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
Russell Investment Company II plc
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.
Russell Investment Company II plc
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
United States of America
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
United States of America
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
United States of America United States of America
Pzena Investment Management
120 West 45th
Street, 20th
Floor
New York, NY 10036
United States of America
Russell Investment Company II plc
Administration of the Company - continued
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
United States of America United States of America
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
United States of America
Russell Implementation Services Inc.
Russell Implementation Services Inc. 1301 Second Avenue
1301 Second Avenue 18th
Floor
18th
Floor Seattle, WA 98101
Seattle, WA 98101 United States of America
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
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
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
United States of America
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
United States of America
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
United States of America
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
United States of America
Russell Investment Company II plc
Administration of the Company - continued
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.
Russell Investment Company II plc
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.
Russell Investment Company II plc
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
Net assets attributable to redeemable participating
shareholders (at last traded market prices) ............................................................... 3,638,567,258 3,748,815,433 3,301,588,485
Russell Investment Company II plc
Combined Profit and Loss Account
For the six months ended 30 September 2011
The accompanying notes are an integral part of the financial statements.
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.
Russell Investment Company II plc
Combined Statement of Changes in Net Assets Attributable to Redeemable Participating
Shareholders
For the six months ended 30 September 2011
The accompanying notes are an integral part of the financial statements.
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
Net increase (decrease) in net assets attributable to
redeemable participating shareholders resulting from
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)
Net assets attributable to redeemable participating
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
Russell Investment Company II plc
The Euro Fixed Income Fund
Manager’s Report
10 The Euro Fixed Income Fund
Money Managers Fidelity Investments International Limited
Russell Implementation Services Inc.
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.
Russell Investment Company II plc
The Euro Fixed Income Fund
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
Russell Investment Company II plc
The Euro Fixed Income Fund
Balance Sheet
As at 30 September 2011
The accompanying notes are an integral part of the financial statements.
12 The Euro Fixed Income Fund
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
Cash held with brokers and counterparties for open derivative
positions (Note 5) ............................................................................................................ 1,082,180 658,237 624,673
Cash received as collateral and invested relating to securities
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)
Creditors – amounts falling due within one year:
Cash due to brokers and counterparties for open derivative
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)
Net assets attributable to redeemable participating
shareholders (at bid market prices) ............................................................................. 218,198,769 199,757,594 191,378,989
Adjustment from bid market prices to last traded market
prices ............................................................................................................................... 310,470 234,845 299,253
Net assets attributable to redeemable participating
shareholders (at last traded market prices) ................................................................. 218,509,239 199,992,439 191,678,242
Russell Investment Company II plc
The Euro Fixed Income Fund
Profit and Loss Account
For the six months ended 30 September 2011
The accompanying notes are an integral part of the financial statements.
The Euro Fixed Income Fund 13
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)
Profit (loss) for the financial period/year/period before
taxation ........................................................................................................................... 2,425,082 (6,739,600) 3,617,374
Taxation
Withholding tax (Note 7) .............................................................................................. (3,282) (4,275) (3,864)
Profit (loss) for the financial period/year/period after
taxation ........................................................................................................................... 2,421,800 (6,743,875) 3,613,510
Movement in adjustment from bid market prices to last
traded market prices ..................................................................................................... 75,625 (101,123) (36,715)
Net increase (decrease) in net assets attributable to
redeemable participating shareholders resulting from
operations ....................................................................................................................... 2,497,425 (6,844,998) 3,576,795
All amounts arose solely from continuing operations. There are no recognised gains or losses other than those dealt within the Profit and Loss
Account.
Russell Investment Company II plc
The Euro Fixed Income Fund
Statement of Changes in Net Assets Attributable to Redeemable Participating Shareholders
For the six months ended 30 September 2011
The accompanying notes are an integral part of the financial statements.
14 The Euro Fixed Income Fund
Six months ended
30 September 2011
(Unaudited)
EUR
Year ended
31 March 2011
(Audited)
EUR
Six months ended
30 September 2010
(Unaudited)
EUR
Net increase (decrease) in net assets attributable to
redeemable participating shareholders resulting from
operations ....................................................................................................................... 2,497,425 (6,844,998) 3,576,795
Share transactions
Net increase (decrease) in net assets resulting from redeemable
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
Total net increase (decrease) in net assets attributable to
redeemable participating shareholders ........................................................................ 18,516,800 6,508,098 (1,806,099)
Net assets attributable to redeemable participating
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
Russell Investment Company II plc
The Euro Fixed Income Fund
Schedule of Investments
30 September 2011
The accompanying notes are an integral part of the financial statements.
The Euro Fixed Income Fund 15
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
Russell Investment Company II plc
The Euro Fixed Income Fund
Schedule of Investments - continued
30 September 2011
The accompanying notes are an integral part of the financial statements.
16 The Euro Fixed Income Fund
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
Russell Investment Company II plc
The Euro Fixed Income Fund
Schedule of Investments - continued
30 September 2011
The accompanying notes are an integral part of the financial statements.
The Euro Fixed Income Fund 17
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
Russell Investment Company II plc
The Euro Fixed Income Fund
Schedule of Investments - continued
30 September 2011
The accompanying notes are an integral part of the financial statements.
18 The Euro Fixed Income Fund
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
Russell Investment Company II plc
The Euro Fixed Income Fund
Schedule of Investments - continued
30 September 2011
The accompanying notes are an integral part of the financial statements.
The Euro Fixed Income Fund 19
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
Russell Investment Company II plc
The Euro Fixed Income Fund
Schedule of Investments - continued
30 September 2011
The accompanying notes are an integral part of the financial statements.
20 The Euro Fixed Income Fund
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
Russell Investment Company II plc
The Euro Fixed Income Fund
Schedule of Investments - continued
30 September 2011
The accompanying notes are an integral part of the financial statements.
The Euro Fixed Income Fund 21
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
Russell Investment Company II plc
The Euro Fixed Income Fund
Schedule of Investments - continued
30 September 2011
The accompanying notes are an integral part of the financial statements.
22 The Euro Fixed Income Fund
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%)
United States (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
Russell Investment Company
III plc
9,852
The Euro Liquidity Fund -
Class C Income Shares ..... 9,852,258 4.51
Russell Investment Company
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
Short Futures Contracts
Expiring December 2011 ...................................... 39,370 0.02
(1,092,480) (91.04) 12 of U.S. Treasury Note 5 Year Futures
Short Futures Contracts
Expiring December 2011 ...................................... (3,005) 0.00
4,382,311 136.85 32 of German Euro Bund Futures
Long Futures Contracts
Expiring December 2011 ...................................... (14,631) 0.00
956,540 119.57 8 of German Euro Buxl Futures
Long Futures Contracts
Expiring December 2011 ...................................... 30,980 0.01
7,085,031 122.18 58 of German Euro Bobl Futures
Long Futures Contracts
Expiring December 2011 ...................................... (1,491) 0.00
3,842,703 109.80 35 of German Euro Schatz Futures
Long Futures Contracts
Expiring December 2011 ...................................... (5,828) 0.00
(4,698,084) (95.88) 49 of U.S. Treasury Note 10 Year Futures
Short Futures Contracts
Expiring December 2011 ...................................... (53,048) (0.03)
Russell Investment Company II plc
The Euro Fixed Income Fund
Schedule of Investments - continued
30 September 2011
The accompanying notes are an integral part of the financial statements.
The Euro Fixed Income Fund 23
Notional
Amount
EUR
Average
Cost Price
EUR
Unrealised
Gain (Loss)
EUR
Fund
%
(3,780,441) (82.18) 23 of U.S. Treasury Note 2 Year Futures
Short Futures Contracts
Expiring December 2011 ...................................... 5,625 0.00
(1,031,629) (147.38) 7 of U.K. Long Gilt Bond Futures
Short Futures Contracts
Expiring December 2011 ...................................... (24,858) (0.01)
(1,908,900) (136.35) 14 of German Euro Bund Futures
Short Futures Contracts
Expiring December 2011 ...................................... (1,960) 0.00
(739,075) (147.82) 5 of U.K. Long Gilt Bond Futures
Short Futures Contracts
Expiring December 2011 ...................................... (15,558) 0.00
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
Russell Investment Company II plc
The Euro Fixed Income Fund
Schedule of Investments - continued
30 September 2011
The accompanying notes are an integral part of the financial statements.
24 The Euro Fixed Income Fund
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.
Russell Investment Company II plc
The Euro Fixed Income Fund
Schedule of Investments - continued
30 September 2011
The accompanying notes are an integral part of the financial statements.
The Euro Fixed Income Fund 25
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
Royal Bank of Scotland Plc
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.
Russell Investment Company II plc
The Euro Fixed Income Fund
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.
26 The Euro Fixed Income Fund
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)
Bundesrepublik Deutschland
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)
Italy Buoni Poliennali Del Tesoro
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
Bundesrepublik Deutschland
2.500% due 04/01/2021 (16,301,404)
Belgium, Kingdom of
4.250% due 28/09/2021 12,055,761
Bonos Y Oblig Del Estado
3.250% due 30/04/2016 (14,553,975)
Bundesrepublik Deutschland
2.500% due 04/01/2021 11,384,585
Italy Buoni Poliennali Del Tesoro
4.750% due 01/09/2021 (12,757,694)
Italy Buoni Poliennali Del Tesoro
4.750% due 01/09/2021 11,199,571
Bundesrepublik Deutschland
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)
Italy Buoni Poliennali Del Tesoro
4.500% due 01/02/2020 9,738,348
Italy Buoni Poliennali Del Tesoro
4.500% due 01/02/2020 (9,504,966)
Bonos Y Oblig Del Estado
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)
Italy Buoni Poliennali Del Tesoro
3.000% due 01/04/2014 7,588,510
Italy Buoni Poliennali Del Tesoro
3.000% due 01/04/2014 (7,582,473)
Italy Buoni Poliennali Del Tesoro
5.000% due 01/09/2040 7,048,379
Bonos Y Oblig Del Estado
5.500% due 30/04/2021 (7,343,568)
Belgium, Kingdom of
3.750% due 28/09/2020 6,702,270
Bundesrepublik Deutschland
3.250% due 04/01/2020 (6,361,594)
Bundesrepublik Deutschland
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
Bonos Y Oblig Del Estado
2.500% due 31/10/2013 (5,272,530)
France, Government of
4.000% due 25/04/2018 6,556,018
Italy Buoni Poliennali Del Tesoro
5.000% due 01/09/2040 (5,021,557)
Russell Investment Company II plc
The Global Bond (Euro Hedged) Fund
Manager’s Report
The Global Bond (Euro Hedged) Fund 27
Money Managers Brookfield Investment Management Inc.
Colchester Global Investors Limited
Russell Implementation Services Inc.
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.
General Comment on Money Manager/Performance
The Fund finished behind of the benchmark during the six month period, losing 1.1 per cent per annum.
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
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.
Russell Investment Company II plc
The Global Bond (Euro Hedged) Fund
Manager’s Report - continued
28 The Global Bond (Euro Hedged) Fund
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.
Past performance is no indication of current or future performance.
* Benchmark Source: Barclays Capital Global Aggregate Euro Hedged Index
Russell Investments Ireland Limited
November 2011
Russell Investment Company II plc
The Global Bond (Euro Hedged) Fund
Balance Sheet
As at 30 September 2011
The accompanying notes are an integral part of the financial statements.
The Global Bond (Euro Hedged) Fund 29
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
Cash held with brokers and counterparties for open derivative
positions (Note 5) ............................................................................................................ 4,656,993 646,091 3,132,572
Cash received as collateral and invested relating to securities
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)
Creditors – amounts falling due within one year:
Cash due to brokers and counterparties for open derivative
positions (Note 5) .......................................................................................................... (219,261) (352,604) (4,520,656)
Cash due to counterparties for securities lending transactions
(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 to Lehman ....................................................................................................... - - (6,432)
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)
Custodian and Trustee fees payable .............................................................................. (5,323) (5,336) (4,823)
Sub-custodian fees payable .......................................................................................... (19,008) (23,647) (14,622)
Administration fees payable ......................................................................................... (8,871) (8,893) (8,039)
Audit fees payable ........................................................................................................ (20,447) (35,952) (18,582)
Miscellaneous fees payable .......................................................................................... (16,178) (12,252) (14,050)
(63,088,873) (38,462,364) (65,197,510)
Net assets attributable to redeemable participating
shareholders (at bid market prices) ............................................................................. 429,871,464 415,128,180 391,484,840
Adjustment from bid market prices to last traded market
prices ............................................................................................................................... 1,099,908 687,687 544,838
Net assets attributable to redeemable participating
shareholders (at last traded market prices) ................................................................. 430,971,372 415,815,867 392,029,678
Russell Investment Company II plc
The Global Bond (Euro Hedged) Fund
Profit and Loss Account
For the six months ended 30 September 2011
The accompanying notes are an integral part of the financial statements.
30 The Global Bond (Euro Hedged) Fund
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)
Professional fees ........................................................................................................... (20,614) (42,584) (16,343)
Miscellaneous fees ........................................................................................................ (48,561) (96,737) (46,224)
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
Distributions (Note 15) ................................................................................................. (6,410,645) (11,506,657) (5,704,107)
Interest expense ............................................................................................................ (2,119) (7,443) (2,027)
Profit (loss) for the financial period/year/period before
taxation ........................................................................................................................... 10,246,627 4,225,026 16,091,558
Taxation
Withholding tax (Note 7) .............................................................................................. (81,473) (72,230) (13,991)
Profit (loss) for the financial period/year/period after
taxation ........................................................................................................................... 10,165,154 4,152,796 16,077,567
Movement in adjustment from bid market prices to last
traded market prices ..................................................................................................... 412,221 190,781 47,932
Net increase (decrease) in net assets attributable to
redeemable participating shareholders resulting from
operations ....................................................................................................................... 10,577,375 4,343,577 16,125,499
All amounts arose solely from continuing operations. There are no recognised gains or losses other than those dealt within the Profit and Loss
Account.
