 7,752,449 0.27

61,178

Principal Financial

Group .................................. 1,386,905 0.05

61,200 T Rowe Price Group Inc ...... 2,923,524 0.10

Electric Utilities

198,900 Calpine Corp ....................... 2,798,523 0.10

220,949 Exelon Corp ........................ 9,416,846 0.32

405,821 NV Energy Inc .................... 5,969,627 0.21


160,850 Amphenol Corp ................... 6,561,071 0.23

260,920


Inc ....................................... 13,215,598 0.46

219,113

Vishay Intertechnology

Inc ....................................... 1,833,976 0.06

130,650 Waters Corp ........................ 9,866,688 0.34


85,595 Amyris Inc ........................... 1,733,299 0.06

88,250 Solazyme Inc ....................... 847,200 0.03

Food Products

112,724 Hansen Natural Corp ........... 9,839,678 0.34

60,000 Hershey Co .......................... 3,552,600 0.12

115,417 JM Smucker Co ................... 8,417,362 0.29

76,300 Kellogg Co .......................... 4,057,634 0.14

130,612 Kroger Co ............................ 2,868,239 0.10

232,846 Safeway Inc ......................... 3,867,572 0.14


85,500 Baxter International Inc ....... 4,801,680 0.17

239,800 Dentsply International Inc ... 7,349,870 0.25

39,158 Intuitive Surgical Inc ........... 14,254,687 0.49

172,010 Johnson & Johnson .............. 10,955,317 0.38

414,510 Medtronic Inc ...................... 13,765,877 0.48

324,770 St Jude Medical Inc ............. 11,746,931 0.41

20,099 Techne Corp ........................ 1,364,923 0.05

41,000

Varian Medical Systems

Inc ....................................... 2,139,790 0.07


29,441 Aetna Inc ............................. 1,069,591 0.04

71,463 AmeriGroup Corp ............... 2,787,772 0.10

94,411

Coventry Health Care

Inc ....................................... 2,719,037 0.09

195,170 Lincare Holdings Inc ........... 4,391,325 0.15

112,330 United Health Group Inc ..... 5,175,043 0.18

95,542 WellPoint Inc ...................... 6,236,026 0.22

Number

of Shares

Fair Value

USD

Fund

%


12,603

Chipotle Mexican Grill

Inc ....................................... 3,821,860 0.13

105,477 McDonald‟s Corp ............... 9,261,935 0.32

46,700 Starbucks Corp .................... 1,740,976 0.06

174,456

Starwood Hotels & Resorts

Worldwide Inc .................... 6,774,127 0.24

Household Durables

117,590 Nike Inc .............................. 10,053,945 0.35

23,410 Polo Ralph Lauren Corp ..... 3,032,297 0.10

53,036

Tempur-Pedic International

Inc ....................................... 2,789,694 0.10

42,280 VF Corp .............................. 5,139,557 0.18

Insurance

516,750

American International

Group Inc ............................ 11,342,663 0.39

53,700 MetLife Inc ......................... 1,503,063 0.05

405,319

Old Rep International

Corp .................................... 3,615,445 0.13

90,951 Protective Life Corp ............ 1,423,383 0.05

66,352

Reinsurance Group of

America Inc ........................ 3,049,538 0.11


15,609 Priceline.com Inc ................ 7,013,280 0.24


46,828 Amazon.com Inc ................. 10,120,936 0.35

199,486 Bankrate Inc ........................ 3,040,167 0.10

12,026 Google Inc .......................... 6,185,934 0.21

71,324 HomeAway Inc ................... 2,397,913 0.08

5,139 NetFlix Inc .......................... 581,529 0.02

37,521 OpenTable Inc .................... 1,725,966 0.06


75,820 Harley Davidson Inc ........... 2,599,868 0.09

6,842 Polaris Industries Inc .......... 341,758 0.01

Lodging

3,982 Hyatt Hotels Corp ............... 124,716 0.00

Machinery

42,200 Caterpillar Inc ..................... 3,113,094 0.11

28,300 Gardner Denver Inc ............ 1,797,333 0.06

26,520 Joy Global Inc ..................... 1,651,931 0.06

33,770

Rockwell Automation

Inc ....................................... 1,891,120 0.06

49,300 Timken Co .......................... 1,617,040 0.06

Media

175,000 Comcast Corp ..................... 3,655,750 0.13

217,200

Comcast Corp

(Non-Voting) ...................... 4,493,868 0.16

327,998 DIRECTV ........................... 13,857,915 0.48

751,590 Walt Disney Co ................... 22,652,923 0.78

Metals and Mining

99,300


& Gold Inc .......................... 3,022,692 0.10

58,800 Molycorp ............................ 1,930,992 0.07

293,000 Newmont Mining Corp ....... 18,438,490 0.64




30 September 2011



Number

of Shares

Fair Value

USD

Fund

%

65,478

Precision Castparts

Corp ..................................... 10,173,317 0.35

136,917 Southern Copper Corp ......... 3,418,817 0.12

158,200 Titanium Metals Corp ......... 2,368,254 0.08


212,510 3M Co ................................. 15,239,092 0.53


350,880


Inc ....................................... 15,414,159 0.53

96,800

Illinois Tool Works

Inc ....................................... 4,026,880 0.14

Multi-Line Retail

564,000 Best Buy Co Inc .................. 13,135,560 0.46

30,097 Pricesmart Inc ...................... 1,875,043 0.07

124,586 Rue21 Inc ............................ 2,828,102 0.10

292,056

Sally Beauty Holdings

Inc ....................................... 4,833,527 0.17

238,010 Target Corp ......................... 11,667,250 0.40

7,606

Ulta Salon Cosmetics &

Fragrance Inc ....................... 473,245 0.02

198,550 Urban Outfitters Inc ............ 4,429,651 0.15

213,225 Wal-Mart Stores Inc ............ 11,062,113 0.38

512,563 Walgreen Co ....................... 16,847,946 0.58

243,746 Williams-Sonoma Inc .......... 7,502,502 0.26

Oil and Gas

176,507 Baker Hughes Inc ................ 8,138,738 0.28

54,420 Chevron Corp ...................... 5,036,027 0.17

76,700 Hess Corp ............................ 4,022,915 0.14

175,532 Marathon Oil Corp .............. 3,787,980 0.13

32,800 Murphy Oil Corp ................. 1,449,104 0.05

271,370


Inc ....................................... 13,896,858 0.48

115,300


Corp ..................................... 8,250,868 0.29

80,570 Schlumberger Ltd ................ 4,813,252 0.17

13,091 SM Energy Co .................... 794,362 0.03

118,085 Tesoro Corp ......................... 2,299,115 0.08

117,200 Ultra Petroleum Corp .......... 3,245,268 0.11

30,890 Unit Corp ............................. 1,139,532 0.04


103,800

FMC Technologies

Inc ....................................... 3,900,804 0.13

56,659 Seacor Holdings Inc ............ 4,538,386 0.16

Other Finance

425,431 American Capital Ltd .......... 2,901,439 0.10

Personal Products

150,290 Colgate Palmolive Co .......... 13,320,203 0.46

158,472 Procter & Gamble Co .......... 10,013,845 0.35

Pharmaceuticals

57,900 Allergan Inc ......................... 4,769,802 0.17

75,500

Endo Pharmaceuticals

Holdings Inc ........................ 2,113,245 0.07

48,867

SXC Health Solutions

Corp ..................................... 2,721,892 0.09

Number

of Shares

Fair Value

USD

Fund

%

Real Estate

176,200

CB Richard Ellis Group

Inc ....................................... 2,371,652 0.08

Retail Trade

81,200 Macy‟s Inc .......................... 2,137,184 0.07

Savings and Loans

43,955

Washington Federal

Inc ....................................... 559,108 0.02


733,500

Applied Materials

Inc ....................................... 7,591,725 0.26

37,442 Atmel Corp ......................... 302,157 0.01

78,999

Fairchild Semiconductor


632,900 Intel Corp ............................ 13,499,757 0.47

47,106

International Rectifier

Corp .................................... 877,114 0.03

65,262 Lam Research Corp ............ 2,477,345 0.08

260,982 LSI Logic Corp ................... 1,349,277 0.05

184,148


Inc ....................................... 4,296,173 0.15

126,520


Inc ....................................... 3,933,507 0.14

378,762 Micron Technology Inc ...... 1,905,173 0.07

50,274 Novellus Systems Inc .......... 1,370,469 0.05

29,665 Qlogic Corp ........................ 376,152 0.01

56,791

Skyworks Solutions

Inc ....................................... 1,018,831 0.03

Shipbuilding

90,519

Huntington Ingalls Industries

Inc ....................................... 2,203,232 0.08

Software

135,034 Ansys Inc ............................ 6,622,067 0.23

197,910 Autodesk Inc ....................... 5,497,940 0.19

35,521 Dun & Bradstreet Corp ....... 2,177,437 0.08

232,327 Informatica Corp ................. 9,513,791 0.33

417,000 Microsoft Corp .................... 10,379,130 0.36

714,580 Oracle Corp ......................... 20,537,029 0.72

21,200 Salesforce.com Inc .............. 2,422,736 0.08

15,096 TIBCO Software Inc ........... 338,000 0.01

67,000 VeriFone Systems Inc ......... 2,347,010 0.08

Speciality Retail

41,122 AutoZone Inc ...................... 13,136,012 0.46

167,017 Foot Locker Inc ................... 3,357,042 0.12

106,270 Sherwin Williams Co .......... 7,901,174 0.27

Textile and Apparel

16,200 Deckers Outdoor Corp ........ 1,509,030 0.05


152,496

Expeditors International of

Washington ......................... 6,180,663 0.21

27,420 FedEx Corp ......................... 1,854,415 0.07

110,400

JB Hunt Transport Services

Inc ....................................... 3,987,648 0.14

224,930


Inc ....................................... 14,197,581 0.49




30 September 2011



Number

of Shares

Fair Value

USD

Fund

%

Water Utilities

234,800 Carnival Corp ...................... 7,114,440 0.25


17,754

Telephone & Data Systems

Inc ....................................... 377,450 0.01

1,133,874,070 39.27

Total Common Stock ........ 2,642,717,787 91.53

Preferred Stock (0.21%)

Germany (0.12%)

Textile and Apparel

43,203 Hugo Boss AG .................... 3,494,159 0.12

Italy (0.04%)

Automobiles

293,779 Fiat SpA .............................. 1,091,832 0.04



71,030

LG Electronics Preferred

Stock ................................... 1,477,217 0.05

Total Preferred Stock ........ 6,063,208 0.21


Number

of Shares

Fair Value

USD

Fund

%

Warrants (0.03%)


Rights/Warrants

141,100 Catcher Technology Co Ltd 826,459 0.03

Total Warrants .................. 826,459 0.03

Total Transferable

Securities ............................ 2,654,415,878 91.94


Ireland (6.54%)


III plc

391


Class C Shares .................. 524,284 0.02


III plc

43


Class C Shares .................. 66,280 0.00


III plc

18,832,806


II - Class A Shares ............ 188,328,060 6.52


Schemes ............................. 188,918,624 6.54

Total Investments

excluding Financial

Derivative Instruments ..... 2,843,334,502 98.48


Notional

Amount

USD

Average

Cost Price

USD

Unrealised

Gain (Loss)

USD

Fund

%

4,743,189

9.68

49 of Topix Index Futures


Expiring December 2011 ..................................... 72,263 0.00

3,256,977

2,807.74

116 of EURO STOXX 50 Index Futures



3,086,783

7,263.02

17 of DAX Index Futures



2,772,860

6,027.96

46 of Swiss Market Index Futures



851,332

130.97

65 of OMX 30 Index Futures


Expiring October 2011 ......................................... 8,938 0.00

3,663,685

3,982.27

92 of CAC 40 Index Futures


Expiring October 2011 ......................................... 17,806 0.00

5,958,969

8,052.66

74 of FTSE 100 Index Futures


Expiring December 2011 .................................... (90,784) 0.00




30 September 2011



Notional

Amount

USD

Average

Cost Price

USD

Unrealised

Gain (Loss)

USD

Fund

%

11,787,125

1,178.71



Expiring December 2011 ..................................... (527,125) (0.02)

23,296,522

1,164.83

400 of S&P 500 E Mini Index Futures



1,773,300

3,940.67

18 of ASX SPI 200 Index Futures


Expiring December 2011 ..................................... (23,879) 0.00

3,663,123

654.13

28 of S&P TSE 60 Index Futures


Expiring December 2011 ..................................... (91,010) 0.00

3,261,539

815.38

40 of S&P Midcap 400 E Mini Index Futures



686,576

2,288.59

6 of Hang Seng Index Futures


Expiring October 2011 ......................................... (15,264) 0.00


Unrealised loss on open futures contracts .......................................................................... (1,670,523) (0.06)

Net unrealised gain (loss) on open futures contracts .................................................... (1,422,841) (0.05)


Settlement

Date

Amount

Bought

Amount

Sold

Unrealised

Gain (Loss)

USD

Fund

%

11/10/2011 AUD 365,000 EUR 270,376 (8,269) 0.00

11/10/2011 AUD 63,000 JPY 5,008,980 (3,807) 0.00

15/11/2011 AUD 28,256,158 USD 29,743,279 (2,421,119) (0.08)

15/11/2011 AUD 9,151,063 USD 9,666,909 (818,331) (0.03)

15/11/2011 AUD 1,378,044 USD 1,411,723 (79,230) 0.00 21/12/2011 AUD 100,000 USD 98,739 (2,446) 0.00 21/12/2011 AUD 100,000 USD 101,126 (4,833) 0.00 21/12/2011 AUD 405,000 USD 413,241 (23,253) 0.00 21/12/2011 AUD 405,000 USD 413,586 (23,598) 0.00 21/12/2011 AUD 405,000 USD 413,558 (23,569) 0.00 21/12/2011 AUD 405,000 USD 413,243 (23,254) 0.00 21/12/2011 AUD 405,000 USD 413,556 (23,567) 0.00 21/12/2011 AUD 405,000 USD 413,233 (23,245) 0.00 21/12/2011 AUD 100,000 USD 96,665 (372) 0.00 21/12/2011 AUD 200,000 USD 205,087 (12,500) 0.00 15/11/2011 AUD 1,586,272 USD 1,607,274 (73,436) (0.01)

21/12/2011 AUD 350,000 USD 340,396 (3,369) 0.00 21/12/2011 AUD 200,000 USD 202,336 (9,749) 0.00 21/12/2011 AUD 600,000 USD 586,878 (9,117) 0.00 11/10/2011 CAD 524,400 EUR 383,305 (11,113) 0.00 11/10/2011 CAD 90,800 JPY 7,088,915 (4,858) 0.00 15/11/2011 CAD 271,965 USD 275,757 (15,030) 0.00 15/11/2011 CAD 28,333,482 USD 28,717,434 (1,554,732) (0.05)

15/11/2011 CAD 174,512 USD 175,778 (8,477) 0.00 15/11/2011 CAD 746,462 USD 757,418 (41,801) 0.00




30 September 2011



Settlement

Date

Amount

Bought

Amount

Sold

Unrealised

Gain (Loss)

USD

Fund

%

21/12/2011 CAD 100,000 USD 100,834 (5,035) 0.00 21/12/2011 CAD 200,000 USD 199,978 (8,380) 0.00 21/12/2011 CAD 609,167 USD 615,460 (31,885) 0.00 21/12/2011 CAD 609,165 USD 615,399 (31,826) 0.00 21/12/2011 CAD 100,000 USD 96,689 (891) 0.00 21/12/2011 CAD 609,167 USD 615,967 (32,393) 0.00 21/12/2011 CAD 609,167 USD 615,468 (31,894) 0.00 21/12/2011 CAD 609,167 USD 615,165 (31,590) 0.00 21/12/2011 CAD 609,167 USD 615,457 (31,882) 0.00 21/12/2011 CAD 400,000 USD 407,750 (24,555) 0.00 21/12/2011 CAD 450,000 USD 434,699 (3,604) 0.00 21/12/2011 CAD 1,000,000 USD 975,753 (17,765) 0.00 21/12/2011 CAD 100,000 USD 100,614 (4,815) 0.00 21/12/2011 CAD 100,000 USD 98,239 (2,440) 0.00 11/10/2011 CHF 145,000 EUR 125,078 (8,148) 0.00 11/10/2011 CHF 315,700 EUR 262,188 (4,140) 0.00 11/10/2011 CHF 592,000 GBP 451,549 (51,520) 0.00 11/10/2011 CHF 29,000 JPY 2,751,897 (3,773) 0.00 11/10/2011 CHF 54,400 JPY 4,783,587 (2,166) 0.00 15/11/2011 CHF 90,240 USD 105,117 (5,684) 0.00 15/11/2011 CHF 24,690,740 USD 28,812,346 (1,606,099) (0.06)

15/11/2011 CHF 292,378 USD 333,005 (10,839) 0.00 21/12/2011 CHF 100,000 USD 113,772 (3,494) 0.00 21/12/2011 CHF 300,000 USD 343,286 (12,451) 0.00 21/12/2011 CHF 100,000 USD 111,162 (883) 0.00 15/11/2011 CHF 160,663 USD 177,462 (431) 0.00 21/12/2011 CHF 375,833 USD 429,229 (14,766) 0.00 21/12/2011 CHF 375,833 USD 429,609 (15,146) 0.00 21/12/2011 CHF 375,833 USD 429,499 (15,036) 0.00 21/12/2011 CHF 375,833 USD 429,465 (15,001) 0.00 21/12/2011 CHF 375,833 USD 429,744 (15,281) 0.00 21/12/2011 CHF 375,835 USD 429,624 (15,159) 0.00 21/12/2011 CHF 100,000 USD 112,680 (2,401) 0.00 21/12/2011 CHF 700,000 USD 782,823 (10,873) 0.00 21/12/2011 CHF 300,000 USD 335,679 (4,844) 0.00 15/11/2011 DKK 34,041,313 USD 6,442,460 (305,017) (0.01)

15/11/2011 DKK 6,760,996 USD 1,241,586 (22,620) 0.00 15/11/2011 DKK 8,652,481 USD 1,590,693 (30,703) 0.00 11/10/2011 EUR 617,299 AUD 833,564 18,658 0.00 11/10/2011 EUR 617,299 AUD 833,564 18,658 0.00 11/10/2011 EUR 617,290 AUD 833,564 18,645 0.00 11/10/2011 EUR 617,258 AUD 833,564 18,602 0.00 11/10/2011 EUR 617,412 AUD 833,563 18,809 0.00 11/10/2011 EUR 617,237 AUD 833,564 18,575 0.00 11/10/2011 EUR 162,165 AUD 219,000 4,880 0.00 11/10/2011 EUR 874,171 CAD 1,231,313 (8,583) 0.00 11/10/2011 EUR 874,140 CAD 1,231,313 (8,624) 0.00 11/10/2011 EUR 874,154 CAD 1,231,313 (8,604) 0.00 11/10/2011 EUR 256,987 CAD 362,000 (2,543) 0.00 11/10/2011 EUR 874,248 CAD 1,231,313 (8,480) 0.00




30 September 2011



Settlement

Date

Amount

Bought

Amount

Sold

Unrealised

Gain (Loss)

USD

Fund

%

11/10/2011 EUR 874,133 CAD 1,231,313 (8,633) 0.00 11/10/2011 EUR 874,146 CAD 1,231,313 (8,616) 0.00 11/10/2011 EUR 653,065 CHF 757,162 42,457 0.00 11/10/2011 EUR 652,985 CHF 757,162 42,350 0.00 11/10/2011 EUR 652,945 CHF 757,161 42,296 0.00 11/10/2011 EUR 653,075 CHF 757,162 42,470 0.00 11/10/2011 EUR 653,083 CHF 757,162 42,482 0.00 11/10/2011 EUR 653,052 CHF 757,162 42,440 0.00 11/10/2011 EUR 8,150,000 GBP 7,206,621 (291,425) (0.01)

11/10/2011 EUR 1,570,974 GBP 1,389,102 (56,130) 0.00 11/10/2011 EUR 1,568,453 GBP 1,389,102 (59,512) 0.00 11/10/2011 EUR 1,571,027 GBP 1,389,102 (56,059) 0.00 11/10/2011 EUR 1,571,036 GBP 1,389,102 (56,047) 0.00 11/10/2011 EUR 1,570,931 GBP 1,389,102 (56,187) 0.00 11/10/2011 EUR 1,570,960 GBP 1,389,104 (56,152) 0.00 11/10/2011 EUR 56,000 GBP 49,531 (2,023) 0.00 11/10/2011 EUR 194,688 HKD 2,181,754 (19,085) 0.00 11/10/2011 EUR 194,697 HKD 2,181,754 (19,073) 0.00 11/10/2011 EUR 194,693 HKD 2,181,754 (19,078) 0.00 11/10/2011 EUR 194,672 HKD 2,181,754 (19,106) 0.00 11/10/2011 EUR 194,681 HKD 2,181,755 (19,094) 0.00 11/10/2011 EUR 194,691 HKD 2,181,754 (19,081) 0.00 11/10/2011 EUR 1,497,389 JPY 164,749,883 (128,655) (0.01)

11/10/2011 EUR 1,497,318 JPY 164,749,884 (128,750) (0.01)

11/10/2011 EUR 1,497,386 JPY 164,749,883 (128,659) (0.01)

11/10/2011 EUR 1,497,525 JPY 164,749,883 (128,472) (0.01)

11/10/2011 EUR 1,497,510 JPY 164,749,883 (128,492) (0.01)

11/10/2011 EUR 1,497,470 JPY 164,749,883 (128,546) (0.01)

11/10/2011 EUR 607,000 JPY 66,778,134 (52,063) 0.00 11/10/2011 EUR 170,400 JPY 18,042,920 (5,490) 0.00 11/10/2011 EUR 319,069 SEK 2,910,088 4,521 0.00 11/10/2011 EUR 319,049 SEK 2,910,089 4,494 0.00 11/10/2011 EUR 319,058 SEK 2,910,089 4,507 0.00 11/10/2011 EUR 319,071 SEK 2,910,089 4,523 0.00 11/10/2011 EUR 319,075 SEK 2,910,089 4,529 0.00 11/10/2011 EUR 319,147 SEK 2,910,089 4,626 0.00 11/10/2011 EUR 133,341 SGD 230,682 1,867 0.00 11/10/2011 EUR 133,341 SGD 230,682 1,867 0.00 11/10/2011 EUR 133,346 SGD 230,682 1,874 0.00 11/10/2011 EUR 133,338 SGD 230,682 1,863 0.00 11/10/2011 EUR 133,332 SGD 230,682 1,855 0.00 11/10/2011 EUR 133,343 SGD 230,684 1,868 0.00 15/11/2011 EUR 4,086,432 USD 5,732,855 (251,571) (0.01)

15/11/2011 EUR 40,472,602 USD 56,790,751 (2,503,328) (0.09)

15/11/2011 EUR 91,275,796 USD 128,682,442 (6,250,786) (0.22)

15/11/2011 EUR 1,661,447 USD 2,305,208 (76,647) 0.00 21/12/2011 EUR 1,800,437 USD 2,467,481 (52,626) 0.00 21/12/2011 EUR 200,000 USD 273,556 (5,304) 0.00 21/12/2011 EUR 1,800,437 USD 2,466,374 (51,519) 0.00 21/12/2011 EUR 700,000 USD 964,695 (25,813) 0.00




30 September 2011



Settlement

Date

Amount

Bought

Amount

Sold

Unrealised

Gain (Loss)

USD

Fund

%

21/12/2011 EUR 200,000 USD 274,010 (5,758) 0.00 21/12/2011 EUR 100,000 USD 135,222 (1,096) 0.00 11/10/2011 EUR 8,844,359 USD 12,728,359 (862,520) (0.03)

11/10/2011 EUR 8,844,174 USD 12,728,359 (862,768) (0.03)

11/10/2011 EUR 8,844,728 USD 12,728,359 (862,026) (0.03)

21/12/2011 EUR 900,000 USD 1,226,529 (19,395) 0.00

11/10/2011 EUR 8,844,648 USD 12,728,359 (862,133) (0.03)

11/10/2011 EUR 8,843,978 USD 12,728,359 (863,032) (0.03)

11/10/2011 EUR 8,844,360 USD 12,728,360 (862,520) (0.03)

21/12/2011 EUR 1,800,437 USD 2,466,057 (51,202) 0.00 21/12/2011 EUR 1,800,437 USD 2,468,435 (53,581) 0.00 21/12/2011 EUR 1,800,437 USD 2,466,599 (51,744) 0.00 21/12/2011 EUR 1,800,437 USD 2,469,318 (54,463) 0.00 21/12/2011 EUR 200,000 USD 275,480 (7,228) 0.00 21/12/2011 EUR 1,800,000 USD 2,449,908 (35,640) 0.00 21/12/2011 EUR 400,000 USD 544,764 (8,260) 0.00 11/10/2011 GBP 107,884 AUD 164,400 8,390 0.00 11/10/2011 GBP 192,849 AUD 306,100 3,126 0.00 11/10/2011 GBP 155,179 AUD 237,000 11,554 0.00 11/10/2011 GBP 2,480,812 AUD 3,788,870 184,721 0.01

11/10/2011 GBP 2,480,910 AUD 3,788,870 184,873 0.01

11/10/2011 GBP 2,480,750 AUD 3,788,870 184,625 0.01

11/10/2011 GBP 2,480,736 AUD 3,788,870 184,603 0.01

11/10/2011 GBP 2,480,778 AUD 3,788,870 184,668 0.01

11/10/2011 GBP 2,480,715 AUD 3,788,870 184,569 0.01

11/10/2011 GBP 153,733 CAD 244,500 4,880 0.00 11/10/2011 GBP 274,460 CAD 440,500 4,882 0.00 11/10/2011 GBP 477,110 CAD 760,000 14,001 0.00 11/10/2011 GBP 3,487,991 CAD 5,556,265 102,204 0.01

11/10/2011 GBP 3,488,035 CAD 5,556,265 102,273 0.01

11/10/2011 GBP 3,487,882 CAD 5,556,265 102,034 0.01

11/10/2011 GBP 3,487,967 CAD 5,556,265 102,167 0.01

11/10/2011 GBP 3,488,195 CAD 5,556,265 102,522 0.01

11/10/2011 GBP 3,487,933 CAD 5,556,264 102,116 0.01

11/10/2011 GBP 106,607 CHF 135,600 16,752 0.00 11/10/2011 GBP 187,507 CHF 263,100 2,377 0.00 11/10/2011 GBP 2,534,628 CHF 3,323,861 288,256 0.01

11/10/2011 GBP 2,534,645 CHF 3,323,858 288,286 0.01

11/10/2011 GBP 2,534,877 CHF 3,323,858 288,647 0.01

11/10/2011 GBP 2,535,243 CHF 3,323,858 289,216 0.01

11/10/2011 GBP 2,534,858 CHF 3,323,858 288,617 0.01

11/10/2011 GBP 2,534,864 CHF 3,323,858 288,626 0.01

11/10/2011 GBP 395,526 EUR 451,000 11,033 0.00 11/10/2011 GBP 548,600 EUR 626,006 14,683 0.00 11/10/2011 GBP 708,526 EUR 814,800 10,506 0.00 11/10/2011 GBP 27,000 EUR 30,526 1,103 0.00 11/10/2011 GBP 10,309,528 EUR 11,659,329 416,583 0.01

11/10/2011 GBP 10,326,096 EUR 11,659,329 442,391 0.01

11/10/2011 GBP 10,309,179 EUR 11,659,329 416,038 0.01

11/10/2011 GBP 10,309,120 EUR 11,659,329 415,947 0.01




30 September 2011



Settlement

Date

Amount

Bought

Amount

Sold

Unrealised

Gain (Loss)

USD

Fund

%

11/10/2011 GBP 10,309,808 EUR 11,659,329 417,019 0.01

11/10/2011 GBP 10,309,633 EUR 11,659,329 416,746 0.01

11/10/2011 GBP 392,000 EUR 443,315 15,852 0.00 11/10/2011 GBP 767,313 HKD 9,724,527 (54,045) 0.00 11/10/2011 GBP 767,305 HKD 9,724,527 (54,057) 0.00 11/10/2011 GBP 767,226 HKD 9,724,527 (54,181) 0.00 11/10/2011 GBP 767,308 HKD 9,724,529 (54,053) 0.00 11/10/2011 GBP 767,311 HKD 9,724,527 (54,049) 0.00 11/10/2011 GBP 767,312 HKD 9,724,527 (54,047) 0.00 11/10/2011 GBP 32,185 HKD 405,800 (1,997) 0.00 11/10/2011 GBP 57,577 HKD 702,500 (561) 0.00 11/10/2011 GBP 431,162 JPY 51,648,000 1,496 0.00 11/10/2011 GBP 5,888,041 JPY 732,610,614 (333,710) (0.01)

11/10/2011 GBP 5,888,098 JPY 732,610,614 (333,621) (0.01)

11/10/2011 GBP 5,888,069 JPY 732,610,614 (333,666) (0.01)

11/10/2011 GBP 5,888,059 JPY 732,610,614 (333,681) (0.01)

11/10/2011 GBP 5,887,667 JPY 732,610,614 (334,293) (0.01)

11/10/2011 GBP 5,887,862 JPY 732,610,615 (333,989) (0.01)

11/10/2011 GBP 137,000 JPY 17,044,595 (7,746) 0.00 11/10/2011 GBP 241,375 JPY 30,003,000 (13,295) 0.00 11/10/2011 GBP 95,200 JPY 11,556,133 (1,646) 0.00 11/10/2011 GBP 49,797 SEK 517,600 2,234 0.00 11/10/2011 GBP 88,691 SEK 941,400 1,136 0.00 11/10/2011 GBP 1,265,875 SEK 13,057,873 71,325 0.00 11/10/2011 GBP 1,265,956 SEK 13,057,873 71,451 0.00 11/10/2011 GBP 1,265,912 SEK 13,057,873 71,384 0.00 11/10/2011 GBP 1,265,938 SEK 13,057,873 71,423 0.00 11/10/2011 GBP 1,266,248 SEK 13,057,873 71,906 0.00 11/10/2011 GBP 1,265,947 SEK 13,057,874 71,437 0.00 11/10/2011 GBP 20,918 SGD 40,800 1,274 0.00 11/10/2011 GBP 37,160 SGD 74,900 406 0.00 11/10/2011 GBP 527,290 SGD 1,031,649 29,662 0.00 11/10/2011 GBP 527,265 SGD 1,031,649 29,622 0.00 11/10/2011 GBP 527,232 SGD 1,031,649 29,571 0.00 11/10/2011 GBP 527,293 SGD 1,031,649 29,665 0.00 11/10/2011 GBP 527,297 SGD 1,031,648 29,673 0.00 11/10/2011 GBP 527,288 SGD 1,031,649 29,658 0.00 15/11/2011 GBP 2,963,355 USD 4,722,106 (107,688) (0.01)

15/11/2011 GBP 309,758 USD 493,571 (11,229) 0.00

15/11/2011 GBP 22,583,121 USD 36,058,469 (892,934) (0.03)

15/11/2011 GBP 2,195,692 USD 3,465,065 (46,021) 0.00 15/11/2011 GBP 155,031 USD 241,842 (434) 0.00 21/12/2011 GBP 570,833 USD 902,470 (13,891) 0.00 21/12/2011 GBP 100,000 USD 156,847 (1,183) 0.00 21/12/2011 GBP 570,833 USD 902,019 (13,440) 0.00 21/12/2011 GBP 570,833 USD 902,184 (13,605) 0.00 21/12/2011 GBP 570,833 USD 901,953 (13,375) 0.00 21/12/2011 GBP 570,835 USD 902,650 (14,068) 0.00 21/12/2011 GBP 570,833 USD 902,364 (13,786) 0.00 21/12/2011 GBP 300,000 USD 473,434 (6,444) 0.00




30 September 2011



Settlement

Date

Amount

Bought

Amount

Sold

Unrealised

Gain (Loss)

USD

Fund

%

15/11/2011 GBP 137,779 USD 213,706 838 0.00 21/12/2011 GBP 1,000,000 USD 1,563,110 (6,475) 0.00 21/12/2011 GBP 500,000 USD 782,985 (4,667) 0.00 11/10/2011 GBP 34,814,187 USD 56,662,874 (2,433,114) (0.09)

11/10/2011 GBP 34,814,508 USD 56,662,874 (2,432,614) (0.09)

11/10/2011 GBP 34,814,615 USD 56,662,874 (2,432,448) (0.09)

11/10/2011 GBP 34,814,615 USD 56,662,874 (2,432,448) (0.09)

11/10/2011 GBP 34,812,283 USD 56,662,874 (2,436,080) (0.09)

11/10/2011 GBP 34,812,261 USD 56,662,873 (2,436,113) (0.09)

21/12/2011 GBP 300,000 USD 470,091 (3,100) 0.00 21/12/2011 GBP 100,000 USD 155,457 207 0.00 11/10/2011 GBP 1,475,573 USD 2,390,000 (91,513) (0.01)

11/10/2011 GBP 2,638,940 USD 4,131,300 (20,646) 0.00 21/12/2011 GBP 100,000 USD 156,601 (937) 0.00 11/10/2011 HKD 857,100 EUR 79,467 3,494 0.00 11/10/2011 HKD 273,000 EUR 24,362 2,387 0.00 11/10/2011 HKD 1,951,000 GBP 153,951 10,831 0.00 11/10/2011 HKD 149,100 JPY 1,470,221 79 0.00 11/10/2011 HKD 106,000 JPY 1,040,962 111 0.00 21/12/2011 HKD 1,404,167 USD 180,143 392 0.00 21/12/2011 HKD 500,000 USD 64,231 54 0.00 21/12/2011 HKD 2,000,000 USD 256,850 290 0.00 21/12/2011 HKD 1,000,000 USD 128,476 95 0.00 15/11/2011 HKD 102,845,473 USD 13,205,633 12,064 0.00 15/11/2011 HKD 728,935 USD 93,476 207 0.00 21/12/2011 HKD 1,404,167 USD 180,139 395 0.00 21/12/2011 HKD 1,404,167 USD 180,128 407 0.00 21/12/2011 HKD 1,404,167 USD 180,142 393 0.00 21/12/2011 HKD 1,404,167 USD 180,140 394 0.00 21/12/2011 HKD 1,404,165 USD 180,130 404 0.00 21/12/2011 HKD 1,000,000 USD 128,483 87 0.00 21/12/2011 HKD 400,000 USD 51,338 90 0.00 15/11/2011 ILS 4,014,846 USD 1,088,875 (21,261) 0.00 15/11/2011 ILS 411,327 USD 112,109 (2,730) 0.00 11/10/2011 JPY 26,095,852 AUD 320,336 27,489 0.00 11/10/2011 JPY 26,096,477 AUD 320,336 27,497 0.00 11/10/2011 JPY 26,098,062 AUD 320,336 27,517 0.00 11/10/2011 JPY 26,096,813 AUD 320,336 27,501 0.00 11/10/2011 JPY 26,098,607 AUD 320,336 27,524 0.00 11/10/2011 JPY 26,096,254 AUD 320,337 27,493 0.00 11/10/2011 JPY 406,563 AUD 5,000 419 0.00 11/10/2011 JPY 3,666,060 AUD 45,000 3,864 0.00 11/10/2011 JPY 36,685,379 CAD 469,686 25,340 0.00 11/10/2011 JPY 36,684,966 CAD 469,686 25,335 0.00 11/10/2011 JPY 36,685,060 CAD 469,686 25,336 0.00 11/10/2011 JPY 36,690,649 CAD 469,686 25,409 0.00 11/10/2011 JPY 36,681,068 CAD 469,686 25,284 0.00 11/10/2011 JPY 36,684,644 CAD 469,685 25,332 0.00 11/10/2011 JPY 624,496 CAD 8,000 427 0.00 11/10/2011 JPY 7,888,120 CAD 101,000 5,441 0.00




30 September 2011



Settlement

Date

Amount

Bought

Amount

Sold

Unrealised

Gain (Loss)

USD

Fund

%

11/10/2011 JPY 26,664,305 CHF 281,023 36,528 0.00 11/10/2011 JPY 26,669,024 CHF 281,023 36,589 0.00 11/10/2011 JPY 26,665,710 CHF 281,023 36,546 0.00 11/10/2011 JPY 26,665,767 CHF 281,023 36,547 0.00 11/10/2011 JPY 26,664,249 CHF 281,023 36,527 0.00 11/10/2011 JPY 26,664,875 CHF 281,024 36,534 0.00 11/10/2011 JPY 380,687 CHF 4,000 535 0.00 11/10/2011 JPY 108,161,472 EUR 983,118 84,393 0.01

11/10/2011 JPY 108,157,530 EUR 983,118 84,341 0.01

11/10/2011 JPY 108,158,612 EUR 983,118 84,356 0.01

11/10/2011 JPY 108,172,483 EUR 983,118 84,535 0.01

11/10/2011 JPY 108,167,361 EUR 983,118 84,469 0.01

11/10/2011 JPY 108,167,558 EUR 983,118 84,472 0.01

11/10/2011 JPY 63,003,000 EUR 593,349 21,396 0.00 11/10/2011 JPY 1,538,895 EUR 14,000 1,184 0.00 11/10/2011 JPY 3,264,000 EUR 29,694 2,511 0.00 11/10/2011 JPY 44,967,000 EUR 408,741 35,058 0.00 11/10/2011 JPY 64,885,154 GBP 521,488 29,553 0.00 11/10/2011 JPY 64,887,707 GBP 521,491 29,582 0.00 11/10/2011 JPY 64,885,362 GBP 521,488 29,556 0.00 11/10/2011 JPY 64,884,726 GBP 521,488 29,548 0.00 11/10/2011 JPY 3,736,000 GBP 30,062 1,647 0.00 11/10/2011 JPY 994,216 GBP 8,000 438 0.00 11/10/2011 JPY 244,328,000 GBP 1,963,845 111,038 0.01

11/10/2011 JPY 64,889,482 GBP 521,488 29,609 0.00 11/10/2011 JPY 64,885,049 GBP 521,488 29,552 0.00 11/10/2011 JPY 8,073,926 HKD 822,393 (893) 0.00 11/10/2011 JPY 8,073,761 HKD 822,393 (895) 0.00 11/10/2011 JPY 8,076,228 HKD 822,393 (863) 0.00 11/10/2011 JPY 8,073,717 HKD 822,391 (895) 0.00 11/10/2011 JPY 8,073,103 HKD 822,393 (904) 0.00 11/10/2011 JPY 8,073,654 HKD 822,393 (897) 0.00 11/10/2011 JPY 13,319,100 SEK 1,104,316 12,084 0.00 11/10/2011 JPY 13,320,514 SEK 1,104,316 12,102 0.00 11/10/2011 JPY 13,320,591 SEK 1,104,316 12,103 0.00 11/10/2011 JPY 13,320,922 SEK 1,104,316 12,108 0.00 11/10/2011 JPY 13,323,131 SEK 1,104,316 12,136 0.00 11/10/2011 JPY 13,320,734 SEK 1,104,316 12,105 0.00 11/10/2011 JPY 5,550,963 SGD 87,297 5,030 0.00 11/10/2011 JPY 5,551,403 SGD 87,297 5,036 0.00 11/10/2011 JPY 5,551,583 SGD 87,297 5,038 0.00 11/10/2011 JPY 5,551,295 SGD 87,297 5,035 0.00 11/10/2011 JPY 5,551,932 SGD 87,297 5,043 0.00 11/10/2011 JPY 5,551,485 SGD 87,295 5,039 0.00 11/10/2011 JPY 365,244,042 USD 4,777,617 (38,656) 0.00 11/10/2011 JPY 365,244,042 USD 4,777,617 (38,656) 0.00 21/12/2011 JPY 10,000,000 USD 130,823 (937) 0.00 21/12/2011 JPY 40,000,000 USD 521,120 (1,577) 0.00 21/12/2011 JPY 10,000,000 USD 131,206 (1,320) 0.00 21/12/2011 JPY 75,666,667 USD 986,081 (3,278) 0.00




30 September 2011



Settlement

Date

Amount

Bought

Amount

Sold

Unrealised

Gain (Loss)

USD

Fund

%

21/12/2011 JPY 75,666,667 USD 986,624 (3,821) 0.00 21/12/2011 JPY 75,666,667 USD 986,367 (3,563) 0.00 21/12/2011 JPY 75,666,665 USD 986,071 (3,268) 0.00 21/12/2011 JPY 75,666,667 USD 985,718 (2,914) 0.00 15/11/2011 JPY 66,501,571 USD 870,724 (7,459) 0.00 15/11/2011 JPY 608,282,764 USD 7,959,524 (63,329) 0.00 21/12/2011 JPY 70,000,000 USD 913,778 (4,577) 0.00 11/10/2011 JPY 365,246,584 USD 4,777,619 (38,625) 0.00 11/10/2011 JPY 365,239,264 USD 4,777,617 (38,718) 0.00 21/12/2011 JPY 75,666,667 USD 985,962 (3,158) 0.00 21/12/2011 JPY 40,000,000 USD 524,769 (5,225) 0.00 21/12/2011 JPY 120,000,000 USD 1,570,002 (11,371) 0.00 11/10/2011 JPY 365,239,742 USD 4,777,617 (38,712) 0.00 11/10/2011 JPY 365,236,876 USD 4,777,617 (38,749) 0.00 21/12/2011 JPY 10,000,000 USD 130,501 (615) 0.00 11/10/2011 JPY 5,586,982 USD 73,000 (510) 0.00 15/11/2011 NOK 309,375 USD 55,248 (2,661) 0.00 15/11/2011 NOK 602,025 USD 103,553 (1,222) 0.00 15/11/2011 NOK 742,642 USD 130,533 (4,300) 0.00 15/11/2011 NZD 1,895,860 USD 1,568,634 (123,705) (0.01)

11/10/2011 SEK 1,198,000 EUR 131,349 (1,858) 0.00 11/10/2011 SEK 1,151,900 EUR 125,611 (869) 0.00 11/10/2011 SEK 6,796,000 GBP 658,875 (37,196) 0.00 11/10/2011 SEK 500,000 JPY 6,030,050 (5,466) 0.00 11/10/2011 SEK 196,700 JPY 2,270,939 (836) 0.00 15/11/2011 SEK 70,923,569 USD 11,099,324 (795,048) (0.04)