Russell Investment Company II plc
The Global Bond (Euro Hedged) Fund
Statement of Changes in Net Assets Attributable to Redeemable Participating Shareholders
For the six months ended 30 September 2011
The accompanying notes are an integral part of the financial statements.
The Global Bond (Euro Hedged) Fund 31
Six months ended
30 September 2011
(Unaudited)
EUR
Year ended
31 March 2011
(Audited)
EUR
Six months ended
30 September 2010
(Unaudited)
EUR
Net increase (decrease) in net assets attributable to
redeemable participating shareholders resulting from
operations ....................................................................................................................... 10,577,375 4,343,577 16,125,499
Share transactions
Net increase (decrease) in net assets resulting from redeemable
participating share transactions (Note 6) ...................................................................... (606,826) 30,703,566 (182,426)
Reinvestment of deemed distributions on accumulation shares
(Note 15) ....................................................................................................................... 5,184,956 9,192,707 4,510,588
Total net increase (decrease) in net assets attributable to
redeemable participating shareholders ........................................................................ 15,155,505 44,239,850 20,453,661
Net assets attributable to redeemable participating
shareholders
Beginning of period/year/period ................................................................................... 415,815,867 371,576,017 371,576,017
End of period/year/period ............................................................................................. 430,971,372 415,815,867 392,029,678
Russell Investment Company II plc
The Global Bond (Euro Hedged) Fund
Schedule of Investments
30 September 2011
The accompanying notes are an integral part of the financial statements.
32 The Global Bond (Euro Hedged) Fund
Principal
Amount
Fair Value
EUR
Fund
%
Transferable Securities (96.04%)
Long Term Bonds and Notes (95.34%)
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
General Electric Capital
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
Russell Investment Company II plc
The Global Bond (Euro Hedged) Fund
Schedule of Investments - continued
30 September 2011
The accompanying notes are an integral part of the financial statements.
The Global Bond (Euro Hedged) Fund 33
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
Cayman Islands (0.71%)
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 (0.44%)
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
Russell Investment Company II plc
The Global Bond (Euro Hedged) Fund
Schedule of Investments - continued
30 September 2011
The accompanying notes are an integral part of the financial statements.
34 The Global Bond (Euro Hedged) Fund
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
Russell Investment Company II plc
The Global Bond (Euro Hedged) Fund
Schedule of Investments - continued
30 September 2011
The accompanying notes are an integral part of the financial statements.
The Global Bond (Euro Hedged) Fund 35
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
Jersey, Channel Islands (0.03%)
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
Russell Investment Company II plc
The Global Bond (Euro Hedged) Fund
Schedule of Investments - continued
30 September 2011
The accompanying notes are an integral part of the financial statements.
36 The Global Bond (Euro Hedged) Fund
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
British American Tobacco
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
Russell Investment Company II plc
The Global Bond (Euro Hedged) Fund
Schedule of Investments - continued
30 September 2011
The accompanying notes are an integral part of the financial statements.
The Global Bond (Euro Hedged) Fund 37
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
Russell Investment Company II plc
The Global Bond (Euro Hedged) Fund
Schedule of Investments - continued
30 September 2011
The accompanying notes are an integral part of the financial statements.
38 The Global Bond (Euro Hedged) Fund
Principal
Amount
Fair Value
EUR
Fund
%
United Kingdom (7.65%)
Abbey National Treasury
Services PLC
EUR 800,000 3.125% due 30/06/14 ........ 803,892 0.19
Abbey National Treasury
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
Royal Bank of Scotland
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
Royal Bank of Scotland Plc
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
United States (28.42%)
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
Russell Investment Company II plc
The Global Bond (Euro Hedged) Fund
Schedule of Investments - continued
30 September 2011
The accompanying notes are an integral part of the financial statements.
The Global Bond (Euro Hedged) Fund 39
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
Russell Investment Company II plc
The Global Bond (Euro Hedged) Fund
Schedule of Investments - continued
30 September 2011
The accompanying notes are an integral part of the financial statements.
40 The Global Bond (Euro Hedged) Fund
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
Mortgage Pass Through
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
Russell Investment Company II plc
The Global Bond (Euro Hedged) Fund
Schedule of Investments - continued
30 September 2011
The accompanying notes are an integral part of the financial statements.
The Global Bond (Euro Hedged) Fund 41
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
General Electric Capital
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
Russell Investment Company II plc
The Global Bond (Euro Hedged) Fund
Schedule of Investments - continued
30 September 2011
The accompanying notes are an integral part of the financial statements.
42 The Global Bond (Euro Hedged) Fund
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
Russell Investment Company II plc
The Global Bond (Euro Hedged) Fund
Schedule of Investments - continued
30 September 2011
The accompanying notes are an integral part of the financial statements.
The Global Bond (Euro Hedged) Fund 43
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
Russell Investment Company II plc
The Global Bond (Euro Hedged) Fund
Schedule of Investments - continued
30 September 2011
The accompanying notes are an integral part of the financial statements.
44 The Global Bond (Euro Hedged) Fund
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
Structured Asset Mortgage
Investments II Inc
413,661 0.455% due 25/05/36 ........ 158,909 0.04
Structured Asset Mortgage
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
Russell Investment Company II plc
The Global Bond (Euro Hedged) Fund
Schedule of Investments - continued
30 September 2011
The accompanying notes are an integral part of the financial statements.
The Global Bond (Euro Hedged) Fund 45
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
Mortgage Pass Through
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
Russell Investment Company II plc
The Global Bond (Euro Hedged) Fund
Schedule of Investments - continued
30 September 2011
The accompanying notes are an integral part of the financial statements.
46 The Global Bond (Euro Hedged) Fund
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
Total Long Term Bonds
and Notes ............................ 410,883,544 95.34
Money Market Instruments (0.70%)
United States (0.70%)
U.S. Treasury Bill***
308,000 0.006% due 20/10/11 ........ 229,559 0.05
U.S. Treasury Bill**
149,000 0.023% due 23/02/12 ........ 111,047 0.03
U.S. Treasury Bill***
90,000 0.035% due 01/03/12 ........ 67,072 0.02
U.S. Treasury Bill***
2,006,000 0.260% due 08/03/12 ........ 1,494,944 0.35
U.S. Treasury Bill**
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
Financial Derivative Instruments ((0.74)%)
Number
of Shares
Fair Value
EUR
Fund
%
Collective Investment Schemes (4.34%)
Ireland (2.87%)
EUR 6,960
Russell Investment Company
III plc
The Euro Liquidity Fund -
Class C Income Shares ..... 6,959,416 1.62
GBP 120
Russell Investment Company
III plc
The Sterling Cash Fund -
Class C Income Shares ..... 139,619 0.03
USD 699,312
Russell Investment Company
III plc
The U.S. Dollar Cash Fund
II - Class C Shares ............. 5,212,135 1.21
EUR 34
Russell Investment Company
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
Total Collective Investment
Schemes ............................. 18,686,821 4.34
Total Investments
excluding Financial
Derivative Instruments ..... 432,578,819 100.38
Open Futures Contracts ((0.05)%)
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
Long Futures Contracts
Expiring December 2011 ....................................... 18,539 0.00
4,242,059 96.41
2 of U.S. Treasury Note 10 Year Futures
Long Futures Contracts
Expiring December 2011 ........................................ 41,547 0.01
(3,433,920) (122.64)
28 of German Euro Bobl Futures
Short Futures Contracts
Expiring December 2011 ........................................ 14,280 0.00
13,043,079 148.22
97 of U.K. Long Gilt Bond Futures
Long Futures Contracts
Expiring December 2011 ........................................ 268,566 0.06
1,930,451 101.60
19 of 30 Year U.S. Treasury Bond Futures
Long Futures Contracts
Expiring December 2011 ........................................ 89,282 0.02
(2,898,800) (103.53)
1 of 30 Year U.S. Treasury Bond Futures
Short Futures Contracts
Expiring December 2011 ........................................ (82,917) (0.02)
2,464,730 82.16
15 of 2 Year U.S. Treasury Bond Futures
Long Futures Contracts
Expiring December 2011 ........................................ (2,893) 0.00
Russell Investment Company II plc
The Global Bond (Euro Hedged) Fund
Schedule of Investments - continued
30 September 2011
The accompanying notes are an integral part of the financial statements.
The Global Bond (Euro Hedged) Fund 47
Notional
Amount
EUR
Average
Cost Price
EUR
Unrealised
Gain/(Loss)
EUR
Fund
%
3,013,758 91.33
33 of 5 Year U.S. Treasury Bond Futures
Long Futures Contracts
Expiring December 2011 ........................................ (1,174) 0.00
(5,563,034) (91.20)
61 of 5 Year U.S. Treasury Bond Futures
Short Futures Contracts
Expiring December 2011 ........................................ (5,683) 0.00
(2,802,019) (96.62)
29 of 10 Year U.S. Treasury Bond Futures
Short Futures Contracts
Expiring December 2011 ........................................ (9,876) 0.00
2,084,540 122.62
17 of German Euro Bobl Futures
Long Futures Contracts
Expiring December 2011 ........................................ (8,330) 0.00
5,855,650 136.18
22 of German Euro Bund Futures
Long Futures Contracts
Expiring December 2011 ........................................ (440) 0.00
1,539,440 109.96
14 of German Euro Schatz Futures
Long Futures Contracts
Expiring December 2011 ........................................ (4,690) 0.00
276,141 1.38
2 of 10 Year Japan Government Bond Mini
Futures
Short Futures Contracts
Expiring December 2011 ........................................ (1,064) 0.00
5,510,053 1.38
4 of 10 Year Japan Government Bond Mini
Futures
Long Futures Contracts
Expiring December 2011 ........................................ (8,896) 0.00
22,524,707 1.02
176 of Euro Currency Futures
Long Futures Contracts
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)
Open Forward Foreign Currency Exchange Contracts ((0.75)%)
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
Russell Investment Company II plc
The Global Bond (Euro Hedged) Fund
Schedule of Investments - continued
30 September 2011
The accompanying notes are an integral part of the financial statements.
48 The Global Bond (Euro Hedged) Fund
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)
Russell Investment Company II plc
The Global Bond (Euro Hedged) Fund
Schedule of Investments - continued
30 September 2011
The accompanying notes are an integral part of the financial statements.
The Global Bond (Euro Hedged) Fund 49
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
Russell Investment Company II plc
The Global Bond (Euro Hedged) Fund
Schedule of Investments - continued
30 September 2011
The accompanying notes are an integral part of the financial statements.
50 The Global Bond (Euro Hedged) Fund
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
Russell Investment Company II plc
The Global Bond (Euro Hedged) Fund
Schedule of Investments - continued
30 September 2011
The accompanying notes are an integral part of the financial statements.
The Global Bond (Euro Hedged) Fund 51
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
Russell Investment Company II plc
The Global Bond (Euro Hedged) Fund
Schedule of Investments - continued
30 September 2011
The accompanying notes are an integral part of the financial statements.
52 The Global Bond (Euro Hedged) Fund
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
Russell Investment Company II plc
The Global Bond (Euro Hedged) Fund
Schedule of Investments - continued
30 September 2011
The accompanying notes are an integral part of the financial statements.
The Global Bond (Euro Hedged) Fund 53
Notional
Amount
EUR
Fair Value
EUR
Fund
%
(86,000)
Call at 139 German Euro Bund Option Futures
Expiring October 2011 ............................................................................ (860) 0.00
(10,000)
Call at 139.50 German Euro Bund Option Futures
Expiring October 2011 ............................................................................ (100) 0.00
(16,000)
Put at 135 German Euro Bund Option Futures
Expiring October 2011 ............................................................................ (160) 0.00
(15,000)
Put at 120 German Euro Bund Option Futures
Expiring October 2011 ............................................................................. (15) 0.00
(1,485) 0.00
United States (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
Expiring October 2011 ............................................................................ (6,485) 0.00
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
(1,700,000) Put at 3 on 3 Year IRS
Expiring June 2012 .................................................................................. (350) 0.00
(1,600,000) Put at 3 on 3 Year IRS
Expiring June 2012 .................................................................................. (274) 0.00
(2,300,000) Put at 3 on 3 Year IRS
Expiring June 2012 .................................................................................. (360) 0.00
(1,400,000) Put at 3 on 3 Year IRS
Expiring June 2012 .................................................................................. (268) 0.00
(1,100,000) Put at 3 on 3 Year IRS
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
Russell Investment Company II plc
The Global Bond (Euro Hedged) Fund
Schedule of Investments - continued
30 September 2011
The accompanying notes are an integral part of the financial statements.
54 The Global Bond (Euro Hedged) Fund
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
Expiring October 2011 ............................................................................ (1,620) 0.00
(900,000) Call at 0.001 FVA USD 2Y GLM
Expiring October 2011 ............................................................................ (2,506) 0.00
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)
EUR 7,000,000 6 Month Euribor 3.00% 21/09/2021 226,836 0.05
EUR 1,300,000 6 Month Euribor 3.00% 21/09/2021 41,439 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
Russell Investment Company II plc
The Global Bond (Euro Hedged) Fund
Schedule of Investments - continued
30 September 2011
The accompanying notes are an integral part of the financial statements.
The Global Bond (Euro Hedged) Fund 55
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
Russell Investment Company II plc
The Global Bond (Euro Hedged) Fund
Schedule of Investments - continued
30 September 2011
The accompanying notes are an integral part of the financial statements.
56 The Global Bond (Euro Hedged) Fund
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
Russell Investment Company II plc
The Global Bond (Euro Hedged) Fund
Schedule of Investments - continued
30 September 2011
The accompanying notes are an integral part of the financial statements.