15/11/2011 SEK 99,959,014 USD 15,656,759 (1,134,010) (0.04)

15/11/2011 SEK 1,398,585 USD 211,426 (8,230) 0.00 21/12/2011 SEK 925,000 USD 138,043 (3,869) 0.00 21/12/2011 SEK 200,000 USD 29,793 (783) 0.00 21/12/2011 SEK 500,000 USD 74,725 (2,198) 0.00 21/12/2011 SEK 500,000 USD 75,213 (2,687) 0.00 15/11/2011 SEK 927,353 USD 134,598 134 0.00 21/12/2011 SEK 800,000 USD 117,554 (1,512) 0.00 21/12/2011 SEK 925,000 USD 138,061 (3,887) 0.00 21/12/2011 SEK 925,000 USD 138,392 (4,218) 0.00 21/12/2011 SEK 925,000 USD 138,210 (4,036) 0.00 21/12/2011 SEK 925,000 USD 138,183 (4,009) 0.00 21/12/2011 SEK 925,000 USD 138,266 (4,092) 0.00 21/12/2011 SEK 1,500,000 USD 221,112 (3,532) 0.00 21/12/2011 SEK 300,000 USD 43,652 (136) 0.00 11/10/2011 SGD 95,000 EUR 54,916 (773) 0.00 11/10/2011 SGD 89,100 EUR 51,759 (1,065) 0.00 11/10/2011 SGD 517,000 GBP 264,268 (14,899) 0.00 11/10/2011 SGD 38,000 JPY 2,416,743 (2,195) 0.00 11/10/2011 SGD 15,500 JPY 961,185 (576) 0.00 15/11/2011 SGD 17,974,490 USD 14,887,555 (1,093,081) (0.04)

15/11/2011 SGD 86,740 USD 69,890 (3,321) 0.00 21/12/2011 USD 508,700 AUD 500,000 27,233 0.00 21/12/2011 USD 145,313 AUD 150,000 872 0.00




30 September 2011



Settlement

Date

Amount

Bought

Amount

Sold

Unrealised

Gain (Loss)

USD

Fund

%

21/12/2011 USD 96,334 AUD 100,000 41 0.00 21/12/2011 USD 338,767 AUD 350,000 1,740 0.00 15/11/2011 USD 4,486,254 AUD 4,269,411 357,967 0.01

15/11/2011 USD 431,868 AUD 445,385 1,205 0.00

15/11/2011 USD 27,051,299 AUD 25,552,395 2,343,529 0.07

15/11/2011 USD 4,099,317 AUD 3,999,802 231,727 0.01

21/12/2011 USD 204,504 AUD 200,000 11,917 0.00 21/12/2011 USD 203,090 AUD 200,000 10,503 0.00 21/12/2011 USD 434,574 CAD 432,540 20,206 0.00 21/12/2011 USD 606,361 CAD 600,000 31,568 0.00 21/12/2011 USD 194,081 CAD 200,000 2,483 0.00 21/12/2011 USD 193,643 CAD 200,000 2,045 0.00 21/12/2011 USD 436,008 CAD 450,000 4,914 0.00 15/11/2011 USD 2,843,021 CAD 2,815,927 143,452 0.01

15/11/2011 USD 1,822,781 CAD 1,885,800 14,905 0.00 21/12/2011 USD 353,947 CAD 350,000 18,651 0.00 21/12/2011 USD 576,269 CHF 500,000 24,876 0.00 21/12/2011 USD 172,123 CHF 150,000 6,705 0.00 21/12/2011 USD 110,566 CHF 100,000 287 0.00 21/12/2011 USD 331,609 CHF 300,000 773 0.00 15/11/2011 USD 1,693,763 CHF 1,453,664 91,999 0.00 15/11/2011 USD 8,660,388 CHF 7,424,551 479,420 0.02

15/11/2011 USD 434,961 CHF 377,317 19,203 0.00 21/12/2011 USD 285,628 CHF 250,000 9,931 0.00 15/11/2011 USD 878,341 DKK 4,663,369 37,564 0.00 15/11/2011 USD 473,074 DKK 2,618,017 1,062 0.00 15/11/2011 USD 9,196,566 DKK 48,597,871 434,664 0.01

11/10/2011 USD 5,035,700 EUR 3,636,698 156,604 0.01

11/10/2011 USD 261,000 EUR 181,725 17,193 0.00 21/12/2011 USD 2,075,513 EUR 1,500,000 63,622 0.00 21/12/2011 USD 1,076,976 EUR 800,000 3,968 0.00 21/12/2011 USD 619,236 EUR 450,000 15,669 0.00 21/12/2011 USD 5,383,800 EUR 4,000,000 18,759 0.00 21/12/2011 USD 403,521 EUR 300,000 1,143 0.00 11/10/2011 USD 975,000 EUR 677,483 66,070 0.00 15/11/2011 USD 7,816,179 EUR 5,812,798 19,254 0.00 15/11/2011 USD 202,397,999 EUR 143,608,846 9,770,055 0.34

15/11/2011 USD 5,713,403 EUR 4,179,122 107,790 0.01

15/11/2011 USD 5,861,658 EUR 4,283,554 115,966 0.01

21/12/2011 USD 823,476 EUR 600,000 18,720 0.00 11/10/2011 USD 298,000 GBP 183,519 12,134 0.00 21/12/2011 USD 394,408 GBP 250,000 5,249 0.00 21/12/2011 USD 1,105,321 GBP 700,000 15,676 0.00 21/12/2011 USD 230,175 GBP 150,000 (3,320) 0.00 21/12/2011 USD 694,283 GBP 450,000 (6,203) 0.00 11/10/2011 USD 8,257,000 GBP 5,073,363 354,266 0.01

15/11/2011 USD 48,476,445 GBP 30,324,312 1,256,636 0.05

15/11/2011 USD 1,754,582 GBP 1,109,869 26,338 0.00 21/12/2011 USD 474,239 GBP 300,000 7,248 0.00 15/11/2011 USD 869,412 HKD 6,772,556 (997) 0.00




30 September 2011



Settlement

Date

Amount

Bought

Amount

Sold

Unrealised

Gain (Loss)

USD

Fund

%

15/11/2011 USD 5,480,173 HKD 42,690,551 (6,415) 0.00 15/11/2011 USD 310,476 HKD 2,416,928 (148) 0.00 21/12/2011 USD 89,799 HKD 700,000 (200) 0.00 21/12/2011 USD 89,831 HKD 700,000 (168) 0.00 21/12/2011 USD 257,046 HKD 2,000,000 (94) 0.00 21/12/2011 USD 64,169 HKD 500,000 (116) 0.00 21/12/2011 USD 128,307 HKD 1,000,000 (263) 0.00 15/11/2011 USD 359,581 HKD 2,802,250 (564) 0.00 15/11/2011 USD 83,942 HKD 653,399 (33) 0.00 15/11/2011 USD 177,846 ILS 655,886 3,435 0.00 11/10/2011 USD 877,400 JPY 67,418,539 2,659 0.00 21/12/2011 USD 457,606 JPY 35,000,000 3,005 0.00 21/12/2011 USD 1,174,935 JPY 90,000,000 5,961 0.00 15/11/2011 USD 3,756,240 JPY 290,255,970 (11,609) 0.00 21/12/2011 USD 85,097 JPY 6,500,000 672 0.00 21/12/2011 USD 654,279 JPY 50,000,000 4,849 0.00 15/11/2011 USD 1,662,747 JPY 128,505,365 (5,398) 0.00 15/11/2011 USD 2,061,465 JPY 159,138,875 (4,337) 0.00 15/11/2011 USD 12,251,746 JPY 945,893,599 (27,018) 0.00 21/12/2011 USD 262,178 JPY 20,000,000 2,406 0.00 11/10/2011 USD 265,000 JPY 20,257,528 2,163 0.00 15/11/2011 USD 1,949,791 JPY 149,780,971 5,465 0.00 15/11/2011 USD 1,808,424 JPY 138,653,671 8,543 0.00 21/12/2011 USD 586,548 JPY 45,000,000 2,062 0.00 15/11/2011 USD 169,774 NOK 917,839 13,761 0.00 15/11/2011 USD 1,212,325 NOK 6,546,677 99,532 0.01

15/11/2011 USD 972,106 NOK 5,252,921 79,224 0.00 15/11/2011 USD 398,218 NOK 2,152,605 32,321 0.00 15/11/2011 USD 1,408,446 NZD 1,703,656 110,005 0.01

21/12/2011 USD 59,434 SEK 400,000 1,412 0.00 21/12/2011 USD 165,524 SEK 1,100,000 5,966 0.00 21/12/2011 USD 43,258 SEK 300,000 (258) 0.00 21/12/2011 USD 115,121 SEK 800,000 (921) 0.00 15/11/2011 USD 1,125,451 SEK 7,218,644 76,676 0.00 15/11/2011 USD 27,105,597 SEK 173,749,587 1,862,033 0.07

21/12/2011 USD 75,074 SEK 500,000 2,547 0.00 15/11/2011 USD 493,737 SGD 597,199 35,418 0.00 15/11/2011 USD 223,107 SGD 290,001 547 0.00 15/11/2011 USD 10,359,383 SGD 12,499,632 766,574 0.02

15/11/2011 USD 74,253 SGD 92,379 3,357 0.00

Unrealised gain on open forward foreign currency exchange contracts ................................ 28,174,784 0.98

Unrealised loss on open forward foreign currency exchange contracts ................................. (45,914,325) (1.59)

Net unrealised gain (loss) on open forward foreign currency exchange contracts ......... (17,739,541) (0.61)

Total Financial Derivative Instruments ............................................................................. (19,162,382) (0.66)




30 September 2011



Fair Value

USD Fund

%


(99.47%) ............................................................................................................................... 2,871,756,968 99.47


Loss ((1.65)%) ...................................................................................................................... (47,584,848) (1.65)


(97.82%) ............................................................................................... 2,824,172,120 97.82

Other Net Assets (2.07%) .................................................................... 59,828,372 2.07

Adjustment from Bid Market Prices to Last Traded

Market Prices (0.11%) ......................................................................... 3,261,506 0.11

Net Assets (100.00%) .......................................................................... 2,887,261,998 100.00

Abbreviation used:

ADR - American Depository Receipt


% of

total assets


traded in a regulated market ................................................................................................................................... 83.34

Transferable securities other than those admitted to an official stock exchange listing or traded in a

regulated market .................................................................................................................................................... 0.25



Over the counter financial derivative instruments ................................................................................................. 0.01

Other assets ............................................................................................................................................................ 9.57

100.00



BNP Paribas SA

Brown Brothers Harriman

Citibank

Credit Suisse

Deutsche Bank

HSBC Bank

JP Morgan Chase

Mellon Bank



Société Generale

State Street Bank and Trust Company

UBS AG


The proportion of the investments of The World Equity Fund in rights or securities eligible to the French Plan d’Epargne en


2011.









Acquisition Cost


Disposal Proceeds

USD

Russell Investment Company II plc Russell Investment Company II plc


Russell Investment Company II plc Citigroup Inc (21,066,782)

The Euro Liquidity Fund Russell Investment Company II plc

Class A Shares 20,063,023 The Euro Liquidity Fund

BB&T Corp 19,390,691 Class A Shares (20,213,122)

Priceline.Com Inc 17,170,727 Wells Fargo & Co (20,094,343)

Diageo Plc 15,226,427 General Motors Co (18,281,589)

Philip Morris International Inc 15,199,522 Walt Disney Co (16,844,402)

Julius Baer Group Ltd 15,076,847 Monsanto Co (15,513,760)

Best Buy Co Inc 14,601,286 Nokia OYJ (14,261,658)

Stmicroelectronics NV 14,413,381 Oracle Corp (13,344,001)

American International Group Inc 14,253,650 UnitedHealth Group Inc (13,308,553)

Intel Corp 14,102,121 OGX Petroleo E Gas Participacoes (12,936,963)

Daiwa Securities Group Inc 13,616,720 Barclays Plc (12,393,669)

Credit Suisse Group AG 13,405,381 Priceline.Com Inc (12,329,356)

DIRECTV 13,204,687 Salesforce.Com Inc (11,902,464)

Baker Hughes Inc 12,827,289 Exxon Mobil Corp (11,693,996)

Baidu.com ADR 12,648,032 Murphy Oil Corp (11,186,888)

Nestle SA 12,627,196 ConocoPhillips (10,871,663)

Gazprom OAO ADR 12,520,949 Eli Lilly & Co (10,847,035)

Reinsurance Group Of America Inc 12,464,235 Barrick Gold Corp (10,458,505)

Occidental Petroleum Corp 12,082,545 Inditex (10,431,884)


Notes to the Financial Statements

30 September 2011

Notes to the Financial Statements 147

1. Accounting Policies The accounting policies applied during the period under review are consistent with those disclosed in the Company’s annual

audited financial statements as at and for the year ended 31 March 2011.

Basis of Accounting

The financial statements are prepared under the historical cost convention as modified by the revaluation of financial assets

and financial liabilities held at fair value through profit or loss.

These condensed interim financial statements have been prepared in accordance with the ASB Statement: Half Yearly

Financial Reports. The condensed interim financial statements should be read in conjunction with the annual audited

financial statements for the year ended 31 March 2011, which have been prepared in accordance with accounting standards

generally accepted in Ireland and in accordance with Irish statute comprising the Companies Acts, 1963 to 2009. Accounting

standards generally accepted in Ireland for preparing financial statements are those published by the Institute of

Chartered Accountants in Ireland and issued by the Accounting Standards Board.

These financial statements have been prepared using the same measurement basis and have adopted the same accounting

principles and practices as those used in the most recent annual financial statements for the year ended 31 March 2011.

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

shares unless otherwise stated.

Certain prior period/year comparatives have been reclassified to conform with current period presentation.

2. Basis of Preparation The Company has availed itself of the exemption available to open-ended investment funds under FRS 1 (revised) not to

prepare a cash flow statement.

The information required by Financial Reporting Standard No 3 “Reporting Financial Performance” to be included in a

Statement of Total Recognised Gains and Losses and a Reconciliation of Movements in Shareholders’ Funds is, in the

opinion of the Directors, contained in the Profit and Loss Account and the Statement of Changes in Net Assets Attributable

to Redeemable Participating Shareholders. In arriving at the results for the financial period under review, all amounts in the

Profit and Loss Account relate to continuing operations.

The financial statements of the individual Funds are prepared in the functional currency of the respective Fund. The

functional currency of The Euro Fixed Income Fund, The Global Bond (Euro Hedged) Fund and The Pan European Equity

Fund is Euro. The functional currency of The U.K. Equity Plus Fund is British Pound and the functional currency of The

U.S. Growth Fund, The U.S. Quant Fund, The U.S. Value Fund and The World Equity Fund is U.S. Dollar. Details are

omitted of the functional currency of The U.S. Equity Plus Fund and The Emerging Markets Extended Opportunities Fund,

which were unfunded on 30 September 2011.

The combined financial statements of the Company are measured using Euro, being the functional currency of the primary

economic environment in which it operates, namely Euro. The Company has also adopted Euro as the presentation currency.

The accounts of the individual Funds are translated into Euro using exchange rates as at 30 September 2011, 31 March 2011

and 30 September 2010 respectively and accumulated for preparation of the combined financial statements.

Estimates and judgements

The estimates and judgements applied in preparing these condensed unaudited interim financial statements are consistent

with those applied and disclosed in the Company’s annual audited financial statements as at and for the year ended 31 March

2011.

3. Significant Agreements and Transactions with Related Parties

Manager

Russell Investments Ireland Limited, a wholly owned subsidiary of Frank Russell Company, which in turn is a 95 per cent

owned subsidiary of The Northwestern Mutual Life Insurance Company, is the Manager of the Company. The Manager is

engaged in the business of providing investment management and administrative services to collective investment schemes.

The Manager has: (a) appointed Advisor to advise it on the Funds’ investments; (b) delegated the administration of the

Company to the Administrator; and (c) appointed the Advisor to market and promote the shares of the Funds.


Notes to the Financial Statements - continued

30 September 2011

148 Notes to the Financial Statements

For services rendered under the management agreement, the Company pays the Manager a fee, accrued daily and paid

monthly in arrears, at the following annual rates based on the respective average daily net asset values of each class of shares.

The Euro Fixed

Income Fund

The Global Bond

(Euro Hedged) Fund

The Pan European

Equity Fund

The U.K. Equity

Plus Fund

Class A 1.40% Class A 1.50% Class A 1.60% Class B 0.65%

Class B 0.80% Class B 0.90% Class B 1.00% Class C 1.25% Class F 1.60% Class DH-B 0.90% Class F 1.80% Class I Income 0.65%

Class I 0.60% Class I 0.65% Class I 0.90% Class K 1.25%

Class I Income 0.60% Class I Income 0.65% Class MZ Income 0.40% Class P Income 1.25% Class MZ Income 0.40% Class MZ Income 0.40% Class PAMEU 2.30% Class R 2.25%

Class P Income 1.00% Class R Roll-Up 1.25%

Class S 1.02%

The U.S. Growth Fund The U.S. Quant Fund The U.S. Value Fund The World Equity Fund

Class A Income 1.60% Class B 1.00% Class A Income 1.60% Class B 0.90%

Class B 1.00% Class C 1.60% Class B 1.00% Class C 1.60%

Class C 1.60% Class I 0.80% Class C 1.60% Class D 0.75% Class I 1.00% Class P Income 1.50% Class I 1.00% Class EH-T 1.15%

Class I Income 1.00% Class R Roll-Up 1.20% Class I Income 1.00% Class I 0.90%

Class J 1.60% Class N 2.30%

Class R 2.60%

Class SH-B 0.95% Class TDCNV Income 0.58%

Class TYA 0.68%

Class TYC 0.58% Class TYHC 0.61%

Performance Fee

Each Fund (with the exception of The Euro Fixed Income Fund) may also pay the Manager a performance fee (the

“Performance Fee”) on an annual basis (the “Performance Period”) that is equal to the sum of Performance Fees to be paid to

the Fund’s Money Managers as described more fully below.

Any Performance Fee shall be paid to the Manager and, in turn, the Manager shall pay the Performance Fee to those Money

Managers of any Fund that are entitled to a Performance Fee.

A Performance Fee is payable to a Money Manager only with respect to the value added for that part of a Fund (the

“Portfolio”) for which that Money Manager is responsible from the time the Manager appoints that Money Manager to

manage the Portfolio until such time, if ever, that the Money Manager ceases to manage the Portfolio (the “Term of

Appointment”). The value added is measured as the value in money weighted terms above the Money Manager’s

performance benchmark or an agreed performance benchmark plus a hurdle rate during a Performance Period. The

performance benchmark is an index that is agreed by the Manager and the Money Manager from time to time, provided that

at all times the index is relevant to the investment policy of the Fund. In no event will a Money Manager be paid a

Performance Fee for any Performance Period in which the value added by the Money Manager to the Portfolio is negative.

Any negative performance must be clawed back before the Money Manager can accrue a Performance Fee for future value

added.

The Performance Fee will be calculated and accrued daily during the Term of Appointment and for each Performance Period.

Where a Money Manager is entitled to receive a Performance Fee in a Performance Period, all or part of that Performance

Fee, depending upon the arrangements with that Money Manager, will be paid to the Money Manager for that Performance

Period. Any unpaid amounts will be carried over into following years and will be available to offset negative value added to

the Portfolio. Upon the termination of a Money Manager’s appointment, any Performance Fees owed will be paid in full. In

no event will a Performance Fee calculated and accrued in respect of a Portfolio exceed 20 per cent of the value added during

a Performance Period. The calculation of any Performance Fee must be verified by the Custodian and Trustee.

For the six months ended 30 September 2011, Performance Fees of EUR 440,626 (year ended 31 March 2011: EUR 889,199,

six months ended 30 September 2010: EUR 433,117) were charged, of which EUR (1,073,763) (year ended 31 March 2011:

EUR 1,483,660, six months ended 30 September 2010: EUR 1,205,634) remained payable at the period end. These charges

related to The U.K. Equity Plus Fund. During the period, the actual performance percentage rate ranged from 12.5 per cent to

20 per cent. During the period, the cap rate ranged from 6 per cent to 10 per cent. During the period, the annual payment

ranged from 35 per cent to 100 per cent.



30 September 2011


The below Funds are benchmarked against a Russell Index:

Fund Index

The Pan European Equity Fund ............................................... Russell Developed Europe Large Cap Net Index

The U.S. Growth Fund ............................................................ Russell 1000 Growth The U.S. Quant Fund ............................................................... Russell 1000

The U.S. Value Fund ............................................................... Russell 1000 Value

Advisor and Money Managers

Subject to the supervision and guidance of the Manager, the Money Managers determine the investments to be purchased and

sold by a Fund. The Manager discharges all fees payable to the Money Managers which are based on the value of the assets

within the Fund managed by the Money Managers.

Fund Recharges

The Advisor and Distributor to the Company, paid non-net asset value based fees of EUR 637,458 (year ended 31 March

2011: EUR 1,102,615, six months ended 30 September 2010: EUR 574,798) during the period on behalf of the Company.