The Global Bond (Euro Hedged) Fund 57
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
%
Total Financial Assets at Fair Value through Profit or Loss
(104.22%) ..................................................................................................................................................... 449,216,311 104.22
Total Financial Liabilities at Fair Value through Profit or
Loss ((4.58)%) .............................................................................................................................................. (19,823,183) (4.58)
Net Financial Assets at Fair Value through Profit or Loss
(99.64%) ............................................................................................... 429,393,128 99.64
Other Net Assets (0.11%) .................................................................... 478,336 0.11
Adjustment from Bid Market Prices to Last Traded Market
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.
Analysis of total assets
% 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
Russell Investment Company II plc
The Global Bond (Euro Hedged) Fund
Schedule of Investments - continued
30 September 2011
The accompanying notes are an integral part of the financial statements.
58 The Global Bond (Euro Hedged) Fund
The counterparties for the open forward foreign currency exchange contracts are:
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
Royal Bank of Scotland
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
Royal Bank of Scotland
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
Royal Bank of Scotland
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
Royal Bank of Scotland
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.
Russell Investment Company II plc
The Global Bond (Euro Hedged) Fund
Statement of Changes in the 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.
The Global Bond (Euro Hedged) Fund 59
Portfolio Securities
Acquisition Cost
EUR Portfolio Securities
Disposal Proceeds
EUR
Russell Investment Company III plc Russell Investment Company III plc
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)
Russell Investment Company III plc Russell Investment Company III plc
The Euro Liquidity Fund The Euro Liquidity Fund
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)
Russell Investment Company II plc
The Pan European Equity Fund
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.
General Comment on Money Manager/Performance
The Fund finished behind of the benchmark during the six month period, losing 1.0 per cent per annum.
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.
Russell Investment Company II plc
The Pan European Equity Fund
Manager’s Report - continued
The Pan European Equity Fund 61
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.
Past performance is no indication of current or future performance.
* Benchmark Source: Russell Developed Europe Large Cap Net Index from 1 April 2011. Prior to 1 April 2011 was MSCI Europe Index.
Russell Investments Ireland Limited
November 2011
Russell Investment Company II plc
The Pan European Equity Fund
Balance Sheet
As at 30 September 2011
The accompanying notes are an integral part of the financial statements.
62 The Pan European Equity Fund
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
Cash held with brokers and counterparties for open derivative
positions (Note 5) .................................................................................. 1,593,154 460,110 447,544
Consolidated eSec SFT Fund and SFT Managed Account at fair
value (Note 4) ........................................................................................ 1,182,183 221,154 1,107,963
Cash received as collateral and invested relating to securities
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)
Creditors – amounts falling due within one year:
Cash invested in SFT Collective Investment Fund due to
counterparties for securities lending transactions (Note 4) ........................................... - - (1,078,990)
Cash due to counterparties for securities lending transactions
(Note 4) ......................................................................................................................... (10,697,065) (6,039,196) (5,387,503)
Payable to Lehman ....................................................................................................... - - (64,811)
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)
Custodian and Trustee fees payable .............................................................................. (4,656) (2,263) (2,065)
Sub-custodian fees payable ........................................................................................... (35,478) (40,497) (40,937)
Administration fees payable ......................................................................................... (7,759) (3,772) (3,441)
Audit fees payable ........................................................................................................ - (24,170) (12,816)
Miscellaneous fees payable .......................................................................................... (25,978) (4,053) (19,696)
(15,104,935) (8,003,196) (8,245,988)
Net assets attributable to redeemable participating
shareholders (at bid market prices) ............................................................................. 358,477,998 178,489,746 166,060,113
Adjustment from bid market prices to last traded market
prices ............................................................................................................................... 720,799 39,510 63,419
Net assets attributable to redeemable participating
shareholders (at last traded market prices) ................................................................. 359,198,797 178,529,256 166,123,532
Russell Investment Company II plc
The Pan European Equity Fund
Profit and Loss Account
For the six months ended 30 September 2011
The accompanying notes are an integral part of the financial statements.
The Pan European Equity Fund 63
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)
Professional fees ........................................................................................................... (11,235) (15,733) (8,732)
Miscellaneous fees ........................................................................................................ (39,430) (45,079) (22,751)
Total operating expenses ............................................................................................... (2,237,992) (2,425,835) (1,158,990)
Net income (expense) ..................................................................................................... (87,554,604) 16,087,858 2,336,726
Finance costs
Distributions (Note 15) ................................................................................................. (2,973,108) (1,301,154) (1,299,403)
Interest expense ............................................................................................................ - (663) (820)
Profit (loss) for the financial period/year/period before
taxation ........................................................................................................................... (90,527,712) 14,786,041 1,036,503
Taxation
Withholding tax (Note 7) .............................................................................................. (722,196) (675,509) (420,379)
Profit (loss) for the financial period/year/period after
taxation ........................................................................................................................... (91,249,908) 14,110,532 616,124
Movement in adjustment from bid market prices to last
traded market prices ..................................................................................................... 681,289 (166,656) (142,747)
Net increase (decrease) in net assets attributable to
redeemable participating shareholders resulting from
operations ....................................................................................................................... (90,568,619) 13,943,876 473,377
All amounts arose solely from continuing operations. There are no recognised gains or losses other than those dealt within the Profit and Loss
Account.
Russell Investment Company II plc
The Pan European Equity Fund
Statement of Changes in Net Assets Attributable to Redeemable Participating Shareholders
For the six months ended 30 September 2011
The accompanying notes are an integral part of the financial statements.
64 The Pan European Equity Fund
Six months ended
30 September 2011
(Unaudited)
EUR
Year ended
31 March 2011
(Audited)
EUR
Six months ended
30 September 2010
(Unaudited)
EUR
Net increase (decrease) in net assets attributable to
redeemable participating shareholders resulting from
operations ....................................................................................................................... (90,568,619) 13,943,876 473,377
Share transactions
Net increase (decrease) in net assets resulting from redeemable
participating share transactions (Note 6) ...................................................................... 268,374,067 27,544,023 28,610,486
Reinvestment of deemed distributions on accumulation shares
(Note 15) ....................................................................................................................... 2,864,093 1,223,186 1,221,498
Total net increase (decrease) in net assets attributable to
redeemable participating shareholders ........................................................................ 180,669,541 42,711,085 30,305,361
Net assets attributable to redeemable participating
shareholders
Beginning of period/year/period ................................................................................... 178,529,256 135,818,171 135,818,171
End of period/year/period ............................................................................................. 359,198,797 178,529,256 166,123,532
Russell Investment Company II plc
The Pan European Equity Fund
Schedule of Investments
30 September 2011
The accompanying notes are an integral part of the financial statements.
The Pan European Equity Fund 65
Number
of Shares
Fair Value
EUR
Fund
%
Transferable Securities (94.87%)
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%)
Diversified Telecommunications
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
Food and Drug Retailing
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
Russell Investment Company II plc
The Pan European Equity Fund
Schedule of Investments - continued
30 September 2011
The accompanying notes are an integral part of the financial statements.
66 The Pan European Equity Fund
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
Construction and Engineering
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
Diversified Financials
56,163 Deutsche Boerse AG ........... 2,107,236 0.59
Diversified Telecommunications
113,694 Deutsche Telekom AG ........ 997,779 0.28
Energy Equipment and Services
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
Industrial Conglomerates
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
Russell Investment Company II plc
The Pan European Equity Fund
Schedule of Investments - continued
30 September 2011
The accompanying notes are an integral part of the financial statements.
The Pan European Equity Fund 67
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%)
Diversified Telecommunications
36,563
Hellenic
Telecommunications
Organisation SA .................. 114,442 0.03
Guernsey, Channel Islands (0.23%)
Diversified Financials
290,414 Resolution Ltd ..................... 834,206 0.23
Ireland (0.60%)
Construction Material
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
Commercial Services and Supplies
220,699 Atlantia SpA ........................ 2,346,030 0.65
Diversified Telecommunications
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
Jersey, Channel Islands (1.43%)
Commercial Services and Supplies
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
Diversified Telecommunications
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%)
Aerospace and Defence
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
Diversified Telecommunications
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
Russell Investment Company II plc
The Pan European Equity Fund
Schedule of Investments - continued
30 September 2011
The accompanying notes are an integral part of the financial statements.
68 The Pan European Equity Fund
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
Transportation Equipment
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
Commercial Services and Supplies
15,860
TGS-NOPEC Geophysical
Co ASA ............................... 221,880 0.06
Diversified Telecommunications
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
Transportation Equipment
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
Banco Bilbao Vizcaya
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
Construction and Engineering
13,490
Obrascon Huarte Lain
SA ....................................... 250,779 0.07
Diversified Telecommunications
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
Energy Equipment and Services
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%)
Aerospace and Defence
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
Commercial Services and Supplies
46,716 Securitas AB ....................... 256,011 0.07
Food Products
2,330 Axfood AB ......................... 59,470 0.02
Russell Investment Company II plc
The Pan European Equity Fund
Schedule of Investments - continued
30 September 2011
The accompanying notes are an integral part of the financial statements.
The Pan European Equity Fund 69
Number
of Shares
Fair Value
EUR
Fund
%
Health Care Equipment and Supplies
28,984 Elekta AB ............................ 817,774 0.23
Industrial Conglomerates
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
Commercial Services and Supplies
1,293 SGS SA ............................... 1,472,662 0.41
Construction and Engineering
82,940 ABB Ltd .............................. 1,073,275 0.30
1,731 Flughafen Zuerich AG ........ 482,938 0.13
Diversified Financials
91,434 Credit Suisse Group AG ...... 1,799,920 0.50
301,869 UBS AG .............................. 2,608,327 0.73
Electronic Equipment and Instruments
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
Health Care Equipment and Supplies
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
Semiconductor Equipment and Products
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
United Kingdom (24.92%)
Aerospace and Defence
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
Royal Bank of Scotland
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
Commercial Services and Supplies
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
Construction and Engineering
86,461 Balfour Beatty ..................... 256,589 0.07
323,250 Carillion Plc ........................ 1,254,299 0.35
Russell Investment Company II plc
The Pan European Equity Fund
Schedule of Investments - continued
30 September 2011
The accompanying notes are an integral part of the financial statements.
70 The Pan European Equity Fund
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
Diversified Financials
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
Electronic Equipment and Instruments
496,670 TT Electronics Plc ............... 898,157 0.25
Food and Drug Retailing
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
Health Care Equipment and Supplies
104,325 Smith & Nephew ................. 704,359 0.20
Hotels, Restaurants and Leisure
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
British Sky Broadcasting
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
Semiconductor Equipment and Products
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
British American Tobacco
Plc ....................................... 4,418,643 1.23
Transportation Equipment
9,400 FirstGroup Plc ..................... 35,012 0.01
89,520,312 24.92
Virgin Islands, British (0.24%)
Software
286,825 Playtech .............................. 865,858 0.24
Total Common Stock ........ 338,411,501 94.22
Russell Investment Company II plc
The Pan European Equity Fund
Schedule of Investments - continued
30 September 2011
The accompanying notes are an integral part of the financial statements.
The Pan European Equity Fund 71
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
Banco Bilbao Vizcaya
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
%
Collective Investment Schemes (3.70%)
Ireland (3.70%)
12,807
Russell Investment Company
III plc
The Euro Liquidity Fund -
Class C Shares ................... 12,807,267 3.57
378
Russell Investment Company
III plc
The Sterling Cash Fund -
Class A Shares .................. 438,377 0.12
7,402
Russell Investment Company
III plc
The U.S. Dollar Cash Fund
II - Class A Shares ............. 55,173 0.01
Total Collective Investment
Schemes ............................. 13,300,817 3.70
Total Investments
excluding Financial
Derivative Instruments ..... 354,048,105 98.57
Financial Derivative Instruments ((0.07)%)
Open Futures Contracts ((0.06)%)
Notional
Amount
EUR
Average
Cost Price
EUR
Unrealised
Gain (Loss)
EUR
Fund
%
5,359,981 6,090.89 88 of FTSE 100 Index Futures
Long Futures Contracts
Expiring December 2011 ............................... (158,832) (0.04)
4,403,805 2,158.73 204 of Euro Stoxx 50 Index Futures
Long Futures Contracts
Expiring December 2011 ....................................... (5,565) 0.00
1,253,569 5,571.42 9 of DAX Index Futures
Long Futures Contracts
Expiring December 2011 ....................................... (22,594) (0.01)
1,235,090 280.70 22 of AEX Index Futures
Long Futures Contracts
Expiring October 2011 .......................................... (670) 0.00
418,280 8,365.60 5 of IBEX 35 Index Futures
Long Futures Contracts
Expiring October 2011 .......................................... 6,945 0.00
800,281 100.04 80 of OMX 30 Index Futures
Long Futures Contracts
Expiring October 2011 .......................................... (11,139) 0.00
2,447,408 4,532.24 54 of Swiss Market Index Futures
Long Futures Contracts
Expiring December 2011 ....................................... (4,557) 0.00
Russell Investment Company II plc
The Pan European Equity Fund
Schedule of Investments - continued
30 September 2011
The accompanying notes are an integral part of the financial statements.
72 The Pan European Equity Fund
Notional
Amount
EUR
Average
Cost Price
EUR
Unrealised
Gain (Loss)
EUR
Fund
%
365,275 14,611.00 5 of FTSE MIB Index Futures
Long Futures Contracts
Expiring December 2011 ....................................... 3,475 0.00
1,388,530 3,018.54 46 of CAC 40 Index Futures
Long Futures Contracts
Expiring October 2011 .......................................... (16,580) (0.01)
Unrealised gain on open futures contracts ......................................................................... 10,420 0.00
Unrealised loss on open futures contracts .......................................................................... (219,937) (0.06)
Net unrealised gain (loss) on open futures contracts .................................................... (209,517) (0.06)
Open Forward Foreign Currency Exchange Contracts ((0.01)%)
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
Russell Investment Company II plc
The Pan European Equity Fund
Schedule of Investments - continued
30 September 2011
The accompanying notes are an integral part of the financial statements.
The Pan European Equity Fund 73
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
%
Total Financial Assets at Fair Value through Profit or Loss
(98.60%) ............................................................................................................................... 354,149,576 98.60
Total Financial Liabilities at Fair Value through Profit or
Loss ((0.10)%) ..................................................................................................................... (360,259) (0.10)
Net Financial Assets at Fair Value through Profit or Loss
(98.50%) ............................................................................................... 353,789,317 98.50
Other Net Assets (1.30%) .................................................................... 4,688,681 1.30
Adjustment from Bid Market Prices to Last Traded Market
Prices (0.20%) ...................................................................................... 720,799 0.20
Net Assets (100.00%) .......................................................................... 359,198,797 100.00
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 .................................................................................................................................. 91.38
Collective investment schemes .............................................................................................................................. 3.57
Exchange traded financial derivative instruments ................................................................................................. 0.03
Over the counter financial derivative instruments ................................................................................................. 5.02
100.00
The broker for the open futures contracts is Morgan Stanley.
The counterparties for the open forward foreign currency exchange contracts are:
Barclays Bank Plc
Citibank
Commonwealth Bank of Australia Sydney
Credit Suisse First London
HSBC Bank
JP Morgan Chase
Royal Bank of Canada
State Street Bank and Trust Company
Westpac Banking Corp
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.
Russell Investment Company II plc
The Pan European Equity Fund
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.
74 The Pan European Equity Fund
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 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)
Russell Investment Company II plc
The U.K. Equity Plus Fund
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.
General Comment on Money Manager/Performance
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.
Russell Investment Company II plc
The U.K. Equity Plus Fund
Manager’s Report - continued
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
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.
Past performance is no indication of current or future performance.
* Benchmark Source: FTSE All Share Index
Russell Investments Ireland Limited
November 2011
Russell Investment Company II plc
The U.K. Equity Plus Fund
Balance Sheet
As at 30 September 2011
The accompanying notes are an integral part of the financial statements.
The U.K. Equity Plus Fund 77
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
Cash held with brokers and counterparties for open derivative
positions (Note 5) .............................................................................................................. 1,000,000 400,000 964,800
Cash received as collateral and invested relating to securities
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)
Creditors – amounts falling due within one year:
Cash due to brokers and counterparties for open derivative
positions (Note 5) ........................................................................................................... (310,715) (174,330) (380,120)
Cash due to counterparties for securities lending transactions
(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)
Net assets attributable to redeemable participating
shareholders (at bid market prices) ............................................................................. 119,663,890 133,860,052 133,234,666
Adjustment from bid market prices to last traded market
prices ............................................................................................................................... 118,600 36,699 62,319
Net asset value attributable to redeemable participating
shareholders (at last traded market prices) ................................................................. 119,782,490 133,896,751 133,296,985
Russell Investment Company II plc
The U.K. Equity Plus Fund
Profit and Loss Account
For the six months ended 30 September 2011
The accompanying notes are an integral part of the financial statements.
78 The U.K. Equity Plus Fund
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)
Net income (expense) ..................................................................................................... (18,193,695) 15,342,137 3,490,479
Finance costs
Distributions (Note 15) .................................................................................................. (1,202,576) (1,583,449) (1,031,319)
Interest expense .............................................................................................................. - (1,993) (1,660)
Profit (loss) for the financial period/year/period before
taxation ........................................................................................................................... (19,396,271) 13,756,695 2,457,500
Taxation
Withholding tax (Note 7) ............................................................................................... (7,233) (346,321) (10,061)
Profit (loss) for the financial period/year/period after
taxation ........................................................................................................................... (19,403,504) 13,410,374 2,447,439
Movement in adjustment from bid market prices to last
traded market prices ...................................................................................................... 81,901 (73,405) (47,785)
Net increase (decrease) in net assets attributable to
redeemable participating shareholders resulting from
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.
Russell Investment Company II plc
The U.K. Equity Plus Fund
Statement of Changes in Net Assets Attributable to Redeemable Participating Shareholders
For the six months ended 30 September 2011
The accompanying notes are an integral part of the financial statements.
The U.K. Equity Plus Fund 79
Six months ended
30 September 2011
(Unaudited)
GBP
Year ended
31 March 2011
(Audited)
GBP
Six months ended
30 September 2010
(Unaudited)
GBP
Net increase (decrease) in net assets attributable to
redeemable participating shareholders resulting from
operations .................................................................................................................................................. (19,321,603) 13,336,969 2,399,654
Share transactions
Net increase (decrease) in net assets resulting from redeemable
participating share transactions (Note 6) ........................................................................ 4,270,636 (11,533,369) (763,315)
Reinvestment of deemed distributions on accumulation shares
(Note 15) ........................................................................................................................ 936,706 1,207,201 774,696
Total net increase (decrease) in net assets attributable to
redeemable participating shareholders .................................................................................................. (14,114,261) 3,010,801 2,411,035
Net assets attributable to redeemable participating
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
Russell Investment Company II plc
The U.K. Equity Plus Fund
Schedule of Investments
30 September 2011
The accompanying notes are an integral part of the financial statements.
80 The U.K. Equity Plus Fund
Number
of Shares
Fair Value
GBP
Fund
%
Transferable Securities (88.59%)
Common Stock (88.59%)
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
Jersey, Channel Islands (1.08%)
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%)
Commercial Services and Supplies
112,790 Cape Plc .............................. 511,728 0.43
Electronic Equipment and Instruments
38,394 XP Power Ltd ...................... 407,745 0.34
919,473 0.77
United Kingdom (85.70%)
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
926,073 Barclays Bank Plc ............... 1,493,293 1.25
476,116 HSBC Holdings Plc ............. 2,365,820 1.97
1,290,981
Lloyds Banking Group
Plc ....................................... 450,101 0.38
708,090
Royal Bank of Scotland
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
Commercial Services and Supplies
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
Computers and Peripherals
127,590 Computacenter Plc .............. 465,703 0.39
72
Domino Printing Sciences
Plc ....................................... 333 0.00
Construction and Engineering
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
Containers and Packaging
521,461 Smith (DS) Plc .................... 913,078 0.76
Distributors
133,900 Wolseley ............................. 2,151,773 1.80
Diversified Financials
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
Diversified Telecommunications
134,189 Inmarsat .............................. 658,600 0.55
Electronic Equipment and Instruments
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
Russell Investment Company II plc
The U.K. Equity Plus Fund
Schedule of Investments - continued
30 September 2011
The accompanying notes are an integral part of the financial statements.
The U.K. Equity Plus Fund 81
Number
of Shares
Fair Value
GBP
Fund
%
Health Care Equipment and Supplies
546,822
Advanced Medical Solutions
Group Plc ............................ 473,001 0.39
Home Furnishings
533,752 Galiform Plc ........................ 547,096 0.46
Hotels, Restaurants and Leisure
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
British Sky Broadcasting
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
Miscellaneous Manufacturers
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
Oil and Gas Services
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
British American Tobacco
Plc ....................................... 6,737,676 5.62
Trading Companies and Distributors
85,370 Electrocomponents ............. 162,118 0.14
Transportation Equipment
575,603 Stagecoach Group Plc ......... 1,413,105 1.18
102,652,913 85.70
Total Common Stock ........ 106,116,609 88.59
Total Transferable
Securities ............................ 106,116,609 88.59
Collective Investment Schemes (9.86%)
Ireland (9.86%)
USD 236
Russell Investment Company
III plc
The U.S. Dollar Cash Fund
II - Class C Shares ............ 1,514 0.00
GBP 11,812
Russell Investment Company
III plc
The Sterling Cash Fund -
Class C Income Shares ..... 11,812,547 9.86
EUR 1
Russell Investment Company
III plc
The Euro Liquidity Fund -
Class C Income Shares ..... 2 0.00
Total Collective Investment
Schemes ............................. 11,814,063 9.86
Total Investments
excluding Financial
Derivative Instruments ..... 117,930,672 98.45
Russell Investment Company II plc
The U.K. Equity Plus Fund
Schedule of Investments - continued
30 September 2011
The accompanying notes are an integral part of the financial statements.
82 The U.K. Equity Plus Fund
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
Long Futures Contracts
Expiring December 2011 ....................................... 36,795 0.03
Net unrealised gain (loss) on open futures contracts .................................................... 36,795 0.03
Total Financial Derivative Instruments ......................................................................... 36,795 0.03
Fair Value
GBP Fund
%
Total Financial Assets at Fair Value through Profit or Loss
(98.48%) ............................................................................................... 117,967,467 98.48
Other Net Assets (1.42%) .................................................................... 1,696,423 1.42
Adjustment from Bid Market Prices to Last Traded Market
Prices (0.10%) ...................................................................................... 118,600 0.10
Net Assets (100.00%) .......................................................................... 119,782,490 100.00
Analysis of total assets
% of
total assets
Transferable securities and money market instruments admitted to an official stock exchange listing or
traded in a regulated market ................................................................................................................................... 88.59
Collective investment schemes .............................................................................................................................. 9.86
Exchange traded financial derivative instruments ................................................................................................. 0.03
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.
Russell Investment Company II plc
The U.K. Equity Plus Fund
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.
The U.K. Equity Plus Fund 83
Portfolio Securities
Acquisition Cost
GBP Portfolio Securities
Disposal Proceeds
GBP
Russell Investment Company III plc Russell Investment Company III plc
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)
Russell Investment Company II plc
The U.S. Growth Fund
Manager’s Report
84 The U.S. Growth Fund
Money Managers Columbus Circle Investors
Russell Implementation Services Inc.
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
During the six months ended 30 September 2011, the Fund returned -14.2 per cent on a gross-of-fee basis (-14.9 per cent on a
net-of-fee basis), while the benchmark* returned -12.7 per cent.
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.
General Comment on Money Manager/Performance
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.
Russell Investment Company II plc
The U.S. Growth Fund
Manager’s Report - continued
The U.S. Growth Fund 85
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.
Past performance is no indication of current or future performance. * Benchmark Source: Russell 1000 Growth Index
Russell Investments Ireland Limited
November 2011
Russell Investment Company II plc
The U.S. Growth Fund
Balance Sheet
As at 30 September 2011
The accompanying notes are an integral part of the financial statements.
86 The U.S. Growth Fund
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
Cash held with brokers and counterparties for open derivative
positions (Note 5) .............................................................................................................. 464,000 400,500 997,900
Consolidated eSec SFT Fund and SFT Managed Account at fair
value (Note 4) ................................................................................................................... 7,787 3,886 18,418
Cash received as collateral and invested relating to securities
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) - -
Creditors – amounts falling due within one year:
Cash due to brokers and counterparties for open derivative
positions (Note 5) ............................................................................................................ - - (132,840)
Cash invested in SFT Collective Investment Fund due to
counterparties for securities lending transactions (Note 4) ............................................ - - (17,937)
Cash due to counterparties for securities lending transactions
(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)
Audit fees payable .......................................................................................................... (11,939) (20,533) (11,757)
Miscellaneous fees payable ............................................................................................ (7,020) (5,672) (18,945)
(1,756,529) (2,612,560) (27,310,972)
Net assets attributable to redeemable participating
shareholders (at bid market prices) .............................................................................. 144,140,615 177,789,008 186,687,740
Adjustment from bid market prices to last traded market
prices ................................................................................................................................ 28,822 14,368 64,614
Net assets attributable to redeemable participating
shareholders (at last traded market prices) .................................................................. 144,169,437 177,803,376 186,752,354
Russell Investment Company II plc
The U.S. Growth Fund
Profit and Loss Account
For the six months ended 30 September 2011
The accompanying notes are an integral part of the financial statements.
The U.S. Growth Fund 87
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)
Profit (loss) for the financial period/year/period before
taxation ............................................................................................................................ (25,146,065) 28,216,730 (3,380,044)
Taxation
Withholding tax (Note 7) ............................................................................................... (244,289) (580,330) (288,342)
Profit (loss) for the financial period/year/period after
taxation ............................................................................................................................ (25,390,354) 27,636,400 (3,668,386)
Movement in adjustment from bid market prices to last
traded market prices ....................................................................................................... 14,454 (35,765) 14,481
Net increase (decrease) in net assets attributable to
redeemable participating shareholders resulting from
operations ........................................................................................................................ (25,375,900) 27,600,635 (3,653,905)
All amounts arose solely from continuing operations. There are no recognised gains or losses other than those dealt within the Profit and Loss
Account.
Russell Investment Company II plc
The U.S. Growth Fund
Statement of Changes in Net Assets Attributable to Redeemable Participating Shareholders
For the six months ended 30 September 2011
The accompanying notes are an integral part of the financial statements.
88 The U.S. Growth Fund
Six months ended
30 September 2011
(Unaudited)
USD
Year ended
31 March 2011
(Audited)
USD
Six months ended
30 September 2010
(Unaudited)
USD
Net increase (decrease) in net assets attributable to
redeemable participating shareholders resulting from
operations ....................................................................................................................... (25,375,900) 27,600,635 (3,653,905)
Share transactions
Net increase (decrease) in net assets resulting from redeemable
participating share transactions (Note 6) ........................................................................ (8,258,039) (41,621,518) (1,418,000)
Total net increase (decrease) in net assets attributable to
redeemable participating shareholders ........................................................................ (33,633,939) (14,020,883) (5,071,905)
Net assets attributable to redeemable participating
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
Russell Investment Company II plc
The U.S. Growth Fund
Schedule of Investments
30 September 2011
The accompanying notes are an integral part of the financial statements.