These fees were recharged to the relevant Funds during the period.

Support Service Agreement

The Manager has also appointed the Advisor to provide certain operational support services pursuant to a support services

agreement dated 2 October 2009 (“Support Services Agreement”). These services include assisting the Manager in relation to

the registration of the Funds for distribution, attending to compliance matters, organising the preparation of the financial

statements and the preparation of materials for meetings of the Board of Directors. EUR 437,894 (year ended 31 March

2011: EUR 366,358, six months ended 30 September 2010: EUR 439,905) was paid by the Company as part of the Fund

recharges in relation to these services during the period.

Custodian and Trustee

State Street Custodial Services (Ireland) Limited is the Custodian and Trustee. The Custodian and Trustee has appointed its

parent State Street Bank and Trust Company, Boston as its global sub-custodian who in turn has appointed a network of local

sub-custodial agents. The sub-custodian fees are paid at annual rates based on the total assets held in each individual country

in which the Funds invest plus applicable transaction charges.

Custodian and Trustee fees are accrued and paid at a rate of 0.015 per cent per annum on the first USD 750 million, a rate of

0.0125 per cent per annum on the next USD 750 million and a rate of 0.0075 per cent per annum on the balance of the

average daily net asset value of each Fund. Custodian and Trustee fees accrue daily and are paid monthly in arrears.

Included within the custodian agreement is a right of set off for fees owing to and monies lent by the Custodian and Trustee.

Administrator and Transfer Agency State Street Fund Services (Ireland) Limited is the Administrator. The Administrator is responsible for the daily

determination of net asset value, maintaining the books and records of the Funds in respect of the Company and other

administrative services.

The Manager pays to the Administrator out of the assets of the Funds a fee of 0.025 per cent per annum on the average

monthly net asset value of the Funds up to USD 750 million and a fee of 0.0225 per cent per annum on all the average

monthly net asset value of the Funds for the next USD 750 million and a fee of 0.02 per cent per annum on all the average

monthly net asset value of the Funds in excess of USD 1.5 billion. Such fees accrue daily and are paid monthly in arrears.

The Manager shall discharge reasonable out of pocket expenses payable to the Administrator out of the Funds’ assets.

The fees are stated net of discount, when the assets of funds promoted or co-promoted by Russell Investments and

administrated by the Administrator exceed a total value of USD 70 billion. The standard discount rate applicable here is 0.01

per cent. The discount rate increases to 0.015 per cent where such total value is in excess of USD 100 billion. The

Administrator is also entitled to shareholder services fees as disclosed in the administration agreement and reporting services

fees of USD 7,000 per Fund per annum.

Shareholder services are provided for all principal fund support functions. Transfer agency fees are charged based on the

number of Funds in the umbrella structure and are subject to adequate minimum thresholds. The fee is based on the number

of shareholders, number of statements issued, number of share classes and volume of trading in a period. Transfer agency

fees are disclosed within Administration and transfer agency fees on the face of the Profit and Loss Account for each Fund.



30 September 2011


The Custodian and Trustee, and Administration fees disclosed in the Profit and Loss Account include minimum fees. If the

total of the minimum fees is in excess of the combined administration and trustee percentage charges, the share class fee, the

reporting service fee and the shareholder service fee, after the deduction of any discount, then this minimum will apply. The

minimum fee for new Funds will be waived for one year from the launch of the new Fund.

Related Party Transactions

Directors

None of the Directors affiliated to Frank Russell Company, the Manager, the Administrator or the Custodian and Trustee will

receive a Director’s fee. Directors’ fees charged during the period were EUR 37,936 (year ended 31 March 2011: EUR

89,026, six months ended 30 September 2010: EUR 35,345), these amounts are included in miscellaneous fees in the

Combined Profit and Loss Account. Directors’ fees are paid to non-executive directors. The Articles of Association provide

that the Directors shall be entitled to a fee by way of remuneration at a rate to be determined from time to time by the

Directors. The Prospectus dated 29 January 2010 increased the limit to EUR 90,000 for calendar year ended 31 December

2011. The Prospectus dated 1 April 2011 discloses that the Directors’ remuneration will not exceed EUR 150,000 for the

calendar year ending 31 December 2011. In addition to such fees the Directors shall be entitled to be reimbursed out of the

assets of the Company for all travelling, hotel and other reasonable out-of pocket expenses properly incurred by them in

attending and returning from meetings of the Directors or any meetings in connection with the business of the Company.

Directors’ fees charged during the six months by the Funds, were as follows:

Six months ended

30 September 2011

EUR

Year ended

31 March 2011

EUR

Six months ended

30 September 2010

EUR

The Euro Fixed Income Fund .................................................. 2,078 4,047 2,092

The Global Bond (Euro Hedged) Fund .................................... 4,099 7,921 3,947 The Pan European Equity Fund ............................................... 2,354 3,190 1,510

The U.K. Equity Plus Fund....................................................... 1,532 2,688 1,803

The U.S. Growth Fund ............................................................ 1,258 3,884 1,463 The U.S. Quant Fund ............................................................... 1,236 3,791 1,440

The U.S. Value Fund ............................................................... 1,630 4,763 1,552

The World Equity Fund ........................................................... 23,749 58,742 21,538

37,936 89,026 35,345

All of the Directors of the Company are also directors of Russell Investment Company plc and Russell Investment Company

III plc.

All of the Directors of the Company are also directors of the Manager.

The following Directors of the Company are employed by the Advisor and Distributor: Mr. James Firn, Mr. James

Beveridge, Mr. Michael Hunt, Mr. Neil Jenkins and Mr. Alan Schoenheimer.

The following Directors of the Company are employed by Frank Russell Company in Seattle: Mr. Peter Gunning and Mr.

Kenneth Willman.

The Advisor and Distributor operates a defined contribution pension plan for its employees which invest in Russell managed

funds. The pension fund is subject to management fee rebate. Some Directors of the Company or the Manager who are

employed by the Advisor and Distributor may be indirectly exposed to the Company.

Promoter

Frank Russell Company acts as promoter to the Company (the “Promoter”). During the period, the Promoter earned no fees

(year ended 31 March 2010: Nil, six months ended 30 September 2010: Nil) in its capacity as Promoter to the Company.


Russell Implementation Services Inc. is a related party to the Advisor and acted as Money Manager to for The Global Bond

(Euro Hedged) Fund, The U.S. Quant Fund and The U.S. Value Fund during the six months ended 30 September 2011. The

appointment of Russell Implementation Services Inc. was subject to the same procedure as appointing an external Money

Manager. An intercompany agreement and investment guidelines are applied.

Russell Implementation Services Inc. is engaged by the Company to carry out currency trading for which a fee of 0.02 per

cent per trade is included in individual transactions. For the six months ended 30 September 2011, this fee was EUR 75,172

(year ended 31 March 2011: EUR 165,966, six months ended 30 September 2010: EUR 62,929).



30 September 2011


Investment in other Russell Funds

Investment in Russell Investment Company III plc

The Funds may invest in funds of Russell Investment Company III plc (“RIC III plc”), which is also managed by the

Manager. RIC III plc is an umbrella structure with segregated liability between funds. The investment objective of the RIC

III plc funds is to provide the maximum current income that is consistent with the preservation of capital and liquidity by

investing in short term, high-grade debt and debt-related instruments. Uninvested cash in the Funds is swept daily to funds of

RIC III plc, as appropriate, to maximise the earnings of cash held. A management fee which varies from 0.05 per cent to 1.80

per cent of the underlying net asset value is incurred depending on the fund/share class of RIC III plc in which a Fund

invests.

Related Party Shareholder of the Company

During the six months ended 30 September 2011, the year ended 31 March 2011 and six months ended 30 September 2010,

certain Funds of open-ended collective investment schemes also managed by the Manager and administered by the

Administrator were invested in the Funds.

The table below discloses the value of related shareholders in the Company and the percentage of this value against the

Company’s combined net asset value as at 30 September 2011, 31 March 2011 and 30 September 2010.

Related Party Shareholder % % %

Russell Investment Company plc .............................................................................................................................. 24,218,448 0.67% 35,159,761 0.94% - 0.00% Russell Institutional Funds plc .................................................................................................................................. 33,231,915 0.91% 41,131,903 1.10% 40,074,323 1.21%

Russell Multi-Manager Funds plc ............................................................................................................................. 83,442,117 2.29% 89,565,518 2.39% 91,385,233 2.77%

Directed Transactions The Advisor retains the right to request that the Money Managers participate in Russell’s soft commission and commission

recapture program (the “Program”) by executing a portion of their securities transactions through various brokers (the

“Correspondent Broker Network”). The Program, including the Correspondent Broker Network, is administered by

Recapture Services, division of BNY ConvergEx Execution Solutions LLC (“BNY”). At the Advisor’s direction, Money

Managers execute a portion of their securities transactions through the Correspondent Broker Network. As a result of this

trading activity, BNY will set aside a portion of these commissions as “credits”. Credits can be earmarked for research (soft

commission) or commission recapture. Research credits will be used by the Advisor to purchase third party research that will

aid the Advisor in its investment decision-making process. Research purchased through the Program is obtained from

unaffiliated third parties at market rates. All soft commission use is overseen by Russell’s soft commission committee (the

“Committee”) which is made up of senior level investment personnel. The Committee, with the guidance of Russell’s

investment strategy committee will establish an annual soft commission research budget. Once the soft commission research

budget has been met Russell will instruct BNY to recapture future commission credits. Commission recapture credits are

rebated directly back to the relevant Fund from which the commission was generated. The Advisor does not receive any

revenue (directly or indirectly from BNY or any broker) from the commission recapture component of the Program. Money

Manager participation in the Program is not mandatory and the appropriate participation percentage target is determined on a

Money Manager by Money Manager basis, based upon asset class, investment mandate, trading habits, and tolerance for

participation. Participation in the Program is always subject to a Money Manager’s ability to obtain best execution.

The gross amount of commission traded through the broker network operated by BNY, on behalf of the Program for the six

months ended 30 September 2011 amounted to EUR 360,725 (year ended 31 March 2011: EUR 364,433, six months ended

30 September 2010: EUR 169,026).

Soft Commissions

The Advisor has the right under the terms of its agreements with the Money Managers to request that the Money Manager,

subject to a requirement of best execution, execute transactions that enable it or its advisors to purchase brokerage and

research services that assist in the provision of investment services to the Company and are in the best interests of the

Company’s shareholders. Brokerage and research services include: (1) advice either directly or indirectly through

publications or writings as to the value of securities, the advisability of investing in, purchasing or selling securities and the

availability of securities or of purchasers or sellers of securities; (2) analysis and reports concerning issuers, industries,

securities, economic factors and trends, portfolio strategy and the performance of accounts; and/or (3) effecting securities

transactions and performing functions incidental thereto (such as clearance and settlement) or that are required in connection

therewith.



30 September 2011


The Advisor has received the following goods and services from brokers and dealers over the period covered by these

accounts: written and oral research reports from brokers or dealers; computer based financial systems together with their

associated software and servicing support; and statistical analyses relating to markets, companies, industries, business and

economic factors, market trends and portfolio strategies. All goods and services received comply with the requirements of the

U.K. Financial Services Authority.

4. Securities Lending During the period, the Company participated in a single securities lending programme with State Street Bank and Trust

Company (“State Street”).

At 30 September 2011, the aggregate value of securities on loan by the Company amounted to EUR 390,825,522 (year ended

31 March 2011: EUR 212,353,571, six months ended 30 September 2010: EUR 146,737,740) and the value of collateral held

by the Company in respect of these securities amounted to EUR 255,247,752 (year ended 31 March 2011: EUR 220,764,920,

six months ended 30 September 2010: EUR 196,316,188).

Securities Finance Trust Company (“SFT”)

Prior to October 2008, the Company operated a securities lending programme with SFT. Cash collateral received was

invested in the SFT Collective Investment Scheme (“eSec SFT Fund”). As a consequence of its ratings downgrade from

Moody’s Investor Services on 30 September 2008, the eSec SFT Fund was forced to suspend trading.

As at 30 September 2011, all but two of the underlying assets have been sold or matured. These assets continued to be fair

valued.

Repayment of all the collateral to the borrowers in the SFT securities lending program has now been made.

The following tables show the reconciliations of the consolidated fair value of the eSec SFT Fund, the SFT managed account

and fair value of cash invested in eSec SFT Fund due to securities lending counterparties for the financial period ended 30

September 2011, the year ended 31 March 2011 and six months ended 30 September 2010.

Consolidated eSec SFT Fund and SFT Managed Account at fair value

The Pan

European

Equity Fund

EUR

The U.S.

Growth Fund

USD

The World

Equity Fund

USD

Fair value as at 30/09/2010 .................................................................................................. 29,063 481 40,476

Gain on investments during the period ............................................................................. 277,771 4,780 401,666

Cash distributions during the period ................................................................................. (85,680) (1,375) (115,524)

Fair value as at 31/03/2011 .................................................................................................. 221,154 3,886 326,618

Gain on investments during the year ................................................................................. 1,019,760 4,646 389,356 Cash distributions during the year .................................................................................... (58,731) (745) (61,564)

Fair value as at 30/09/2011 .................................................................................................. 1,182,183 7,787 654,410



30 September 2011


State Street Bank and Trust securities lending programme

Since December 2008, all securities lending is managed by State Street. The loans with State Street are secured by cash

collateral some of which is invested in Russell Investment Company III plc, repurchase agreement cash, U.K. certificates of

deposit, U.K. equities and gilts in accordance with the requirements of the Central Bank.

Presentation in the Financial Statements

The fair value of all cash collateral received by State Street has been reflected as a separate asset on the Balance Sheet of

each relevant Fund as “Cash received as collateral and invested relating to securities lending transactions” and a matching

liability to the counterparty “Cash due to counterparties for securities lending transactions”.

As at 30 September 2011, the total value of outstanding securities on loan and the value of collateral received (cash and non-

cash collateral) by the relevant sub-funds is disclosed below.

Fund

Fund

Functional

Currency

Value of

Securities on

Loan

Value of

Collateral

Value of Cash

Collateral

Value of

Non-Cash

Collateral

Value of SFT

Cash

Collateral

The Euro Fixed Income Fund ................................................................................................... EUR 60,143,741 61,803,915 61,074,887 729,028 -

The Global Bond (Euro Hedged) Fund ..................................................................................... EUR 21,204,789 23,572,703 21,227,929 2,344,774 -

The Pan European Equity Fund ................................................................................................ EUR 9,904,521 10,697,065 10,697,065 - - The U.K. Equity Plus Fund ...................................................................................................... GBP 4,292,779 7,328,947 4,672,908 2,656,040 -

The U.S. Growth Fund ............................................................................................................. USD 584,549 615,104 615,104 - -

The U.S. Quant Fund ................................................................................................................ USD 496,292 524,282 524,282 - - The U.S. Value Fund ................................................................................................................ USD 2,895,595 3,063,997 3,063,997 - -

The World Equity Fund ............................................................................................................ USD 215,586,985 230,502,046 230,502,046 - -

Note: all amounts above are disclosed in the functional currency of the relevant Fund.

As at 31 March 2011, the total value of outstanding securities on loan and the value of collateral received (cash and non-cash

collateral) by the relevant sub-funds is disclosed below.

Fund

Fund

Functional

Currency

Value of

Securities on

Loan

Value of

Collateral

Value of Cash

Collateral

Value of

Non-Cash

Collateral

Value of SFT

Cash

Collateral

The Euro Fixed Income Fund ................................................................................................... EUR 24,291,250 24,779,542 22,922,921 1,856,621 - The Global Bond (Euro Hedged) Fund ..................................................................................... EUR 41,259,944 41,882,620 26,323,342 15,559,278 -

The Pan European Equity Fund ................................................................................................ EUR 5,747,341 6,039,196 6,039,196 - -

The U.K. Equity Plus Fund ...................................................................................................... GBP 5,383,150 5,706,568 3,260,952 2,445,616 - The U.S. Growth Fund ............................................................................................................. USD 719,719 738,465 738,465 - -

The U.S. Quant Fund ................................................................................................................ USD 534,791 546,247 546,247 - -

The U.S. Value Fund ................................................................................................................ USD 1,562,003 1,623,650 1,623,650 - - The World Equity Fund ............................................................................................................ USD 188,725,764 198,061,292 198,061,292 - -


As at 30 September 2010, the total value of outstanding securities on loan and the value of collateral received (cash and non-

cash collateral) by the relevant sub-funds is disclosed below.

Fund

Fund

Functional

Currency

Value of

Securities on

Loan

Value of

Collateral

Value of Cash

Collateral

Value of

Non-Cash

Collateral

Value of SFT

Cash

Collateral

The Euro Fixed Income Fund ................................................................................................... EUR 32,387,702 32,807,735 31,814,073 993,662, - The Global Bond (Euro Hedged) Fund ..................................................................................... EUR 42,974,061 43,540,465 35,951,031 7,589,434 -

The Pan European Equity Fund ................................................................................................ EUR 5,150,027 6,466,493 5,387,503 - 1,078,990

The U.K. Equity Plus Fund ....................................................................................................... GBP 9,270,413 9,966,535 5,581,451 4,385,084 - The U.S. Growth Fund .............................................................................................................. USD 5,132,969 5,260,606 5,242,669 - 17,937

The U.S. Quant Fund ................................................................................................................ USD 2,123,632 2,197,838 2,197,838 - -

The U.S. Value Fund ................................................................................................................ USD 2,233,241 2,295,511 2,295,511 - - The World Equity Fund ............................................................................................................ USD 137,247,897 145,198,258 143,690,871 - 1,507,387




30 September 2011


5. Cash at Bank, Bank Overdrafts and Cash Held with/due to Brokers and Counterparties

Cash at Bank Balances

Cash at bank balances are comprised of cash balances held by State Street Bank and Trust Company, London and

unrestricted margin accounts held by brokers and counterparties for financial derivative positions held by the Funds as at the

respective balance sheet dates and are detailed in the tables below. Margin cash may also be covered by the Funds to brokers

and counterparties for financial derivative positions held by the Funds as at balance sheet date and any such monies are

disclosed as a liability on the relevant Funds’ Balance Sheet and are also detailed in the tables below.

All cash at bank balances are held by State Street Bank and Trust Company, London for those Funds not listed below.

Cash held in U.S. Dollar bank accounts with State Street Bank and Trust Company, London automatically transfer into

overnight deposit accounts held by State Street Cayman Trust Company Ltd., Cayman Islands.


Held with Location

The Euro

Fixed

Income

Fund

EUR

The Global

Bond

(Euro

Hedged)

Fund

EUR

The Pan

European

Equity

Fund

EUR

The U.K.

Equity Plus

Fund

GBP

The U.S.

Growth

Fund

USD

The U.S.

Quant

Fund

USD

State Street Bank & Trust Company .............................. London, United Kingdom 929436 4,197,028 1763754 1,660,488 559,768 262,559

Citibank, N.A. ................................................................ New York, U.S.A. - - - - 530,544 162,780 Goldman Sachs & Co. .................................................... New York, U.S.A. - - 600,995 - - -

JP Morgan Chase Bank .................................................. New York, U.S.A. 1,033,074 - - - - -

UBS AG ......................................................................... London, United Kingdom 243,404 - - - - -

Total 2,205,914 4,197,028 2,364,749 1,660,488 1,090,312 425,339

Held with Location

The U.S.

Value

Fund

USD

The World

Equity

Fund

USD

Total

EUR

State Street Bank & Trust Company ............................... London, United Kingdom 880,714 19,525,714 24,640,426

Citibank, N.A. ................................................................ New York, U.S.A. 245,545 - 699,760 Goldman Sachs & Co. .................................................... New York, U.S.A. - - 600,995

JP Morgan Chase Bank .................................................. New York, U.S.A. - - 1,033,074

Morgan Stanley & Co. ................................................... New York, U.S.A. - 14,614,057 10,892,193 UBS AG ......................................................................... London, United Kingdom - - 243,404

Total 1,126,259 34,139,771 38,109,852

Owed to Location

The Global

Bond

(Euro

Hedged)

Fund

EUR

The U.K.

Equity

Plus Fund

GBP

Total

EUR

Goldman Sachs & Co. .................................................... New York, U.S.A. (219,261) - (219,261) UBS AG ......................................................................... London, United Kingdom - (310,715) (310,760)

Total (219,261) (310,715) (580,021)



30 September 2011


As at 31 March 2011

Held with Location

The Euro

Fixed

Income

Fund

EUR

The Global

Bond

(Euro

Hedged)

Fund

EUR

The Pan

European

Equity

Fund

EUR

The U.K.

Equity Plus

Fund

GBP

The U.S.

Growth

Fund

USD

The U.S.

Quant

Fund

USD

State Street Bank & Trust Company .............................. London, United Kingdom 3,913,335 2,719,250 924,889 725,475 542,310 369,579

Citibank, N.A. ................................................................ New York, U.S.A. - - - - 240,708 155,735 Goldman Sachs & Co. .................................................... New York, U.S.A. - 18,077 - - - -

JP Morgan Chase Bank .................................................. New York, U.S.A. 572,645 - - - - -

UBS AG ......................................................................... London, United Kingdom 118,868 - - - - -

Total 4,604,848 2,737,327 924,889 725,475 783,018 525,314

Held with Location

The U.S.