The U.S. Growth Fund 89
Number
of Shares
Fair Value
USD
Fund
%
Transferable Securities (95.42%)
Common Stock (95.42%)
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
Computers and Peripherals
23,300 Accenture Plc ...................... 1,227,910 0.85
1,979,564 1.37
Netherlands (0.52%)
Commercial Services and Supplies
27,790 VistaPrint NV ...................... 751,164 0.52
Singapore (0.83%)
Semiconductor Equipment and Products
36,600
Avago
Technologies ....................... 1,198,650 0.83
Taiwan (0.35%)
Semiconductor Equipment and Products
44,500
Taiwan Semiconductor
Manufacturing Co Ltd
ADR .................................... 508,190 0.35
United Kingdom (0.33%)
Oil and Gas
8,300 Ensco Plc ............................. 335,403 0.23
Semiconductor Equipment and Products
5,700 ARM Holdings Plc .............. 145,350 0.10
480,753 0.33
Number
of Shares
Fair Value
USD
Fund
%
United States (88.49%)
Aerospace and Defence
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
Capital One Financial
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
Commercial Services and Supplies
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
Computers and Peripherals
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
Diversified Financials
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
Russell Investment Company II plc
The U.S. Growth Fund
Schedule of Investments - continued
30 September 2011
The accompanying notes are an integral part of the financial statements.
90 The U.S. Growth Fund
Number
of Shares
Fair Value
USD
Fund
%
Electronic Equipment and Instruments
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
Energy Equipment and Services
21,800 Dresser-Rand Group Inc ...... 883,336 0.61
Food and Drug Retailing
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
Health Care Equipment and Supplies
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
Health Care Providers and Services
7,000 United Health Group Inc ..... 322,490 0.22
Hotels, Restaurants and Leisure
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
Internet Software and Services
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
IT Consulting and Services
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
Miscellaneous Manufacturers
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
Semiconductor Equipment and Products
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
Russell Investment Company II plc
The U.S. Growth Fund
Schedule of Investments - continued
30 September 2011
The accompanying notes are an integral part of the financial statements.
The U.S. Growth Fund 91
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
Transportation Equipment
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 Common Stock ........ 137,563,272 95.42
Total Transferable
Securities ............................ 137,563,272 95.42
Collective Investment Schemes (3.84%)
Ireland (3.84%)
Russell Investment Company
III plc
553,418
The U.S. Dollar Cash Fund
II - Class A Shares ........... 5,534,180 3.84
Total Collective Investment
Schemes ............................. 5,534,180 3.84
Total Investments
excluding Financial
Derivative Instruments ..... 143,097,452 99.26
Abbreviation used:
ADR - American Depository Receipt
Financial Derivative Instruments ((0.20)%)
Open Futures Contracts ((0.20)%)
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
Long Futures Contracts
Expiring December 2011 ....................................... (141,338) (0.10)
4,132,925 1,164.20
71 of E Mini Index Futures
Long Futures Contracts
Expiring December 2011 ....................................... (135,625) (0.10)
Net unrealised gain (loss) on open futures contracts ............................................................ (276,963) (0.20)
Total Financial Derivative Instruments ................................................................................... (276,963) (0.20)
Fair Value
USD
Fund
%
Total Financial Assets at Fair Value through Profit or Loss
(99.26%) ............................................................................................................................... 143,097,452 99.26
Total Financial Liabilities at Fair Value through Profit or
Loss ((0.20)%) ...................................................................................................................... (276,963) (0.20)
Net Financial Assets at Fair Value through Profit or Loss
(99.06%) ............................................................................................... 142,820,489 99.06
Other Net Assets (0.92%) .................................................................... 1,320,126 0.92
Adjustment from Bid Market Prices to Last Traded Market
Prices (0.02%) ....................................................................................... 28,822 0.02
Net Assets (100.00%) ........................................................................... 144,169,437 100.00
Russell Investment Company II plc
The U.S. Growth Fund
Schedule of Investments - continued
30 September 2011
The accompanying notes are an integral part of the financial statements.
92 The U.S. Growth Fund
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 .................................................................................................................................................. 94.39
Collective investment schemes ................................................................................................................................... 3.80
Other assets ................................................................................................................................................................. 1.81
100.00
The broker for the open futures contracts is Morgan Stanley.
The proportion of the investments of The U.S. Growth 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.
Russell Investment Company II plc
The U.S. Growth Fund
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.
The U.S. Growth Fund 93
Portfolio Securities
Acquisition Cost
USD Portfolio Securities
Disposal Proceeds
USD
Russell Investment Company III plc Russell Investment Company III plc
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
Russell Investment Company II plc
The U.S. Quant Fund
Manager’s Report
94 The U.S. Quant Fund
Money Managers Aronson and Johnson and Ortiz, L.P.
Russell Implementation Services Inc.
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,
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 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
During the six months ended 30 September 2011, the Fund returned -13.9 per cent on a gross-of-fee basis (-14.3 per cent on a
net-of-fee basis), while the benchmark* returned -14.8 per cent.
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.
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 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.
General Comment on Money Manager/Performance
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
Russell Investment Company II plc
The U.S. Quant Fund
Manager’s Report - continued
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
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.
Past performance is no indication of current or future performance.
* Benchmark Source: Russell 1000 Index
Russell Investments Ireland Limited
November 2011
Russell Investment Company II plc
The U.S. Quant Fund
Balance Sheet
As at 30 September 2011
The accompanying notes are an integral part of the financial statements.
96 The U.S. Quant Fund
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
Cash held with brokers and counterparties for open derivative
positions (Note 5) .............................................................................................................. 204,650 273,000 517,500
Cash received as collateral and invested relating to securities
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) - -
Creditors – amounts falling due within one year:
Cash due to brokers and counterparties for open derivative
positions (Note 5) ............................................................................................................ - - (37,815)
Cash due to counterparties for securities lending transactions
(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)
Administration fees payable ........................................................................................... (2,845) (3,740) (3,601)
Audit fees payable .......................................................................................................... (11,908) (20,533) (11,766)
Miscellaneous fees payable ............................................................................................. (5,329) (5,675) (19,429)
(1,278,964) (2,307,733) (2,875,955)
Net assets attributable to redeemable participating
shareholders (at bid market prices) ............................................................................... 131,798,760 169,348,509 178,585,121
Adjustment from bid market prices to last traded market
prices ................................................................................................................................. 17,338 19,992 74,052
Net assets attributable to redeemable participating
shareholders (at last traded market prices) .................................................................. 131,816,098 169,368,501 178,659,173
Russell Investment Company II plc
The U.S. Quant Fund
Profit and Loss Account
For the six months ended 30 September 2011
The accompanying notes are an integral part of the financial statements.
The U.S. Quant Fund 97
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)
Profit (loss) for the financial period/year/period before
taxation ............................................................................................................................. (22,794,501) 24,930,660 (5,777,248)
Taxation
Withholding tax (Note 7) ................................................................................................ (421,495) (1,033,490) (515,504)
Profit (loss) for the financial period/year/period after
taxation ............................................................................................................................. (23,215,996) 23,897,170 (6,292,752)
Movement in adjustment from bid market prices to last
traded market prices ....................................................................................................... (2,654) (22,613) 31,447
Net increase (decrease) in net assets attributable to
redeemable participating shareholders resulting from
operations ......................................................................................................................... (23,218,650) 23,874,557 (6,261,305)
All amounts arose solely from continuing operations. There are no recognised gains or losses other than those dealt within the Profit and Loss
Account.
Russell Investment Company II plc
The U.S. Quant Fund
Statement of Changes in Net Assets Attributable to Redeemable Participating Shareholders
For the six months ended 30 September 2011
The accompanying notes are an integral part of the financial statements.
98 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
Net increase (decrease) in net assets attributable to
redeemable participating shareholders resulting from
operations ....................................................................................................................... (23,218,650) 23,874,557 (6,261,305)
Share transactions
Net increase (decrease) in net assets resulting from redeemable
participating share transactions (Note 6) ......................................................................... (14,416,902) (53,448,211) (13,748,994)
Reinvestment of deemed distributions on accumulation shares
(Note 15) ......................................................................................................................... 83,149 516,624 243,941
Total net increase (decrease) in net assets attributable to
redeemable participating shareholders ........................................................................ (37,552,403) (29,057,030) (19,766,358)
Net assets attributable to redeemable participating
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
Russell Investment Company II plc
The U.S. Quant Fund
Schedule of Investments
30 September 2011
The accompanying notes are an integral part of the financial statements.
The U.S. Quant Fund 99
Number
of Shares
Fair Value
USD
Fund
%
Transferable Securities (97.68%)
Common Stock (97.68%)
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
Cayman Islands (0.54%)
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
Computers and Peripherals
8,500 Accenture Plc ...................... 447,950 0.34
Diversified Manufacturing
700 Ingersoll-Rand Plc ............... 19,656 0.01
Health Care Equipment and Supplies
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
Commercial Services and Supplies
300 VistaPrint NV ...................... 8,109 0.01
Construction and Engineering
4,100
Chicago Bridge & Iron
Co ........................................ 117,424 0.09
Number
of Shares
Fair Value
USD
Fund
%
Health Care Equipment and Supplies
300 Qiagen NV .......................... 4,146 0.00
471,839 0.36
Singapore (0.02%)
Semiconductor Equipment and Products
700 Avago Technologies ........... 22,925 0.02
Switzerland (0.88%)
Electronic Equipment and Instruments
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
United States (94.54%)
Advertising
700 Omnicom Group ................. 25,795 0.02
Aerospace and Defence
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
Russell Investment Company II plc
The U.S. Quant Fund
Schedule of Investments - continued
30 September 2011
The accompanying notes are an integral part of the financial statements.
100 The U.S. Quant Fund
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
Capital One Financial
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
International Inc .................. 25,722 0.02
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
Commercial Services and Supplies
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
Russell Investment Company II plc
The U.S. Quant Fund
Schedule of Investments - continued
30 September 2011
The accompanying notes are an integral part of the financial statements.
The U.S. Quant Fund 101
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
Communications Equipment
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
Computers and Peripherals
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
International Business
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
Construction and Engineering
6,000 Fluor Corp ........................... 279,180 0.21
11,900 KBR Inc .............................. 281,078 0.21
6,200 URS Corp ........................... 183,830 0.14
Containers and Packaging
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
Diversified Financials
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
Russell Investment Company II plc
The U.S. Quant Fund
Schedule of Investments - continued
30 September 2011
The accompanying notes are an integral part of the financial statements.
102 The U.S. Quant Fund
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
Electrical Equipment
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
Electronic Equipment and Instruments
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
Energy Equipment and Services
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
Food and Drug Retailing
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
Russell Investment Company II plc
The U.S. Quant Fund
Schedule of Investments - continued
30 September 2011
The accompanying notes are an integral part of the financial statements.
The U.S. Quant Fund 103
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
Health Care Equipment and Supplies
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
Health Care Providers and Services
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
Hotels, Restaurants and Leisure
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
Industrial Conglomerates
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
Hartford Financial Services
Group Inc ............................ 56,525 0.04
Russell Investment Company II plc
The U.S. Quant Fund
Schedule of Investments - continued
30 September 2011
The accompanying notes are an integral part of the financial statements.
104 The U.S. Quant Fund
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
Internet and Catalogue Retail
2,951 Expedia Inc ......................... 75,959 0.06
360 Priceline.com Inc ................. 161,751 0.12
Internet Software and Services
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
IT Consulting and Services
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
Leisure Equipment and Products
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
Russell Investment Company II plc
The U.S. Quant Fund
Schedule of Investments - continued
30 September 2011
The accompanying notes are an integral part of the financial statements.
The U.S. Quant Fund 105
Number
of Shares
Fair Value
USD
Fund
%
200 Royal Gold Inc .................... 12,812 0.01
300 Southern Copper Corp ......... 7,491 0.01
Miscellaneous Manufacturers
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
Honeywell International
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
Occidental Petroleum
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
Oil and Gas Services
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
Paper and Forest Products
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
Russell Investment Company II plc
The U.S. Quant Fund
Schedule of Investments - continued
30 September 2011
The accompanying notes are an integral part of the financial statements.
106 The U.S. Quant Fund
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
Semiconductor Equipment and Products
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
International Inc .................. 23,738 0.02
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
Maxim Integrated Products
Inc ....................................... 177,308 0.13
2,000
Microchip Technology
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
Russell Investment Company II plc
The U.S. Quant Fund
Schedule of Investments - continued
30 September 2011
The accompanying notes are an integral part of the financial statements.
The U.S. Quant Fund 107
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
Transportation Equipment
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
United Parcel Service
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
Wireless Telecommunication Services
2,800
MetroPCS
Communications ................. 24,332 0.02
124,614,700 94.54
Virgin Islands, British (0.01%)
Transport
1,000 UTI Worldwide Inc 13,010 0.01
Total Common Stock ........ 128,752,360 97.68
Total Transferable
Securities ............................ 128,752,360 97.68
Total Transferable Securities
Collective Investment Schemes (1.83%)
Ireland (1.83%)
241,938
Russell Investment Company
III plc
The U.S. Dollar Cash Fund
II - Class C Shares ............ 2,419,379 1.83
Total Collective Investment
Schemes ............................. 2,419,379 1.83
Total Investments
excluding Financial
Derivative Instruments ..... 131,171,739 99.51
Financial Derivative Instruments ((0.08)%)
Open Futures Contracts ((0.08)%)
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
Long Futures Contracts
Expiring December 2011 ............................................. (77,997) (0.06)
(8,122,380)
(11,603.00)
7 of Russell 1000 Mini Index Futures
Long Futures Contracts
Expiring December 2011 ............................................. (11,620) (0.01)
Russell Investment Company II plc
The U.S. Quant Fund
Schedule of Investments - continued
30 September 2011
The accompanying notes are an integral part of the financial statements.