Value

Fund

USD

The World

Equity

Fund

USD

Total

EUR

State Street Bank & Trust Company ............................... London, United Kingdom 800,511 15,882,857 20,775,822

Citibank, N.A. ................................................................ New York, U.S.A. - - 279,362 Goldman Sachs & Co. .................................................... New York, U.S.A. - - 18,077

JP Morgan Chase Bank .................................................. New York, U.S.A. - - 572,645

Morgan Stanley & Co. ................................................... New York, U.S.A. 948,357 - 668,281 UBS AG ......................................................................... London, United Kingdom - - 118,868

Total 1,748,868 15,882,857 22,433,055

Owed to Location

The Euro

Fixed

Income

Fund

EUR

The Global

Bond

(Euro

Hedged)

Fund

EUR

The U.K.

Equity Plus

Fund

GBP

Total

EUR

Goldman Sachs & Co. .................................................... New York, U.S.A. (2,695) (76,618) - (79,313) JP Morgan Chase Bank .................................................. New York, U.S.A. - (275,986) - (275,986)

UBS AG ......................................................................... London, United Kingdom - - (174,330) (196,915)

Total (2,695) (352,604) (174,330) (552,214)



30 September 2011



Held with Location

The Euro

Fixed

Income

Fund

EUR

The Global

Bond

(Euro

Hedged)

Fund

EUR

The Pan

European

Equity

Fund

EUR

The U.K.

Equity Plus

Fund

GBP

The U.S.

Growth

Fund

USD

The U.S.

Quant

Fund

USD

State Street Bank & Trust Company ............................. London, United Kingdom 5,191,553 1,595,140 1,614,359 665,019 771,686 567,377

Bank of America ............................................................ Boston, U.S.A. - - - - - - Barclays Capital Inc. ....................................................... New York, U.S.A. - - - - - -

Citigroup Global Markets Holdings Inc. ........................ New York, U.S.A. - - - - - -

Credit Suisse International ............................................. New York, U.S.A. - - - - - - Deutsche Bank ............................................................... New York, U.S.A. - - - - - -

Goldman Sachs & Co. .................................................... New York, U.S.A. - - - - - -

JP Morgan Chase Bank ................................................... New York, U.S.A. 29,340 - - - - -

Macquarie Bank Ltd. ...................................................... Sydney, Australia - - - - - -

Merrill Lynch & Co. Inc. ............................................... New York, U.S.A. - - - - - -

Morgan Stanley & Co. ................................................... New York, U.S.A. - - - - - - Morgan Stanley & Co. International Plc. ....................... . London, United Kingdom - - 342,769 - - -

Morgan Stanley International Securities ........................ Seoul, South Korea - - - - - -

Royal Bank of Canada ................................................... Toronto, Canada - - - - - - UBS AG ......................................................................... London, United Kingdom 126,629 - - - - -

Total 5,347,522 1,595,140 1,957,128 665,019 771,686 567,377

Held with Location

The U.S.

Value

Fund

USD

The World

Equity

Fund

USD

Total

EUR

State Street Bank & Trust Company ............................... London, United Kingdom 1,591,966 11,838,711 19,987,390 Bank of America ............................................................. Boston, U.S.A. - - -

Barclays Capital Inc. ....................................................... New York, U.S.A. - - - Citigroup Global Markets Holdings Inc. ......................... New York, U.S.A. - - -

Credit Suisse International .............................................. New York, U.S.A. - - -

Deutsche Bank ................................................................ New York, U.S.A. - - - Goldman Sachs & Co. ..................................................... New York, U.S.A. - - -

JP Morgan Chase Bank ................................................... New York, U.S.A. - - 29,340

Macquarie Bank Ltd........................................................ Sydney, Australia - - - Merrill Lynch & Co. Inc. ................................................ New York, U.S.A. - - -

Morgan Stanley & Co. .................................................... New York, U.S.A. - - -

Morgan Stanley & Co. International Plc. ........................ London, United Kingdom - - 342,769 Morgan Stanley International Securities ......................... Seoul, South Korea - - -

Royal Bank of Canada .................................................... Toronto, Canada - - -

UBS AG .......................................................................... London, United Kingdom - - 126,629

Total 1,591,966 11,838,711 20,486,128



30 September 2011


Owed to Location

The Euro

Fixed

Income

Fund

EUR

The Global

Bond

(Euro

Hedged)

Fund

EUR

The U.K.

Equity

Plus Fund

GBP

The U.S.

Growth

Fund

USD

The U.S.

Quant

Fund

USD

State Street Bank & Trust Company ............................... London, United Kingdom - - - - -

Bank of America ............................................................. Boston, U.S.A. - - - - -

Barclays Capital Inc. ....................................................... New York, U.S.A. - - - - - Citigroup Global Markets Holdings Inc. ......................... New York, U.S.A. - - - (132,840) (37,815)

Credit Suisse International .............................................. New York, U.S.A. - - - - -

Deutsche Bank ................................................................ New York, U.S.A. - - - - - Goldman Sachs & Co. ..................................................... New York, U.S.A. (126,406) (662,645) - - -

JP Morgan Chase Bank ................................................... New York, U.S.A. (106,310) (3,669,223) - - -

Macquarie Bank Ltd........................................................ Sydney, Australia - - - - -

Merrill Lynch & Co. Inc. ................................................ New York, U.S.A. - (188,788) - - -

Morgan Stanley & Co. .................................................... New York, U.S.A. - - - - -

Morgan Stanley & Co. International Plc. ........................ London, United Kingdom - - - - - Morgan Stanley International Securities ......................... Seoul, South Korea - - - - -

Royal Bank of Canada Toronto, Canada - - - - -

UBS AG .......................................................................... London, United Kingdom - - (380,120) - -

Total (232,716) (4,520,656) (380,120) (132,840) (37,815)

Owed to Location

The U.S.

Value

Fund

USD

The World

Equity

Fund

USD

Total

EUR

State Street Bank & Trust Company ............................... London, United Kingdom - - -

Bank of America ............................................................. Boston, U.S.A. - - - Barclays Capital Inc. ....................................................... New York, U.S.A. - - -

Citigroup Global Markets Holdings Inc. ......................... New York, U.S.A. (491,484) - (485,012) Credit Suisse International .............................................. New York, U.S.A. - - -

Deutsche Bank ................................................................ New York, U.S.A. - - -

Goldman Sachs & Co. ..................................................... New York, U.S.A. - - (789,051) JP Morgan Chase Bank ................................................... New York, U.S.A. - - (3,775,533)

Macquarie Bank Ltd. ....................................................... Sydney, Australia - - -

Merrill Lynch & Co. Inc. ................................................ New York, U.S.A. - - (188,788) Morgan Stanley & Co. .................................................... New York, U.S.A. - - -

Morgan Stanley & Co. International Plc. ........................ London, United Kingdom - (1,203,867) (881,824)

Morgan Stanley International Securities ......................... Seoul, South Korea - - - Royal Bank of Canada .................................................... Toronto, Canada - - -

UBS AG .......................................................................... London, United Kingdom - - (438,758)

Total (491,484) (1,203,867) (6,558,966)



30 September 2011


Cash held with brokers and counterparties for open financial derivative positions

Cash is also deposited by or on behalf of the Funds for initial margin purposes with brokers for options and futures contracts

held on the Funds as at six months ended 30 September 2011, the year ended 31 March 2011 and six months ended 30

September 2010 respectively as detailed in the tables below. As this amount is the minimum deemed by the brokers for

collateral requirements the cash is as such restricted and is reported separately to the unrestricted cash on the Funds’ Balance

Sheets.


Held with Location

The Euro

Fixed

Income

Fund

EUR

The Global

Bond

(Euro

Hedged)

Fund

EUR

The Pan

European

Equity

Fund

EUR

The U.K.

Equity Plus

Fund

GBP

The U.S.

Growth

Fund

USD

The U.S.

Quant

Fund

USD

Bank of America ............................................................ Charlotte, NC, U.S.A. - - - - - - Barclays Capital Inc. ....................................................... New York, U.S.A. - 544,086 - - - -

BNP Paribas ................................................................... New York, U.S.A. - 231,050 - - - -

Citibank, N.A. ................................................................ New York, U.S.A. - 678,244 - - 464,000 204,650 Credit Suisse International ............................................. New York, U.S.A. - 946,560 - - - -

Deutsche Bank ............................................................... New York, U.S.A. - 231,050 - - - -

Goldman Sachs & Co. .................................................... New York, U.S.A. 214,691 509,436 1,593,154 - - - JP Morgan Chase Bank .................................................. New York, U.S.A. 735,487 957,575 - - - -

Macquarie Bank Ltd. ...................................................... Sydney Australia - - - - - -

Merrill Lynch & Co. Inc. ............................................... New York, U.S.A. - - - - - - Morgan Stanley & Co. ................................................... New York, U.S.A. - - - - - -

Morgan Stanley & Co. International Plc ........................ London, United Kingdom - - - - - -

Morgan Stanley International Securities ........................ Seoul, South Korea - - - - - - UBS AG ......................................................................... London, United Kingdom 132,002 558,992 - 1,000,000 - -

Total 1,082,180 4,656,993 1,593,154 1,000,000 464,000 204,650

Held with Location

The U.S.

Value

Fund

USD

The World

Equity

Fund

USD

Total

EUR

Bank of America ............................................................ Charlotte, NC, U.S.A. - - - Barclays Capital Inc. ....................................................... New York, U.S.A. - - 544,086

BNP Paribas ................................................................... New York, U.S.A. - - 231,050

Citibank, N.A. ................................................................ New York, U.S.A. 664,000 - 1,671,499 Credit Suisse International ............................................. New York, U.S.A. - - 946,560

Deutsche Bank ............................................................... New York, U.S.A. - - 231,050

Goldman Sachs & Co. .................................................... New York, U.S.A. - - 2,317,281 JP Morgan Chase Bank .................................................. New York, U.S.A. - - 1,693,062

Macquarie Bank Ltd. ...................................................... Sydney Australia - - -

Merrill Lynch & Co. Inc. ............................................... New York, U.S.A. - - - Morgan Stanley & Co. ................................................... New York, U.S.A. - 5,279,570 3,934,982

Morgan Stanley & Co. International Plc ........................ London, United Kingdom - - -

Morgan Stanley International Securities ........................ Seoul, South Korea - - - UBS AG ......................................................................... London, United Kingdom - - 1,852,058

Total 664,000 5,279,570 13,421,628



30 September 2011


As at 31 March 2011

Held with Location

The Euro

Fixed

Income

Fund

EUR

The Global

Bond

(Euro

Hedged)

Fund

EUR

The Pan

European

Equity

Fund

EUR

The U.K.

Equity Plus

Fund

GBP

The U.S.

Growth

Fund

USD

The U.S.

Quant

Fund

USD

Bank of America ............................................................ Charlotte, NC, U.S.A. - 84,560 - - - -

Citibank, N.A. ................................................................ New York, U.S.A. - - - - 400,500 273,000 Goldman Sachs & Co. .................................................... New York, U.S.A. 274,730 469,593 - - - -

JP Morgan Chase Bank .................................................. New York, U.S.A. 250,312 331 - - - -

Morgan Stanley & Co. ................................................... New York, U.S.A. - - 460,110 - - - UBS AG ......................................................................... London, United Kingdom 133,195 91,607 - 400,000 - -

Total 658,237 646,091 460,110 400,000 400,500 273,000

Held with Location

The U.S.

Value

Fund

USD

The World

Equity

Fund

USD

Total

EUR

Bank of America ............................................................ Charlotte, NC, U.S.A. - - 84,560 Citibank, N.A. ................................................................ New York, U.S.A. - - 474,597

Goldman Sachs & Co. .................................................... New York, U.S.A. - - 744,323

JP Morgan Chase Bank .................................................. New York, U.S.A. - - 250,643 Morgan Stanley & Co. ................................................... New York, U.S.A. 666,000 13,888,845 10,716,499

UBS AG ......................................................................... London, United Kingdom - - 676,626

Total 666,000 13,888,845 12,947,248


Held with Location

The Euro

Fixed

Income

Fund

EUR

The Global

Bond

(Euro

Hedged)

Fund

EUR

The Pan

European

Equity

Fund

EUR

The U.K.

Equity Plus

Fund

GBP

The U.S.

Growth

Fund

USD

The U.S.

Quant

Fund

USD

Bank of America ............................................................ Boston, U.S.A. - 87,899 - - - - Barclays Capital Inc. ..................................................... New York, U.S.A. - - - - - -

Citigroup Global Markets Holdings Inc. ........................ New York, U.S.A. - - - - 997,900 517,500

Credit Suisse International ............................................. New York, U.S.A. - - - - - - Deutsche Bank ............................................................... New York, U.S.A. - 432,171 - - - -

Goldman Sachs & Co. ................................................... New York, U.S.A. 200,300 1,326,946 - - - -

JP Morgan Chase Bank ................................................. New York, U.S.A. 301,851 1,157,400 - - - - Macquarie Bank Ltd. ..................................................... Sydney, Australia - - - - - -

Merrill Lynch & Co. Inc. ............................................... New York, U.S.A. - 128,156 - - - -

Morgan Stanley & Co. ................................................... New York, U.S.A. - - - - - - Morgan Stanley & Co. International Plc. ....................... London, United Kingdom - - 447,544 - - -

Morgan Stanley International Securities ........................ Seoul, South Korea - - - - - -

Royal Bank of Canada ................................................... Toronto, Canada - - - - - - UBS AG London, United Kingdom 122,522 - - 964,800 - -

Total 624,673 3,132,572 447,544 964,800 997,900 517,500

Held with Location

The U.S.

Value

Fund

USD

The World

Equity

Fund

USD

Total

EUR

Bank of America ........................................................... Boston, U.S.A. - - 87,899 Barclays Capital Inc. ..................................................... New York, U.S.A. - - -

Citigroup Global Markets Holdings Inc. ........................ New York, U.S.A. 1,449,000 - 2,171,402

Credit Suisse International ............................................. New York, U.S.A. - - - Deutsche Bank ............................................................... New York, U.S.A. - - 432,171

Goldman Sachs & Co. ................................................... New York, U.S.A. - - 1,527,246

JP Morgan Chase Bank ................................................. New York, U.S.A. - - 1,459,251 Macquarie Bank Ltd. ..................................................... Sydney, Australia - - -

Merrill Lynch & Co. Inc. ............................................... New York, U.S.A. - - 128,156

Morgan Stanley & Co. ................................................... New York, U.S.A. - - - Morgan Stanley & Co. International Plc. ....................... London, United Kingdom - 8,012,290 6,316,491

Morgan Stanley International Securities ........................ Seoul, South Korea - - -

Royal Bank of Canada ................................................... Toronto, Canada - - -

UBS AG ........................................................................ London, United Kingdom - - 1,236,155

Total 1,449,000 8,012,290 13,358,771



30 September 2011


Broker cash due to counterparties for financial derivative instruments transactions

Cash amounts pledged as collateral by counterparties for financial derivative instruments and held by the relevant Funds at

each balance sheet date are detailed in the tables below. As such these amounts do not form part of the net assets of the

respective Funds hence a related asset to repay the cash collateral to the counterparties is reported as an asset on the relevant

Balance Sheets.


Held with Location

The Global

Bond

(Euro

Hedged)

Fund

EUR

Total

EUR

Credit Suisse International ............................................. New York, U.S.A. (193,784) (193,784)

Goldman Sachs & Co. .................................................... New York, U.S.A. (134,158) (134,158) HSBC ............................................................................. New York, U.S.A. (409,928) (409,928)

Royal Bank of Canada ................................................... Toronto, Canada (290,676) (290,676)

Total (1,028,546) (1,028,546)

As at 31 March 2011

Held with Location

The Global

Bond

(Euro

Hedged)

Fund

EUR

Total

EUR

Barclays Capital Inc. ...................................................... New York, U.S.A. (7,047) (7,047) Citibank, N.A. ................................................................ New York, U.S.A. (183,215) (183,215)

Deutsche Bank ............................................................... New York, U.S.A. (563,737) (563,737)

HSBC ............................................................................. New York, U.S.A. (584,878) (584,878)

Royal Bank of Canada ................................................... Toronto, Canada (56,374) (56,374)

Royal Bank of Scotland ................................................. London, United Kingdom (549,644) (549,644)

Total (1,944,895) (1,944,895)


Held with Location

The Global

Bond

(Euro

Hedged)

Fund

EUR

Total

EUR

Barclays Capital Inc. ...................................................... New York, U.S.A. (3,955,462) (3,955,462)

Citibank, N.A. ................................................................ New York, U.S.A. (871,667) (871,667)

Total (4,827,129) (4,827,129)

6. Number of Shares in Issue and Net Assets Attributable to Redeemable Participating Shareholders

Authorised Share Capital

The authorised share capital of the Company is 39,000 subscriber shares of no par value and 500 billion participating shares

of no par value. Subscriber shares do not form part of the net asset value of the Company. They are disclosed in the financial

statements by way of this note only.

Holders of subscriber shares are not entitled to dividends or any surplus of assets over liabilities upon the winding-up of the

Company. There are two subscriber shares in issue, which are held by Frank Russell Company and the Advisor.

Redeemable Participating Shares

Each of the shares entitles the holder to participate equally on a pro rata basis in the profits and dividends of the relevant

Fund attributable to such shares and to attend and vote at meetings of the Company and of the relevant Fund represented by

those shares. No class of shares confers on the holder thereof any preferential or pre-emptive rights or any rights to

participate in the profits and dividends of any other class of shares or any voting rights in relation to matters relating solely to

any other class of shares.

Each share represents an individual beneficial interest in the Company. The shares are not debt obligations or guaranteed by

the Company. The return on an investment in the Company will depend solely upon the investment performance of the assets

of the relevant Fund and the increase or decrease (as the case may be) in the net asset value of the shares. The amount



30 September 2011


payable to a shareholder in respect of each share upon liquidation of the Company or a Fund will equal the net asset value per

share.

Listed investments and investments with prices quoted in over the counter markets or by market makers are stated at the last

traded price as at the close of business on the relevant dealing day for the purposes of determining net asset value per share

for subscriptions and redemptions and for various fee calculations. However, as stated in Note 1 the accounting policy of the

Company for the purpose of compliance with FRS 26 and for reporting purposes is to value its investments at the relevant bid

market prices on the balance sheet date.

Net assets attributable to shareholders represent a liability in the Balance Sheet, carried at the redemption amount that would

be payable at the balance sheet date if the shareholder exercised the right to redeem the shares in the Company.

Consequently, the differences described above adjust the carrying amount of the net assets attributable to the shareholders.

The cumulative adjustment is included as “Adjustment from bid market prices to last traded market prices” on the Balance

Sheet.

Participating Share Transactions for the six months ended 30 September 2011

All cash amounts are in the functional currency of the relevant Fund not the currency of the Class. Net asset value per share

may not recalculate due to rounding of fractional shares.


Class B Class F Class I Class I Income

Class MZ

Income

Shares Shares Shares Shares Shares

At beginning of period ............................ 51,577 97 2,914,122 2,388,784 2,048,377

Shares issued ........................................... 23,591 - 16,037 - 2,686,252

Shares redeemed ..................................... (23,599) - (398,929) (209,672) (107,949)

At end of period ...................................... 51,569 97 2,531,230 2,179,112 4,626,680

Class B

EUR

Class F

EUR

Class I

EUR

Class I Income

EUR

Class MZ

Income

EUR

Subscriptions during the period ............... 32,591,576 - 355,862 - 27,892,702

Redemptions during the period ............... (32,790,218) - (9,033,408) (3,393,809) (1,131,071)


Class P

Income Class S

Shares Shares

At beginning of period ............................ 245,435 13,107 Shares issued ........................................... 18,966 864

Shares redeemed ..................................... (55,059) (264)

At end of period ...................................... 209,342 13,707

Class P

Income

EUR

Class S

EUR

Total

EUR

Subscriptions during the period ............... 240,376 95,300 61,175,816

Redemptions during the period ............... (699,784) (28,900) (47,077,190)

14,098,626



30 September 2011



Class A Class B Class DH-B Class I Class I Income


At beginning of period ............................ 256 155,233 2,887,659 2,605,376 2,157,082

Shares issued ........................................... 3,725 1,227 2,443,939 - - Shares redeemed ..................................... (54) (2,959) (2,176,059) (346,929) (201,397)

At end of period ...................................... 3,927 153,501 3,155,539 2,258,447 1,955,685

Class A

EUR

Class B

EUR

Class DH-B

EUR

Class I

EUR

Class I Income

EUR

Subscriptions during the period ............... 5,607,155 2,004,965 22,456,117 - -

Redemptions during the period ............... (83,499) (4,858,115) (20,152,184) (8,702,569) (3,615,911)


Class MZ

Income

Shares

At beginning of period ............................ 3,305,503 Shares issued ........................................... 695,280

Shares redeemed ...................................... (116,608)

At end of period ...................................... 3,884,175

Class MZ

Income

EUR

Total

EUR

Subscriptions during the period ............... 8,114,861 38,183,098

Redemptions during the period ................ (1,377,646) (38,789,924)

(606,826)


Class A Class B Class F Class J Class I

Class MZ

Income

Shares Shares Shares Shares Shares Shares

At beginning of period ............................ 1,001 110,283 20,786 - 25,268 622,356 Shares issued ........................................... 4,437 353,525 1,581 75,000 633 669,169

Shares redeemed ...................................... (1,166) (55,850) (1,331) - - (35,847)

At end of period ...................................... 4,272 407,958 21,036 75,000 25,901 1,255,678

Class A

EUR

Class B

EUR

Class F

EUR

Class J

EUR

Class I

EUR

Class MZ

Income

EUR

Subscriptions during the period ............... 3,483,132 294,954,204 1,798,440 522,326 10,312 8,448,053

Redemptions during the period ................ (871,062) (39,858,098) (1,296,374) - - (452,130)



30 September 2011



Class

PAM EU

Class R

Roll-Up

Shares Shares

At beginning of period ............................ 601,063 533,553 Shares issued ........................................... 832 33,330

Shares redeemed ...................................... (76,461) (3,869)

At end of period ...................................... 525,434 563,014

Class

PAMEU

EUR

Class R

Roll-Up

EUR

Total

EUR

Subscriptions during the period ............... 10,000 2,783,849 312,010,316

Redemptions during the period ................ (889,548) (333,277) (43,700,489)

268,309,827


Class B Class C Class I Income Class K

Class P

Income


At beginning of period ............................ 849,531 47,161 141,179 30,655 147,417 Shares issued ........................................... 93,789 4,518 15,276 - 16,798

Shares redeemed ...................................... (56,550) - (7,939) (7,475) (16,769)

At end of period ...................................... 886,770 51,679 148,516 23,180 147,446

Class B

GBP

Class C

GBP

Class I Income

GBP

Class K

GBP

Class P

Income

GBP

Subscriptions during the period ............... 9,392,231 331,349 1,378,000 - 1,583,356 Redemptions during the period ................ (6,254,445) - (737,869) (467,534) (1,609,137)


Class R

Income

Shares

At beginning of period ............................ 31,508 Shares issued ........................................... 8,166

Shares redeemed ...................................... (1,446)

At end of period ...................................... 38,228

Class R

GBP

Total

GBP

Subscriptions during the period ............... 803,427 13,488,363

Redemptions during the period ................ (148,742) (9,217,727)

4,270,636



30 September 2011



Class A

Income Class B Class C Class I Class I Income


At beginning of period ............................ 26,100 13,051,007 6,422 646,072 119,550 Shares issued ........................................... - 251,662 - 38,585 8,169

Shares redeemed ..................................... (16,000) (805,487) (1,064) (56,532) (7,577)

At end of period ...................................... 10,100 12,497,182 5,358 628,125 120,142

Class A

Income

USD

Class B

USD

Class C

USD

Class I

USD

Class I Income

USD

Total

USD

Subscriptions during the period ............... - 2,968,136 - 596,884 131,564 3,696,584

Redemptions during the period ............... (171,200) (9,183,754) (1,580,987) (903,739) (114,943) (11,954,623)

(8,258,039)

The U.S. Quant Fund

Class B Class C Class I Class P Income

Class R

Roll-Up


At beginning of period ............................ 5,535,355 1,797 2,959,809 749,986 228,900 Shares issued ........................................... - - 427 56,855 -

Shares redeemed ..................................... - (561) (724,218) (148,656) -

At end of period ...................................... 5,535,355 1,236 2,236,018 658,185 228,900

Class B

USD

Class C

USD

Class I

USD Class P Income

USD

Class R

Roll-Up

USD

Total

USD

Subscriptions during the period ............... - - 7,360 1,154,113 - 1,161,473 Redemptions during the period ............... - (530,971) (11,984,501) (3,062,903) - (15,578,375)

(14,416,902)

The U.S. Value Fund

Class A



At beginning of period ............................ 95,825 15,381,015 6,077 16,110 104,267 Shares issued ........................................... - 280,363 23 416 11,825

Shares redeemed ..................................... (7,850) (533,430) (952) (3,506) (2,843)

At end of period ...................................... 87,975 15,127,948 5,148 13,020 113,249

Class A

Income

USD

Class B

USD

Class C

USD

Class I

USD

Class I Income

USD

Total

USD

Subscriptions during the period ............... - 3,871,170 35,212 7,651 211,645 4,125,678 Redemptions during the period ............... (89,988) (6,915,102) (1,478,727) (57,975) (46,237) (8,588,029)

(4,462,351)



30 September 2011


The World Equity Fund Class B Class C Class D Class EH-T Class I Class J


At beginning of period ............................ 46,650,193 7,192,632 4,142,412 12,597,189 39,923,215 2,865,110

Shares issued ........................................... 708,673 16,246 1,614,023 3,115,586 709,294 1,783,805 Shares redeemed ..................................... (448,285) (886,288) (117,085) (5,689,229) (1,930,311) (755,204)

At end of period ...................................... 46,910,581 6,322,590 5,639,350 10,023,546 38,702,198 3,893,711

Class B

USD

Class C

USD

Class D

USD

Class EH-T

USD

Class I

USD

Class J

USD

Subscriptions during the period ............... 11,118,169 297,518 35,293,049 47,229,652 18,197,559 27,043,684

Redemptions during the period ............... (7,095,808) (16,693,213) (2,949,980) (76,652,607) (57,538,892) (11,631,623)


Class N Class R Class SH-B

Class TDCNV

Income Class TYA


At beginning of period ............................ 27,900 229,679 3,900,694 10,000,000 2,939,427 Shares issued ........................................... 3,043 7,126 153,785 - -

Shares redeemed ..................................... (1,895) (10,880) (29,717) - (7,393)

At end of period ...................................... 29,048 225,925 4,024,762 10,000,000 2,932,034

Class N

USD

Class R

USD

Class SH-B

USD

Class TDCNV

Income

USD

Class TYA

USD

Subscriptions during the period .............. 362,149 1,019,192 24,101,254 - - Redemptions during the period ............... (222,163) (1,511,173) (5,227,952) - (64,735)

The World Equity Fund Class TYC Class TYHC

Shares Shares

At beginning of period ............................ 3,694,516 3,810,431 Shares issued ........................................... 9,429,584 1,486,989

Shares redeemed ..................................... (1,983) (745,437)

At end of period ...................................... 13,122,117 4,551,983

Class TYC

USD

Class TYHC

USD

Total

USD

Subscriptions during the period .............. 117,524,210 18,118,349 300,304,785 Redemptions during the period ............... (21,274) (9,200,066) (188,809,486)

111,495,299



30 September 2011


Participating Share Transactions for the year ended 31 March 2011




Class A Class B Class F Class I Class I Income

Class MZ

Income


At beginning of year ................................ 13 47,633 157 2,848,234 2,435,631 1,699,961

Shares issued ........................................... - 18,795 - 175,386 160,974 496,054 Shares redeemed ..................................... (13) (14,851) (60) (109,498) (207,821) (147,638)

At end of year .......................................... - 51,577 97 2,914,122 2,388,784 2,048,377

Class A

EUR

Class B

EUR

Class F

EUR

Class I

EUR

Class I Income

EUR

Class MZ

Income

EUR

Subscriptions during the year .................. - 26,073,820 - 4,028,619 2,681,513 5,270,651 Redemptions during the year ................... (16,731) (21,142,565) (74,963) (2,482,785) (3,454,228) (1,563,576)


Class P

Income Class S

Shares Shares

At beginning of year ................................ 283,963 9,037

Shares issued ........................................... 61,558 4,105

Shares redeemed ..................................... (100,086) (35)

At end of year .......................................... 245,435 13,107

Class P

Income

EUR

Class S

EUR

Total

EUR

Subscriptions during the year .................. 805,580 448,750 39,308,933

Redemptions during the year ................... (1,307,877) (3,789) (30,046,514)

9,262,419


Class A Class B Class DH-B Class I Class I Income


At beginning of year ................................ 255 133,225 3,211,766 2,672,210 2,342,039 Shares issued ........................................... 28 24,000 1,021,809 193,577 77,488

Shares redeemed ..................................... (27) (1,992) (1,345,916) (260,411) (262,445)

At end of year .......................................... 256 155,233 2,887,659 2,605,376 2,157,082

Class A

EUR

Class B

EUR

Class DH-B

EUR

Class I

EUR

Class I Income

EUR

Subscriptions during the year .................. 41,299 38,489,948 10,071,526 4,722,461 1,386,547

Redemptions during the year ................... (41,001) (3,142,631) (13,202,378) (6,391,129) (4,717,916)



30 September 2011



Class MZ

Income

Shares

At beginning of year ................................ 2,993,244

Shares issued ........................................... 792,435

Shares redeemed ...................................... (480,176)

At end of year .......................................... 3,305,503

Class MZ

Income

EUR

Total

EUR

Subscriptions during the year .................. 9,151,812 63,863,593

Redemptions during the year ................... (5,664,972) (33,160,027)

30,703,566


Class A Class B Class F Class I

Class MZ

Income

Class

PAM EU


At beginning of year ................................ 2,278 78,508 17,431 24,535 591,172 788,745 Shares issued ........................................... 145 64,172 5,637 1,516 324,873 15,038

Shares redeemed ...................................... (1,422) (32,397) (2,282) (783) (293,689) (202,720)

At end of year .......................................... 1,001 110,283 20,786 25,268 622,356 601,063

Class A

EUR

Class B

EUR

Class F

EUR

Class I

EUR

Class MZ

Income

EUR

Class

PAMEU

EUR

Subscriptions during the year .................. 106,544 49,583,200 6,503,159 25,667 4,092,255 160,000

Redemptions during the year ................... (1,065,551) (25,707,251) (2,693,888) (12,973) (3,677,130) (2,287,683)


Class R

Roll-Up

Shares

At beginning of year ................................ 499,993

Shares issued ........................................... 76,912 Shares redeemed ...................................... (43,352)

At end of year .......................................... 533,553

Class R

Roll-Up

EUR

Total

EUR

Subscriptions during the year .................. 6,315,899 66,786,724 Redemptions during the year ................... (3,798,225) (39,242,701)

27,544,023



30 September 2011




Class P

Income


At beginning of year ................................ 927,921 47,161 153,068 33,836 190,961 Shares issued ........................................... 137,592 - 20,078 6,751 39,363

Shares redeemed ...................................... (215,982) - (31,967) (9,932) (82,907)

At end of year .......................................... 849,531 47,161 141,179 30,655 147,417

Class B

GBP

Class C

GBP

Class I Income

GBP

Class K

GBP

Class P

Income

GBP

Subscriptions during the year .................. 13,736,579 - 1,681,000 406,493 3,541,991

Redemptions during the year ................... (22,845,370) - (2,901,048) (545,111) (7,768,548)


Class R

Income

Shares

At beginning of year ................................ - Shares issued ........................................... 32,454

Shares redeemed ...................................... (946)

At end of year .......................................... 31,508

Class R

GBP

Total

GBP

Subscriptions during the year .................. 3,259,041 22,625,104

Redemptions during the year ................... (98,396) (34,158,473)

(11,533,369)


Class A



At beginning of year ................................ 28,716 16,055,030 9,384 741,304 232,188

Shares issued ........................................... - 963,060 530 70,052 30,916 Shares redeemed ..................................... (2,616) (3,967,083) (3,492) (165,284) (143,554)

At end of year .......................................... 26,100 13,051,007 6,422 646,072 119,550

Class A

Income

USD

Class B

USD

Class C

USD

Class I

USD

Class I Income

USD

Total

USD

Subscriptions during the year .................. - 10,272,659 722,305 1,051,752 416,843 12,463,559

Redemptions during the year ................... (23,918) (44,583,606) (4,861,043) (2,502,364) (2,114,146) (54,085,077)

(41,621,518)



30 September 2011


The U.S. Quant Fund

Class B Class C Class I Class P Income

Class R

Roll-Up


At beginning of year ................................ 6,413,298 2,112 5,680,487 893,129 191,739 Shares issued ........................................... 4,500 800 141,819 155,269 37,222

Shares redeemed ..................................... (882,443) (1,115) (2,862,497) (298,412) (61)

At end of year .......................................... 5,535,355 1,797 2,959,809 749,986 228,900

Class B

USD

Class C

USD

Class I

USD Class P Income

USD

Class R

Roll-Up

USD

Total

USD

Subscriptions during the year .................. 57,511 738,777 2,014,091 2,928,812 4,272,410 10,011,601

Redemptions during the year ................... (10,743,268) (1,050,762) (45,864,596) (5,794,574) (6,612) (63,459,812)

(53,448,211)

The U.S. Value Fund

Class A



At beginning of year ................................ 134,482 17,665,548 8,840 15,537 199,916 Shares issued ........................................... 603 782,756 552 3,332 27,720

Shares redeemed ..................................... (39,260) (3,067,289) (3,315) (2,759) (123,369)

At end of year .......................................... 95,825 15,381,015 6,077 16,110 104,267

Class A

Income

USD

Class B

USD

Class C

USD

Class I

USD

Class I Income

USD

Total

USD

Subscriptions during the year .................. 6,939 9,949,011 820,417 60,202 427,746 11,264,315 Redemptions during the year ................... (444,055) (40,371,255) (4,948,877) (45,767) (2,027,165) (47,837,119)

(36,572,804)

The World Equity Fund Class B Class C Class D Class EH-T Class I Class J


At beginning of year ................................ 39,484,718 9,749,717 64,789 18,367,189 44,348,786 3,498,124

Shares issued ........................................... 17,924,526 707,845 4,122,584 2,333,537 232,367 292,212 Shares redeemed ..................................... (10,759,051) (3,264,930) (44,961) (8,103,537) (4,657,938) (925,226)

At end of year .......................................... 46,650,193 7,192,632 4,142,412 12,597,189 39,923,215 2,865,110

Class B

USD

Class C

USD

Class D

USD

Class EH-T

USD

Class I

USD

Class J

USD

Subscriptions during the year .................. 272,251,689 11,405,063 102,525,965 28,191,395 6,160,377 4,082,930

Redemptions during the year ................... (144,718,916) (56,170,932) (1,106,900) (95,411,897) (112,145,010) (13,174,788)



30 September 2011



Class N Class R Class SH-B

Class TDCNV

Income Class TUBS Class TYA


At beginning of year ............................... 47,562 - 4,274,052 10,000,000 3,314,233 2,951,557 Shares issued ........................................... 3,939 237,160 128,938 - 188,583 -

Shares redeemed ..................................... (23,601) (7,481) (502,296) - (3,502,816) (12,130)

At end of year ......................................... 27,900 229,679 3,900,694 10,000,000 - 2,939,427

Class N

USD

Class R

USD

Class SH-B

USD

Class TDCNV

Income

USD

Class TUBS

USD

Class TYA

USD

Subscriptions during the year .................. 450,090 32,400,104 19,917,229 - 3,228,608 -

Redemptions during the year .................. (2,612,172) (1,057,791) (77,674,181) - (66,805,060) (114,593)

The World Equity Fund Class TYC Class TYHC

Shares Shares

At beginning of year ............................... - -

Shares issued ........................................... 3,694,516 3,810,431

Shares redeemed ..................................... - -

At end of year ......................................... 3,694,516 3,810,431

Class TYC

USD

Class TYHC

USD

Total

USD

Subscriptions during the year .................. 45,156,957 46,314,802 572,085,209 Redemptions during the year .................. - - (570,992,240)

1,092,969

Participating Share Transactions for the six months ended 30 September 2010




Class A Class B Class F Class I

Shares Shares Shares Shares

At beginning of period ............................ 13 47,633 157 2,848,234

Shares issued ........................................... - 2,319 - 71,142

Shares redeemed ..................................... - (9,844) (60) (26,302)

At end of period ...................................... 13 40,108 97 2,893,074

Class A

EUR

Class B

EUR

Class F

EUR

Class I

EUR

Subscriptions during the period ............... - 3,248,304 - 1,645,779 Redemptions during the period ............... - (14,109,617) (75,000) (592,930)



30 September 2011



Class I Income

Class MZ

Income

Class P

Income Class S


At beginning of period ............................ 2,435,631 1,699,961 283,963 9,037 Shares issued ........................................... 108,228 125,100 38,948 782

Shares redeemed ..................................... (34,130) - (58,908) (20)

At end of period ...................................... 2,509,729 1,825,061 264,003 9,799

Class I Income

EUR

Class MZ

Income

EUR

Class P

Income

EUR

Class S

EUR

Total

EUR

Subscriptions during the period ............... 1,811,271 1,345,073 514,517 86,100 8,651,044

Redemptions during the period ............... (569,096) - (778,047) (2,103) (16,126,793)

(7,475,749)

The Global Bond (Euro Hedged) Fund Class A Class B Class DH-B Class I


At beginning of period ............................ 255 133,225 3,211,766 2,672,210

Shares issued ........................................... 5 507 330,614 81,248 Shares redeemed ..................................... (17) (1,566) (521,342) (64,492)

At end of period ...................................... 243 132,166 3,021,038 2,688,966

Class A

EUR

Class B

EUR

Class DH-B

EUR

Class I

EUR

Subscriptions during the period ............... 7,500 801,763 3,353,198 1,999,422

Redemptions during the period ............... (26,001) (2,462,801) (5,233,852) (1,577,171)


Class I Income

Class MZ

Income

Shares Shares

At beginning of period ............................ 2,342,039 2,993,244

Shares issued ........................................... 40,377 380,060 Shares redeemed ..................................... (32,553) (129,993)

At end of period ...................................... 2,349,863 3,243,311

Class I Income

EUR

Class MZ

Income

EUR

Total

EUR

Subscriptions during the period ............... 728,249 4,336,489 11,226,621 Redemptions during the period ............... (569,096) (1,540,126) (11,409,047)

(182,426)



30 September 2011


The Pan European Equity Fund Class A Class B Class F Class I


At beginning of period ............................ 2,278 78,508 17,431 24,535

Shares issued ........................................... 131 44,633 1,404 683 Shares redeemed ...................................... (56) (11,100) (90) (750)

At end of period ...................................... 2,353 112,041 18,745 24,468

Class A

EUR

Class B

EUR

Class F

EUR

Class I

EUR

Subscriptions during the period ............... 95,581 33,044,193 1,479,003 10,942

Redemptions during the period ................ (38,770) (8,378,862) (96,449) (12,369)


Class MZ

Income

Class

PAMEU

Class R

Roll-Up

Shares Shares Shares

At beginning of period ............................ 591,172 788,745 499,993 Shares issued ........................................... 86,376 15,038 42,249 Shares redeemed ...................................... (43,665) (100,132) (5,717)

At end of period ...................................... 633,883 703,651 536,525

Class MZ

Income

EUR

Class

PAMEU

EUR

Class R

Roll-Up

EUR

Total

EUR

Subscriptions during the period ............... 1,039,103 160,000 3,350,108 39,178,930 Redemptions during the period ................ (513,428) (1,071,800) (456,766) (10,568,444)

28,610,486



Class P

Income


At beginning of period ............................ 927,921 47,161 153,068 33,836 190,961

Shares issued ........................................... 135,111 - 15,211 676 26,470 Shares redeemed ...................................... (123,335) - (19,798) (8,744) (31,249)

At end of period ...................................... 939,697 47,161 148,481 25,768 186,182

Class B

GBP

Class C

GBP

Class I Income

GBP

Class K

GBP

Class P

Income

GBP

Total

GBP

Subscriptions during the period ............... 13,458,773 - 1,241,000 38,770 2,278,139 17,016,682 Redemptions during the period ................ (12,828,935) - (1,724,048) (476,013) (2,751,001) (17,779,997)

(763,315)



30 September 2011



Class A

Income Class B Class C Class I

Class I

Income


At beginning of period ............................ 28,716 16,055,030 9,384 741,304 232,188 Shares issued ........................................... - 411,841 200 26,614 27,633

Shares redeemed ..................................... (2,616) (324,616) (1,120) (79,167) (19,341)

At end of period ...................................... 26,100 16,142,255 8,464 688,751 240,480

Class A

Income

USD

Class B

USD

Class C

USD

Class I

USD

Class I

Income

USD

Total

USD

Subscriptions during the period ............... - 3,872,014 243,901 361,630 363,398 4,840,943

Redemptions during the period ............... (23,918) (3,353,263) (1,467,319) (1,146,111) (268,332) (6,258,943)

(1,418,000)

The U.S. Quant Fund

Class B Class C Class I

Shares Shares Shares

At beginning of period ............................ 6,413,298 2,112 5,680,487

Shares issued ........................................... - 300 133,513 Shares redeemed ..................................... (10,752) (485) (956,731)

At end of period ...................................... 6,402,546 1,927 4,857,269

Class B

USD

Class C

EUR

Class I

GBP

Subscriptions during the period ............... - 252,819 1,876,987

Redemptions during the period ............... (114,318) (408,007) (14,051,086)

The U.S. Quant Fund

Class P

Income

Class R

Roll-Up

Shares Shares

At beginning of period ............................ 893,129 191,739

Shares issued ........................................... 104,251 - Shares redeemed ..................................... (171,218) (61)

At end of period ...................................... 826,162 191,678

Class P

Income

GBP

Class R

Roll-Up

EUR

Total

EUR

Subscriptions during the period ............... 1,867,614 - 3,997,420 Redemptions during the period ............... (3,166,391) (6,612) (17,746,414)

(13,748,994)



30 September 2011


The U.S. Value Fund

Class A

Income Class B Class C Class I

Class I

Income


At beginning of period ............................ 134,482 17,665,548 8,840 15,537 199,916 Shares issued ........................................... 602 310,093 54 992 24,875

Shares redeemed ..................................... (21,836) (407,875) (1,021) (1,639) (14,956)

At end of period ...................................... 113,248 17,567,766 7,873 14,890 209,835

Class A

Income

USD

Class B

USD

Class C

USD

Class I

USD

Class I

Income

USD

Total

USD

Subscriptions during the period ............... 6,927 3,494,571 71,101 16,844 374,301 3,963,744

Redemptions during the period ............... (234,996) (5,046,940) (1,450,474) (24,295) (242,312) (6,999,017)

(3,035,273)


Class B Class C Class D Class EH-T Class I Class J


At beginning of period ............................ 39,484,718 9,749,717 64,789 18,367,189 44,348,786 3,498,124

Shares issued ........................................... 484,022 475,913 2,701 1,660,856 110,467 130,085 Shares redeemed ..................................... (9,430,060) (969,698) (1,385) (6,391,318) (3,927,739) (341,216)

At end of period ...................................... 30,538,680 9,255,932 66,105 13,636,727 40,531,514 3,286,993

Class B

USD

Class C

USD

Class D

USD

Class EH-T

USD

Class I

USD

Class J

USD

Subscriptions during the period ............... 6,765,176 7,391,774 56,460 19,100,261 2,691,313 1,712,145

Redemptions during the period ............... (123,323,454) (15,425,326) (28,005) (72,223,022) (91,181,515) (4,418,581)


Class N Class SH-B

Class TDCNV

Income Class TUBS Class TYA


At beginning of period ............................ 47,562 4,274,052 10,000,000 3,314,233 2,951,557

Shares issued ........................................... 844 80,124 - 120,120 - Shares redeemed ..................................... (12,448) (272,477) - (178,520) (6,294)

At end of period ...................................... 35,958 4,081,699 10,000,000 3,255,833 2,945,263

Class N

USD

Class SH-B

USD

Class TDCNV

Income

USD

Class TUBS

USD

Class TYA

USD

Total

USD

Subscriptions during the period ............... 85,650 11,665,278 - 1,971,904 - 51,439,961 Redemptions during the period ............... (1,301,277) (37,415,562) - (2,956,822) (55,826) (348,329,390)

(296,889,429)



30 September 2011


Dilution Adjustments

Since 19 January 2011, the anti-dilution levy process has been replaced by the application of dilution adjustments.