108 The U.S. Quant Fund
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
Long Futures Contracts
Expiring December 2011 ............................................. (13,520) (0.01)
Net unrealised gain (loss) on open futures contracts .............................................................. (103,137) (0.08)
Total Financial Derivative Instruments ................................................................................... (103,137) (0.08)
Fair Value
USD Fund
%
Total Financial Assets at Fair Value through Profit or Loss
(99.51%) ...................................................................................................................................... 131,171,739 99.51
Total Financial Liabilities at Fair Value through Profit or
Loss ((0.08)%) ............................................................................................................................ (103,137) (0.08)
Net Financial Assets at Fair Value through Profit or Loss
(99.43%) ............................................................................................... 131,068,602 99.43
Other Net Assets (0.56%) ................................................................... 730,158 0.56
Adjustment from Bid Market Prices to Last Traded Market
Prices (0.01%) ...................................................................................... 17,338 0.01
Net Assets (100.00%) .......................................................................... 131,816,098 100.00
Analysis of total assets
% of
total assets
Transferable securities and money market instruments admitted to an official stock exchange listing or traded
in another regulated market ................................................................................................................................... 96.75
Collective investment schemes .............................................................................................................................. 1.82
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.
Russell Investment Company II plc
The U.S. Quant Fund
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.
The U.S. Quant Fund 109
Portfolio Securities
Acquisition Cost
USD Portfolio Securities
Disposal Proceeds
USD
Russell Investment Company III plc Russell Investment Company III plc
The U.S. Dollar Cash Fund II 18,309,000 The U.S. Dollar Cash Fund II (19,504,604)
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)
Russell Investment Company II plc
The U.S. Value Fund
Manager’s Report
110 The U.S. Value Fund
Money Managers Armstrong Shaw Associates
DePrince, Race & Zollo Inc.
Russell Implementation Services 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,
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 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
During the six months ended 30 September 2011, the Fund returned -21.1 per cent on a gross-of-fee basis (-21.7 per cent on a
net-of-fee basis), while the benchmark* returned -16.9 per cent.
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.
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 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.
General Comment on Money Manager/Performance
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.
Russell Investment Company II plc
The U.S. Value Fund
Manager’s Report - continued
The U.S. Value Fund 111
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.
Past performance is no indication of current or future performance.
* Benchmark Source: Russell 1000 Value Index
Russell Investments Ireland Limited
November 2011
Russell Investment Company II plc
The U.S. Value Fund
Balance Sheet
As at 30 September 2011
The accompanying notes are an integral part of the financial statements.
112 The U.S. Value Fund
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
Cash held with brokers and counterparties for open derivative
positions (Note 5) ............................................................................... 664,000 666,000 1,449,000
Cash received as collateral and invested relating to securities
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) - -
Creditors – amounts falling due within one year:
Cash due to brokers and counterparties for open derivative
positions (Note 5)............................................................................................................. - - (491,484)
Cash due to counterparties for securities lending transactions
(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)
Administration fees payable ........................................................................................... (3,903) (4,890) (4,529)
Audit fees payable .......................................................................................................... (12,204) (20,533) (11,941)
Miscellaneous fees payable ............................................................................................. (7,172) (7,163) (20,314)
(4,279,083) (2,031,032) (36,550,331)
Net assets attributable to redeemable participating
shareholders (at bid market prices) ................................................ 178,643,954 232,820,555 224,870,106
Adjustment from bid market prices to last traded market
prices ................................................................................................. 32,154 21,378 39,294
Net assets attributable to redeemable participating
shareholders (at last traded market prices) ................................... 178,676,108 232,841,933 224,909,400
Russell Investment Company II plc
The U.S. Value Fund
Profit and Loss Account
For the six months ended 30 September 2011
The accompanying notes are an integral part of the financial statements.
The U.S. Value Fund 113
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)
Profit (loss) for the financial period/year/period before
taxation .............................................................................................. (49,384,649) 32,654,674 (9,261,455)
Taxation
Withholding tax (Note 7) ................................................................................................ (603,888) (1,071,755) (504,232)
Profit (loss) for the financial period/year/period after
taxation .............................................................................................. (49,988,537) 31,582,919 (9,765,687)
Movement in adjustment from bid market prices to last
traded market prices ........................................................................ 10,776 (78,810) (60,894)
Net increase (decrease) in net assets attributable to
redeemable participating shareholders resulting from
operations .......................................................................................... (49,977,761) 31,504,109 (9,826,581)
All amounts arose solely from continuing operations. There are no recognised gains or losses other than those dealt within the Profit and Loss
Account.
Russell Investment Company II plc
The U.S. Value Fund
Statement of Changes in Net Assets Attributable to Redeemable Participating Shareholders
For the six months ended 30 September 2011
The accompanying notes are an integral part of the financial statements.
114 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
Net increase (decrease) in net assets attributable to
redeemable participating shareholders resulting from
operations .......................................................................................... (49,977,761) 31,504,109 (9,826,581)
Share transactions
Net increase (decrease) in net assets resulting from redeemable
participating share transactions (Note 6) .......................................... (4,462,351) (36,572,804) (3,035,273)
Reinvestment of deemed distributions on accumulation shares
(Note 15) ........................................................................................... 274,287 272,366 132,992
Total net increase (decrease) in net assets attributable to
redeemable participating shareholders ........................................... (54,165,825) (4,796,329) (12,728,862)
Net assets attributable to redeemable participating
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
Russell Investment Company II plc
The U.S. Value Fund
Schedule of Investments
30 September 2011
The accompanying notes are an integral part of the financial statements.
The U.S. Value Fund 115
Number
of Shares
Fair Value
USD
Fund
%
Transferable Securities (94.62%)
Common Stock (94.62%)
Bermuda (0.19%)
Speciality Retail
10,300 Signet Jewelers Ltd ............. 348,243 0.19
Brazil (0.28%)
Aerospace and Defence
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
Cayman Islands (0.13%)
Biotechnology
4,200 Herbalife .............................. 225,204 0.13
France (0.44%)
Communication Equipment
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%)
Computers and Peripherals
8,200 Accenture Plc ...................... 432,140 0.24
Diversified Manufacturing
67,367 Ingersoll-Rand Plc ............... 1,891,665 1.06
Health Care Equipment and Supplies
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%)
Electronic Equipment and Instruments
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
United States (87.16%)
Aerospace and Defence
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
PNC Financial Services
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
Russell Investment Company II plc
The U.S. Value Fund
Schedule of Investments - continued
30 September 2011
The accompanying notes are an integral part of the financial statements.
116 The U.S. Value Fund
Number
of Shares
Fair Value
USD
Fund
%
Commercial Services and Supplies
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
Communications Equipment
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
Computers and Peripherals
118,650 Dell Inc ................................ 1,678,898 0.94
29,600 EMC Corp ........................... 621,600 0.35
11,886
International Business
Machines Corp .................... 2,078,029 1.16
14,500 Western Digital Corp .......... 372,650 0.21
Construction and Engineering
18,575
Aecom Technology
Corp ..................................... 328,220 0.18
13,200 KBR Inc .............................. 311,784 0.18
Construction Material
25,014 Vulcan Materials Co ............ 689,636 0.39
Containers and Packaging
16,700 Bemis Co Inc ....................... 489,644 0.27
40,500 Sealed Air Corp ................... 676,350 0.38
Diversified Financials
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
Electrical Equipment
20,300 Emerson Electric Co ............ 838,796 0.47
Electronic Equipment and Instruments
11,800 Diebold Inc .......................... 324,618 0.18
30,949
Thermo Fisher Scientific
Inc ........................................ 1,567,567 0.88
Energy Equipment and Services
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
Health Care Equipment and Supplies
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
Health Care Providers and Services
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
Hartford Financial Services
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
Internet Software and Services
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
Leisure Equipment and Products
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
Russell Investment Company II plc
The U.S. Value Fund
Schedule of Investments - continued
30 September 2011
The accompanying notes are an integral part of the financial statements.
The U.S. Value Fund 117
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
Freeport-McMoran Copper
& Gold Inc .......................... 1,353,636 0.76
Miscellaneous Manufacturers
242,300 General Electric Co ............. 3,687,806 2.06
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
National Oilwell Varco
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
Oil and Gas Services
6,950
Oil States International
Inc ....................................... 354,033 0.20
Paper and Forest Products
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
Semiconductor Equipment and Products
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
Transportation Equipment
76,627 CSX Corp ........................... 1,430,626 0.80
24,545
United Parcel Service
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 Common Stock ........ 169,072,753 94.62
Total Transferable
Securities ............................ 169,072,753 94.62
Collective Investment Schemes (4.69%)
Ireland (4.69%)
837,668
Russell Investment Company
III plc
The U.S. Dollar Cash Fund
II - Class A Shares ............ 8,376,683 4.69
Total Collective Investment
Schemes ............................. 8,376,683 4.69
Total Investments
excluding Financial
Derivative Instruments ..... 177,449,436 99.31
Russell Investment Company II plc
The U.S. Value Fund
Schedule of Investments - continued
30 September 2011
The accompanying notes are an integral part of the financial statements.
118 The U.S. Value Fund
Financial Derivative Instruments ((0.22)%)
Open Futures Contracts ((0.22)%)
Notional
Amount
USD
Average
Cost Price
USD
Unrealised
Gain (Loss)
USD
Fund
%
4,412,963
1,176.79
15 of S&P 500 Index Futures
Long Futures Contracts
Expiring December 2011 ....................................... (190,462) (0.11)
5,158,487
1,172.38
88 of S&P E Mini Futures
Long Futures Contracts
Expiring December 2011 ....................................... (204,088) (0.11)
Net unrealised gain (loss) on open futures contracts ........................................................ (394,550) (0.22)
Total Financial Derivative Instruments ............................................................................. (394,550) (0.22)
Fair Value
USD Fund
%
Total Financial Assets at Fair Value through Profit or Loss
(99.31%) ............................................................................................................................... 177,449,436 99.31
Total Financial Liabilities at Fair Value through Profit or
Loss ((0.22)%) ..................................................................................................................... (394,550) (0.22)
Net Financial Assets at Fair Value through Profit or Loss
(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
Analysis of total assets
% of
total assets
Transferable securities other than those admitted to an official stock exchange listing or traded on a
regulated market ..................................................................................................................................................... 95.00
Collective investment schemes .............................................................................................................................. 4.66
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.
Russell Investment Company II plc
The U.S. Value Fund
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.
The U.S. Value Fund 119
Portfolio Securities
Acquisition Cost
USD Portfolio Securities
Disposal Proceeds
USD
Russell Investment Company III plc Russell Investment Company III plc
The U.S. Dollar Cash Fund II 39,187,000 The U.S. Dollar Cash Fund II (38,570,907)
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)
Russell Investment Company II plc
The World Equity Fund
Manager’s Report
120 The World Equity Fund
Money Managers Arrowstreet Capital, L.P.
Axiom International Investors, LLC
Russell Implementation Services Inc.
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
net-of-fee basis), while the benchmark* returned -16.7 per cent.
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.
General Comment on Money Manager/Performance
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
Russell Investment Company II plc
The World Equity Fund
Manager’s Report - continued
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.
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.
Past performance is no indication of current or future performance
* Benchmark Source: Russell Developed Large Cap Net Index
Russell Investments Ireland Limited
November 2011
Russell Investment Company II plc
The World Equity Fund
Balance Sheet
As at 30 September 2011
The accompanying notes are an integral part of the financial statements.
122 The World Equity Fund
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
Cash held with brokers and counterparties for open derivative
positions (Note 5) .............................................................................................................. 5,279,570 13,888,845 8,012,290
Consolidated eSec SFT Fund and SFT Managed Account at fair
value (Note 4) ................................................................................................................... 654,410 326,618 1,547,863
Cash received as collateral and invested relating to securities
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)
Creditors – amounts falling due within one year:
Cash due to brokers and counterparties for open derivative
positions (Note 5) ........................................................................................................................................................................ - - (1,203,867)
Cash due to counterparties for securities lending transactions
(Note 4) ........................................................................................................................................................................................ (230,502,046) (198,061,292) (143,690,871)
Cash invested in SFT Collective Investment Fund due to
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)
Net assets attributable to redeemable participating
shareholders (at bid market prices) ................................................... 2,884,000,492 3,396,062,898 2,681,345,411
Adjustment from bid market prices to last traded market
prices .............................................................................................................................................................................................. 3,261,506 1,992,971 1,944,815
Net assets attributable to redeemable participating
shareholders (at last traded market prices) ................................................................................................................................ 2,887,261,998 3,398,055,869 2,683,290,226
Russell Investment Company II plc
The World Equity Fund
Profit and Loss Account
For the six months ended 30 September 2011
The accompanying notes are an integral part of the financial statements.
The World Equity Fund 123
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)
Total operating expenses ............................................................................................... (17,764,351) (30,880,177) (14,291,422)
Net income (expense) ..................................................................................................... (616,459,017) 429,592,431 8,562,448
Finance costs
Distributions (Note 15) ................................................................................................................................................................ (19,147,221) (19,159,123) (16,039,568)
Interest expense ........................................................................................................................................................................... (40,424) (18,416) (10,663)
Profit (loss) for the financial period/year/period before
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)
Profit (loss) for the financial period/year/period after
taxation ........................................................................................................................... (642,173,926) 400,923,364 (12,781,329)
Movement in adjustment from bid market prices to last
traded market prices ...................................................................................................... 1,268,535 (1,083,630) (1,131,786)
Net increase (decrease) in net assets attributable to
redeemable participating shareholders resulting from
operations ....................................................................................................................... (640,905,391) 399,839,734 (13,913,115)
All amounts arose solely from continuing operations. There are no recognised gains or losses other than those dealt within the Profit and Loss
Account.
Russell Investment Company II plc
The World Equity Fund
Statement of Changes in Net Assets Attributable to Redeemable Participating Shareholders
For the six months ended 30 September 2011
The accompanying notes are an integral part of the financial statements.
124 The World Equity Fund
Six months ended
30 September 2011
(Unaudited)
USD
Year ended
31 March 2011
(Audited)
USD
Six months ended
30 September 2010
(Unaudited)
USD
Net increase (decrease) in net assets attributable to
redeemable participating shareholders resulting from
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)
Reinvestment of deemed distributions on accumulation shares
(Note 15) ...................................................................................................................................................................................... 18,616,221 18,567,964 15,537,568
Total net increase (decrease) in net assets attributable to
redeemable participating shareholders ........................................................................ (510,793,871) 419,500,667 (295,264,976)
Net assets attributable to redeemable participating
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
Russell Investment Company II plc
The World Equity Fund
Schedule of Investments
30 September 2011
The accompanying notes are an integral part of the financial statements.