The range of swing factors applied is disclosed in the table below: Swing factor adjustments are not applicable to those

Funds not listed below.

Swing Factor Rate Swing Factor Rate

As at 30 September 2011 As at 31 March 2011

Fund Name On Subscriptions On Redemptions On Subscriptions On Redemptions

The Euro Fixed Income Fund .............................................................................................................................................................................. 0.15% 0.15% 0.20% 0.20% The Global Bond (Euro Hedged) Fund ................................................................................................................................................................ 0.30% 0.30% 0.35% 0.35%

The Pan European Equity Fund ........................................................................................................................................................................... 0.15% 0.25% 0.15% 0.25%

The U.K. Equity Plus Fund ................................................................................................................................................................................. 0.20% 0.65% 0.25% 0.65%

The U.S. Growth Fund ............................................................................................................. 0.10% 0.10% 0.10% 0.10%

The U.S. Quant Fund ................................................................................................................ 0.05% 0.05% 0.05% 0.05%

The U.S. Value Fund ................................................................................................................ 0.15% 0.15% 0.15% 0.15% The World Equity Fund ............................................................................................................ 0.20% 0.20% 0.20% 0.20%

Significant Shareholders*

The following table details the number of shareholders with significant holdings of at least 20 per cent of the relevant Fund’s

and the aggregate value and percentage of that holding as at 30 September 2011.

Fund

Number of

Significant

Shareholders

Value

of Holding

Aggregate

Shareholding as

a % of the Fund

The Euro Fixed Income Fund .............................................................................................................................................................................. 1 EUR 48,487,480 22.19% The Global Bond Euro Hedged Fund .................................................................................................................................................................. 1 EUR 165,892,101 38.49%

The Pan European Equity Fund ........................................................................................................................................................................... 1 EUR 116,558,004 32.45%

The U.S. Growth Fund ........................................................................................................................................................................................ 1 USD 58,783,446 40.77% The U.S. Quant Fund .......................................................................................................................................................................................... 1 USD 58,662,841 44.50%

The U.S. Value Fund ........................................................................................................................................................................................... 2 USD 98,710,093 55.25%

The U.K. Equity Plus Fund ................................................................................................................................................................................. 1 USD 24,218,448 20.22%


and the aggregate value and percentage of that holding as at 31 March 2011.

Fund

Number of

Significant

Shareholders

Value

of Holding

Aggregate

Shareholding as

a % of the Fund

The Euro Fixed Income Fund .............................................................................................................................................................................. 1 GBP 48,021,116 24.01%

The Global Bond Euro Hedged Fund .................................................................................................................................................................. 1 EUR 159,859,717 38.44% The Pan European Equity Fund ........................................................................................................................................................................... 2 EUR 83,065,027 46.53%

The U.S. Growth Fund ........................................................................................................................................................................................ 1 USD 68,098,505 38.30%

The U.S. Quant Fund .......................................................................................................................................................................................... 1 USD 68,500,083 40.44% The U.S. Value Fund ........................................................................................................................................................................................... 2 USD 124,799,003 53.60%

The U.K. Equity Plus Fund ................................................................................................................................................................................. 1 GBP 31,126,936 23.25%

* Shareholders who individually hold at least of 20 per cent of the relevant Funds.


and the aggregate value and percentage of that holding as at 30 September 2010.

Fund

Number of

Significant

Shareholders

Value

of Holding

Aggregate

Shareholding as

a % of the Fund

The Euro Fixed Income Fund .............................................................................................................................................................................. 2 EUR 92,068,369 48.03%

The Global Bond Euro Hedged Fund .................................................................................................................................................................. 1 EUR 160,924,960 41.05% The Pan European Equity Fund ........................................................................................................................................................................... 1 EUR 34,307,556 20.65%

The U.S. Growth Fund ........................................................................................................................................................................................ 1 USD 67,338,770 36.06%

The U.S. Quant Fund .......................................................................................................................................................................................... 1 USD 62,450,862 34.96% The U.S. Value Fund ........................................................................................................................................................................................... 2 USD 109,930,109 48.88%

The U.K. Equity Plus Fund ................................................................................................................................................................................. 1 GBP 28,639,157 21.49%

* Shareholders who individually hold at least of 20 per cent of the relevant Funds.



30 September 2011


Anti-Dilution Levies

During the year ended 31 March 2011, anti-dilution levies were paid on The Euro Fixed Income Fund, amounting to

EUR 21,211.

7. Taxation Under current law and practice the Company qualifies as an investment undertaking as defined in Section 739B of the Taxes

Consolidation Act, 1997, as amended. On that basis, it is not chargeable to Irish tax on its income or gains.

However, Irish tax may arise on the happening of a “chargeable event”. A chargeable event includes any distribution

payments to shareholders, any encashment, redemption, cancellation or transfer of shares and the holding of shares at the end

of each eight year period beginning with the acquisition of such shares.

No Irish tax will arise on the Company in respect of chargeable events in respect of:

a) a shareholder who is neither Irish resident nor ordinarily resident in Ireland for tax purposes, at the time of the

chargeable event, provided appropriate valid declarations in accordance with the provisions of the Taxes Consolidation

Act, 1997, as amended, are held by the Company or the Company has been authorised by the Irish Revenue to make

gross payments in the absence of appropriate declarations; and

b) certain exempted Irish tax resident shareholders who have provided the Company with the necessary signed statutory

declarations.

Dividends, interest and capital gains (if any) received on investments made by the Company may be subject to taxes imposed

by the country from which the investment income/gains are received and such taxes may not be recoverable by the Company

or its shareholders.

8. Collateral Each Fund’s assets may be pledged as collateral to, and held by the counterparty and brokers for open futures contracts,

options, TBA securities and swap contracts. Details of non-cash collateral held at period end by counterparties are asterisked

within the Schedule of Investments of each relevant Fund. Securities held as collateral are typically U.S. Treasury Bills, or

other international equivalents. Amounts of cash held as collateral at period end by counterparties are disclosed on the

Balance Sheet of each relevant Fund.

Cash received as collateral is recorded as an asset on the Balance Sheet and is valued at its fair value. A related liability to

repay the collateral is recorded as a liability on the Balance Sheet and is also valued at its fair value.

A Fund may also receive collateral in the form of stock from counterparties for swap contracts and TBA security

transactions. This collateral does not form part of the net assets of the relevant Fund.

The collateral is held by the agent to the ISDA agreement entered into between the relevant Money Manager and the

counterparty. The collateral must be immediately available to the Fund by the agent without recourse to the counterparty, in

the event of a default by that entity.

9. Efficient Portfolio Management Each of the Funds may employ investment techniques and financial derivative instruments for efficient portfolio

management and/or investment purposes subject to the conditions and within the limits from time to time set forth in the

Prospectus as follows:

Futures are contracts to buy or sell a standard quantity of a specific asset (or, in some cases, receive or pay cash based on the

performance of an underlying asset, instrument or index) at a pre-determined future date and at a price agreed through a

transaction undertaken on an exchange. Futures contracts allow investors to hedge against market risk or gain exposure to the

underlying market. Since these contracts are marked-to-market daily, investors can, by closing out their position, exit from

their obligation to buy or sell the underlying assets prior to the contract’s delivery date. Futures may also be used to equitise

cash balances, both pending investment of a cash flow and with respect to fixed cash targets. Frequently, using futures to

achieve a particular strategy, instead of using the underlying or related security or index, results in lower transaction costs

being incurred.



30 September 2011


A forward contract locks-in the price an index or asset may be purchased or sold on a future date. In currency forward

contracts, the contract holders are obligated to buy or sell the currency at a specified price, at a specified quantity and on a

specified future date, whereas an interest rate forward determines an interest rate to be paid or received on an obligation

beginning at a start date sometime in the future. Forward contracts may be cash settled on a gross or net basis between the

parties. These contracts cannot be transferred. The Funds’ use of forward foreign exchange contracts may include, but is not

limited to, altering the currency exposure of securities held, hedging against exchange risks, increasing exposure to a

currency, and shifting exposure to currency fluctuations from one currency to another.

There are two forms of options, put and call options. Put options are contracts sold for a premium that gives one party (the

buyer) the right, but not the obligation, to sell to the other party (the seller) of the contract, a specific quantity of a particular

product or financial instrument at a specified price. Call options are similar contracts sold for a premium that gives the buyer

the right, but not the obligation, to buy from the seller of the option. Options may also be cash settled. A Fund may be a seller

or buyer of put and call options.

A standard swap is an agreement between two counterparties in which the cash flows from two assets are exchanged over a

fixed time period, with the terms initially set so that the present value of the swap is zero. The Funds may enter into swaps,

including, but not limited to, equity swaps, swaptions, interest rate swaps, index return swaps or currency swaps and other

derivative instruments both as independent profit opportunities and to hedge existing long positions. Swaps may extend over

substantial periods of time, and typically call for the making of payments on a periodic basis. Swaptions are contracts

whereby one party receives a fee in return for agreeing to enter into a forward swap at a predetermined fixed rate if some

contingency event occurs (normally where future rates are set in relation to a fixed benchmark). Interest rate swaps involve

the exchange by a Fund with another party of their respective commitments to make or receive interest payments (e.g. an

exchange of fixed rate payments for floating rate payments). On each payment date under an interest rate swap, the net

payments owed by each party, and only the net amount, is paid by one party to the other. Currency swaps are agreements

between two parties to exchange future payments in one currency for payments in another currency. When a Fund engages in

an index return swap, it exchanges its obligations to pay or receive a single payment or stream of payments linked to the

return of a predefined index in exchange for a set of fixed or more often floating cash flows. These agreements are used to

transform the currency denomination of assets and liabilities. Unlike interest rate swaps, currency swaps must include an

exchange of principal at maturity.

The Funds may enter into spot foreign exchange transactions which involve the purchase of one currency with another, a

fixed amount of the first currency being paid to receive a fixed amount of the second currency. “Spot” settlement means that

delivery of the currency amounts normally takes place two business days in both relevant centres after the trade is executed.

The Funds may enter into credit derivatives to isolate and transfer the credit risk associated with a particular reference asset.

Credit default swaps provide a measure of protection against defaults of debt issuers. The Funds’ use of credit default swaps

does not assure their use will be effective or will have the desired result. A Fund may either be the buyer or seller in a credit

default swap transaction. Credit default swaps are transactions under which the parties’ obligations depend on whether a

credit event has occurred in relation to the reference asset. The credit events are specified in the contract and are intended to

identify the occurrence of a significant deterioration in the creditworthiness of the reference asset. On settlement, credit

default products may be cash settled or involve the physical delivery of an obligation of the reference entity following a

default. The buyer in a credit default swap contract is obligated to pay the seller a periodic stream of payments over the term

of the contract provided that no event of default on an underlying reference asset has occurred. If a credit event occurs, the

seller must pay the buyer the full notional value of the reference asset that may have little or no value. If the Fund is a buyer

and no credit event occurs, the Fund’s losses will be limited to the periodic stream of payments over the term of the contract.

As a seller, the Funds will receive a fixed rate of income throughout the term of the contract, provided that there is no credit

event. If a credit event occurs, the seller must pay the buyer the full notional value of the reference obligation.

10. Financial Risks The Company’s financial risk management objectives and policies are consistent with those disclosed in the Company’s

audited financial statements as at 31 March 2011.



30 September 2011


11. Launch of New Funds and Classes of Shares

Six months ended 30 September 2011

During the six months ended 30 September 2011, no Funds were launched for the first time. The Emerging Markets

Extended Opportunities Fund was approved by the Central Bank on 24 March 2011 and remains unfunded at period end. The

U.S. Equity Plus Fund was also unfunded during the period.

The following class of share was launched during the six months ended 30 September 2011:

Fund Share Class Launch Date Launch Price

The Pan European Equity Fund ........................................................................................................................................................................... Class J 04/07/2011 GBP 10.00

Year ended 31 March 2011

During the year ended 31 March 2011, no Funds were funded for the first time. The Emerging Markets Extended

Opportunities Fund was approved by the Central Bank on 24 March 2011 and was unfunded at year end. The U.S. Equity

Plus Fund was also unfunded during the period.

The following classes of shares were launched during the year ended 31 March 2011:

Fund Share Class Launch Date Launch Price

The U.K. Equity Plus Fund ................................................................................................................................................................................. Class R 19/11/2010 GBP 100.00

The World Equity Fund ....................................................................................................................................................................................... Class R 19/11/2010 EUR 100.00 The World Equity Fund ....................................................................................................................................................................................... Class TYC 14/03/2011 JPY 1,000.00

The World Equity Fund ....................................................................................................................................................................................... Class TYHC 30/03/2011 JPY 1,000.00

Six months ended 30 September 2010

During the six months ended 30 September 2010, no Funds were launched for the first time.

12. Exchange Rates Where applicable, the Administrator used the exchange rates listed below to translate foreign currency amounts, market value

of investments and other assets and liabilities into Euro at the following rates for each EUR 1.

30 September 2011 30 September 2011 30 September 2011

Argentine Peso ARS 5.6402 Indonesian Rupiah IDR 11,793.5445 Russian Rouble RUB 43.2537

Australian Dollar AUD 1.3805 Israeli Shekel ILS 5.0374 Singapore Dollar SGD 1.7484

Brazilian Real BRL 2.4905 Japanese Yen JPY 103.4182 South African Rand ZAR 10.7861

British Pound GBP 0.8613 Jordanian Dinar JOD 0.9507 South Korean Won KRW 1,580.5899

Canadian Dollar CAD 1.3981 Kenyan Schilling KES 134.7067 Sri Lankan Rupee LKR 147.8554

Chilean Peso CLP 702.3465 Kuwaiti Dollar KWD 0.3717 Swedish Krona SEK 9.2151

Chinese Yuan Renminbi CNY 8.5680 Malaysian Ringgit MYR 4.2834 Swiss Franc CHF 1.2187

Colombian Peso COP 2,588.6763 Mexican Peso MXN 18.5554 Taiwan Dollar TWD 40.8883

Czech Republic Koruna CZK 24.7150 Moroccan Dirham MAD 11.1921 Thai Baht THB 41.7067

Danish Krone DKK 7.4412 New Zealand Dollar NZD 1.7552 Turkish Lira TRY 2.4948

Egyptian Pound EGP 8.0036 Norwegian Krone NOK 7.8771 UAE Dirham AED 4.9281

Euro EUR 1.0000 Omani Rial OMR 0.5166 Uruguayan Peso UYU 26.6327

Hong Kong Dollar HKD 10.4448 Pakistani Rupee PKR 117.2981 U.S. Dollar USD 1.3417

Hungarian Forint HUF 293.4000 Peruvian Nouveau Sol PEN 3.7212 Venezuelan Bolivar VEB 5.7621

Iceland Krona ISK 158.6426 Philippine Peso PHP 58.6658 Zimbabwean Dollar ZWD 432.5038

Indian Rupee INR 65.7098 Polish Zloty PLN 4.4152

31 March 2011 31 March 2011 31 March 2011

Argentine Peso ARS 5.7498 Indonesian Rupiah IDR 12,356.8128 Russian Rouble RUB 40.3308

Australian Dollar AUD 1.3722 Israeli Shekel ILS 4.9290 Singapore Dollar SGD 1.7888

Brazilian Real BRL 2.3085 Japanese Yen JPY 117.6150 South African Rand ZAR 9.5923

British Pound GBP 0.8853 Jordanian Dinar JOD 1.0069 South Korean Won KRW 1,556.6817

Canadian Dollar CAD 1.3804 Kenyan Schilling KES 117.7853 Sri Lankan Rupee LKR 156.6615

Chilean Peso CLP 679.9617 Kuwaiti Dollar KWD 0.3935 Swedish Krona SEK 8.9523

Chinese Yuan Renminbi CNY 9.2930 Malaysian Ringgit MYR 4.2981 Swiss Franc CHF 1.2983

Colombian Peso COP 2,655.8456 Mexican Peso MXN 16.8976 Taiwan Dollar TWD 41.7308

Czech Republic Koruna CZK 24.5575 Moroccan Dirham MAD 11.3020 Thai Baht THB 42.9207

Danish Krone DKK 7.4561 New Zealand Dollar NZD 1.8605 Turkish Lira TRY 2.1909

Egyptian Pound EGP 8.4571 Norwegian Krone NOK 7.8501 UAE Dirham AED 5.2119

Euro EUR 1.0000 Omani Rial OMR 0.5464 Uruguayan Peso UYU 27.3177

Hong Kong Dollar HKD 11.0380 Pakistani Rupee PKR 121.1911 U.S. Dollar USD 1.4191

Hungarian Forint HUF 265.6450 Peruvian Nouveau Sol PEN 3.9770 Venezuelan Bolivar VEB 6.0945

Iceland Krona ISK 162.1109 Philippine Peso PHP 61.5889 Zimbabwean Dollar ZWD 457.4540

Indian Rupee INR 63.2848 Polish Zloty PLN 4.0297



30 September 2011


30 September 2010 30 September 2010 30 September 2010

Argentine Peso ARS 5.4055 Israeli Shekel ILS 4.9620 Russian Rouble RUB 41.7328

Australian Dollar AUD 1.4100 Japanese Yen JPY 114.0489 Singapore Dollar SGD 1.7957

Brazilian Real BRL 2.3129 Jordanian Dinar JOD 0.9669 South African Rand ZAR 9.5213

British Pound GBP 0.8664 Kenyan Schilling KES 110.3082 South Korean Won KRW 1,556.6702

Canadian Dollar CAD 1.4005 Malaysian Ringgit MYR 4.2144 Sri Lankan Rupee LKR 152.8342

Czech Republic Koruna CZK 24.5675 Mexican Peso MXN 17.1076 Swedish Krona SEK 9.1886

Danish Krone DKK 7.4522 Moroccan Dirham MAD 11.2307 Swiss Franc CHF 1.3337

Egyptian Pound EGP 7.7721 New Zealand Dollar NZD 1.8560 Taiwan Dollar TWD 42.6509

Euro EUR 1.0000 Norwegian Krone NOK 7.9949 Thai Baht THB 41.4338

Hong Kong Dollar HKD 10.5983 Pakistani Rupee PKR 117.7963 Turkish Lira TRY 1.9747

Hungarian Forint HUF 276.5252 Peruvian New Sol PEN 3.8055 U.S. Dollar USD 1.3652

Indian Rupee INR 61.3453 Philippine Peso PHP 59.9118 Venezuelan Bolivar VEF* 5.8631

Indonesian Rupiah IDR 12,184.4168 Polish Zloty PLN 3.9751 Zimbabwean Dollar ZWD 440.0793

* The VEB Venezuelan Bolivar has been replaced with the VEF Venezuelan Bolivar Fuerte.