The World Equity Fund 125
Number
of Shares
Fair Value
USD
Fund
%
Transferable Securities (91.94%)
Long Term Bonds and Notes (0.17%)
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
Total Long Term Bonds
and Notes ............................ 4,808,424 0.17
Common Stock (91.53%)
Argentina (0.27%)
Internet Software and Services
143,036 MercadoLibre Inc ................ 7,678,172 0.27
Australia (0.94%)
Commercial Services and Supplies
693,000 Downer EDI Ltd .................. 1,933,022 0.07
Communications Equipment
2,810,804 Telstra Corp Ltd .................. 8,468,647 0.29
Industrial Conglomerates
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
Communications Equipment
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
Energy Equipment and Services
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
Transportation Equipment
226,200
Canadian National Railway
Co ....................................... 15,044,562 0.52
73,529,650 2.54
Cayman Islands (0.44%)
Banks
198,000 Guoco Group Ltd ................ 1,821,099 0.06
Biotechnology
121,447 Herbalife ............................. 6,511,988 0.23
Internet Software and Services
169,300 Tencent Holdings Ltd ......... 3,562,265 0.12
Russell Investment Company II plc
The World Equity Fund
Schedule of Investments - continued
30 September 2011
The accompanying notes are an integral part of the financial statements.
126 The World Equity Fund
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
Internet Software and Services
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
Czech Republic (0.16%)
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%)
Communications Equipment
888,800 Telecom Egypt .................... 2,182,795 0.08
Diversified Financials
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%)
Diversified Telecommunications
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%)
Aerospace and Defence
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
Construction Material
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
Electrical Equipment
337,894 Legrand SA ......................... 10,649,249 0.37
235,592 Schneider Electric SA ......... 12,804,961 0.44
Energy Equipment and Services
108,608 Areva .................................. 3,417,848 0.12
Food Products
253,637 Danone ................................ 15,686,350 0.54
Hotels, Restaurants and Leisure
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
Russell Investment Company II plc
The World Equity Fund
Schedule of Investments - continued
30 September 2011
The accompanying notes are an integral part of the financial statements.
The World Equity Fund 127
Number
of Shares
Fair Value
USD
Fund
%
203,378 Linde AG ............................. 27,423,666 0.95
Diversified Financials
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
Health Care Providers and Services
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%)
Hotels, Restaurants and Leisure
128,130 OPAP SA ............................ 1,275,587 0.04
Hong Kong (0.54%)
Communication Equipment
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
Industrial Conglomerates
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
%
Internet Software and Services
36,170 MakeMyTrip Ltd ................ 800,804 0.03
8,169,696 0.28
Indonesia (0.27%)
Diversified Telecommunications
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%)
Computers and Peripherals
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
Diversified Telecommunications
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
Russell Investment Company II plc
The World Equity Fund
Schedule of Investments - continued
30 September 2011
The accompanying notes are an integral part of the financial statements.
128 The World Equity Fund
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
Commercial Services and Supplies
3,000 TKC ..................................... 63,129 0.00
516,000 Toppan Printing Co Ltd ....... 3,802,387 0.13
Computers and Peripherals
97,500
Japan Digital Laboratory Co
Ltd ....................................... 1,130,838 0.04
Diversified Financials
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
Diversified Telecommunications
445,000
Nippon Telegraph &
Telephone Corp ................... 21,505,254 0.74
Electrical Equipment
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
Electronic Equipment and Instruments
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
Internet Software and Services
1,206 CyberAgent Inc ................... 3,262,208 0.11
259,900 Softbank Corp ..................... 7,728,215 0.27
Leisure Equipment and Products
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
Miscellaneous Manufacturers
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
Semiconductor Equipment and Products
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
Wireless Telecommunication Services
578 KDDI Corp ......................... 4,011,806 0.14
3,289 NTT DoCoMo Inc .............. 6,042,065 0.21
256,940,640 8.90
Jersey, Channel Islands (0.36%)
Media
1,102,898 WPP Plc .............................. 10,317,156 0.36
Korea, Republic of (1.54%)
Automobiles
27,257 Hyundai Motor Co .............. 4,870,420 0.17
125,149 Kia Motors .......................... 7,638,227 0.26
Communication Equipment
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
Russell Investment Company II plc
The World Equity Fund
Schedule of Investments - continued
30 September 2011
The accompanying notes are an integral part of the financial statements.
The World Equity Fund 129
Number
of Shares
Fair Value
USD
Fund
%
Semiconductor Equipment and Products
20,404
Samsung Electronics
Ltd ....................................... 14,531,604 0.50
Wireless Telecommunication Services
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%)
Aerospace and Defence
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
Commercial Services and Supplies
59,394 VistaPrint NV ...................... 1,605,420 0.06
Electronic Equipment and Instruments
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
Semiconductor Equipment and Products
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
Transportation Equipment
428,138 TNT NV .............................. 2,995,667 0.10
73,621,772 2.55
Number
of Shares
Fair Value
USD
Fund
%
Norway (0.48%)
Diversified Telecommunications
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%)
Communication Equipment
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
Russell Investment Company II plc
The World Equity Fund
Schedule of Investments - continued
30 September 2011
The accompanying notes are an integral part of the financial statements.
130 The World Equity Fund
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
Energy Equipment and Services
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
Construction and Engineering
100,533 Sandvik AB ......................... 1,170,265 0.04
Multi-Line Retail
158,650 Hennes & Mauritz AB ......... 4,772,297 0.17
Oil and Gas Services
204,712 Lundin Petroleum AB ......... 3,505,159 0.12
Paper and Forest Products
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
Commercial Services and Supplies
247,283 Adecco SA .......................... 9,833,603 0.34
Diversified Financials
436,302
Credit Suisse Group
AG ....................................... 11,523,599 0.40
686,677 UBS AG .............................. 7,960,705 0.28
Energy Equipment and Services
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
%
Health Care Equipment and Supplies
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
Transportation Equipment
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%)
Communications Equipment
790,000 Turkcell Iletisim Hizmet ..... 8,903,300 0.31
United Kingdom (6.53%)
Aerospace and Defence
912,842 BAE Systems ...................... 3,801,073 0.13
Banks
829,812 Barclays Bank Plc ............... 2,084,448 0.07
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
Communication Equipment
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
Diversified Financials
1,028,806 Man Group Plc .................... 2,698,903 0.09
Food Products
1,075,590 Tesco Plc ............................. 6,331,918 0.22
Hotels, Restaurants and Leisure
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
Russell Investment Company II plc
The World Equity Fund
Schedule of Investments - continued
30 September 2011
The accompanying notes are an integral part of the financial statements.
The World Equity Fund 131
Number
of Shares
Fair Value
USD
Fund
%
Media
270,830
British Sky Broadcasting
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
Miscellaneous Manufacturers
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
Semiconductor Equipment and Products
111,647 Arm Holdings plc ................ 2,846,998 0.10
Textile and Apparel
294,773 Burberry Group Plc ............. 5,386,385 0.19
Transportation Equipment
303,275 Stolt-Nielsen Ltd ................. 5,630,553 0.20
188,721,211 6.53
United States (39.27%)
Advertising
292,190 Omnicom Group .................. 10,767,202 0.37
Aerospace and Defence
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
Capital One Financial
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
PNC Financial Services
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
Commercial Services and Supplies
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
Communication Equipment
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
Computers and Peripherals
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
Russell Investment Company II plc
The World Equity Fund
Schedule of Investments - continued
30 September 2011
The accompanying notes are an integral part of the financial statements.
132 The World Equity Fund
Number
of Shares
Fair Value
USD
Fund
%
Construction and Engineering
92,800 Shaw Group Inc ................... 2,019,328 0.07
Diversified Financials
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
Electronic Equipment and Instruments
160,850 Amphenol Corp ................... 6,561,071 0.23
260,920
Thermo Fisher Scientific
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
Energy Equipment and Services
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
Health Care Equipment and Supplies
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
Health Care Providers and Services
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
%
Hotels, Restaurants and Leisure
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
Internet and Catalogue Retail
15,609 Priceline.com Inc ................ 7,013,280 0.24
Internet Software and Services
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
Leisure Equipment and Products
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
Freeport-McMoran Copper
& 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
Russell Investment Company II plc
The World Equity Fund
Schedule of Investments - continued
30 September 2011
The accompanying notes are an integral part of the financial statements.
The World Equity Fund 133
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
Miscellaneous Manufacturers
212,510 3M Co ................................. 15,239,092 0.53
249,100 General Electric Co ............. 3,791,302 0.13
350,880
Honeywell International
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
National Oilwell Varco
Inc ....................................... 13,896,858 0.48
115,300
Occidental Petroleum
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
Oil and Gas Services
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
Semiconductor Equipment and Products
733,500
Applied Materials
Inc ....................................... 7,591,725 0.26
37,442 Atmel Corp ......................... 302,157 0.01
78,999
Fairchild Semiconductor
International Inc .................. 852,399 0.03
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
Maxim Integrated Products
Inc ....................................... 4,296,173 0.15
126,520
Microchip Technology
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
Transportation Equipment
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
United Parcel Service
Inc ....................................... 14,197,581 0.49
Russell Investment Company II plc
The World Equity Fund
Schedule of Investments - continued
30 September 2011
The accompanying notes are an integral part of the financial statements.
134 The World Equity Fund
Number
of Shares
Fair Value
USD
Fund
%
Water Utilities
234,800 Carnival Corp ...................... 7,114,440 0.25
Wireless Telecommunication Services
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
Korea, Republic of (0.05%)
Electrical Equipment
71,030
LG Electronics Preferred
Stock ................................... 1,477,217 0.05
Total Preferred Stock ........ 6,063,208 0.21
Financial Derivative Instruments ((0.66)%)
Number
of Shares
Fair Value
USD
Fund
%
Warrants (0.03%)
United States (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
Collective Investment Schemes (6.54%)
Ireland (6.54%)
Russell Investment Company
III plc
391
The Euro Liquidity Fund -
Class C Shares .................. 524,284 0.02
Russell Investment Company
III plc
43
The Sterling Cash Fund -
Class C Shares .................. 66,280 0.00
Russell Investment Company
III plc
18,832,806
The U.S. Dollar Cash Fund
II - Class A Shares ............ 188,328,060 6.52
Total Collective Investment
Schemes ............................. 188,918,624 6.54
Total Investments
excluding Financial
Derivative Instruments ..... 2,843,334,502 98.48
Open Futures Contracts ((0.05)%)
Notional
Amount
USD
Average
Cost Price
USD
Unrealised
Gain (Loss)
USD
Fund
%
4,743,189
9.68
49 of Topix Index Futures
Long Futures Contracts
Expiring December 2011 ..................................... 72,263 0.00
3,256,977
2,807.74
116 of EURO STOXX 50 Index Futures
Long Futures Contracts
Expiring December 2011 ..................................... 96,624 0.01
3,086,783
7,263.02
17 of DAX Index Futures
Long Futures Contracts
Expiring December 2011 ..................................... 32,904 0.00
2,772,860
6,027.96
46 of Swiss Market Index Futures
Long Futures Contracts
Expiring December 2011 ..................................... 19,147 0.00
851,332
130.97
65 of OMX 30 Index Futures
Long Futures Contracts
Expiring October 2011 ......................................... 8,938 0.00
3,663,685
3,982.27
92 of CAC 40 Index Futures
Long Futures Contracts
Expiring October 2011 ......................................... 17,806 0.00
5,958,969
8,052.66
74 of FTSE 100 Index Futures
Long Futures Contracts
Expiring December 2011 .................................... (90,784) 0.00
Russell Investment Company II plc
The World Equity Fund
Schedule of Investments - continued
30 September 2011
The accompanying notes are an integral part of the financial statements.
The World Equity Fund 135
Notional
Amount
USD
Average
Cost Price
USD
Unrealised
Gain (Loss)
USD
Fund
%
11,787,125
1,178.71
40 of S&P 500 Index Futures
Long Futures Contracts
Expiring December 2011 ..................................... (527,125) (0.02)
23,296,522
1,164.83
400 of S&P 500 E Mini Index Futures
Long Futures Contracts
Expiring December 2011 ..................................... (776,522) (0.03)
1,773,300
3,940.67
18 of ASX SPI 200 Index Futures
Long Futures Contracts
Expiring December 2011 ..................................... (23,879) 0.00
3,663,123
654.13
28 of S&P TSE 60 Index Futures
Long Futures Contracts
Expiring December 2011 ..................................... (91,010) 0.00
3,261,539
815.38
40 of S&P Midcap 400 E Mini Index Futures
Long Futures Contracts
Expiring December 2011 ..................................... (145,939) (0.01)
686,576
2,288.59
6 of Hang Seng Index Futures
Long Futures Contracts
Expiring October 2011 ......................................... (15,264) 0.00
Unrealised gain on open futures contracts ......................................................................... 247,682 0.01
Unrealised loss on open futures contracts .......................................................................... (1,670,523) (0.06)
Net unrealised gain (loss) on open futures contracts .................................................... (1,422,841) (0.05)
Open Forward Foreign Currency Exchange Contracts ((0.61)%)
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
Russell Investment Company II plc
The World Equity Fund
Schedule of Investments - continued
30 September 2011
The accompanying notes are an integral part of the financial statements.
136 The World Equity Fund
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
Russell Investment Company II plc
The World Equity Fund
Schedule of Investments - continued
30 September 2011
The accompanying notes are an integral part of the financial statements.
The World Equity Fund 137
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
Russell Investment Company II plc
The World Equity Fund
Schedule of Investments - continued
30 September 2011
The accompanying notes are an integral part of the financial statements.