The Administrator used the yearly average exchange rates listed below to translate the foreign currency amounts in the

combined statements for the Profit and Loss Account and the Statement of Changes in Net Assets Attributable to

Redeemable Participating Shareholders into Euro at the following rates for each EUR 1.

Six months ended 30 September 2011 Year ended 31 March 2011 Six months ended 30 September 2010

British Pound GBP 0.8821 British Pound GBP 0.8540 British Pound GBP 0.8429

U.S. Dollar USD 1.4298 U.S. Dollar USD 1.3271 U.S. Dollar USD 1.2868

13. Comparative Dealing Net Assets As at 30 September 2011


Class A

EUR Class B

EUR

Class F

EUR

Class I

GBP

Class I Income

GBP

Class MZ

Income

EUR

Total net asset value 30 September 2011 ............................ - 72,752,315 122,789 49,663,061 30,406,122 48,487,480

31 March 2011 .................................. - 71,078,779 120,141 57,349,921 33,896,845 21,221,186

30 September 2010 ............................ 17,737 57,527,707 125,539 57,931,206 36,853,568 19,970,816 Net asset value per share

30 September 2011 ............................ - 1,410.78 1,262.87 19.62 13.95 10.48

31 March 2011 .................................. - 1,378.11 1,238.57 19.68 14.19 10.36 30 September 2010 ............................ 1,364.38 1,434.32 1,294.22 20.02 14.68 10.94


Class P Income

GBP

Class S

EUR

Total net asset value

30 September 2011 ............................ 2,287,218 1,525,604

31 March 2011 .................................. 2,731,692 1,426,566 30 September 2010 ............................ 3,048,069 1,111,129

Net asset value per share 30 September 2011 ............................ 10.93 111.30

31 March 2011 .................................. 11.13 108.84

30 September 2010 ............................ 11.55 113.39



30 September 2011



Class A

EUR

Class B

EUR

Class DH-B

USD

Class I

GBP

Class I Income

GBP

Class MZ

Income

EUR


30 September 2011 ............................ 6,091,641 253,932,397 42,974,428 49,294,704 30,534,437 46,230,474

31 March 2011 .................................. 384,750 248,056,125 38,203,729 56,380,337 33,887,758 38,476,055 30 September 2010 ............................ 371,058 213,939,747 40,541,192 57,621,464 37,087,098 38,703,253

Net asset value per share

30 September 2011 ............................ 1,551.22 1,654.27 13.62 21.83 15.61 11.90 31 March 2011 .................................. 1,502.93 1,597.96 13.23 21.64 15.71 11.64

30 September 2010 ............................ 1,526.99 1,618.72 13.42 21.43 15.78 11.93


Class A

EUR

Class B

EUR

Class F

EUR

Class I

GBP

Class J

USD

Class MZ

Income

EUR


30 September 2011 ............................ 2,727,586 277,544,977 19,985,462 323,334 567,919 12,960,956

31 March 2011 .................................. 782,712 91,602,370 24,206,821 395,644 - 7,883,983 30 September 2010 ............................ 1,698,701 85,665,428 20,175,056 344,944 - 7,369,341


30 September 2011 ............................ 638.48 680.33 950.06 12.48 7.57 10.32 31 March 2011 .................................. 781.93 830.61 1,164.59 15.66 - 12.67

30 September 2010 ............................ 721.93 764.59 1,076.29 14.10 - 11.63


Class PAMEU

EUR

Class R

Roll-Up

EUR


30 September 2011 ............................ 5,117,289 40,064,166

31 March 2011 .................................. 7,193,810 46,412,771 30 September 2010 ............................ 7,802,601 43,014,688


30 September 2011 ............................ 9.74 71.16 31 March 2011 .................................. 11.97 86.99

30 September 2010 ............................ 11.09 80.17


Class B

GBP

Class C

EUR

Class I Income

GBP

Class K

USD

Class P Income

GBP

Class R

GBP


30 September 2011 ............................ 87,025,529 3,754,599 12,278,512 1,918,601 12,588,001 3,425,082

31 March 2011 .................................. 96,784,251 3,880,488 13,681,373 3,038,132 14,796,763 3,303,608

30 September 2010 ............................ 98,160,749 3,646,960 13,249,773 2,309,070 17,259,071 -


30 September 2011 ............................ 98.14 72.65 82.67 82.77 85.37 89.60 31 March 2011 .................................. 113.93 82.28 96.91 99.11 100.37 104.85

30 September 2010 ............................ 104.46 77.33 89.24 89.61 92.70 -



30 September 2011



Class A Income

USD

Class B

USD

Class C

EUR

Class I

GBP

Class I Income

GBP

Total net asset value 30 September 2011 ............................ 92,363 126,602,041 5,193,316 5,662,376 1,082,496

31 March 2011 .................................. 280,737 155,083,435 6,925,219 6,639,830 1,227,933

30 September 2010 ............................ 238,591 162,538,392 11,004,713 9,614,264 3,356,394 Net asset value per share

30 September 2011 ............................ 9.15 10.13 969.26 9.02 9.01

31 March 2011 .................................. 10.76 11.88 1,078.34 10.28 10.27 30 September 2010 ............................ 9.14 10.07 1,300.18 13.96 13.96

The U.S. Quant Fund

Class B

USD Class C

EUR Class I

GBP Class P Income

GBP

Class R

Roll-Up

EUR

Total net asset value 30 September 2011 ............................ 60,839,703 821,364 21,783,762 7,934,495 17,574,177

31 March 2011 .................................. 71,041,986 1,322,373 32,682,179 10,293,846 19,421,633

30 September 2010 ............................ 69,433,052 1,705,582 72,570,800 15,427,744 19,521,375 Net asset value per share

30 September 2011 ............................ 10.99 664.87 9.74 12.06 76.78

31 March 2011 .................................. 12.83 735.87 11.04 13.73 84.85 30 September 2010 ............................ 10.84 648.59 9.48 11.85 74.60

The U.S. Value Fund

Class A Income

USD Class B

USD Class C

EUR Class I

GBP Class I Income

GBP


30 September 2011 ............................ 877,150 169,357,747 4,886,121 129,699 1,080,286 31 March 2011 .................................. 1,222,874 219,430,240 6,971,387 198,713 1,233,475

30 September 2010 ............................ 1,211,776 209,387,503 7,864,267 156,073 2,111,865

Net asset value per share 30 September 2011 ............................ 9.97 11.20 949.13 9.96 9.54

31 March 2011 .................................. 12.76 14.27 1,147.18 12.33 11.83

30 September 2010 ............................ 10.70 11.92 998.89 10.48 10.06


Class B

USD Class C

EUR Class D

GBP Class EH-T

EUR Class I

GBP Class J

USD


30 September 2011 ............................ 641,832,165 74,171,415 75,629,713 87,975,059 610,763,191 50,036,756

31 March 2011 .................................. 772,844,533 96,933,310 65,324,593 132,583,355 741,395,546 44,736,571 30 September 2010 ............................ 441,127,218 113,481,332 923,159 127,473,627 667,617,093 44,908,916


30 September 2011 ............................ 13.68 11.73 13.41 8.78 15.78 12.85 31 March 2011 .................................. 16.57 13.48 15.77 10.52 18.57 15.61

30 September 2010 ............................ 14.44 12.26 13.97 9.35 16.47 13.66



30 September 2011



Class N

USD

Class R

USD

Class SH-B

GBP

Class TDCNV

Income

USD

Class TUBS

GBP Class TYA

JPY


30 September 2011 ............................ 2,891,730 20,273,127 378,152,049 79,107,047 - 1,907,884,794

31 March 2011 .................................. 3,386,816 23,797,551 440,249,208 96,211,305 - 2,487,487,148 30 September 2010 ............................ 3,832,851 - 409,081,385 83,841,348 35,739,190 -


30 September 2011 ............................ 99.55 89.73 93.96 7.91 - 650.70 31 March 2011 .................................. 121.39 103.61 112.86 9.62 - 846.00

30 September 2010 ............................ 106.59 - 100.22 8.38 10.98 -


Class TYC

JPY

Class TYHC

JPY

Total net asset value 30 September 2011 ............................ 10,458,946,735 3,842,625,977

31 March 2011 .................................. 3,827,151,334 3,843,760,382

30 September 2010 ............................ - - Net asset value per share

30 September 2011 ............................ 797.05 844.17

31 March 2011 .................................. 1,036.00 1,009.00 30 September 2010 ............................ - -

14. Segregated Liability Each Fund will be responsible for paying its fees and expenses regardless of the level of its profitability. The Company has

availed of the segregated liability provisions of the Investment Funds, Companies and Miscellaneous Provisions Act, 2005.

The adoption of segregated liability ensures that liability incurred on behalf of a Fund will generally be discharged solely out

of the assets of that Fund and there can generally be no recourse to other Funds to satisfy these liabilities. Notwithstanding

the foregoing there can be no guarantee that should an action be brought against the Company in the court of another

jurisdiction that the segregated nature of the Funds would necessarily be upheld.



30 September 2011


15. Distributions (Finance Costs)

Total finance costs/distributions declared for the six months ended 30 September 2011 were:

The Euro

Fixed Income

Fund

EUR

The Global

Bond (Euro

Hedged)

Fund

EUR

The Pan

European

Equity Fund

EUR

The U.K.

Equity Plus

Fund

GBP

The U.S.

Quant Fund

USD

The U.S.

Value Fund

USD

The World

Equity Fund

USD

Class A ................................................................ - (90,243) (3,226) - - - -

Class A Income .................................................... - - - - - (1,409) - Class B ................................................................. (1,070,019) (3,742,912) (2,614,894) (856,733) (49,265) (263,766) (4,272,593)

Class C ................................................................. - - - (33,270) (1,140) (10,196) (676,127)

Class D ................................................................. - - - - - - (575,341)

Class DH - B ........................................................ - (454,576) - - - - -

Class E .................................................................. - - - - - - -

Class EH-B ........................................................... - - - - - - - Class EH-T ........................................................... - - - - - - (930,943)

Class F .................................................................. (1,672) - (172,803) - - - -

Class I Income ...................................................... (494,268) (538,086) - (130,394) - (2,548) - Class I Accumulation ........................................... (828,892) (897,225) (3,645) - (32,744) (325) (6,306,918)

Class J .................................................................. - - - - - - (325,281)

Class K ................................................................. - - - (13,411) - - - Class MZ Income ................................................. (660,607) (687,603) (44,775) - - - -

Class N ................................................................. - - - - - - (19,364)

Class PAM EU ..................................................... - - (24,750) - - - - Class P Income ..................................................... (38,827) - - (135,476) (10,888) - -

Class P Accumulation ........................................... - - - - - - - Class R Roll Up .................................................... - - (109,015) (33,292) - - (184,710)

Class S .................................................................. (20,166) - - - - - -

Class SH-B ........................................................... - - - - - - (3,929,660) Class TDCNV Income .......................................... - - - - - - (531,000)

Class TYA ............................................................ - - - - - - (165,784)

Class TYC ............................................................ - - - - - - (895,087) Class TYHC ......................................................... - - - - - - (334,413)

TUBS Accumulation ............................................ - - - - - - -

Total ..................................................................... (3,114,451) (6,410,645) (2,973,108) (1,202,576) (94,037) (278,244) (19,147,221)

Distributions paid on income shares .................... (1,193,702) (1,225,689) (44,775) (265,870) (10,888) (3,957) (531,000)

Distributions deemed on accumulation shares ............................................. (1,920,749) (5,184,956) (2,928,333) (936,706) (83,149) (274,287) (18,616,221)



30 September 2011


Total finance costs/distributions declared for the year ended 31 March 2011 were:

The Euro

Fixed Income

Fund

EUR

The Global

Bond (Euro

Hedged)

Fund

EUR

The Pan

European

Equity Fund

EUR

The U.K.

Equity Plus

Fund

GBP

The U.S.

Quant Fund

USD

The U.S.

Value Fund

USD

The World

Equity Fund

USD

Class A ................................................................ (412) (10,833) (17,829) - - - - Class A Income ................................................... - - - - - (1,561) -

Class B ................................................................ (1,877,845) (6,399,756) (908,044) (1,135,183) (251,526) (258,310) (3,429,268)

Class C ................................................................ - - - (38,804) (7,170) (13,713) (1,088,351) Class D ................................................................ - - - - - - (45,824)

Class DH-B ......................................................... - (895,600) - - - - -

Class E ................................................................. - - - - - - -

Class EH-B .......................................................... - - - - - - -

Class EH-T .......................................................... - - - - - (1,134,138)

Class F ................................................................. (4,114) - (211,083) - - - - Class I Income ..................................................... (1,346,613) (1,188,230) - (170,484) - (3,031) -

Class I Accumulation ........................................... (2,171,080) (1,886,518) (4,172) - (257,928) (343) (7,417,286)

Class J ................................................................. - - - - - - (320,179) Class K ................................................................ - - - (20,494) - - -

Class MZ Income ................................................ (669,085) (1,125,720) (77,968) - - - -

Class N ................................................................ - - - - - - (26,815) Class PAM EU .................................................... - - (82,058) - - - -

Class P Income .................................................... (112,623) - - (205,764) (57,757) - -

Class P Accumulation .......................................... - - - - - - - Class R Accumulation ......................................... - - - (12,720) - - (30,902)

Class S ................................................................. (37,226) - - - - - -

Class SH-B .......................................................... - - - - - - (4,516,259) Class TDCNV Income ......................................... - - - - - - (591,159)

Class TYA ........................................................... - - - - - - (184,707)

Class TYC ........................................................... - - - - - - - Class TYHC ........................................................ - - - - - - -

Class TUBS Accumulation .................................. - - - - - - (374,235)

Total .................................................................... (6,218,998) (11,506,657) (1,301,154) (1,583,449) (574,381) (276,958) (19,159,123)


Distributions deemed on

accumulation shares ............................................. (4,090,677) (9,192,707) (1,223,186) (1,207,201) (516,624) (272,366) (18,567,964)



30 September 2011


Total finance costs/distributions declared for the six months ended 30 September 2010 were:

The Euro

Fixed Income

Fund

EUR

The Global

Bond (Euro

Hedged)

Fund

EUR

The Pan

European

Equity Fund

EUR

The U.K.

Equity Plus

Fund

GBP

The U.S.

Quant Fund

USD

The U.S.

Value Fund

USD

The World

Equity Fund

USD

Class A ................................................................ (281) (5,540) (17,817) - - - - Class A Income ................................................... - - - - - (796) -

Class B ................................................................ (1,017,112) (3,099,885) (906,785) (736,107) (115,319) (126,252) (2,718,084)

Class C ................................................................ - - - (24,906) (2,741) (6,585) (955,483) Class D ................................................................ - - - - - - (8,597)

Class DH-B ......................................................... - (464,650) - - - - -

Class EH-T .......................................................... - - - - - - (959,222)

Class EU ............................................................... - - (81,991) - - - -

Class F ................................................................. (2,041) - (210,738) - - - -

Class I Income ...................................................... (676,210) (612,707) - (112,789) - (1,888) - Class I .................................................................. (1,055,536) (940,513) (4,167) - (125,881) (155) (6,284,116)

Class J ................................................................. - - - - - - (274,398)

Class K ................................................................ - - - (13,683) - - - Class MZ Income ................................................. (316,873) (580,812) (77,905) - - - -

Class N ................................................................ - - - - - - (23,014)

Class PAMEU ..................................................... - - - - - - - Class P Income ..................................................... (57,488) - - (143,834) (26,239) - -

Class S ................................................................. (17,885) - - - - - -

Class SH-B .......................................................... - - - - - - (3,821,949) Class TDCNV Income ......................................... - - - - - - (502,000)

Class TUBS ......................................................... - - - - - - (336,272)

Class TYA ........................................................... - - - - - - (156,433)

Total .................................................................... (3,143,426) (5,704,107) (1,299,403) (1,031,319) (270,180) (135,676) (16,039,568)


Distributions deemed on

accumulation shares ............................................ (2,092,855) (4,510,588) (1,221,498) (774,696) (243,941) (132,992) (15,537,568)

16. Significant Events During the Period

Prospectus Updates

A revised Prospectus for the Company was filed with the Central Bank on 1 April 2011. A summary of the changes to the

Prospectus is set out below. On the same date a revised Simplified Prospectus was filed with the Central Bank.

The principal amendments to the Prospectus filed on 1 April 2011 were as follows: (1) the investment policy of The World

Equity Fund was changed by deleting specific references to the MSCI World Index and replacing these with a more general

reference to any regulated market worldwide; (2) removal of references to the following unfunded share classes on the basis

that they are no longer being offered: (i) Class A in The Euro Fixed Income Fund; (ii) Class I Income in The Pan European

Equity Fund and The U.S. Quant Fund; and (iii) Class E in The U.S. Quant Fund.

Board Appointment

Mr. Neil Jenkins was appointed as director of the Company on 22 September 2011. Prior to that date he acted as permanent

alternate for Mr. Peter Gunning.

Other significant events

From 1 July 2011, the Company received authorisation from the HM Revenue & Customs (“HMRC”) to be certified as a

Reporting Fund under Regulation 51 of The Offshore Funds (Tax) Regulations 2009.

Effective 24 May 2011, The Pan European Equity Fund of Multi-Style, Multi-Manager Funds plc merged with The Pan

European Equity Fund of the Company.



30 September 2011


17. Significant Events Since the Period End There were no significant events since the period end.

18. Approval of the Financial Statements

The financial statements were approved by the Directors on 25 November 2011.


Appendix I - Total Expense Ratio


Total Expense Ratio 187

The average Total Expense Ratio (“TER”) table shows the actual expenses incurred by each Fund over the preceding twelve

month period (with the exception of the unfunded Fund detailed in the Background to the Company), expressed as a percentage of

the average (avg.) net asset values (“NAV”) of that Fund for the corresponding period.

Expense % of

avg. NAV of

Fund


Class B ...................................................................................................................................................................... 0.95%

Class F ...................................................................................................................................................................... 1.75%

Class I ....................................................................................................................................................................... 0.75%

Class I Income .......................................................................................................................................................... 0.75%

Class MZ Income ..................................................................................................................................................... 0.55%

Class P Income ......................................................................................................................................................... 1.15%

Class S ...................................................................................................................................................................... 1.15%


Class A ..................................................................................................................................................................... 1.64%

Class B ...................................................................................................................................................................... 1.04%

Class DH-B ............................................................................................................................................................... 1.04%

Class I ....................................................................................................................................................................... 0.79%

Class I Income .......................................................................................................................................................... 0.79%

Class MZ Income ..................................................................................................................................................... 0.54%


Class A ..................................................................................................................................................................... 1.80%

Class B ...................................................................................................................................................................... 1.20%

Class F ...................................................................................................................................................................... 2.00%

Class I ....................................................................................................................................................................... 1.10%

Class J ....................................................................................................................................................................... 1.19%

Class MZ Income ..................................................................................................................................................... 0.60%

Class PAM EU ......................................................................................................................................................... 2.50%

Class R Roll-Up ........................................................................................................................................................ 1.45%


Class B ...................................................................................................................................................................... 1.44%

Class C ...................................................................................................................................................................... 2.04%

Class I Income .......................................................................................................................................................... 1.44%

Class K ..................................................................................................................................................................... 2.04%

Class P Income ......................................................................................................................................................... 2.04%

Class R ......................................................................................................................................................................... 2.74%


Class A Income ......................................................................................................................................................... 1.74%

Class B ...................................................................................................................................................................... 1.14%

Class C ...................................................................................................................................................................... 1.74%

Class I ....................................................................................................................................................................... 1.14%

Class I Income .......................................................................................................................................................... 1.14%

The U.S. Quant Fund

Class B ...................................................................................................................................................................... 1.18%

Class C ...................................................................................................................................................................... 1.78%

Class I ....................................................................................................................................................................... 0.98%

Class P Income ......................................................................................................................................................... 1.68%

Class R Roll-Up ........................................................................................................................................................ 0.74%

The U.S. Value Fund

Class A Income ......................................................................................................................................................... 1.67%

Class B ...................................................................................................................................................................... 1.13%

Class C ...................................................................................................................................................................... 1.73%

Class I ....................................................................................................................................................................... 1.13%

Class I Income .......................................................................................................................................................... 1.13%


Appendix I - Total Expense Ratio - continued


188 Total Expense Ratio

Expense % of

avg. NAV of

Fund


Class B ...................................................................................................................................................................... 1.00%

Class C ...................................................................................................................................................................... 1.70%

Class D ..................................................................................................................................................................... 0.85%

Class EH-T ............................................................................................................................................................... 1.25%

Class I ....................................................................................................................................................................... 1.00%

Class J ....................................................................................................................................................................... 1.70%

Class N ..................................................................................................................................................................... 2.40%

Class R ...................................................................................................................................................................... 2.70%

Class SH-B ............................................................................................................................................................... 1.05%

Class TDCNV Income .............................................................................................................................................. 0.68%

Class TUBS .............................................................................................................................................................. 0.65%

Class TYA ................................................................................................................................................................ 0.78%

Class TYC ................................................................................................................................................................ 0.68%

Class TYHC JPY ...................................................................................................................................................... 0.71%

Russell Investments Rex House10 Regent StreetLondon, SW1Y 4PE

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2011 SEMI ANNUAL REPORT Russell Investment Company II plc · Russell Investment Company II plc...

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