138 The World Equity Fund
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
Russell Investment Company II plc
The World Equity Fund
Schedule of Investments - continued
30 September 2011
The accompanying notes are an integral part of the financial statements.
The World Equity Fund 139
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
Russell Investment Company II plc
The World Equity Fund
Schedule of Investments - continued
30 September 2011
The accompanying notes are an integral part of the financial statements.
140 The World Equity Fund
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
Russell Investment Company II plc
The World Equity Fund
Schedule of Investments - continued
30 September 2011
The accompanying notes are an integral part of the financial statements.
The World Equity Fund 141
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
Russell Investment Company II plc
The World Equity Fund
Schedule of Investments - continued
30 September 2011
The accompanying notes are an integral part of the financial statements.
142 The World Equity Fund
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
Russell Investment Company II plc
The World Equity Fund
Schedule of Investments - continued
30 September 2011
The accompanying notes are an integral part of the financial statements.
The World Equity Fund 143
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
Russell Investment Company II plc
The World Equity Fund
Schedule of Investments - continued
30 September 2011
The accompanying notes are an integral part of the financial statements.
144 The World Equity Fund
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)
Russell Investment Company II plc
The World Equity Fund
Schedule of Investments - continued
30 September 2011
The accompanying notes are an integral part of the financial statements.
The World Equity Fund 145
Fair Value
USD Fund
%
Total Financial Assets at Fair Value through Profit or Loss
(99.47%) ............................................................................................................................... 2,871,756,968 99.47
Total Financial Liabilities at Fair Value through Profit or
Loss ((1.65)%) ...................................................................................................................... (47,584,848) (1.65)
Net Financial Assets at Fair Value through Profit or Loss
(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
Analysis of total assets
% of
total assets
Transferable securities and money market instruments admitted to an official stock exchange listing or
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
Collective investment schemes .............................................................................................................................. 5.94
Exchange traded financial derivative instruments ................................................................................................. 0.89
Over the counter financial derivative instruments ................................................................................................. 0.01
Other assets ............................................................................................................................................................ 9.57
100.00
The broker for the open futures contracts is Morgan Stanley.
The counterparties for the open forward foreign currency exchange contracts are:
BNP Paribas SA
Brown Brothers Harriman
Citibank
Credit Suisse
Deutsche Bank
HSBC Bank
JP Morgan Chase
Mellon Bank
Royal Bank of Canada
Royal Bank of Scotland
Société Generale
State Street Bank and Trust Company
UBS AG
Westpac Banking Corp
The proportion of the investments of The World 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.
Russell Investment Company II plc
The World Equity Fund
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.
146 The World Equity Fund
Portfolio Securities
Acquisition Cost
USD Portfolio Securities
Disposal Proceeds
USD
Russell Investment Company II plc Russell Investment Company II plc
The U.S. Dollar Cash Fund II 790,820,463 The U.S. Dollar Cash Fund II (741,814,386)
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)
Russell Investment Company II plc
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.
Russell Investment Company II plc
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.
Russell Investment Company II plc
Notes to the Financial Statements - continued
30 September 2011
Notes to the Financial Statements 149
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.
Russell Investment Company II plc
Notes to the Financial Statements - continued
30 September 2011
150 Notes to the Financial Statements
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.
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).
Russell Investment Company II plc
Notes to the Financial Statements - continued
30 September 2011
Notes to the Financial Statements 151
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.
Russell Investment Company II plc
Notes to the Financial Statements - continued
30 September 2011
152 Notes to the Financial Statements
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
Russell Investment Company II plc
Notes to the Financial Statements - continued
30 September 2011
Notes to the Financial Statements 153
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 - -
Note: all amounts above are disclosed in the functional currency of the relevant Fund.
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
Note: all amounts above are disclosed in the functional currency of the relevant Fund.
Russell Investment Company II plc
Notes to the Financial Statements - continued
30 September 2011
154 Notes to the Financial Statements
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.
As at 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 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)
Russell Investment Company II plc
Notes to the Financial Statements - continued
30 September 2011
Notes to the Financial Statements 155
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)
Russell Investment Company II plc
Notes to the Financial Statements - continued
30 September 2011
156 Notes to the Financial Statements
As at 30 September 2010
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
Russell Investment Company II plc
Notes to the Financial Statements - continued
30 September 2011
Notes to the Financial Statements 157
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)
Russell Investment Company II plc
Notes to the Financial Statements - continued
30 September 2011
158 Notes to the Financial Statements
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.
As at 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
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
Russell Investment Company II plc
Notes to the Financial Statements - continued
30 September 2011
Notes to the Financial Statements 159
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
As at 30 September 2010
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
Russell Investment Company II plc
Notes to the Financial Statements - continued
30 September 2011
160 Notes to the Financial Statements
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.
As at 30 September 2011
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)
As at 30 September 2010
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
Russell Investment Company II plc
Notes to the Financial Statements - continued
30 September 2011
Notes to the Financial Statements 161
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.
The Euro Fixed Income Fund
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)
The Euro Fixed Income Fund
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
Russell Investment Company II plc
Notes to the Financial Statements - continued
30 September 2011
162 Notes to the Financial Statements
The Global Bond (Euro Hedged) Fund
Class A Class B Class DH-B Class I Class I Income
Shares Shares Shares Shares Shares
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)
The Global Bond (Euro Hedged) Fund
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)
The Pan European Equity Fund
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)
Russell Investment Company II plc
Notes to the Financial Statements - continued
30 September 2011
Notes to the Financial Statements 163
The Pan European Equity Fund
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
The U.K. Equity Plus Fund
Class B Class C Class I Income Class K
Class P
Income
Shares Shares Shares Shares Shares
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)
The U.K. Equity Plus Fund
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
Russell Investment Company II plc
Notes to the Financial Statements - continued
30 September 2011
164 Notes to the Financial Statements
The U.S. Growth Fund
Class A
Income Class B Class C Class I Class I Income
Shares Shares Shares Shares Shares
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
Shares Shares Shares Shares Shares
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
Income Class B Class C Class I Class I Income
Shares Shares Shares Shares Shares
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)
Russell Investment Company II plc
Notes to the Financial Statements - continued
30 September 2011
Notes to the Financial Statements 165
The World Equity Fund Class B Class C Class D Class EH-T Class I Class J
Shares Shares Shares Shares Shares Shares
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)
The World Equity Fund
Class N Class R Class SH-B
Class TDCNV
Income Class TYA
Shares Shares Shares Shares Shares
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
Russell Investment Company II plc
Notes to the Financial Statements - continued
30 September 2011
166 Notes to the Financial Statements
Participating Share Transactions for the year ended 31 March 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.
The Euro Fixed Income Fund
Class A Class B Class F Class I Class I Income
Class MZ
Income
Shares Shares Shares Shares Shares Shares
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)
The Euro Fixed Income Fund
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
The Global Bond (Euro Hedged) Fund
Class A Class B Class DH-B Class I Class I Income
Shares Shares Shares Shares Shares
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)
Russell Investment Company II plc
Notes to the Financial Statements - continued
30 September 2011
Notes to the Financial Statements 167
The Global Bond (Euro Hedged) Fund
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
The Pan European Equity Fund
Class A Class B Class F Class I
Class MZ
Income
Class
PAM EU
Shares Shares Shares Shares Shares Shares
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)
The Pan European Equity Fund
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
Russell Investment Company II plc
Notes to the Financial Statements - continued
30 September 2011
168 Notes to the Financial Statements
The U.K. Equity Plus Fund
Class B Class C Class I Income Class K
Class P
Income
Shares Shares Shares Shares Shares
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)
The U.K. Equity Plus Fund
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)
The U.S. Growth Fund
Class A
Income Class B Class C Class I Class I Income
Shares Shares Shares Shares Shares
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)
Russell Investment Company II plc
Notes to the Financial Statements - continued
30 September 2011
Notes to the Financial Statements 169
The U.S. Quant Fund
Class B Class C Class I Class P Income
Class R
Roll-Up
Shares Shares Shares Shares Shares
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
Income Class B Class C Class I Class I Income
Shares Shares Shares Shares Shares
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
Shares Shares Shares Shares Shares Shares
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)
Russell Investment Company II plc
Notes to the Financial Statements - continued
30 September 2011
170 Notes to the Financial Statements
The World Equity Fund
Class N Class R Class SH-B
Class TDCNV
Income Class TUBS Class TYA
Shares Shares Shares Shares Shares Shares
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
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.
The Euro Fixed Income Fund
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)
Russell Investment Company II plc
Notes to the Financial Statements - continued
30 September 2011
Notes to the Financial Statements 171
The Euro Fixed Income Fund
Class I Income
Class MZ
Income
Class P
Income Class S
Shares Shares Shares Shares
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
Shares Shares Shares Shares
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)
The Global Bond (Euro Hedged) Fund
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)
Russell Investment Company II plc
Notes to the Financial Statements - continued
30 September 2011
172 Notes to the Financial Statements
The Pan European Equity Fund Class A Class B Class F Class I
Shares Shares Shares Shares
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)
The Pan European Equity Fund
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
The U.K. Equity Plus Fund
Class B Class C Class I Income Class K
Class P
Income
Shares Shares Shares Shares Shares
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)
Russell Investment Company II plc
Notes to the Financial Statements - continued
30 September 2011
Notes to the Financial Statements 173
The U.S. Growth Fund
Class A
Income Class B Class C Class I
Class I
Income
Shares Shares Shares Shares Shares
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)
Russell Investment Company II plc
Notes to the Financial Statements - continued
30 September 2011
174 Notes to the Financial Statements
The U.S. Value Fund
Class A
Income Class B Class C Class I
Class I
Income
Shares Shares Shares Shares Shares
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)
The World Equity Fund
Class B Class C Class D Class EH-T Class I Class J
Shares Shares Shares Shares Shares Shares
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)
The World Equity Fund
Class N Class SH-B
Class TDCNV
Income Class TUBS Class TYA
Shares Shares Shares Shares Shares
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)
Russell Investment Company II plc
Notes to the Financial Statements - continued
30 September 2011
Notes to the Financial Statements 175
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%
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 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.
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 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.
Russell Investment Company II plc
Notes to the Financial Statements - continued
30 September 2011
176 Notes to the Financial Statements
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.
Russell Investment Company II plc
Notes to the Financial Statements - continued
30 September 2011
Notes to the Financial Statements 177
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.
Russell Investment Company II plc
Notes to the Financial Statements - continued
30 September 2011
178 Notes to the Financial Statements
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
Russell Investment Company II plc
Notes to the Financial Statements - continued
30 September 2011
Notes to the Financial Statements 179
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
The Euro Fixed Income Fund
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
The Euro Fixed Income Fund
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
Russell Investment Company II plc
Notes to the Financial Statements - continued
30 September 2011
180 Notes to the Financial Statements
The Global Bond (Euro Hedged) Fund
Class A
EUR
Class B
EUR
Class DH-B
USD
Class I
GBP
Class I Income
GBP
Class MZ
Income
EUR
Total net asset value
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
The Pan European Equity Fund
Class A
EUR
Class B
EUR
Class F
EUR
Class I
GBP
Class J
USD
Class MZ
Income
EUR
Total net asset value
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
Net asset value per share
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
The Pan European Equity Fund
Class PAMEU
EUR
Class R
Roll-Up
EUR
Total net asset value
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
Net asset value per share
30 September 2011 ............................ 9.74 71.16 31 March 2011 .................................. 11.97 86.99
30 September 2010 ............................ 11.09 80.17
The U.K. Equity Plus Fund
Class B
GBP
Class C
EUR
Class I Income
GBP
Class K
USD
Class P Income
GBP
Class R
GBP
Total net asset value
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 -
Net asset value per share
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 -
Russell Investment Company II plc
Notes to the Financial Statements - continued
30 September 2011
Notes to the Financial Statements 181
The U.S. Growth Fund
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
Total net asset value
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
The World Equity Fund
Class B
USD Class C
EUR Class D
GBP Class EH-T
EUR Class I
GBP Class J
USD
Total net asset value
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
Net asset value per share
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
Russell Investment Company II plc
Notes to the Financial Statements - continued
30 September 2011
182 Notes to the Financial Statements
The World Equity Fund
Class N
USD
Class R
USD
Class SH-B
GBP
Class TDCNV
Income
USD
Class TUBS
GBP Class TYA
JPY
Total net asset value
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 -
Net asset value per share
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 -
The World Equity Fund
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.
Russell Investment Company II plc
Notes to the Financial Statements - continued
30 September 2011
Notes to the Financial Statements 183
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)
Russell Investment Company II plc
Notes to the Financial Statements - continued
30 September 2011
184 Notes to the Financial Statements
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 paid on income shares .................... (2,128,321) (2,313,950) (77,968) (376,248) (57,757) (4,592) (591,159)
Distributions deemed on
accumulation shares ............................................. (4,090,677) (9,192,707) (1,223,186) (1,207,201) (516,624) (272,366) (18,567,964)
Russell Investment Company II plc
Notes to the Financial Statements - continued
30 September 2011
Notes to the Financial Statements 185
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 paid on income shares .................... (1,050,571) (1,193,519) (77,905) (256,623) (26,239) (2,684) (502,000)
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.
Russell Investment Company II plc
Notes to the Financial Statements - continued
30 September 2011
186 Notes to the Financial Statements
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.
Russell Investment Company II plc
Appendix I - Total Expense Ratio
For the six months ended 30 September 2011
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
The Euro Fixed Income 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%
The Global Bond (Euro Hedged) Fund
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%
The Pan European Equity Fund
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%
The U.K. Equity Plus Fund
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%
The U.S. Growth Fund
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%
Russell Investment Company II plc
Appendix I - Total Expense Ratio - continued
For the six months ended 30 September 2011
188 Total Expense Ratio
Expense % of
avg. NAV of
Fund
The World Equity 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
tel +44 (0) 20 7024 6000fax +44 (0) 20 7024 6001www.russell.com
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